APPLYING MOMENTUM INVESTMENT STRATEGIES IN THE EGYPTIAN STOCK MARKET AND THEIR IMPACT ON MARKET EFFICIENCY

Document Type : Researches

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Dept. Business Admin., Fac. Commerce, Cairo Univ., Giza, Egypt.

Abstract

The study aims to examine the "continuation of the returns hypothesis" on which Momentum Investment Strategy (MIS) is based. Checking their ability to achieve Abnormal returns in the Egyptian stock market according to the methodology of (Jegadeesh & Titman, 1993), as well as determining whether the risks are the source of those abnormal returns, applied to the capital asset pricing model Fama and French three factors model (size factor _ value factor _ market factor). The study was conducted on a sample of 60 Egyptian companies listed in the EGX100 index, during the period from 2006 to 2018, the different relative strength portfolios (MIS) were formed as 16 strategies have been studied throughout a medium range3-12 months according to the companies with the highest 10% returns (winners portfolios W) and companies with the lowest 10% returns (L losers) in each (month) period where the overlapping was calculated and finally the difference portfolios "relative strength portfolios" (WML) that express the presence or absence of abnormal returns. The study found the possibility of achieving abnormal returns through the investment momentum strategy in the Egyptian stock market. The study also, found the ability of the Fama and French model three factors to explain the abnormal returns of investment momentum strategies (MIS), through only the two variables Market Factor and Value Factor while Size Factor had no effect.

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