COINTEGRATION AND EGYPTIAN STOCK MARKET EFFICIENCY

8/8/2019 COINTEGRATION AND EGYPTIAN STOCK MARKET EFFICIENCY

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2/13

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vxakhaph# ti yxecezi vxaxevxefv xa`ycaxih ù Ikdci akh Dpakdip%+


3/13



195

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4/13



1>=

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akh Jgbakvik akh Jyviceyv "1525% ngp nypxbip hixaecv_+


5/13



1>1

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vxaxevxef ev g`xaekih+ Av xbi fgo}yxih N vxaxevxefv api ìcgt xbi xa`ycaxih ~acyi gn


6/13



1>0

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xbi kycc# tbefb eo}ceiv xbi a`vikfi gn a hpenx ek xbev }pgfivv+ Xbi ekngpoaxegk xbax ?

= "npgo xbi 6 xivx% ev ir}cgexih# xbyv# ti ivxeoaxi \8+19+0_ akh facfycaxi xbi 1# vii

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xeoi vipeiv fgkxaekv a ykex pggx# `yx kgx a hixipoekevxef xpikh kgp a hpenx xipo+ Ba~ekd

avfipxaekih xbax xbi vipeiv ev kgx E"=%# ti fgknepo xbax xbi vipeiv kiihv xg ì

hennipikfih gkcu gkfi xg afbei~i vxaxegkapexu "e+i+ ev ak E"1% ~apea`ci% Xbev piqyepiv

nypxbip hennipikfekd+ Xbyv# ti ìdek texb xbi pidpivvegk:

Vx? Vx/1 , , x , Vx/1, ix+

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?= akh 1_# gp \ = akh 1_+ Xbipingpi# ti xivx ngp ?1# yvekd xbi x/vxaxevxef gn

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vxakhaph kgpoac xa`civ+ Xbyv# ti pijifx xbi kycc xbax ? 1# xbik ti ba~i xtg

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gyx a x/xivx ngp xbi kycc xbax ? =# `yx ti fgych kgx pijifx xbev bu}gxbivev vekfi xbi x/

vxaxevxef gn /1+40 ev civv xbak xbi fpexefac ~acyi gn 1+5> xalik npgo xbi vxakhaph kgpoac


7/13



1>6

xa`civ+ Bipi# ti oau hifehi xbax xbi vipeiv ev vxaxegkapu texb kg cekiap xpikh# `yx

}gvve`cu texb ak ekxipfi}x+

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nekh x/vxaxevxef gn /8+>= pijifxekd xbi kycc akh eo}cuekd a hpenx ek V4+ Gyp fgkfcyvegk#

xbipingpi# ev xbax xbi vbapi }pefi xeoi vipeiv gn nekakfi vifxgp "V4% ev vxaxegkapu texb kg

cekiap xpikh# `yx texb a kgk/zipg hpenx+ Ki~ipxbicivv# àvih gk xbi pivycxv gn xbi ~avx

oajgpexu gn gyp xeoi vipeiv# ti api ikfgypadih xg }pgfiih xg gyp fgekxidpaxegk

akacuvev+

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Dpakdip xtg/vxi} oixbghgcgdu ek ahhexegk xg xbi oycxe~apeaxi Jgbakvik ivxeoaxiv+

Xa`ci 8+19 }pivikxv vgoi veo}ci è~apeaxi fgekxidpaxegk pivycxv ìxtiik gyp 1=

ekhefiv gn vxgfl }pefiv akh xbi Dikipac Ekhir+ Xbi nekhekdv ek xbev xa`ci vyddivx xbax

xbi vbapi }pefiv gn gkcu gki gn xbi ekhefiv ek xbi vao}ci oau ì fgekxidpaxih texb xbi

Dikipac Ekhir gn xbi Idu}xeak Vxgfl Oaplix< V5 bav vxaxevxefaccu vedkenefakx Hefliu/

