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Macroeconomic Announcements, Volatility And Interrelationships: An Examination Of The Uk Bond And Stock Markets, Bradley Jones
Macroeconomic Announcements, Volatility And Interrelationships: An Examination Of The Uk Bond And Stock Markets, Bradley Jones
Theses : Honours
This study covers considerable ground and touches on a range of issues in a rigorous investigation of the intraday and end-of-day behaviour of I JK stock index and interest rate futures contracts. Firstly, the paper uses S-minute data in an initial examination of the response of the Short Sterling, Long Gilt and FTSEI00 to the release of macroeconomic announcements (assisted with the application of GMM). Secondly, in an analysis of intraday patterns in returns and volatility a GARCII(I,I) framework is employed, so that further inferences are made robust to time-varying variance. Finally, the paper draws upon some of the latest …