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The response of different investor types to macroeconomic news


  • Ikizlerli, Deniz
  • Holmes, Phil
  • Anderson, Keith


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.

Suggested Citation

  • Ikizlerli, Deniz & Holmes, Phil & Anderson, Keith, 2019. "The response of different investor types to macroeconomic news," Journal of Multinational Financial Management, Elsevier, vol. 50(C), pages 13-28.
  • Handle: RePEc:eee:mulfin:v:50:y:2019:i:c:p:13-28
    DOI: 10.1016/j.mulfin.2019.02.005

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    More about this item


    Foreign investors; Institutional investors; Individual investors; Macroeconomic announcements; Trading decisions;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading


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