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a}}iap xg ì innefeikx ngp xbi ~avx oajgpexu gn xbi vao}ci vekfi kg }pihefxaècexu

viiov xg irevx ìxtiik xbi Dikipac oaplix ekhir akh xbi }pefiv gn xbivi }pefi

ekhefiv+


8/13



1>8

Xa`ci 8/18 Ykex Pggx Xivxv ngp xbi Haecu ]pefiv Haxa

Ekxipfi}

x

Xpikh Zx/1 Zx/1 Zx/0 Zx/6 6 0 1 x" AHN% ngp xbi nepvx

hennipikfi

texb xpikh texbgyx xpikh

e+ Z ? V1 =+=0 =+===8 /=+==1 =+==8 =+=1 =+=6 1+252 0+98 /15** /15**

ee+ x/vxax+ "=+=9% "1+82% "/=+00% "=+11% "=+64% "=+25%

eee Z ? V1

/=+61 =+== =+== =+=1 =+=6 0+40

e~+ x/vxax+ "/=+52% "1+04% "=+=2% "=+66% "=+29%

e+ Z ? V0 =+5> /=+== /=+=1 =+== =+== =+== 1+8> 1+50 /15+6** / 0=**

ee+ x/vxax+ "1+2=% "/1+86% "/1+20% "=+1=% "=+1=% "=+1=%

eee Z ? V0 =+6= /=+== =+== =+== =+== 1+14

e~+ x/vxax+ "1+18% "/1+1>% "=+==% "=+==% "=+==%

e+ Z ? V6 =+>2 =+== /=+=1 =+== =+81 =+=8 1+85 0+=6 /10+9** /10+8**

ee+ x/vxax+ "0+==% "1+02% "/1+2=% "=+=8% "10+1=% "1+=>%

eee Z ? ]6 =+82 /=+== =+== =+8= =+=8 1+80

e~+ x/vxax+ "1+95% "/1+68% "=+=1% "10+=8% "=+54%

e+ Z ? ]8 1+59 =+== /=+=1 =+18 =+=9 =+1= 0+44 0+56 /1>+4** /1>+4**

ee+ x/vxax+ "0+6>% "1+09% "/0+16% "6+42% "1+04% "0+46%

eee Z ? ]8 1+8> /=+== =+18 =+=9 =+1= 6+6>

e~+ x/vxax+ "0+==% "/1+48% "6+49% "1+06% "0+>2%

e+ Z ? ]9 =+56 =+== /=+=1 =+== =+== =+== 1+8> 0+== /15+6** /15+6**

ee+ x/vxax+ "1+5=% "1+80% "/1+55% "=+10% "=+10% "=+10%

eee Z ? ]9 =+4= /=+=1 =+== =+== =+== 1+15

e~+ x/vxax+ "1+90% "/1+82% "=+1=% "=+1=% "=+1=%

e+ Z ? ]> =+>1 =+== /=+=1 =+== =+== =+=1 1+20 1+85 /15+6** /15+6**

ee+ x/vxax+ "1+>2% "1+5=% "/1+40% "=+=6% "=+=9% "=+05%

eee Z ? ]> =+10 /=+== =+== =+== =+=1 =+50

e~+ x/vxax+ "=+84% "/=+05% "=+==% "=+=1% "=+0>%

e+ Z ? V4 /0+65 /=+== =+=0 =+=5 /=+=5 /=+== 18+09** 1=+4>** /12+4** /12+0**

ee+ x/vxax+ "/8+>=% "/1+40% "8+80%** "0+84% "/0+64% "/=+16%

eee Z ? ]4 /1+5= =+=1 =+1= /=+=2 =+== 15+29

e~+ x/vxax+ "/8+65% "9+65%** "0+41% "/0+12% "=+=2%e+ Z ? ]2 =+1= =+== /=+== =+=5 =+00 =+10 1+85 =+16 /18** /16+5**

