Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/8903
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.
URI: http://hdl.handle.net/10356/8903
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_1612.pdf
  Restricted Access
492.56 kBAdobe PDFView/Open

Google ScholarTM

Check

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