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...
| 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/10356/9074 |