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

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

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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.The moving average representation of this I(1) process defines the data- generating process for tX as a function of the ... the whole period for which stock market closing prices and dividend yield data are available (May 2001a€“ December 2006);anbsp;...


Title:Go Long Or Short in Pyramids? News from the Egyptian Stock Market
Author:Andreas Billmeier, Isabella Massa
Publisher:International Monetary Fund - 2007-07-01
ISBN-13:

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