Foreign institutions and the behavior of liquidity following macroeconomic announcements

Doojin Ryu, Robert I. Webb and Jinyoung Yu

Finance Research Letters, 2022, vol. 50, issue C

Abstract: This study uses a transaction-level dataset from the index futures market to investigate whether changes in the active participation ratio of foreign institutions explain the behavior of market liquidity following scheduled macroeconomic announcements. This ratio is positively associated with the bid-ask spread in general, but its marginal effect diminishes as the ratio increases. Announcement impacts vanish after controlling for the active participation of foreign investors.

Keywords: Bid-ask spread; Foreign institution; Macroeconomic announcement; Market liquidity (search for similar items in EconPapers)
JEL-codes: G11 G12 G20 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004391

DOI: 10.1016/j.frl.2022.103239

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