Master of Science in Economics
Department of Economics
Date of Award
Dr. Mohammad Nishat
Committee Member 1
Dr. Mohammad Nishat, Institute of Business Administration, Karachi
Empirical research on the proﬁtability of momentum investment strategies in emerging equity markets has presented mixed ﬁndings and therefore the momentum patterns in emerging equity markets have not been explained to the unanimous satisfaction of the researchers. This research examines the momentum returns and their determinants for stocks listed on Pakistan Stock Exchange using the data from 2001 to 2015. The analysis is also performed for the two sub-periods, from 2001 to 2007 and from 2009 to 2015, and the two sub-samples, ﬁnancial ﬁrms and non- ﬁnancial ﬁrms. Results show that over the complete sample period the momentum returns are positive and as high as the returns reported in early literature (for example, Jegadeesh & Titman, 1993), but they are not statistically significant. Similar results are obtained for the two sub-samples; however, for the two sub-periods, the momentum strategy yields completely contrasting results. For the ﬁrst sub-period which experienced a high economic growth, low inflation and better governance, the momentum portfolios earned signiﬁcant positive returns; whereas for the second sub-period which experienced a low economic growth, high inﬂation and poor governance, momentum returns are negative for most of the portfolios. Analysis also shows that momentum portfolios continue earning positive returns beyond the holding period indicating that the returns are not caused by temporary over- or under-reaction of investors in the market and they must be related to some systematic risk factors. However, the study does not ﬁnd any evidence of relationship between beta and size factors and the momentum returns.
Tauseef, S. (2016). Profitability and predictability of momentum investment strategy for stocks listed on Pakistan stock exchange (Unpublished master's thesis). Institute of Business Administration, Pakistan. Retrieved from https://ir.iba.edu.pk/etd/45
The full text of this document is only accessible to authorized users.