Sher Khan
Momentum Strategies and Karachi Stock Exchange
Buch
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 pro…
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Beschreibung
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.
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Produktdetails
Weitere Autoren: Fahad Siddiqui, Muhammad / Khan, Shakir Ullah
- ISBN: 978-3-659-90079-2
- EAN: 9783659900792
- Produktnummer: 37579752
- Verlag: LAP Lambert Academic Publishing
- Sprache: Englisch
- Erscheinungsjahr: 2016
- Seitenangabe: 52 S.
- Masse: H22.0 cm x B15.0 cm x D0.3 cm 96 g
- Abbildungen: Paperback
- Gewicht: 96
Über den Autor
Sher Khan --Qualifications:MS (Management Sciences)in Finance, Institute of Business and Management Sciences, The University of Agriculture Peshawar, kpk-Pakistan--MBA(Finance) from Institute of Management Sciences Peshawar Pakistan )Nationality: Pakistani
30 weitere Werke von Sher Khan:
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