The Performance of the Egyptian Stock Market
Bassam I. Azab
Submitted in part fulfilment of the degree of Master of Business Administration,
International Banking and Finance
The University of Birmingham
The Birmingham Business School
September 2002
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Acknowledgements
I would like to express my sincere gratitude to the following for their assistance
during the course of this study. Dr. John P. Cadle, my supervisor for his support
during the data collection process and for his academic views and comments during
the entire project and Professor Andrew W. Mullineux, Head of Master of Business
Administration, International Banking and Finance, The University of Birmingham
for his comments during the planning stage of this project.
I would like to thank the following for their valuable assistance during data collection,
which was of significant effect on the successful completion of this project. Dr.
Shahira Abdel Shahid, Director of Research & Markets Development, Cairo and
Alexandria Stock Exchanges. Khaled El Mahdy, Head of Research, HSBC
Investment Bank-Egypt. Amr A. Abol-Enein, Vice President and Head of Equity
Research, HC Brokerage. Hisham Hassan, General Manager, Prime Group. Georges
Cattan, Head of Custody and Clearing, HSBC Bank-Egypt. Yosra Fatin, Senior
Analyst, Research Department, HC Brokerage. Nirvana R. El Sherbiny, Supervisor
Custody and Clearing, HSBC Bank-Egypt and Wael I. Azab, Shawky and co.
I would like also to thank Jonathan A. Divis, General Manager, Operations and
Finance, HSBC Bank-Egypt for all his support, which led, eventually, to the
production of this work.
Finally, I would like to express my deep gratitude to the lady that was the reason
behind this work and all what I have managed to achieve so far, my mother. To her
and to my family I would like to say thank you.
To all the above, I would like to say Thank you for that, without your assistance and
support, the production of this work could not be possible.
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Synopsis
Emerging markets are generally characterised by being “informationally inefficient”,
which might indicate the existence of mispricing opportunities that justify the
activities of active fund management to achieve abnormal returns within these
markets.
The aims of this project were, first, to explore the effect of information on the
performance of the stock market in Egypt in accordance with the Efficient Market
Hypothesis, as suggested by Fama (1970) and others, and, then, to assess whether
mutual funds in Egypt were able to adopt strategies that outperformed a passive
strategy.
To achieve these objectives, first, Event Studies were utilised to examine the
behaviour of stock returns around the announcement date of a number of corporate
actions including dividend distributions and acquisitions during the period 2000/2001.
Then, CAPM based Performance Evaluation measures were utilised to assess the
performance of a sample of mutual funds in the Egyptian market during the period
from the beginning of 1998 until the end of 2001.
The tests for market efficiency showed a departure from the “Semi-Strong from”
efficient markets indicating that publicly available information might have not been
“fully reflected” in securities prices and suggesting the existence of mispricing
opportunities that could have been used to achieve abnormal returns.
The tests for the performance of mutual funds showed that, despite the findings of the
tests for market efficiency, mutual funds in Egypt were unable to outperform a
passive market strategy.
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Chapter 1
Introduction
Emerging markets are generally characterised by being inefficient due to their recent
history. This characterisation provides a number of perils and rewards to investors in
such markets.
Recent research, however, has shown many attractive rewards that, on the aggregate,
tend to over weigh the perils.
In this project, an attempt is made to explore the validity of the above statement by
modelling one of the new emerging markets that showed investment potential in the
Middle East and North Africa (MENA) region in the past few years.
The project attempts to investigate the degree of efficiency of the Egyptian market by
examining the effect of publicly available information on the performance of the
Egyptian stocks and whether profitable opportunities might exist to justify active fund
management activities.
The project, then, concludes by examining whether Egyptian mutual funds were able
to locate and benefit from these opportunities.
1.1.
Aims and Objectives
Under the Efficient Markets Hypothesis, stock prices are assumed to “Fully Reflect” a
set of information so that, it becomes very difficult to gain abnormal returns by
trading on this set of information.
In this project, efficiency of the Egyptian market is examined with respect to the set of
publicly available information about the particular stocks analysed to see whether
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stocks fully reflect the set of information, in the determination of their fair values, or
if mispricing opportunities exist and could be exploited to achieve abnormal returns.
The test is, then, directed to examining the performance of a sample of Egyptian
mutual funds to see whether they were successful in locating and profiting from
mispricing opportunities in the from of abnormal returns.
To achieve the above objectives, Event Studies, as suggested by Fama, Fisher, Jensen
and Roll (1969) are, first, utilised to examine the behaviour of stock returns around
the announcement date of various corporate actions (Dividend Distributions and
Acquisitions) during the years 2000/2001 to examine the effect of surprise, in the
form of new information, and the speed with which stock returns adjust to reflect the
new fair value of the stock.
Capital Asset Pricing Model (CAPM) based evaluation measures, as suggested by
Jensen (1968), Treynor (1965), Sharpe (1966) and Treynor and Black (1973) are,
then, utilised to evaluate the performance of a sample of mutual funds for the period
1998-2001 to assess their success in locating and profiting from mispricing
opportunities within the Egyptian market.
1.2.
Project Structure
The project is structured in the following sequence:
Chapter 1 provides a general background, the Aims and Objectives of the project and
the Structure of the project.
Chapter 2 surveys the literature about Emerging Markets and Market Efficiency and
concludes by a study about the efficiency of the Egyptian market that was conducted
by the International Monetary Fund (IMF) in 1999 to test the Weak-form Efficiency
of the Egyptian market.
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Chapter 3 provides a general preview about the Egyptian stock market including
Regulatory Framework, the Stock Exchange, Indices, Key Economic Sectors, Market
Participants and Instruments. The chapter concludes by an evaluation of the overall
performance of the market during the period 1996-2001.
Chapter 4 tests for Semi-strong market efficiency and is organised by, first,
identifying the Methodology of the tests, second, defining the Data set used and,
finally, providing the Findings of the tests of the behaviour of stock returns around the
announcement dates of a number of corporate actions (Dividend Distributions and
Acquisitions) that took place during the years 2000/2001.
Chapter 5 tests for mutual funds performance, and is organised, in a similar style to
that of chapter 4, by, first identifying the Methodology of the tests, second, defining
the Data set used and, finally, providing the Findings of the tests of mutual funds
performance during the period 1998-2001.
Chapter 6 concludes by summarising the Objectives and Procedures of the project,
providing the overall Findings and Conclusions about Market efficiency and mutual
funds performance, explaining the Limitations on the tests conducted, listing the
Recommendations based on findings and, finally, making Suggestions for Further
Research.
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Chapter 2
2.1.
Literature Review
Emerging Markets
It is usually difficult to classify markets into mature or emerging as there are no clear
dividing lines and grey areas always exist.
However, International Finance Corporation adopts two criteria to include countries
in its Emerging Markets Data Base (Solnik, 2000). These two criteria are:
•
A country with low or middle income using the World Bank’s
Classification;
•
A stock market that has shown the promise of becoming mature.
In his research, Solnik (2000) identifies the attractive attributes of Emerging Markets
as being of High Potential Growth and Low Correlation with developed markets. The
main concern that he identifies in his study is the relatively high volatility of
Emerging Markets when compared with Developed Markets.
In commenting on this concern, he draws attention to the fact that from a Portfolio
diversification point of view, the inclusion of Emerging Markets into the investment
portfolio provides a more efficient utilisation of the funds invested in terms of higher
returns for the same level of risk.
To substantiate his view, he includes the results of a study of the Efficient Frontiers
for global asset allocation with and without Emerging Stock Markets for a Swiss
Pension Fund (Odier, Solnik and Zucchinetti, 1995).
Graph (2.1) below depicts the results of the study.
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Graph 2.1. Efficient Frontier with Emerging Markets
Source: Odier, Solnik, and Zucchinetti, “Global Optimisation for Swiss Pension funds”, 1995 in Solnik,
“Investments”, 2000
From the graph, it can be seen that with a portfolio of 19% volatility, investment
solely in the Swiss stock market had a return of 11.5%; adding investments in
Developed markets only gave a return of 19% while the return increased to 28% when
both Developed and Emerging markets were included in the optimal portfolio.
In addition, Solnik (2000) details a number of benefits and concerns from an
international investor’s perspective with respect to investing in Emerging Markets.
The benefits listed include the interest of Institutional Investors in Emerging markets
interpreted in the form of professional studies, indices and better channelling of funds
for the best performing markets.
Economic benefits are another attractive factor in the form of lower labour costs,
lower levels of unionisation, social rigidities and rapid growth in domestic demand.
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Political reform in many developing countries provides another factor why Emerging
markets are becoming more attractive. With the fall of communism in Central and
Eastern Europe, and the political reform in China, many developing countries are
adopting the model of a more free and open economy.
In his list of concerns, Solnik (2000) mentions concerns about Political and Social
Stability in developing countries. The highly diverse nature of Emerging Markets with
little correlation between them is another concern, which may lead to marked
differences in the performance of international indices. The availability of quality and
timely information is a very important concern with many Emerging markets lacking
reliable accounting and reporting standards. This is not to mention the lack of
harmony among those countries’ systems, which necessitates great effort to readjust
and harmonise if useful investment information is to be obtained.
Other concerns include the highly illiquid nature of emerging stock markets, since
trading in many of these markets is concentrated in a small number of stocks with
higher trading costs associated.
Two final concerns are the National Regulations and Controls, in the form of imposed
restrictions on foreign investment either on entry or exit, and the limited availability
of efficient Country Funds that can provide better specialisation and access to
Emerging markets for international investors.
Howell, Claessens and Gooptu (1994) go further by listing the benefits and concerns
for both countries and investors.
They suggest that, for Developing countries, the benefits of foreign investment flows
may be:
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•
More diversified sources of external finance;
•
Greater risk bearing by private investors through equity investment,
compared to the case of bank lending in the 1970s;
•
Reduced cost of capital;
•
Better management of invested funds under the private-to-private flows.
They also suggest that the main concern of developing countries is that increased
capital inflows may lead to an appreciation of the real exchange rate, which may lead
to a bigger non-tradable sector, and a smaller tradable sector, and, eventually, to a
larger trade deficit.
They argue, however, that to overcome this problem, countries should rely on
sustained domestic economic reform. This comes in the form of a sound financial
system that properly channels inflows to the most appropriate uses.
They also list the benefits to investors from investing in Emerging markets as
including:
•
Favourable interest and equity return differentials with industrial countries;
•
Risk Diversification due to low correlation of stock returns in
developing countries with returns in industrial countries.
