Investor Behavior and the Disposition Effect in Multi-Day Futures Trading

Abstract

Research on investor decision-making under conditions of risk and uncertainty has long remained a core concern within behavioral economics. Moving beyond the assumption of full rationality has deepened our understanding of financial behavior by emphasizing the role of cognitive and behavioral factors. This study examines investor responses to daily settlements associated with holding index futures overnight and, using more than 120,000 multiday transactions from the Warsaw Stock Exchange (WIG20 futures, 2011–2024), investigates how profit realization and loss avoidance patterns vary across different reference points, profit- loss ranges, and holding periods. The results indicate that investors are similarly reluctant to realize shrinking profits and shrinking losses, revealing a systematic pattern in their closing behavior. These findings contribute to a deeper understanding of behavioral regularities in multi-day futures trading.