The Economics and Finance Letters

Published by: Conscientia Beam
Online ISSN: 2312-430X
Print ISSN: 2312-6310
Quick Submission    Login/Submit/Track

No. 3

Does the Holiday Effect Differ from Religious to Non-Religious Holidays? Empirical Evidence from Egypt

Pages: 39-56
Find References

Finding References


Does the Holiday Effect Differ from Religious to Non-Religious Holidays? Empirical Evidence from Egypt

Search :
Google Scholor
Search :
Microsoft Academic Search
Cite

DOI: 10.18488/journal.29/2016.3.3/29.3.39.56

Zeina Al-Ahmad , Suzan Al-Ali

Export to    BibTeX   |   EndNote   |   RIS

  1. AbdSukor, M.E., 2012. Stock returns, firm size, liquidity and the festivities effect: Asian evidence. Paper Presented at the Asian Finance Association Annual Meeting, Taipei, Taiwan.
  2. Abu-Rub, N. and T. Sharba, 2011. Calendar effects in the Palestine securities exchange (PSE): Analysis & investigation. World Review of Business Research, 1(5): 52-66.
  3. AL-Ahmad, Z. and K. Azzouz, 2016. Forthcoming testing the monthly effect on stock returns in a sample of Arab stock markets. Journal of AL Baath University, 38(26): 69-98.
  4. Al-Loughani, N.E., K.M. Al-Saad and M.M. Ali, 2005. The holiday effect and stock return in the Kuwait stock exchange. Global Competitiveness, 13(1&2): 81-91.
  5. Al-Nassar, N., 2014. The profitability of trading rules in stock markets: Evidence from GCC countries Doctoral Dissertation. Retrieved from http://scholarship.claremont.edu.
  6. Al-Rjoub, S., 2005. Pre-holiday returns in Jordan. Dirasat Administrive Scinces, 32(2): 463-467.
  7. Alagidede, P., 2008. Month-of-the-year and pre-holiday seasonality in African stock markets. Stirling Economics Discussion Paper No. 2008-23. Retrieved from http://dspace.stir.ac.uk.
  8. Amihud, Y. and H. Mendelson, 1987. Trading mechanisms and stock returns: An empirical investigation. Journal of Finance, 42(3): 533-553.
  9. Ariel, R.A., 1990. High stock returns before holidays: Existence and evidence on possible causes. Journal of Finance, 45(5): 1611-1626.
  10. Barone, E., 1990. The Italian stock market: Efficiency and calendar anomalies. Journal of Banking and Finance, 14(2&3): 483-510.
  11. Bley, J. and M. Saad, 2010. Cross-cultural differences in seasonality. International Review of Financial Analysis, 19(4): 306-312.
  12. Brooks, C. and G. Persand, 2001. Seasonality in Southeast Asian stock markets: Some new evidence on day-of-the-week effects. Applied Economics  Letter, 8(3): 155-158.
  13. Chan, M.L., A. Khanthavit and H. Thomas, 1996. Seasonality and cultural influences on four Asian stock markets. Asia Pacific Journal of Management, 13(2): 1-24.
  14. Choudhry, T., 2002. Day of the week effect in emerging Asian stock markets: Evidence from the GARGH model. Journal of Financial Economics, 10(1): 235-242.
  15. Chowdhury, T.S. and S. Mostari, 2014. Impact of Eid-ul-Azha on market return in Dhaka stock exchange. Journal of Business and Management, 17(2): 25-29.
  16. Easton, S.A., 1990. Returns to equity before and after holidays: Australian evidence and tests of plausible hypotheses. Australian Journal of Management, 15(2): 281-296.
  17. Elliot, J. and M. Echols, 1976. Market segmentation, speculative behavior, and the term structure of interest rates. Review of Economics & Statistics, 58(1): 40-49.
  18. Fields, M.J., 1931. Stock prices: A problem in verification. Journal of Business, 4(4): 415-418.
  19. Fields, M.J., 1934. Security prices and stock exchange holidays in relation to short selling. Journal of Business, 7(3): 328 - 338.
  20. Frieder, L. and A. Subrahmanyam, 2004. Nonsecular regularities in returns and volume. Financial Analysts Journal, 60(4): 29-34.
  21. Ho, Y.K., 1990. Stock return seasonalities in Asian pacific markets. Journal of International Financial Management and Accounting, 2(1): 47-77.
  22. Hussain, F., 1998. Seasonality in the Pakistani stock market. Pakistan Development Review, 37(1): 77-81.
  23. Jaffe, J.F. and R. Westerfield, 1985. The weekend effect in common stock returns: The international evidence. Journal of Finance, 40(2): 433-454.
  24. Keynes, J., 1936. The general theory of employment, interest and money: Atlantic publishers & distributors. Retrieved from http://cas.umkc.edu.
  25. Kim, C.W. and J. Park, 1994. Holiday effects and stock returns: Further evidence. Journal of Financial and Quantitative Analysis, 29(1): 145-157.
  26. Lakonishok, J. and S. Smidt, 1988. Are seasonal anomalies real? A ninety-year perspective. Review of Financial Studies, 1(4): 403-425.
  27. Loewenstein, G., U. Elke, C. Hsee and N. Welch, 2001. Risk as feelings. Psychological Bulletin, 127(2): 267-286.
  28. McGowan, C.B.J. and N.A. Jakob, 2010. Is there an Eid al-Fitr effect in Malaysia. International Business & Economics Research Journal, 9(4): 11-20.
  29. Meneu, V. and A. Pardo, 2004. Pre-holiday effect, large trades and small investor behavior. Journal of Empirical Finance, 11(2): 231-246.
  30. Mustafa, K., 2008. The islamic calendar effect on Karachi stock market. Pakistan Business Review, 13(3): 562-574.
  31. Nofsinger, J.R., 2005. Social mood and financial economics. Journal of Behavioral Finance, 6(3): 144-160.
  32. Officer, R., 1975. Seasonality in Australian capital markets: Market efficiency and empirical issues. Journal of Financial Economics, 2(1): 29-52.
  33. Pandey, I.M., 2002. Seasonality of Malaysia stock market. Journal of Financial Management, 9(2): 49−64.
  34. Pettengill, G.N., 1989. Holiday closings and security returns. Journal of Financial Research, 12(1): 57-67.
  35. Schwert, G.W., 2002. Anomalies and market efficiency. Handbook of the Economics of Finance, 1(1): 939-974.
  36. Solnik, B. and L. Bousquet, 1990. Day of the week effect on the Paris bourse. Journal of Banking and Finance, 14(1): 461-469.
  37. Wachtel, S.B., 1942. Certain observations on seasonal movements in stock prices. Journal of Business, 15(2): 184-193.
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.29/2016.3.3/29.3.39.56
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.
Contribution/ Originality
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 Christian ones.