•
The inefficiency of Emerging markets, which makes returns predictable;
•
New channel for directing the continued domestic savings of industrial
countries.
In a manner similar to Solnik (2000), Howell et al. (1994) list concerns to investors as
being legal investment restrictions in the country of investment, poor credit ratings of
both the countries and the companies within, high and variable inflation, limited
market size, absence of solid regulatory and accounting framework and investor
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protection, inefficient country funds and limited number of internationally listed
securities.
Williamson (1993) discusses the issue of better fund management under the privateto-private flows and poses the question of whether foreign equity investment in
Emerging markets will necessarily lead to an increase in real investment in the private
sector.
He argues that most equity purchases are effected on the secondary rather than the
primary market. This has the impact of increasing share prices rather than increasing
investment flows to companies. Hence, the direct impact of increased flows may be
seen as increased wealth for investors in the secondary market, thereby increasing
consumption expenditure without an immediate benefit to the economy unlike the
impact a Foreign Direct Investment (FDI) might have.
However, he acknowledges the fact that with the continuing inflows of investment
funds to Emerging markets, a form of correction may take place in the shape of
increased investment due, perhaps, to sellers’ decision to invest the excess profits in
under-priced assets.
In a similar manner, Howell et al. (1994) present a Two-phase development of
emerging markets. In the first phase, which they designate “Indiscriminate Capital
Flows”, the prices of all assets rise due to the injection of foreign capital.
However, in the second phase, foreign investors start to search for genuine growth
industries in a manner that makes their buying behaviour introduces clear sectoral
patterns both between Emerging markets and within individual Emerging markets.
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From the above Two-phase process described by Howell et al. (1994), it may be
inferred that the wealth of investors in the secondary market may increase in a manner
consistent with Williamson’s views (1993) leading to increased consumption
expenditure.
However, the correction process should come in the second phase leading to an
effective channelling of foreign investment inflows to the benefit of the countries
involved.
Claessens (1993) presents another interesting barrier to investment in developing
countries; that is the restrictions, regulatory and accounting standards imposed on
investors in the home country. He explains that even if the country of investment has
no restrictions or barriers to the free flow of foreign funds, still any barriers, whether
regulatory or financial, imposed on investors in home country may prevent the free
flow of funds, for example, a ceiling on the investment in specific country’s market or
securities.
Claessens (1993) also discusses the concept of markets’ integration and explains that
integration moves in a reverse direction with diversification.
That is, if markets are fully integrated with each other, then the risk premiums will be
equal across markets and, hence, there will be no benefit from diversification.
He also explains that market integration is closely related to the level of barriers in the
market considered. So, the higher the barriers, the lower the market integration and
the higher the benefit of diversification.
From this argument, it may be inferred that the higher diversification benefit to
international portfolios, which is attributed to the low correlation between Emerging
markets and Mature markets, stems from the higher barriers to the free flow of funds
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and may explain the recent increase in correlation between the performance of
Emerging markets and Mature markets. That is, with the continuing lowering of
barriers in Emerging markets, markets are getting closer to full integration with
developed markets and, hence, the diversification benefit from investing in those
markets diminishes.
Claessens (1993) also discusses another consequence of the existence of barriers in
Developing countries. That is, the security design which dictates how foreigners may
enter a specific market.
He depicts a typical case of a newly opened market to foreign investment where
access is initially restricted to specific types of instruments, Country Funds, etc.,
before direct and complete access is allowed to foreigners.
On the basis of this notion, he stresses the importance of proper security design,
which enables foreigners to access Emerging markets, whether under the conditions
of restricted access or free access to achieve the maximum benefit from investment.
He suggests three important factors to consider when designing the appropriate
securities. These are the degree of asymmetry of information about the specific
country or firm, characteristics of the borrowing firm and the depth and completeness
of securities markets.
Harvey (1993) examines another dimension of Emerging markets, the high volatility
exhibited by the markets of Developing countries. He argues that traditional models
that analysed the volatility Emerging markets were static models assuming risk
exposure to be constant over time.
He suggests that Emerging markets are characterised by “Shifting Industrial
Structures”, which suggests changes in risk sensitivities over time.
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Stevenson (2001) confirms the drawback of the traditional Mean-Variance models of
analysing Emerging markets with the underlying assumption of Normal Distribution
of returns.
In this respect, he refers to the study by Bekaert, Erb, Harvey and Viskanta (1998)
which shows that Emerging equity markets display significant skewness and kurtosis
in their returns.
He also refers to the studies by Bekaert and Harvey (1995 and 1997), which show that
the degree of skewness and kurtosis for the distribution of Emerging markets’ returns
alter over time.
Table (2.1) shows summary statistical data for 23 Developed and 15 Emerging
Markets over the period 1988-1997 on a monthly basis.
Table 2.1. Summary Statistics for Emerging and Developed Markets
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Table 2.1. Continued
Source: Stevenson, S. “Emerging Markets, Downside Risk and The Asset Allocation Decision”
The data is based on IFC indices for the Emerging markets and MSCI indices for the
Developed markets.
Table 2.1 shows that, with respect to Mean-Variance measures, Emerging markets
display more variations than Developed markets. This can be seen from the
comparison between the Average Monthly Returns for Developed markets, that vary
between –0.233% for Japan and 1.5037% for Netherlands, and the Returns for
Emerging markets, that vary between –0.7979% for Korea and 2.4731% for
Argentina.
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Variance figures also show greater variation with Developed markets varying between
11.8745 for USA and 59.9113 for Hong Kong and developing markets varying
between 21.3601 for Jordan and 449.0278 for Argentina.
More interestingly, when considering the degree of skewness and kurtosis, most
Emerging markets’ returns display significant results indicating non-normality in the
distribution of returns.
For example, Nigeria shows significant values of kurtosis and skewness of 31.931 and
–3.4479 respectively, compared to 0.4818 and –0.2368 for USA.
The Jarque-Bera (JB) statistics show similar results confirming the departure of RiskReturn distribution of Emerging Markets from unconditional normality.
Therefore, Stevenson (2001) suggests that this should be considered when designing
the portfolio for an international investor.
Masters (2002) addresses another problem related to investment in Emerging
Markets, that is, the high costs associated with trading.
He classifies the costs into three categories: Management fees, Operating costs –
such as custody, legal and accounting costs – and Transaction-related costs, including
bid-ask spreads and brokerage commissions.
He also estimates the total investment cost to range between 2% and 5% of
investment value per annum with transaction-related costs being the highest
proportion. These can reach as high as 4% per annum.
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To overcome this problem, he suggests a number of strategies to reduce the cost of
each category.
To reduce transaction-related costs, he suggests reducing turnover, using non-local
instruments – such as ADRs - and calculating the after-cost returns when considering
alternative investment schemes in different Emerging markets.
To reduce operating costs, he draws attention to the scale effect of invested funds and
its effect on reducing the cost per dollar invested; as most operating costs are fixed in
nature.
Finally, to reduce management fees, he suggests that active fund management
techniques might be fruitful in emerging markets to generate more superior returns
that cover the high costs of management in these markets.
Saunders and Walter (2002) provide another update about emerging markets by
asserting that the correlations of returns between emerging markets and developed
ones have already increased over the past decade with many traditional barriers to
emerging markets being removed with the overwhelming trend of economic reform
among developing countries. (Table 2.2)
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Table 2.2. Correlations in Returns between Emerging and Developed Markets
Source: Saunders and Walter, “Are Emerging Market Equities a Separate Asset Class”, 2002
They conclude that the traditional consideration of emerging markets’ stocks as being
a separate asset class and, therefore, allocation of funds among countries’ indices will
no longer be sufficient to generate diversification benefits.
Instead, they confirm Master’s suggestion (2002) that the role of active fund
management in exploring market inefficiencies and properly selecting securities and
sectors within these markets will be highly crucial in the future if superior returns are
to be achieved.
The above review of literature about investment in Emerging Markets shows that
Emerging markets tend to exhibit attractive characteristics for international investors
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in terms of portfolio diversification due to the high returns and the low correlation
with mature markets. However, barriers to entry and the high volatility of Emerging
markets are major issues that must be taken into account in the investment decision.
Another important aspect is the recent tendency of Emerging markets to be more
integrated with World markets and, thereby, the diminishing benefit of diversification
to the international investors.
2.2.
Market Efficiency
Early formal research about Market Efficiency dates back to the 1950s. Ever since,
the concept of Market Efficiency gained a lot of interest and popularity that the
literature now is so vast and impossible to include in a single review as correctly
indicated by Fama (1991, pp. 1575):
“The literature is now so large that a full review is impossible”.
Therefore, the main work about Market Efficiency, especially that of particular
interest to the purpose of this research, is included.
Many researches consider the work of Maurice Kendall to be the forerunner of the
studies about Market Efficiency.
In his research, Kendall (1953) examined the behaviour of weekly changes in 19
indices of British industrial share prices and in spot prices for cotton (New York) and
in Wheat (Chicago). His conclusions after extensive analysis of serial correlations is
that the stock prices follow a “Random Walk”, that is, stock returns tend to be
independent of past returns. (Fama, 1970)
The first impression of Kendall’s conclusion is that markets are irrational and tend to
act with no sense of direction.
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Later research clarified that Kendall’s conclusion, in fact, reflects the rational nature
of the market.
Fama (1970) defines an Efficient Market as one where information is “Fully
Reflected” in stock prices. That is, investors use the available information about the
stock to determine its fair value. Thus, any information available, or predictable,
about the stock performance would have already been included in the stock price.
Stock price changes will only result form the arrival of new information in the form of
surprises to the market. As new information arrives randomly, so the price changes
will occur randomly.
So, to have an efficient market, the stock prices must “Fully Reflect” the information
set available Φ, which is the basis for classifying the markets.
In this respect, Fama (1970) identifies three types of markets based on three different
sets of information:
•
Weak-form efficient, where the prices reflect all available information
about past prices;
•
Semi-strong-form efficient, where the prices reflect all publicly
available information, including earnings, companies’ performance,
etc.;
•
Strong-form efficient, where the prices reflect all information, public
and private, available to investors.
In addition, Fama (1970) departs from the earlier assumption that securities’ prices
follow a random walk and suggests that they tend to follow a “Submartingale”.
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That is, instead of the restrictive assumption that securities prices, and returns, are
serially independent and identically distributed, he assumes that prices follow a
“Random Walk with a Drift” so that, on the long run, securities returns tend to move
upward; indicating a positive long-term return.
