Investor behavior around monetary policy announcements: Evidence from the Korean stock market
- Title
- Investor behavior around monetary policy announcements: Evidence from the Korean stock market
- Author
- 오지열
- Keywords
- Central bank; Trading behavior; FOMC announcement; Institutional investors; Announcement returns
- Issue Date
- 2019-03
- Publisher
- ACADEMIC PRESS INC ELSEVIER SCIENCE
- Citation
- FINANCE RESEARCH LETTERS, v. 28, Page. 355-362
- Abstract
- Using the Korean stock market data between 2000 and 2017, this paper examines the order imbalances of different investors around monetary policy announcements. In line with the temporary reallocation of risk hypothesis, individual investors sell significantly on the day before the U.S. Federal Open Market Committee (FOMC) interest rate announcements, while the proprietary accounts of domestic institutions correspondingly take a long position. On the announcement day, foreign investors engage in substantial buying. Our main finding, particularly with regards to institutional investors' proprietary accounts, appears to be consistent with temporary reallocation of risk between investors rather than being informationally motivated.
- URI
- https://www.sciencedirect.com/science/article/pii/S1544612318300734?via%3Dihubhttps://repository.hanyang.ac.kr/handle/20.500.11754/110448
- ISSN
- 1544-6123; 1544-6131
- DOI
- 10.1016/j.frl.2018.06.008
- Appears in Collections:
- GRADUATE SCHOOL OF BUSINESS[S](경영전문대학원) > ETC
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