Details about James M. Steeley

Access statistics for papers by James M. Steeley.

Last updated 2025-01-07. Update your information in the RePEc Author Service.

Short-id: pst205

Working Papers

1996

1. Exchange Controls, Macroeconomic Integration and the Interdependence of European Equity Markets
   Working Papers, Queen Mary University of London, School of Economics and Finance

Journal Articles

2024

1. Conflicting versus reinforcing private information, information aggregation, and the time series properties of asset prices
   Journal of Banking & Finance, 2024, 169, (C)

2019

2. Forecasting the volatility of the Australian dollar using high‐frequency data: Does estimator accuracy improve forecast evaluation?
   International Journal of Finance & Economics, 2019, 24, (3), 1355-1389 View citations (5)

2017

3. The effect of quantitative easing on the variance and covariance of the UK and US equity markets
   International Review of Financial Analysis, 2017, 52, (C), 281-291 View citations (10)
4. The effects of quantitative easing on the integration of UK capital markets
   The European Journal of Finance, 2017, 23, (11), 999-1024 View citations (2)

2016

5. Explaining turn of the year order flow imbalance
   International Review of Financial Analysis, 2016, 43, (C), 76-95
6. Motives for corporate cash holdings: the CEO optimism effect
   Review of Quantitative Finance and Accounting, 2016, 47, (3), 699-732 View citations (28)

2015

7. Earnings and hindsight bias: An experimental study
   Economics Letters, 2015, 134, (C), 130-132
8. The effects of non-trading on the illiquidity ratio
   Journal of Empirical Finance, 2015, 34, (C), 204-228 View citations (4)
9. The effects of quantitative easing on the volatility of the gilt-edged market
   International Review of Financial Analysis, 2015, 37, (C), 113-128 View citations (9)
10. The side effects of quantitative easing: Evidence from the UK bond market
    Journal of International Money and Finance, 2015, 51, (C), 303-336 View citations (19)
11. Trading Patterns and Market Integration in Overlapping Experimental Asset Markets
    Journal of Financial and Quantitative Analysis, 2015, 50, (6), 1473-1499 View citations (7)

2014

12. A shape-based decomposition of the yield adjustment term in the arbitrage-free Nelson and Siegel (AFNS) model of the yield curve
    Applied Financial Economics, 2014, 24, (10), 661-669
13. Forecasting the Term Structure when Short‐Term Rates are Near Zero
    Journal of Forecasting, 2014, 33, (5), 350-363 View citations (6)
14. Portfolio size, non-trading frequency and portfolio return autocorrelation
    Journal of International Financial Markets, Institutions and Money, 2014, 33, (C), 56-77 View citations (1)

2012

15. Price discovery for Chinese shares cross-listed in multiple markets
    Applied Financial Economics, 2012, 22, (19), 1587-1601 View citations (2)

2011

16. The effect of universal futures on opening and closing stock market price discovery
    Studies in Economics and Finance, 2011, 28, (4), 260-281

2008

17. Secondary market pricing behaviour around UK bond auctions
    Applied Financial Economics, 2008, 18, (9), 691-699 View citations (11)
18. Testing Term Structure Estimation Methods: Evidence from the UK STRIPS Market
    Journal of Money, Credit and Banking, 2008, 40, (7), 1489-1512 View citations (10)
    Also in Journal of Money, Credit and Banking, 2008, 40, (7), 1489-1512 (2008)

2006

19. Measuring and assessing the effects and extent of international bond market integration
    Journal of International Financial Markets, Institutions and Money, 2006, 16, (1), 1-3 View citations (6)
20. Volatility transmission between stock and bond markets
    Journal of International Financial Markets, Institutions and Money, 2006, 16, (1), 71-86 View citations (27)

2005

21. The leverage effect in the UK stock market
    Applied Financial Economics, 2005, 15, (6), 409-423 View citations (9)

2004

22. Estimating time-varying risk premia in UK long-term government bonds
    Applied Financial Economics, 2004, 14, (5), 367-373 View citations (5)
23. Information processing and the UK weekend effect: do investors cut their losses on Mondays?
    Applied Economics Letters, 2004, 11, (14), 895-899 View citations (1)
24. Stock Price Distributions and News: Evidence from Index Options
    Review of Quantitative Finance and Accounting, 2004, 23, (3), 229-250 View citations (8)

2003

25. Making political capital: the behaviour of the UK capital markets during Election'97
    Applied Financial Economics, 2003, 13, (2), 85-95 View citations (4)
26. On the Existence of Visual Technical Patterns in the UK Stock Market
    Journal of Business Finance & Accounting, 2003, 30, (1‐2), 263-293 View citations (7)

2001

27. A note on information seasonality and the disappearance of the weekend effect in the UK stock market
    Journal of Banking & Finance, 2001, 25, (10), 1941-1956 View citations (55)

2000

28. Portfolio diversification and filter rule profits
    Applied Economics Letters, 2000, 7, (3), 171-175 View citations (1)

1999

29. Changes in the Comovement of European Equity Markets
    Economic Inquiry, 1999, 37, (3), 473-88 View citations (11)

1998

30. Differences in Perstistence in Aggregated and Disaggregated UK Stock Returns: A Reconciliation
    Journal of Business Finance & Accounting, 1998, 25, (3‐4), 387-399
31. Exchange controls and European stock market integration
    Applied Economics, 1998, 30, (2), 263-267 View citations (9)

1997

32. A Two-Factor Model of the U.K. Yield Curve
    The Manchester School of Economic & Social Studies, 1997, 65, 32-58 View citations (5)
33. Implied volatility from the term structure: a simple analytical approximation
    Economics Letters, 1997, 57, (3), 345-352 View citations (1)
34. The Impact of Portfolio Diversification on Trading Rules Profits: Some Evidence for UK Share Portfolios
    Journal of Business Finance & Accounting, 1997, 24, (6), 759-779 View citations (2)
35. The implications of cointegration in financial markets: a comment
    Applied Economics Letters, 1997, 4, (3), 141-143

1996

36. Volatility transmission in the UK equity market
    The European Journal of Finance, 1996, 2, (2), 145-160
37. Volatility, Leverage and Firm Size: The U.K. Evidence
    The Manchester School of Economic & Social Studies, 1996, 64, 83-103 View citations (8)

1995

38. The use of spline functions for forecasting in the presence of structural changes: a cautionary tale
    Applied Economics Letters, 1995, 2, (10), 409-411