Azzam, Islam; Fouad, Jasmin - In: The International Journal of Business and Finance Research 4 (2010) 1, pp. 1-21
This paper investigates the effect of the introduction of day trading on the Egyptian stock market. We applied a GARCH (1, 1)–GED model on daily returns and volumes of 41 companies listed in the Egyptian Stock market for the period from 2004 to 2008. The results suggest that day trading...