Dynamic impact of cryptocurrency trading on the Egyptian stock market performance: evidence from ARIMA modelling post-pandemic devaluation period

The study aims to investigate the Egyptian stock market response to the Russia-Ukraine war, by employing GARCH model on firms registered in Egyptian Stock Market for a period from March 2022 to March 2023. It is expected that the war will have a significant negative impact on Egyptian economy through food, energy, and Tourism, which will have a significant implication on Egyptian stock market, in addition to the direct effect of the war on the Egyptian stock market. the Russia and Ukraine market represent 40% of Egyptian tourism market. Therefore, Egypt witnessed increase in food and energy prices which affects the state general budget and foreign currency reserve. The inflation and supply chain disruption resulted from the war affect the performance of Egyptian companies which affect negatively on stability of Egyptian stock market and lead to exit of foreign investors. Keywords: Russia-Ukraine war, Egyptian Stock Market, Egyptian Economy.

PurposeThis study aims to test the contagion effect of the Tunisian revolution on the Egyptian stock market. Thus, the purpose of this research is to distinguish the contagion effect from the simple interdependence between these markets.Design/methodology/approachThis paper examines the contagion hypothesis between Tunisia and Egypt during the Arab Spring, using a DCC-MGARCH model to capture time-varying contagion effects and dynamic linkages in stock markets. Therefore, to identify the contagion effect from the simple interdependence, the authors apply the pure contagion test developed by Forbes and Rigobon (2002).FindingsThe findings indicate a contagion effect, as the EGX 30 index exhibited similar changes, positive or negative, as the Tunindex index during the period of the Tunisian revolution. Moreover, the analysis demonstrates the presence of an interdependence between the Tunisian revolution and the Egyptian market, emphasizing the interconnections between these two economies.Practical implicationsThe findings provide investors with a better understanding of financial market dynamics in times of major political unrest, notably on the Tunisian and Egyptian markets. By understanding the contagion effect of the Tunisian revolution on the Egyptian stock market, investors can further explore the complexities of these markets in times of financial crises, which can help mitigate losses and identify strategic investment opportunities.Originality/valueThis study makes two significant contributions to the field. First, it addresses the scarcity of research specifically focused on the contagion effect during the Arab Spring, aiming to fill this gap by testing the contagion effect of the Tunisian revolution on a nearby market. Second, it extends the contagion test of Forbes and Rigobon (2002), which associates “pure” contagion with a significantly higher correlation between markets during a crisis.

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

This research aims to examine the relationship between corporate governance and the value of the company in the stock market, using a sample of non-financial companies listed on the Egyptian stock exchange for the period of four years 2015-2018. The study was conducted on companies registered in the Egyptian stock market, but after the exclusion of financial institutions because they are subject to special rules for disclosure and transparency and oversight, where a sample of non-financial companies will be selected at random. And You will get the necessary data for the applied research through the financial statements and reports of the Board of Directors and reports to the audit committees of listed companies in the Egyptian stock market during the period from 2015 and 2018, and the researcher will depend on the method of regression analysis to test the research hypotheses. The research problem stems from the need to answer the following questions: 1. Does corporate governance affect the level of the company’s performance? 2. Does the performance of the company’s affect value in the stock market? 3. Does corporate governance affect the value of the company in the stock market? The research is aimed at theoretical apartment: to identify the general framework for corporate governance in the light of the latest standards and studies and analyze the most important studies that have looked at the relationship between corporate governance and performance level of the company, as well as studies that looked at the relationship between corporate governance and the company’s value in the stock market in order to benefit from the findings of previous studies in this regard. The paper presents the results of an empirical analysis, studies the impact of corporate governance on the value of the company in the Egyptian stock market, which showed that there is a positive relationship, but not significant between the corporate governance index and the ratio of market value to book value per share, and the results indicate that there is a positive relationship, but not significant between the corporate governance index and the percentage of Tobin’s Q. The results of the research can be useful through its response to the theme, which is a vital and important as it tests the relationship between corporate governance mechanisms and the performance of the company and its value in the stock market with the application in the Egyptian environment. Keywords: corporate governance, firm value, and firm performance.

This paper examines the existence of the flight to quality phenomenon in the Egyptian stock market and highlights the role of quality stock and Treasury bills in mitigating the risk associated with the falling condition of the stock market. We used the return of market portfolio (EGX30), Treasury bill and quality sorted portfolio from January 2008 to December 2017. We employed the auto regressive distributed lag model (ARDL) to postulate both the co-movement between quality stock return and market portfolio return and the co-movement between Treasury bill return and market portfolio return. Our findings show no existence of flight to quality behavior in the Egyptian stock market, and quality stock is a good diversifier. Whereas, flight to quality behavior exists between the stock market and treasury bills in the crisis periods, and treasury bill can be used as stabilizing investment tool.

