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The When-Issued Market for Government of Canada Treasury Bills

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  • Geoffrey Poitras

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.

Suggested Citation

  • Geoffrey Poitras, 1991. "The When-Issued Market for Government of Canada Treasury Bills," Canadian Journal of Economics, Canadian Economics Association, vol. 24(3), pages 604-623, August.
  • Handle: RePEc:cje:issued:v:24:y:1991:i:3:p:604-23
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    Cited by:

    1. Poitras, Geoffrey, 1998. "TED Tandems: Arbitrage Restrictions and the US Treasury Bill/Eurodollar Futures Spread," International Review of Economics & Finance, Elsevier, vol. 7(3), pages 255-276.

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