Stock Market Anomalies in Emerging Markets - Some Evidence From Egypt

Journal of International Business and Finance, Vol. 1(1), pp. 137-168

Posted: 19 Nov 2018

See all articles by Ahmed A El-Masry

Ahmed A El-Masry

Coventry University Centre for Financial and Corporate Integrity ; Mansoura University, EGYPT

Mohamed A. Mekhaimer

St. John Fisher College

Date Written: July 1, 2009

Abstract

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.

Keywords: Stock Market Anomalies, January Effect, Egypt

JEL Classification: G14

Suggested Citation

El-Masry, Dr. Ahmed A and Mekhaimer, Mohamed A., Stock Market Anomalies in Emerging Markets - Some Evidence From Egypt (July 1, 2009). Journal of International Business and Finance, Vol. 1(1), pp. 137-168, Available at SSRN: https://ssrn.com/abstract=3257119

Dr. Ahmed A El-Masry (Contact Author)

Coventry University Centre for Financial and Corporate Integrity ( email )

William Morris Building
Gosford Street
Coventry, CV1 5FB
United Kingdom

Mansoura University, EGYPT ( email )

Mansoura University
Faculty of Commerce
Mansoura, Egypt
Egypt

Mohamed A. Mekhaimer

St. John Fisher College ( email )

3690 East Avenue
Rochester, NY 14618
United States

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