Bookcover of Momentum Strategies and Karachi Stock Exchange
Booktitle:

Momentum Strategies and Karachi Stock Exchange

LAP LAMBERT Academic Publishing (2016-06-07 )

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ISBN-13:

978-3-659-90079-2

ISBN-10:
3659900796
EAN:
9783659900792
Book language:
English
Blurb/Shorttext:
Momentum strategies are generally accepted strategies around the world for measuring the momentum effect in international capitals markets. The objectives of this study is to investigate the momentum effect in Karachi stock exchange by taking the CAPM model as an assumption of investor’s momentum hypothesis. This study analyzed 16 momentum strategies based on partial rebalancing, Docile, and equal weighted techniques. The returns of zero cost portfolios were positive in four out of 16 strategies. Moreover a diminishing trend in losses stated in 14 strategies has observed. Our analysis confirmed that loser portfolio is solitarily producing profit of our zero cost portfolios. This study concluded that Winner and winner minus loser’s portfolio firms of KSE do not follow the momentum effect while loser’s portfolio firms of KSE follow the momentum effect. This study concluded and found low but significant momentum effect at Karachi stock exchange. A further possibility of momentum is existing in KSE if the sample is increased and uses the daily data of listed company at KSE-100 index.
Publishing house:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
By (author) :
Sher Khan, Muhammad Fahad Siddiqui, Shakir Ullah Khan
Number of pages:
52
Published on:
2016-06-07
Stock:
Available
Category:
Management
Price:
35.90 €
Keywords:
Karachi Stock Exchange, Momentum Effect, Momentum Strategies, Winners, Loosers and Zero Cost Portfolio, Systmatic Risk

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