ee+ x/vxax+ "=+61% "1+61% "/=+81=% "0+99% ">+00% "6+81%

eee Z ? ]2 /=+=0 =+== =+=5 =+00 =+10 1+62

e~+ x/vxax+ "/=+=4% "=+61% "0+9>% ">+00% "6+65%

e+ Z ? ]5 =+50 =+== /=+== =+1> =+06 =+1= 0+=2 1+14 /10+9** /10+9**

ee+ x/vxax+ "1+82% "=+25% "/1+0>% "8+1>% ">+15% "0+>0%

eee Z ? ]5 =+44 /=+== =+1> =+06 =+1= 0+46

e~+ x/vxax+ "1+05% "/=+56% "8+1>% ">+14% "0+>=%

e+ Z ? ]1= /=+98 =+== =+== =+19 =+=0 =+=1 9+81 1+=9 /69+8** /69+6**

ee+ x/vxax+ "/1+88% "=+09% "1+65% "8+1=% "1+10% "1+0=%

eee Z ? ]1= /=+>1 =+=1 =+19 =+=0 =+=1 0+9>

e~+ x/vxax+ "/0+09% "0+>0% "8+1=% "1+10% "1+159% 2+1=e+ Z ? ]11 =+65 =+== /=+== =+12 =+01 =+18 0+10 =+4> /10+9** /10+9**

ee+ x/vxax+ "1+11% "=+22% "/=+58% "9+==% "9+22% "6+5=%

eee Z ? ]11 =+04 /=+== =+12 =+01 =+18 0+45

e~+ x/vxax+ "=+26% "/=+90% "9+==% "9+24% "6+22%

Ngp iafb pidpivvegk iqyaxegk xbi hi}ikhikx ~apea`ci ev Z+ Z ev hinekih ek xbi vifgkh fgcyok+ Xbi ivxeoaxegk }ipegh ev 1558 Jak+#

1vx xg 155> Hif+ 61vx+ ** ekhefaxiv a pijifxegk gn xbi kycc ax xbi 59 ) ci~ic+ Cekiv "E% akh "eee% pi}gpx xbi ivxeoaxiv gn iqyaxegkv

8+0>+6 akh 8+0>+0# piv}ifxe~icu+


9/13



1>9

Xa`ci 8/19 Xtg Vxi} Fgekxidpaxegk Xivx: Vifxgp Vbapi ]pefiv akh xbi Dikipac Ekhir "V11%

]pefi Ekhefiv HT HN AHN"C%

V1 =+==4 /=+882 /=+>=="8%

V0 =+==> /1+119 /1+158">%

V6 =+==6 /=+>56 /1+158"0%

V8 =+=68 /0+>8= /0+901"4%

V9 =+=1> /0+>8= /0+901"4%

V> =+==8 /=+451 /=+505"9%V4 =+==9 0+640 1+588"1%

V2 =+=16 /1+820 /0+106"0%V5 =+=>5 /6+440* /6+104"1%

V1= =+118 /=+0=0 /=+015"0%

Kgxi: Xbi vxaxevxefv pi}gpxih api acc npgo è~apeaxi pidpivvegkv fgkvevxekd gn Hi}ikhikx âpea`ci "vifxgp vbapi }pefiv%

akh xbi Dikipac Ekhir+ HT# HN# akhAHNhikgxi# piv}ifxe~icu# Hypèk Taxvgk# Hefliu Nyccip akh Aydoikxih HefliuNyccip vxaxevxefv gk xbi pivehyacv dikipaxih npgo xbi fgekxidpaxekd iqyaxegk+ Xbi ne~i }ipfikx fpexefac ~acyiv ngp xbivi

vxaxevxefv api av ngccgtv:HT?=+62>+

Xa`ci 8/1> Xtg Vxi} Oycxe}ci Fgekxidpaxegk: Dikipac Ekhir avxbi Hi}ikhikx âpea`ci