The aim of this paper is to evaluate the impact of the January25 revolution on stock performance in the Egyptian market during 2010–2012 by analyzing its effects on trading volume, market return fluctuation, and closing price. These variables are analyzed pre- and post-January25 revolution using the descriptive statistics group unit root test, cointegrating equation model, GARCH model, and ARCH model. The results indicate that there is a significant positive relation between the January events and return fluctuation and no significant effect between the January events and trading volume; however, the trading volume decreased before, during, and after these events, and there is a significant negative relation between the January events and closing price.

Purpose This paper examines the causal relationship between stock market performance and foreign exchange market in Egypt over the period 2009–2016. The study period is divided into two sub-periods: pre- and post-January 25th Egyptian revolution (ER). The reason is to examine how this revolution affects the causal relationship between the two markets' performance. Design/methodology/approach In this study, the daily basis data are used to enable good and effective observation changes in the foreign exchange rate and stock market performance over time. Stock market indexes and stock market capitalization are used as proxies for stock market performance. Further, the Egyptian pound to US$ exchange rate is used as a measure for foreign exchange market performance. The study analysis is done in stages. The first is to check the variables' stationarity for the pre- and post-revaluation. The second is to examine the cointegration among the variables. The third is to run vector autoregression (VAR) estimates, after which VAR Granger causality tests are employed. Findings The results show that the data are not stationary at their levels but stationary in their first difference level while there is no cointegration in the long-run among the variables in both sub-periods. Further, findings indicate that, in the pre-January 25th revolution period, there is a significant causal relationship between the foreign exchange market and stock market indexes and a significant causal relationship between market capitalization (CAP) and exchange rate at the 1% level. However, in the post-January 25th revolution period, the study does not find a significant causal relationship between foreign exchange market and stock market indexes and capitalization. Research limitations/implications As this study focuses on the causal relationship between foreign exchange and stock markets before and after the 25th January Revolution, other macroeconomic variables such as consumer price index, interest rate and GDP were excluded for the comparison purposes with other studies. Further research is suggested to include them in the analysis to find out its effect on the performance of stock market and foreign exchange market. Practical implications The existence of long-run bidirectional causality means that portfolio managers and hedgers may have improved their understanding regarding the dynamic relationship between foreign exchange market and stock market performance as this may help them to plan and implement suitable hedging strategies to guard against currency risk in future crises or events. Investors, fund and portfolio managers and policymakers should give much attention to these event-specific interactions when they make capital budgeting decisions and implement regulation policies. Furthermore, our results may allow portfolio managers, investors and policymakers to assess the importance of informational efficiency for both markets. Originality/value This paper is an original contribution to the literature that concerns the causal relationship between stock market and foreign exchange market in the period of political instability and social unrest such as the January 25th Revolution in one of the emerging markets, namely Egypt.

PurposeThis paper examines the reaction of the Egyptian stock market to two substantial devaluations of the Egyptian pound (EGP) in 2022 and tests the informational efficiency of the Egyptian market.Design/methodology/approachThe paper uses the event study framework to analyze the significance and direction of abnormal returns of the leading index of the Egyptian stock market (EGX30) on and around the devaluation days. It employs both the constant mean model and the market model to estimate the normal returns of the EGX30. Additionally, the paper uses data on two equity indices, one global and one for emerging markets, as benchmarks for normal returns.FindingsThe paper finds that the Egyptian stock market experienced significant positive abnormal returns on the devaluation days of the EGP in March and October of 2022, indicating a positive market reaction to the devaluation. Furthermore, evidence suggests that the Egyptian market may not be informationally efficient as significant positive abnormal returns were observed two weeks before and two weeks after the devaluation day, suggesting news leaks and delayed reactions, respectively.Originality/valueThis study is the first to examine the impact of the recent two devaluations of the EGP in 2022 on the Egyptian stock market. It complements existing literature by analyzing the immediate market reaction to two consecutive devaluations in an African country. Furthermore, the paper evaluates the efficiency of the Egyptian market in processing information related to exchange rates.

Global Depositary Receipt (GDR) Conversion in Egypt and USD/EGP FX Rate

The study addressed the impact of independent variables represented by macroeconomic factors, including inflation; interest rates, government expenditure, gold prices, foreign direct investment, imports, exports and political risks on the dependent variable, which is the Egyptian stock market performance which was accomplished using the EGX100 index from July 2006 to December 2022. The research problem focused on answering the main question: Is there an impact of macroeconomic variables on stock returns in the Egyptian stock market performance? The researcher found a positive significant relationship between the Egyptian stock market performance and inflation, interest rate, government expenditure, gold prices, foreign direct investment FDI and Exports. However, there is a positive insignificant relationship between the Egyptian stock market performance and imports while there is a negative insignificant relationship between the Egyptian stock market performance and political risk.

