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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
Organization Unit
Authors
  • Khongorzul Tudev
Supervisors
  • Henrik Hasseltoft
Language
  • English
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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