Effect of stock characteristics on relationship between macroeconomic fundamentals and volatility of Egyptian listed stocks / (Record no. 67455)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02354cam a2200325 a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | EG-GiCUC |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250223032043.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 180913s2018 ua d f m 000 0 eng d |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | EG-GiCUC |
| Language of cataloging | eng |
| Transcribing agency | EG-GiCUC |
| 041 0# - LANGUAGE CODE | |
| Language code of text/sound track or separate title | eng |
| 049 ## - LOCAL HOLDINGS (OCLC) | |
| Holding library | Deposite |
| 097 ## - Thesis Degree | |
| Thesis Level | Ph.D |
| 099 ## - LOCAL FREE-TEXT CALL NUMBER (OCLC) | |
| Classification number | Cai01.03.02.Ph.D.2018.Ma.E |
| 100 0# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Mahmoud Moustafa Sayed Otaify |
| 245 10 - TITLE STATEMENT | |
| Title | Effect of stock characteristics on relationship between macroeconomic fundamentals and volatility of Egyptian listed stocks / |
| Statement of responsibility, etc. | Mahmoud Moustafa Sayed Otaify ; Supervised Ahmed Alsamman |
| 246 15 - VARYING FORM OF TITLE | |
| Title proper/short title | أثر خصائص الأسهم على العلاقة بين المتغيرات الأقتصادية الكلية و تذبذب الأسهم المقيدة المصرية |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Place of publication, distribution, etc. | Cairo : |
| Name of publisher, distributor, etc. | Mahmoud Moustafa Sayed Otaify , |
| Date of publication, distribution, etc. | 2018 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 181 P. : |
| Other physical details | charts ; |
| Dimensions | 25cm |
| 502 ## - DISSERTATION NOTE | |
| Dissertation note | Thesis (Ph.D.) - Cairo University - Faculty of Economics and Political Science - Department of Economics |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This thesis pursued to examine volatility response of the characteristics-sorted portfolios (CSPs) to both their negative and positive return shocks as well as the macroeconomic volatility based on Egyptian data covering the period July 2002-June 2015. The study used three characteristics: size, book-to-market ratio and financial leverage ratio so as to sort the most active stocks into the corresponding characteristics mimicking portfolios. To empirically achieve the study{u2019}s main objective, the study adopted two models of the GARCH family models: GJR-GARCH (1,1)-M model and the spline-GARCH (1,1) model. The results indicate that the characteristics-sorted portfolios have different degrees of the volatility patterns. The study also found that the money supply volatility was the main source of volatility for the characteristics-sorted portfolios, followed by the inflation volatility. The study provided important implications to asset pricing, portfolio construction, and corporate finance and Policy making |
| 530 ## - ADDITIONAL PHYSICAL FORM AVAILABLE NOTE | |
| Additional physical form available note | Issued also as CD |
| 653 #4 - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Characteristics-sorted portfolios |
| 653 #4 - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Macroeconomic volatility |
| 653 #4 - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Spline-GARCH |
| 700 0# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Ahmed Hamdallah Alsamman , |
| Relator term | |
| 856 ## - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://172.23.153.220/th.pdf">http://172.23.153.220/th.pdf</a> |
| 905 ## - LOCAL DATA ELEMENT E, LDE (RLIN) | |
| Cataloger | Nazla |
| Reviser | Revisor |
| 905 ## - LOCAL DATA ELEMENT E, LDE (RLIN) | |
| Cataloger | Samia |
| Reviser | Cataloger |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Thesis |
| Source of classification or shelving scheme | Not for loan | Home library | Current library | Date acquired | Full call number | Barcode | Date last seen | Koha item type | Copy number |
|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | المكتبة المركزبة الجديدة - جامعة القاهرة | قاعة الرسائل الجامعية - الدور الاول | 11.02.2024 | Cai01.03.02.Ph.D.2018.Ma.E | 01010110075791000 | 22.09.2023 | Thesis | ||
| Dewey Decimal Classification | المكتبة المركزبة الجديدة - جامعة القاهرة | مخـــزن الرســائل الجـــامعية - البدروم | 11.02.2024 | Cai01.03.02.Ph.D.2018.Ma.E | 01020110075791000 | 22.09.2023 | CD - Rom | 75791.CD |