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Do regulatory policies affect the flow of information in emerging markets?

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  • Farag, Hisham
  • Cressy, Robert

Abstract

In a previous paper we established that volatility is best explained by contemporaneous rather than lagged trading volume in the Egyptian stock exchange (EGX). The main objective of this paper is to investigate the effects of regulatory policies - namely the switch from price limit to circuit breaker - on the dynamic relationship between trading volume and stock returns volatility in the EGX. Using daily returns data for 20 actively traded companies as well as the EGX30 market index, the Generalised Method of Moments (GMM), results show that the volume-volatility relationship is not only endogenous but is also structurally altered by the switch.

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Bibliographic Info

Article provided by Elsevier in its journal Research in International Business and Finance.

Volume (Year): 25 (2011)
Issue (Month): 3 (September)
Pages: 238-254

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Handle: RePEc:eee:riibaf:v:25:y:2011:i:3:p:238-254

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Web page: http://www.elsevier.com/locate/ribaf

Related research

Keywords: Volatility Trading volume Trading halt Price limit;

References

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