Finance and Financial Management Commons^™

Bonds Duration And Covid-19: A Study On United Kingdom Conventional Gilts, Riffat Abdul Latif Mughal

Business Review

This article studies whether the government bonds portfolio developed based on bonds duration produces abnormal returns in London Stock Exchange fixed income market during the phase of double-dip recession and COVID-19. The sample consists of UK conventional gilts traded from February 2004 till February 2021. The daily data is obtained from Thomson Reuters / Refinitiv Eikon. For this study, the data is divided into two subsamples July 2009-December 2018 and December 2019-February 2021. The findings reveal that all the bonds produced abnormal returns during the complete sample and sub-sample period when returns of UK gilts 1 year maturity are kept …