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dc.contributor.authorSmales, Lee
dc.date.accessioned2018-01-30T08:04:37Z
dc.date.available2018-01-30T08:04:37Z
dc.date.created2018-01-30T05:59:17Z
dc.date.issued2018
dc.identifier.citationSmales, L. 2018. Trading Behavior and Monetary Policy News. Journal of Behavioral Finance. 19 (4): pp. 365-380.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/61320
dc.identifier.doi10.1080/15427560.2018.1405007
dc.description.abstract

The author examines the patterns of trading behavior in the period surrounding monetary policy announcements. Utilizing a high-frequency dataset, with broker identifiers enabling classification of trades executed through institutional and retail brokers, the author investigates all trades submitted on the Australian Securities Exchange over the period of December 2007 to December 2014. The author identifies a rapid, asymmetric, price adjustment to the announcement, which is larger when the target rate decision results in lower-than-expected rates, and is accompanied by a sharp increase in market activity. Institutional brokers tend to execute trades more quickly following the announcement, and target more liquid large-cap stocks. Trades executed through institutional brokers appear to be more profitable, although profits are concentrated in buy trades. The evidence supports the notion that institutional investors have an advantage in processing the news resulting from target rate decisions.

dc.publisherRoutledge
dc.titleTrading Behavior and Monetary Policy News
dc.typeJournal Article
dcterms.source.startPage1
dcterms.source.endPage16
dcterms.source.issn1542-7560
dcterms.source.titleJournal of Behavioral Finance
curtin.departmentSchool of Economics and Finance
curtin.accessStatusFulltext not available


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