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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.

Purpose -Aims to examine and evaluate the financial and regulatory reforms in the gilt-edged market. Design/methodology/approach -Reviews recent financial and regulatory reforms in the gilt-edged market. Findings -Finds that, overall, the gilts market has maintained its safe haven status during periods of both stability and uncertainty. Originality/value -In its examination of the gilt-edged market, this paper concludes that recent reforms have been very successful in maintaining its competitiveness.

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