The Response of Different Investor Types to Macroeconomic News

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Publication details

JournalJournal of Multinational Financial Management
DateAccepted/In press - 20 Feb 2019
DateE-pub ahead of print (current) - 20 Feb 2019
Number of pages16
Early online date20/02/19
Original languageEnglish


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.

Bibliographical note

© 2019 Elsevier B.V. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.

    Research areas

  • Foreign investors, Individual investors, Institutional investors, Macroeconomic announcements, Trading decisions

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