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The Dynamic Linkages among Sector Indices: The Case of the Egyptian Stock Market

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  • Walid M. A. Ahmed

Abstract

The main thrust of this study is to investigate both the long-term and short-term links among sectors of the Egyptian equity market. The empirical analysis is carried out using Johansen¡¯s multivariate cointegration analysis and Granger¡¯s causality analysis. The investigation period extends from 3 April 2011 to 31 May 2015. The results of cointegration analysis indicate that there exists a single cointegrating vector within the sample sector indices. The Granger¡¯s causality analysis shows that the short-term causal relationships between the sector indices are substantially limited and, where they exist, practically unidirectional. By and large, an important implication of these findings is that there is still possibility to obtain gains from portfolio diversification in the short run. Nonetheless, investors with long-term horizon might not be able to benefit from diversifying into the various sectors of the Egyptian market.

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  • Walid M. A. Ahmed, 2016. "The Dynamic Linkages among Sector Indices: The Case of the Egyptian Stock Market," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(4), pages 23-38, April.
    • Handle: RePEc:ibn:ijefaa:v:8:y:2016:i:4:p:23-38
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    3. Velip Suraj Pavto & Guntur Anjana Raju, 2020. "Linkages between Oil Sectors Returns of Asian Emerging Stock Markets: Unearthing the Hidden Opportunity for Portfolio Diversification," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 152-156.

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    More about this item

    Keywords

    market sectors; Egypt; linkages; portfolio diversification; Johansen¡¯s cointegration technique; Granger¡¯s causality analysis;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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