The Effect of Exchange Rate Changes on Consumer Prices in Nigeria: Evidence from VECM Model

Pages: 30-38
Find References

Finding References


The Effect of Exchange Rate Changes on Consumer Prices in Nigeria: Evidence from VECM Model

Search :
Google Scholor
Search :
Microsoft Academic Search
Cite

DOI: 10.18488/journal.29/2016.3.3/29.3.30.38

Babagana Mala MUSTI

Export to    BibTeX   |   EndNote   |   RIS

  1. Aliyu, S.U.R., M.U. Yakub, G.K. Sanni and O.O. Duke, 2010. Exchange rate pass-through in Nigeria: Evidence from a vector error correction model. Paper Presented at the Annual Conference of Center for the Study of African Economies CSAE,  Oxford, 21 March. Retrieved from http://www.csae.ox.ac.uk/conferences/2010-edia/papers/012-Aliyu.pdf.
  2. An, L., 2006. Three essays on exchange rate and monetary policy, University of Kentucky, Lexington. (Doctoral Dissertation). Retrieved from http://uknowledge.uky.edu/cgi/viewcontent.cgi?article=1494&context=gradschool_diss.
  3. Aron, J., R. Macdonald and J. Muellbauera, 2014. Exchange rate pass-through in developing and emerging markets: A survey of conceptual, methodological and policy issues, and selected empirical findings. Journal of Development Studies, 50(1): 101-143.
  4. Aziz, M.N., N. Horsewood and S. Sen, 2014. The first and second stage pass-through of exchange rates: A developing country perspective. Review of development Economics, 18(3): 595-609.
  5. Bhattacharya, R., I. Patnaik and A. Shah, 2011. Monetary policy transmission in an emerging market setting. IMF Working Paper No. 5.
  6. Devereux, M.B. and C. Engel, 2002. Exchange rate pass-through, exchange rate volatility, and exchange rate disconnect. Journal of Monetary Economics, 49: 913-940.
  7. Devereux, M.B. and J. Yetman, 2008. Price adjustment and exchange rate pass through. Journal of International Money and Finance, 29(1): 181–200.
  8. Dornbusch, R., 1987. Exchange rates and prices. American Economic Review, 77(1): 93-106.
  9. Goldberg, P.K. and M.M. Knetter, 1997. Goods prices and exchange rates: What have we learned? Journal of Economic Literature, 35(3): 1243-1272.
  10. Hufner, F.P. and M. Schroder, 2002. Exchange rate pass-through to consumer prices: A European perspective. Discussion Paper No. 02-20, ZEW Centre for European Economic Research.
  11. Ito, T. and K. Sato, 2006. Exchange rate changes and inflation in post-crisis Asian economies: VAR analysis of the exchange rate pass-through. Research Institute of Economy, Trade and Industry Discussion Paper Series No. 018.
  12. Kara, A. and E. Nelson, 2002. The exchange rate and inflation in the UK’ Bank of England External MPC Unit Discussion Paper No. 11.
  13. Kiptui, M., D. Ndolo and S. Kaminchia, 2005. Exchange rate pass-through: To what extent do exchange rate fluctuations affect import prices and inflation in Kenya? Central Bank of Kenya. Working Papers No. 1.
  14. Mann, C.L., 1986. Prices, profit margins, and exchange rates. Federal Reserve Bulletin, 72(6): 366-379.
  15. Masten, I., F. Coricelli and Jazbec, 2003. Exchange rate pass-through in candidate countries. Centre for economic policy research, Discussion paper, DP 3894. Retrieved from http://cepr.org/active/publications/discussion_papers/dp.php?dpno=3894.
  16. McCarthy, J., 2000. Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies. Federal Reserve Bank of New York Staff Reports No.11.
  17. Menon, J., 1995. Exchange rate pass-through. Journal of Economic Surveys, 9(2): 197-231.
  18. Rowland, P., 2003. Exchange rate pass-through to domestic prices: The case of Colombia. Banco de la Republica Working Papers, No. 001635.
  19. Sanusi, A.R., 2010. Exchange rate pass-through to consumer prices in Ghana: Evidence from structural vector auto regression. West African Journal of Monetary and Economic Integration, 10(1): 24 -54.
  20. Taylor, J.B., 2000. Low inflation, pass-through, and the pricing power of firms. European Economic Review, 44(7): 1389-1408.
  21. Yang, J.W., 1997. Exchange rate pass-through in U.S. manufacturing industries. Review of Economics and Statistics, 79(1): 95-104.
  22. 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.29/2016.3.3/29.3.30.38
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.

Contribution/ Originality
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.