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

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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Main Authors: Lee, Puay Eng, Ong, Chia Yean, Yang, Ivy Shiyun
Other Authors: Kang, Joseph Choong Seok
Format: Final Year Project
Published: 2008
Subjects:
DRNTU::Business::Finance::Futures
Online Access:http://hdl.handle.net/10356/8871
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Institution: Nanyang Technological University
id sg-ntu-dr.10356-8871
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spelling sg-ntu-dr.10356-88712023-05-19T06:09:03Z Short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002 Lee, Puay Eng Ong, Chia Yean Yang, Ivy Shiyun Kang, Joseph Choong Seok Nanyang Business School DRNTU::Business::Finance::Futures 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. 2008-09-24T07:26:12Z 2008-09-24T07:26:12Z 2003 2003 Final Year Project (FYP) http://hdl.handle.net/10356/8871 Nanyang Technological University application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
topic DRNTU::Business::Finance::Futures
spellingShingle DRNTU::Business::Finance::Futures
Lee, Puay Eng
Ong, Chia Yean
Yang, Ivy Shiyun
Short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002
description 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.
author2 Kang, Joseph Choong Seok
author_facet Kang, Joseph Choong Seok
Lee, Puay Eng
Ong, Chia Yean
Yang, Ivy Shiyun
format Final Year Project
author Lee, Puay Eng
Ong, Chia Yean
Yang, Ivy Shiyun
author_sort Lee, Puay Eng
title Short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002
title_short Short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002
title_full Short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002
title_fullStr Short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002
title_full_unstemmed Short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002
title_sort short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002
publishDate 2008
url http://hdl.handle.net/10356/8871
_version_ 1770563618915483648

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