The opposite disposition effect: Evidence from the Korean stock index futures market

This paper examines the trading behavior of investors with respect to prospect theory from an intraday analysis. Using a unique data set of all trades on the Korean stock index futures market, we find that investors are more likely to hold losers longer than winners under a critical point, but to hold winners longer than losers over the critical point. Our finding suggests that the disposition effect under a critical point and the opposite of the disposition effect over the critical point play an important role in liquidation decisions.