Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange

Abasyn Journal of Social Sciences Pub Date : 2019-06-30 DOI:10.34091/AJSS.12.1.02

Shahid Rasheed, Umar Saood, Waqar Alam, Muhammad Imran Ullah

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引用次数: 1

Abstract

This study aims to examine the momentum effect presence in selected stocks of Pakistan stock market using data from Jan 2007 to Dec 2016. This study constructed the strategies includes docile, equal weighted and full rebalancing techniques. Data was extracted from the PSX – 100 index ranging from 2007 to 2016. STATA coding ASM software was used for calculating momentum portfolios, finally top 25 stocks were considered as a winner stocks and bottom 25 stocks were taken as a loser stocks. In conclusion, the results of the study found a strong momentum effect in Pakistan stock exchange PSX 100- index. As by results it has been observed that a substantial profit can earn by the investors or brokers in constructing a portfolio with a short formation period of three months and hold for 3, 6 and 12 months. There is hardly a study is present on the same topic on Pakistan Stock Exchange as preceding studies were only conducted on individual stock markets before merger of stock markets in Pakistan while this study leads the explanation of momentum phenomenon in new dimension i.e. Pakistan Stock Exchange. Keywords: Momentum, Portfolio, Winner Stocks, Loser Stocks

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股票市场的动量效应:来自巴基斯坦证券交易所的经验证据

本研究旨在利用2007年1月至2016年12月的数据，检验巴基斯坦股市精选股票中动量效应的存在。本研究构建的策略包括温和策略、等权重策略和完全再平衡策略。数据取自2007年至2016年的PSX - 100指数。采用STATA编码ASM软件计算动量组合，最后将前25只股票作为赢家股票，将后25只股票作为输家股票。综上所述，研究结果发现巴基斯坦证券交易所psx100指数存在较强的动量效应。结果表明，投资者或经纪人在构建一个形成期为3个月的短期投资组合，并持有3个月、6个月和12个月的投资组合时，可以获得可观的利润。由于之前的研究仅针对巴基斯坦股票市场合并前的单个股票市场进行，因此几乎没有对巴基斯坦证券交易所进行相同主题的研究，而本研究在新的维度即巴基斯坦证券交易所中解释了动量现象。关键词:动量，投资组合，赢家股票，输家股票

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Abasyn Journal of Social Sciences

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