While seasonal effects for both advanced and emerging markets have been investigated extensively in mean and variance equations, Arab region asset markets have received much less attention. The objective of this article is to fill this gap in the literature by investigating the day-of-the-week...

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 nonparametric event study questions the current symmetric price limit mechanism imposed on the Egyptian Stock Exchange. Price limits are usually instituted to control the volatility of daily stock price movements through establishing price constraints and providing time for rational...