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Article: An analysis of day-of-the-week effects in the Egyptian stock market.
- Article from:
- International Journal of Business
- Article date:
- June 22, 2004
- Author:
CopyrightCOPYRIGHT 2004 Premier Publishing, Inc. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
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ABSTRACT
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 ...