The When-Issued Market for Government of Canada Treasury Bills

Geoffrey Poitras

Canadian Journal of Economics, 1991, vol. 24, issue 3, 604-23

Abstract: By working directly with the profit functions for both arbitrage and speculative trades, this paper develops two distinct notions of market efficiency. These notions provide the basis for evaluating the performance of the when-issued market for Canadian government treasury bills. Despite the maximum one-week maturity of when-issued forward contracts, a number of instances of inefficient pricing behavior are observed.

Date: 1991
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