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Title: The effects of Big Bang on the gilt-edged market : term structure movements and market efficiency
Author: Steeley, James Michael
Awarding Body: University of Warwick
Current Institution: University of Warwick
Date of Award: 1989
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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.
Supervisor: Not available Sponsor: Economic and Social Research Council (Great Britain) (ESRC) ; University of Warwick. Dept. of Economics
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: HC Economic History and Conditions Finance Taxation Economics