The overconfidence hypothesis has been discussed in previous literatures (Barberis et al., 1998; Daniel et al., 1998; Gervais and Odean, 2001; Statman et al., 2006; Glaser and Weber, 2009; O’Connell and Teo, 2009). Gervais and Odean (2001) find that overconfident investors overestimate information from their prior outcome;
thus, they have a tendency to trade more after prior gains. In the paper, we use a dataset consist of account-level orders and transactions records from the TAIFEX to examine whether the behavioral bias is related to overconfidence hypothesis. The previous literatures have showed the relationship between overconfidence effect and trading volume. Therefore, in this paper, we examine whether the variation of risk-taking is following overconfidence effect, and we classify investors through the behavior of investors’ trading history not psychological assessment as prior literatures.
The variation of risk-taking is defined as the difference in the risk taking between the risk taking testing period and prior period. We follow Chou and Wang (2011) overconfidence hypothesis to separate investors. Therefore, we define overconfident investor as investor in definition period has a net long (short) position, trades gains from that position, and has a net buy (sell) volume in subsequent period.
Non-overconfident investors are defined as investors do not be categorized in overconfident ones. Moreover, we classify investors into four difference type:
individual traders, domestic institutional traders, futures proprietary firms and foreign institutional traders. Therefore, we also examine whether the trader types of investors will affect the relationship between overconfidence and behavioral bias.
First, we find that the risk taking is signification positive related to overconfidence effect. Secondly, our finding shows that as the investors are domestic institutions and individual traders, the overconfidence bias will affect investors to increase their risk
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taking. However, foreign institutions and futures proprietary firms are not influenced by the overconfidence bias. Therefore, our results are consistent with Barber and Odean (2001) that greater overconfidence leads to higher trading volume.
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This table presents the summary statistics of return and volume during 5-day, 10-day, and 25-day holding-period, with Panel A showing the statistics for all traders, and Panels B–E presenting the respective statistics for foreign institutions, domestic institutions, futures proprietary firms and individual traders. ‘Returns’ refer to the 5-day (10-day, or 25-day) holding-period returns for both the net long and net short positions. A net long (net short) position is defined when an investor’s cumulative buy volume during the 5-day (10-day, or 25-day) holding period is larger (smaller) than his cumulative sell volume. Volume is the average daily trading volume for all accounts.
N 19,162(0.43%) 19,773(0.42%) 20,243(0.39%) 19,726(0.42%)
Return(×10-3)
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N 35,026(0.79%) 37,098(0.78%) 39,267(0.76%) 37,130(0.78%)
Return(×10-3)
N 4,351,863(98.74%) 4,679,952(98.77%) 5,085,468(98.82%) 4,705,761(98.78%) Return(×10-3)
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This table presents the summary statistics of number of trades, trade size, number of orders, order size, and trade to order ratio during 5-day (10-day, or 25-day) holding-period, with Panel A showing the statistics for all traders, and Panels B–E presenting the respective statistics for foreign institutions, domestic institutions, futures proprietary firms and individual traders. Number of trades and orders are the number of all index options trades/orders that each investor executed during the respective time period. Trade size is the average daily transacted contracts.
Order size is the average daily order contracts. Trade to order ratio is the average ratio of number of trades to number of orders, defined as number of trades divided by the number of orders.
Variables 5-day holding period 10-day holding period 25-day holding period Average
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Panel C: domestic institutions
Number of Trades 8.25 16.89 8.26 16.99 8.19 16.84 8.23
Trade Size 40.56 91.02 40.61 90.98 40.24 90.78 40.47
Number of Order 10.95 20.61 10.93 20.72 10.83 20.52 10.90
Order Size 55.60 125.80 55.49 124.60 55.01 124.90 55.37
Trade to Order Ratio 0.80 0.23 0.81 0.23 0.81 0.23 0.81
Panel D: futures proprietary firms
Number of Trades(×103) 3.77 3.47 3.77 3.47 3.77 3.47 3.77
Trade Size(×103) 14.97 9.61 14.99 9.61 14.97 9.62 14.98
Number of Order(×103) 10.41 14.91 10.43 14.92 10.42 14.91 10.42
Order Size(×103) 32.26 31.35 32.37 31.46 32.32 31.47 32.32
Trade to Order Ratio 0.59 0.19 0.59 0.19 0.59 0.19 0.59
Panel E: individual traders
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Table 3 The variation of risk taking for overconfident investors tests in number of trades.
