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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

    (Professor of Financial Markets, School of Management, University of Southampton, Highfield, Southampton SO17 1BJ, UK.,)

  • 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. Copyright Blackwell Publishers Ltd 1998.

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.
  • Handle: RePEc:bla:jbfnac:v:25:y:1998-09:i:7&8:p:921-944
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    References listed on IDEAS

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    1. repec:agh:journl:v:18:y:2017:i:1:p:87-102 is not listed on IDEAS
    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. Canto, Bea & Kräussl, Roman, 2006. "Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets," CFS Working Paper Series 2006/25, Center for Financial Studies (CFS).

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