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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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first_indexed 2015-05-20T02:03:32Z
last_indexed 2018-02-09T04:59:19Z
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spelling 2015-05-19T21:26:03.5366988 v2 21592 2015-05-19 Finding inefficiencies in iTraxx 3d6ddd8aed8a2b08573445a9d2ec2469 0000-0002-5314-2067 Davide Avino Davide Avino true false 2015-05-19 BAF 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. ResearchReportExternalBody Creditflux 31 12 2013 2013-12-31 http://creditflux.com/Newsletter/2013-12-05/Finding-inefficiencies-in-iTraxx COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2015-05-19T21:26:03.5366988 2015-05-19T21:15:05.9498988 School of Management Accounting and Finance Davide Avino 0000-0002-5314-2067 1 Ogonna Nneji 2
title Finding inefficiencies in iTraxx
spellingShingle Finding inefficiencies in iTraxx
Davide Avino
title_short Finding inefficiencies in iTraxx
title_full Finding inefficiencies in iTraxx
title_fullStr Finding inefficiencies in iTraxx
title_full_unstemmed Finding inefficiencies in iTraxx
title_sort Finding inefficiencies in iTraxx
author_id_str_mv 3d6ddd8aed8a2b08573445a9d2ec2469
author_id_fullname_str_mv 3d6ddd8aed8a2b08573445a9d2ec2469_***_Davide Avino
author Davide Avino
author2 Davide Avino
Ogonna Nneji
format ResearchReportExternalBody
container_title Creditflux
publishDate 2013
institution Swansea University
college_str School of Management
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hierarchy_top_id schoolofmanagement
hierarchy_top_title School of Management
hierarchy_parent_id schoolofmanagement
hierarchy_parent_title School of Management
department_str Accounting and Finance{{{_:::_}}}School of Management{{{_:::_}}}Accounting and Finance
url http://creditflux.com/Newsletter/2013-12-05/Finding-inefficiencies-in-iTraxx
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description 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_date 2013-12-31T03:32:03Z
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score 10.898149