This table presents the difference in cumulative number of trades between the risk taking testing period after the definition period and the risk taking testing period before the definition period by overconfident investors from all traders and the four trader types (foreign institutions, domestic institutions, futures proprietary firms and individual traders). Overconfident investor is defined that investor in definition period has a net long (short) position, trades gains from that position, and has a net buy (sell) volume in subsequent period. Definition period includes 5-day, 10-day, and 25-day. Risk taking testing period includes 20-day, 60-day, and 90-day. Number of trades is the number of all index futures trades that each investor executed during the respective time period. The t-statistics are in parentheses.
Definition period 5-day 10-day 25-day
Risk taking testing period 20-day 60-day 90-day 20-day 60-day 90-day 20-day 60-day 90-day
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Panel C: domestic institutions
Subsequent period 116.63 307.06 439.83 106.93 284.77 404.23 93.95 252.90 358.65 Prior period 110.42 291.21 410.50 102.18 270.78 377.63 90.33 249.19 342.78
Difference 6.21 15.85 29.33 4.76 13.98 26.60 3.62 3.71 15.87
t-statistic (4.18***) (3.51***) (4.23***) (3.03***) (3.17***) (4.27***) (2.50**) (0.91) (2.82***)
Panel D: futures proprietary firms
Subsequent period(×103) 78.66 223.64 329.99 86.96 239.78 353.63 79.03 212.56 313.61 Prior period(×103) 76.39 211.43 306.27 83.44 227.78 332.46 66.73 196.60 288.92 Difference(×103) 2.28 12.21 23.72 3.52 12.00 21.17 12.29 15.96 24.69
t-statistic (1.13) (1.56) (1.95*) (1.00) (1.17) (1.35) (4.32***) (2.03**) (1.94*)
Panel E: individual traders
Subsequent period 45.74 116.17 159.23 42.08 109.80 151.10 37.22 98.86 137.06 Prior period 43.92 107.89 144.95 40.08 101.03 136.52 34.83 91.24 124.88
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Table 4 The variation of risk taking for overconfident investors tests in trade size.
This table presents the difference in cumulative trade size between the risk taking testing period after the definition period and the risk taking testing period before the definition period by overconfident investors from all traders and the four trader types (foreign institutions, domestic institutions, futures proprietary firms and individual traders). Overconfident investor is defined that investor in definition period has a net long (short) position, trades gains from that position, and has a net buy (sell) volume in subsequent period. Definition period includes 5-day, 10-day, and 25-day. Risk taking testing period includes 20-day, 60-day, and 90-day. Trade size is the average daily transacted contracts. The t-statistics are in parentheses.
Definition period 5-day 10-day 25-day
Risk taking testing period 20-day 60-day 90-day 20-day 60-day 90-day 20-day 60-day 90-day
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Panel C: domestic institutions
Subsequent period 568.26 1,440.52 2,022.23 522.82 1,337.46 1,866.29 450.19 1,204.48 1,679.05 Prior period 538.81 1,375.94 1,915.66 499.19 1,308.83 1,805.43 425.81 1,181.62 1,616.81
Difference 29.45 64.58 106.60 23.63 28.63 60.87 24.37 22.87 62.23
t-statistic (3.67***) (2.75***) (2.98***) (2.88***) (1.20) (1.77*) (3.19***) (1.01) (1.94*)
Panel D: futures proprietary firms
Subsequent period(×103) 305.00 875.96 1,291.70 328.73 917.54 1,345.02 312.05 846.55 1,255.10 Prior period(×103) 300.67 860.44 1,262.75 317.32 903.40 1,334.41 269.90 816.74 1,235.34 Difference(×103) 4.33 15.51 28.94 11.41 14.14 10.61 42.15 29.82 19.76
t-statistic (0.68) (0.66) (0.79) (1.07) (0.47) (0.23) (4.62***) (1.20) (0.50)
Panel E: individual traders
Subsequent period 119.31 302.02 411.94 107.13 276.32 381.44 92.23 243.07 336.96 Prior period 113.22 282.92 381.93 101.87 257.96 353.04 86.58 228.24 314.67
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Table 5 The variation of risk taking for overconfident investors tests in number of orders.
