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Ownership Concentration and Cross-Autocorrelation in Portfolio Returns

Author

Listed:
  • Qamar Ishtiaq

    (Quaid-e-Azam College of Commerce, University of Peshawar)

  • Fahad Abdullah

    (Institute of Management Sciences, Peshawar)

Abstract

This study investigates cross-autocorrelation in portfolio returns which are formed on the basis of ownership concentration. The study randomly selected seventy-two firms that are listed at the Karachi Stock Exchange. Eight portfolios were formed based on ownership concentration, with each portfolio comprising of nine firms. Equally-weighted daily and weekly returns were calculated for these portfolios. Vector Auto-Regressive (VAR) and Auto-Regressive Conditional Heteroskedasticity (ARCH) models were employed to analyze the cross-autocorrelation among the portfolio returns. The results revealed that portfolios having higher concentration of ownership lead the returns of portfolio having lower concentration of ownership. The lead-lag relationship was found in daily returns for up to three days only. No evidence was found for lead-lag pattern in weakly returns

Suggested Citation

  • Qamar Ishtiaq & Fahad Abdullah, 2015. "Ownership Concentration and Cross-Autocorrelation in Portfolio Returns," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 7(2), pages 85-104, October.
    • Handle: RePEc:bec:imsber:v:7:y:2015:i:2:p:85-104
    DOI: dx.doi.org/10.22547/BER/7.2.5
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    References listed on IDEAS

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    Cited by:

    1. Shah, Mohay Ud Din & Shah, Attaullah & Khan, Safi Ullah, 2017. "Herding behavior in the Pakistan stock exchange: Some new insights," Research in International Business and Finance, Elsevier, vol. 42(C), pages 865-873.
    2. Jalal Shah & Attaullah Shah, 2018. "Contrarian and Momentum Investment Strategies in Pakistan Stock Exchange," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 57(3), pages 253-282.

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