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


  • Kamal, Mona


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.

Suggested Citation

  • Kamal, Mona, 2014. "Studying the Validity of the Efficient Market Hypothesis (EMH) in the Egyptian Exchange (EGX) after the 25th of January Revolution," MPRA Paper 54708, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:54708

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    References listed on IDEAS

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    14. repec:pri:cepsud:91malkiel is not listed on IDEAS
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    Cited by:

    1. Batiston Marques, Thales & Seixas dos Santos, Nelson, 2016. "Do Political News Affect Financial Market Returns? Evidences from Brazil," MPRA Paper 75530, University Library of Munich, Germany.

    More about this item


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

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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