Australian Economic Papers, Vol. We find that liquidity impairment associated with informed trading occurs prior to the announcements but it disappears subsequent to the global financial crisis.

In addition, liquidity impairment appears to become more severe with insufficient experts' predictability and accuracy rather than with policy rate change itself and unscheduled announcements. Finally, the Federal Open Market Committee FOMC announcements, changes in the Volatility Index VIXand trading by foreign investors play a limited role in explaining stock market liquidity changes.

Overall, results indicate that central bank communication plays a significant role in reducing liquidity impairment by enhancing the predictability of policy actions, and therefore, mitigating information asymmetry. Lee, Jieun and Ryu, Doojin and Kutan, Ali M.

Department of Economics and Finance AH Edwardsville, IL United States Phone Fax. Subscribe to this fee journal for more curated articles on this topic. Subscribe to this free journal for more curated articles on this topic. If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity. Cookies are used by this site. To decline or learn more, visit our Cookies page.

This page was processed by apollo4 in 0. Your Account User Home Personal Info Affiliations Subscriptions My Papers My Briefcase Sign out. Using the URL or DOI link below will ensure access to this page indefinitely. Jieun Lee Bank of Korea; Bank of Korea - Economic Research Institute Doojin Ryu Sungkyunkwan University Ali M.

Common Determinants of Bond and Stock Market Liquidity: The Impact of Financial Crises, Monetary Policy, and Mutual Fund Flows - FEDERAL RESERVE BANK of NEW YORK

Kutan Southern Illinois University at Edwardsville. Jieun Lee Contact Author Bank of Korea email 3-Ga Namdaemunno Jung-Gu SeoulKorea Republic of South Korea Phone. Bank of put option risk free rate - Economic Research Institute email 3-Ga Namdaemunno Jung-Gu Seoul Korea Republic of South Korea.

Doojin Ryu Sungkyunkwan Monetary policy stock market liquidity email 53 Myeongnyun-dong 3-ga Jongno-ju Guro-gu Seoul, Korea, Republic of South Korea. Kutan Southern Illinois University at Edwardsville email Department of Economics and Finance AH Edwardsville, IL United States Phone Fax HOME Zakat on stock options Related eJournals Capital Markets: Market Efficiency eJournal Follow.

Monetary Policy Announcements, Communication, and Stock Market Liquidity - Lee - - Australian Economic Papers - Wiley Online Library

Market Efficiency eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS. Market Microstructure eJournal Follow.

Market Microstructure eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS. Australian Economic Papers Follow.

Does monetary policy determine stock market liquidity? New evidence from the euro zone

Australian Economic Papers Subscribe to this free journal for more curated articles on this topic FOLLOWERS. Stulz at Ohio State University OSU - Department of Finance, G.

William Schwert at University of Rochester - Simon Business School. Monetary Policy eJournal Follow. Monetary Policy eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS.

Eastern, Monday - Friday. Monetary Policy Announcements, Communication, and Stock Market Liquidity. Submit a Paper Section Text Only Pages.

Quick Links Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up. Rankings Top Papers Top Authors Top Organizations. About SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs. Copyright Terms and Conditions Privacy Policy.