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Macroeconomic announcements, volatility, and interrelationships: An examination of the UK interest rate and equity markets

  • Jones, Brad
  • Lin, Chien-Ting
  • Masih, A. Mansur M.

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File URL: http://www.sciencedirect.com/science/article/B6W4W-4DW8RHN-3/2/e8a8219bb21c5166a3dcc2740a2d5661
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Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 14 (2005)
Issue (Month): 3 ()
Pages: 356-375

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Handle: RePEc:eee:finana:v:14:y:2005:i:3:p:356-375
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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  1. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Research Paper 9706, Federal Reserve Bank of New York.
  2. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  3. David H. Cutler & James M. Poterba & Lawrence H. Summers, 1988. "What Moves Stock Prices?," Working papers 487, Massachusetts Institute of Technology (MIT), Department of Economics.
  4. Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-91, September.
  5. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  6. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  7. Becker, Kent G & Finnerty, Joseph E & Kopecky, Kenneth J, 1995. "Domestic macroeconomic news and foreign interest rates," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 763-783, December.
  8. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-53, December.
  9. Spencer Dale, 1993. "The effect of changes in official UK rates on market interest rates since 1987," Bank of England working papers 10, Bank of England.
  10. Douglas K. Pearce & V. Vance Roley, 1984. "Stock Prices and Economic News," NBER Working Papers 1296, National Bureau of Economic Research, Inc.
  11. Hardouvelis, Gikas A., 1987. "Macroeconomic information and stock prices," Journal of Economics and Business, Elsevier, vol. 39(2), pages 131-140, May.
  12. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
  13. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
  14. M A S Joyce & V Read, 1999. "Asset price reactions to RPI announcements," Bank of England working papers 94, Bank of England.
  15. Frank Campbell & Eleanor Lewis, 1998. "What Moves Yields in Australia?," RBA Research Discussion Papers rdp9808, Reserve Bank of Australia.
  16. 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.
  17. Schwert, G William, 1981. "The Adjustment of Stock Prices to Information about Inflation," Journal of Finance, American Finance Association, vol. 36(1), pages 15-29, March.
  18. Goodhart, Charles A E & Smith, Richard G, 1985. "The Impact of News on Financial Markets in the United Kingdom: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(4), pages 507-11, November.
  19. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
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