Macroeconomic announcements, volatility and interrelationships : An examination of the UK bond and stock markets

Authors

Bradley Jones
A. Mansur M. Masih, Edith Cowan UniversityFollow
Chien-Ting Lin, Edith Cowan University

Document Type

Other

Publisher

Edith Cowan University

Place of Publication

Joondalup, Western Australia

School

School of Finance and Business Economics

Comments

Jones, B., Masih, A.M., & Lin, C. (2001). Macroeconomic announcements, volatility and interrelationships : an examination of the UK bond and stock markets. Joondalup, Australia: Edith Cowan University.

Abstract

This study investigates the intraday and end-of-day behaviour of UK stock index and interest rate futures contracts. We use 5-minute data to pinpoint the response of the Short Sterling, Long Gilt and FTSE100 to the release of macroeconomic announcements while controlling for time-varying variance. We find that investors and analysts react differently to different items of news released. Such evidence suggests that the announcements have different information content and is consistent with the response to news in the interest rate and stock markets.