The Effect of Listing Shares on the Market Indices: An Applied Study on the Egyptian Exchange

Abstract

This thesis attempts to investigate the impact of joining or existing the major indices in the Egyptian Stock Exchange; EGX30, EGX100 and S&P EGX ESG or becoming cross-listed on the performance of the Egyptian listed companies. This has been conducted by event study methodology considering the impact of joining or leaving EGX 30, EGX 100, ESG indices or becoming cross-listed on the share price and trading volume during the period from 2016 to 2020. Overall, results indicate the following: 1) Significance of variation among CARs are shown for joining EGX 100, and show negative market reactions to these informational contents. 2) Significance of variation among CARs are for joining EGX 30, and show negative market reactions to these informational contents. 3) No significance of variation among CARs are for joining S&P EGX ESG. 4) significance of variation among CATVs are shown for joining EGX 100, and show negative market reactions to these informational contents. 5) No significance of variation among CATVs are for joining EGX30. 6) significance of variation among CATVs are shown for joining S&P EGX ESG, and show negative market reactions to these informational contents. 7) Significance of variation among CARs are shown for leaving EGX100, and show negative market reactions to these informational contents. 8) Significance of variation among CARs are shown for leaving EGX 30. 9) significance of variation among CARs are shown for leaving S&P EGX ESG, and show negative market reactions to these informational contents. 10) No significance of variation among CATVs are for leaving EGX100. 11) Significance of variation among CATVs are shown for leaving EGX30. 12) significance of variation among CATVs for leaving S&P EGX ESG. 13) Significance of variation among CARs for joining or leaving GDRs could not be tested as the data available in the market is too small to be tested. 14) Significance of variation among CATVs for joining or leaving GDRs could not be tested as the data available in the market is too small to be tested.