The Impact of January Events on Stock Performance in the Egyptian Stock Market

Abstract

The aim of this paper is to evaluate the impact of the January25 revolution on stock performance in the Egyptian market during 2010–2012 by analyzing its effects on trading volume, market return fluctuation, and closing price. These variables are analyzed pre- and post-January25 revolution using the descriptive statistics group unit root test, cointegrating equation model, GARCH model, and ARCH model.  The results indicate that there is a significant positive relation between the January events and return fluctuation and no significant effect between the January events and trading volume; however, the trading volume decreased before, during, and after these events, and there is a significant negative relation between the January events and closing price.