Investor behavior around monetary policy announcements: Evidence from the Korean stock market
- Authors
- Park, Keun Woo; Hong, Dahae; Oh, Ji Yeol Jimmy
- Issue Date
- Mar-2019
- Publisher
- ACADEMIC PRESS INC ELSEVIER SCIENCE
- Keywords
- Central bank; Trading behavior; FOMC announcement; Institutional investors; Announcement returns
- Citation
- FINANCE RESEARCH LETTERS, v.28, pp.355 - 362
- Indexed
- SSCI
SCOPUS
- Journal Title
- FINANCE RESEARCH LETTERS
- Volume
- 28
- Start Page
- 355
- End Page
- 362
- URI
- https://scholarworks.bwise.kr/hanyang/handle/2021.sw.hanyang/14374
- DOI
- 10.1016/j.frl.2018.06.008
- ISSN
- 1544-6123
- 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.
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