Short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002

In this paper, we document short-term return reversal patterns in international interest rate futures and the profitability of short-term return-based contrarian strategies. Daily open and settlement prices from 1990 to 2002 for 33 interest rate futures contracts trading in 12 futures exchanges and...

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Bibliographic Details
Main Authors: Lee, Puay Eng, Ong, Chia Yean, Yang, Ivy Shiyun
Other Authors: Kang, Joseph Choong Seok
Format: Final Year Project
Published: 2008
Subjects:
Online Access:http://hdl.handle.net/10356/8871
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Institution: Nanyang Technological University
Description
Summary:In this paper, we document short-term return reversal patterns in international interest rate futures and the profitability of short-term return-based contrarian strategies. Daily open and settlement prices from 1990 to 2002 for 33 interest rate futures contracts trading in 12 futures exchanges and three time zones are employed.