(Download) "Does the Egyptian Stock Exchange Still have a Day-End Effect?" by International Journal of Business * Book PDF Kindle ePub Free
eBook details
- Title: Does the Egyptian Stock Exchange Still have a Day-End Effect?
- Author : International Journal of Business
- Release Date : January 22, 2007
- Genre: Industries & Professions,Books,Business & Personal Finance,
- Pages : * pages
- Size : 253 KB
Description
ABSTRACT This paper utilizes both parametric and nonparametric analysis to test whether the introduction of a volume weighted average price (VWAP) mechanism for closing a trading session on the Cairo and Alexandria Stock Exchange (CASE) has eliminated the day-end phenomenon or not. Results provide evidence that: (1) the day-end effect is still present and significant on the CASE; (2) the effect is significantly larger for stocks that are restricted by 5% price limits; and (3) counter to U.S. market data the effect is significantly higher for high-price stocks.
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