Does the inflation rate affect the performance of the stock market? The case of Egypt
Mohammed Omrana and John Pointon, ,
Mohammed Omrana and John Pointon, ,
a Arab Academy for Science and Technology and Maritime Transport, College of Management and Technology, Alexandria, Egyptb University of Plymouth Business School, Drake Circus, Plymouth, Devon PL4 8AA, UK Received 1 September 2000; revised 10 April 2001; accepted 17 April 2001. Available online 21 September 2001.
Abstract
The intention of this paper is to examine the impact of the inflation rate on the performance of the Egyptian stock market. Particular attention is paid to the effects of the rate of inflation on various stock market performance variables, in terms of market activity and market liquidity. From the co-integration analysis through error correction mechanisms (ECM), significant long-run and short-run relationships between the variables are found, implying that the inflation rate has had an impact upon the Egyptian stock market performance generally.
Author Keywords: Inflation rate; Stock market; Egypt; Co-integration and error correction mechanism (ECM)
JEL classification codes: C12; C22; E44; G10; N25; O11
Abstract
The intention of this paper is to examine the impact of the inflation rate on the performance of the Egyptian stock market. Particular attention is paid to the effects of the rate of inflation on various stock market performance variables, in terms of market activity and market liquidity. From the co-integration analysis through error correction mechanisms (ECM), significant long-run and short-run relationships between the variables are found, implying that the inflation rate has had an impact upon the Egyptian stock market performance generally.
Author Keywords: Inflation rate; Stock market; Egypt; Co-integration and error correction mechanism (ECM)
JEL classification codes: C12; C22; E44; G10; N25; O11
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