This table presents the difference in cumulative number of orders between the risk taking testing period after the definition period and the risk taking testing period before the definition period by overconfident investors from all traders and the four trader types (foreign institutions, domestic institutions, futures proprietary firms and individual traders). Overconfident investor is defined that investor in definition period has a net long (short) position, trades gains from that position, and has a net buy (sell) volume in subsequent period. Definition period includes 5-day, 10-day, and 25-day. Risk taking testing period includes 20-day, 60-day, and 90-day. Number of orders is the number of all index futures orders that each investor executed during the respective time period. The t-statistics are in parentheses.
Definition period 5-day 10-day 25-day
Risk taking testing period 20-day 60-day 90-day 20-day 60-day 90-day 20-day 60-day 90-day
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Panel C: domestic institutions
Subsequent period 158.33 416.79 599.13 144.14 383.72 545.68 127.26 339.90 483.92 Prior period 150.77 395.45 559.89 139.60 370.25 517.46 123.60 339.20 468.77
Difference 7.57 21.34 39.23 4.54 13.47 28.22 3.66 0.70 15.14
t-statistic (3.83***) (3.59***) (4.34***) (2.17**) (2.32**) (3.45***) (1.91*) (0.13) (2.04**)
Panel D: futures proprietary firms
Subsequent period(×103) 224.86 633.00 915.48 251.62 664.86 941.70 211.95 545.09 818.67 Prior period(×103) 215.40 608.87 880.89 254.85 728.71 1,071.63 180.56 550.56 801.98 Difference(×103) 9.46 24.13 34.59 -3.23 -63.85 -129.94 31.38 -5.47 16.70 t-statistic (1.07) (0.82) (0.62) (-0.23) (-1.82*) (-2.03**) (3.21***) ( -0.13) (0.24)
Panel E: individual traders
Subsequent period 68.44 173.56 237.64 62.76 163.55 225.10 54.84 145.88 201.19 Prior period 65.73 161.09 216.40 59.67 150.42 203.69 51.33 134.68 183.41
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Table 6 The variation of risk taking for overconfident investors tests in order size.
This table presents the difference in cumulative order size between the risk taking testing period after the definition period and the risk taking testing period before the definition period by overconfident investors from all traders and the four trader types (foreign institutions, domestic institutions, futures proprietary firms and individual traders). Overconfident investor is defined that investor in definition period has a net long (short) position, trades gains from that position, and has a net buy (sell) volume in subsequent period. Definition period includes 5-day, 10-day, and 25-day. Risk taking testing period includes 20-day, 60-day, and 90-day. Order size is the average daily order contracts. The t-statistics are in parentheses.
Definition period 5-day 10-day 25-day
Risk taking testing period 20-day 60-day 90-day 20-day 60-day 90-day 20-day 60-day 90-day
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Panel C: domestic institutions
Subsequent period 783.67 1,983.20 2,774.58 720.28 1,837.55 2,558.40 617.19 1,625.59 2,292.84 Prior period 753.23 1,914.12 2,670.55 691.13 1,815.98 2,508.93 590.84 1,626.31 2,246.57
Difference 30.45 69.07 104.00 22.49 21.58 49.47 26.34 -0.72 46.27
t-statistic (2.65***) (2.10**) (2.13**) (1.87**) (0.65) (1.05) (2.43**) (-0.02) (1.08)
Panel D: futures proprietary firms
Subsequent period(×103) 676.22 1,903.26 2,814.90 743.11 2,010.85 2,937.28 669.21 1,759.23 2,604.67 Prior period(×103) 657.38 1,825.67 2,660.61 735.44 2,036.72 2,990.26 561.29 1,692.58 2,505.41 Difference(×103) 18.84 77.59 154.29 7.67 -25.87 -52.98 107.92 66,654.30 99,261.10
t-statistic (0.89) (1.06) (1.30) (0.23) (-0.28) (-0.36) (3.76***) (0.84) (0.75)
Panel E: individual traders
Subsequent period 182.38 465.53 631.54 164.59 424.37 583.82 140.15 369.07 506.26 Prior period 173.00 436.20 586.65 156.13 397.36 542.24 131.54 346.66 472.90
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Table 7 The variation of risk taking for overconfident investors tests in trade to order ratio.
