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Modelling Exchange Rate Volatility using GARCH Models: Empirical Evidence from Arab Countries
This paper considers the generalized autoregressive conditional heteroscedastic approach in modelling exchange rate volatility in a panel of nineteen of the Arab countries using daily observations…
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Modelling Stock Market Volatility Using Univariate GARCH Models: Evidence from Sudan and Egypt
Stock market volatility in two African exchanges, Khartoum Stock Exchange, KSE (from Sudan) and Cairo and Alexandria Stock Exchange, CASE (from Egypt) is modelled and estimated. The analysis is based…
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The Impact of Human Capital on Economic Growth: Empirical Evidence from Sudan
This paper empirically investigates the impact of human capital on economic growth in Sudan for the period 1982-2009 by using a simultaneous equation model that links human capital i.e. school…
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The Risk-return Trade-off in Emerging Stock Markets: Evidence from Saudi Arabia and Egypt
This paper examines empirically the trade-off between risk (conditional volatility) and expected returns for the Saudi Arabian and Egyptian stock indices over the period of January 1, 2007 to…
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A Macroeconometric Model for the Sudan Economy: Empirical Evidence from Error Correction Framework 1956-2010
This paper aims to build a macroeconometric model for the Sudan economy to be used as an analytical tool to describe the operation of the economy. The model comprises six equations built around the…
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An Investigation of the Month-of-The-Year Effect for the Sudanese Stock Market
This paper investigates the month-of-the-year effect for the Sudanese stock market by using daily closing values of the market index over the period January 2, 2008, to December 30, 2014. Ordinary…
Modelling the Impact of Oil Price Fluctuations on the Stock Returns in an Emerging Market: The Case of Saudi Arabia
This paper employs a bivaraite vector autoregressive-generalized autoregressive conditional heteroscedasticity (VAR-GARCH) model recently developed by Ling and McAleer (2003) to examine the impact of…
Modelling the sources and impact of macroeconomic fluctuations in Sudan
Like many developing countries, Sudan has experienced different episodes of political and economic instability throughout its history. While it was a relatively good time during 1960s, Sudan has…
Stock Return Seasonalities: Empirical Evidence from the Egyptian Stock Market
This paper examines the existence of seasonal behavior in daily stock returns in mean and conditional variance for the Egyptian stock market over the period of 1 st July 2007 to 30 th November 2011.…
Understanding Stock Market Fluctuations: Evidence from Sudan
This paper investigates the responses of the Sudanese stock market to fluctuations in exchange rate, inflation and crude oil price. The paper employs a bi-varaite vector autoregressivegeneralized…
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