Intraday Empirical Regularities in interest rate and equity index futures markets and the effect of macroeconomics announcements


Buckle, M., ap Gwilym, O., Thomas, S.H. and Woodhams, M.S. (1998) Intraday Empirical Regularities in interest rate and equity index futures markets and the effect of macroeconomics announcements. Journal of Business Finance and Accounting, 25, (7-8), 921-944. (doi:10.1111/1468-5957.00219).

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Original Publication URL: http://dx.doi.org/10.1111/1468-5957.00219

Description/Abstract

This paper focuses on the intraday behaviour of returns, volatility, volume and price reversals for the Short Sterling interest rate and FTSE100 stock index futures contracts traded on the London International Financial Futures and Options Exchange (LIFFE). It also examines the effect of scheduled macroeconomic announcements and interest rate changes on the intraday behaviour of the variables of interest. We find clear differences and similarities with US studies and between the interest rate and equity contracts, which have important theoretical implications. This new evidence helps discriminate between the theories seeking to explain these intraday patterns.

Item Type: Article
ISSNs: 0306-686X (print)
Related URLs:
Subjects: H Social Sciences > HG Finance
Divisions: University Structure - Pre August 2011 > School of Management
ePrint ID: 37364
Date Deposited: 23 Apr 2007
Last Modified: 27 Mar 2014 18:23
URI: http://eprints.soton.ac.uk/id/eprint/37364

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