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

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  • Kamal, Mona

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.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 54708.

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Date of creation: 23 Mar 2014
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Handle: RePEc:pra:mprapa:54708

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Keywords: The Egyptian Exchange (EGX); the Efficient Market Hypothesis (EMH).;

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