Individual Investors Surpass Their Reputation: Trading Behaviour on the Polish Futures Market

Abstract:     
This paper examines individual investors’ trading behaviour by testing the presence of Monday and January anomalies on the Polish futures market, where individuals are the predominant trader type. Both anomalies are well established in the literature, and they are at least partially attributed to individual investors’ trading activities. We conduct an intraday analysis of trading volume, open interest, returns, and return volatility on the futures market in Poland and find the contribution of individuals to market anomalies to be grossly overstated. Hence, individual investors’ trading on the Polish futures market surpasses the prediction by the majority of investigations for mature stock markets.

Keywords: Emerging capital markets, Individual investors, Institutional investors, Stock index futures, Calendar anomalies, January effect, Monday effect

JEL Classification: G14, G20

Accepted Paper Series