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Effect of stock characteristics on relationship between macroeconomic fundamentals and volatility of Egyptian listed stocks / Mahmoud Moustafa Sayed Otaify ; Supervised Ahmed Alsamman

By: Contributor(s): Material type: TextTextLanguage: English Publication details: Cairo : Mahmoud Moustafa Sayed Otaify , 2018Description: 181 P. : charts ; 25cmOther title:
  • أثر خصائص الأسهم على العلاقة بين المتغيرات الأقتصادية الكلية و تذبذب الأسهم المقيدة المصرية [Added title page title]
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  • Issued also as CD
Dissertation note: Thesis (Ph.D.) - Cairo University - Faculty of Economics and Political Science - Department of Economics Summary: 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
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Item type Current library Home library Call number Copy number Status Barcode
Thesis Thesis قاعة الرسائل الجامعية - الدور الاول المكتبة المركزبة الجديدة - جامعة القاهرة Cai01.03.02.Ph.D.2018.Ma.E (Browse shelf(Opens below)) Not for loan 01010110075791000
CD - Rom CD - Rom مخـــزن الرســائل الجـــامعية - البدروم المكتبة المركزبة الجديدة - جامعة القاهرة Cai01.03.02.Ph.D.2018.Ma.E (Browse shelf(Opens below)) 75791.CD Not for loan 01020110075791000

Thesis (Ph.D.) - Cairo University - Faculty of Economics and Political Science - Department of Economics

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

Issued also as CD

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