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Finding inefficiencies in iTraxx

Davide Avino Orcid Logo, Ogonna Nneji

Creditflux

Swansea University Author: Davide Avino Orcid Logo

Abstract

This report shows that the iTraxx index takes some days to fully reveal the informational content embedded in the theoretical determinants of credit spread changes. Using simple trading rules, we show that these inefficiencies could still be exploitable by credit investors.

Published in: Creditflux
Published: 2013
Online Access: http://creditflux.com/Newsletter/2013-12-05/Finding-inefficiencies-in-iTraxx
URI: https://cronfa.swan.ac.uk/Record/cronfa21592
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Abstract: This report shows that the iTraxx index takes some days to fully reveal the informational content embedded in the theoretical determinants of credit spread changes. Using simple trading rules, we show that these inefficiencies could still be exploitable by credit investors.
College: School of Management