Consequently, Fama (1970) argues that if stock prices follow the above mentioned
pattern, a Submartingale, then no trading rule based on the information set Φ can
outperform a “Buy-and-Hold” strategy.
Subsequent research found relatively supporting evidence to Fama’s hypothesis.
For example, Conrad and Kaul (1988) examined the weekly returns of NYSE stocks
and found relatively small positive serial correlation over short horizons.
This type of research provided support to proponents of Efficient Market Hypothesis.
However, the hypothesis was not free from criticism.
Poterba and Sumers (1988) and Fama and French (1988) found that over longer
horizons, stock prices’ returns show negative long-term serial correlations suggesting
that stock prices might overreact to relevant news in what’s came to be known as the
“Fads Hypothesis” (Bodie, Kane and Marcus, 2001)
Also, Leroy (1989) challenged Fama’s argument (1970) that when prices follow a
submartingale, no strategy can outperform a “Buy-and-Hold” strategy.
He mentioned two reasons to support his argument. First, that Fama did not provide
any supporting evidence for his claim and that, it is easy to provide examples of
markets in which the prices follow a submartingale and, yet, there exist trading rules
that outperform a “Buy-and-Hold” strategy.
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Second, that the Capital Asset Pricing Model (CAPM) implies that, in equilibrium,
asset returns will not necessarily follow a submartingale. That is, a stock’s returns
might negatively co-varies with the market strong enough that it would be included in
a risk averse investor’s portfolio simply to limit the degree of risk exposure.
LeRoy (1989) also pinpointed another drawback of the Martingale Model that Fama
(1970) assumed securities prices to follow. That is, the Martingale model assumes
“Risk Neutrality” and that investors will rush to buy/sell mispriced securities without
consideration to the level of risk exposure this might put them in.
LeRoy (1989) argues that this contradicts with the general notion that investors are,
generally, risk averse and that the level of risk exposure is an important aspect in their
portfolio formation.
In comment on these arguments, Fama (1991) explained that a central assumption in
the volatility tests of his earlier work was that expected returns were constant and that
the variation in stock prices were caused, entirely, by shocks in expected dividends.
He acknowledged the usefulness of volatility tests to show that expected returns vary
through time; however, he argued that these tests, in themselves, do not help in testing
whether the variations in expected returns are rational.
He also mentioned another problem associated with these findings, that most of the
research faced a “Joint Hypothesis” problem where tests were joint tests of efficiency
and the validity of the model used.
Fama (1998) added three reasons to why the detected anomalies that indicate
overreaction, or underreaction, over long-term do not invalidate the Efficient Market
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hypothesis: first, that the literature does not provide a random sample of events;
second, that some apparent anomalies may be generated by rational asset pricing due
to changes in volatility; and third, that most anomalies tend to disappear when
reasonable alternative approaches are used to measure them.
Another recent opposing study attempted to provide new insights into the debate that
markets might not be efficient at all times.
Lewellen and Shanken (2002), argue that the true data generating process might
enable the econometrician to uncover certain patterns in prices and returns that might
either be not perceived, or not exploited by investors even when investors fully utilise
all available information.
This, they argue, is due to “Parameter Uncertainty”, where investors assume that
prices of securities follow a martingale.
This assumption by investors implies that dividend distribution, which they consider
as the crucial cause for price changes, is random with a random mean.
They argue, however, that empirical studies show that prices tend to converge, over
time, to their true fundamental values. This implies that dividend distribution is not
completely random and that, in fact, has a constant mean.
They conclude that, as investors benefit from the learning process when uncertainties
are eliminated, they tend to act in such a way that drives prices to correct (in a meanreversion process).
Something, they comment, which data generating process can predict before hands.
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The above review shows that debate about market efficiency is likely to continue with
proponents asserting that markets, on the average, are informationally efficient, while
opponents continue to provide new evidence about market inefficiency and the
possibility of locating opportunities to achieve abnormal returns.
In the mean time, the Efficient Market hypothesis remains a significant area of
interest and its significance increases when Emerging Markets are considered in the
search for exploitable opportunities within these markets.
Mecagni and Sourial (1999) examined the Market Efficiency within the Egyptian
market. Analysis of Egyptian stock returns were conducted using Four daily aggregate
indices which are widely used within the Egyptian market, namely, the Capital
Market Authority Index (CMAI), the Egyptian Financial Group Index (EFGI), the
HERMES Financial Index (HFI) and the Prime Initial Public Offerings Index
(PIPO). A detailed description of the various indices is given in chapter 3.
The test sample consisted of 828 daily observations on stock returns form 1st
September 1994 until end-December 1997 and the analysis were conducted using a
Generalised Auto-Regressive Conditional Heteroscedasticity model (GARCH).
Table 2.3 below shows the main results of the study.
Table 2.3. Unconditional Distribution Statistics for the Egyptian Stock Exchange Daily Stock
Returns
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Source: Mecagni and Sourial, “The Egyptian Stock Market: Efficiency Tests and Volatility Effects”, 1999
From the table, it can be seen that Mean Returns for privatised companies (PIPO) is
double that for all stocks (CMAI) and highly liquid stocks (HFI) and significantly
higher than that for large capitalisation stocks (EFGI).
Also, Variability (as represented by Standard Deviation) is approximately the same
for (EFGI), (HFI) and (PIPO) but significantly less for (CMAI) reflecting infrequent
trading of many listed stocks.
In addition, returns exhibit positive skewness and excess kurtosis for all indices. An
observation that confirms the conclusions of Bekaert et al. (1995, 1997 and 1998) and
of Stevenson (2001) about the distribution of returns in Emerging Markets.
Mecagni and Sourial (1999), conclude that returns display a degree of time
dependence and volatility clustering. This suggests serial correlation of returns, which
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can be used to achieve a degree of predictability based on past returns and, therefore,
implies a departure from the Efficient Market Hypothesis.
In the following chapters, the attempt will be made to provide an update on the market
efficiency of the Egyptian Stock market in the light of the recent improvements and
reform activities.
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Chapter 3
3.1.
General Preview
Egyptian Stock Market
Formal Stock market activity in Egypt dates back to 1888 when the Alexandria Stock
Exchange was inaugurated. The Cairo Stock Exchange was established in 1903.
Trading was very active during the 1940s, with the Egyptian Exchange ranking Fifth
most active in the world during that period.
However, due to the Socialist policies adopted by the government, which led to a
major nationalisation program that started in 1959, a drastic reduction in activity
occurred from 1961 till 1991. The two exchanges remained operating during that
period but trading on the floor was effectively dormant.
In 1990/1991, the government started its major economic reform program towards
free market mechanism and privatisation. One of the major dimensions of this
program was the revival of the Capital market through the enactment of the Capital
Market Law No. 95/1992. The law provided great momentum to the market and the
market capitalisation increased dramatically as the reform and privatisation
progressed.
Table (3.1) provides main market indicators for the Egyptian Stock Market for the
period 1991 – June 2001.
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Table 3.1. Main Market Indicators for the period 1991 – June 2001
Source: Cairo and Alexandria Stock Exchanges Fact Book, 2001
From the table, it can be seen that the market capitalisation increased form L.E.8.8
billion in 1991 to L.E. 119.7 billion in 2000 and was slightly reduced to L.E.110.3
billion by the end of June 2001. Also, the number of listed companies increased from
627 in 1991 to 1070 by the end of June 2001.
Volume and value of traded securities also increased dramatically as can be seen from
Graph (3.1) and (3.2), which correspond to lines 3 and 6 of Table (3.1) respectively.
Page 28
Graph 3.1. Total Volume of Traded Securities
(Million), Jan. 1991 – Jun. 2001
Graph 3.2. Total Value Traded of Securities
(Million), Jan. 1991 – June 2001
Source: Cairo and Alexandria Stock Exchanges Fact Book, 2001
The Egyptian Stock Market is well regulated, however, there’s still limited depth.
While there are 1070 companies listed, trading is concentrated in less than 100
companies with the majority of trading volume and value in about 30 companies.
Table (3.2) below shows that, as at 30 June 2001, 82.26% of market liquidity was
concentrated in 30 stocks.
The table indicates that despite the increased market capitalisation of the Egyptian
Stock Market, trades remain concentrated in a few companies that exhibit real strong
fundamentals.
Page 29
Table 3.2. Liquidity of the 30 Most Heavily Traded Stocks in Terms of Value Traded
(Jan. 2001 – 30 June 2001)
Source: Cairo and Alexandria Stock Exchanges Statistical Highlights, 2001
3.1.1. Regulatory Framework
The Egyptian stock Market is well regulated, currently having a number of legislation
that govern the establishment and operation of companies within the market.
The laws that govern the Egyptian Stock Market operations are:
Page 30
The Capital Market Law (Law 95/1992)
Replacing Law 161/1957, the Capital Market Law came into effect in 1992. This law
provided the main regulatory framework for the activities of the stock market by
recognising primary and secondary markets, the organisation of the market
participants, listed companies and stockbrokers, the provision of a modern mechanism
for trading and investment through the market and the exemptions and incentives to
boost the market and provide its depth.
One of the main advantages of the law was the recognition of the central role of the
Capital Market Authority (CMA) and the powers it was given by the law to organise
and control the market. Following the enactment of the law, the Capital Market
authority played and important role in modernising the market through authorising
listed companies and brokerage firms and the monitoring function over the activities
of the exchanges towards more transparency and fair dealings.
The Central Depository Law (Law 93/2000)
This laws aims to provide the legal framework for the Central Depository in Egypt.
The law identifies shareholders’ rights and their legal ownership, which are stated to
pass from the seller to the buyer of securities when the trade is actually cleared and
settled at the stock exchange on settlement date.
The law also recognises foreign ownership rights, which are the same as those of
Egyptian shareholders, and provides mechanism for membership and operation of
organisations carrying out bookkeeping activities either for themselves or on behalf of
their clients.
Page 31
The law also introduced the legal recognition of the concept of “Nominee Trading”
and the Depository’s obligation to establish and control a “Guarantee Fund” which
ensures the settlement of trades on time to achieve smooth market operation.
The Companies Law (Law 159/1981)
This law provides the framework for the establishment and operation of companies
within the Arab Republic of Egypt.
The law covers the main establishment procedures, the management and control
responsibilities, the extent of liability of owners, the required accounting and financial
control procedures and all other aspects that a company may encounter in the course
of its business.
