Munich Personal RePEc Archive

Studying the Validity of the Efficient Market Hypothesis (EMH) in the Egyptian Exchange (EGX) after the 25th of January Revolution

Kamal, Mona (2014): Studying the Validity of the Efficient Market Hypothesis (EMH) in the Egyptian Exchange (EGX) after the 25th of January Revolution.

[img]
Preview
PDF
MPRA_paper_54708.pdf

Download (161kB) | Preview

Abstract

There is no doubt that the close of the Egyptian Exchange (EGX) during the period 28/1- 22/3/2011 in the wake of 25th of January Revolution has a consequence on the efficiency of the stock market. This paper assesses the 'close-open-effect' on the main price indices. The results indicate the absence of unit roots in the main price indices before and after the revolution. This implies the rejection of weak-form efficiency. The estimation of the (EGARCH model) reflects information asymmetry after the revolution with bad news affecting the investors’ expectations more rapidly. In addition, a negative and significant 'close-open-effect' on the returns of the main price index is evident in the results.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.