Nominal and inflation-linked government bonds: An assessment of arbitrage opportunities in UK Gilt Market
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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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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 |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799137835099357184 |