Foreign institutions and the behavior of liquidity following macroeconomic announcements

Doojin Ryu, Robert I. Webb, Jinyoung Yu*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

7 Citations (Scopus)

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.

Original languageEnglish
Article number103239
JournalFinance Research Letters
Volume50
DOIs
Publication statusPublished - Dec 2022
Externally publishedYes

Keywords

  • Bid-ask spread
  • Foreign institution
  • Macroeconomic announcement
  • Market liquidity

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