The Egyptian Stock Market: Efficiency Tests and Volatility Effects
April 1, 1999
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Summary
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.
Subject: 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
Pages:
30
Volume:
1999
DOI:
Issue:
048
Series:
Working Paper No. 1999/048
Stock No:
WPIEA0481999
ISBN:
9781451846720
ISSN:
1018-5941
