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Professor Jim Steeley

Finance Group

Jim Steeley

I graduated from the University of Reading with a B.A. (First Class Hons.) in Economics and Econometrics; and completed a Ph.D. in Economics at the University of Warwick.  Prior to joining Aston University, I have held posts at Keele University, Washington University in St. Louis, the Bank of England, University of Wales, Cardiff, and Stirling University.

Role: Professor of Finance 
Phone: +44(0)121 204 3248
Email: j.m.steeley@aston.ac.uk
Room: ABS412

  • Ph D, University of Warwick, Subject: Economics
  • BA, University of Reading, Subject: Economics and Econometrics

Academic

  • Professor of Finance, Aston Business School.
  • Professor of Finance, University of Stirling.
  • Senior Research Fellow, Cardiff Business School.
  • Financial Research Manager, Bank of England.
  • Lecturer, Keele University.

I teach on the MSc in Finance and Investments (Finance Theory) and the BA in Finance (Financial Economics).

My research is in the area of investments. I have worked mainly on the estimation and dynamic modelling of the UK term structure of interest rates, but I have also published papers on portfolio theory, stock market volatility, equity market integration, stock market seasonality, futures pricing and implied density functions from options.  Also, I have research interests in experimental economics and financial market microstructure. I am the Co-Editor of the International Journal of Behavioural Accounting and Finance and on the Editorial Board of Studies in Economics and Finance.

  • Investments, particularly empirical behaviour of bond and equity markets

  • Estimation and modelling interest rate term structures

  • Quantitative easing

  • Pricing efficiency impact of structural developments in financial markets

  • Experimental asset markets

  • Market microstructure and market liquidity

  • Member, Academic Affiliate, Chartered Institute of Securities and Investment.

  • Member, American Finance Association.

  • Member, Committee of the Conference of Professors of Accounting and Finance.

  • Member, Financial Management Association.

  • Member, Royal Economic Society.

  • Member, Society for Financial Studies.

Refereed Journal Articles

  • Steeley, J.,"The Side-Effects of Quantitative Easing: Evidence from the UK Bond Market", Journal of International Money and Finance, forthcoming 2015.

  • Steeley, J., "The Effects of Quantitative Easing on the Volatility of the Gilt-Edged Market", International Review of Financial Analysis, forthcoming 2015, with A. Matyushkin.

  • Steeley,J,. P. Adams, P. Chelley-Steeley and B. Kluger., "Trading patterns and market integration in overlapping experimental asset markets", Journal of Financial and Quantitative Analysis, forthcoming 2015,

  • Steeley, J., P. Chelley-Steeley. "Portfolio size, non-trading frequency and portfolio return autocorrelation", Journal of International Financial Markets, Institutions and Money, 33, November 2014, 56-77.

  • Steeley,, J., "Forecasting the term structure of UK government bond yields when short term interest rates are near the zero lower bound", Journal of Forecasting, 33(5), August 2014, 350-363.

  • Steeley, J., "A shape-based decomposition of the yield adjustment term in the arbitrage free Nelson Siegel model of the yield curve",Applied Financial Economics, 24(10), May 2014, 661-669.

  • Steeley, J., Chelley-Steeley, P. (2012). Price discovery in Chinese cross listed shares in multiple markets. Applied Financial Economics.

  • Steeley, J., Chelley-Steeley, P. (2011). The effect of universal futures on opening and closing stock market price discovery. Studies in Economics and Finance.

  • Steeley, J., Li, Y. (2010). Sticky Credit Spreads.  Macroeconomic activity and equity market volatility. Journal of Current Issues in Finance, Banking and Economics, 3(2), 1-34.

  • Steeley, J., Chelley-Steeley, P. (2009). Measuring and modelling the influence of investor behaviour on investment decision making. International Journal of Behavioural Accounting and Finance, 1(2), 91-94.

  • Ahmad, F., Steeley, J. (2008). Secondary market pricing behaviour around UK bond auctions. Applied Financial Economics, 18(9), 691-699.

  • Steeley, J. (2008). Testing term structure estimation methods: Evidence from the UK STRIPs market. Journal of Money, Credit and Banking, 40(7), 635-646.

  • Lucey, B., Steeley, J. (2006). Measuring and assessing the effects and extent of international bond market integration. Journal of International Financial Markets, Institutions and Money, 16(1), 1-3.

  • Steeley, J. (2006). Volatility transmission between stock and bond markets. Journal of International Financial Markets, Institutions and Money, 16, 71-86.

  • Steeley, J., Chelley-Steeley, P. (2005). The leverage effect in the UK stock market. Applied Financial Economics, 15, 409-423.

  • Steeley, J. (2004). Estimating time-varying risk premia in UK long-term government bonds. Applied Financial Economics, 14, 367-373.

  • Steeley, J. (2004). Information processing and UK weekend effect: Do investors cut their losses on Mondays?. Applied Economics Letters, 11, 895-899.

  • Steeley, J. (2004). Stock price distributions and news: Evidence from index options. Review of Quantitative Finance and Accounting, 23(3), 229-250.

  • Steeley, J. (2003). Making political capital: The behaviour of UK financial markets during Election 97. Applied Financial Economics, 13(2), 85-95.

