{"id":19507,"date":"1999-04-05T06:14:00","date_gmt":"1999-04-05T06:14:00","guid":{"rendered":"https:\/\/eces.org.eg\/?p=19507"},"modified":"2023-10-24T12:30:16","modified_gmt":"2023-10-24T12:30:16","slug":"efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange","status":"publish","type":"post","link":"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/","title":{"rendered":"Efficiency and Risk-Return Analysis for the Egyptian Stock Exchange"},"content":{"rendered":"\n<p><strong>Abstract:<\/strong><\/p>\n\n\n\n<p>The paper examines the behavior of stock returns in the Egyptian stock exchange, the efficiency of the market in pricing securities, and the relationship between returns and conditional volatility. GARCH(p,q)-M models estimated for the four best known daily indices indicate significant departures from the efficient market hypothesis; the tendency for returns to exhibit volatility clustering; and a significant positive link between risk and returns, which was significantly affected during the market downturn that followed the introduction of circuit breakers in the form of symmetric price limits on individual shares.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Abstract: The paper examines the behavior of stock returns in the Egyptian stock exchange, the efficiency of the market in pricing securities, and the relationship between returns and conditional volatility. GARCH(p,q)-M models estimated for the four best known daily indices indicate significant departures from the efficient market hypothesis; the tendency for returns to exhibit volatility [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":29979,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[65],"tags":[],"class_list":["post-19507","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-working-papers"],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v20.3 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>Efficiency and Risk-Return Analysis for the Egyptian Stock Exchange - ECES<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Efficiency and Risk-Return Analysis for the Egyptian Stock Exchange - ECES\" \/>\n<meta property=\"og:description\" content=\"Abstract: The paper examines the behavior of stock returns in the Egyptian stock exchange, the efficiency of the market in pricing securities, and the relationship between returns and conditional volatility. GARCH(p,q)-M models estimated for the four best known daily indices indicate significant departures from the efficient market hypothesis; the tendency for returns to exhibit volatility [&hellip;]\" \/>\n<meta property=\"og:url\" content=\"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/\" \/>\n<meta property=\"og:site_name\" content=\"ECES\" \/>\n<meta property=\"article:published_time\" content=\"1999-04-05T06:14:00+00:00\" \/>\n<meta property=\"article:modified_time\" content=\"2023-10-24T12:30:16+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/eces.org.eg\/wp-content\/uploads\/2023\/07\/W-P-37-En-scaled.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"1806\" \/>\n\t<meta property=\"og:image:height\" content=\"2560\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"author\" content=\"admin-eces-staging\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Written by\" \/>\n\t<meta name=\"twitter:data1\" content=\"admin-eces-staging\" \/>\n\t<meta name=\"twitter:label2\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data2\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"Article\",\"@id\":\"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/#article\",\"isPartOf\":{\"@id\":\"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/\"},\"author\":{\"name\":\"admin-eces-staging\",\"@id\":\"https:\/\/eces.org.eg\/#\/schema\/person\/7981d9621302fef3e6e0a1f65d658135\"},\"headline\":\"Efficiency and Risk-Return Analysis for the Egyptian Stock Exchange\",\"datePublished\":\"1999-04-05T06:14:00+00:00\",\"dateModified\":\"2023-10-24T12:30:16+00:00\",\"mainEntityOfPage\":{\"@id\":\"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/\"},\"wordCount\":102,\"commentCount\":0,\"publisher\":{\"@id\":\"https:\/\/eces.org.eg\/#organization\"},\"articleSection\":[\"Working