Empirical Evidence on Testing the Efficient Market Hypothesis in Egypt: Case of Currency Devaluation
Journal Title: MSA-Management Sciences Journal (MSA-MSJ) - Year 2024, Vol 3, Issue 2
Abstract
The impact of economic events on stock markets and their reflection on returns of financial markets, has been an area of profound importance. Hence, based on importance of the currency devaluation on the economic development of countries, this paper aims to investigate the impact of currency devaluation on the Egyptian stock market in 2016 and 2022 and examine if the Egyptian market is efficient. This was examined using parametric and non-parametric unit root tests for stationarity. Moreover, ARCH(Autoregressive Conditional Heteroskedasticity) and EGARCH(Exponential Generalized Autoregressive Conditional Heteroscedasticity)models were conducted on two indices EGX100 and EGX30. The results indicate the stationarity of returns regardless of market events. The findings are important to policymakers and investors to evaluate and forecast market movements. The chosen Egyptian context is justified due to insufficient research conducted on the Egyptian market and the controversial findings of existing literature on emerging markets in general and the Egyptian market in specific.
Authors and Affiliations
Dalia Ahmed El Mosallamy , Nesma Gamal
Keywords
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- EP ID EP731430
- DOI 10.21608/MSAMSJ.2024.257624.1049
- Views 86
- Downloads 0
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