The Influence of Price Limits on Overreaction in Emerging Markets: Evidence from the Egyptian Stock Market

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)
316 Downloads (Pure)

Abstract

The main objective of this paper is to investigate the influence of price limits on the overreaction hypothesis in the Egyptian stock market (EGX) during the period 1999–2010. I find evidence of the overreaction anomaly in the EGX within different price limit regimes. Price reversal is observed two and three days post lower and upper limit hits respectively within the strict price limits regime. However, it occurs after one day only for both lower and upper limit hits within the circuit breakers regime. These results support the directional effect hypothesis as large stock price movements are followed by price reversals in the opposite direction. Moreover, the results support the magnitude effect hypothesis as the larger the initial price movements the greater the subsequent reversals.
Original languageEnglish
JournalThe Quarterly Review of Economics and Finance
Early online date27 Jan 2015
DOIs
Publication statusE-pub ahead of print - 27 Jan 2015

Fingerprint

Dive into the research topics of 'The Influence of Price Limits on Overreaction in Emerging Markets: Evidence from the Egyptian Stock Market'. Together they form a unique fingerprint.

Cite this