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Details about James M. Steeley

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Workplace:Department of Economics and Finance, Brunel University, (more information at EDIRC)

Access statistics for papers by James M. Steeley.

Last updated 2021-09-08. Update your information in the RePEc Author Service.

Short-id: pst205


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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 Downloads

Journal Articles

2019

  1. 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 Downloads View citations (2)

2017

  1. 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 Downloads View citations (2)
  2. The effects of quantitative easing on the integration of UK capital markets
    The European Journal of Finance, 2017, 23, (11), 999-1024 Downloads View citations (2)

2016

  1. Explaining turn of the year order flow imbalance
    International Review of Financial Analysis, 2016, 43, (C), 76-95 Downloads
  2. Motives for corporate cash holdings: the CEO optimism effect
    Review of Quantitative Finance and Accounting, 2016, 47, (3), 699-732 Downloads View citations (14)

2015

  1. Earnings and hindsight bias: An experimental study
    Economics Letters, 2015, 134, (C), 130-132 Downloads
  2. The effects of non-trading on the illiquidity ratio
    Journal of Empirical Finance, 2015, 34, (C), 204-228 Downloads View citations (3)
  3. The effects of quantitative easing on the volatility of the gilt-edged market
    International Review of Financial Analysis, 2015, 37, (C), 113-128 Downloads View citations (4)
  4. The side effects of quantitative easing: Evidence from the UK bond market
    Journal of International Money and Finance, 2015, 51, (C), 303-336 Downloads View citations (13)
  5. Trading Patterns and Market Integration in Overlapping Experimental Asset Markets
    Journal of Financial and Quantitative Analysis, 2015, 50, (6), 1473-1499 Downloads View citations (4)

2014

  1. 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 Downloads
  2. Forecasting the Term Structure when Short‐Term Rates are Near Zero
    Journal of Forecasting, 2014, 33, (5), 350-363 Downloads View citations (4)
  3. Portfolio size, non-trading frequency and portfolio return autocorrelation
    Journal of International Financial Markets, Institutions and Money, 2014, 33, (C), 56-77 Downloads View citations (1)

2012

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

2011

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

2008

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

2006

  1. 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 Downloads View citations (4)
  2. Volatility transmission between stock and bond markets
    Journal of International Financial Markets, Institutions and Money, 2006, 16, (1), 71-86 Downloads View citations (21)

2005

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

2004

  1. Estimating time-varying risk premia in UK long-term government bonds
    Applied Financial Economics, 2004, 14, (5), 367-373 Downloads View citations (5)
  2. Information processing and the UK weekend effect: do investors cut their losses on Mondays?
    Applied Economics Letters, 2004, 11, (14), 895-899 Downloads View citations (1)
  3. Stock Price Distributions and News: Evidence from Index Options
    Review of Quantitative Finance and Accounting, 2004, 23, (3), 229-250 Downloads View citations (4)

2003

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

2001

  1. 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 Downloads View citations (49)

2000

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

1999

  1. Changes in the Comovement of European Equity Markets
    Economic Inquiry, 1999, 37, (3), 473-88 View citations (9)

1998

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

1997

  1. A Two-Factor Model of the U.K. Yield Curve
    The Manchester School of Economic & Social Studies, 1997, 65, 32-58 View citations (5)
  2. Implied volatility from the term structure: a simple analytical approximation
    Economics Letters, 1997, 57, (3), 345-352 Downloads View citations (1)
  3. 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 Downloads View citations (1)
  4. The implications of cointegration in financial markets: a comment
    Applied Economics Letters, 1997, 4, (3), 141-143 Downloads

1996

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

1995

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