Go Long or Short in Pyramids? News from the Egyptian Stock Market
IMF Working Papers, July 1, 2007
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Bibliographic details
- Authors: Isabella Massa, Andreas Billmeier
- Published: July 1, 2007
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451867435.001
Overview
- Authors: Isabella Massa, Andreas Billmeier
- Publication date: July 1, 2007
- Series: Working Paper No. 2007/179
- Issue: 179
- Volume: 2007
- Pages: 27
- DOI: https://doi.org/10.5089/9781451867435.001
- Stock No: WPIEA2007179
- ISBN: 9781451867435
- ISSN: 1018-5941
- Subject areas: Asset bubbles; Asset prices; Emerging and frontier financial markets; Price indexes; Stock markets
- Keywords: dividend yield; price index; stock index; U.S. dollar; WP
Research objectives and approach
- Compare the performance of the major Egyptian stock price index with its underlying fundamentals.
- Explore the relationship between the Egyptian stock market and other stock markets.
- Methods: analysis of index–fundamentals relationship and examination of short-term correlations and long-term cointegrating relations.
Key findings
- There is some evidence against a stable relationship between the Egyptian index and its fundamental value.
- Short-term correlations and long-term cointegrating relations provide conflicting signals on the value of Egyptian stocks as a means of diversification.
Implications for investors and portfolio diversification
- Short-term correlation patterns may suggest one interpretation of diversification benefits.
- Long-term cointegration results can point to different conclusions, implying that diversification value depends on horizon and the nature of intermarket linkages.
- The conflicting signals imply that investors should consider both short-term and long-term relationships when assessing Egyptian stocks for diversification.
Notes on interpretation
- The Working Paper describes research in progress and is published to elicit comments and further debate.
- Disclaimer: The views expressed are those of the author(s) and do not necessarily represent those of the IMF or IMF policy.
IMF Working Papers — Go Long or Short in Pyramids? News from the Egyptian Stock Market (Isabella Massa, Andreas Billmeier), Working Paper No. 2007/179, July 1, 2007.