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Intraday Empirical Regularities in Interest Rate and Equity Index Futures Markets, and the Effect of Macroeconomic Announcements

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  • M. Buckle
  • O. Ap Gwilym
  • S.H. Thomas
  • M.S. Woodhams

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.

Suggested Citation

  • M. Buckle & O. Ap Gwilym & S.H. Thomas & M.S. Woodhams, 1998. "Intraday Empirical Regularities in Interest Rate and Equity Index Futures Markets, and the Effect of Macroeconomic Announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(7‐8), pages 921-944, September.
    • Handle: RePEc:bla:jbfnac:v:25:y:1998:i:7-8:p:921-944
    DOI: 10.1111/1468-5957.00219
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    Cited by:

    1. Henryk Gurgul & Robert Syrek, 2017. "Trading volume and volatility patterns across selected Central European stock markets from microstructural perspective," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(1), pages 87-102.
    2. Jones, Brad & Lin, Chien-Ting & Masih, A. Mansur M., 2005. "Macroeconomic announcements, volatility, and interrelationships: An examination of the UK interest rate and equity markets," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 356-375.
    3. Reinhold Heinlein & Gabriele M. Lepori, 2022. "Do financial markets respond to macroeconomic surprises? Evidence from the UK," Empirical Economics, Springer, vol. 62(5), pages 2329-2371, May.
    4. David McMillan & Alan Speight, 2002. "Return-volume dynamics in UK futures," Applied Financial Economics, Taylor & Francis Journals, vol. 12(10), pages 707-713.
    5. Nikkinen, Jussi & Omran, Mohammed & Sahlstrom, Petri & Aijo, Janne, 2006. "Global stock market reactions to scheduled U.S. macroeconomic news announcements," Global Finance Journal, Elsevier, vol. 17(1), pages 92-104, September.

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