Trading CDS Indices vs. Equity Index Futures – A pairs trade
In this thesis we use a unique data set to show that there is a cointegrating relationship between the EURO STOXX 50 index and the Markit iTraxx Europe index that can be exploited through trading. As far as we know, we are the first ones to write about trading this pair in an academic paper. On our way we deal with various peculiarities in the data set before we manage to find cointegration. The c