Is it possible to predict the price of UK corporate and government bonds?

Dibble, Tom (2007) Is it possible to predict the price of UK corporate and government bonds? BA dissertation, University of Portsmouth.

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    Abstract

    This research study posed the question: 'Is it possible to predict the price of UK corporate and government bonds?' In consideration of the research objective, the study will consider the ability of the LIFFE short sterling futures market to predict future UK base rate adjustments. Initially the study will consider the characteristics of bonds and their role as an investment instrument. The study will assess two sets data from December 2002 through to December 2006. The study will examine the UK base rate for each month over this period in comparison to the price of three future contract expirations. The study will also evaluate the use of interest rate predictions in the current fixed income market. The Bank of New York, London, Securities Lending department will form the basis for a qualitative case study. The study ill assess the effect of interest adjustments on bond market and its ability to estimate future price movements. This will be applied with the statistical analysis to satisfy the research objective. The study established that the short sterling futures market is an effective predictor of the base rate during times of economic stability. Its accuracy is limited as the economy becomes more volatile and interest rate movements increase. The study also recognised that the futures prices become more precise as they reach the contract expiration point. The study successfully fulfilled the stated research objective.

    Item Type: Dissertation
    Departments/Research Groups: Portsmouth Business School > Accounting and Financial Management
    Depositing User: Jane Polwin
    Date Deposited: 20 Jan 2011 12:48
    Last Modified: 28 Jan 2015 11:14
    URI: http://eprints.port.ac.uk/id/eprint/457

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