Statistical arbitrage in the U.S. treasury futures market
Wale Dare ()
No 1716, Economics Working Paper Series from University of St. Gallen, School of Economics and Political Science
We argue empirically that the U.S. treasury futures market is informational inefficient. We show that an intraday strategy based on the assumption of cointegrated treasury futures prices earns statistically significant excess return over the equally weighted portfolio of treasury futures. We also provide empirical backing for the claim that the same strategy, financed by taking a short position in the 2-Year treasury futures contract, gives rise to a statistical arbitrage.
Keywords: Market efficiency; U.S. treasury futures; statistical arbitrage; joint-hypothesis (search for similar items in EconPapers)
JEL-codes: C12 G13 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:usg:econwp:2017:16
Access Statistics for this paper
More papers in Economics Working Paper Series from University of St. Gallen, School of Economics and Political Science Contact information at EDIRC.
Series data maintained by Martina Flockerzi ().