This table presents the difference in cumulative trade to order ratio between the risk taking testing period after the definition period and the risk taking testing period before the definition period by overconfident investors from all traders and the four trader types (foreign institutions, domestic institutions, futures proprietary firms and individual traders). Overconfident investor is defined that investor in definition period has a net long (short) position, trades gains from that position, and has a net buy (sell) volume in subsequent period. Definition period includes 5-day, 10-day, and 25-day. Risk taking testing period includes 20-day, 60-day, and 90-day. Trade to order ratio is the average ratio of number of trades to number of orders, defined as number of trades divided by the number of orders. The t-statistics are in parentheses.
Definition period 5-day 10-day 25-day
Risk taking testing period 20-day 60-day 90-day 20-day 60-day 90-day 20-day 60-day 90-day
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Panel C: domestic institutions
Subsequent period 9.10 24.19 34.06 8.79 23.57 33.09 8.14 22.14 31.10
Prior period 9.03 24.08 33.75 8.66 23.39 32.79 8.00 22.14 31.05
Difference 0.07 0.11 0.31 0.13 0.17 0.29 0.13 0.01 0.05
t-statistic (1.12) (0.61) (1.06) (2.13**) (0.95) (1.04) (2.12**) (0.04) (0.17)
Panel D: futures proprietary firms
Subsequent period 11.22 32.81 48.46 11.00 31.96 46.99 10.98 32.11 47.50
Prior period 11.46 33.93 50.39 11.01 32.46 48.08 11.79 34.40 51.28
Difference -0.24 -1.11 -1.92 -0.01 -0.51 -1.09 -0.81 -2.28 -3.78
t-statistic (-3.23***) (-2.88***) (-2.71***) (-0.06) (-1.25) (-1.71*) (-5.55***) (-4.88***) (-4.89***)
Panel E: individual traders
Subsequent period 7.49 18.98 25.89 7.11 18.27 25.02 6.35 16.62 22.95
Prior period 7.45 18.38 24.75 7.07 17.72 24.01 6.30 16.37 22.47
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Table 8 The variation of risk taking for non-overconfident investors tests in number of trades.
This table presents the difference in cumulative number of trades between the risk taking testing period after the definition period and the risk taking testing period before the definition period by overconfident investors from all traders and the four trader types (foreign institutions, domestic institutions, futures proprietary firms and individual traders). Overconfident investor is defined that investor in definition period has a net long (short) position, trades gains from that position, and has a net buy (sell) volume in subsequent period. Non-overconfident investors are defined as investors do not be categorized in overconfident ones. Definition period includes 5-day, 10-day, and 25-day. Risk taking testing period includes 20-day, 60-day, and 90-day. Number of trades is the number of all index futures trades that each investor executed during the respective time period. The t-statistics are in parentheses.
Definition period 5-day 10-day 25-day
Risk taking testing period 20-day 60-day 90-day 20-day 60-day 90-day 20-day 60-day 90-day
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Panel C: domestic institutions
Subsequent period 92.98 248.04 347.78 88.05 238.36 333.77 77.84 214.77 302.43 Prior period 92.30 242.19 337.19 87.20 233.39 323.56 77.13 209.75 290.79
Difference 0.68 5.85 10.59 0.85 4.97 10.20 0.70 5.03 11.63
t-statistic (1.27) (3.58***) (4.29***) (1.51) (2.96***) (4.08***) (1.11) (2.76***) (4.40***)
Panel D: futures proprietary firms
Subsequent period(×103) 72.55 220.83 331.81 70.52 217.02 326.24 73.10 225.29 337.52 Prior period(×103) 69.26 196.54 283.56 66.20 189.31 273.00 67.03 188.25 271.02 Difference(×103) 3.29 24.29 48.26 4.32 27.71 53.24 6.07 37.04 66.49 t-statistic (3.64***) (8.14***) (10.60***) (4.78***) (9.86***) (12.67***) (4.50***) (9.53***) (11.93***)
Panel E: individual traders
Subsequent period 34.36 86.31 117.47 31.42 80.21 109.38 26.56 70.37 96.36 Prior period 33.97 82.44 110.37 31.23 77.00 103.28 26.53 67.59 91.26
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Definition period 5-day 10-day 25-day
Risk taking testing period 20-day 60-day 90-day 20-day 60-day 90-day 20-day 60-day 90-day Table 9 The variation of risk taking for non-overconfident investors tests in trade size.
