埃及股市对经常性贬值的反应:事件研究法

IF 1.4 Q3 ECONOMICS
Ahmed Wassal Elroukh
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引用次数: 0

摘要

本文研究了埃及股票市场对 2022 年埃及镑(EGP)两次大幅贬值的反应,并检验了埃及市场的信息效率。本文采用事件研究框架,分析了埃及股票市场领先指数(EGX30)在贬值日及其前后的异常收益的意义和方向。本文采用恒定均值模型和市场模型来估计 EGX30 的正常收益率。此外,本文还使用了两个股票指数的数据作为正常回报率的基准,一个是全球股票指数,另一个是新兴市场股票指数。研究结果本文发现,埃及股市在 2022 年 3 月和 10 月的埃及镑贬值日出现了显著的正异常回报,表明市场对贬值做出了积极反应。此外,有证据表明,埃及市场的信息效率可能不高,因为在贬值日前两周和贬值后两周都观察到了显著的正异常回报,这分别表明了消息泄露和延迟反应。 原创性/价值 本研究首次研究了 2022 年埃及镑最近两次贬值对埃及股市的影响。它通过分析一个非洲国家对两次连续贬值的直接市场反应,对现有文献进行了补充。此外,本文还评估了埃及市场处理汇率相关信息的效率。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The reaction of the Egyptian stock market to recurring devaluations: an event study approach

Purpose

This paper examines the reaction of the Egyptian stock market to two substantial devaluations of the Egyptian pound (EGP) in 2022 and tests the informational efficiency of the Egyptian market.

Design/methodology/approach

The paper uses the event study framework to analyze the significance and direction of abnormal returns of the leading index of the Egyptian stock market (EGX30) on and around the devaluation days. It employs both the constant mean model and the market model to estimate the normal returns of the EGX30. Additionally, the paper uses data on two equity indices, one global and one for emerging markets, as benchmarks for normal returns.

Findings

The paper finds that the Egyptian stock market experienced significant positive abnormal returns on the devaluation days of the EGP in March and October of 2022, indicating a positive market reaction to the devaluation. Furthermore, evidence suggests that the Egyptian market may not be informationally efficient as significant positive abnormal returns were observed two weeks before and two weeks after the devaluation day, suggesting news leaks and delayed reactions, respectively.

Originality/value

This study is the first to examine the impact of the recent two devaluations of the EGP in 2022 on the Egyptian stock market. It complements existing literature by analyzing the immediate market reaction to two consecutive devaluations in an African country. Furthermore, the paper evaluates the efficiency of the Egyptian market in processing information related to exchange rates.

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来源期刊
CiteScore
3.20
自引率
7.70%
发文量
41
期刊介绍: African Journal of Economic and Management Studies (AJEMS) advances both theoretical and empirical research, informs policies and practices, and improves understanding of how economic and business decisions shape the lives of Africans. AJEMS is a multidisciplinary journal and welcomes papers from all the major disciplines in economics, business and management studies.
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