Many things should be considered before you take this decision : Time, money and personal interests.
A master's degree usually contains courses and exams, and it takes from 1 to 3 years to be completed. Thesis is always required to get the master's degree but that depending on the program itself. Some of them requires a thesis, others give between you an obtion to choose between a thesis and exam.
A PhD degree also contains courseworks and exams, but there are some universities that offer a degree without any coursework or exams . However, it takes more time, depending on the program, usually it takes from 4 to 8 years to be completed
More information can be found in the next article.