Do Superstitious Traders Lose Money?

• 成果类型: Article
• 署名作者: Bhattacharya, Utpal; Kuo, Wei-Yu; Lin, Tse-Chun; Zhao, Jing
• 署名单位: Hong Kong University of Science & Technology; National Chengchi University; National Chengchi University; University of Hong Kong; Hong Kong Polytechnic University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2016.2701
• 发表日期: 2018
• 页码: 3772-3791
• 关键词: superstition; limit order clustering; INVESTMENT PERFORMANCE; individual investors

摘要

Do superstitious traders lose money? We answer this question in the context of trading in the Taiwan Futures Exchange, where we exploit the Chinese superstition that the number 8 is lucky and the number 4 is unlucky. We find that individual investors, but not institutional investors, submit disproportionately more limit orders at 8 than at 4. This imbalance, defined as the superstition index for each investor, is positively correlated with trading losses. Superstitious investors lose money mainly because of their bad market timing and stale orders. Nevertheless, the reliance on number superstition for limit order submissions does decrease with trading experience.