The Privatisation Law (Law 203/1991)
This law is the basic legislation for the development of the privatisation program and
encouragement of economic reform.
The main aim of the law was to transfer the Government-owned authorities into selfrun Holding Companies under which Public Sector companies can be given greater
flexibility to operate its business activities away from the central government control.
(As per explanatory memorandum attached to the law by The Prime Minister)
The law is considered a transitory phase to provide the public sector firms with the
mechanism to restructure so as to become attractive candidates for privatisation.
This law regulates companies in which the government possesses 51% or more of its
shares. When the government’s share of ownership in a company drops to less than
51%, the regulation of the company passes from law 203 to law 159.
Page 32
The Investment Law (Law 8/1997)
This law was enacted to encourage direct and indirect investment in certain industries
and sectors of the economy.
The law provides tax exemptions, guarantees against asset expropriation, attractive
custom tariffs and freedom from price controls.
In addition to the above legislation, the Cairo and Alexandria Stock Exchanges
(CASE), in liaison with the Capital Market Authority set a number of Listing Rules
for companies wishing to be listed and traded on the exchange. Appendix A details
the existing Listing Rules as well as the proposed new Listing Rules which are
expected to come into effect later in 2002 with the aim of increasing transparency,
efficiency of information dissemination and corporate governance of the companies
listed.
3.1.2. The Exchange
Egypt’s Stock Exchange has two locations: the main location is in Cairo and the other
one is in Alexandria. Both exchanges are managed by the same Chairman and Board
of Directors and are commonly referred to as the Cairo and Alexandria Stock
Exchanges. (Cairo and Alexandria Stock Exchanges Fact Book, 2001)
The Chairman of the Exchange is appointed by the government. The Board of
Directors includes directors elected from market participants as well as nominated
representatives of the Capital Market Authority (CMA), the Central Bank of Egypt
(CBE) and the Banking sector. In addition, there are three non-voting members.
Page 33
The trading system in the exchange evolved from an open outcry system prior to 1992
to the existing fully automated, order-driven system. The existing system incorporates
trading, clearing and settlement of trades with an automated link to the Central
Depository. The system also provides automatic mechanism for market surveillance
for better market performance. (CASEFB, 2001)
The exchange is regulated by the Capital Market Law (Law 95/1992) and sets, in
conjunction with the Capital Market Authority (CMA), the listing rules for
companies.
Currently, companies can be listed on either the Official Schedule or Unofficial
Schedules (1) and (2).
Although the listing requirements for the Official Schedule and Unofficial Schedule
(1) are similar, the requirements of the Official Schedule are more stringent.
To be listed on the Official Schedule, companies must have at least 150 shareholders
and offer, at least, 30% of their shares to the public or be one of the companies
regulated under Law 203.
Companies not qualifying for the requirements of the Official Schedule can be listed
on the Unofficial Schedule (1).
Unofficial Schedule (2) was introduced in February 1998 to cater for new companies,
which cannot, at their initial stage, satisfy the more rigorous requirements of the
Official Schedule and Unofficial Schedule (1).
By the end of June 2001, 141 companies were listed on the Official Schedule and 929
companies on Unofficial Schedules, of which 229 companies were listed on
Unofficial Schedule (2). (CASEFB, 2001)
Page 34
3.1.3. Indices
There are a number of indices that serve as Benchmarks for the Egyptian market.
For local investors, the following indices are usually followed:
The Capital Market Authority Index (CMAI)
Started on 2nd January 1992, the index includes all listed stocks weighted in relation to
their market capitalisation. It can be viewed as an All-Share index that covers the
broadest base of stocks. (Mecagni and Sourial, 1999)
Cairo and Alexandria Stock Exchanges 50 Index (CASE50)
Started on 2nd January 2000, the index tracks the performance of the most active 50
stocks. Currently there are two versions of the index, the (CASE50 Price Index),
which measures the return on investment from the change in value of the stocks. The
second version is the (CASE50 Total Return Index), which measures the return on
investment form both income from dividend and capital gains.
Both indices are market capitalisation weighted and the constituents are reviewed
semi-annually. (CASEFB, 2001)
In addition, a number of companies are calculating their own indices and those
include:
HERMES Financial Index, (HFI)
Started on 2nd January 1993, the index tracks the performance of a number of active
companies in the market with a minimum of three months active trading history. The
index is market capitalisation weighted and revised quarterly. (Mecagni and Sourial,
1999)
Page 35
As at June 2001, the index included 48 companies. (CASEFB, 2001)
Egyptian Financial Group Index (EFGI)
Started on 2nd January 1993, the index tracks the performance of a subset of the
HERMES Financial (HFI). The index tracks the performance of listed Large
Capitalisation stocks with minimum L.E.300 million in market capitalisation and the
constituents are revised quarterly. (Mecagni and Sourial, 1999)
As at June 2001, the index included 23 companies. (CASEFB, 2001)
Other companies also calculate their own indices including, Prime that calculates
(Prime Initial Public Offerings – PIPO), (Prime Asset Management Index – PAMI)
and (Prime General Index – PGI).
The first is a price index that tracks the performance of companies, which were
offered to the public through Initial Public Offerings (IPOs). As at December 2001,
the number of companies included was 67 companies. (Prime Research, 2001)
The second index tracks the performance of Large Capitalisation companies. As at
December 2001, the number of companies included was 18 companies. (Prime
Quarterly Review, Dec. 2001)
The last one is a general index, which tracks the performance of a wide range of
active companies. As at March 2002, the number of stocks included was 32. (Prime
News Flash, March 2002)
Beside Local indices, and due to the foreign interest in Egyptian equities, Egypt was
included in the International Finance Corporation’s Global and Investable indices
Page 36
(IFCG and IFCI) in 1996. Egypt was added to the Morgan Stanley index on a standalone basis in 1997.
In May 2001, Egypt was included in the Morgan Staley Emerging Markets Free
(EMF), (EMEA, excluding South Africa) and All Country World Index (ACWIF) at
weights of 0.28%, 2.12% and 0.14% respectively. (CASEFB, 2001)
3.1.4. Key Economic Sectors
Egypt’s success in implementing sound economic policies, the acceleration of the
privatisation process and liberalization of trade are reflected in the healthy economic
indicators that Egypt enjoys.
Table (3.3) below depicts the main economic indicators for Egypt for the period 1997
till 2000.
Table 3.3. Main Economic Indicators 1997 - 2000
Source: HSBC Investment Bank – Egypt, “Treasury and Capital Markets: A Guide to Egypt”, 2001
Page 37
Table (3.3) shows GDP growth rate of 5.1% in 1999/2000, down from 6.1% in
1998/1999 due to the economic slowdown, which was a reflection of the global
economic conditions.
Egypt’s inflation rate has also declined from 3.8% in 1998/1999 to 2.8% in 1999/2000
with an average rate below 4% for the entire period from 1997 – 2000.
Foreign Reserves have declined from US$ 20.3 billion in 1997/1998 to US$ 14.7
billion in 1999/2000 due to the government’s managed float, foreign exchange policy.
However, the level of reserves remains healthy covering approximately 9 months of
imports.
Exports increased by 42% in 1999/2000 while imports have shown a steady growth at
approximately 5%.
Perhaps the major challenge for the Egyptian government is the level of
unemployment, which is worsening with the persistent growth in population. This has
been indicated by the government as one of the major priorities in several statements
by both the President and the Prime Minister.
In the following lines a brief description of the key economic sectors that contribute to
economic and business development are described.
Banking
The banking sector is one of the well-established sectors in the economy with the first
bank in Egypt dating back to the 1920s.
Page 38
The banking sector in Egypt consists of the Central Bank of Egypt (CBE), which is
the governing body, 24 Commercial and Joint-Venture banks, 11 Investment banks, 3
Specialised banks and 15 branches of Foreign banks. (HSBC, 2001)
The Central Bank of Egypt was established in 1960 and its main responsibilities
include formulating the monetary, credit and banking policy, the issuance of bank
notes, management of the state’s reserves, control of banks, and the management of
public debt on behalf of the government.
Commercial banks possess a dominant role in the financial sector in Egypt with 4
Public Sector and 5 Private sector banks dominating the banking activities.
Public sector banks control approximately 53% of banking total assets and 60% of
total deposits. However, Private sector banks outperform Public sector banks in terms
of profitability. (CASEFB, 2001)
There are currently 11 Investment banks in Egypt providing a range of services
including Corporate Finance, Advisory, Securities, Debt and Equity Capital
Management, Project and Export Finance and Asset Management Services. (HSBC,
2001)
There are 3 Specialised banks in Egypt. The Egyptian Arab Land Bank extends loans
to the housing, building and land sector. The Industrial Development bank finances
the industries and the Principal Bank for Development and Agricultural Credit
finances the agricultural sector in Egypt. (HSBC, 2001)
Page 39
Following the 1996 Banking and Credit law, a lot of deregulation has occurred in the
banking sector with fixed commission and Reserve requirement on time deposits
exceeding 3 years (15%) effectively abolished.
The law also allowed 100% foreign ownership of local banks but Central Bank of
Egypt’s approval is required before any acquisition exceeding 10% of capital.
(CASEFB, 2001)
Tourism
Tourism receipts account for approximately 5% of GDP and is one of the major
contributors to the government’s revenue.
Two of the major problems that affect the industry are the Instability of flows and the
poor infrastructure and marketing.
Realising these problems, both the government and private sector have taken several
steps to boost the sector by developing the facilities and undertaking proper marketing
campaigns. Most of the recent developments in the facilities took place in Sinai and
the Red Sea coast.
Year 2000 witnessed an increase in both the number of tourists, with 5.5 million
arrivals, and revenues, which increased by 33% to US$ 4.7 billion. (CASEFB, 2001)
Cement
Cement is one of the most active and profitable sectors. This sector has witnessed a
boom during the 1990s. During the period 1993-1999, the sector grew at an average
10.9%. This was in direct relation to an average growth in GDP of 5% per annum and
an average growth in construction industry of 2.5% per annum. (HC, 2001)
Page 40
With strong local demand exceeding supply, producers were able to operate at very
high profit margins. As a result, a wave of foreign interest in the Egyptian cement
sector spurred in the form of major acquisitions in Egyptian companies.
Table (3.4) below shows the current market share of three of the largest cement
producers in Egypt as of 2001.
