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Professor Jim Steeley

Jim Steeley

Professor of Finance / Head of Group

Finance and Accounting Group

I graduated from the University of Reading in 1985, B.A. (First Class Hons.) in Economics and Econometrics; and completed a Ph.D. at the University of Warwick in 1989. I was Lecturer in Finance and Financial Markets at Keele University, in 1989-90 and 1992-1995; Assistant Professor of Finance at Washington University in St. Louis, USA, 1990-1992; Finance Research Manager at the Bank of England, 1995-97; Senior Research Fellow in Financial Economics at University of Wales, Cardiff, 1997-99; and Professor of Finance at Stirling University from 1999 to 2002. I joined Aston Business School in January 2003.

Research

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.My current research interests are 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 the Journal of Bond Trading and Management, and Studies in Economics and Finance.

Representative publications

Bond Markets: Term Structure Modelling

  • Steeley, J.M., "Time varying risk premia in the gilt-edged market", Applied Financial Economics, 2004.
  • Steeley, J.M., "Implied volatility from the term structure: A simple analytical approximation", Economics Letters, 1997.
  • Steeley, J.M., "A two-factor model of the UK yield curve", The Manchester School, 1997.
  • Steeley, J.M., "Some Developments in Measuring and Modelling the Term Structure of Interest Rates" in Options: Recent Advances in Theory and Practice Volume 2, Stewart Hodges (Ed), (Manchester University Press), 1992.
  • Steeley, J.M., "Modelling the Dynamics of the Term Structure of Interest Rates", Economic and Social Review - Symposium on Finance, 1990.

Bond Markets: Term Structure Estimation

Bond Markets: Efficiency

  • Steeley, J.M., and F. Ahmad, "The effects of safe-haven status on the gilt-edged market, Journal of Bond Trading and Management, 2002.
  • Steeley, J.M., "Deregulation and Market Efficiency: Evidence from the Gilt-Edged Market", Applied Financial Economics, 1992.

Equity Markets: Efficiency

  • Steeley, J.M., "Information Processing and the UK Weekend Effect: Do investors cut their losses on Mondays?", Applied Economics Letters, 2004.
  • Steeley, J.M., and E. Dawson, "On the existence of visual technical patterns in the UK stock market", Journal of Business Finance and Accounting, 2003.
  • Steeley, J.M., "Making political capital: The behaviour of UK financial markets during Election 97", Applied Financial Economics, 2003.
  • Steeley, J.M., "A note on information seasonality and the disappearance of the weekend effect in the UK stock market", Journal of Banking and Finance, 2001.

Equity Markets: Portfolio Return Autocorrelation

  • Steeley, J.M., and P.L. Chelley-Steeley, "Portfolio diversification and filter rule profits", Applied Economics Letters, 2000.
  • Steeley, J.M., "Persistence in aggregated and disaggregated UK stock returns: a reconciliation", Journal of Business Finance and Accounting, 1998.
  • Steeley, J.M., and P.L. Chelley-Steeley, "The Impact of Portfolio Diversification on Trading Rule Profits: Some Evidence for UK Share Portfolios", Journal of Business Finance and Accounting, 1997.
  • Steeley, J.M., "The Nature and Implications of Serial Diversification", Advances in Investment Analysis and Portfolio Management, 1997. Abstracted in Journal of Finance, July 1995.

Equity Markets: Volatility

  • Steeley, J.M., and P.L. Chelley-Steeley, The leverage effect in the UK stock market, Applied Financial Economics, 15, 2005.
  • Steeley, J.M., and P.L. Chelley-Steeley, "Volatility, leverage and firm size: the UK evidence", The Manchester School, 1996.
  • Steeley, J.M., and P.L. Chelley-Steeley, "Volatility Transmission in the UK Stock Market", European Journal of Finance, 1996.
  • Steeley, J.M., and P.L. Chelley-Steeley, "Conditional Volatility and Firm Size: An Empirical Analysis of UK Equity Portfolios", Applied Financial Economics, 1995.

Integration

  • Steeley, J.M, Volatility Transmission between Stock and Bond Markets, Journal of International Financial Markets, Institutions and Money, vol. 16 (1), 2006.
  • Steeley, J.M., and P.L. Chelley-Steeley, "Exchange Controls, Macroeconomic Integration and the Interdependence of European Equity Markets", Economic Inquiry, 1999.
  • Steeley, J.M., P.L. Chelley-Steeley and E. Pentecost, "Exchange Controls and European Stock Market Integration", Applied Economics, 1998.

Derivatives Markets

  • Steeley, J.M. and Y. Li, “Sticky Credit Spreads, Macroeconomic Activity and Equity Market Volatility, Journal of Current Issues in Finance, Business and Economics, 3 (2-3), Jan 2010, pp. 243-274.
  • Steeley, J.M, Stock price distributions and news: Evidence from index options, Review of Quantitative Finance and Accounting, 23(3), 2004.
  • Steeley, J.M., "A comparison of the LIFFE and DTB Bund contract using an exact identification of price adjustment coefficients", proceedings of the Chicago Board of Trade's European Research Symposium (formally Review of Futures Markets), Winter 1999.
  • Steeley, J.M., and A.P. Carverhill, "Interest Rate Derivative Products", The Treasurer, Nov.1989.

 

Experimental Markets and the Reuters Trading Room

I have been involved in establishing a combined trading room and experimental markets laboratory. This provides opportunities for students to learn how to use dealing software, financial information systems, such as Reuters 3000Xtra, and to participate in trading games and experiments.

Finance Consultancy

I am able to undertake research commissions on a wide range of finance subjects on either a short-term (less than 6 months) or a longer term basis. My prime area of expertise is in the field of estimation of the term structure of interest rates from the prices of coupon-bearing bonds. I have acted as a consultant to both the Bank of England and the Central Bank of Austria in this particular area. To discuss potential projects in this or the other areas highlighted in my publications overview, please contact me on 0121 204 3248 or email j.m.steeley@aston.ac.uk.

Teaching

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


I have been Head of the Finance and Accounting Group since April 2008.