Publication:
Macroeconomic announcements, volatility, and interrelationships: an examination of the UK interest rate and equity markets
| DC Field | Value | |
|---|---|---|
| dc.contributor.author | Jones, Brad | |
| dc.contributor.author | Chien-Ting, Lin | |
| dc.contributor.author | Mohammed Masih, Abul Mansur | |
| dc.date.accessioned | 2018-10-11T01:50:14Z | |
| dc.date.available | 2018-10-11T01:50:14Z | |
| dc.date.issued | 2004 | |
| dc.description.abstract | This study investigates the intraday and daily pricing behavior of UK interest rate and equity index futures contracts. The paper initially examines the response of Short Sterling, Long Gilt, and FTSE100 to the release of scheduled macroeconomic announcements before employing dynamic time series techniques in order to reveal the nature of causal transmission patterns between these variables. In brief, short-term interest rates were found to be highly sensitive to indicators of prevailing economic conditions. However, the release of data important in the formation of inflationary expectations had a relatively subdued impact on long-term rates. Announcement effects appear somewhat ambiguous for the stock market. The analysis also reveals the bid ask bounce and swift mean reversion in volatility to be important behavioral features of the return-generating process. Whilst the three variables appear to be bound by two cointegrating relationships, the tests for lead/lag relationships produce mixed results. | en_US |
| dc.identifier.citation | Jones, Brad, Chien-Ting, Lin & Mohammed Masih, Abul Mansur. (2004). Macroeconomic announcements, volatility, and interrelationships: an examination of the UK interest rate and equity markets. International Review of Financial Analysis, 14, pp. 356-375. | en_US |
| dc.identifier.doi | doi:10.1016/j.irfa.2004.10.001 | |
| dc.identifier.issn | 1057-5219 | |
| dc.identifier.uri | https://ikr.inceif.edu.my/handle/INCEIF/2960 | |
| dc.language | English | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier Inc. | en_US |
| dc.rights | 2004. Elsevier Inc. | |
| dc.source | SEDONA | |
| dc.subject | Announcement | en_US |
| dc.subject | Volatility | en_US |
| dc.subject | Cointegration | en_US |
| dc.title | Macroeconomic announcements, volatility, and interrelationships: an examination of the UK interest rate and equity markets | en_US |
| dc.type | Journal Article | en_US |
| dlc.maintopic | Islamic economics | en_US |
| dspace.entity.type | Publication | |
| ikr.doctype | Scholarly Works | |
| ikr.topic.maintopic | Islamic economics | en_US |
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