Ikizlerli, D, Holmes, P orcid.org/0000-0002-7812-341X and Anderson, K (2019) The response of different investor types to macroeconomic news. Journal of Multinational Financial Management, 50. pp. 13-28. ISSN 1042-444X
Abstract
We provide the first investigation of foreign, local institutional and local individual investors’ trading responses to global, regional and local macroeconomic surprises using daily buy-sell volumes for Korea, taking account of endogeneity. Investor types respond differently to different shocks and differentially to the same news. Responses also differ across market states. However, behavior is more complex than previously recognized. Local individuals’ (institutions’) responses to local news suggest they are contrarian (momentum) traders with respect to expected policy responses, rather than the raw shocks themselves. The importance of investor type to understanding the impact of macroeconomic news on behavior is highlighted.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2019 Published by Elsevier B.V. This is an author produced version of a paper published in Journal of Multinational Financial Management. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Foreign investors; institutional investors; individual investors; macroeconomic announcements; trading decisions |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 21 Feb 2019 13:44 |
Last Modified: | 20 Feb 2021 01:38 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.mulfin.2019.02.005 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:142809 |