Year-end and quarter-end effects in the term structure of sterling repo and Eurepo rates |
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| Authors: | Mark D. Griffiths Vladimir Kotomin Drew B. Winters |
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| Affiliation: | 1. Jack Anderson Professor of Finance, Miami University, United States;2. University of Wisconsin–Eau Claire, United States;3. Rawls Professor of Finance, Texas Tech University, United States;1. Indiana University, Kelley School of Business, Bloomington, IN 47405, USA;2. Università Politecnica delle Marche, Money and Finance Research Group (MoFiR), Ancona, Italy;3. Money and Finance Research Group (MoFiR), Italy;1. Chinese Academy of Sciences, China;2. Faculty of Economics and Business, University of Groningen, P.O. Box 800, 9700AV, the Netherlands;1. Department of Business Administration, College of Management, Chang Gung University, Tao-Yuan, Taiwan;2. Department of Finance/CIS, College of Business Administration, Loyola Marymount University, Los Angeles, CA 90045, United States;3. Department of Finance, College of Business Administration, University of Pittsburgh, Pittsburgh, PA 15260, United States;1. School of Business, Middle Georgia State University, Macon, GA, 31206, USA;2. Parker College of Business - Department of Finance, Georgia Southern University, Statesboro, GA, 30460, USA;3. College of Business Administration, Savannah State University, Savannah, GA, 31404, USA |
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| Abstract: | Griffiths and Winters [Griffiths, M., Winters, D., 1997. On a preferred habitat for liquidity at the turn-of-the-year: evidence from the term-repo market, Journal of Financial Services Research 12, 21–38] find a year-end preferred habitat for liquidity for US repo rates, and, later [Griffiths, M., Winters, D., 2005. The-turn-of-the-year in money markets: tests of the riskshifting window dressing and preferred habitat hypotheses, Journal of Business 78, 1337–1364] find a similar preferred habitat for US money market instruments. Kotomin et al. [Kotomin, V., Smith, S., Winters, D., 2008. Preferred habitat for liquidity in international shortterm interest rates, Journal of Banking and Finance 32, 240–250] document the preferred habitat in LIBOR for the major world currencies, excluding the British pound. We examine the robustness of these results using pound sterling and euro repo rates and find a year-end preferred habitat for liquidity in the euro repo rates. The British interest rates continue to behave differently, and we provide a possible explanation as to why this occurs. |
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