International Journal of Financial Management

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Monthly Patterns in Egyptian Stock Market


Affiliations
1 Institute of Statistical Studies and Research, Cairo University, Egypt
2 Al-Azhar University, Egypt
     

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In this paper, monthly effect in Egyptian stock market is investigated for the period January 2007 to July 2015. After examining the random walk hypothesis of the return series, a Seasonal Autoregressive Moving Average (SARMA) model is specified to test the monthly effect in Egyptian Stock market. The results of the study imply that the banking sector of stock market is informationally efficient and does not confirm to the existence of seasonality in stock returns.

Keywords

Stationarity, Weak Efficient Market Hypothesis, Seasonality, Time Series.
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  • Monthly Patterns in Egyptian Stock Market

Abstract Views: 269  |  PDF Views: 0

Authors

Ahmed Ahmed
Institute of Statistical Studies and Research, Cairo University, Egypt
Sohair Ahmed
Al-Azhar University, Egypt

Abstract


In this paper, monthly effect in Egyptian stock market is investigated for the period January 2007 to July 2015. After examining the random walk hypothesis of the return series, a Seasonal Autoregressive Moving Average (SARMA) model is specified to test the monthly effect in Egyptian Stock market. The results of the study imply that the banking sector of stock market is informationally efficient and does not confirm to the existence of seasonality in stock returns.

Keywords


Stationarity, Weak Efficient Market Hypothesis, Seasonality, Time Series.

References