The effects of Big Bang on the gilt-edged market : term structure movements and market efficiency
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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Official URL: http://webcat.warwick.ac.uk/record=b1407986~S15
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|
|Official Date:||September 1989|
|Institution:||University of Warwick|
|Theses Department:||Department of Economics|
|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|
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