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Evaluation Of The Impact Of Day Trading On The Egyptian Stock Market

Author

Listed:
  • Islam Azzam
  • Jasmin Fouad

Abstract

This paper investigates the effect of the introduction of day trading on the Egyptian stock market. We applied a GARCH (1, 1)–GED model on daily returns and volumes of 41 companies listed in the Egyptian Stock market for the period from 2004 to 2008. The results suggest that day trading decreases ex-post return, and ex-post and ex-ante risk. We also find no significant change in the coefficient of variation, which indicates that the return-to-risk relationship remains unchanged. The results of the paper further indicate that the introduction of day trading has no significant effect on the volatility clustering, volatility persistence, arrival of information and the liquidity of the market.

Suggested Citation

  • Islam Azzam & Jasmin Fouad, 2010. "Evaluation Of The Impact Of Day Trading On The Egyptian Stock Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(1), pages 1-21.
    • Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:1:p:1-21
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    More about this item

    Keywords

    GARCH; volatility clustering; day trading;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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