Ikizlerli, Deniz, Holmes, Phil and Anderson, Keith Philip orcid.org/0000-0002-6557-422X (2019) The Response of Different Investor Types to Macroeconomic News. Journal of Multinational Financial Management.
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 Elsevier B.V. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. |
Keywords: | Foreign investors,Individual investors,Institutional investors,Macroeconomic announcements,Trading decisions |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > The York Management School |
Depositing User: | Pure (York) |
Date Deposited: | 29 Mar 2019 09:00 |
Last Modified: | 21 Jan 2025 17:38 |
Published Version: | https://doi.org/10.1016/j.mulfin.2019.02.005 |
Status: | Published online |
Refereed: | Yes |
Identification Number: | 10.1016/j.mulfin.2019.02.005 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:144248 |
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