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Title: Short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002
Authors: Lee, Puay Eng
Ong, Chia Yean
Yang, Ivy Shiyun
Keywords: DRNTU::Business::Finance::Futures
Issue Date: 2003
Abstract: 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.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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