Table 3.4. Market Share of the Three Largest Cement Producers in Egypt, (2001)
Source: HC Brokerage, “Egypt: Equity Research”, 2001
As a result, capacity additions rose by 10.2% in 2000 and by 28.7% in 2001. This
increase in capacity, coupled with the economic slowdown and stagnation in
construction industry in 2000/2001, resulted in supply exceeding demand for the first
time in 2001/2002. (HC, 2001)
As the Egyptian economic slowdown was a reflection of a global recession, exports
did not benefit from the excess supply and producers had to reduce the production
levels and sell at fairly lower prices.
However, it is expected that once the global recession comes to an end, and with the
expected new tranches of Public Sector companies offered for privatisation, the sector
will regain its momentum and offer attractive opportunities for investors.
Page 41
Telecommunications
The telecommunications sector in Egypt is one of the promising sectors offering a
great potential for development and growth.
The sector is currently divided into fixed Land Lines and Cellular markets. Both
markets are regulated by the Telecommunications Regulator Authority (TRA), which
oversees the quality and regulates the pricing of services provided.
Currently, the fixed Land Line market serves 6 million subscribers and the Cellular
market consists of two Mobile services companies that serve over 2.5 million
subscribers. It is expected that by 2003, when the exclusivity period for the existing
two companies ends, other companies will be allowed into the market and this should
increase competition and enhance the quality even further. (CASEFB, 2001)
Finally, with less than 8% penetration for fixed Land Lines and 2% penetration of
Mobile Phone services, the Egyptian market is still under serviced offering great
opportunities for investment. (CASEFB, 2001)
Energy
This sector is comprised of Petroleum, Natural Gas and Electricity. It is one of the
most important sectors in the Egyptian Economy and contributes approximately 6%
of GDP.
Petroleum is one of the major sources of foreign currency and represents
approximately 40% of export revenues. Annual production is around 30 million tons
Page 42
while consumption is around 20 million tons with the surplus being exported.
Approximately 79% of Egypt’s oil comes from the Gulf of Suez and Sinai with new
excavations indicating reserves in both the Eastern and Western deserts.
Natural Gas is increasingly replacing oil products in Egypt with reserves of
approximately 50 billion cubic feet of high quality gas.
With these huge reserves, the government aims to encourage switching into gas
products and to export liquefied gas to provide another source of foreign currency.
Electricity sector contributes approximately 2% of Egypt’s GDP. Sources of
electricity include 20% from hydroelectric generation, 53% from gas-fired steam
plants and 26% from cycle plants.
Currently, domestic consumption is around 57 billion KWH, with demand increasing
about 7% per annum.
Electricity is currently under state control, however, it is expected that the government
will start offering a tranche of two of the major companies, namely Greater Cairo and
Canal Electricity companies, for privatisation. (CASEFB, 2001)
3.1.5. Market Participants
As at June 2001, there were 146 brokerage firms operating in Cairo and Alexandria.
The top 30 brokers represented more than 70% of the traded value in 2001 with the
remaining brokerages representing the remaining 30%. (CASEFB, 2001)
Brokerage firms may be 100% foreign owned, but the Chief Dealer must be a locally
experienced market professional. (HSBC, 2001)
Page 43
Under the Capital Market Law, the Capital Market Authority (CMA) is the licensing
agency for both listed companies and brokerage firms.
Previously, the (CMA) requirements was that a brokerage firm must have a minimum
Authorised Capital of L.E. 1.5 million. However, the more recently introduced Capital
Adequacy requirements mandate that new brokerage firms must have a minimum
Authorised Capital of L.E. 5 million. New brokerage firms are also required to have a
minimum of 10 operating branches spread all over Egypt. (HSBC, 2001)
These more stringent requirements were introduced in an attempt to rationalise the
number of brokerage firms offering their services in the market and, thereby,
improving the quality of services rendered.
As at June 2001, 22 local funds (19 Open-end and 3 Closed-end) and 10 Offshore
funds were operating in the market.
In addition, there were 31 Portfolio Management firms, 29 Underwriters, 11 Venture
Capital firms and 6 rating companies operating in the Egyptian market. (CASEFB,
2001)
3.1.6. Instruments
Equities are the main instrument in the market, which provide the bulk of trading.
Since 1998, the issues offered in the secondary market have increased in terms of
diversity and volume. One main reason for the development of the market was the
government commitment towards the privatisation program by offering new firms to
the public.
Page 44
Fixed income market has witnessed rapid expansion with the government introducing
several issues of Housing and Treasury bonds with maturities ranging from 7-10 years
ever since 1998. Private sector companies have also taken the authorisation granted to
them by the Capital Market Law and started issuing Corporate Bonds to diversify
their financing to other sources than banking finance.
However, the secondary market in bonds is still largely inactive compared to the
equities market. This can be seen from the market capitalisation for both Government
and Corporate bonds of L.E. 17.9 billion in June 2001 as compared to L.E. 110.3
billion for equities. (CASEFB, 2001)
Depository Receipts provide another type of instruments for the market. As of June
2001, Nine Egyptian companies had their shares traded in the form of Global
Depository Receipts on the London Stock Exchange. Of these nine companies, Three
are also listed on Frankfurt Stock Exchange and One is listed on the Luxembourg
Stock Exchange.
Several Egyptian companies are currently studying the possibility of issuing
American Depository Receipts in the American market. (CASEFB, 2001)
From the above review, it can be seen that the Egyptian market has undertaken
several measures both in terms of regulation and performance to ensure lower barriers
and better quality for local and international investors.
However, concentration and lack of depth, in terms of the types of instruments
available, are still material issues that affect the market performance and should be
handled effectively if the market is to improve its efficiency.
Page 45
3.2. Market Performance
Market analysis for the period 1996 till 1st quarter 2000 is based on the analysis included in “EFGHermes: Country Report, May 2000”.
Additional analysis for the period 2nd quarter 2000 till 2001 is based on the analysis included in “Cairo
and Alexandria Stock Exchanges Fact Book, 2001”
Performance analysis is based on the performance of the Hermes Financial Index for the period 19962001.
Despite the fact that the Capital Market Law (Law 95/1992) gave the regulatory
power to reform the Stock Market in Egypt, it wasn’t until 1996 when “Nasr City for
Housing and Development Company” offered the first majority privatisation stake in
accordance with the aims and objectives of the Privatisation Law (Law 203/1991).
Ever since, the market dynamics changed and the market started a sharp climb with
the Hermes Financial Index ending the year 1996 with a gain of 43% most of it within
the second half of the year (Graph 3.3).
Graph 3.3. Overall Market Performance, (1996 – 1998)
Source: EFG-Hermes, “Egypt: Country Report”, 2000
This momentum continued in the early months of 1997 when the market reached its
all-time peak on 27 February 1997. However, the sharp rise was based on weak
Page 46
market fundamentals and a downward trend took place for the rest of 1997 and most
of 1998.
In the mean time, and during 1998, the market started shifting from traditional “Value
Stocks” to new-economy “Growth Stocks” when the private sector started offering
major issues in the market.
The market ended the year 1998 down by approximately 26% and despite the 27%
loss on public sector equities, private sector equities ended the year with a 36% gain
(Graph 3.4)
Graph 3.4. Private versus Public Sector Share Performance, 1998
Source: EFG-Hermes, “Egypt: Country Report”, 2000
In early 1999, the market started rising once again. This was mainly attributed to the
initial public offering of “Mobinil”, the first in telecommunication sector, which
marked the market shift towards more sophistication in trading decisions with
Mobinil’s share price ending 1999 with 660% increase.
Page 47
In the mean time, a liquidity squeeze became apparent amid concerns about the
government’s management of the economy and its commitment to the privatisation
programme. This drove the market down for the most of 1999. (Graph 3.5)
Graph 3.5. Market Performance, (1998-1999)
Source: EFG-Hermes, “Egypt: Country Report”, 2000
In October 1999, a cabinet change was declared and the market immediately reflected
its anticipation about the declared change in the form of a market rise that took place
in the last quarter of 1999 and continued in the 1st quarter of 2000.
During the 1st quarter of 2000, a wave of consolidations took place both in the Cement
and Banking sectors with offers from local and foreign investors driving share prices
up, particularly in the Cement sector.
However, with liquidity tied up in Cement shares, other stocks started suffering,
which led, eventually, to the market drop by mid. February 2000. (Graph 3.6)
Page 48
Graph 3.6. Market Performance, (2000 – 2001)
16000
HFI
14000
12000
10000
8000
6000
4000
2000
02/12/2001
02/11/2001
02/10/2001
02/09/2001
02/08/2001
02/07/2001
02/06/2001
02/05/2001
02/04/2001
02/03/2001
02/02/2001
02/01/2001
02/12/2000
02/11/2000
02/10/2000
02/09/2000
02/08/2000
02/07/2000
02/06/2000
02/05/2000
02/04/2000
02/03/2000
02/02/2000
02/01/2000
0
Source: REUTERS / EFG-Hermes
The general downturn continued during the rest of 2000 and throughout 2001 with the
market being down by 59.6% from early 2000. This was mainly attributed to the
global downturn, the slow pace of privatisation and the political circumstances in the
Middle East Region.
In this respect, Egypt was no exception of other emerging markets that lost substantial
amount of their value during the same period mainly due to the global economic
slowdown.
Page 49
Chapter 4
4.1.
Market Efficiency
Methodology
4.1.1. Event studies
The approach adopted in testing for market efficiency within the Egyptian Stock
market is “Event Studies” as suggested by Fama, Fisher, Jensen and Roll (1969).
In this approach, stock returns are examined around the date new information about
the performance (or prospects) of a company is announced. The speed of response of
the stock returns to the new publicly available information indicates the degree of
efficiency.
Thus, if securities returns adjust immediately to new information, this will be an
indication of an overall “Semi-strong, efficient” market.
If, on the contrary, securities returns respond slowly, thereby allowing the uninformed
investor to achieve abnormal returns by simply observing the price behaviour without
any additional fundamental analysis, this will be an indication of an overall “Semistrong, inefficient” market.
The tests were conducted using an Ordinary Least Squares regression model (OLS) to
identify the stock’s Expected Normal Returns and, hence, any deviation of Actual
Returns from Expected returns in the form of Unexpected Abnormal Returns.
