Predictable and profitable price patterns: Evidence from US interest rates
Document Type
Article
Publication Title
Economics Letters
Abstract
This paper detects a predictable response of short-term (Eurodollar) interest rate futures to US employment data during 1988-1993. A simulation with a trading rule derived from this predictable response generates systematic profits, thus violating the efficient markets hypothesis.
Publication Date
1-4-1996
Publisher
Elsevier
Volume
Vol.51
Issue
Iss.1
Recommended Citation
Moorthy, Vivek, "Predictable and profitable price patterns: Evidence from US interest rates" (1996). Faculty Publications. 1421.
https://research.iimb.ac.in/fac_pubs/1421
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