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Finding inefficiencies in iTraxx
Davide Avino 
,
Ogonna Nneji
,
Ogonna Nneji
Creditflux
Swansea University Author:
Davide Avino
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
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| 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: |
Faculty of Humanities and Social Sciences |