ABSTRACT

Extending evidence from extant literature, this study finds the existence of realized skewness and momentum factors in the emerging stock market of Pakistan. Tick-by-tick data of listed firms at Pakistan Stock Exchange (PSX) from 1 July 2008 to 31 August 2018 is used to generate five-minute returns for computing daily estimates of realized moments. Daily measures of realized moments are averaged for each firm to obtain weekly values. The long-short cross-sectional average returns of decile portfolios based on realized skewness and momentum are positive and significant, providing enough evidence that these factors can predict future returns.

摘要

本研究扩展现有文献的证据，发现巴基斯坦新兴股票市场中存在已实现的偏度和动量因素。巴基斯坦证券交易所 (PSX) 上市公司从 2008 年 7 月 1 日至 2018 年 8 月 31 日的逐笔报价数据用于生成五分钟回报，用于计算已实现时刻的每日估计。对每家公司实现时刻的每日测量进行平均以获得每周值。基于已实现偏度和动量的十分位数投资组合的多空横截面平均回报为正且显着，提供了足够的证据表明这些因素可以预测未来的回报。