Intraday Empirical Regularities in interest rate and equity index futures markets and the effect of macroeconomics announcements
Intraday Empirical Regularities in interest rate and equity index futures markets and the effect of macroeconomics announcements
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.
921-944
Buckle, M.
37713670-9fb3-4f9d-9747-794f332cf9e9
ap Gwilym, O.
dcad2393-1a8b-4088-8508-cdf45e40816d
Thomas, S.H.
51ff3b62-89ae-4190-8a9e-ed4a76c8297c
Woodhams, M.S.
52c3a054-dc1d-4e86-8241-e64beb5a8fff
1998
Buckle, M.
37713670-9fb3-4f9d-9747-794f332cf9e9
ap Gwilym, O.
dcad2393-1a8b-4088-8508-cdf45e40816d
Thomas, S.H.
51ff3b62-89ae-4190-8a9e-ed4a76c8297c
Woodhams, M.S.
52c3a054-dc1d-4e86-8241-e64beb5a8fff
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 & Accounting, 25 (7-8), .
(doi:10.1111/1468-5957.00219).
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.
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Published date: 1998
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Local EPrints ID: 37364
URI: http://eprints.soton.ac.uk/id/eprint/37364
ISSN: 0306-686X
PURE UUID: 54875ef4-029d-42c6-b5ea-05608eda767d
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Date deposited: 23 Apr 2007
Last modified: 15 Mar 2024 07:58
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Author:
M. Buckle
Author:
O. ap Gwilym
Author:
S.H. Thomas
Author:
M.S. Woodhams
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