Egyptian Stock

Does the inflation rate affect the performance of the stock market? The case of Egypt
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

UNDERPRICING AND LONG

UNDERPRICING AND LONG-RUN PERFORMANCE OF SHARE ISSUE PRIVATIZATIONS IN THE EGYPTIAN STOCK MARKET
Mohammed Omran
11Arab Academy for Science & Technology, College of Management & Technology, Egypt Arab Monetary Fund, Economic Policy Institute, United Arab Emirates
1Arab Academy for Science & Technology, College of Management & Technology, Egypt Arab Monetary Fund, Economic Policy Institute, United Arab Emirates
I would like to thank the executive editor, William T. Moore, and the referee, William Megginson, for their constructive and insightful comments and suggestions. The views expressed in this paper are those of the authors and do not necessarily reflect the views of the Arab Monetary Fund.
Abstract
The underpricing of initial public offerings (IPOs) is documented for 53 share issue privatizations in Egypt between 1994 and 1998. Over several intervals (up to five years), I find mixed results: share issue privatizations sustain their positive performance and provide investors with positive abnormal returns over a one-year period; however, my results document negative abnormal returns over three- and five-year horizons. The initial excess returns are determined by ex ante uncertainty and oversubscription, whereas the aftermarket abnormal returns over a one-year period are driven by ex ante uncertainty and the price-earnings ratio. However, over three- and five-year periods, abnormal returns are significantly affected by initial excess returns, the price-earnings ratio, and, to a lesser extent, oversubscription. The empirical findings are consistent with IPO markets in which investors are overoptimistic about the performance of these issues but grow more pessimistic over time.

The Egyptian Stock Market

The Egyptian Stock Market: Efficiency Tests and Volatility Effects
MAURO MECAGNI

International Monetary Fund (IMF)

MAGED S. SOURIAL Egyptian Ministry of Foreign Trade
April 1999

IMF Working Paper No. 99/48

Abstract:

The paper examines the behavior of stock returns in the Egyptian stock exchange, the efficiency of the market in pricing securities, and the relationship between returns and conditional volatility. GARCH(p,q)-M models estimated for the four best known daily indices indicate significant departures from the efficient market hypothesis; the tendency for returns to exhibit volatility clustering; and a significant positive link between risk and returns, which was significantly affected during the market downturn that followed the introduction of circuit breakers in the form of symmetric price limits on individual shares.

Keywords: Emerging stock markets, GARCH models

JEL Classifications: G12, G14, C52

Working Paper Series