Graduate papers
Description of the graduate paper
Form of studies Professional Master
Title of the study programm Business Administration
Title in original language Laika sēriju dinamika Baltijas akciju tirgos
Title in English Time Series Momentum in the Baltic Equity Markets
Department 01B00 Riga Business School
Scientific advisor R.Lieksnis
Reviewer R.Lucijanovs
Abstract EXECUTIVE SUMMARY The purpose of this master thesis is to investigate Baltic equity market during period of 2000-2015 verifying if there is Time Series momentum (TSMOM) anomaly in Baltic equity market and if Time Series momentum strategy can outperform passive market buy and hold strategy. In order to find Time Series momentum anomaly evidence, author has created 25 different TSMOM portfolios (varying lookup and holding time combinations – 1,3,6,9,12 months) from stocks in Baltic Equity market. Results were compared with Passive long term buy and hold strategy for the same sample. Afterwards t-tests were conducted to verify result significance, Jensen’s alpha was calculated through regression to understand if strategy bring enough returns for risk taken, and back testing with sample from 2010-2015 was made in order to verify results. Author analyzed daily and monthly data from 6 main Baltic, 9 Baltic sector, 2 USA, 2 Europe indices and daily data from ~370 Companies those stocks has been traded between years 2000-2015. The author found significant TSMOM returns in Baltic equity market in sample from 2005-2009, those were higher than buy and hold strategy returns. Positive Jensen’s alpha value was received indicating that risk is rewarded properly. Author discovered that TSMOM returns are lower in sample from 2010-2015 showing similarities to researches in other markets, that TSMOM highest profits are in extreme market conditions, who were in place in 2005-2009 where Baltic Equity market was in the beginning rising and then rapidly crushing. Author found that the best results can be achieved with TSMOM strategies where lookup/holding period sum is less than 15 month as then anomaly reverses and TSMOM portfolio in longer term tends to underperform the market. From this research author has concluded that there is TSMOM anomaly in Baltic Equity market, best TSMOM strategy for Baltic markets has been proved to be 3 month lookup and 1 month holding period, and it best could be used in extreme market conditions.
Keywords Laika sēriju dinamika, Baltijas akciju tirgus, Akciju anomālijas, Efektīva tirgus hipotēze, Jensena alfa koeficients
Keywords in English Time series momentum, Baltic Equity market, Stock anomalies, Effiecient market hypothesis, Jensen's alpha
Language eng
Year 2017
Date and time of uploading 09.01.2017 16:46:07