Browsing by Author "Zhang, Ziyi"

The efficient market hypothesis EMH (efficient market hypothesis) has long been a cornerstone theory in finance, serving as the basis for understanding the behaviour and efficiency of financial markets. This thesis tests the market efficiency in the Nordic stock market by the momentum and the short-term reversal strategies and finds strong evidence against the EMH. By comparing the trading strategies’ excess returns over the benchmark in different market conditions, this thesis found that the market stocks of smaller sizes, lower valuation, and lower liquidity are less efficient. Besides, the results of this thesis are also consistent with the traits of the Nordic stock market, such as its focus on technology stocks, and dominance of a small number of highly liquid stocks.