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- W2314806687 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." @default.
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- W2314806687 date "2013-07-11" @default.
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- W2314806687 title "Liquidity and Information Flow around Monetary Policy Announcement" @default.
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- W2314806687 doi "https://doi.org/10.1111/jmcb.12025" @default.
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