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Zeina Al-Ahmad , Suzan Al-Ali (2016). Does the Holiday Effect Differ from Religious to Non-Religious Holidays? Empirical Evidence from Egypt. The Economics and Finance Letters, 3(3): 39-56. DOI: 10.18488/journal.29/2016.3.3/126.96.36.199
This study aims to investigate the presence of holiday effect on the
Egyptian Exchange (EGX) over the period 2010 to 2015. It utilizes daily
data of the EGX30 index prices and trading volumes and applies dummy
variables OLS regression. Three types of holidays are examined those
being, secular, Islamic, and Christian, and those, in turn, are
disaggregated into their individual components. The findings reveal that
there are differences in the behavior of stock prices between holidays.
While the secular and Islamic holidays are mainly associated with
positive pre-holiday returns, the Christian holidays are associated with
positive post-holiday returns. Disaggregating these holidays into their
individual components reveals that the Police Day holiday, Eid Al-Fitr
holiday and Eastern Christmas holiday are the major holidays driving the
secular, Islamic and Christian holidays’ effect respectively.
Interestingly, the results obtained when the trading volume is used do
not support the presence of a holiday effect on trading volume. The
findings could have important implications for developing profitable
investment strategies in periods of holidays.
This study contributes to the literature in that it examines the holiday
effect using disaggregated data of secular, Islamic, and Christian
holidays with the aim of examining whether the holiday effect differs
between religious and non-religious holidays and between Islamic and
The Effect of Exchange Rate Changes on Consumer Prices in Nigeria: Evidence from VECM Model
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Zubair, A., G. Okorie and A.R. Sanusi, 2013. Exchange rate pass-through to domestic prices in Nigeria: An empirical investigation. Central Bank of Nigeria, Economic and Financial Review, 51(1): 1-32.
Babagana Mala MUSTI (2016). The Effect of Exchange Rate Changes on Consumer Prices in Nigeria: Evidence from VECM Model. The Economics and Finance Letters, 3(3): 30-38. DOI: 10.18488/journal.29/2016.3.3/188.8.131.52
The continuous adoption of trade openness policies and floating exchange rates regime by developing countries exposed them to speculative pressures. It makes exchange rate shocks easily transferred to domestic consumer prices. That makes tremendous impacts on the domestic consumer price inflation. This paper thus examines the response of domestic consumer prices to exchange rate changes otherwise known as ‘Exchange rate pass-through’. The paper uses vector error correction (VECM) model to examine the relationship. A quarterly time series data for a period ranging from 1986Q1 to 2013Q4 for Nigeria was used. The study found a substantial but incomplete and slow pass-through of exchange rate changes to domestic prices.
This study contributes in the existing literature by estimating the ERPT using Nigerian data as there are very few studies on ERPT for developing countries and particularly Nigeria. This study uses VECM model against the SVAR model used by other studies.