VOLATILITY AND STOCK MARKET EFFICIENCY IN EGYPT
| المصدر: | المجلة العلمية للبحوث والدراسات التجارية |
|---|---|
| الناشر: | جامعة حلوان - كلية التجارة وإدارة الاعمال |
| المؤلف الرئيسي: | El Sherif, Marwa Assem (AUTH.) |
| المجلد/العدد: | ع4 |
| محكمة: | نعم |
| الدولة: |
مصر |
| التاريخ الميلادي: |
2010
|
| الصفحات: | 25 - 50 |
| رقم MD: | 661747 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | EcoLink |
| مواضيع: | |
| رابط المحتوى: |
عدد مرات التحميل
27
| المستخلص: |
The purpose of this paper is to examine the relationship between volatility and stock market efficiency in Egypt. Stability is measured by the degree of volatility of the market, more specifically; ARCH (Autoregressive Conditional Heteroskedasticity) model has been used to capture volatility using the daily closing values of the EGX30 throughout the period from 1999 to 2008 to depict the annual trends in stock market movements. Results indicate the tendency for the return to exhibit volatility clustering, which significantly affecting market efficiency |
|---|
عناصر مشابهة
-
STOCK MARKET AN ECONOMIC GROWTH IN EGYPT
بواسطة: El Sherif, Marwa Assem منشور: (2010) -
VOLATILITY EFFICIENCY AND RISK IN THE SAUDI STOCK MARKET SSM
بواسطة: Ahmed, Abd Algadir Mohamed منشور: (1994) -
TESTING THE EFFICIENCY OF AN EMERGING STOCK MARKET USING TRADING RULES : THE CASE OF KUWAIT
بواسطة: Al Loughani, Nabeel E. منشور: (1999) -
ESTIMATING AND FORECASTING VOLATILITY OF EGYPT STOCK INDEX
بواسطة: El Kazazz, Hanaa A. منشور: (2004) -
Examining the Effect of Stock Volatility on the Relationship between Stock Split and Stock Market Performance
بواسطة: Ezz Eldin, Ahmed منشور: (2022)