This table presents the difference in cumulative trade size between the risk taking testing period after the definition period and the risk taking testing period before the definition period by overconfident investors from all traders and the four trader types (foreign institutions, domestic institutions, futures proprietary firms and individual traders). Overconfident investor is defined that investor in definition period has a net long (short) position, trades gains from that position, and has a net buy (sell) volume in subsequent period. Non-overconfident investors are defined as investors do not be categorized in overconfident ones. Definition period includes 5-day, 10-day, and 25-day. Risk taking testing period includes 20-day, 60-day, and 90-day. Trade size is the average daily transacted contracts. The t-statistics are in parentheses.
Panel A: all traders
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Panel C: domestic institutions
Subsequent period 450.79 1,164.36 1,617.07 425.36 1,106.02 1,550.90 366.31 996.58 1,393.33 Prior period 452.77 1,187.03 1,638.62 432.55 1,133.83 1,574.42 382.43 1,035.23 1,432.51 Difference -1.99 -22.67 -21.55 -7.19 -27.81 -23.52 -16.12 -38.65 -39.18 t-statistic (-0.69) (-2.45**) (-1.54) (-2.27**) (-2.94***) (-1.67*) ( -4.52***) (-3.78***) (-2.67***)
Panel D: futures proprietary firms
Subsequent period(×103) 292.62 889.28 1,325.89 286.30 878.94 1,311.50 288.94 881.33 1,313.80 Prior period(×103) 284.16 829.56 1,208.12 276.56 811.20 1,179.81 278.71 794.76 1,152.01 Difference(×103) 8.46 59.71 117.77 9.73 67.74 131.69 10.22 86.57 161.80 t-statistic (2.78***) (6.25***) (8.21***) (3.16***) (7.39***) (9.79***) (2.41**) (7.28***) (9.37***)
Panel E: individual traders
Subsequent period 74.87 189.36 259.12 68.36 175.41 239.65 57.08 151.05 208.58 Prior period 74.70 185.26 251.64 68.82 173.06 234.67 58.66 151.35 207.63
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Table 10 The variation of risk taking for non-overconfident investors tests in number of orders.
This table presents the difference in cumulative number of orders between the risk taking testing period after the definition period and the risk taking testing period before the definition period by overconfident investors from all traders and the four trader types (foreign institutions, domestic institutions, futures proprietary firms and individual traders). Overconfident investor is defined that investor in definition period has a net long (short) position, trades gains from that position, and has a net buy (sell) volume in subsequent period. Non-overconfident investors are defined as investors do not be categorized in overconfident ones. Definition period includes 5-day, 10-day, and 25-day. Risk taking testing period includes 20-day, 60-day, and 90-day. Number of orders is the number of all index futures orders that each investor executed during the respective time period. The t-statistics are in parentheses.
Definition period 5-day 10-day 25-day
Risk taking testing period 20-day 60-day 90-day 20-day 60-day 90-day 20-day 60-day 90-day
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Panel C: domestic institutions
Subsequent period 126.77 337.73 474.35 120.29 324.45 455.83 106.46 293.24 412.37 Prior period 126.28 330.85 461.56 119.29 317.85 442.29 105.32 286.35 396.58
Difference 0.49 6.88 12.79 1.00 6.60 13.55 1.13 6.88 15.79
t-statistic (0.68) (3.19***) (3.92***) (1.32) (2.98***) (4.11***) (1.35) (2.86***) (4.53***)
Panel D: futures proprietary firms
Subsequent period(×103) 197.12 612.51 918.54 191.12 606.65 915.43 205.97 640.25 956.13 Prior period(×103) 187.10 522.10 735.53 172.46 482.13 673.82 180.42 490.35 688.27 Difference(×103) 10.02 90.40 183.01 18.65 124.52 241.60 25.55 149.90 267.87 t-statistic (2.59***) (7.41***) (7.69***) (5.11***) (9.61***) ( 9.70***) (5.01***) (8.26***) (8.50***)
Panel E: individual traders
Subsequent period 50.39 126.63 172.40 46.05 117.87 160.79 38.98 103.21 142.20 Prior period 49.76 120.80 161.92 45.71 112.98 151.77 38.81 98.98 134.60
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Table 11 The variation of risk taking for non-overconfident investors tests in order size.
