This paper investigates relationships between market risk premium, time-varying variance and time-varying covariance in eleven Middle Eastern and North African (MENA) markets and eight developed markets from 1990 to 2001. Following Pettengill, Sundaram and Mathur (1995), we argue that the...

Purpose – The purpose of this paper is to examine the change in speed of dissemination of order flow information on stock volatility of return in 79 traded companies at the Cairo and Alexandria Stock Exchange (CASE). Design/methodology/approach – The paper examines the interaction of...

Purpose – The purpose of this paper is to examine the change in speed of dissemination of order flow information on stock volatility of return in 79 traded companies at the Cairo and Alexandria Stock Exchange (CASE). Design/methodology/approach – The paper examines the interaction of...