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Title: Short-term return-based contrarian profits in the international index futures markets : 1993-2002
Authors: Neo, Janet Zhenna
Tan, Hwee Nee
Zhong, Junling
Keywords: DRNTU::Business::Finance::Futures
Issue Date: 2003
Abstract: In this paper, we document return reversals and investigate contrarian profits in the context of international index futures markets. Both {4,4} and {5,5} contrarian strategies account for most of the statistically significant results. These findings are robust to missing observations, seasonality, alternative profit measures, contract sizes, and exchange regulatory differences.
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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