Liquidity and Information Flow around Monetary Policy Announcement

Autor: Jang-Chul Kim, John Elder, Kee H. Chung
Rok vydání: 2013
Předmět:
Zdroj: Journal of Money, Credit and Banking. 45:781-820
ISSN: 0022-2879
DOI: 10.1111/jmcb.12025
Popis: We analyze the effects of monetary policy announcements on stock market liquidity using intraday data. We show that the impairment in liquidity associated with policy announcements occurs primarily after, rather than before, the announcements, and is relatively short lived, lasting about 1.5 hours. Liquidity impairment varies proportionately with the information content of the policy announcement, with larger effects associated with unscheduled announcements and scheduled announcements with larger policy surprises. Overall, our results suggest that informed traders have an information processing advantage over uninformed participants rather than access to private information.
Databáze: OpenAIRE
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