Nominal and inflation-linked government bonds: An assessment of arbitrage opportunities in UK Gilt Market

Detalhes bibliográficos
Autor(a) principal: Vilas-Boas, João Pinto Teixeira
Data de Publicação: 2013
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/9852
Resumo: A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
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spelling Nominal and inflation-linked government bonds: An assessment of arbitrage opportunities in UK Gilt MarketGiltsInflation-Linked GiltsMispricingSupplyLiquidityA Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsThis study is an assessment of the existence of deviations of the Law of One Price in the UK sovereign debt market. UK government issues two types of debt instruments: nominal gilts and inflation-linked (IL) gilts. Constructing a synthetic bond comprising the IL bonds and also inflation-swaps and gilt strips I was able to build a portfolio that pays to investor exactly the same cash-flow as nominal gilts, with the same maturity. I found that the weighted-average mispricing throughout the period of 2006-11 is only £0,155 per £100 notional. Though, if I restrain my analysis to the 2008-09 crisis period, this amount raises to £4,5 per £100 invested. The weighted-average mispricing can reach values of £21 per £100 notional or, if measured in yield terms, 235 basis points. I have also found evidence that available liquidity on the market and increases on index-linked gilts supply do play a significant role on monthly changes of mispricing in the UK market. I concluded that, although the global mispricing is not significant on UK gilt market, every pair of bonds in the sample presented huge and significant arbitrage opportunities in downturn periods.NSBE - UNLSilva, André CastroRUNVilas-Boas, João Pinto Teixeira2013-06-07T14:23:46Z2013-012013-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/9852enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:43:12Zoai:run.unl.pt:10362/9852Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:19:04.864813Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Nominal and inflation-linked government bonds: An assessment of arbitrage opportunities in UK Gilt Market
title Nominal and inflation-linked government bonds: An assessment of arbitrage opportunities in UK Gilt Market
spellingShingle Nominal and inflation-linked government bonds: An assessment of arbitrage opportunities in UK Gilt Market
Vilas-Boas, João Pinto Teixeira
Gilts
Inflation-Linked Gilts
Mispricing
Supply
Liquidity
title_short Nominal and inflation-linked government bonds: An assessment of arbitrage opportunities in UK Gilt Market
title_full Nominal and inflation-linked government bonds: An assessment of arbitrage opportunities in UK Gilt Market
title_fullStr Nominal and inflation-linked government bonds: An assessment of arbitrage opportunities in UK Gilt Market
title_full_unstemmed Nominal and inflation-linked government bonds: An assessment of arbitrage opportunities in UK Gilt Market
title_sort Nominal and inflation-linked government bonds: An assessment of arbitrage opportunities in UK Gilt Market
author Vilas-Boas, João Pinto Teixeira
author_facet Vilas-Boas, João Pinto Teixeira
author_role author
dc.contributor.none.fl_str_mv Silva, André Castro
RUN
dc.contributor.author.fl_str_mv Vilas-Boas, João Pinto Teixeira
dc.subject.por.fl_str_mv Gilts
Inflation-Linked Gilts
Mispricing
Supply
Liquidity
topic Gilts
Inflation-Linked Gilts
Mispricing
Supply
Liquidity
description A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
publishDate 2013
dc.date.none.fl_str_mv 2013-06-07T14:23:46Z
2013-01
2013-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/9852
url http://hdl.handle.net/10362/9852
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv NSBE - UNL
publisher.none.fl_str_mv NSBE - UNL
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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