Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/9074
Title: Short-term return-based contrarian strategies in international interest rates futures : 1993-2002
Authors: Goon, Hui Wern
Giam, Hwee Ling
Oen, Bee Hwa
Keywords: DRNTU::Business::Finance::Futures
Issue Date: 2003
Abstract: In this thesis, we document return reversals and investigate profitability of contrarian strategies in international interest rate futures markets. For the analysis, we construct a methodology vy closely following the spirit behind the Lo and Mackinlay (1990) methodology developed for contrarian strategy in equity market.
URI: http://hdl.handle.net/10356/9074
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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