The egyptian stock market efficiency tests and volatility effects

The paper examines the behavior of stock returns in the Egyptian stock exchange, the efficiency of the market in pricing securities, and the relationship between returns and conditional volatility.

GARCH p,q -M models estimated for the four best known daily indices indicate significant departures from the efficient market hypothesis; the tendency for returns to exhibit volatility clustering; and a significant positive link between risk and returns, which was significantly affected during the market downturn that followed the introduction of circuit breakers in the form of symmetric price limits on individual shares.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page.

Note that these files are not on the IDEAS site. Please be patient as the files may be large.

International Monetary Fund, Washington, DC USA Phone: Egypt ; Emerging stock markets ; GARCH models ; stock exchange ; stock returns ; stock market ; capital market ; capital market authority ; This paper has been announced in the following NEP Reports: NEP-ALL All new papers NEP-FIN Finance References No references listed on IDEAS You can help add them by filling out this form.

Citations Citations are extracted by the CitEc Projectsubscribe to its RSS feed for this item. Tran MANH Tuyen, Evidence from Vietnam ," Economics BulletinAccessEcon, vol.

VelocityShares Home - VelocityShares

Evidence from the GCC and MENA Regions ," Emerging Markets Finance and TradeM. Arbitrage is possible in limited emerging markets ," Journal of International Financial Markets, Institutions and MoneyElsevier, vol. The Empirical Case of Egypt ," MPRA PaperUniversity Library of Munich, Germany. A look at OIC stock options genentech countries ," Research in International Business and FinanceElsevier, vol.

News from the Egyptian stock market ," International Review of Financial AnalysisElsevier, vol. Lists This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

The Egyptian Stock Market: efficiency tests and Volatility Effects | Ethiopian Economic Association

Statistics Access and download statistics Corrections When requesting a correction, please mention this item's handle: See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: If you have authored this item and are covered call writing equity options yet registered with RePEc, we encourage you to do it here.

This allows to link your profile to this item.

The Egyptian Stock Market; Efficiency Tests and Volatility Effects

It also allows you to accept potential citations to this item tri county livestock market we are uncertain about. If references are entirely missing, you can add them using this form.

If the full references list an item the egyptian stock market efficiency tests and volatility effects is present in RePEc, but the system did not link to it, you can help with this form.

EconPapers: The Egyptian Stock Market; Efficiency Tests and Volatility Effects

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services. IDEAS is a service hosted by the Research Division of the Federal Reserve Bank of St. Log in now much improved! The Egyptian Stock Market; Efficiency Tests and Volatility Effects.

Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Corrections. Mauro Mecagni Maged Sawky Sourial.

HTML HTML with abstract plain text plain text with abstract BibTeX RIS EndNote, RefMan, ProCite ReDIF JSON in new window. NEP-ALL All new papers NEP-FIN Finance. No references listed on IDEAS You can help add them by filling out this form. Citations are extracted by the CitEc Projectsubscribe to its RSS feed for this item. This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS. Access and download statistics. When requesting a correction, please mention this item's handle: Jim Beardow or Hassan Zaidi If you have authored this item and are not yet registered with RePEc, we encourage you to do it here.

How to help Corrections Volunteers Get papers listed Open a RePEc archive Get RePEc data. This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St.

Louis using RePEc data. More information through EDIRC.