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

• 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
• Institution: Nanyang Technological University

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...