1

Kg+ gn Ekhefiv HT HN AHN"C%

1= =+>64 /19+1=8** /1=+=48**"1%

Kgxi: Xbi vxaxevxef pi}gpxih api ngp xbi oycxe}ci pidpivvegk texb xbi Dikipac

Ekhir av xbi hi}ikhikx ~apea`ci+ Xbi ne~i }ipfikx fpexefac ~acyiv api: HN ? /8+82 api gkcu vyddivxe~i gn xbi cgkd/pyk picaxegkvbe}v+ Yvekd xbi Jgbakvik

oycxe~apeaxi a}}pgafb# ti iraoeki vyfb picaxegkvbe}v ìcgt+ Xbi oycxe~apeaxi


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1>>

Jgbakvik ivxeoaxiv tipi facfycaxih: "1% yvekd acc 11 }pefi vipeiv# akh "0% yvekd gkcu

1= }pefi vipeiv akh goexxekd xbi gki }gxikxeaccu E"=% ~apea`ci V4 +

Xa`civ 8/14 akh 8/12 }pivikx gyp ivxeoaxegk gn iqyaxegkv "8+61% akh "8+61%

ngp xbi hennipikx ekhefiv+ Xa`ci 8/14 vbgtv xbax# gk xbi àviv gnCP1# xbi xpafi xivx# ti

fak pijifx xbi kycc bu}gxbivev xbax xbipi ev a zipg fgekxidpaxekd ~ifxgp tbik ti yvi acc

}pefi vipeiv+ Vy}}gpx gn xbev i~ehikfi gn fgekxidpaxegk oau acvg ì ahhyfih npgo xbi

CP0 vxaxevxef# tbipi xbipi tgych a}}iap xg ì y} xg xtg fgekxidpaxekd ~ifxgpv+

Goexxekd xbi V4# xa`ci 8/12 eccyvxpaxiv xbaxCP1# xbi xpafi xivx# hiogkvxpaxiv y} xg keki

fgekxidpaxekd ~ifxgpv+ Xbev i~ehikfi gn fgekxidpaxegk oau acvg ì vy}}gpxih npgo xbi

CP0vxaxevxef# tbipi xbipi tgych a}}iap xg ì y} xg xbpii fgekxidpaxekd ~ifxgpv+

Xbyv# xbi a`g~i pivycxv oau ì vyooapevih av ekhefaxekd a vxpgkd pijifxegk gn

xbi kycc bu}gxbivev gn vxaxef innefeikfu+ Ek ir}caekekd xbev fgkfcyvegk# ti pinip xg

OafHgkach akh ]gtip "1556% tbg ba~i yvih xbi xipo vxaxef innefeikfu xg hikgxi xbi

kycc gn fgkvxakx ir}ifxih piac pixypkv akh paxegkac ekngpoaxegk }pgfivvekd+ Gk xbi

àvev gn veo}ci è~apeaxi fgekxidpaxegk xivxv ex tav hiogkvxpaxih xbax xbi ~avx

oajgpexu gn gyp vbapi }pefi ekhefiv heh kgx fgekxidpaxi texb xbi Dikipac Ekhir ek xbi

Idu}xeak Vxgfl Oaplix+ Xbev tgych viio xg ì a vxpgkd nekhekd# de~ik xbi innefeikfu

hinekexegk gn OafHgkach akh ]gtip "1556%+ Xbyv# ex a}}iapv xg ekhefaxi `gxb paxegkac

ekngpoaxegk }pgfivvekd akh xbi a`vikfi gn eo}gpxakx xeoi/~apuekd icioikxv ek

iqyece`peyo pixypkv+ Bgti~ip# xbev nekhekd fgkncefxv texb gyp oycxe~apeaxi ivxeoaxiv

npgo `gxb xbi Ikdci/Dpakdip xtg vxi} xivxv akh Jgbakvik fgekxidpaxegk xivxv tbipi a

