Circuit breakers (price limits and trading halts) are regulatory instruments aiming to reduce severe price volatility and provide markets with a cooling off period. The paper investigated empirically, using daily returns of two Egyptian Stock Market indices the Hermes Financial Index (HFI) and...

The need for efficient securities markets complying with corporate governance international principles emerged recently in the region. The paper overviewed the governance models of the corporate sector and the securities market of eleven countries in the region out of eighteen. It is evident...

The paper attempted to identify the degree of predictability of stock market returns from monetary variables and whether the stock market could be an alternate channel for transmitting monetary policy rather than the traditional money and credit channels. The empirical investigation was...

The paper focuses on the Egyptian Stock Market, revisiting the issue of volatility persistence in stock market returns. Previously, Mecagni and Sourial (1999) using AR(1)-GARCH(p,q)-M provided evidence that the effect of shocks to volatility tends to decay within few time lags and the duration...

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...

This paper investigates the impact of price limits on volatility dynamics in the Egyptian Stock Exchange. A variety of mean and variance specifications in GARCH type models (GARCH, EGARCH, GJR, and APARCH), and four different error distributions (Normal, Student-t, GED, and Skewed-t) are...