Macroeconomic announcements, volatility and interrelationships : An examination of the UK bond and stock markets
Edith Cowan University
Place of Publication
Joondalup, Western Australia
School of Finance and Business Economics
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.
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.