The momentum effect has been extensively studied in previous studies. However, this topic has received scarce attention in Pakistan’s stock market. We investigate the influence of momentum strategies on the stock returns by utilizing the capital assets pricing model (CAPM), Carhart four-factor model, 25 momentum strategies and by employing 466 firms’ data from Pakistan stock markets over the period from 2009 to 2017. The results suggest the inexistence of momentum effects in the Pakistan Stock Exchange. The CAPM can explain the momentum profit of 6/1 and 9/1 strategies. The results of the Carhart four-factor model reveals a positive and significant relationship between portfolios’ return and market and value premium. Conversely, there is a negative and significant relationship between portfolios’ return and size and momentum factor. For momentum strategies, 3 out of 25 zero-cost portfolios are positive and statistically significant, confirming a momentum effect. However, with 6 and 9 months of formation period and 1 month of the holding period (6/1; 9/1), the portfolios generate a significantly high return. This study contributes new knowledge to the momentum literature, providing new perspectives to understand the momentum effect in an emerging market like Pakistan.

动量效应已经在先前的研究中进行了广泛的研究。但是，这个话题在巴基斯坦的股票市场上很少受到关注。我们通过利用资本资产定价模型（CAPM），Carhart四因素模型，25种动量策略以及采用2009年至2017年期间来自巴基斯坦股市的466家公司数据，研究了动量策略对股票收益的影响。结果表明，巴基斯坦证券交易所没有动量效应。CAPM可以解释6/1和9/1策略的动量利润。Carhart四因素模型的结果表明，投资组合的回报与市场和价值溢价之间存在正向和显着的关系。相反，投资组合的回报与规模和动量因子之间存在负显着的关系。对于动量策略，在25个零成本投资组合中，有3个是积极的并且具有统计意义，确认了动量效应。但是，在形成期为6个月和9个月的情况下，以及持有期为1个月的情况下（6/1; 9/1），投资组合产生了很高的回报。这项研究为动量文献提供了新知识，为了解诸如巴基斯坦这样的新兴市场的动量影响提供了新的视角。