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

Record type: Article

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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Citation

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), pp. 921-944. (doi:10.1111/1468-5957.00219).

More information

Published date: 1998

Identifiers

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: 17 Jul 2017 15:42

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Contributors

Author: M. Buckle
Author: O. ap Gwilym
Author: S.H. Thomas
Author: M.S. Woodhams

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