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

• 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
• Institution: Nanyang Technological University

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,...