Studying the Validity of the Efficient Market Hypothesis (EMH) in the Egyptian Exchange (EGX) after the 25th of January Revolution
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.
|Date of creation:||23 Mar 2014|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Eugene F. Fama, .
"Market Efficiency, Long-term Returns, and Behavioral Finance,"
CRSP working papers
340, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Fama, Eugene F., 1998. "Market efficiency, long-term returns, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 49(3), pages 283-306, September.
- Eugene F Fama, . "Market Efficiency, Long-Term Returns, and Behavioral Finance," CRSP working papers 448, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Lagoarde-Segot, Thomas & Lucey, Brian M., 2008. "Efficiency in emerging markets--Evidence from the MENA region," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 94-105, February.
- Grossman, Sanford J & Stiglitz, Joseph E, 1980.
"On the Impossibility of Informationally Efficient Markets,"
American Economic Review,
American Economic Association, vol. 70(3), pages 393-408, June.
- Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
- J. Doyne Farmer, 1998.
"Market Force, Ecology, and Evolution,"
Research in Economics
98-12-117e, Santa Fe Institute.
- Figlewski, Stephen C, 1978. "Market "Efficiency" in a Market with Heterogeneous Information," Journal of Political Economy, University of Chicago Press, vol. 86(4), pages 581-97, August.
- Granger, Clive W. J., 1992. "Forecasting stock market prices: Lessons for forecasters," International Journal of Forecasting, Elsevier, vol. 8(1), pages 3-13, June.
- Grossman, Sanford J, 1976. "On the Efficiency of Competitive Stock Markets Where Trades Have Diverse Information," Journal of Finance, American Finance Association, vol. 31(2), pages 573-85, May.
- Timmermann, Allan & Granger, Clive W. J., 2004.
"Efficient market hypothesis and forecasting,"
International Journal of Forecasting,
Elsevier, vol. 20(1), pages 15-27.
- Pyemo Afego, 2012. "Weak Form Efficiency of the Nigerian Stock Market: An Empirical Analysis (1984 – 2009)," International Journal of Economics and Financial Issues, Econjournals, vol. 2(3), pages 340-347.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Elgilani E. Elshareif & Akram S. Hasanov & Hui-Boon Tan, 2009. "Unexpected Volatility Shifts and Efficiency of Emerging Stock Market: The Case of Malaysia," NUBS Malaysia Campus Research Paper Series 2009-05, Nottingham University Business School Malaysia Campus.
- Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
- Rafaqet Ali & Muhammad Afzal, 2012. "Impact of global financial crisis on stock markets: Evidence from Pakistan and India," E3 Journal of Business Management and Economics., E3 Journals, vol. 3(7), pages 275-282.
- Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
- Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 59-82, Winter.
- Keith Jefferis & Graham Smith, 2005. "The Changing Efficiency Of African Stock Markets," South African Journal of Economics, Economic Society of South Africa, vol. 73(1), pages 54-67, 03.
- Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Working Papers 111, Princeton University, Department of Economics, Center for Economic Policy Studies..
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:54708. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.