Evaluate Efficient Market Hypothesis in Egypt in light of your studying of the hypothesis in class?
Ref:
www.egx.com.eg/pdf/the_performance_of_egyptian_stock_
The Performance of the Egyptian Stock Market
Emerging markets are generally characterised by being “informationally inefficient”, which might indicate the existence of mispricing opportunities that justify the activities of active fund management to achieve abnormal returns within these markets. The aims of this project were, first, to explore the effect of information on the performance of the stock market in Egypt in accordance with the Efficient Market
Hypothesis, as suggested by Fama (1970) and others, and, then, to assess whether mutual funds in Egypt were able to adopt strategies that outperformed a passive strategy. To achieve these objectives, first, Event Studies were utilised to examine the behaviour of stock returns around the announcement date of a number of corporate actions including dividend distributions and acquisitions during the period 2000/2001.
Then, CAPM based Performance Evaluation measures were utilised to assess the performance of a sample of mutual funds in the Egyptian market during the period from the beginning of 1998 until the end of 2001.
The tests for market efficiency showed a departure from the “Semi-Strong from” efficient markets indicating that publicly available information might have not been
“fully reflected” in securities prices and suggesting the existence of mispricing opportunities that could have been used to achieve abnormal returns.
The tests for the performance of mutual funds showed that, despite the findings of the tests for market efficiency, mutual funds in Egypt were unable to outperform apassive market strategy. The project attempts to investigate the degree of efficiency of the Egyptian market by examining the effect of publicly available information on