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

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  • 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.

Suggested Citation

  • Isabella Massa & Andreas Billmeier, 2007. "Go Long or Short in Pyramids? News from the Egyptian Stock Market," IMF Working Papers 07/179, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:07/179
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    Cited by:

    1. 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.
    2. Andreas Billmeier & Isabella Massa, 2007. "What Drives Stock Market Development in the Middle East and Central Asia—Institutions, Remittances, or Natural Resources?," IMF Working Papers 07/157, International Monetary Fund.
    3. 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.
    4. repec:rss:jnljef:v3i4p1 is not listed on IDEAS
    5. 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.
    6. Smimou, Kamal & Karabegovic, Amela, 2010. "On the relationship between economic freedom and equity returns in the emerging markets: Evidence from the Middle East and North Africa (MENA) stock markets," Emerging Markets Review, Elsevier, vol. 11(2), pages 119-151, June.
    7. 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.
    8. 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.
    9. Jahan-Parvar, Mohammad R. & Mohammadi, Hassan, 2013. "Risk and return in the Tehran stock exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(3), pages 238-256.
    10. International Monetary Fund, 2007. "Arab Republic of Egypt; Selected Issues," IMF Staff Country Reports 07/381, International Monetary Fund.

    More about this item

    Keywords

    Egypt; Financial integration; Stock prices; Stock markets; stock market; CASE; integration; cointegration; market capitalization; correlations;

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