TY  - BOOK
AU  - Mahmoud Moustafa Sayed Otaify
AU  - Ahmed Hamdallah Alsamman , 
TI  - Effect of stock characteristics on relationship between macroeconomic fundamentals and volatility of Egyptian listed stocks / 
PY  - 2018///
CY  - Cairo : 
PB  - Mahmoud Moustafa Sayed Otaify , 
KW  - Characteristics-sorted portfolios
KW  - Macroeconomic volatility
KW  - Spline-GARCH
N1  - Thesis (Ph.D.) - Cairo University - Faculty of Economics and Political Science - Department of Economics; Issued also as CD
N2  - 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
UR  - http://172.23.153.220/th.pdf
ER  -