Disposition Effect: Evidence from the Karachi Stock Exchange

摘要

The aim of this paper is to empirically investigate holding periods, illiquidity and disposition effect in Karachi Stock Exchange (KSE). KSE 100 Index daily data were collected for a period of five year i.e. 2008-2012. Daily returns, holding periods, illiquidity and volatility were calculated through this data. The results have revealed that Holding periods were found positively related to illiquidity and stock returns. Keywords: Disposition effect, illiquidity, holding periods, Anomaly, KSE