Day-of-the-week and Size Effects on the Egyptian Stock Market
| Author | : Waiel Faheem |
| Publisher | : |
| Total Pages | : 58 |
| Release | : 1998 |
| Genre | : Egypt |
| ISBN | : |
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Day Of The Week And Size Effects On The Egyptian Stock Market PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Day Of The Week And Size Effects On The Egyptian Stock Market PDF full book. Access full book title Day Of The Week And Size Effects On The Egyptian Stock Market.
An Analysis of Day-of-The-Week Effects in the Egyptian Stock Market
| Author | : Hassan Youssef Aly |
| Publisher | : |
| Total Pages | : 8 |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
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This study investigates daily stock market anomalies in the Egyptian stock market using its major stock index, the Capital Market Authority Index (CMA), to shed some light on the degree of market efficiency in an emerging capital market with a four-day trading week. The results indicate that Monday returns in the Egyptian stock market are positive and significant on average, but are not significantly different from returns of the rest of the week. Thus, no evidence was uncovered to support any daily seasonal patterns in the Egyptian stock market, indicating that stock market returns are consistent with the weak form of market efficiency. These results should be interpreted with caution since the Egyptian stock market has only a limited number of stocks that are actively traded.
Stock Market Anomalies in Emerging Markets - Some Evidence From Egypt
| Author | : Ahmed A. El-Masry |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
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The study investigates the existence of four well-known anomalies; day of the week, January effect, size effect and value effects. In addition it also examines the robustness of the factor model provided by Fama and French (1992). Using two local indices the study has reported the existence of the weekday effect and January effect during the period 1998-2006. For the size and value effects, interestingly it has been found that big high book-to-market equity firms outperform its small low book-to-market counterparts and the three factor model can largely explain the stock market variations over the period of 2001-2006. Moreover, our possible explanation is that the weekday effect is due to psychological factors of traders and reformulation of their portfolios. However the January effect is attributed to the behaviour of institutional investors and the release of financial statements at the end of the year. Nevertheless, the size and value effects can be attributed to the irrational behaviour of individual investors in the Egyptian stock market.
Does the Egyptian Stock Exchange Still Have a Day-End Effect?
| Author | : Eskandar A. Tooma |
| Publisher | : |
| Total Pages | : |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
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This paper utilizes both parametric and nonparametric analysis to test whether the introduction of a volume weighted average price (VWAP) mechanism for closing a trading session on the Cairo and Alexandria Stock Exchange (CASE) has eliminated the day-end phenomenon or not. Results provide evidence that: (1) the day-end effect is still present and significant on the CASE; (2) the effect is significantly larger for stocks that are restricted by 5% price limits; and (3) counter to U.S. market data the effect is significantly higher for high-price stocks.
The Day of the Week Effect of Stock Returns
| Author | : Sedeaq Nassar |
| Publisher | : |
| Total Pages | : 10 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
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This study examines the presence of one of the prominent anomalies which is the day of the week effect anomaly in five of Arab stock exchanges which are (Qatar, Amman, Palestine, Egypt, and Bahrain stock exchanges) cover the period from May 2010 to April 2014. By using one-way analysis of variance (ANOVA) analysis and Post Hoc Tests, the study indicates that there is no existence of the day of the week effect in each of (Qatar, Amman, Egypt, and Bahrain stock exchange) while it is presence in Palestine stock exchange where the lowest return is in Sunday (the first trading day of the week) and the highest return is in Tuesday.
The Day-of-the-Week Effect
| Author | : Marc Häfliger |
| Publisher | : |
| Total Pages | : |
| Release | : 2012 |
| Genre | : |
| ISBN | : |
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This master thesis examines the day-of-the-week effect. The day-of-the-week effect is a stock market anomaly which challenges the Efficient Market Hypothesis, because in an efficient market the returns should be evenly distributed across the weekdays. This comprehensive analysis looks at the day-of-the-week effect from three different points of view: international evidence, size effect and market environment. To test the significance of the results, the Kruskal-Wallis test was applied. The analysis of 26 stock market indices from 1990 to 2011 and two sub-periods (1990-2000 and 2001-2011) gave evidence that the effect still existed in some countries, but diminished over time and was stronger for emerging stock markets. A significant day-of-the-week effect for all three periods analyzed was detected in Chile, Indonesia, Malaysia, the Philippines, Thailand and Turkey. The test of the size effect showed that the day-of-the-week effect was stronger for indices with lower capitalized stocks. In addition, this study found evidence that the day-of-the-week effect was more pronounced during times of low implied volatility, however, the results were not significant.
Day-of-the-Week Effect Revisited
| Author | : Mehmet F. Dicle |
| Publisher | : |
| Total Pages | : 22 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
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The aim of this study is to determine whether the DOW effect still exists, and to evaluate empirically the explanations of the DOW effect for international equity markets. Evaluating 51 markets in 33 countries for the period between January, 2000 and December, 2007, reveals that the DOW effect persists for a significant proportion of equity markets. Evaluating open-to-close returns, liquidity, size effect and possible spill-over effects, the DOW effect can be explained for almost of all the exchanges. Individual stock analysis, covering 37,631 stocks traded in 51 equity markets shows that a DOW effect in returns exists for a statistically significant proportion of individual stocks in almost all of the markets in the study. Even markets without a market-level DOW effect contain a surprisingly large proportion of stocks with individual-level DOW effects. Interestingly, this proportion is only marginally lower than that which is found in markets with a market-level DOW effect.
The Commercial and Financial Chronicle
| Author | : |
| Publisher | : |
| Total Pages | : 1260 |
| Release | : 1917 |
| Genre | : Banks and banking |
| ISBN | : |
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The Commercial & Financial Chronicle ...
| Author | : |
| Publisher | : |
| Total Pages | : 950 |
| Release | : 1911 |
| Genre | : Banks and banking |
| ISBN | : |
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Proceedings of the International Conference on Advanced Intelligent Systems and Informatics 2020
| Author | : Aboul Ella Hassanien |
| Publisher | : Springer Nature |
| Total Pages | : 893 |
| Release | : 2020-09-19 |
| Genre | : Technology & Engineering |
| ISBN | : 3030586693 |
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This book presents the proceedings of the 6th International Conference on Advanced Intelligent Systems and Informatics 2020 (AISI2020), which took place in Cairo, Egypt, from October 19 to 21, 2020. This international and interdisciplinary conference, which highlighted essential research and developments in the fields of informatics and intelligent systems, was organized by the Scientific Research Group in Egypt (SRGE). The book is divided into several sections, covering the following topics: Intelligent Systems, Deep Learning Technology, Document and Sentiment Analysis, Blockchain and Cyber Physical System, Health Informatics and AI against COVID-19, Data Mining, Power and Control Systems, Business Intelligence, Social Media and Digital Transformation, Robotic, Control Design, and Smart Systems.
