The price discovery role of day traders in futures market: Evidence from different types of day traders
利用期货市场专有账户级交易数据，研究发现自我声明的日内交易者未改善价格发现，而非声明交易者在高波动和新信息时期显著提升价格发现，表明保证金刺激政策可能吸引过度自信的投资者。
Using proprietary account-level transaction data in the futures market where day traders are self-declared ex ante, this study investigates whether day traders enhance price discovery at the market level. From a natural classification of day traders, we find that heterogeneous day traders have differential effects on price discovery. Self-declared day traders, who benefit from low margin requirement, do not improve price discovery measured by information share. In contrast, non-declared traders, who are not self-declared as day traders, improve price discovery. Their positive impacts on price discovery are particularly significant during periods of high volatility and arrival of new information. Overall, a margin stimulating policy may encourage more day trading, but may also attract overconfident investors, especially inexperienced ones, and who do not enhance price discovery.