The Egyptian Stock Market: Efficiency Tests and Volatility Effects

30 Pages Posted: 12 Feb 2006

See all articles by Mauro Mecagni

Mauro Mecagni

International Monetary Fund (IMF)

Maged S. Sourial

Egyptian Ministry of Foreign Trade

Date Written: April 1999

Abstract

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.

Keywords: Emerging stock markets, GARCH models

JEL Classification: G12, G14, C52

Suggested Citation

Mecagni, Mauro and Sourial, Maged S., The Egyptian Stock Market: Efficiency Tests and Volatility Effects (April 1999). IMF Working Paper No. 99/48, Available at SSRN: https://ssrn.com/abstract=880575

Mauro Mecagni (Contact Author)

International Monetary Fund (IMF) ( email )

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Maged S. Sourial

Egyptian Ministry of Foreign Trade ( email )

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