vy`vxakxeaxi aogykx gn ekinnefeikfu tav hgfyoikxih+ Xbev fgkfcyvegk adpiiv texb

OafHgkach akh ]gtip "1556% tbg pi}gpxih a vxpgkd aogykx gn ekinnefeikfu ngp a

vao}ci gn 8= fgo}akeiv g~ip xbi }ipegh Jakyapu 15>5 xg Hifioìp 1551+ Ek gphip xg


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1>4

ekxip}pix xbev i~ehikfi gn fgekxidpaxegk# OafHgkach akh ]gtip "1556% }pg~ehi ak

aoèxegyv }pg}gvac ngp xbi adikha gn nyxypi piviapfb ekxg xbi ìba~egyp gn vxgfl

}pefiv+ Xbiu oikxegkih xbax ex oau iexbip pincifx xbi fgkviqyikfiv gn kgevi xpahekd gp

~apea`ci iqyece`peyo ir}ifxih pixypkv+ Xbiu vyddivx xbax a fgkvxpyfxih vyp~iu haxa

àvi gk adikxv vxgfl }pefi ir}ifxaxegkv oau pivgc~i tbefb gn xbi xtg innifxv

hgoekaxiv+

Xa`ci 8/14 Oycxe~apeaxi Fgekxidpaxegk Xivxv: Jgbakvik Oareoyo Celicebggh

]pgfihypi "Acc âpea`civ%

/OAR CP0 Xpafi Xivx CP1

B= vxaxevxef 5= ) F^ o B= vxaxevxef 5=) F^ o

p = >6+24 86+82 11 p = 02>+64 040+=6 11

p 1 84+86 80+40 1= p 1 000+85 002+99 1=p 0 80+4 69+28 5 p 0 149+=> 129+26 5

p 6 61+> 60+0> 2 p 6 160+6> 185+55 2

p 8 6=+15 02+6> 4 p 8 1==+4> 114+46 4

p 9 00+12 08+>6 > p 9 4=+94 25+64 >

p > 14+56 0=+5 9 p > 82+65 >8+48 9

p 4 11+28 14+19 8 p 4 6=+8> 86+28 8

p 2 5+65 16+65 6 p 2 12+>0 0>+4 6

p 5 2+21 1=+> 0 p 5 5+06 16+61 0

p 1= =+80 0+41 1 p 1= =+80 0+41 1

Kgxi: xbi oekeoyo kyoìp gn fgekxidpaxekd ~ifxgpv ev hikgxih ù p+ Xbi ~ifxgp ayxgpidpivvegk "ek

ci~icv% fgkxaekih 11 cadv akh fgkvxakx+ Xbi ~apea`ci o ? } /p# tbipi } hikgxiv xbi kyoìp gn

~apea`civ+ Ykhipcekiv hikgxi vedkenefakfi ax xbi xik }ipfikx ci~ic "yvekd FAXV ek PAXV }afladi# ti

fgych kgx v}ifenu xbi ne~i }pivikx ci~ic+ Bgti~ip# ti fgych dix 9) ci~ic ù Oefpgnextbefb hgivkgx de~i yvi xbi }gvveècexu xg xivx ìugkh 9 cadv fgkxaekih ek xbi ~ifxgp ayxgpidpivvegk%+

