KSE: A Look at Sub-Variants of Price Momentum Strategy

Investment Management and Financial Innovations, Vol. 11, No. 14, 2014, pp. 200-211

12 Pages Posted: 1 May 2015 Last revised: 6 May 2015

See all articles by Abdullah Ejaz

Abdullah Ejaz

University of Brunei Darussalam; Universiti Brunei Darussalam

Petr Polak

University of Brunei Darussalam

Date Written: December 1, 2014

Abstract

The objective of this paper is to examine the impacts and profitability in great detail of sub-variants of price momentum strategies on Karachi Stock Exchange (KSE) which is an emerging stock market. The sub-variants are price momentum strategies, trading volume based momentum strategies and weekly momentum strategies. It is found out that KSE is an emerging stock market which is fully integrated with existing financial global system and offers positive returns. It is also found out that price momentum strategies give positive above average statistically significant returns. Trading volume based momentum strategies and weekly momentum strategies with shorter time period gives average or below average return. Though most of weekly and trading volume momentum strategies are profitable but they should be used in combination with price momentum strategies and should have shortest formation period. Future research should focus on intra-day trading volume and emerging stock markets.

JEL Classification: G15

Suggested Citation

Ejaz, Abdullah and Ejaz, Abdullah and Polak, Petr, KSE: A Look at Sub-Variants of Price Momentum Strategy (December 1, 2014). Investment Management and Financial Innovations, Vol. 11, No. 14, 2014, pp. 200-211, Available at SSRN: https://ssrn.com/abstract=2600842

Abdullah Ejaz (Contact Author)

University of Brunei Darussalam ( email )

Jalan Tungku Link
Gadong
Bandar Seri Begawan, BE1410
Brunei
+673 2463001 (Phone)

HOME PAGE: http://www.ubd.edu.bn

Universiti Brunei Darussalam ( email )

Jalan Tungku Link
Gadong
Bandar Seri Begawan, BE1410
Brunei
+673 2463001 (Phone)

HOME PAGE: http://www.ubd.edu.bn

Petr Polak

University of Brunei Darussalam ( email )

Jalan Tungku Link
Gadong
Bandar Seri Begawan, BE1410
Brunei

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