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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.||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)|
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