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

Author/Editor:

Isabella Massa ; Andreas Billmeier

Publication Date:

July 1, 2007

Electronic Access:

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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.

Series:

Working Paper No. 2007/179

Subject:

Asset bubbles Asset prices Emerging and frontier financial markets Price indexes Stock markets

English

Publication Date:

July 1, 2007

ISBN/ISSN:

9781451867435/1018-5941

Stock No:

WPIEA2007179

Pages:

27

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