Stock Market Anomalies In Emerging Markets Some Evidence From Egypt PDF Download
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Author | : Ahmed A. El-Masry |
Publisher | : |
Total Pages | : |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Stock Market Anomalies in Emerging Markets - Some Evidence From Egypt Book in PDF, ePub and Kindle
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.
Author | : Mr.Mauro Mecagni |
Publisher | : International Monetary Fund |
Total Pages | : 31 |
Release | : 1999-04-01 |
Genre | : Business & Economics |
ISBN | : 145184672X |
Download The Egyptian Stock Market Book in PDF, ePub and Kindle
The paper examines the behavior of stock returns in the Egyptian stock exchange, the efficiency of the market in pricing securities, and the relationship between returns and conditional volatility. GARCH(p,q)-M models estimated for the four best known daily indices indicate significant departures from the efficient market hypothesis; the tendency for returns to exhibit volatility clustering; and a significant positive link between risk and returns, which was significantly affected during the market downturn that followed the introduction of circuit breakers in the form of symmetric price limits on individual shares.
Author | : Elroy Dimson |
Publisher | : CUP Archive |
Total Pages | : 328 |
Release | : 1988-03-17 |
Genre | : Business & Economics |
ISBN | : 9780521341042 |
Download Stock Market Anomalies Book in PDF, ePub and Kindle
Author | : Hassan Youssef Aly |
Publisher | : |
Total Pages | : 8 |
Release | : 2004 |
Genre | : |
ISBN | : |
Download An Analysis of Day-of-The-Week Effects in the Egyptian Stock Market Book in PDF, ePub and Kindle
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.
Author | : Mauro Mecagni |
Publisher | : |
Total Pages | : 44 |
Release | : 1999 |
Genre | : Egypt |
ISBN | : |
Download Efficiency and Risk-return Analysis for the Egyptian Stock Exchange Book in PDF, ePub and Kindle
Author | : Samer Abdel Muhdi Al-Rjoub |
Publisher | : |
Total Pages | : 211 |
Release | : 2002 |
Genre | : |
ISBN | : |
Download Market Anomalies in the United States Stock Market Book in PDF, ePub and Kindle
Author | : Samer Al-Rjoub |
Publisher | : |
Total Pages | : 0 |
Release | : 2002 |
Genre | : |
ISBN | : |
Download Market Anomalies in the United States Stock Market Book in PDF, ePub and Kindle
Author | : Samer Abdel Muhdi AL-Rjoub |
Publisher | : |
Total Pages | : 422 |
Release | : 2002 |
Genre | : |
ISBN | : |
Download Market Anomalies in the U.S. Stock Market Book in PDF, ePub and Kindle
Author | : Srividya Subramaniam |
Publisher | : LAP Lambert Academic Publishing |
Total Pages | : 240 |
Release | : 2014-09-05 |
Genre | : |
ISBN | : 9783659592843 |
Download Equity Market Anomalies Book in PDF, ePub and Kindle
Extensive literature exists confirming the presence of equity market anomalies for mature markets. Similar evidence for emerging markets including India is limited and more recent in origin. This book is an empirical study of prominent equity market anomalies viz. size, value, momentum, liquidity, accruals, profitability, stock issues and repurchases for select emerging markets - Brazil, China, India, Indonesia, South Korea and South Africa. The CAPM, Fama French model and augmented Fama French models are used in the study. The four factor liquidity augmented Fama French model is a better descriptor of asset pricing compared to CAPM and Fama French model only in the Indian context. The Fama French model seems to be an appropriate performance benchmark for other sample emerging markets. The findings will be highly useful to global portfolio managers, investment analysts as well as institutional investors in decisions regarding international portfolio construction and diversification. Academicians and researchers in the area of asset pricing would also benefit from these results. The study contributes to asset pricing and behavioral finance literature especially for emerging markets.
Author | : Hisham Farag Omar |
Publisher | : |
Total Pages | : |
Release | : 2012 |
Genre | : |
ISBN | : |
Download Essay on Price Overreaction and Price Limits in Emerging Markets Book in PDF, ePub and Kindle
The main objective of this thesis is to investigate the short and long-term overreaction phenomenon in the Egyptian stock market. In addition, the thesis investigates links between stock market regulatory policies (price limits and circuit breakers) and the profitability of contrarian strategies. Finally, the study examines the effect of regime switch - from strict price limits to circuit breakers - on the volatility spillover, delayed price discovery and trading interference hypotheses. Using data from the Egyptian stock exchange, I find that a panel data approach adds a new dimension to the existing models, offers interesting additional insights and reveals the importance of the role of unobservable firm-specific factors in addition to observable factors in the analysis of the overreaction phenomenon. Moreover, portfolios based on unobserved factors i.e. management quality, corporate governance and political connections of board members, significantly outperform traditional portfolios based on size. Results also show evidence of genuine long-term overreaction phenomenon in the Egyptian stock market as the contrarian profits of the arbitrage portfolio cannot be attributed to the small firm effect, formation period length, and stability of time varying factor or seasonality effect. Finally, switching from a strict price limit to a circuit breakers regime increases stock price volatility and disrupts the price discovery mechanism in the Egyptian stock market.