This thesis is an investigation into the market efficiency of emerging markets. A sample containing equities from 15 emerging markets from around the world in the time period of January 1990 to April 2016 is looked into. The thesis sheds light on the literature on market efficiency, emerging markets, investors protection, and momentum. The works of Titman & Jegadeesh (1993), Moskowitz, Ooi & Pedersen (2012) on momentum as well as the works of La Porta et al. (1998) and Djankov et al. (2006) on investor protection are the primary sources of inspiration for the analysis. The tests for the market efficiency are conducted by testing for momentum in both the cross section and the time-series of a large sample of equity data. Equity indices are also tested for whether they follow a random walk or exhibit signs of autocorrelation. The thesis finds evidence of time-series momentum trading strategy outperforming a similar US strategy in 5/15 countries, Statistically significant cross-sectional momentum in 4/15 countries. And autocorrelation in 7/15 countries. There is no significant correlation between the resulting figures of the different analysis. The results are regressed on indices which quantify different aspects of investor protection. Evidence is found that momentum in the time-series can be explained by an index representing rule of law as well as well as one representing the ability to repatriate capital. The coefficients for these results are negative, thus indicating that market efficiency is positively related to investor protection.
|Educations||MSc in Finance and Investments, (Graduate Programme) Final Thesis|
|Number of pages||76|