Activity: Talk or presentation › Presentation at conference/workshop/seminar
Description
The presented paper reveals the microstructural liquidity dynamics around scheduled macroeconomic announcements by analyzing a novel transaction-level dataset. Specifically, we examine whether investor composition contributes to liquidity fluctuations in a highly liquid and purely order-driven index futures market. We find that increased participation by foreign institutions before scheduled macroeconomic announcements impairs market liquidity, implying pre-announcement information asymmetry or leakages. Foreigners’ trading activities consume the spread and increase adverse selection costs for domestic institutions that provide liquidity in response to the influx of foreign institutional orders. Domestic individuals are largely noise traders. Our findings are particularly pronounced around monetary policy-relevant announcements. Finance Research Seminars 2022 at Auckland University of Technology is a n online seminar held by Auckland Centre for Financial Research at Auckland University of Technology (Auckland, New Zealand).