Page 50
Mathematically, the returns of a security can be represented by the following formula:
ri = αi + βirM + ei
(4.1)
Where, ri is the return on security i, αi is the initial return (the return on security i
when the market return is zero), βi is the sensitivity of the returns of security i to
market returns, rM is the market return (the return on a benchmark index representing
the market portfolio), and ei is the deviation of the actual returns of security i from
expected returns, also known as security i’s abnormal returns
From equation (4.1), the abnormal returns of a security can be found be rewriting the
equation to be:
ei = ri – (αi + βirM)
(4.2)
Equation (4.2) will be the basis for calculating Abnormal Returns throughout the
analysis.
In order to avoid problems associated with equilibrium models when measuring
returns (Fama, 1998), the following procedure was adopted:
•
using Cumulative Abnormal Returns (CAR) to measure abnormal
returns surrounding the event examined instead of the Buy-and-Hold
Average Returns (BHAR) method;
•
returns were measured over short horizons to provide better results
under the assumption of securities returns being normally distributed.
Page 51
This helps avoiding the problem of skewness of returns that characterises the stock
returns in Emerging markets (Bekaert et al., 1995, 1997 and 1998) and (Stevenson,
2001).
4.1.2. Beta Calculation
The benchmark, relative to which the sensitivities of securities returns were measured,
is the Herms Financial Index (HFI).
The choice of index was due to its mature nature (inception, 2nd January 1993) and its
wide scope that includes the highly traded companies, which provides a more reliable
proxy for the market.
The calculation was based on the weekly returns of the index for the period from the
beginning of January 1998 until the end of December 1999.
In the calculation, it was assumed that the value of Beta has been constant for the
period 1st January 1998 till 31st December 1999 and that this value was different from
that of prior periods.
Table 4.1 shows the values of Standard Deviation, Skewness and Kutosis for the
index returns for the periods 1996/1997, 1998/1999 and 2000/2001.
Page 52
Table 4.1. Key Statistics for the Hermes Financial Index, 1996-2001
Date
Index Value Change Index Returns
Date
Index Value
Change
Index Returns
(Vt / Vt-1)
1998-1999
ln (Vt / Vt-1)
%
1
(Vt / Vt-1)
10/11/1996
17/11/1996
24/11/1996
01/12/1996
08/12/1996
15/12/1996
22/12/1996
29/12/1996
05/01/1997
12/01/1997
19/01/1997
26/01/1997
02/02/1997
09/02/1997
16/02/1997
23/02/1997
02/03/1997
09/03/1997
16/03/1997
23/03/1997
30/03/1997
06/04/1997
13/04/1997
20/04/1997
8676.70
8828.71
9455.31
9965.70
10160.80
10396.50
10246.30
10251.10
11311.30
11841.90
11784.30
12588.80
13574.60
14848.00
15310.50
16135.00
15561.00
15580.50
15523.80
14685.20
14650.20
14798.70
14865.90
14767.40
1.017519
1.070973
1.053979
1.019577
1.023197
0.985553
1.000468
1.103423
1.046909
0.995136
1.068269
1.078308
1.093808
1.031149
1.053852
0.964425
1.001253
0.996361
0.945980
0.997617
1.010136
1.004541
0.993374
1996-1997
ln (Vt / Vt-1)
%
1.74
6.86
5.26
1.94
2.29
-1.46
0.05
9.84
4.58
-0.49
6.60
7.54
8.97
3.07
5.25
-3.62
0.13
-0.36
-5.55
-0.24
1.01
0.45
-0.66
28/12/1997
04/01/1998
11/01/1998
18/01/1998
25/01/1998
01/02/1998
08/02/1998
15/02/1998
22/02/1998
01/03/1998
08/03/1998
15/03/1998
22/03/1998
29/03/1998
05/04/1998
12/04/1998
19/04/1998
26/04/1998
03/05/1998
10/05/1998
17/05/1998
24/05/1998
31/05/1998
07/06/1998
12260.70
12405.40
12227.30
12066.30
11875.60
11619.70
11521.00
11485.70
11541.10
11522.70
11719.50
11772.60
11885.70
12002.60
11976.00
11989.00
11954.90
11824.20
11769.60
11595.90
11295.60
11123.40
10734.30
10454.80
1.011802
0.985643
0.986833
0.984196
0.978452
0.991506
0.996936
1.004823
0.998406
1.017079
1.004531
1.009607
1.009835
0.997784
1.001086
0.997156
0.989067
0.995382
0.985242
0.974103
0.984755
0.965020
0.973962
1.17
-1.45
-1.33
-1.59
-2.18
-0.85
-0.31
0.48
-0.16
1.69
0.45
0.96
0.98
-0.22
0.11
-0.28
-1.10
-0.46
-1.49
-2.62
-1.54
-3.56
-2.64
Date
Index Value Change Index Returns
(Vt / Vt-1)
26/12/1999
02/01/2000
09/01/2000
16/01/2000
23/01/2000
30/01/2000
06/02/2000
13/02/2000
20/02/2000
27/02/2000
05/03/2000
12/03/2000
19/03/2000
26/03/2000
02/04/2000
09/04/2000
16/04/2000
23/04/2000
30/04/2000
07/05/2000
14/05/2000
21/05/2000
28/05/2000
04/06/2000
12152.40
13027.50
13607.10
13839.30
14577.30
13995.30
13788.50
14082.60
13691.10
12495.90
12630.10
12786.10
12625.90
12336.20
12514.00
12393.00
11987.30
10832.40
11196.30
11058.50
11391.20
11701.40
10798.10
10847.60
1.072010
1.044491
1.017065
1.053326
0.960075
0.985224
1.021329
0.972200
0.912702
1.010740
1.012351
0.987471
0.977055
1.014413
0.990331
0.967264
0.903656
1.033594
0.987692
1.030085
1.027232
0.922804
1.004584
2000-2001
ln (Vt / Vt-1)
%
6.95
4.35
1.69
5.20
-4.07
-1.49
2.11
-2.82
-9.13
1.07
1.23
-1.26
-2.32
1.43
-0.97
-3.33
-10.13
3.30
-1.24
2.96
2.69
-8.03
0.46
Page 53
27/04/1997
04/05/1997
11/05/1997
18/05/1997
25/05/1997
01/06/1997
08/06/1997
15/06/1997
22/06/1997
29/06/1997
06/07/1997
13/07/1997
20/07/1997
27/07/1997
03/08/1997
10/08/1997
17/08/1997
24/08/1997
31/08/1997
07/09/1997
14/09/1997
21/09/1997
28/09/1997
05/10/1997
12/10/1997
19/10/1997
26/10/1997
02/11/1997
09/11/1997
16/11/1997
15060.70
14645.90
14369.00
13751.90
13888.60
13228.60
13636.70
13471.30
13340.00
13118.40
13233.90
13099.10
12900.00
12602.50
12622.30
12564.70
12580.60
13036.80
13532.30
13667.30
13964.60
14048.70
13994.50
13983.30
13870.30
13621.90
13649.20
13482.40
13334.60
12993.70
1.019861
0.972458
0.981094
0.957053
1.009940
0.952479
1.030850
0.987871
0.990253
0.983388
1.008804
0.989814
0.984800
0.976938
1.001571
0.995437
1.001265
1.036262
1.038008
1.009976
1.021753
1.006022
0.996142
0.999200
0.991919
0.982091
1.002004
0.987780
0.989038
0.974435
1.97
-2.79
-1.91
-4.39
0.99
-4.87
3.04
-1.22
-0.98
-1.68
0.88
-1.02
-1.53
-2.33
0.16
-0.46
0.13
3.56
3.73
0.99
2.15
0.60
-0.39
-0.08
-0.81
-1.81
0.20
-1.23
-1.10
-2.59
14/06/1998
21/06/1998
28/06/1998
05/07/1998
12/07/1998
19/07/1998
26/07/1998
02/08/1998
09/08/1998
16/08/1998
23/08/1998
30/08/1998
06/09/1998
13/09/1998
20/09/1998
27/09/1998
04/10/1998
11/10/1998
18/10/1998
25/10/1998
01/11/1998
08/11/1998
15/11/1998
22/11/1998
29/11/1998
06/12/1998
13/12/1998
20/12/1998
27/12/1998
03/01/1999
10664.80
10321.70
10300.30
10020.40
9821.99
9709.95
9952.34
10102.20
9862.74
9664.70
9343.16
9011.08
9490.19
9503.97
9533.42
9566.63
9589.12
9432.51
9439.63
9346.40
9184.68
9132.23
9178.22
9171.60
9068.02
9026.21
8890.94
9025.75
9068.91
9141.83
1.020086
0.967829
0.997927
0.972826
0.980199
0.988593
1.024963
1.015058
0.976296
0.979920
0.966730
0.964457
1.053169
1.001452
1.003099
1.003484
1.002351
0.983668
1.000755
0.990124
0.982697
0.994289
1.005036
0.999279
0.988706
0.995389
0.985014
1.015163
1.004782
1.008041
1.99
-3.27
-0.21
-2.76
-2.00
-1.15
2.47
1.49
-2.40
-2.03
-3.38
-3.62
5.18
0.15
0.31
0.35
0.23
-1.65
0.08
-0.99
-1.75
-0.57
0.50
-0.07
-1.14
-0.46
-1.51
1.50
0.48
0.80
11/06/2000
18/06/2000
25/06/2000
02/07/2000
09/07/2000
16/07/2000
23/07/2000
30/07/2000
06/08/2000
13/08/2000
20/08/2000
27/08/2000
03/09/2000
10/09/2000
17/09/2000
24/09/2000
01/10/2000
08/10/2000
15/10/2000
22/10/2000
29/10/2000
05/11/2000
12/11/2000
19/11/2000
26/11/2000
03/12/2000
10/12/2000
17/12/2000
24/12/2000
31/12/2000
10151.20
10014.80
9164.37
8999.17
9391.09
9259.56
8651.17
8177.32
7890.54
7568.87
8341.10
8326.98
8167.98
8456.60
8116.16
7778.43
7476.66
6987.80
6076.31
6888.93
7304.37
7473.64
7734.45
8727.00
7992.45
7969.77
7902.33
7873.65
7566.23
7537.95
0.935801
0.986563
0.915083
0.981974
1.043551
0.985994
0.934296
0.945227
0.964930
0.959233
1.102027
0.998307
0.980905
1.035336
0.959743
0.958388
0.961204
0.934615
0.869560
1.133736
1.060305
1.023174
1.034897
1.128328
0.915830
0.997162
0.991538
0.996371
0.960956
0.996262
-6.64
-1.35
-8.87
-1.82
4.26
-1.41
-6.80
-5.63
-3.57
-4.16
9.72
-0.17
-1.93
3.47
-4.11
-4.25
-3.96
-6.76
-13.98
12.55
5.86
2.29
3.43
12.07
-8.79
-0.28
-0.85
-0.36
-3.98
-0.37
Page 54
23/11/1997
30/11/1997
07/12/1997
14/12/1997
