The Dynamic Linkages among Sector Indices: The Case of the Egyptian Stock Market

Ahmed, Walid M.A.

doi:10.5539/ijef.v8n4p23

Cited by 9 publications

(13 citation statements)

References 59 publications

(51 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Thus, the market authorities suspended trading for around eight weeks. Over the period extending from January 2011 to October 2015, the market capitalisation decreased by 18%, the Egyptian pound fell sharply by 34.3% against the US dollar, and net foreign reserves shrank by 52% (Ahmed, 2016(Ahmed, , 2017. In the beginning of 2007, the Egyptian Exchange (EGX) constructed for the first time 12 equity sector indexes to track the movements of equity prices .…”

Section: Introductionmentioning

confidence: 99%

DCCs among Sector Indexes and Dynamic Causality between Foreign Exchange and Equity Sector Volatility: Evidence from Egypt

Ahmed¹,

Naguib²

2017

AEF

View full text Add to dashboard Cite

The objective of the current paper is to explore the co-movements between domestic equity sectors in the Egyptian Exchange (EGX), using the dynamic conditional correlation (DCC) model, and to examine the time-varying causal links between the exchange rate volatility (EXVOL) and sector volatility (SVOL) using the bootstrap Granger non-causality tests in a bivariate VAR, where conditional volatility series are extracted from GARCH(1,1) model. We employ weekly data. Results show that all estimated DCCs are positive with a clear heterogeneity between the sector pairs. They do not exhibit stable correlation pattern for a prolong time, implying that DCC estimates change in response to price increment shocks to each sector in the pair. Hence, the assumption of static inter-sectoral correlations between domestic sector indexes is invalid when forming and periodically re-balancing portfolios. The global financial crash and the political instability in early 2011 have significantly increased the level of DCCs for four and ten out of fifteen pairs, respectively. Thus, the recent political turmoil in Egypt has widely affect diversification opportunities in the EGX whereas the global financial crash has not. The volatility transmission between SVOL and EXVOL is subject to structural breaks. The bootstrap rolling window estimations show that the casual relationship between SVOL and EXVOL varies across time. These findings would be of great importance to market participants in their hedging and investment decisions since investors and firms are more concerned with industrial sector exposure estimates.

show abstract

Section: Introductionmentioning

confidence: 99%

DCCs among Sector Indexes and Dynamic Causality between Foreign Exchange and Equity Sector Volatility: Evidence from Egypt

Ahmed¹,

Naguib²

2017

AEF

View full text Add to dashboard Cite

show abstract

“…They asserted that the banking sector was the most influential in the Greek economy, followed by the industrial sector. Ahmed (2016) also found that the banking index was the leading sector in the Egyptian stock market. Kouki et al (2011) analyzed emerging stock markets by using VAR, BEKK, CCC, and DCC-GARCH methods.…”

Section: Literature Reviewmentioning

confidence: 92%

Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul

Eki̇nci̇

Gençyürek

2021

Eskişehir Osmangazi Üniversitesi İktisadi Ve İdari Bilimler Dergisi

View full text Add to dashboard Cite

Çalışmanın amacı BİST Finans, Sanayi, Teknoloji, Turizm, Ulaştırma, Gıda ve Perakende -Ticaret sektörleri arasındaki şok ve volatilite yayılımını analiz etmektir. Bu doğrultuda 5 Ocak 2010 ile 4 Aralık 2020 tarihleri arasındaki günlük veriler Antonakakis vd. (2019) tarafından geliştirilen TVP-VAR Diebold Yılmaz Yayılım Endeksi yöntemiyle analiz edilmiştir. Yapılan analizler sonucunda sanayi ve finans sektörünün şok ve volatilite yayılımında öncül; diğer sektörlerin ise, genellikle ardıl konumda oldukları tespit edilmiştir.

show abstract

“…The political instability occurred during and after the revolution affected the economic and financial climate negatively. All stock market indices experienced and the Egyptian participation steep declines due to the revolution outbreak and the political instability that the country had faced at that time (Ahmed, 2016). So, it was necessary to take precautionary measures to protect the market after re-opening.…”

Section: Smithmentioning

confidence: 99%

Effect of Stock Market Development on Economic Growth: Case Study Egypt

وهبة¹,

فايز²,

لويس³

et al. 2022

المجلة الدولية للسياسات العامة في مصر

View full text Add to dashboard Cite

The growing importance of financial markets around the world renews the interest to investigate whether development of the stock market specifically can promote long-run economic growth or not. The objective of this study is to investigate the empirical relationship between Stock Market Development and Economic Growth in Egypt during the critical economic period of 2009 to 2019 which has experienced many economic and political events.Following the literature, the study uses secondary data collected from the World Bank, International Financial Statistics (IFS), and the Egyptian Ministry of Planning (MoP) and Central Bank of Egypt (CBE) for stock market indicators, economic growth indicators, banking sector variables and other relevant macroeconomic variables. The quarterly data used to estimate the relationship through hybrid method (both quantitative and qualitative) approach. The qualitative part uses a graphical illustration to depict the evolution of various stock market variables while the quantitative part focuses on investigating the empirical effect of stock market development on economic growth using ARDL model.The main findings of the study are as follows: 1) there is no relationship over the short run between Stock Market Development and Economic Growth, 2) The effect of Stock Market Development on EconomicGrowth is negative over the long run (holds only for the turnover ration), 3) The main triggers for Economic Growth in Egypt during this period are other factors like higher Primary Education enrolment, 4) There is no relation between the banking sector and the economic growth neither in the short run nor in the long run, 5) The results match with the literature of some developing countries, including Egypt.The negative relationship may be due to the underdeveloped financial systems., and 6)The results of the test are stable, robust and correctly specified.

show abstract

The Dynamic Linkages among Sector Indices: The Case of the Egyptian Stock Market

Cited by 9 publications

References 59 publications

DCCs among Sector Indexes and Dynamic Causality between Foreign Exchange and Equity Sector Volatility: Evidence from Egypt

DCCs among Sector Indexes and Dynamic Causality between Foreign Exchange and Equity Sector Volatility: Evidence from Egypt

Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul

Effect of Stock Market Development on Economic Growth: Case Study Egypt

Contact Info

Product

Resources

About