The Stock Market and its Economic Interactions: An Empirical Study of Egypt

This thesis investigates the relationship between stock market development and economic growth in Egypt. Its aim is to determine the direction of causality between stock market development and economic growth. This study also includes the analysis of stock market behaviour, in particular the respond...

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Main Author:	Badawi, Ashraf Lotfi Elsayed
Format:	Thesis
Language:	eng eng
Published:	2011
Subjects:	HG Finance
Online Access:	https://etd.uum.edu.my/2505/1/Ashraf_Lotfi_Elsayed_Badawi.pdf https://etd.uum.edu.my/2505/2/1.Ashraf_Lotfi_Elsayed_Badawi.pdf
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id	my-uum-etd.2505
record_format	uketd_dc
spelling	my-uum-etd.25052022-04-13T00:26:14Z The Stock Market and its Economic Interactions: An Empirical Study of Egypt 2011-02 Badawi, Ashraf Lotfi Elsayed Dahalan, Jauhari College of Arts and Sciences (CAS) College of Arts and Sciences HG Finance This thesis investigates the relationship between stock market development and economic growth in Egypt. Its aim is to determine the direction of causality between stock market development and economic growth. This study also includes the analysis of stock market behaviour, in particular the respond toward major international crisis namely the Luxor terrorist attack, Iraq war, and September 11. The analysis uses selected fundamental economic variables namely, inflation, interest rate, exchange rate, money supply, budget deficit, and gross domestic product and the data is analysed using quarterly data that covered the period between 1993:l to 2008:4 which includes the above three international incidents. The existence of a long-run relationship between the stock market development and the economic growth is tested using Johansen's cointegration test, followed by the analysis of the short-run dynamic, which is based on the vector error correction model (VECM), while the determination of causality between variables is based on the Granger causality test. The result of the cointegration test shows the existence of the positive long-run relationship between the stock market development and economic growth in Egypt. It shows a positive relationship between economic growth and stock market development, while the causality is from economic growth to stock market development. Additionally, this thesis also examines the relationship between the stock market volatility and economic fundamentals using generalised autoregressive conditional heterokedasticity (GARCH) model. The result shows the existence of relationship between stock market volatility with gross domestic product, government budget deficit, and interest rate. Finally, as for the reaction of the Egyptian stock market towards the world crisis namely Luxor terrorist attack, Iraq war and September 11, the results exhibit different reaction from the Egyptian stock market before and after the crisis. 2011-02 Thesis https://etd.uum.edu.my/2505/ https://etd.uum.edu.my/2505/1/Ashraf_Lotfi_Elsayed_Badawi.pdf text eng public https://etd.uum.edu.my/2505/2/1.Ashraf_Lotfi_Elsayed_Badawi.pdf text eng public Ph.D. doctoral Universiti Utara Malaysia
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng
advisor	Dahalan, Jauhari
topic	HG Finance
spellingShingle	HG Finance Badawi, Ashraf Lotfi Elsayed The Stock Market and its Economic Interactions: An Empirical Study of Egypt
description	This thesis investigates the relationship between stock market development and economic growth in Egypt. Its aim is to determine the direction of causality between stock market development and economic growth. This study also includes the analysis of stock market behaviour, in particular the respond toward major international crisis namely the Luxor terrorist attack, Iraq war, and September 11. The analysis uses selected fundamental economic variables namely, inflation, interest rate, exchange rate, money supply, budget deficit, and gross domestic product and the data is analysed using quarterly data that covered the period between 1993:l to 2008:4 which includes the above three international incidents. The existence of a long-run relationship between the stock market development and the economic growth is tested using Johansen's cointegration test, followed by the analysis of the short-run dynamic, which is based on the vector error correction model (VECM), while the determination of causality between variables is based on the Granger causality test. The result of the cointegration test shows the existence of the positive long-run relationship between the stock market development and economic growth in Egypt. It shows a positive relationship between economic growth and stock market development, while the causality is from economic growth to stock market development. Additionally, this thesis also examines the relationship between the stock market volatility and economic fundamentals using generalised autoregressive conditional heterokedasticity (GARCH) model. The result shows the existence of relationship between stock market volatility with gross domestic product, government budget deficit, and interest rate. Finally, as for the reaction of the Egyptian stock market towards the world crisis namely Luxor terrorist attack, Iraq war and September 11, the results exhibit different reaction from the Egyptian stock market before and after the crisis.
format	Thesis
qualification_name	Ph.D.
qualification_level	Doctorate
author	Badawi, Ashraf Lotfi Elsayed
author_facet	Badawi, Ashraf Lotfi Elsayed
author_sort	Badawi, Ashraf Lotfi Elsayed
title	The Stock Market and its Economic Interactions: An Empirical Study of Egypt
title_short	The Stock Market and its Economic Interactions: An Empirical Study of Egypt
title_full	The Stock Market and its Economic Interactions: An Empirical Study of Egypt
title_fullStr	The Stock Market and its Economic Interactions: An Empirical Study of Egypt
title_full_unstemmed	The Stock Market and its Economic Interactions: An Empirical Study of Egypt
title_sort	stock market and its economic interactions: an empirical study of egypt
granting_institution	Universiti Utara Malaysia
granting_department	College of Arts and Sciences (CAS)
publishDate	2011
url	https://etd.uum.edu.my/2505/1/Ashraf_Lotfi_Elsayed_Badawi.pdf https://etd.uum.edu.my/2505/2/1.Ashraf_Lotfi_Elsayed_Badawi.pdf
_version_	1747827361266532352

The Stock Market and its Economic Interactions: An Empirical Study of Egypt

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