Investor Trading Patterns And Performance Before, During And After Two Consecutive Crises: Evidence From Egyptian Stock Market

Egypt was shocked by the 2007/2008 global financial crisis, and was hit strongly by the 2011 domestic political crisis. Despite the fact that EGX is a promising active emerging stock market, the background of EGX illustrated by Niemczak & Smith (2013) shows that EGX is not only inefficient but a...

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Main Author:	Abdalla, Mohamed Ahmed Elsayed Sleem
Format:	Thesis
Language:	English
Published:	2019
Subjects:	HD28-70 Management Industrial Management
Online Access:	http://eprints.usm.my/48174/1/Mohamed%20Ahmed%20Elsayed%20Sleem%20Abdalla%20cut.pdf
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id	my-usm-ep.48174
record_format	uketd_dc
spelling	my-usm-ep.481742021-01-25T02:21:45Z Investor Trading Patterns And Performance Before, During And After Two Consecutive Crises: Evidence From Egyptian Stock Market 2019-08 Abdalla, Mohamed Ahmed Elsayed Sleem HD28-70 Management. Industrial Management Egypt was shocked by the 2007/2008 global financial crisis, and was hit strongly by the 2011 domestic political crisis. Despite the fact that EGX is a promising active emerging stock market, the background of EGX illustrated by Niemczak & Smith (2013) shows that EGX is not only inefficient but also fragile and exposed to crisis. Therefore, it is expected that some investors are more informed and it is worth to investigate such case in light of the two recent crises particularly the political turmoil. Using behavioral finance aspects, this research aims to identify the trading patterns (e.g. momentum, contrarian) and performance of buy and sell trades conducted by different types of investors (i.e., domestic individuals, domestic institutions, foreign individuals, and foreign institutions) during crisis and non-crisis periods. The dataset of investors’ daily inflows and outflows is extended from January 2006 to December 2016. The Vector Autoregressive (VAR) is employed to detect feedback trading, and volatility (e.g. via Wald test), while the method of Kamesaka et al. (2003) is employed to measure the performance of each investor category. The results indicate that the trading strategies utilized by the four investor categories during crisis periods differ from those employed during non-crisis periods. Second, momentum and contrarian patterns are heavily employed but in different intense. Further, Institutional foreigners were winners during the five sub-periods while Individual investors were nearly always losers. This suggests that foreign institutions are information-driven while individuals are behavioral-driven as in Kamesaka et al. (2003). 2019-08 Thesis http://eprints.usm.my/48174/ http://eprints.usm.my/48174/1/Mohamed%20Ahmed%20Elsayed%20Sleem%20Abdalla%20cut.pdf application/pdf en public phd doctoral Universiti Sains Malaysia Pusat Pengajian Pengurusan
institution	Universiti Sains Malaysia
collection	USM Institutional Repository
language	English
topic	HD28-70 Management Industrial Management
spellingShingle	HD28-70 Management Industrial Management Abdalla, Mohamed Ahmed Elsayed Sleem Investor Trading Patterns And Performance Before, During And After Two Consecutive Crises: Evidence From Egyptian Stock Market
description	Egypt was shocked by the 2007/2008 global financial crisis, and was hit strongly by the 2011 domestic political crisis. Despite the fact that EGX is a promising active emerging stock market, the background of EGX illustrated by Niemczak & Smith (2013) shows that EGX is not only inefficient but also fragile and exposed to crisis. Therefore, it is expected that some investors are more informed and it is worth to investigate such case in light of the two recent crises particularly the political turmoil. Using behavioral finance aspects, this research aims to identify the trading patterns (e.g. momentum, contrarian) and performance of buy and sell trades conducted by different types of investors (i.e., domestic individuals, domestic institutions, foreign individuals, and foreign institutions) during crisis and non-crisis periods. The dataset of investors’ daily inflows and outflows is extended from January 2006 to December 2016. The Vector Autoregressive (VAR) is employed to detect feedback trading, and volatility (e.g. via Wald test), while the method of Kamesaka et al. (2003) is employed to measure the performance of each investor category. The results indicate that the trading strategies utilized by the four investor categories during crisis periods differ from those employed during non-crisis periods. Second, momentum and contrarian patterns are heavily employed but in different intense. Further, Institutional foreigners were winners during the five sub-periods while Individual investors were nearly always losers. This suggests that foreign institutions are information-driven while individuals are behavioral-driven as in Kamesaka et al. (2003).
format	Thesis
qualification_name	Doctor of Philosophy (PhD.)
qualification_level	Doctorate
author	Abdalla, Mohamed Ahmed Elsayed Sleem
author_facet	Abdalla, Mohamed Ahmed Elsayed Sleem
author_sort	Abdalla, Mohamed Ahmed Elsayed Sleem
title	Investor Trading Patterns And Performance Before, During And After Two Consecutive Crises: Evidence From Egyptian Stock Market
title_short	Investor Trading Patterns And Performance Before, During And After Two Consecutive Crises: Evidence From Egyptian Stock Market
title_full	Investor Trading Patterns And Performance Before, During And After Two Consecutive Crises: Evidence From Egyptian Stock Market
title_fullStr	Investor Trading Patterns And Performance Before, During And After Two Consecutive Crises: Evidence From Egyptian Stock Market
title_full_unstemmed	Investor Trading Patterns And Performance Before, During And After Two Consecutive Crises: Evidence From Egyptian Stock Market
title_sort	investor trading patterns and performance before, during and after two consecutive crises: evidence from egyptian stock market
granting_institution	Universiti Sains Malaysia
granting_department	Pusat Pengajian Pengurusan
publishDate	2019
url	http://eprints.usm.my/48174/1/Mohamed%20Ahmed%20Elsayed%20Sleem%20Abdalla%20cut.pdf
_version_	1747821893976588288

Investor Trading Patterns And Performance Before, During And After Two Consecutive Crises: Evidence From Egyptian Stock Market

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