Holding Periods, Illiquidity and Disposition Effect in a Developing Economy

Muhammad Aftab (), Zulfiqar Ali Shah and Rauf A. Sheikh
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Muhammad Aftab: International Islamic University
Zulfiqar Ali Shah: International Islamic University
Rauf A. Sheikh: International Islamic University

Business and Economics Research Journal, 2012, vol. 3, issue 1, 17

Abstract: This paper aims to empirically investigate holding periods, illiquidity and disposition effect in Karachi Stock Exchange (KSE). KSE 100 Index Companies daily data were collected for a period of five year i.e. 2003-2007. Daily returns, holding periods, illiquidity and volatility were calculated through this data. These variables were regressed in models used by Visaltanachoti et al. (2007) to calculate annual holding periods, illiquidity and disposition effect. The results have revealed that there exists disposition effect in KSE. Holding periods were found positively related to illiquidity and negatively associated with stock returns. Further, holding periods were long for illiquid stocks and short for less illiquid stocks. The study is significant in the sense that it’s perhaps the first study conducted in a developing country like Pakistan.

Keywords: Disposition effect; illiquidity; holding periods; Anomaly; KSE (search for similar items in EconPapers)
JEL-codes: D03 D80 G11 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:ris:buecrj:0072

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