Steeley, James Michael (1989) The effects of Big Bang on the gilt-edged market : term structure movements and market efficiency. PhD thesis, University of Warwick.

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Abstract

This study is concerned with the impact of the 1986 Stock Market deregulation, or Big Bang, on the efficiency of the United Kingdom government securities market. The main theoretical finding is that the change to dual capacity dealing with negotiated commissions cannot be justified economically without the inclusion of a best execution rule for broker/dealers. The empirical section of the study has three parts. The first part uses established and new autocorrelation techniques to test market efficiency in the traditional weak-form efficient market hypothesis paradigm. The second part tests market efficiency through an analysis of pricing residuals from fitting term structure curves. A new method to fit these curves is developed. The third section tests market efficiency by examining evidence of anomalies in the shape and movements of the term structure. From all three sources, there is strong evidence that the changes introduced by Big Bang improved efficiency in the gilt-edged market.

Item Type:	Thesis or Dissertation (PhD)
Subjects:	H Social Sciences > HC Economic History and Conditions
Library of Congress Subject Headings (LCSH):	Stock exchanges -- Deregulation -- Great Britain, Great Britain -- Economic conditions -- 20th century, Government securities -- Great Britain -- History -- 20th century
Date:	September 1989
Institution:	University of Warwick
Theses Department:	Department of Economics
Thesis Type:	PhD
Publication Status:	Unpublished
Supervisor(s)/Advisor:	Hodges, Stewart D. ; Cable, John ; Wallis, Kenneth Frank
Sponsors:	Economic and Social Research Council (Great Britain) (ESRC) ; University of Warwick. Dept. of Economics
Extent:	240 p.
Language:	eng
URI:	http://wrap.warwick.ac.uk/id/eprint/3630

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