Papers\"],\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"CommentAction\",\"name\":\"Comment\",\"target\":[\"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/#respond\"]}]},{\"@type\":\"WebPage\",\"@id\":\"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/\",\"url\":\"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/\",\"name\":\"Efficiency and Risk-Return Analysis for the Egyptian Stock Exchange - ECES\",\"isPartOf\":{\"@id\":\"https:\/\/eces.org.eg\/#website\"},\"datePublished\":\"1999-04-05T06:14:00+00:00\",\"dateModified\":\"2023-10-24T12:30:16+00:00\",\"breadcrumb\":{\"@id\":\"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/#breadcrumb\"},\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/\"]}]},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Home\",\"item\":\"https:\/\/eces.org.eg\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"Efficiency and Risk-Return Analysis for the Egyptian Stock Exchange\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\/\/eces.org.eg\/#website\",\"url\":\"https:\/\/eces.org.eg\/\",\"name\":\"ECES\",\"description\":\"The Egyptian Center For Economic Studies\",\"publisher\":{\"@id\":\"https:\/\/eces.org.eg\/#organization\"},\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\/\/eces.org.eg\/?s={search_term_string}\"},\"query-input\":\"required name=search_term_string\"}],\"inLanguage\":\"en-US\"},{\"@type\":\"Organization\",\"@id\":\"https:\/\/eces.org.eg\/#organization\",\"name\":\"ECES\",\"url\":\"https:\/\/eces.org.eg\/\",\"logo\":{\"@type\":\"ImageObject\",\"inLanguage\":\"en-US\",\"@id\":\"https:\/\/eces.org.eg\/#\/schema\/logo\/image\/\",\"url\":\"https:\/\/eces.org.eg\/wp-content\/uploads\/2022\/12\/eces-logo-blue-text-beside.png\",\"contentUrl\":\"https:\/\/eces.org.eg\/wp-content\/uploads\/2022\/12\/eces-logo-blue-text-beside.png\",\"width\":1794,\"height\":324,\"caption\":\"ECES\"},\"image\":{\"@id\":\"https:\/\/eces.org.eg\/#\/schema\/logo\/image\/\"}},{\"@type\":\"Person\",\"@id\":\"https:\/\/eces.org.eg\/#\/schema\/person\/7981d9621302fef3e6e0a1f65d658135\",\"name\":\"admin-eces-staging\",\"image\":{\"@type\":\"ImageObject\",\"inLanguage\":\"en-US\",\"@id\":\"https:\/\/eces.org.eg\/#\/schema\/person\/image\/\",\"url\":\"https:\/\/secure.gravatar.com\/avatar\/53bfa8ab3f374bc6d5f1b8efd03ab8a47e7162e412c1b93b788f5fe73e2927fd?s=96&d=mm&r=g\",\"contentUrl\":\"https:\/\/secure.gravatar.com\/avatar\/53bfa8ab3f374bc6d5f1b8efd03ab8a47e7162e412c1b93b788f5fe73e2927fd?s=96&d=mm&r=g\",\"caption\":\"admin-eces-staging\"},\"sameAs\":[\"https:\/\/eces.org.eg\"],\"url\":\"https:\/\/eces.org.eg\/en\/author\/admin-eces-staging\/\"}]}<\/script>\n<!-- \/ Yoast SEO plugin. -->","yoast_head_json":{"title":"Efficiency and Risk-Return Analysis for the Egyptian Stock Exchange - ECES","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/","og_locale":"en_US","og_type":"article","og_title":"Efficiency and Risk-Return Analysis for the Egyptian Stock Exchange - ECES","og_description":"Abstract: The paper examines the behavior of stock returns in the Egyptian stock exchange, the efficiency of the market in pricing securities, and the relationship between returns and conditional volatility. GARCH(p,q)-M models estimated for the four best known daily indices indicate significant departures from the efficient market hypothesis; the tendency for returns to exhibit volatility [&hellip;]","og_url":"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/","og_site_name":"ECES","article_published_time":"1999-04-05T06:14:00+00:00","article_modified_time":"2023-10-24T12:30:16+00:00","og_image":[{"width":1806,"height":2560,"url":"https:\/\/eces.org.eg\/wp-content\/uploads\/2023\/07\/W-P-37-En-scaled.jpg","type":"image\/jpeg"}],"author":"admin-eces-staging","twitter_card":"summary_large_image","twitter_misc":{"Written by":"admin-eces-staging","Est. reading time":"1 minute"},"schema":{"@context":"https:\/\/schema.org","@graph":[{"@type":"Article","@id":"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/#article","isPartOf":{"@id":"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/"},"author":{"name":"admin-eces-staging","@id":"https:\/\/eces.org.eg\/#\/schema\/person\/7981d9621302fef3e6e0a1f65d658135"},"headline":"Efficiency