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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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