Xa`ci 8/12 Oycxe~apeaxi Fgekxidpaxegk Xivxv: Jgbakvik Oareoyo Celicebggh

]pgfihypi "Irfcyhekd V4%

/OAR CP0 Xpafi Xivx CP1

B= vxaxevxef 5= ) F^ o B= vxaxevxef 5=) F^ o

p = 82+80 80+40 1= p = 002+99 012+=> 1=

p 1 62+06 69+28 5 p 1 129+26 1>5+>8 5

p 0 60+52 60+0> 2 p 0 185+55 161+81 2

p 6 05+56 02+6> 4 p 6 114+46 52+80 4

p 8 00+16 08+>6 > p 8 25+64 >2+85 >

p 9 14+5> 0=+5 9 p 9 >8+48 8>+64 9p > 16+49 14+19 8 p > 86+28 02+81 8

p 4 2+45 16+65 6 p 4 0>+4 18+>> 6

p 2 9+20 1=+> 0 p 2 16+61 9+24 0

p 5 =+=9 0+41 1 p 5 0+41 =+=9 1

Kgxi: Xbi ~ifxgp ayxgpidpivvegk "ek hennipikfiv% fgkxaekih 11 cadv akh fgkvxakx+

8+9 FGKFCYVEGK


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1>2

Ek xbev fba}xip ti ba~i io}epefaccu iraoekih vgoi xeoi vipeiv }pg}ipxeiv akh

vxakhaph avvyo}xegkv gn vxgfl pixypkv yvekd 6 uiapv gn haecu haxa gk xbi ici~ik

Idu}xeak vxgfl pixypkv+ Vi~ipac àvef xivxv# e+i+ 0 # xbi Vxyhikxezih pakdi# Japqyi/

@ipa vxaxevxef# acc ekhefaxi xbax kgki gn xbi ekhefiv bav a kgpoaccu hevxpe`yxih pixypk+

Acxbgydb xbev pivycx jyvxeneiv xbi nafx xbax haecu vxgfl pixypkv api kgx kgpoaccu

hevxpe`yxih# xbi pivycxv gn xbi ogpi }gtipnyc xivx# e+i+ Lgcogdpg~/Voepkg~ xivx# hg kgx

fgknepo xbev fgkfcyvegk+

Hyi xg xbi irevxikfi gn ci}xglypxef hevxpe`yxegk ek gyp xeoi vipeiv# ti yvi a

DAPFB oghic ek gphip xg hivfpeì xbi }pgfivv gn vxgfl pixypkv ek xbi Idu}xeak

nekakfeac oaplix+ Xbi nekhekdv hiogkvxpaxi xbax xbi ~apeakfi gn Idu}xeak vxgfl

pixypkv ev xeoi/~apuekd ek xbi DAPFB fgkxirx+ Ti acvg ek~ivxedaxi xbi

ekxidpaxihkivv gn xbi ~gcaxecexu gn avvix pixypkv+ Xbi io}epefac pivycxv ekhefaxi xbax xbi

~gcaxecexu gn Idu}xeak vxgfl pixypkv ev ekxidpaxih+

Xg xivx xbi vxaxegkapexu gn xbi Idu}xeak vxgfl pixypkv# nepvx# ykex pggx xivxv

hi~icg}ih ù Hefliu akh Nyccip "1545% api a}}ceih xg xbivi vipeiv+ Xbik# ti fgkhyfx

xbi ~apeakfi/paxeg xivx gn Cg akh OafLekcau+ Xbi pivycxv }pg~ehi vy}}gpx xbax xbipi ev

a picaxe~icu vedkenefakx vxaxegkapu fgo}gkikx# tbefb vyddivxv xbi }pivikfi gn

vyffivvnyc voggxbekd ngp xbivi vipeiv+ Ex ev vyddivxih xbax voggxbekd oau pihyfi

~gcaxecexu gn nekakfeac vipeiv `yx irbeèx vedkenefakx vipeac fgppicaxegk+ Xbi caxxip tav

ngykh xg ì kidaxe~i# vyddivxekd xbax xbi vxgfl pixypkv ngccgt a oiak pi~ipxekd

}pgfivv+ Xbi eo}gpxakx fgkfcyvegk gn xbev i~ehikfi ev xbax xbipi api fgo}gkikxv ek

}avx }pefiv xbax fak ì yvih xg }pihefx nyxypi }pefiv< xbipingpi# }pefiv hg kgx ngccgt

pakhgo taclv+ Nypxbipogpi# xbi pakhgo tacl bu}gxbivev# tbeci ìekd a v}ifeac favi

gn a oapxekdaci# ev kgx iqye~acikx xg oaplix innefeikfu+


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COINTEGRATION AND EGYPTIAN STOCK MARKET EFFICIENCY

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