This dissertation is a comprehensive study of 18-years of 13-, 26-, and 52-week Treasury bill (T-bill) behavior through various macroeconomic environments. My research views the three T-bill maturities on an individual basis and also looks at their interrelationships. I approach T-bill behavior from hourly (intraday), daily, weekly, and monthly perspectives using simple analytical methods such as linear regressions and ANOVA, and more advanced time-series methods including GARCH, EGARCH, and TGARCH.; There are four key strategic areas of interest in this dissertation. The first area extends the current literature in characterizing the temporal segmentation of the T-bill market and then adds another market segmentation dimension across three different T-bill maturities (i.e., cross-sectional T-bill market segmentation). The second area sheds light on the hourly (intraday) behavioral patterns of T-bills. In this arena the three T-bill maturities are investigated in terms of yield levels and hourly volatilities. The third area investigates the daily, weekly, and monthly behavior of T-bills. Finally, the fourth area employs Jensen's alpha since this important measure not only encompasses CAPM, but also contrasts the expected return that CAPM yields with the observed actual return, thus sheds light on the CAPM and the selection of T-bills as the appropriate risk-free rate.
展开▼
