You are here
SPREAD-TRADING OPPORTUNITIES IN THE FUTURES MARKET: AN EXPOST ANALYSIS
| Title: | SPREAD-TRADING OPPORTUNITIES IN THE FUTURES MARKET: AN EXPOST ANALYSIS. |
 69 views 22 downloads |
|---|---|---|
| Name(s): |
NORTHRUP, ALLEN ARTHUR. Florida Atlantic University, Degree grantor Redman, Milton, Thesis advisor College of Business Department of Economics |
|
| Type of Resource: | text | |
| Genre: | Electronic Thesis Or Dissertation | |
| Issuance: | monographic | |
| Date Issued: | 1978 | |
| Publisher: | Florida Atlantic University | |
| Place of Publication: | Boca Raton, Fla. | |
| Physical Form: | application/pdf | |
| Extent: | 56 p. | |
| Language(s): | English | |
| Summary: | This thesis focuses on the futures market for GNMA pass-through certificates and Treasury bills. The main topic covered was the speculative strategy of spread-trading. The period from January 1976 through December 1977 was analyzed to ascertain whether spread-trade opportunities did exist. The results of the analysis did support the proposition that prof i table spread-trade opportunities were possible during the time studied. Contrary to conventional wisom, the profitability of spread-trading was found to be heavily dependent on the correct assessment by the speculator of the direction of movement of interest rates. | |
| Identifier: | 13938 (digitool), FADT13938 (IID), fau:10761 (fedora) | |
| Collection: | FAU Electronic Theses and Dissertations Collection | |
| Note(s): |
College of Business Thesis (M.A.)--Florida Atlantic University, 1978. |
|
| Subject(s): | Market surveys | |
| Held by: | Florida Atlantic University Libraries | |
| Persistent Link to This Record: | http://purl.flvc.org/fcla/dt/13938 | |
| Sublocation: | Digital Library | |
| Use and Reproduction: | Copyright © is held by the author, with permission granted to Florida Atlantic University to digitize, archive and distribute this item for non-profit research and educational purposes. Any reuse of this item in excess of fair use or other copyright exemptions requires permission of the copyright holder. | |
| Use and Reproduction: | http://rightsstatements.org/vocab/InC/1.0/ | |
| Host Institution: | FAU | |
| Is Part of Series: | Florida Atlantic University Digital Library Collections. |
