Short-term return-based contrarian profits in the international index futures markets : 1993-2002

In this paper, we document return reversals and investigate contrarian profits in the context of international index futures markets. Both {4,4} and {5,5} contrarian strategies account for most of the statistically significant results. These findings are robust to missing observations, seasonality,...

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Main Authors:	Neo, Janet Zhenna, Tan, Hwee Nee, Zhong, Junling
Other Authors:	Kang, Joseph Choong Seok
Format:	Final Year Project
Published:	2008
Subjects:	DRNTU::Business::Finance::Futures
Online Access:	http://hdl.handle.net/10356/8903
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Institution:	Nanyang Technological University

id	sg-ntu-dr.10356-8903
record_format	dspace
spelling	sg-ntu-dr.10356-89032023-05-19T06:09:05Z Short-term return-based contrarian profits in the international index futures markets : 1993-2002 Neo, Janet Zhenna Tan, Hwee Nee Zhong, Junling Kang, Joseph Choong Seok Nanyang Business School DRNTU::Business::Finance::Futures In this paper, we document return reversals and investigate contrarian profits in the context of international index futures markets. Both {4,4} and {5,5} contrarian strategies account for most of the statistically significant results. These findings are robust to missing observations, seasonality, alternative profit measures, contract sizes, and exchange regulatory differences. 2008-09-24T07:26:32Z 2008-09-24T07:26:32Z 2003 2003 Final Year Project (FYP) http://hdl.handle.net/10356/8903 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 Neo, Janet Zhenna Tan, Hwee Nee Zhong, Junling Short-term return-based contrarian profits in the international index futures markets : 1993-2002
description	In this paper, we document return reversals and investigate contrarian profits in the context of international index futures markets. Both {4,4} and {5,5} contrarian strategies account for most of the statistically significant results. These findings are robust to missing observations, seasonality, alternative profit measures, contract sizes, and exchange regulatory differences.
author2	Kang, Joseph Choong Seok
author_facet	Kang, Joseph Choong Seok Neo, Janet Zhenna Tan, Hwee Nee Zhong, Junling
format	Final Year Project
author	Neo, Janet Zhenna Tan, Hwee Nee Zhong, Junling
author_sort	Neo, Janet Zhenna
title	Short-term return-based contrarian profits in the international index futures markets : 1993-2002
title_short	Short-term return-based contrarian profits in the international index futures markets : 1993-2002
title_full	Short-term return-based contrarian profits in the international index futures markets : 1993-2002
title_fullStr	Short-term return-based contrarian profits in the international index futures markets : 1993-2002
title_full_unstemmed	Short-term return-based contrarian profits in the international index futures markets : 1993-2002
title_sort	short-term return-based contrarian profits in the international index futures markets : 1993-2002
publishDate	2008
url	http://hdl.handle.net/10356/8903
_version_	1770565846270214144

Short-term return-based contrarian profits in the international index futures markets : 1993-2002

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