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

July 1, 2007

Preview Citation

Format: Chicago

Isabella Massa, and Andreas Billmeier. Go Long or Short in Pyramids? News from the Egyptian Stock Market, (USA: International Monetary Fund, 2007) accessed November 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Asset bubbles, Asset prices, Emerging and frontier financial markets, Price indexes, Stock markets

Keywords: Dividend yield, Price index, Stock index, U.S. dollar, WP

Publication Details

Pages:

27
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2007/179
Stock No:

WPIEA2007179
ISBN:

9781451867435
ISSN:

1018-5941

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