An analysis of institutional trading activities around Quantitative Easing policy release

• Main Author: Zhou, Cong
• Format: Others
• Published: 2013
• Online Access: http://spectrum.library.concordia.ca/977094/4/Zhou_MSc_S2013.pdf; Zhou, Cong <http://spectrum.library.concordia.ca/view/creators/Zhou=3ACong=3A=3A.html> (2013) An analysis of institutional trading activities around Quantitative Easing policy release. Masters thesis, Concordia University.

This paper explores the trading behavior of institutional traders vis-à-vis the rest of the market in the US, around the Quantitative Easing announcements (also known as QE1, QE2). The objective is to identify if institutional traders display any advantage over the rest of the market, through their trading behavior around highly publicized news events. While better information in the form of access to non-public information is unlikely in this case, institutional traders could generate private benefits through superior ability to process public news releases. This could potentially allow them to better time the market around the actual event.