01728cas a2200253 a 4500 AALejournalIMF007570 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451846720 1018-5941 BD-DhAAL BD-DhAAL Mecagni, Mauro. The Egyptian Stock Market : Efficiency Tests and Volatility Effects / Mauro Mecagni, Maged Sawky Sourial. Washington, D.C. : International Monetary Fund, 1999. 1 online resource (30 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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. Mode of access: Internet Sawky Sourial, Maged. IMF Working Papers; Working Paper ; No. 1999/048 Full text available on IMF http://elibrary.imf.org/view/journals/001/1999/048/001.1999.issue-048-en.xml IMF e-Library