Front Matter Page
Middle Eastern Department
Authorized for distribution by Howard Handy
Contents
I. Introduction
II. The Data
III. Empirical Methodology
IV. Econometric Results
A. Full Sample Estimates
B. Time-Varying Risk-Return Parameters
V. Conclusions
References
Appendix
I. An Example of Trading Halts as Circuit Breakers
Tables
1. Selected Indicators of Development for the Egyptian Stock Exchange, 1990–97
2. Indicators of Stock Market Development for Selected Emerging Markets
3. Unconditional Distribution Statistics for the Egyptian Stock Exchange, Daily Stock Returns
4. Estimates for AR(1)-GARCH(p,q)-M Model for Egyptian Stock Exchange, Daily Returns
5. Estimates for AR(1)-GARCH(p,q)-M Model for Egyptian Stock Exchange, Daily Returns
Figures
1. Daily Closing Values for Egyptian Stock Exchange Indices
2. Egyptian Stock Exchange Daily Returns