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Can investors benefit from momentum trading? Evidence from an emerging market

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  • Sana Tauseef
  • Mohammad Nishat

    (Institute of Business Administration, Karachi)

Abstract

It is claimed that momentum trading strategies generate positive returns. This paper investigates the profitability of momentum investment strategies and their determinants for stocks listed on the Pakistan Stock Exchange using data from the period 2001 to 2015. The results reveal that momentum returns for Pakistani stocks are as high as the returns reported for developed markets. Moreover, the returns earned over the sub-period 2001 to 2007 are mostly positive, whereas those earned over the sub-period 2009 to 2015 are mostly negative. Momentum returns in Pakistan, however, are not caused by temporary over or under reaction of investors in the market, neither can they be explained by the beta or size factor.

Suggested Citation

  • Sana Tauseef & Mohammad Nishat, 2018. "Can investors benefit from momentum trading? Evidence from an emerging market," Business Review, School of Economics and Social Sciences, IBA Karachi, vol. 13(1), pages 21-36, January-J.
    • Handle: RePEc:aho:journl:v:13:y:2018:i:1:p:21-36
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    File URL: https://businessreview.iba.edu.pk/articles/momentumstrategiess.pdf
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    References listed on IDEAS

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    Cited by:

    1. Renata Guobužaitė & Deimantė Teresienė, 2021. "Can Economic Factors Improve Momentum Trading Strategies? The Case of Managed Futures during the COVID-19 Pandemic," Economies, MDPI, vol. 9(2), pages 1-16, May.

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