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...
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| 格式: | 雜誌 |
| 語言: | English |
| 出版: |
Washington, D.C. :
International Monetary Fund,
1999.
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| 叢編: | IMF Working Papers; Working Paper ;
No. 1999/048 |
| 在線閱讀: | Full text available on IMF |