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الرئيسية > Calendar Anomalies Evidence fr...>الوصف

Calendar Anomalies Evidence from Egyptian Stock Market

المصدر: مجلة البحوث الإدارية
الناشر: أكاديمية السادات للعلوم الإدارية - مركز البحوث والاستشارات والتطوير
المؤلف الرئيسي: Shhawy, Tarek M. (Author)
المجلد/العدد: مج34, ع4
محكمة: نعم
الدولة: مصر
التاريخ الميلادي: 2016
الشهر: اكتوبر
الصفحات: 211 - 265
ISSN: 1110-225x
رقم MD: 911236
نوع المحتوى: بحوث ومقالات
اللغة: الإنجليزية
قواعد المعلومات: EcoLink
مواضيع:
الأسواق المالية | الأسهم المصرية
كلمات المؤلف المفتاحية:
Stock Market Anomalies Calendar Anomalies | Day of the Week Effect DOW Monday Effect | Month of the Year Effect MOY January Effect | Week of the Year Effect WOY | Turn of the Month Effect TOM | Turn of the Year Effect TOY | Egyptian Stock Exchange ESX
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المستخلص: This research is trying to examine the existence of the calendar anomalies in the Egyptian Stock Exchange (ESX). Mainly the research methodology is based on regression models estimation, which uses the OLS and GARCH models. The calendar anomalies include day-of- the- week effect, month-of-the-year effect, week-of-the-year effect, tum-of- the-month effect, and tum-of-the year effect. The research data has collected from the Egyptian Stock Exchange Information Centre (ESXIC) reflecting EGX30 index observations, which covers the daily, monthly and annually figures for the period from January first 1998 to December 31, 2014. The first result shows that the market returns are significantly high at Sunday as the starting trading day of the week in ESX, but in the same time it is very low in Monday, and it is little higher at Thursday as the last trading day of the week, providing the existence of the turn-of-the-week effect. The second result shows that the market returns are significantly high on January than any other month, so January effect exists in ESX. The third result shows that on average market returns are significantly high at the turn of the month days rather than any day else during the rest of the month The research results are useful for the stock market authority to do some control on the market concerning the upper — lower price change limits, and it is very important for the investors to decide the timing of buying and selling securities.
ISSN: 1110-225x

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