Date: 20 December 2024, Friday
\nTime: 13.30 \u2013 14.30
\nPlace: MA-330<\/p>\n
\u201cThe Fed and the Wall Street Put\u201d<\/p>\n
by
\nMete K\u0131l\u0131\u00e7
\nUniversity of Southern California<\/p>\n
Abstract
\nWe study the trading behavior of financial intermediaries around Federal Open Market Committee (FOMC) announcements in the S&P 500 options market using daily and high-frequency data. We find that proprietary trading firms are net sellers of options on FOMC days while all other investor categories are net buyers. The liquidity provision by these intermediaries is especially pronounced when monetary policy is more accommodative than expected and market interest rates fall. Strikingly, proprietary trading firms\u2019 morning trades predict monetary policy shocks later in the day and subsequent option price movements, suggesting that some financial institutions may have preferential access to the upcoming information release by the Fed. Our findings show that monetary policy not only boosts intermediaries\u2019 willingness to take on risk and provide liquidity through option trades but also gives them a trading edge due to their informational advantage.<\/p>\n
Bio
\nMete K\u0131l\u0131\u00e7 is an economist whose research areas are asset pricing, macro-finance, investor behavior, and risk factors in financial markets. He joined USC Marshall in 2017, after completing his PhD in Finance at the Wharton School. Mete\u2019s research has been published in leading outlets including Journal of Financial Economics, Journal of Finance, Review of Financial Studies, and Journal of Monetary Economics. Mete earned a BS in Industrial Engineering from the Karlsruhe Institute of Technology, and an MS in Money and Finance from the Goethe University Frankfurt.<\/p>\n","protected":false},"excerpt":{"rendered":"
Date: 20 December 2024, Friday Time: 13.30 \u2013 14.30 Place: MA-330 \u201cThe Fed and the Wall Street Put\u201d by Mete K\u0131l\u0131\u00e7 University of Southern California Abstract We study the trading behavior of financial intermediaries around Federal Open Market Committee (FOMC) announcements in the S&P 500 options market using daily and [\u2026] <\/p>\n