STUDY THE EFFICIENCY HYPOTHESIS IN THE EGYPTIAN STOCK MARKET
نویسندگان
چکیده
This article aims is to verify if the Egyptian stock market has information efficiency (market assumptions) by studying presence of time series properties for daily returns between 2005 and 2015. Parametric non-parametric tests are used achieve this purpose, such as ADF/PP unit root- RUNS TEST- Perron - run test. The Jarque– Bera test was measure moderation returns; GARCH model ARCH also. results referring follow inefficient form, prices closer random traffic standards, showing that price changes random. Thus, there may be shares presented at less than their real value. Additionally, consequence inefficiency on weak level, given do not reflect all historical information, it possible participants unusual using shares.Keywords: relevant risk market, rational investorJEL Classifications: G40,G14DOI: https://doi.org/10.32479/ijefi.10634
منابع مشابه
the u.s. policy in central asia and its impact on the colored revolutions in the region (the case study of tulip revolution in kyrgyzstan)
چکیده ندارد.
15 صفحه اولThe market efficiency in the stock markets
We study the temporal evolution of the market efficiency in the stock markets using the complexity, entropy density, standard deviation, autocorrelation function, and probability distribution of the log return for Standard and Poor’s 500 (S&P 500), Nikkei stock average index, and Korean composition stock price index (KOSPI). Based on a microscopic spin model, we also find that these statistical...
متن کاملTesting on Weak Form Market Efficiency Hypothesis: The Evidence from Dhaka Stock Market Year 2004-2012
The purpose of this study is to test The Weak Form Efficient Market Hypothesis in Dhaka’s Stock Market. The study examined the distribution of equity returns by dividing the sample period into two sub periods of daily DSE General Index (DGEN) and sub periods are sample-1(2004-2007), and sample-2 (2008-2012). Also, monthly general index starting from 1990 to 2012 are taken as sample to test the ...
متن کاملthe test for adverse selection in life insurance market: the case of mellat insurance company
انتخاب نامساعد یکی از مشکلات اساسی در صنعت بیمه است. که ابتدا در سال 1960، توسط روتشیلد واستیگلیتز مورد بحث ومطالعه قرار گرفت ازآن موقع تاکنون بسیاری از پژوهشگران مدل های مختلفی را برای تجزیه و تحلیل تقاضا برای صنعت بیمه عمر که تماما ناشی از عدم قطعیت در این صنعت میباشد انجام داده اند .وهدف از آن پیدا کردن شرایطی است که تحت آن شرایط انتخاب یا کنار گذاشتن یک بیمه گزار به نفع و یا زیان شرکت بیمه ...
15 صفحه اولذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Economics and Financial Issues
سال: 2021
ISSN: ['2146-4138']
DOI: https://doi.org/10.32479/ijefi.10634