Short-term return-based contrarian strategies in international interest rates futures : 1993-2002

Short-term return-based contrarian strategies in international interest rates futures : 1993-2002

In this thesis, we document return reversals and investigate profitability of contrarian strategies in international interest rate futures markets. For the analysis, we construct a methodology vy closely following the spirit behind the Lo and Mackinlay (1990) methodology developed for contrarian str...

Full description

Saved in:
Bibliographic Details
Main Authors: Goon, Hui Wern, Giam, Hwee Ling, Oen, Bee Hwa
Other Authors: Kang, Joseph Choong Seok
Format: Final Year Project
Published: 2008
Subjects:
DRNTU::Business::Finance::Futures
Online Access:http://hdl.handle.net/10356/9074
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Nanyang Technological University
id sg-ntu-dr.10356-9074
record_format dspace
spelling sg-ntu-dr.10356-90742023-05-19T05:41:36Z Short-term return-based contrarian strategies in international interest rates futures : 1993-2002 Goon, Hui Wern Giam, Hwee Ling Oen, Bee Hwa Kang, Joseph Choong Seok Nanyang Business School DRNTU::Business::Finance::Futures In this thesis, we document return reversals and investigate profitability of contrarian strategies in international interest rate futures markets. For the analysis, we construct a methodology vy closely following the spirit behind the Lo and Mackinlay (1990) methodology developed for contrarian strategy in equity market. 2008-09-24T07:28:19Z 2008-09-24T07:28:19Z 2003 2003 Final Year Project (FYP) http://hdl.handle.net/10356/9074 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
Goon, Hui Wern
Giam, Hwee Ling
Oen, Bee Hwa
Short-term return-based contrarian strategies in international interest rates futures : 1993-2002
description In this thesis, we document return reversals and investigate profitability of contrarian strategies in international interest rate futures markets. For the analysis, we construct a methodology vy closely following the spirit behind the Lo and Mackinlay (1990) methodology developed for contrarian strategy in equity market.
author2 Kang, Joseph Choong Seok
author_facet Kang, Joseph Choong Seok
Goon, Hui Wern
Giam, Hwee Ling
Oen, Bee Hwa
format Final Year Project
author Goon, Hui Wern
Giam, Hwee Ling
Oen, Bee Hwa
author_sort Goon, Hui Wern
title Short-term return-based contrarian strategies in international interest rates futures : 1993-2002
title_short Short-term return-based contrarian strategies in international interest rates futures : 1993-2002
title_full Short-term return-based contrarian strategies in international interest rates futures : 1993-2002
title_fullStr Short-term return-based contrarian strategies in international interest rates futures : 1993-2002
title_full_unstemmed Short-term return-based contrarian strategies in international interest rates futures : 1993-2002
title_sort short-term return-based contrarian strategies in international interest rates futures : 1993-2002
publishDate 2008
url http://hdl.handle.net/10356/9074
_version_ 1770565421335838720

Similar Items