Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.560871
Title: Essay on price overreaction and price limits in emerging markets : the case of the Egyptian stock exchange
Author: Omar, Hisham Farag
Awarding Body: University of Birmingham
Current Institution: University of Birmingham
Date of Award: 2012
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Abstract:
The main objective of this thesis is to investigate the short and long–term overreaction phenomenon in the Egyptian stock market. In addition, the thesis investigates links between stock market regulatory policies (price limits and circuit breakers) and the profitability of contrarian strategies. Finally, the study examines the effect of regime switch – from strict price limits to circuit breakers – on the volatility spillover, delayed price discovery and trading interference hypotheses. Using data from the Egyptian stock exchange, I find that a panel data approach adds a new dimension to the existing models, offers interesting additional insights and reveals the importance of the role of unobservable firm-specific factors in addition to observable factors in the analysis of the overreaction phenomenon. Moreover, portfolios based on unobserved factors i.e. management quality, corporate governance and political connections of board members, significantly outperform traditional portfolios based on size. Results also show evidence of genuine long-term overreaction phenomenon in the Egyptian stock market as the contrarian profits of the arbitrage portfolio cannot be attributed to the small firm effect, formation period length, and stability of time varying factor or seasonality effect. Finally, switching from a strict price limit to a circuit breakers regime increases stock price volatility and disrupts the price discovery mechanism in the Egyptian stock market.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.560871  DOI: Not available
Keywords: HG Finance
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