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...

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, EGARCH, GJR, and APARCH), and four different error distributions (Normal, Student-t, GED, and Skewed-t) are...

Conventional asymptotic and bootstrap methods for finite-order autoregressive models condition on the estimated lag-order of the model, which is later, used to construct the error bands for impulse response functions. Even if the estimated lag order is believed to be correct, this procedure...

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...