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...

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...

We investigate whether arbitrage trades exist in emerging markets with trading barriers. Using two-year intraday data for 16 Argentinean and Egyptian depository receipts and their underlying stock, we find large intraday deviations from parity. We extend the standard arbitrage identification...

This paper utilizes both parametric and nonparametric analysis to test whether the introduction of a volume weighted average price (VWAP) mechanism for closing a trading session on the Cairo and Alexandria Stock Exchange (CASE) has eliminated the day-end phenomenon or not. Results provide...