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.
Shahid Rasheed, Umar Saood, Waqar Alam, Muhammad Imran Ullah. (2019) Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange, Abasyn Journal of Social Sciences, Volume-12, Issue-1.
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