Effect of stock characteristics on relationship between macroeconomic fundamentals and volatility of Egyptian listed stocks /
أثر خصائص الأسهم على العلاقة بين المتغيرات الأقتصادية الكلية و تذبذب الأسهم المقيدة المصرية
Mahmoud Moustafa Sayed Otaify ; Supervised Ahmed Alsamman
- Cairo : Mahmoud Moustafa Sayed Otaify , 2018
- 181 P. : charts ; 25cm
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 studys 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