In the current thesis, the efficiency of the Egyptian and other four MENA exchanges is
examined. The first issue of interest is whether market efficiency in Egypt is related to
size and regulatory changes. Employing weekly data for the period 1997-2007 and a
battery of variance ratio tests (VRs), results indicated that the market was inefficient in
pricing all securities during the first sub-period with tight price limits regime, however;
it has become efficient in pricing securities, excluding small-capitalized firms, after the
expansion of price limits coupled with adopting trading halt for few minutes if prices
hit their new limits. The second issue considered is testing for weak-form-efficiency in
five MENA exchanges during 1995-2009 using VRs in rolling window estimation to
accommodate developments in the underlying exchanges. Results indicate that Turkish
and Israeli exchanges are the most efficient throughout the whole period whereas both
the Egyptian and Moroccan exchanges moved towards efficiency since late 2002 and
the Jordanian exchange experienced inefficiencies during the end of the period.
Exchange rates do not matter in determining the dynamics of equity markets examined.
The last issue examined is the interdependence and information transmission across
super sectors within the same exchange in Egypt, Turkey, and Israel. Multivariate
cointegration analysis, which is executed from the domestic investor perspective,
indicates the absence of long-term relationship in either exchange. In general,
generalised impulse responses indicate that a positive shock in one index in either
exchange affects other indexes in the same exchange. However, this impact tapers off
quickly. More importantly, most of the impact is on the index experiencing the
innovation and the effect on the remaining indexes is relatively small.