Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/306036 
Year of Publication: 
2024
Citation: 
[Journal:] Journal of Futures Markets [ISSN:] 1096-9934 [Volume:] 44 [Issue:] 9 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2024 [Pages:] 1487-1507
Publisher: 
Wiley, Hoboken, NJ
Abstract: 
We analyze retail order flow in terms of intraday feedback trading patterns. Using a unique data set of exchange trades and high‐frequency quotes, we first provide evidence that retail investors actively and consciously respond to short‐term intraday returns in a negative feedback, contrarian fashion. Second, we show that some retail investors also feedback trade on tick‐by‐tick returns. Third, we find that on average this behavior leads to significant losses on the day they open a position. These losses are primarily due to the bid‐ask spread and to investors' timing inability, but not to market makers taking advantage of investors.
Subjects: 
feedback trading
intraday
investor returns
issuer pricing strategies
retail derivatives
retail investors
warrants
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
Document Version: 
Published Version

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