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Momentum Effect: Empirical Evidence from Karachi Stock Exchange

Author

Listed:
  • Habib-Ur-Rahman

    (Shaheed Zulfiqar Ali Bhotto Institute of Science and Technology (SZABIST), Islamabad)

  • Hasan M. Mohsin

    (Pakistan Institute of Development Economics, Islamabad.)

Abstract

The objective of this study is to analyse the momentum effect in Karachi Stock Exchange. The study constructed 16 momentum strategies by following equal weighted, full rebalancing and Decile techniques. We used stock prices of 300 companies listed on Karachi Stock Exchange from 1999 to 2007. The Returns of zero-cost momentum portfolio were positive only in 1 out of 16 strategies; and a decreasing trend in losses reported in 15 strategies was observed, so analysis was extended to “Long Period Analysis”. Here we find some evidence of momentum effect which remained significant even after changing the sample. The evidence of momentum effect in Karachi Stock Exchange an emerging market stands distinct in the literature.

Suggested Citation

  • Habib-Ur-Rahman & Hasan M. Mohsin, 2012. "Momentum Effect: Empirical Evidence from Karachi Stock Exchange," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 51(4), pages 449-462.
    • Handle: RePEc:pid:journl:v:51:y:2012:i:4:p:449-462
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    Cited by:

    1. Neha Hussain & Burhan Rasheed & Zohair Farooq Malik & Syed Taha Fraz & Muhammad Umar Munir, 2024. "Ethics Redefined: A Comparative Study on Women on Boards vs. Attributes of Corporate Governance in the Light of Firm Performance," Journal of Economic Impact, Science Impact Publishers, vol. 6(2), pages 131-137.
    2. Jalal Shah & Attaullah Shah, 2018. "Contrarian and Momentum Investment Strategies in Pakistan Stock Exchange," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 57(3), pages 253-282.
    3. Ahmed Imran Hunjra & Tahar Tayachi & Rashid Mehmood & Sidra Malik & Zoya Malik, 2020. "Impact of Credit Risk on Momentum and Contrarian Strategies: Evidence from South Asian Markets," Risks, MDPI, vol. 8(2), pages 1-14, April.
    4. Shah Saeed Hassan Chowdhury & Rashida Sharmin & M Arifur Rahman, 2019. "Presence and Sources of Contrarian Profits in the Bangladesh Stock Market," Global Business Review, International Management Institute, vol. 20(1), pages 84-104, February.

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