This table presents the difference in cumulative order size between the risk taking testing period after the definition period and the risk taking testing period before the definition period by overconfident investors from all traders and the four trader types (foreign institutions, domestic institutions, futures proprietary firms and individual traders). Overconfident investor is defined that investor in definition period has a net long (short) position, trades gains from that position, and has a net buy (sell) volume in subsequent period. Non-overconfident investors are defined as investors do not be categorized in overconfident ones. Definition period includes 5-day, 10-day, and 25-day. Risk taking testing period includes 20-day, 60-day, and 90-day. Order size is the average daily order contracts. The t-statistics are in parentheses.
Definition period 5-day 10-day 25-day
Risk taking testing period 20-day 60-day 90-day 20-day 60-day 90-day 20-day 60-day 90-day
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Panel C: domestic institutions
Subsequent period 623.12 1,607.50 2,225.76 589.82 1,532.86 2,138.26 507.69 1,366.76 1,924.05 Prior period 628.98 1,638.61 2,262.86 600.36 1,570.55 2,178.64 528.08 1,421.11 1,987.03 Difference -5.86 -31.11 -37.10 -10.54 -37.69 -40.38 -20.39 -54.35 -62.99 t-statistic (-1.44) (-2.41**) (-1.92*) (-2.34**) (-2.86***) (-2.08**) (-4.02***) (-3.80***) (-3.08***)
Panel D: futures proprietary firms
Subsequent period(×103) 618.91 1,876.42 2,816.54 602.61 1,850.25 2,780.98 623.38 1,924.72 2,873.58 Prior period(×103) 593.07 1,668.40 2,402.16 562.63 1,585.48 2,279.38 573.99 1,596.88 2,286.53 Difference(×103) 25.84 208.02 414.38 39.97 264.77 501.59 49.39 327.83 587.05 t-statistic (2.76***) (7.32***) (8.94***) (4.49***) (9.65***) (11.07***) (4.07***) (8.80***) (9.96***)
Panel E: individual traders
Subsequent period 111.21 281.45 383.37 101.18 259.70 355.00 84.66 225.50 308.71 Prior period 110.88 275.53 372.91 101.79 256.34 348.28 86.98 226.30 308.09
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Table 12 The variation of risk taking for non-overconfident investors tests in trade to order ratio.
This table presents the difference in cumulative trade to order ratio between the risk taking testing period after the definition period and the risk taking testing period before the definition period by overconfident investors from all traders and the four trader types (foreign institutions, domestic institutions, futures proprietary firms and individual traders). Overconfident investor is defined that investor in definition period has a net long (short) position, trades gains from that position, and has a net buy (sell) volume in subsequent period. Non-overconfident investors are defined as investors do not be categorized in overconfident ones. Definition period includes 5-day, 10-day, and 25-day. Risk taking testing period includes 20-day, 60-day, and 90-day. Trade to order ratio is the average ratio of number of trades to number of orders, defined as number of trades divided by the number of orders. The t-statistics are in parentheses.
