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Contribution Details
Type | Master's Thesis |
Scope | Discipline-based scholarship |
Title | A Comparative Study of Market Anomalies in Emerging Stock Markets |
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Institution | University of Zurich |
Faculty | Faculty of Economics, Business Administration and Information Technology |
Number of Pages | 77 |
Date | 2014 |
Abstract Text | This thesis is concerned with stock market anomalies in 20 emerging stock markets in three regions: APAC (PR China, India, Indonesia, Malaysia, Philippines, Taiwan, Thailand), Europe (Czech Republic, Hungary, Poland, Russia, Turkey), Middle East & Africa (Egypt, Morocco, South Africa), and Latin America (Brazil, Chile, Colombia, Mexico, Peru). I will present an extensive empirical investigation of the momentum, reversal, size, and value effects in these stock markets, including the statistical significance of my results and various asset pricing tests. |
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