Empirical studies on the Euroyen TIBOR and LIBOR futures contracts.

This study examines the possibility of reaping arbitrage profits between the 2 contracts, through implementing a spread trading strategy. The results would determine whether it violates the Efficient Market Hypothesis.

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Bibliographic Details
Main Authors: Cher, Jasmine Hwee Ling., Quah, Bee Leng., Tan, Marilyn Su Ching.
Other Authors: Low, Buen Sin
Format: Final Year Project
Published: 2008
Subjects:
Online Access:http://hdl.handle.net/10356/11098
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Institution: Nanyang Technological University