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Momentum Effect: Empirical Evidence from Karachi Stock Exchange

Habib-Ur Rahman and Hasan Mohsin ()
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Habib-Ur Rahman: Shaheed Zulfiqar Ali Bhotto Institute of Science and Technology (SZABIST), Islamabad

The Pakistan Development Review, 2012, vol. 51, issue 4, 449-462

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.

Keywords: Momentum Effect; Stock Returns; Zero-cost Momentum Portfolio; Winner Stock; Looser Stock. (search for similar items in EconPapers)
Date: 2012
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