This research aims at identifying factors that affect the average price of the stocks in the Khartoum Stock Exchange (KSE). Run test and EGARCH model were implemented by SPSS and EViews respectively. The sample period covers the years 1995–2014. It is has been shown that KSE is inefficient market of the weak form emphasizing the findings of Onour (2007). As expected there are positive effects of real GDP, money supply growth rate and the period before economic sanctions on the average value of stock prices, while inflation and real effective exchange rate have negative effects. There is a leverage effect suggests that negative shock has a greater influence on volatility of stock price rather than the positive shocks of the same size.
In the past leverage effect.
stock price, efficiency, economic sanctions
