Secondary market pricing behaviour around UK bond auctions

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.

Volatility transmission between stock and bond markets

A two-factor no-arbitrage model is used to provide a theoretical link between stock and bond market volatility. While this model suggests that short-term interest rate volatility may, at least in part, drive both stock and bond market volatility, the empirical evidence suggests that past bond market volatility affects both markets and feeds back into short-term yield volatility. The empirical modelling goes on to examine the (time-varying) correlation structure between volatility in the stock and bond markets and finds that the sign of this correlation has reversed over the last 20 years. This has important implications far portfolio selection in financial markets. © 2005 Elsevier B.V. All rights reserved.

Measuring and assessing the effects and extent of international bond market integration

We review briefly the literature on international financial integration, especially as it pertains to bond market integration. This contextualizes the review we than provide of a number of papers contained in a special issue of this Journal. © 2005 Elsevier B.V. All rights reserved.

Persistence in a random bond ising model of socio-econo dynamics

We study the persistence phenomenon in a socio-econo dynamics model using computer simulations at a nite temperature on hypercubic lattices in dimensions up to ve. The model includes a \social" local eld which contains the magnetization at time t. The nearest neighbour quenched interactions are drawn from a binary distribution which is a function of the bond concentration, p. The decay of the persistence probability in the model depends on both the spatial dimension and p. We nd no evidence of \blocking" in this model. We also discuss the implications of our results for possible applications in the social and economic elds. It is suggested that the absence, or otherwise, of blocking could be used as a criterion to decide on the validity of a given model in dierent scenarios.

2-(3-Hydroxy-propyl)isoindoline-1,3-dione:Competition among hydrogen-bond acceptors

The title compound, C11H11NO3, has two mol-ecules in the asymmetric unit, which differ in the orientation of their side-chain OH groups, allowing them to form inter-molecular O - H⋯O hydrogen bonds to different acceptors. In one case, the acceptor is the OH group of the other mol-ecule, and in the other case it is an imide O=C group. This is the first example in the N-substituted phthalimide series in which independent mol-ecules have different types of acceptor. Mol-ecular-orbital calculations place the greatest negative charge on the OH group. © 2008 International Union of Crystallography.

Experimental and theoretical studies on six-membered ring hydrogen bond systems in crystalline drug substances

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Highly selective Pd/titanate nanotube catalysts for the double-bond migration reaction

Pd(II) and Pd(0) catalysts supported onto titanate nanotubes (H2Ti3O7) were prepared by an ion-exchange technique. The catalysts are characterised by narrow size distribution of metal nanoparticles on the external surface of the nanotubes. Pd(II) catalysts show high selectivity toward double-bond migration reaction versus hydrogenation in linear olefins. The catalytic activity exhibits a volcano-type dependence on the metal loading, with the maximum activity observed at ca. 8 wt%. The Pd(II) was shown to be rapidly reduced to Pd(0) by appropriate choice of solvent. Prereduced Pd(0) catalysts were found to be less active toward double-bond migration and more selective toward hydrogenation. The DBM reaction was faster in protic solvents, such as methanol or ethanol. © 2006 Elsevier Inc. All rights reserved.

The side effects of quantitative easing:evidence from the UK bond market

We examine the returns to UK government bonds before, during and between the phases of quantitative easing to identify the side effects for the market itself. We show that the onset of QE led to a sustained reduction in the costs of trading and removed some return regularities. However, controlling for a wide range of market activity, including issuance and QE announcements, we find evidence that investors could have earned excess returns after costs by trading in response to the purchase auction calendar. Drawing on economic theory, we explore the implications of these findings for both the efficiency of the market and the costs of government debt management in both the short and long run.