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Comments on. Do Individual Day Traders Make Money? Evidence From Taiwan. The authors define day trading as the purchase and sale of the same stock on the same day. But the shares they sell or buy may be not equal at the same day.

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Comments on l.jpg

Comments on

Do Individual Day Traders Make Money? Evidence From Taiwan


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The authors define day trading as the purchase and sale of the same stock on the same day. But the shares they sell or buy may be not equal at the same day.

The gross profits are calculated based on the closing price of the stock (Pc). This implies that day traders fail to close their position made that day. This seems to contradict with the spirit of intraday trading.


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Why not, as Linnainmaa (2003), focus on roundtrip intraday transactions? It is because they are not necessarily close all positions at the same day and at the closing price. They may close them during the trading hours and not at the closing price.

Meanwhile, when considering roundtrip intraday transactions, the daily profits before transaction costs may be calculated as

where


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From authors’ analysis, profits of heavy day traders may be due to that they place aggressive orders to take advantage of their superior information.

The reason why being aggressive traders and to provide liquidity cannot benefit day traders needs to be addressed.


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Table 7 examines the effects of prior performance on subsequent trading activity by controlling for past trading activity (P17).

It is argued that there is a mean reversion in day trading activity.

Throughout the paper, neither related literature nor findings are illustrated with respect to this argument.

It appears in this paper too suddenly.


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To analyze the effect of performance on day trading activity, mean percentage change in day trading value for each investor and aggregate percentage change in day tracing activity for the entire group are calculated.

I have no idea about why their signs are opposite. Intuitively, they will be with the same signs


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