  • Steeley, J., Dawson, E. (2003). On the existence of visual technical patterns in the UK stock market. Journal of Business Finance and Accounting, 30(01-Feb), 263-293.

  • Steeley, J., Ahmad, F. (2002). The effects of safe haven status on the gilt-edged market. Journal of Bond Trading and Management, 1(2), 120-148.

  • Steeley, J. (2001). A note on information seasonality and the disappearance of the weekend effect in the UK stock market. Journal of Banking & Finance, 32(10), 2248-2253.

  • Steeley, J., Chelley-Steeley, P. (2000). Portfolio diversification and filter rule profits. Applied Economics Letters, 7, 171-175.

  • Chelley-Steeley, P., Steeley, J. (1999). Macroeconomic integration, exchange controls and the interdependence of European equity markets. Economic Inquiry, 39(2), 298-306.

  • Steeley, J. (1998). Persistence in aggregated and disaggregated UK stock returns: a reconciliation. Journal of Business Finance and Accounting, 25, 387-399.

  • Steeley, J., Chelley-Steeley, P., Pentecost, E. J. (1998). Exchange controls and European stock market integration. Applied Economics, 30, 263-267.

  • Steeley, J. (1997). Implied volatility from the term structure: A simple analytical approximation. Economics Letters, 57, 345-352.

  • Steeley, J., Chelley-Steeley, P. (1997). The impact of portfolio diversification on trading rule profits.  Some evidence for UK share portfolios. Journal of Business Finance and Accounting, 24, 759-780.

  • Steeley, J. (1997). The implications of coitntegration in financial markets: A comment. Applied Economics Letters, 4, 141-143.

  • Steeley, J. (1997). The nature and implications of serial diversification. Advances in Investment Analysis and Portfolio Management,4, 115-154.

  • Steeley, J., Chelley-Steeley, P. (1996). Volatility transmission in the UK stock market. European Journal of Finance, 2, 145-160.

  • Steeley, J., Chelley-Steeley, P. (1996). Volatility, leverage and firm size: The UK evidence. Manchester School, 44, 83-104.

  • Steeley, J., Chelley-Steeley, P. (1995). Conditional volatility and firm size. Applied Financial Economics, 5, 433-440.

  • Steeley, J. (1995). The use of spline functions for forecasting in the presence of structural changes: A cautionary tale. Applied Economics Letters, 2, 409-411.

  • Steeley, J. (1995). The nature and implications of serial diversification. Journal of Finance, 50, 1002-1003.

  • Steeley, J. (1992). Deregulation and market efficiency: Evidence from the gilt-edged market. Applied Financial Economics, 2, 125-143.

  • Steeley, J. (1991). Estimating the gilt-edged term structure: basis splines and confidence intervals. Journal of Business Finance and Accounting, 18, 513-529.

  • Steeley, J. (1990). Modelling the dynamics of the term structure of interest rates. Economic and Social Review, 21(4), 337-362.

Book Chapters

  • Steeley, J., "Yield curve dimensionaliy when interest rates are near the zero lower bound", inDevelopments in Macro-Finance Yield Curve Modelling,Ed. Chadha, J., A. Durre, M.Joyce and L. Sarno, Cambridge University Press, 2014 (ISBN 978-1-10704-455-5).

  • Steeley, J. (2013). Yield curve dimensionality when interest rates are near the zero lower bound. New Developers in Macro-Finance Yield Curve Modelling. Cambridge: Cambridge University Press.

  • Steeley, J., Li, Y. (2009). Sticky Credit Spreads.  Macroeconomic activity and equity market volatility. Finance and Banking Developments. New York: Nova Publishers.

Presentations Given

  • Steeley, J., Southern Finance Association, "The Side-Effects of Quantative Easing: Evidence from the UK Bond Market", Key West, USA (November 2014). 
  • Steeley, J., Money, Macroeconomics and Finance Research Group, "The Side-Effects of Quantative Easing: Evidence from the UK Bond Market", Durham, (September 2014).
  • Steeley, J., Chelley-Steeley, P., Lambertides, N., British Accounting and Finance Association, "Order flow imbalances at the turn of the year", London, (April 2014).
  • Steeley, J., Chelley-Steeley, P., Kluger, B., Royal Economic Society Conference, "Victory Disease and Hindsight Bias: An Experimental Study." (2014)
  • Huang-Meier, W., Lambertides, N., Steeley, J., Academy of Behavioral Finance and Economics Conference, "Cash Hoarding and CEO Optimism," Chicago, USA. (September 17, 2013 - September 23, 2013)
  • Steeley, J., Chelley-Steeley, P., Kluger, B., INFINITI Conference, "“Trading patterns and market integration in overlapping experimental asset markets”," Dublin, Ireland. (June 2012)
  • Steeley, J., Financial Management Association Conference, "The future of the finance masters," Denver, USA. (October 2011)

Administrative Roles and Responsibilities

  • Head of Group, School. (April 2008 - December 2013)
  • MSc Course Director Finance & Investment, School. (September 2011 - August 2012)
  • MSc Course Director Finance & Investment, School. (September 2007 - August 2008)

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