21/12/1997
28/12/1997
12539.30
12601.60
12026.60
12184.80
12147.30
12260.70
0.965029
1.004968
0.954371
1.013154
0.996922
1.009335
-3.56
0.50
-4.67
1.31
-0.31
0.93
10/01/1999
17/01/1999
24/01/1999
31/01/1999
07/02/1999
14/02/1999
21/02/1999
28/02/1999
07/03/1999
14/03/1999
21/03/1999
28/03/1999
04/04/1999
11/04/1999
18/04/1999
25/04/1999
02/05/1999
09/05/1999
16/05/1999
23/05/1999
30/05/1999
06/06/1999
13/06/1999
20/06/1999
27/06/1999
04/07/1999
11/07/1999
18/07/1999
25/07/1999
01/08/1999
9838.73
9899.59
10161.40
11057.90
10945.90
10536.20
10717.70
10551.00
10398.60
10412.00
10276.50
10313.60
10349.30
10249.40
10264.50
10382.40
10144.30
10272.40
10154.00
10120.50
9865.98
9770.53
10073.70
9891.66
10261.50
9952.82
9956.00
10121.70
9819.62
9719.97
1.076232
1.006186
1.026447
1.088226
0.989871
0.962570
1.017226
0.984446
0.985556
1.001289
0.986986
1.003610
1.003461
0.990347
1.001473
1.011486
0.977067
1.012628
0.988474
0.996701
0.974851
0.990325
1.031029
0.981929
1.037389
0.969919
1.000320
1.016643
0.970155
0.989852
7.35
0.62
2.61
8.45
-1.02
-3.81
1.71
-1.57
-1.45
0.13
-1.31
0.36
0.35
-0.97
0.15
1.14
-2.32
1.25
-1.16
-0.33
-2.55
-0.97
3.06
-1.82
3.67
-3.05
0.03
1.65
-3.03
-1.02
07/01/2001
14/01/2001
21/01/2001
28/01/2001
04/02/2001
11/02/2001
18/02/2001
25/02/2001
04/03/2001
11/03/2001
18/03/2001
25/03/2001
01/04/2001
08/04/2001
15/04/2001
22/04/2001
29/04/2001
06/05/2001
13/05/2001
20/05/2001
27/05/2001
03/06/2001
10/06/2001
17/06/2001
24/06/2001
01/07/2001
08/07/2001
15/07/2001
22/07/2001
29/07/2001
7578.22
7524.17
7227.11
7558.68
7694.49
7476.80
7164.66
6962.00
6724.88
6879.29
6349.36
6161.27
5916.55
6017.71
6293.02
6104.23
6177.83
6341.10
6489.01
6597.23
6654.19
6537.40
6292.23
6300.35
6139.67
5969.53
6203.32
6095.65
5547.10
5509.17
1.005342
0.992868
0.960519
1.045879
1.017967
0.971708
0.958252
0.971714
0.965941
1.022961
0.922967
0.970377
0.960281
1.017098
1.045750
0.970000
1.012057
1.026428
1.023326
1.016677
1.008634
0.982449
0.962497
1.001290
0.974497
0.972288
1.039164
0.982643
0.910010
0.993162
0.53
-0.72
-4.03
4.49
1.78
-2.87
-4.26
-2.87
-3.47
2.27
-8.02
-3.01
-4.05
1.70
4.47
-3.05
1.20
2.61
2.31
1.65
0.86
-1.77
-3.82
0.13
-2.58
-2.81
3.84
-1.75
-9.43
-0.69
Page 55
08/08/1999
15/08/1999
22/08/1999
29/08/1999
05/09/1999
12/09/1999
19/09/1999
26/09/1999
03/10/1999
10/10/1999
17/10/1999
24/10/1999
31/10/1999
07/11/1999
14/11/1999
21/11/1999
28/11/1999
05/12/1999
12/12/1999
19/12/1999
26/12/1999
Std. Dev.
Skewness
Kurtosis
9532.29
9350.49
9441.02
9353.39
9286.50
9238.43
9365.83
9633.55
9644.66
10084.30
10673.40
10192.30
10382.80
10475.50
10715.10
10771.40
11042.20
11522.50
13386.90
12357.80
12152.40
3.26
0.80
0.84
0.980691
0.980928
1.009682
0.990718
0.992849
0.994824
1.013790
1.028585
1.001153
1.045584
1.058418
0.954925
1.018691
1.008928
1.022872
1.005254
1.025141
1.043497
1.161805
0.923126
0.983379
-1.95
-1.93
0.96
-0.93
-0.72
-0.52
1.37
2.82
0.12
4.46
5.68
-4.61
1.85
0.89
2.26
0.52
2.48
4.26
15.00
-8.00
-1.68
2.80
1.81
8.29
05/08/2001
12/08/2001
19/08/2001
26/08/2001
02/09/2001
09/09/2001
16/09/2001
23/09/2001
30/09/2001
07/10/2001
14/10/2001
21/10/2001
28/10/2001
04/11/2001
11/11/2001
18/11/2001
25/11/2001
02/12/2001
09/12/2001
16/12/2001
23/12/2001
30/12/2001
5285.55
5535.72
5619.18
5647.62
5957.84
6427.37
6263.37
6148.17
5619.25
5446.80
5545.29
5797.97
5713.35
5548.61
5581.92
5333.98
5085.62
5196.33
5164.32
5342.09
5311.80
5262.41
0.959409
1.047331
1.015077
1.005061
1.054929
1.078809
0.974484
0.981607
0.913971
0.969311
1.018082
1.045567
0.985405
0.971166
1.006003
0.955582
0.953438
1.021769
0.993840
1.034423
0.994330
0.990702
-4.14
4.62
1.50
0.50
5.35
7.59
-2.58
-1.86
-9.00
-3.12
1.79
4.46
-1.47
-2.93
0.60
-4.54
-4.77
2.15
-0.62
3.38
-0.57
-0.93
4.56
0.11
0.79
1. Index values for the period prior to November 1996 were unobtainable during the research conducted. However, including
Those values would have made the validity of the statistical measures for the period questionable as many of the highly-liquid/
highly-traded stocks were listed during late 1996 and started active trading during 1997.
Page 56
The table shows that Standard Deviation has decreased from 3.26% for the period
1996/1997 to 2.8% for the period 1998/1999 indicating a mild volatility during the
second period.
Skewness and kurtosis coefficients have increased during the period 1998/1999
indicating an increased shift in returns from normal distribution.
Based on the above, the calculation of Beta for the stocks analysed has been confined
to the period 1998/1999 and the values obtained were used to measure abnormal
returns for securities around announcements related to acquisitions and dividend
distributions during 2000 and 2001.
Finally, in the calculation, continuous compounding of both index and securities
returns was assumed. This can be shown by the following mathematical formulae:
rI = ln (Vt / Vt-1)
(4.3)
ri = ln (Pt / Pt-1)
(4.4)
Where, rI is the index return, Vt is index value at date t, Vt-1 is index value at date t-1,
ri is the return on security i, Pt is security price at date t, Pt-1 is security price at date
t-1 and ln is the natural logarithm of value calculated
Appendix B shows the detailed Beta calculations for the 12 securities analysed, which
are a subset of the most actively traded stocks and for which dividend and/or
acquisition data were available for the period analysed. (Note that the most actively
traded 30 securities accounted for 82.26% of market liquidity as of June 2001 which
Page 57
makes the number of securities analysed a fair representation of the market under the
information constraint).
4.2.
Data
For the 12 securities involved, Beta calculations were based on 104 weekly
observations of index values and securities prices starting from 2nd of January 1998
until 24th December 1999.
Calculations of Abnormal Returns around dividends and acquisitions announcements
were based on 42 daily observations of index values and securities prices surrounding
the Announcement date for each case.
Index values were obtained from REUTERS while stock prices were obtained from
various sources including REUTERS, DATASTREAM and the Cairo and Alexandria
Stock Exchanges website.
The 12 securities analysed are all “Large Capitalisation-Value” stocks to avoid
anomalies associated with “Small Capitalisation-Growth” stocks, which are
characterised by the lack of accurate information and analysis and by infrequent
trading within the Egyptian market.
Table 4.2 below provides summary statistics of the 12 securities analysed. These
securities represent the major sectors of the market and were used as proxies for the
overall market performance.
Page 58
Table 4.2. Summary Statistics of Stocks Analysed
Company
Beta Alpha Std. Dev. Of Rdm
%
Error Term %
Std. Error of Std. Error of Correlation Coefficient of Coefficient of
Beta
Alpha
Coefficient Determination Nondetermination
Banking
Commercial International Bank (CIB)
Egyptian American Bank (EAB)
Misr International Bank (MIBANK)
1.45 -0.06
1.18 -0.40
1.27 -0.36
3.12
3.38
3.14
Ameryah Cement
Helwan Portland Cement
Suez Cement
Torah Portland Cement
1.05
0.85
1.26
1.07
3.58
3.26
2.71
3.77
0.062
0.065
0.062
0.174
0.181
0.174
0.80
0.70
0.75
0.63
0.49
0.57
0.37
0.51
0.43
0.067
0.064
0.058
0.068
0.187
0.178
0.162
0.191
0.64
0.60
0.80
0.63
0.41
0.35
0.63
0.39
0.59
0.65
0.37
0.61
0.078
0.218
0.45
0.20
0.80
0.074
0.208
0.43
0.18
0.82
0.070
0.060
0.071
0.194
0.167
0.200
0.33
0.65
0.47
0.11
0.42
0.22
0.89
0.58
0.78
Cement
-0.43
-0.56
-0.20
-0.06
Food and Beverages
Upper Egypt Flour Mills
0.87 -0.75
4.91
Housing
Nasr City for Housing and Development 0.75 -1.15
4.44
Chemicals
Abu Keir for Fertilisers
Egyptian Financial and Industrial
Paints and Chemical Industries
0.47 -0.94
0.86 -1.26
0.78 -0.71
3.89
2.86
4.10
Page 59
The only exception with securities selection was for companies within the
Telecommunication and Media sector, where none of the constituent companies was
included as most of the companies in the sector are relatively newly listed with hardly
any dividend or acquisition data available for the period analysed.
