Evaluation of the Impact of Day Trading on the Egyptian Stock Market
The American University in Cairo - School of Business and Economics
affiliation not provided to SSRN
The International Journal of Business and Finance Research, Vol. 4, No. 1, pp. 1-22, 2010
This paper investigates the effect of the introduction of day trading on the Egyptian stock market. We applied a GARCH (1, 1) – GED model on daily returns and volumes of 41 companies listed in the Egyptian Stock market for the period from 2004 to 2008. The results suggest that day trading decreases ex-post return, and ex-post and ex-ante risk. We also find no significant change in the coefficient of variation, which indicates that the return-to-risk relationship remains unchanged. The results of the paper further indicate that the introduction of day trading has no significant effect on the volatility clustering, volatility persistence, arrival of information and the liquidity of the market.
Keywords: GARCH, volatility clustering, day trading
JEL Classification: C22, G11, G15Accepted Paper Series
Date posted: August 11, 2011
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