Evaluation of the Impact of Financial Sector Reforms on Stock Market Efficiency: The Case of Egypt

Abstract

This thesis aims at contributing to the literature on the Egyptian stock market efficiency by empirically conducting a financial sector reforms impact assessment on the efficiency of the stock market at large as measured by the main index issued by the Egyptian Exchange, and on individual stocks that were impacted with stock market specific reforms at one point of time. Efficiency parameter estimates are conducted on a time-varying basis stemming from the believe that stock markets evolve through time, and so does the level of efficiency. The adopted statistical techniques utilized the Kalman Filters technique to obtain the time-varying efficiency parameters for the autoregressive model at the market and individual stocks level. Other deterministic models would have only resulted in a single point estimate for efficiency which does not render assessing the time-varying impact of reforms on efficiency feasible. The positivism philosophy and a deductive approach has been adopted based on the statistical nature of this research and the well-grounded theories covering the stock markets efficiency.