Index participation units and their effects on the Canadian market : evidence from new issues and their redemptions of TIPs
This study provides new evidence related to basket portfolio trading using the Canadian index participation units, TIPs. First, we determine the linkage between TIPs and the Canadian market as well as the US market. We show that TIPs are Granger-caused by the T35, the T300 and the S&P 500. Also,...
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| Format: | Others |
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1997
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| Online Access: | http://spectrum.library.concordia.ca/364/1/MQ40207.pdf Zoghaib, Rana <http://spectrum.library.concordia.ca/view/creators/Zoghaib=3ARana=3A=3A.html> (1997) Index participation units and their effects on the Canadian market : evidence from new issues and their redemptions of TIPs. Masters thesis, Concordia University. |