استخدام نماذج GARCH لقياس كفاءة سوق الأوراق المالية في مـصر | ||||
| The Egyptian Statistical Journal | ||||
| Article 10, Volume 58, Issue 2, December 2014, Page 89-106 PDF (9.4 MB) | ||||
| Document Type: Original Article | ||||
| DOI: 10.21608/esju.2014.314453 | ||||
 View on SCiNiTO | ||||
| Authors | ||||
| ماهر احمد علي; صفاء محمد سالم | ||||
| 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). | ||||
| Keywords | ||||
| Weak Form of Efficiency; GARCH Model; Random Walk; Unit Root; Stock Market Index EGX30 | ||||
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