Open AccessThe Effect of Daily Stock Price Limits on the Investment Risk: Evidence from the Egyptian Stock Market
Author(s) -
Mai Ahmed Abdelzaher,
Khairy Elgiziry
Publication year - 2017
Publication title -
accounting and finance research
Language(s) - English
Resource type - Journals
eISSN - 1927-5994
pISSN - 1927-5986
DOI - 10.5430/afr.v6n4p1
Subject(s) - economics , volatility (finance) , stock (firearms) , cost price , stock price , econometrics , autoregressive conditional heteroskedasticity , financial economics , monetary economics , mechanical engineering , paleontology , series (stratigraphy) , engineering , biology
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.