文章基本信息

标题：KSE:a look at sub-variants of price momentum strategy
本地全文：下载
作者：Abdullah Ejaz ; Petr Polak
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2014
卷号：11
期号：4
页码：200-211
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：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 give 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 intraday trading volume and emerging stock markets.
关键词：Karachi Stock Exchange;KSE-100 index;w-l portfolios;price momentum investment strategy;trading volume based momentum strategies;weekly price momentum strategies.