Essays about: "Contrarian effect"

Showing result 1 - 5 of 8 essays containing the words Contrarian effect.

1. 1. Momentum Strategies in Commodity Futures Market: A Quantitative study

   University essay from Umeå universitet/Företagsekonomi

   Author : Jino Badinson; Alfred Gunnarsson; [2023]
   Keywords : Momentum Effect; Contrarian Effect; Investment Strategy; Commodity Futures; Efficient Market Hypothesis; Behavioral Finance Theory;

   Abstract : This study employs a quantitative approach to investigate the momentum phenomenon in the commodity futures market. The study captures the phenomenon using two momentum indicators, namely, MACD and RSI, and extends the scope of indicator utilization to both joint and single usage. READ MORE

3. 2. Anticipated Events’ Impact on FX Options’ Implied Volatility

   University essay from Lunds universitet/Matematisk statistik

   Author : Frej Håkansson; Björn Nilsson; [2018]
   Keywords : Volatility frown; implied volatility; jump model; anticipated event; SABR; FX Options; Mathematics and Statistics;

   Abstract : Understanding events’ impact on financial instruments are crucial for the participants in the financial markets. Here we propose an approach to model an anticipated event’s impact on the prices of FX options, represented in implied volatility. READ MORE

4. 3. Momentum During Intraday. Trading Evidence from US NASDAQ

   University essay from Göteborgs universitet/Graduate School

   Author : Kristoffer Frösing; [2017-07-25]
   Keywords : Momentum; Contrarian; Relative strength; Intraday; Trading strategy; Abnormal returns;

   Abstract : Both momentum and contrarian strategies have shown to provide investors with high risk-adjusted returns when applied on daily, weekly and monthly data. This study examines the effect of the underreaction phenomenon on the US NASDAQ stock market between November 2016 and February 2017. READ MORE

5. 4. Momentum and Contrarian Trading Strategies: Evidence from the Chinese stock market 2000-2010

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Chaoqiong Shi; [2011]
   Keywords : Contrarian effect; Momentum effect; The relative strength portfolio; CAPM model; Overreaction; Underreaction.; Business and Economics;

   Abstract : The paper employs Jegadeesh and Titman (1993)’s overlapping ranking period method to build winner-portfolio and loser-portfolio, and thereafter conducts empirical studies on the momentum and contrarian effects on the Chinese stock market from 2000 to 2010. One thing worth mentioning here is that the author processes the data using her own Matlab codes instead of doing tremendous manual work. READ MORE

6. 5. Sector Rotation Strategy Applied on the Swedish Stock Market : Do Swedish sector indices experience momentum effects?

   University essay from Företagsekonomiska institutionen

   Author : Mattias Larsson; Peter Dellgren; [2009]
   Keywords : Sector Rotation Strategy; Momentum effects; Contrarian effects; CAPM; Efficient Market Hypothesis; Exchange Traded Funds;

   Abstract : This thesis is an empirical analysis on momentum effects on the Swedish stock exchange’s sector indicesduring the period 2001 to 2009. The momentum effect is investigated by buying previous winner andshort selling previous losers with holding and formation periods over an intermediate time period (1-12month period). READ MORE