European Parliament Library

Go Long or Short in Pyramids? News from the Egyptian Stock Market, Isabella Massa, Andreas Billmeier

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
Table Of Contents
Contents; I. Introduction and Background; II. How Strong is the Link Between Egyptian Share Prices and Fundamentals?; A. Data; B. Standard Indicators; The P/E ratio; Dividend yield; Figures; 1. Egypt: CASE 30 Composition by Economic Sector, 2002-06; Price volatility; Acceleration in money and credit growth; C. Variance Bounds Test; Background; Sample construction and methodology; Tables; 1. Egypt: Summary Statistics of CASE 30 and Dividend Indices, 2001-06; 2. Egypt: Nominal, Real, and Fundamental Indices, 2001-06; Results; D. Cointegration Tests; The statistical model
Literary Form
non fiction
Description based upon print version of record
Physical Description
1 online resource (29 p.)
Specific Material Designation
Form Of Item

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