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

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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書目詳細資料
Main Authors:	Neo, Janet Zhenna, Tan, Hwee Nee, Zhong, Junling
其他作者:	Kang, Joseph Choong Seok
格式:	Final Year Project
出版:	2008
主題:	DRNTU::Business::Finance::Futures
在線閱讀:	http://hdl.handle.net/10356/8903
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Nanyang Technological University

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