Abstract

http://ssrn.com/abstract=1706172
 
 

References (29)



 


 



Liquidity and Information Flow Around Monetary Policy Announcements


Kee H. Chung


State University of New York at Buffalo - School of Management

John Elder


Colorado State University

Jang-Chul Kim


Northern Kentucky University - Haile/US Bank College of Business

July 28, 2012

Journal of Money, Credit and Banking, Forthcoming

Abstract:     
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.

Number of Pages in PDF File: 49

Keywords: Monetary Policy, Liquidity, Spread, Depth, Event Study, Market Efficiency

JEL Classification: G14, E52

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Date posted: November 9, 2010 ; Last revised: August 7, 2012

Suggested Citation

Chung, Kee H. and Elder, John and Kim, Jang-Chul, Liquidity and Information Flow Around Monetary Policy Announcements (July 28, 2012). Journal of Money, Credit and Banking, Forthcoming. Available at SSRN: http://ssrn.com/abstract=1706172 or http://dx.doi.org/10.2139/ssrn.1706172

Contact Information

Kee H. Chung (Contact Author)
State University of New York at Buffalo - School of Management ( email )
Buffalo, NY 14260
United States
716-645-3262 (Phone)
716-645-3823 (Fax)
HOME PAGE: http://mgt.buffalo.edu/home/faculty/academic/finance/faculty/keechung
John Elder
Colorado State University ( email )
Dept of Finance & Real Estate
1272 Campus Delivery
Fort Collins, CO 80523
United States
970-491-2952 (Phone)
HOME PAGE: http://lamar.colostate.edu/~jelder
Jang-Chul Kim
Northern Kentucky University - Haile/US Bank College of Business ( email )
Dept of Accounting, Finance, and Business Law
Highland Heights, KY 41099
United States
859-572-1486 (Phone)
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