An explanation of common stock anomalies in the egyptian stock market an applied study en summary
Faculty of Commerce
Department of Business
An Explanation Of Common Stock Anomalies in The Egyptian Stock Market
An Applied Study
Dissertation Summary to Fulfill Requirements For The Master
Degree of Business Administration
Mohamed Ahmed Mohamed Awad
Prof. Dr. Mahros Ahmed Hassan
Assistant Professor of Business Administration
Faculty of Commerce – Ain Shams University
Mohamed Ahmed Mohamed Awad. Explanation Of Common
Stock Anomalies in The Egyptian Stock Market/Ain Shams
University. Faculty of commerce . Department of business
The main objective of this study is to investigate stock market
anomalies in Egyption Stock Market during the period from 2005 to
2009, this study has examined the day of week effect,the month of
year effect,the quarter of year effect,and the size effect. Therefore,
Egyptian stock index EGX30 and 23 companies operating in the
Egyptian Stock Market during the same period were implied to test
Before going through this study, the market efficiency was
tested, Where, the efficiency of stock market was completely
identified during the study period as a whole, and more specifically
during each year of study, and also determining the efficiency of the
economic sectors involved in the Egyptian stock exchange from
2007 to 2009 as a whole and per year.
In order to test the study hypothesis stating that there is no
market anomaly in Egyptian stock market, both parametric and
nonparametric analysis have been applied . the statistical study has
been applied within more than one timeframe depending on more
than one statistical approach.
This study presents a significant day of week effect , and no
significant month of year effect, quarter of year effect and size
effect, during the time frame of the study and according to the
statistical methods used in this study.
Keywords: stock Market anomalies; day of week effect; month of
year effect; quarte of year effect; size effect.
Summary and Conclusion
The Study Problem
The main question of this study is:-
What is the status of The Egyptian Stock Market in terms of
stock market anomalies?
the present study attempts to examine the status of The
Egyptian Stock Market in terms of seasonal anomalies impact (day
of week effect, month of year effect and quarter of year effect) and
Anomalies Based on Characteristics of firms (size effect).
And also seeks to uncover The Egyptian Stock Market
efficiency level and set strategic trading methods based on
discovered anomalies in Egyptian Stock Market.
The Study Hypothesis
This study based on unique hypothesis stating that:-
There is no market anomaly in Egyptian stock market
This hypothesis consists of four sub hypotheses as follows:-
There is no day of week effect
There is no month of year effect
There is no quarter of year effect
There is no size effect
The Study Objectives
This study aims to :-
1)verify stock market anomalies in Egyptian stock market ,
by identifying the significance of the relationship
between earn abnormal returns and specific time
periods, and the relationship between earn abnormal
returns and firm size.
2)imagine Egyptian stock market anomalies.
3)set strategic trading model based on discovered
anomalies in Egyptian stock market where the difficulty
of usage any capital asset pricing models.
That study is characterized by qualitative modernity, and by
focusing on its necessity, we will discover that the study has two
sides of necessity; scientific and practical necessity.
Determine the status of anomalies in Egyptian stock market,
and shed light on the level of efficiency of The Egyptian Stock
Market. and within the limits of researcher knowledge, to contribute
to the development of the first building blocks for the use of Return
Predictability studies in determining the level of efficiency of The
Egyptian Stock Market, and ability to make extensive studies in the
future to explain reasons for appearance of anomalies and compare
them to other emerging markets.
Prove the existence of anomalies in The Egyptian Stock
Market will be of great importance in practice. Where ,it is possible
by tracking the behavior of anomalies to predict the behavior of
stock prices at specific times, and according to certain characteristics
of firms, and thus find a strategy for trading in The Egyptian Stock
Market based on the behavior of anomalies in this market.
Data And Methodology
This point includes identifying the data sources, the study
population, and the study sample, statistical method was used in the
test the study hypothesis, each point could be identified as follows:-
The Data Source
These data were obtained from Egyptian Financial
Supervisory Authority (EFSA), Egyptian stock market (EGX) and
Egypt for Information Dissemination (EGID).
the study population
The population of this study represents in the most active and
liquid stocks of companies during the five years covered by this
study that is from January 2005 until December 2009. Thus, the
study population is firms that included in Egypt stock index EGX30
over the same period.
The Study Sample
The study sample consisted of 23 shares represent most of the
sectors working in The Egyptian Stock Market during the study
In order to Test the study hypothesis both parametric and
nonparametric statistical methods were used together. The regression
analysis test was used in testing seasonal anomalies as a parametric
method and Kruskal Wallis analysis was used as a nonparametric
method. And was used One Way ANOVA Test as a parametric
method was used in order to test the size effect and use the Mann
Whitney test was used as a nonparametric method.
Testing the efficiency of The Egyptian Stock Market during
the study period using the Run Test during the study period as a
whole, and during each year of the study separately.
The results prove the existence of day of the week effect that is
the Sunday effect during the study period as a whole.
The results also support that there is no effect of month of year
effect, as well as quarter of year effect, as well as size effect.
And also found results confirmed that The Egyptian Stock
Market is not efficient in the long term period.
Investors are advised to take the trading strategies based
on the existence of the Sunday effect.
It is recommended to make comparison between four
consecutive quarters from the same year, and not between
typical quarters from different years
Investors are advised to invest in large firms stocks,
because that would reduce the risk.