The Egyptian Stock Market: Efficiency Tests and Volatility Effects

IMF Working Papers, April 1, 1999

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The Egyptian Stock Market: Efficiency Tests and Volatility Effects

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Bibliographic details

• Authors: Mauro Mecagni, Maged Sawky Sourial
• Published: April 1, 1999
• Series: IMF Working Papers
• DOI: https://doi.org/10.5089/9781451846720.001

Summary and main findings

• 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;
  • 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.

Methodology and analytical approach

• Econometric framework: GARCH(p,q)-M models applied to four daily indices (the paper refers to the four best known daily indices).
• Focus of estimation: relationships among returns, conditional volatility, and market efficiency tests.

Observations about market structure and events

• The introduction of circuit breakers in the form of symmetric price limits on individual shares preceded a market downturn during which the observed positive link between risk and returns was significantly affected.

Publication and document specifics

• Authors: Mauro Mecagni, Maged Sawky Sourial
• Date: April 1, 1999
• Series: Working Paper No. 1999/048
• Issue: 048
• Volume: 1999
• Pages: 30
• DOI: https://doi.org/10.5089/9781451846720.001
• Stock No: WPIEA0481999
• ISBN: 9781451846720
• ISSN: 1018-5941

Subjects and keywords

• Subjects: Capital markets, Emerging and frontier financial markets, Financial institutions, Financial markets, Market capitalization, Stock markets, Stocks
• Keywords: Capital markets, East Africa, East Asia, Emerging and frontier financial markets, Emerging stock markets, ESE stock, GARCH models, Global, informational efficiency, Market capitalization, Middle East, nonsynchronous trading, number, price change, South Asia, stock, Stock markets, stock return equation, Stocks, trading, trading environment, trading stock, value, WP

IMF Working Paper — "The Egyptian Stock Market: Efficiency Tests and Volatility Effects", Mauro Mecagni and Maged Sawky Sourial, April 1, 1999.

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