Short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002
In this paper, we document short-term return reversal patterns in international interest rate futures and the profitability of short-term return-based contrarian strategies. Daily open and settlement prices from 1990 to 2002 for 33 interest rate futures contracts trading in 12 futures exchanges and...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/8871 |
| _version_ | 1826110260606140416 |
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| author | Lee, Puay Eng Ong, Chia Yean Yang, Ivy Shiyun |
| author2 | Kang, Joseph Choong Seok |
| author_facet | Kang, Joseph Choong Seok Lee, Puay Eng Ong, Chia Yean Yang, Ivy Shiyun |
| author_sort | Lee, Puay Eng |
| collection | NTU |
| description | In this paper, we document short-term return reversal patterns in international interest rate futures and the profitability of short-term return-based contrarian strategies. Daily open and settlement prices from 1990 to 2002 for 33 interest rate futures contracts trading in 12 futures exchanges and three time zones are employed. |
| first_indexed | 2024-10-01T02:31:30Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/8871 |
| institution | Nanyang Technological University |
| last_indexed | 2024-10-01T02:31:30Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/88712023-05-19T06:09:03Z Short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002 Lee, Puay Eng Ong, Chia Yean Yang, Ivy Shiyun Kang, Joseph Choong Seok Nanyang Business School DRNTU::Business::Finance::Futures In this paper, we document short-term return reversal patterns in international interest rate futures and the profitability of short-term return-based contrarian strategies. Daily open and settlement prices from 1990 to 2002 for 33 interest rate futures contracts trading in 12 futures exchanges and three time zones are employed. 2008-09-24T07:26:12Z 2008-09-24T07:26:12Z 2003 2003 Final Year Project (FYP) http://hdl.handle.net/10356/8871 Nanyang Technological University application/pdf |
| spellingShingle | DRNTU::Business::Finance::Futures Lee, Puay Eng Ong, Chia Yean Yang, Ivy Shiyun Short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002 |
| title | Short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002 |
| title_full | Short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002 |
| title_fullStr | Short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002 |
| title_full_unstemmed | Short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002 |
| title_short | Short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002 |
| title_sort | short term return based contrarian profits in international interest rate futures markets 1990 2002 |
| topic | DRNTU::Business::Finance::Futures |
| url | http://hdl.handle.net/10356/8871 |
| work_keys_str_mv | AT leepuayeng shorttermreturnbasedcontrarianprofitsininternationalinterestratefuturesmarkets19902002 AT ongchiayean shorttermreturnbasedcontrarianprofitsininternationalinterestratefuturesmarkets19902002 AT yangivyshiyun shorttermreturnbasedcontrarianprofitsininternationalinterestratefuturesmarkets19902002 |