and Risk-Return Analysis for the Egyptian Stock Exchange","datePublished":"1999-04-05T06:14:00+00:00","dateModified":"2023-10-24T12:30:16+00:00","mainEntityOfPage":{"@id":"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/"},"wordCount":102,"commentCount":0,"publisher":{"@id":"https:\/\/eces.org.eg\/#organization"},"articleSection":["Working Papers"],"inLanguage":"en-US","potentialAction":[{"@type":"CommentAction","name":"Comment","target":["https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/#respond"]}]},{"@type":"WebPage","@id":"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/","url":"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/","name":"Efficiency and Risk-Return Analysis for the Egyptian Stock Exchange - ECES","isPartOf":{"@id":"https:\/\/eces.org.eg\/#website"},"datePublished":"1999-04-05T06:14:00+00:00","dateModified":"2023-10-24T12:30:16+00:00","breadcrumb":{"@id":"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/#breadcrumb"},"inLanguage":"en-US","potentialAction":[{"@type":"ReadAction","target":["https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/"]}]},{"@type":"BreadcrumbList","@id":"https:\/\/eces.org.eg\/en\/efficiency-and-risk-return-analysis-for-the-egyptian-stock-exchange\/#breadcrumb","itemListElement":[{"@type":"ListItem","position":1,"name":"Home","item":"https:\/\/eces.org.eg\/"},{"@type":"ListItem","position":2,"name":"Efficiency and Risk-Return Analysis for the Egyptian Stock Exchange"}]},{"@type":"WebSite","@id":"https:\/\/eces.org.eg\/#website","url":"https:\/\/eces.org.eg\/","name":"ECES","description":"The Egyptian Center For Economic Studies","publisher":{"@id":"https:\/\/eces.org.eg\/#organization"},"potentialAction":[{"@type":"SearchAction","target":{"@type":"EntryPoint","urlTemplate":"https:\/\/eces.org.eg\/?s={search_term_string}"},"query-input":"required name=search_term_string"}],"inLanguage":"en-US"},{"@type":"Organization","@id":"https:\/\/eces.org.eg\/#organization","name":"ECES","url":"https:\/\/eces.org.eg\/","logo":{"@type":"ImageObject","inLanguage":"en-US","@id":"https:\/\/eces.org.eg\/#\/schema\/logo\/image\/","url":"https:\/\/eces.org.eg\/wp-content\/uploads\/2022\/12\/eces-logo-blue-text-beside.png","contentUrl":"https:\/\/eces.org.eg\/wp-content\/uploads\/2022\/12\/eces-logo-blue-text-beside.png","width":1794,"height":324,"caption":"ECES"},"image":{"@id":"https:\/\/eces.org.eg\/#\/schema\/logo\/image\/"}},{"@type":"Person","@id":"https:\/\/eces.org.eg\/#\/schema\/person\/7981d9621302fef3e6e0a1f65d658135","name":"admin-eces-staging","image":{"@type":"ImageObject","inLanguage":"en-US","@id":"https:\/\/eces.org.eg\/#\/schema\/person\/image\/","url":"https:\/\/secure.gravatar.com\/avatar\/53bfa8ab3f374bc6d5f1b8efd03ab8a47e7162e412c1b93b788f5fe73e2927fd?s=96&d=mm&r=g","contentUrl":"https:\/\/secure.gravatar.com\/avatar\/53bfa8ab3f374bc6d5f1b8efd03ab8a47e7162e412c1b93b788f5fe73e2927fd?s=96&d=mm&r=g","caption":"admin-eces-staging"},"sameAs":["https:\/\/eces.org.eg"],"url":"https:\/\/eces.org.eg\/en\/author\/admin-eces-staging\/"}]}},"_links":{"self":[{"href":"https:\/\/eces.org.eg\/en\/wp-json\/wp\/v2\/posts\/19507","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/eces.org.eg\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/eces.org.eg\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/eces.org.eg\/en\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/eces.org.eg\/en\/wp-json\/wp\/v2\/comments?post=19507"}],"version-history":[{"count":4,"href":"https:\/\/eces.org.eg\/en\/wp-json\/wp\/v2\/posts\/19507\/revisions"}],"predecessor-version":[{"id":29982,"href":"https:\/\/eces.org.eg\/en\/wp-json\/wp\/v2\/posts\/19507\/revisions\/29982"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/eces.org.eg\/en\/wp-json\/wp\/v2\/media\/29979"}],"wp:attachment":[{"href":"https:\/\/eces.org.eg\/en\/wp-json\/wp\/v2\/media?parent=19507"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/eces.org.eg\/en\/wp-json\/wp\/v2\/categories?post=19507"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/eces.org.eg\/en\/wp-json\/wp\/v2\/tags?post=19507"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}