Empirical studies on the Euroyen TIBOR and LIBOR futures contracts.
Cher, Jasmine Hwee Ling.
Quah, Bee Leng.
Tan, Marilyn Su Ching.
Date of Issue2000
College of Business (Nanyang Business School)
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.
Final Year Project (FYP)
Nanyang Technological University