Dear Pradiptarathi Panda

Greetings,

Please find the attached file may be useful for you,

Best Regards,

The first article hypothesised that regulatory changes, taking the form of expanding the price limits and adopting trading halt for a few minutes, positively affects the informational efficiency of the Egyptian Stock Market. To formally test for the presence of structural breaks in return series indexes before and after expanding the price limits, return series for employed indexes were modelled using an AR(1) process. The method of Ordinary Least Squares was applied to estimate the AR(1) model.  Then, the Chow breakpoint test is applied to the residuals of the estimated equations.

However, since you have many break points, I highly recommend you to execute your analysis using rolling window procedure. For more details, please, navigate to the second link.

https://www.researchgate.net/publication/282505801_Does_the_Egyptian_Stock_Exchange_Follow_a_Random_Walk_An_Empirical_Analysis

https://www.researchgate.net/publication/282609917_Evolving_and_Relative_Efficiency_of_MENA_Stock_markets_Evidence_from_Rolling_Joint_Variance_Ratio_Tests

Article Does the Egyptian Stock Exchange Follow a Random Walk? An Em...

Article Evolving and Relative Efficiency of MENA Stock markets: Evid...

Dear Prof. Panda,

                                It is a interseting question you have asked, some events I have done research on since my Doctoral Thesis at NYU in 1993, and especially since this model has been adapted a number of times in answering questions on Quantitative Finance & Kinematics. If you wish to you can take a look at my paper on Markov Processes and Expected Utility analysis or Haag's Theorem paper on my Research Gate website. I believe these models are being used worldwide for fundamental research in Quantum Physics as well as Quantum Econophysics and Quantiative Finance. It develops on a model of Radner & Rothschild published in JET in 1975. The idea is that Circuit Breakers in Stock Markets to control extreme fluctuations due to behavioral factors of markets are necessary in principle for Financial Engineering to give sustainable solutions but that by itself does not gurantee that markets will reach equilibrium on a sustained basis as you need energy and participation by investors to run financial exchanges. Energy requirements make Stock Markets go topsy turvy sometimes and so does negative investor participation and it is difficult to say whether  circuit breakers in stock markets can aggravate these factors which are both physical as well as economical being based on incentives. So without answering your specific question I would say that you cannot really treat circuit breaker events in the same manner as we treat structural breaks in any econometrics modelling involving policy. Earl Prof. Dr. SKM QC EPS Fellow (Indirect) MRES MES MAICTE