![](/images/graphics-bg.png)
Modeling the egyptian stock market volatility Pre-and post circuit breaker
Other Title(s)
نمذجة تذبذبات أسعار البورصة المصرية قبل و بعد تطبيق نظام الحدود السعرية
Joint Authors
Sourial, Majid Shawqi
Tuma, Iskandar A.
Source
Journal of Development and Economic Policies
Issue
Vol. 7, Issue 1 (31 Dec. 2004)33 p.
Publisher
Publication Date
2004-12-31
Country of Publication
Kuwait
No. of Pages
33
Main Subjects
Financial and Accounting Sciences
Topics
Abstract EN
Circuit breakers (price limits and trading halts) are regulatory instruments aiming to reduce severe price volatility and provide markets with a cooling-off period.
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, GJR, and APARCH) and four different error distributions (Normal, Student-f, GED, and Skewed-f) are utilized.
Results from examining a split sample suggest significant changes in the time varying volatility process.
Results prior to the imposition of price limits exhibit leptokurtosis; yet show no sign of the widely cited leverage effect.
Results after the imposition of price limits display both leptokurtosis and the leverage effect
American Psychological Association (APA)
Tuma, Iskandar A.& Sourial, Majid Shawqi. 2004. Modeling the egyptian stock market volatility Pre-and post circuit breaker. Journal of Development and Economic Policies،Vol. 7, no. 1.
https://search.emarefa.net/detail/BIM-7661
Modern Language Association (MLA)
Tuma, Iskandar A.& Sourial, Majid Shawqi. Modeling the egyptian stock market volatility Pre-and post circuit breaker. Journal of Development and Economic Policies Vol. 7, no. 1 (Dec. 2004).
https://search.emarefa.net/detail/BIM-7661
American Medical Association (AMA)
Tuma, Iskandar A.& Sourial, Majid Shawqi. Modeling the egyptian stock market volatility Pre-and post circuit breaker. Journal of Development and Economic Policies. 2004. Vol. 7, no. 1.
https://search.emarefa.net/detail/BIM-7661
Data Type
Journal Articles
Language
English
Notes
Includes appendices
Record ID
BIM-7661