| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1003163 | Research in International Business and Finance | 2011 | 17 Pages |
Abstract
In a previous paper we established that volatility is best explained by contemporaneous rather than lagged trading volume in the Egyptian stock exchange (EGX). The main objective of this paper is to investigate the effects of regulatory policies - namely the switch from price limit to circuit breaker - on the dynamic relationship between trading volume and stock returns volatility in the EGX. Using daily returns data for 20 actively traded companies as well as the EGX30 market index, the Generalised Method of Moments (GMM), results show that the volume-volatility relationship is not only endogenous but is also structurally altered by the switch.
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Business and International Management
Authors
Hisham Farag, Robert Cressy,