Comparison of Disposition Effect: Evidence from Karachi and Nepal Stock Exchange

摘要

This study is being done to investigate holding periods, illiquidity and disposition effect in Karachi Stock Exchange (KSE) and Nepal Stock Exchange (NSE). Data from KSE and NSE was collected for a sampling period from 2007-2010. The data helped us to calculate the daily returns, holding periods, illiquidity and volatility. Annual holding periods and pride seeking and risk avoiding behavior i.e. disposition effect were calculated by regressing the variables using the models which were used by Visaltanachoti et. al (2007). The results show disposition in KSE, holding periods are positively related with illiquidity. For illiquid stocks, holding periods are longer and for less illiquid stocks these are lesser. Holding periods were found negatively associated with stock returns. But on NSE, disposition effect is absent because holding periods were negatively related with illiquidity and positively associated with returns. The study is significant as it compares the disposition effect across two emerging economies.