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- Title
Holding Period and Investor Performance: An Analysis of Account-Level ELW Transactions.
- Authors
YOUNGSOO CHOI; WOOJIN KIM; EUNJI KWON
- Abstract
This paper documents that median holding period in structured products based on market index is less than a day from initial purchase to liquidation even for retail investors. Less than 6% of all series ever traded by retail investors are held until maturity. Based on a unique proprietary dataset that provides the details of all transactions - including account identifier and direction of the trade - in the Korean ELW (equity linked warrant) market between 2009 and 2011, we find that trading performance is negatively correlated with holding period. Specifically, both HFT (high frequency trader) accounts and non-HFT accounts perform worse when either average holding period is long or average end-of-the-day position is large. Our findings suggest that the relationship between holding period and trading performance in the structured product markets may be fundamentally different from those in equity markets.
- Subjects
INDIVIDUAL investors; INVESTORS; STOCK exchanges; RETAIL industry; LIQUIDATION
- Publication
Seoul Journal of Business, 2020, Vol 26, Issue 2, p1
- ISSN
1226-9816
- Publication type
Article
- DOI
10.35152/snusjb.2020.26.2.001