Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/8871
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.
URI: http://hdl.handle.net/10356/8871
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

Files in This Item:
File Description SizeFormat 
NBS-REPORTS_1584.pdf
  Restricted Access
428.98 kBAdobe PDFView/Open

Google ScholarTM

Check

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.