Current Search: NORTHRUP, ALLEN ARTHUR. (x)
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Title
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SPREAD-TRADING OPPORTUNITIES IN THE FUTURES MARKET: AN EXPOST ANALYSIS.
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Creator
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NORTHRUP, ALLEN ARTHUR., Florida Atlantic University, Redman, Milton, College of Business, Department of Economics
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Abstract/Description
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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...
Show moreThis 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.
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Date Issued
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1978
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PURL
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http://purl.flvc.org/fcla/dt/13938
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Subject Headings
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Market surveys
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Format
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Document (PDF)
