The side-effects of Quantitative Easing: Evidence from the UK Bond Market (2014)
Journal Article
(2014). The side-effects of Quantitative Easing: Evidence from the UK Bond Market. Journal of International Money and Finance, 303 - 336. https://doi.org/10.1016/j.jimonfin.2014.11.007

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 remov... Read More about The side-effects of Quantitative Easing: Evidence from the UK Bond Market.

The effects of quantitative easing on the volatility of the gilt-edged market (2014)
Journal Article
(2014). The effects of quantitative easing on the volatility of the gilt-edged market. International Review of Financial Analysis, 113 - 128. https://doi.org/10.1016/j.irfa.2014.11.004

We model the effects of quantitative easing on the volatility of returns to individual gilts, examining both the effects of QE overall and of the specific days of asset purchases. The action of QE successfully neutralized the six fold increase in vol... Read More about The effects of quantitative easing on the volatility of the gilt-edged market.

Porfolio size, non-trading frequency and portfolio return autocorrelation (2014)
Journal Article
(2014). Porfolio size, non-trading frequency and portfolio return autocorrelation. Journal of International Financial Markets, Institutions and Money, 56 - 77. https://doi.org/10.1016/j.intfin.2014.07.001

In this paper we re-examine the relationship between non-trading frequency and portfolio return autocorrelation. We show that in portfolios where security specific effects have not been completely diversified, portfolio autocorrelation will not incre... Read More about Porfolio size, non-trading frequency and portfolio return autocorrelation.