Activity: Talk or presentation › Presentation at conference/workshop/seminar
Description
The presented paper examines whether investor composition contributes to shaping market liquidity around scheduled central bank communications. By analyzing transaction-level data, our difference-in-differences analyses reveal that domestic and foreign institutional investors’ roles switch following the news announcements. The participation of domestic (foreign) institutions is negatively (positively) associated with liquidity provision shortly after the announcements, whereas they are liquidity providers (consumers) in general. Domestic individuals remain largely noisy. Our overall results imply that institutional investors’ information depends on news announcements and support the existence of adverse selection costs. 2022 Korea-America Economic Association Job Market Conference is an online conference hosted by Korea-America Economic Association.
Period
4 Nov 2022
Event title
2022 Korea-America Economic Association Job Market Conference