Momentum Effect in Stock Market: Empirical from Pakistan Stock Exchange
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 20...
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| Format: | Journal |
| Language: | en |
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2019
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| Online Access: | http://ur.aeu.edu.my/740/1/Momentum%20Effect%20in%20Stock%20Market%20Empirical%20Evidence%20from%20Pakistan.pdf http://ur.aeu.edu.my/740/ |
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| author | Shahid, Rasheed Umar, Saood Waqar, Alam |
| author_facet | Shahid, Rasheed Umar, Saood Waqar, Alam |
| author_sort | Shahid, Rasheed |
| building | AEU Library |
| collection | Institutional Repository |
| content_provider | Asia e University |
| content_source | AEU University Repository |
| continent | Asia |
| country | Malaysia |
| description | 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. |
| format | Journal |
| id | my-aeu-eprints.740 |
| institution | Asia e University |
| language | en |
| publishDate | 2019 |
| record_format | eprints |
| spelling | my-aeu-eprints.7402020-05-22T04:47:33Z http://ur.aeu.edu.my/740/ Momentum Effect in Stock Market: Empirical from Pakistan Stock Exchange Shahid, Rasheed Umar, Saood Waqar, Alam HD Industries. Land use. Labor 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. 2019 Journal PeerReviewed text en http://ur.aeu.edu.my/740/1/Momentum%20Effect%20in%20Stock%20Market%20Empirical%20Evidence%20from%20Pakistan.pdf Shahid, Rasheed and Umar, Saood and Waqar, Alam (2019) Momentum Effect in Stock Market: Empirical from Pakistan Stock Exchange. Abasyn Journal of Social Science, 12 (1). |
| spellingShingle | HD Industries. Land use. Labor Shahid, Rasheed Umar, Saood Waqar, Alam Momentum Effect in Stock Market: Empirical from Pakistan Stock Exchange |
| title | Momentum Effect in Stock Market: Empirical from Pakistan Stock Exchange |
| title_full | Momentum Effect in Stock Market: Empirical from Pakistan Stock Exchange |
| title_fullStr | Momentum Effect in Stock Market: Empirical from Pakistan Stock Exchange |
| title_full_unstemmed | Momentum Effect in Stock Market: Empirical from Pakistan Stock Exchange |
| title_short | Momentum Effect in Stock Market: Empirical from Pakistan Stock Exchange |
| title_sort | momentum effect in stock market: empirical from pakistan stock exchange |
| topic | HD Industries. Land use. Labor |
| url | http://ur.aeu.edu.my/740/1/Momentum%20Effect%20in%20Stock%20Market%20Empirical%20Evidence%20from%20Pakistan.pdf http://ur.aeu.edu.my/740/ |
| url_provider | http://ur.aeu.edu.my/ |