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

29 Pages Posted: 23 Aug 2007

See all articles by Andreas Billmeier

Andreas Billmeier

International Monetary Fund (IMF) - Middle East and Central Asia Department

Isabella Massa

Ca' Foscari University - Venice

Date Written: July 2007

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.

Keywords: Working Paper, Stock markets, Egypt, Financial integration, Stock prices

Suggested Citation

Billmeier, Andreas and Massa, Isabella, Go Long or Short in Pyramids? News from the Egyptian Stock Market (July 2007). IMF Working Papers, Vol. , pp. 1-27, 2007. Available at SSRN: https://ssrn.com/abstract=1007928

Andreas Billmeier (Contact Author)

International Monetary Fund (IMF) - Middle East and Central Asia Department ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Isabella Massa

Ca' Foscari University - Venice ( email )

Dorsoduro 3246
Venice, Veneto 30123
Italy

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