Definition period 5-day 10-day 25-day
Risk taking testing period 20-day 60-day 90-day 20-day 60-day 90-day 20-day 60-day 90-day
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Panel C: domestic institutions
Subsequent period 8.68 22.95 31.94 8.15 21.76 30.41 7.14 19.47 27.27
Prior period 8.76 23.07 32.1 8.32 22.06 30.79 7.41 20 28.04
Difference -0.08 -0.11 -0.15 -0.17 -0.29 -0.37 -0.27 -0.53 -0.78
t-statistic (-2.93***) (-1.44) (-1.22) (-5.86***) (-3.54***) (-2.94***) (-8.57***) (-5.77***) (-5.64***)
Panel D: futures proprietary firms
Subsequent period 11.42 33.6 49.59 11.38 33.57 49.58 11.16 32.83 48.47
Prior period 11.47 34.14 50.84 11.54 34.44 51.25 11.17 33.3 49.54
Difference -0.06 -0.55 -1.25 -0.16 -0.86 -1.67 -0.01 -0.48 -1.07
t-statistic (-1.07) (-2.31**) (-2.86***) (-2.59***) (-3.23***) (-3.46***) (-0.09) (-1.34) (-1.79*)
Panel E: individual traders
Subsequent period 6.71 16.73 22.65 6.18 15.69 21.37 5.24 13.72 18.88
Prior period 6.77 16.6 22.32 6.3 15.71 21.22 5.43 13.93 19.02
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Table 13 The variation of risk taking difference between overconfident and non-overconfident investors tests in number of trades.
This table presents the difference in the variation of cumulative number of trades between overconfident investors and non-overconfident investors for all traders and the four trader types (foreign institutions, domestic institutions, futures proprietary firms and individual traders).
Overconfident investor is defined that investor in definition period has a net long (short) position, trades gains from that position, and has a net buy (sell) volume in subsequent period. Non-overconfident investors are defined as investors do not be categorized in overconfident ones. The variation of cumulative number of trades is defined as the difference in the cumulative number of trades between the risk taking testing period after the definition period and the risk taking testing period before the definition period. Overconfident (Non-overconfident) mean is defined as the variation of cumulative number of trades for overconfident investors (non-overconfident). Definition period includes 5-day, 10-day, and 25-day. Risk taking testing period includes 20-day, 60-day, and 90-day. Number of trades is the number of all index futures trades that each investor executed during the respective time period. The t-statistics are in parentheses.
Definition period 5-day 10-day 25-day
Risk taking testing period 20-day 60-day 90-day 20-day 60-day 90-day 20-day 60-day 90-day
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Panel C: domestic institutions
Overconfident mean 6.93 16.41 28.05 5.47 16.25 22.41 6.10 7.28 20.14 Non-overconfident mean 0.55 5.73 10.73 0.74 4.55 10.97 0.17 4.14 10.56
Difference 6.38 10.68 17.32 4.72 11.70 11.45 5.93 3.13 9.57
t-statistic (4.15***) (2.27**) (2.43**) (2.93***) (2.53**) (1.73*) (3.83***) (0.69) (1.50)
Panel D: futures proprietary firms
Overconfident mean(×103) 0.58 8.64 21.48 6.32 6.36 16.48 10.74 13.30 20.86 Non-overconfident mean(×103) 3.62 24.75 48.26 3.47 28.73 53.96 6.00 36.56 66.27 Difference(×103) -3.04 -16.10 -26.77 2.85 -22.37 -37.48 4.74 -23.26 -45.42 t-statistic (-1.36) (-1.85*) (-1.99**) (0.90) (-1.99**) (-2.21**) (1.40) (-2.52**) (-3.14***)
Panel E: individual traders
Overconfident mean 1.55 7.58 13.04 1.69 7.71 13.06 2.06 6.95 11.08
Non-overconfident mean 0.41 3.93 7.20 0.22 3.30 6.23 0.08 2.86 5.22
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Table 14 The variation of risk taking difference between overconfident and non-overconfident investors tests in trade size.
This table presents the difference in the variation of cumulative trade size between overconfident investors and non-overconfident investors for all traders and the four trader types (foreign institutions, domestic institutions, futures proprietary firms and individual traders). Overconfident investor is defined that investor in definition period has a net long (short) position, trades gains from that position, and has a net buy (sell) volume in subsequent period. Non-overconfident investors are defined as investors do not be categorized in overconfident ones. The variation of cumulative trade size is defined as the difference in the cumulative trade size between the risk taking testing period after the definition period and the risk taking testing period before the definition period. Overconfident (Non-overconfident) mean is defined as the variation of cumulative trade size for overconfident investors (non-overconfident). Definition period includes 5-day, 10-day, and 25-day. Risk taking testing period includes 20-day, 60-day, and 90-day. Trade size is the average daily transacted contracts. The t-statistics are in parentheses.
