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1. 1. Trading CDS Indices vs. Equity Index Futures – A pairs trade

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Daniel Alavei; Tobias Olsson; [2015]
   Nyckelord :Cointegration; Equity Index Future; CDS Index; Pairs Trading; Business and Economics;

   Sammanfattning : In this thesis we use a unique data set to show that there is a cointegrating relationship between the EURO STOXX 50 index and the Markit iTraxx Europe index that can be exploited through trading. As far as we know, we are the first ones to write about trading this pair in an academic paper. LÄS MER