Beta
ManageSearchChatDiscover
314453

استخدام نماذج GARCH لقياس كفاءة سوق الأوراق المالية في مـصر

Article

Last updated: 28 Dec 2024

OverviewSimilar Items

Subjects

-

Tags

-

Abstract

The main objective of this paper is to measure the efficiency of the Egyptian stock market exchange on the basis of weak form Hypothesis based on the daily returns representing index EGX30 during the period from 2005 January to 2010 December. The main conclusion has been reached that the Egyptian stock Exchange is inefficient in the weak-form of the Efficient Market Hypothesis (EMH), by using a set of statistical techniques in terms of Jarque - Bera, Ljung - Box, ARCH-LM, unit root, variance ratio, runs test, and garch (1,2).  

DOI

10.21608/esju.2014.314453

Keywords

Weak Form of Efficiency, GARCH Model, Random Walk, Unit root, Stock Market Index EGX30

Volume

58

Article Issue

2

Related Issue

43135

Issue Date

2014-12-01

Publish Date

2014-12-01

Page Start

89

Page End

106

Print ISSN

0542-1748

Online ISSN

2786-0086

Link

https://esju.journals.ekb.eg/article_314453.html

Detail API

https://esju.journals.ekb.eg/service?article_code=314453

Order

10

Type

Original Article

Type Code

1,914

Publication Type

Journal

Publication Title

The Egyptian Statistical Journal

Publication Link

https://esju.journals.ekb.eg/

MainTitle

استخدام نماذج GARCH لقياس كفاءة سوق الأوراق المالية في مـصر

Details

Type

Article

Created At

28 Dec 2024