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

• 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
• Institution: Nanyang Technological University

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...