Definition period 5-day 10-day 25-day
Risk taking testing period 20-day 60-day 90-day 20-day 60-day 90-day 20-day 60-day 90-day
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Panel C: domestic institutions
Overconfident mean 20.56 32.41 65.38 15.13 -2.39 66.19 22.59 -5.65 8.82 Non-overconfident mean -0.47 -16.41 -13.50 -5.55 -21.78 -24.53 -15.71 -31.84 -26.31
Difference 21.03 48.82 78.88 20.68 19.39 90.72 38.30 26.20 35.13
t-statistic (2.56**) (1.91*) (2.01**) (2.37**) (0.75) (2.42**) (4.52***) (1.04) (0.99)
Panel D: futures proprietary firms
Overconfident mean(×103) 0.01 10.23 22.01 19.47 -4.65 -11.02 37.48 21.77 7.30 Non-overconfident mean(×103) 9.25 59.71 117.77 7.28 71.16 135.60 10.23 86.10 162.43 Difference(×103) -9.25 -49.48 -95.76 12.19 -75.81 -146.62 27.24 -64.33 -155.13 t-statistic (-1.28) (-1.87*) (-2.37**) (1.22) (-2.27**) (-2.90***) (2.56**) (-2.24**) (-3.45***)
Panel E: individual traders
Overconfident mean 4.44 14.63 24.83 3.82 13.93 23.32 3.93 11.89 17.69 Non-overconfident mean 0.30 4.46 7.89 -0.34 2.74 5.45 -1.37 0.04 1.47
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Table 15 The variation of risk taking difference between overconfident and non-overconfident investors tests in number of orders.
This table presents the difference in the variation of cumulative number of orders between overconfident investors and non-overconfident investors for all traders and the four trader types (foreign institutions, domestic institutions, futures proprietary firms and individual traders).
Overconfident investor is defined that investor in definition period has a net long (short) position, trades gains from that position, and has a net buy (sell) volume in subsequent period. Non-overconfident investors are defined as investors do not be categorized in overconfident ones. The variation of cumulative number of orders is defined as the difference in the cumulative number of orders between the risk taking testing period after the definition period and the risk taking testing period before the definition period. Overconfident (Non-overconfident) mean is defined as the variation of cumulative number of orders for overconfident investors (non-overconfident). Definition period includes 5-day, 10-day, and 25-day. Risk taking testing period includes 20-day, 60-day, and 90-day. Number of orders is the number of all index futures orders that each investor executed during the respective time period. The t-statistics are in parentheses.
Definition period 5-day 10-day 25-day
Risk taking testing period 20-day 60-day 90-day 20-day 60-day 90-day 20-day 60-day 90-day
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Panel C: domestic institutions
Overconfident mean 8.28 22.82 34.25 6.96 21.60 22.69 8.11 2.44 19.64 Non-overconfident mean 0.37 6.58 13.54 0.58 5.12 14.56 0.21 6.41 14.72
Difference 7.90 16.24 20.70 6.38 16.48 8.13 7.91 -3.97 4.92
t-statistic (3.82***) (2.63***) (2.24**) (2.98 ***) (2.75***) (0.94) (3.86***) (-0.67) (0.59)
Panel D: futures proprietary firms
Overconfident mean(×103) 0.75 18.82 28.32 0.75 -74.31 -129.39 27.51 -11.91 5.72 Non-overconfident mean(×103) 11.78 90.40 183.01 17.07 126.17 239.72 24.83 147.12 261.44 Difference(×103) -11.03 -71.59 -154.69 -16.32 -200.48 -369.12 2.68 -159.03 -255.72 t-statistic (-1.14) (-2.16**) (-2.48**) (-1.18) (-5.08***) (-5.27***) (0.23) (-3.45***) (-3.25***)
Overconfident mean(×103) 0.75 18.82 28.32 0.75 -74.31 -129.39 27.51 -11.91 5.72 Non-overconfident mean(×103) 11.78 90.40 183.01 17.07 126.17 239.72 24.83 147.12 261.44 Difference(×103) -11.03 -71.59 -154.69 -16.32 -200.48 -369.12 2.68 -159.03 -255.72 t-statistic (-1.14) (-2.16**) (-2.48**) (-1.18) (-5.08***) (-5.27***) (0.23) (-3.45***) (-3.25***)