An Analysis of Day-of-The-Week Effects in the Egyptian Stock Market
8 Pages Posted: 27 May 2004
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.
Keywords: Egyptian stock market, Monday effect, Efficient market hypothesis
JEL Classification: G150, G140, O530
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