Beschreibung:
This study explores whether frequent trading is profitable to investors. Using the unique transaction-level data from a highly liquid index futures market, we show that domestic non-investment institutions lose money as they trade more frequently, especially from trading after the market opening and when liquidity is scarce. For other institutional investors, shorter trading durations yield greater profits per contract in general. For domestic individuals, who trade least frequently, we find that the frequency of trading has no effect on profits. Our findings imply evidence of informed liquidity providers