Stock market anomalies in emerging markets: some evidence from the Egyptian stock market

Ahmed El-Masry, Mohamed Mekhaimer

Research output: Contribution to journalArticlepeer-review


The study investigates the existence of four well-known anomalies; day of the week, January effect, size effect and value effects. In addition it also examines the robustness of the factor model provided by Fama and French (1992). Using two local indices the study has reported the existence of the weekday effect and January effect during the period 1998-2006. For the size and value effects, interestingly it has been found that big high book-to-market equity firms outperform its small low book-to-market counterparts and the three factor model can largely explain the stock market variations over the period of 2001-2006. Moreover, our possible explanation is that the weekday effect is due to psychological factors of traders and reformulation of their portfolios. However the January effect is attributed to the behaviour of institutional investors and the release of financial statements at the end of the year. Nevertheless, the size and value effects can be attributed to the irrational behaviour of individual investors in the Egyptian stock market.
Original languageEnglish
Pages (from-to)137-168
Number of pages30
JournalJournal of International Business and Finance
Issue number2
Publication statusPublished - 2009
Externally publishedYes


Dive into the research topics of 'Stock market anomalies in emerging markets: some evidence from the Egyptian stock market'. Together they form a unique fingerprint.

Cite this