Return Predictability and Contrarian Profits of International Index Futures

Yiuman Tse

doi:10.1002/fut.21892

Return Predictability and Contrarian Profits of International Index Futures

University of Missouri-St. Louis

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	The Journal of Futures Markets
Volume	38
DOIs	https://doi.org/10.1002/fut.21892
State	Published - 2018

Disciplines

Economics

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10.1002/fut.21892License: Unspecified

Cite this

@article{9455ae015a3646dd8d93381f523ec8ac,

title = "Return Predictability and Contrarian Profits of International Index Futures",

author = "Yiuman Tse",

note = "Using futures markets, we examine the lead‐lag relationships among 11 industrialized countries. Lagged monthly returns for several countries have return predictability comparable to those in the Uni...",

year = "2018",

doi = "10.1002/fut.21892",

language = "American English",

volume = "38",

journal = "The Journal of Futures Markets",

}

TY - JOUR

T1 - Return Predictability and Contrarian Profits of International Index Futures

AU - Tse, Yiuman

N1 - Using futures markets, we examine the lead‐lag relationships among 11 industrialized countries. Lagged monthly returns for several countries have return predictability comparable to those in the Uni...

PY - 2018

Y1 - 2018

UR - https://doi.org/10.1002/fut.21892

U2 - 10.1002/fut.21892

DO - 10.1002/fut.21892

M3 - Article

VL - 38

JO - The Journal of Futures Markets

JF - The Journal of Futures Markets

ER -

Return Predictability and Contrarian Profits of International Index Futures

Disciplines

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