This Finance Dissertation Explores Momentum Trading Strategy on the UK Stock Market: Challenging Efficient Market Hypothesis. A number of studies have illustrated that stock returns may be predictable through implementing a momentum trading strategy, which contradicts the whole concept of the Efficient Market Hypothesis. This dissertation will discuss the Efficient Market Hypothesis and focus on its challenges in the face of behavioural finance. In addition, empirical research is conducted to test whether a momentum strategy can be implemented to successfully beat the market. This dissertation draws on the framework developed by Jegadeesh and Titman (1993), while also taking ideas from other relevant scholars in the field, and analyses the monthly returns generated from the momentum strategy used, examining whether the returns in each constructed portfolio is greater than the return of the UK stock market (FTSE All-Share market index) for the period 2016, based around Brexit, an event
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