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Secondary market pricing behaviour around UK bond auctions

Author

Listed:
  • Farooq Ahmad
  • James Steeley

Abstract

Using an event study approach, this article reports evidence that the UK Treasury bond market displayed anomalous pricing behaviour in the secondary market both immediately before and after auctions of seasoned bonds. Using a benchmark return derived from the behaviour of the underlying yield curve, the market offered statistically and economically significant excess returns, around the auctions held between 1992 and 2004. A cross-sectional analysis of the cumulative excess returns shows that the excess demand at the auctions is a key determinant of this excess return.

Suggested Citation

  • Farooq Ahmad & James Steeley, 2008. "Secondary market pricing behaviour around UK bond auctions," Applied Financial Economics, Taylor & Francis Journals, vol. 18(9), pages 691-699.
  • Handle: RePEc:taf:apfiec:v:18:y:2008:i:9:p:691-699
    DOI: 10.1080/09603100701250268
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    Cited by:

    1. Bank for International Settlements, 2012. "Threat of fiscal dominance?," BIS Papers, Bank for International Settlements, number 65, January.
    2. repec:eee:jbfina:v:88:y:2018:i:c:p:347-356 is not listed on IDEAS
    3. Francis Breedon & Jagjit S Chadha & Alex Waters, 2012. "The financial market impact of UK quantitative easing," BIS Papers chapters,in: Bank for International Settlements (ed.), Threat of fiscal dominance?, volume 65, pages 277-304 Bank for International Settlements.
    4. Steeley, James M. & Matyushkin, Alexander, 2015. "The effects of quantitative easing on the volatility of the gilt-edged market," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 113-128.
    5. Francis Breedon & Philip Turner, 2016. "On the transactions costs ofquantitative easing," BIS Working Papers 571, Bank for International Settlements.
    6. Breedon, Francis, 2018. "On the transactions costs of UK quantitative easing," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 347-356.
    7. Steeley, James M., 2015. "The side effects of quantitative easing: Evidence from the UK bond market," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 303-336.

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