IMF Working Papers

The Egyptian Stock Market: Efficiency Tests and Volatility Effects

By Mauro Mecagni, Maged Sawky Sourial

April 1, 1999

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Mauro Mecagni, and Maged Sawky Sourial. The Egyptian Stock Market: Efficiency Tests and Volatility Effects, (USA: International Monetary Fund, 1999) accessed November 23, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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

Publication Details

  • Pages:

    30

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 1999/048

  • Stock No:

    WPIEA0481999

  • ISBN:

    9781451846720

  • ISSN:

    1018-5941

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