Does the Egyptian Stock Exchange Still have a Day-End Effect?
By International Journal of Business
- Release Date - Published: 2007-09-22
- Book Genre: Industries & Professions
- Author: International Journal of Business
Does the Egyptian Stock Exchange Still have a Day-End Effect? International Journal of Business read online review & book 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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