Short-term return-based contrarian strategies in US future markets : 1987-2002

Short-term return-based contrarian strategies in US future markets : 1987-2002

In this paper, we document return reversals and investigate short-term contrarian profitability in the US futures markets, on 4 segments consisting of 29 futures contracts. Our methodology closely follows the spirit behind the Lo and MacKinlay (1990) methodology that are used for contrarian strategi...

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Bibliographic Details
Main Authors: Koh, Loh Pin, Alfian Mohamed Nor, Lee, Wee Khek
Other Authors: Kang, Joseph Choong Seok
Format: Final Year Project
Published: 2008
Subjects:
DRNTU::Business::Finance::Futures
Online Access:http://hdl.handle.net/10356/8720
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Institution: Nanyang Technological University
Description
Summary:In this paper, we document return reversals and investigate short-term contrarian profitability in the US futures markets, on 4 segments consisting of 29 futures contracts. Our methodology closely follows the spirit behind the Lo and MacKinlay (1990) methodology that are used for contrarian strategies in equity market.

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