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The relationship between investor flows and returns on the Egyptian stock exchange
This paper examines the relationship between equity flows by domestic, Arab and foreign investors and returns in the Egyptian Stock Exchange (EGX) using daily investor flows data for the period from January 2004 till December 2013.The sample consists of aggregate buy/sell investor flows by individua...
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AUC Knowledge Fountain
2015
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| _version_ | 1867613407894568960 |
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| access_status_str | Open Access |
| author | El-Batrawy, Manar K. |
| author_browse | El-Batrawy, Manar K. |
| author_facet | El-Batrawy, Manar K. |
| author_sort | El-Batrawy, Manar K. |
| collection | Thesis |
| dc_rights_str_mv | The author retains all rights with regard to copyright. The author certifies that written permission from the owner(s) of third-party copyrighted matter included in the thesis, dissertation, paper, or record of study has been obtained. The author further certifies that IRB approval has been obtained for this thesis, or that IRB approval is not necessary for this thesis. Insofar as this thesis, dissertation, paper, or record of study is an educational record as defined in the Family Educational Rights and Privacy Act (FERPA) (20 USC 1232g), the author has granted consent to disclosure of it to anyone who requests a copy. |
| description | This paper examines the relationship between equity flows by domestic, Arab and foreign investors and returns in the Egyptian Stock Exchange (EGX) using daily investor flows data for the period from January 2004 till December 2013.The sample consists of aggregate buy/sell investor flows by individual and institutional investors of the three main categories (domestic, Arabs and foreigners). A vector-autoregression tool was used to analyze the data through two different regressions, one for the impact of returns on flows, and the other for the impact of flows on returns. The main key findings of the flows model were that domestic, Arab and foreign investors exhibit positive feedback trading in their buy and contrarian in their sell trades, except for domestic institutional trades, who showed no significant trading behavior. For the return model, the results were that purchases of domestic institutions, domestic individuals, Arab institutions, Arab individuals, foreign individuals are strongly positively related to returns, while foreign institutions showed no significance with returns in any manner. As for the sales, domestic individuals, Arab institutions, Arab individuals, foreign institutions and foreign individuals exert price pressure, which causes contemporaneous effect on returns, while domestic institutions showed no significance with returns in any manner. Interestingly enough, the trend reverses during crisis periods. |
| format | Thesis |
| id | oai:fount.aucegypt.edu:etds-1135 |
| institution | American University in Cairo (Egypt) |
| last_indexed | 2026-06-10T12:35:39.635Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from AUC Knowledge Fountain — bepress |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | AUC Knowledge Fountain |
| publisherStr | AUC Knowledge Fountain |
| record_format | dspace |
| source_str | AUC Knowledge Fountain — bepress |
| spelling | oai:fount.aucegypt.edu:etds-1135 The relationship between investor flows and returns on the Egyptian stock exchange El-Batrawy, Manar K. This paper examines the relationship between equity flows by domestic, Arab and foreign investors and returns in the Egyptian Stock Exchange (EGX) using daily investor flows data for the period from January 2004 till December 2013.The sample consists of aggregate buy/sell investor flows by individual and institutional investors of the three main categories (domestic, Arabs and foreigners). A vector-autoregression tool was used to analyze the data through two different regressions, one for the impact of returns on flows, and the other for the impact of flows on returns. The main key findings of the flows model were that domestic, Arab and foreign investors exhibit positive feedback trading in their buy and contrarian in their sell trades, except for domestic institutional trades, who showed no significant trading behavior. For the return model, the results were that purchases of domestic institutions, domestic individuals, Arab institutions, Arab individuals, foreign individuals are strongly positively related to returns, while foreign institutions showed no significance with returns in any manner. As for the sales, domestic individuals, Arab institutions, Arab individuals, foreign institutions and foreign individuals exert price pressure, which causes contemporaneous effect on returns, while domestic institutions showed no significance with returns in any manner. Interestingly enough, the trend reverses during crisis periods. 2015-06-01T07:00:00Z thesis application/pdf https://fount.aucegypt.edu/etds/136 https://fount.aucegypt.edu/context/etds/article/1135/viewcontent/MANAR_THESIS_MSF_FINAL.pdf The author retains all rights with regard to copyright. The author certifies that written permission from the owner(s) of third-party copyrighted matter included in the thesis, dissertation, paper, or record of study has been obtained. The author further certifies that IRB approval has been obtained for this thesis, or that IRB approval is not necessary for this thesis. Insofar as this thesis, dissertation, paper, or record of study is an educational record as defined in the Family Educational Rights and Privacy Act (FERPA) (20 USC 1232g), the author has granted consent to disclosure of it to anyone who requests a copy. Theses and Dissertations AUC Knowledge Fountain Equity flows Positive feedback trading |
| spellingShingle | Equity flows Positive feedback trading El-Batrawy, Manar K. The relationship between investor flows and returns on the Egyptian stock exchange |
| title | The relationship between investor flows and returns on the Egyptian stock exchange |
| title_full | The relationship between investor flows and returns on the Egyptian stock exchange |
| title_fullStr | The relationship between investor flows and returns on the Egyptian stock exchange |
| title_full_unstemmed | The relationship between investor flows and returns on the Egyptian stock exchange |
| title_short | The relationship between investor flows and returns on the Egyptian stock exchange |
| title_sort | relationship between investor flows and returns on the egyptian stock exchange |
| topic | Equity flows Positive feedback trading |
| url | https://fount.aucegypt.edu/etds/136 https://fount.aucegypt.edu/context/etds/article/1135/viewcontent/MANAR_THESIS_MSF_FINAL.pdf |
| work_keys_str_mv | AT elbatrawymanark therelationshipbetweeninvestorflowsandreturnsontheegyptianstockexchange AT elbatrawymanark relationshipbetweeninvestorflowsandreturnsontheegyptianstockexchange |