Investor behavior around monetary policy announcements: Evidence from the Korean stock market
Keun Woo Park,
Dahae Hong and
Ji Yeol Jimmy Oh
Finance Research Letters, 2019, vol. 28, issue C, 355-362
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.
Keywords: Central bank; Trading behavior; FOMC announcement; Institutional investors; Announcement returns (search for similar items in EconPapers)
JEL-codes: E52 E58 G14 G23 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:28:y:2019:i:c:p:355-362
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