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.
Saved in:
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Final Year Project |
| Published: |
2008
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/11098 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Nanyang Technological University |