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BUSINESS AND ECONOMICS RESEARCH JOURNAL

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Article Information


Journal:
Business and Economics Research Journal
Title of Article: Holding Periods, Illiquidity and Disposition Effect in a Developing Economy
Author(s): Muhammad Aftab, Zulfiqar Ali Shah, Rauf A. Sheikh
Volume: 3
Number: 1
Year: 2012
Page: 17-26
ISSN: 1309-2448

Abstract

This paper aims to empirically investigate holding periods, illiquidity and disposition effect in Karachi Stock Exchange (KSE). KSE 100 Index Companies daily data were collected for a period of five year i.e. 2003-2007. Daily returns, holding periods, illiquidity and volatility were calculated through this data. These variables were regressed in models used by Visaltanachoti et al. (2007) to calculate annual holding periods, illiquidity and disposition effect. The results have revealed that there exists disposition effect in KSE. Holding periods were found positively related to illiquidity and negatively associated with stock returns. Further, holding periods were long for illiquid stocks and short for less illiquid stocks. The study is significant in the sense that it’s perhaps the first study conducted in a developing country like Pakistan.

Keywords: Disposition effect, illiquidity, holding periods, Anomaly, KSE

JEL Classification: D03, D80, G11

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