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  • 标题:The Effect of Daily Stock Price Limits on the Investment Risk: Evidence from the Egyptian Stock Market
  • 本地全文:下载
  • 作者:Mai Ahmed Abdelzaher ; Mai Ahmed Abdelzaher ; Khairy Elgiziry
  • 期刊名称:Accounting and Finance Research
  • 印刷版ISSN:1927-5986
  • 电子版ISSN:1927-5994
  • 出版年度:2017
  • 卷号:6
  • 期号:4
  • 页码:1-16
  • DOI:10.5430/afr.v6n4p1
  • 语种:English
  • 出版社:Sciedu Press
  • 摘要:The study aims to investigate the relationship between daily price limits and stock volatility, trading volume, delayed adjustment of stock prices, and its fair value. To achieve this goal, we used the data of the listed firms in EGX30. We analyzed the data using descriptive analysis then we applied General linear model, ARCH and GARCH models. Based on our analysis results show a positive relationship between upper daily limit and stock volatility, a positive relationship between daily price limits (upper limit- lower limit) and trading volume, a positive relationship between upper daily limit and the return between the closing price and the opening price on the same day, a positive relationship between lower daily limit and the return between the closing price and the opening price in the next day, a negative relationship between upper daily limit and the return between the closing price and the opening price in the next day, and a positive relationship between daily stock price limits and the fair value.
  • 关键词:Volatility spillover;Delayed price discovery;Trading interference;Fair value;Daily limits
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