This research paper will look at the impact of CSR on corporate financial performance in the Egyptian stock market. The study employs the fixed-effects panel data regression analysis to examine 32 companies that are listed in the S&P/EGX ESG Index between 2017 and 2024, bringing 256 observations. The financial performance measures examined in the study include the return on assets (ROA), the return on equity (ROE), the return on sales (ROS), and the return on invested capital (ROIC). Findings indicate that CSR has a significant and positive influence on all the financial performance measures. The highest relationship was found in ROE (0.769), followed by ROS (0.680), ROIC (0.657), and ROA (0.586). All models were significant statistically, which shows strong evidence of a CSR-performance relationship in the emerging markets. The suggested work organizes the empirical evidence to the new market situation in Egypt, which is applicable to the gap in the researches on CSR-performance relations in the developing economies and can offer useful information to managers, investors and policy makers of the analogous markets. There are policy implications in the findings that are of importance to the emerging market regulators and policymakers. Governments must consider supportive structures such as tax breaks, subsidies and awards to promote the adoption of CSR since the practices have proven to improve corporate financial wellbeing and the expansion of social welfare goals in general. The fact that the S&P/EGX ESG Index has been able to find financially superior companies supports its further growth and implies that mandatory ESG reporting rules would help the market to work more efficiently because they would allow allocating more capital to socially responsible and high-performing companies. The outcomes present evidence-based reasons as to why policymakers in such emerging economies ought to consider CSR not as a means of regulation but as a mechanism of pursuing economic growth and societal progress at the same time.

Measuring Transparency and Disclosure in the Egyptian Stock Market Mohamed Masry Abstract Disclosure and Transparency in the stock market is an important requirement for the proper functioning of market forces. Inadequate information may lead to responses that do not reflect the principles of economic rationality, thus threatening economic growth and causing economic inefficiency. In this context, the study addresses the importance and role of disclosure and transparency in the Egyptian Stock market, relying on an inductive and statistical approach in addition to questionnaires that elicit firm views regarding transparency and disclosure in the stock market. Transparency and disclosure are measured for a representative sample of Egyptian companies in accordance with relevant legislations; the sample involved all firms comprising EGX30, which includes the 30 most active firms in the Egyptian Stock market. Full Text: PDF DOI: 10.15640/jfbm.v3n1a3

Does Ownership Structure Affect Firm Value? Evidence from the Egyptian Stock Market

Financial performance has been of concern to management and other stakeholders since the 2008 financial crisis. The impact of financial distress and bankruptcy on firms cannot be taken for granted. Financial distress is detrimental to big organizations and the small organizations alike. This study was conducted with the purpose testing if Altman’s failure prediction model is good indicator in predicting financial distress of firm working in Egyptian stock market. The study took a sample of seven companies from firms working in Egyptian stock market during the period from 2016 to 2020. Data was extracted from secondary sources for a period of five years. Data extracted included working capital, total assets, retained earnings, market capitalization total liabilities and sales. The collected data was then analyzed using Microsoft excel software. The study established that the Altman’s Z-score model was good indicator for predicting financial distress of firm working in Egyptian stock market. The study recommends the adoption of Altman’s failure prediction model in predicting financial distress of firm working in Egyptian stock market by not only investors but also all other stakeholders.

PurposeLiterature indicates that global geographic diversification (GD) has mixed effects on a multinational corporation’s (MNC) performances. The purpose of this paper is to examine how an MNC’s GD influences its stock market and financial performances directly and indirectly via operational performance (i.e. changes in inventory levels).Design/methodology/approachUsing firm-level data collected from Compustat database for the period 2000-2011 and estimating a mediating regression model, the authors examine the direct and indirect effects of GD on an MNC’s stock market (Tobin’s q) and financial performances (ROA), with inventory level being a mediator. Additionally, the examination is implemented separately under two economic situations: financial crisis vs without financial crisis.FindingsThe results show that GD enhances an MNC’s stock market performance, while deteriorating its financial performance in the presence of a financial crisis. In contrast, GD has little direct impact on an MNC’s stock market and financial performances during periods without financial crisis. The indirect effects of GD are mediated by changes in inventory levels.Practical implicationsThis study suggests that MNCs need to carefully weigh the benefits and costs of global strategy obtained through GD. The results also indicate that GD is highly appreciated by the stock market investors during economic downturns and tighter inventory management may further enhance firm values.Originality/valueThis paper is the first empirical research to estimate both direct and indirect effects of GD via inventory in the operations management literature, highlighting the value of GD depending on the different economic situations and echoing the role of operations in implementing GD.