Winners, Losers, and Regulators in a Derivatives Market Bubble
利用中国权证泡沫期间的经纪数据，研究交易模式：成功投资者类似做市商，不熟练投资者追涨杀跌，监管者未能预见交易狂热。
Abstract We use proprietary brokerage data to study trading patterns within a well-known financial market bubble: the Chinese warrants bubble. Persistently successful investors trade very actively and exhibit characteristics of de facto market makers. Unskilled investors unprofitably trend-chase and increase holdings in out-of-the-money warrants near expiration, whereas sophisticated investors do the reverse. We find that regulators did not properly forecast trading frenzies, as the prespecified price limits often exclude the fundamental values of warrants.