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 fr...
| Glavni autor: | |
|---|---|
| Daljnji autori: | |
| Format: | Žurnal |
| Jezik: | English |
| Izdano: |
Washington, D.C. :
International Monetary Fund,
1999.
|
| Serija: | IMF Working Papers; Working Paper ;
No. 1999/048 |
| Online pristup: | Full text available on IMF |