TY - BOOK ID - 84541236 TI - The Egyptian Stock Market : Efficiency Tests and Volatility Effects AU - Mecagni, Mauro. AU - Sawky Sourial, Maged. PY - 1999 SN - 1462358101 1452798710 1281601268 9786613781956 1451893876 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Finance: General KW - Investments: Stocks KW - Information and Market Efficiency KW - Event Studies KW - Model Evaluation and Selection KW - General Financial Markets: General (includes Measurement and Data) KW - Pension Funds KW - Non-bank Financial Institutions KW - Financial Instruments KW - Institutional Investors KW - Financial Markets and the Macroeconomy KW - Finance KW - Investment & securities KW - Stocks KW - Stock markets KW - Market capitalization KW - Emerging and frontier financial markets KW - Capital markets KW - Financial institutions KW - Financial markets KW - Stock exchanges KW - Financial services industry KW - Capital market KW - Egypt, Arab Republic of UR - https://www.unicat.be/uniCat?func=search&query=sysid:84541236 AB - 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. ER -