The Egyptian Stock Market : Efficiency Tests and Volatility Effects

Efficiency Tests and Volatility Effects

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... READ MORE...

Publication date: April 1999
ISBN 9781451846720
$15.00

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