This paper provides empirical evidence on the significant effect of non-fundamental trading or feedback trading on the prices behavior in the Egyptian stock market while the period from 2003 to 2013. Relying on the Shiller - Sentana - Wadhwani model, ( Shiller 1984 ) – ( Sentana and Wadhwani 1992 ) the paper uses the link between EGX30 returns autocorrelation and the volatility in this returns to interpreting the autocorrelation pattern in Egyptian stock returns and linking this pattern to inefficiency factors such as feedback trading. The empirical findings shows significant presence for both types - positive and negative - of feedback traders in the Egyptian stock market. While periods of high volatility positive feedback traders can dominate the prices and this domination appears as a negative autocorrelation in return series. This strong effect for feedback trading ( positive and negative ) confirming market inefficiency. The effect of positive feedback trading - which most able to lead prices away form equilibrium levels - was captured despite the absence of trading mechanisms which support the behavior of positive feedback traders such as " short silling " and despite the small size of "margin trading " in Egyptian stock market while the period of research which confirming the strength of this type of trading in Egyotion stock market.