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Go Long or Short in Pyramids? News From the Egyptian Stock Market

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Author Info

  • Isabella Massa
  • Andreas Billmeier

Abstract

Similar to other emerging economies, the Egyptian stock market has recently experienced a remarkable run-up but also a major downturn. This paper analyzes the stock market from two angles. First, it compares the performance of the major stock price index with its underlying fundamentals. Second, it explores the relationship between the Egyptian and other stock markets. The paper finds that (i) there is some evidence against a stable relationship between the Egyptian index and its fundamental value; and (ii) short-term correlations and long-term cointegrating relations provide conflicting signals on the value of Egyptian stocks as a means of diversification.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 07/179.

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Length: 27
Date of creation: 01 Jul 2007
Date of revision:
Handle: RePEc:imf:imfwpa:07/179

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Related research

Keywords: Stock markets; Stock prices; stock market; cointegration; correlations; stock price; stock market indices; correlation; statistics; stock price index; stock exchanges; overvaluation; autocorrelation; standard deviation; stock index; equity markets; statistic; stock exchange; discount rate; equation; stock market capitalization; present value; descriptive statistics; stock valuation; stock market index; stock indices; stock market prices; statistical model; time series; stock market development; stock price indices; hedge; stock market developments; statistical techniques; local stock market; stock companies; financial statistics; financial markets; stationary process; stock market bubble; covariance; derivative products; financial sector; derivative; stock exchange index; foreign equity; sampling; international financial statistics; real discount rate; discount rates; discounting; asset bubbles; international finance; equity market; empirical model; polynomial; parsimonious model; hypothesis testing; real variables; financial structure;

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References

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  17. Topol, Richard, 1991. "Bubbles and Volatility of Stock Prices: Effect of Mimetic Contagion," Economic Journal, Royal Economic Society, vol. 101(407), pages 786-800, July.
  18. Andreas Billmeier & Isabella Massa, 2007. "What Drives Stock Market Development in the Middle East and Central Asia," IMF Working Papers 07/157, International Monetary Fund.
  19. Diba, Behzad T & Grossman, Herschel I, 1988. "Explosive Rational Bubbles in Stock Prices?," American Economic Review, American Economic Association, vol. 78(3), pages 520-30, June.
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Citations

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Cited by:
  1. Al-Mashat Rania & Billmeier Andreas, 2008. "The Monetary Transmission Mechanism in Egypt," Review of Middle East Economics and Finance, De Gruyter, vol. 4(3), pages 32-82, September.
  2. Randa Alami, 2009. "On The Current Links Capital Markets And Investment In Mena Countries," Working Papers 163, Department of Economics, SOAS, University of London, UK.
  3. Jahan-Parvar, Mohammad R. & Waters, George A., 2010. "Equity price bubbles in the Middle Eastern and North African Financial markets," Emerging Markets Review, Elsevier, vol. 11(1), pages 39-48, March.
  4. Andreas Billmeier & Isabella Massa, 2007. "What Drives Stock Market Development in the Middle East and Central Asia," IMF Working Papers 07/157, International Monetary Fund.
  5. Independent Evaluation Group, 2009. "Egypt - Positive Results from Knowledge Sharing and Modest Lending : An IEG Country Assistance Evaluation 1999-2007," World Bank Publications, The World Bank, number 13534, October.
  6. Fernando Lefort & Rodrigo Gonzalez, 2011. "Holding Company Discounts and Business Groups Optimal Bailout of Subsidiaries," Working Papers 34, Facultad de Economía y Empresa, Universidad Diego Portales.

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