4.3.
Findings
Appendix C provides the detailed calculations of Abnormal Returns for the securities
analysed around the announcement dates of the various events tested.
4.3.1. Takeovers
Efficiency tests related to Acquisition events included the acquisition announcements
for two companies in the cement sector during 2001, namely the acquisition of
94.69% of Helwan Portland Cement shares by the Arab Swiss Engineering Company
(ASEC) and 34.65% of Suez Cement shares by Ciments Francais. (Cairo and
Alexandria Stock Exchanges Monthly Bulletin, May 2002)
Tables (4.3) and (4.4) and Graphs (4.1) and (4.2) show the following:
Despite fluctuating around 0.40% per day, which might be considered relatively
insignificant, Average Abnormal Returns have shown positive values for the entire
period of the test.
This persistent positive trend has caused Average Cumulative Abnormal Returns to
increase at a steady rate during the period.
A possible explanation for this behaviour is that there might have been an information
leakage about the intended acquisitions well before the announcement date. This has
caused abnormal returns to be positive days before the announcement date.
Page 60
Table 4.3. Average Abnormal Returns: Takeovers,
2001
Day
-18
-17
-16
-15
-14
-13
-12
-11
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
Helwan
Portland
0.55
0.56
0.57
0.59
0.59
0.59
0.55
0.61
0.59
0.55
0.53
0.57
0.57
0.56
0.56
0.59
0.61
0.59
0.54
0.60
0.60
0.59
0.62
0.63
0.50
0.51
0.60
0.61
0.68
0.58
0.58
0.54
0.57
0.59
0.57
0.57
0.58
0.58
0.51
0.56
Suez Cement AAR (%)
0.18
0.19
0.22
0.23
0.18
0.17
0.16
0.17
0.20
0.22
0.22
0.19
0.19
0.19
0.23
0.22
0.20
0.17
0.20
0.20
0.19
0.18
0.24
0.25
0.20
0.14
0.19
0.18
0.16
0.16
0.26
0.20
0.19
0.20
0.21
0.15
0.19
0.22
0.19
0.19
0.36
0.38
0.39
0.41
0.38
0.38
0.36
0.39
0.40
0.38
0.37
0.38
0.38
0.38
0.39
0.41
0.41
0.38
0.37
0.40
0.40
0.38
0.43
0.44
0.35
0.33
0.39
0.39
0.42
0.37
0.42
0.37
0.38
0.40
0.39
0.36
0.39
0.40
0.35
0.38
Table 4.4. Cumulative Abnormal Returns: Takeovers,
2001
Day
-18
-17
-16
-15
-14
-13
-12
-11
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
Helwan
Portland
1.12
1.67
2.25
2.84
3.43
4.02
4.57
5.18
5.77
6.32
6.85
7.43
8.00
8.57
9.13
9.72
10.34
10.92
11.46
12.06
12.66
13.25
13.87
14.50
15.00
15.52
16.11
16.72
17.40
17.99
18.56
19.10
19.67
20.26
20.84
21.41
21.99
22.57
23.08
23.64
Suez Cement Avg. CAR
0.38
0.57
0.79
1.02
1.20
1.37
1.53
1.70
1.90
2.13
2.34
2.53
2.72
2.91
3.14
3.35
3.56
3.73
3.93
4.13
4.32
4.49
4.74
4.98
5.19
5.33
5.51
5.69
5.85
6.02
6.27
6.48
6.66
6.87
7.08
7.23
7.42
7.64
7.83
8.02
0.75
1.12
1.52
1.93
2.31
2.69
3.05
3.44
3.84
4.22
4.60
4.98
5.36
5.74
6.13
6.54
6.95
7.33
7.69
8.09
8.49
8.87
9.31
9.74
10.10
10.42
10.81
11.20
11.63
12.00
12.42
12.79
13.17
13.56
13.96
14.32
14.70
15.10
15.45
15.83
Page 61
Graph 4.1. Average Abnormal Returns surrounding Takeovers in 2001
Average Abnormal Returns: Takeovers (2001)
0.50
0.45
0.40
0.35
AAR (%)
0.30
0.25
0.20
0.15
0.10
0.05
0.00
-20
-15
-10
-5
0
5
10
15
20
25
Days relative to Announcement Date
Graph 4.2. Cumulative Abnormal Returns surrounding Takeovers in 2001
Average Cumulative Abnormal Returns: Takveovers (2001)
18.00
16.00
Slow Adjustment
14.00
12.00
ACAR (%)
10.00
8.00
6.00
Information Leakage
4.00
2.00
0.00
-20
-15
-10
-5
0
5
10
15
20
25
Days relative to Announcement Date
Page 62
The fact that the Egyptian Stock Exchange imposes a price limit on the maximum and
minimum the price of a security can reach in a day (plus or minus 5% of closing price
of the previous day), may have caused the slow adjustment of the securities’ prices to
their new fair values and, therefore, caused the increasing cumulative abnormal
returns after the announcement date.
4.3.2. Dividend Increase
Efficiency tests of dividend increases attempted to measure market reaction to good
news about companies performance. The tests measured returns behaviour around the
announcement date for companies, which announced dividend payments higher than
previous years during 2000 and 2001.
Tables (4.5), (4.6), (4.7) and (4.8) and figure (4.1) show the following:
Average Abnormal Returns tended to rise in the 5 days prior to the Announcement
Date (indicating information leakage), fall during the 1-3 days following the
announcement date (a form of market correction indicating overreaction on the leaked
information, which is then corrected after the exact payment is made known to the
public) and then rise again to fluctuate around certain positive level (0.50% in 2000
and 0.25% in 2001).
Fluctuations tended to be more volatile during 2000, however, in both cases, Average
Abnormal Returns remained positive before and after the announcement date causing
Cumulative Abnormal Returns to increase during the entire test period indicating the
information leakage before the announcement date and the slow adjustment after the
announcement date.
Page 63
Table 4.5. Average Abnormal Returns: Dividend Increase, 2000
Day
-18
-17
-16
-15
-14
-13
-12
-11
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
CIB
-1.39
-3.44
-4.03
1.92
-2.77
-2.67
1.34
-0.60
-4.48
-1.99
4.26
4.19
3.28
-3.88
-0.69
0.14
-1.28
-0.17
-0.92
-1.05
1.72
2.48
3.33
1.56
-2.98
2.85
-0.24
2.25
-0.56
0.41
-2.40
-0.82
2.05
0.58
1.44
-3.58
-0.10
3.07
-9.75
-1.87
EAB
0.42
0.43
0.40
0.37
0.40
0.39
0.40
0.38
0.40
0.42
0.41
0.43
0.40
0.37
0.43
0.39
0.41
0.40
0.41
0.39
0.43
0.42
0.37
0.43
0.40
0.43
0.42
0.31
0.42
0.39
0.38
0.48
0.32
0.39
0.40
0.39
0.41
0.39
0.39
0.38
MIBANK Ameryah
0.35
0.38
0.34
0.36
0.37
0.36
0.35
0.34
0.36
0.36
0.31
0.34
0.36
0.36
0.33
0.35
0.37
0.37
0.37
0.34
0.34
0.36
0.37
0.35
0.35
0.38
0.33
0.39
0.36
0.32
0.37
0.40
0.30
0.36
0.36
0.36
0.36
0.41
0.44
0.26
0.46
0.43
0.40
0.44
0.47
0.46
0.43
0.44
0.46
0.46
0.44
0.46
0.32
0.44
0.46
0.41
0.45
0.41
0.41
0.42
0.43
0.41
0.41
0.41
0.43
0.46
0.45
0.45
0.42
0.46
0.45
0.41
0.41
0.45
0.43
0.44
0.46
0.43
0.45
0.44
Egy. Fin.&Ind.
1.26
1.25
1.24
1.28
1.26
1.30
1.26
1.25
1.28
1.29
1.26
1.23
1.27
1.26
1.25
1.31
1.25
1.25
1.30
1.30
1.22
1.24
1.22
1.28
1.21
1.23
1.20
1.22
1.24
1.24
1.22
1.25
1.31
1.28
1.21
1.26
1.26
1.25
1.20
1.30
Abu Keir Fert.
0.96
0.96
0.94
0.95
0.96
0.92
0.94
0.95
0.97
0.94
0.92
0.93
0.95
0.96
0.94
0.93
0.95
0.94
0.97
0.98
0.97
0.96
0.94
0.94
0.93
0.89
0.92
0.85
0.93
0.96
0.95
0.95
0.94
0.94
0.89
0.90
1.00
0.99
0.94
0.95
AAR (%)
0.34
0.00
-0.12
0.89
0.11
0.13
0.79
0.46
-0.17
0.25
1.27
1.26
1.10
-0.08
0.45
0.59
0.36
0.54
0.42
0.40
0.85
0.98
1.11
0.83
0.06
1.04
0.52
0.91
0.47
0.63
0.16
0.45
0.89
0.67
0.79
-0.04
0.57
1.09
-1.05
0.24
Page 64
Table 4.6. Average Abnormal Returns: Dividend Increase, 2001
Day
-18
-17
-16
-15
-14
-13
-12
-11
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
CIB
MIBANK
0.09
0.08
0.06
0.04
0.02
0.11
0.09
0.03
0.08
0.09
0.10
0.09
0.03
0.03
0.07
0.07
0.03
0.06
0.09
0.02
0.10
0.12
0.06
0.02
0.08
0.05
0.08
0.08
0.09
0.06
0.02
-0.03
0.06
0.02
0.07
0.10
0.05
0.03
0.08
0.08
Ameryah
0.34
0.35
0.35
0.35
0.34
0.34
0.40
0.37
0.36
0.31
0.33
0.40
0.38
0.33
0.39
0.37
0.39
0.39
0.32
0.33
0.38
0.37
0.31
0.36
0.38
0.31
0.40
0.40
0.36
0.30
0.36
0.29
0.40
0.39
0.35
0.32
0.32
0.37
0.35
0.34
AAR (%)
0.42
0.44
0.47
0.43
0.49
0.39
0.41
0.48
0.47
0.45
0.40
0.48
0.41
0.40
0.40
0.48
0.44
0.52
0.49
0.42
0.44
0.14
0.42
0.47
0.42
0.45
0.45
0.46
0.43
0.41
0.40
0.41
0.44
0.44
0.43
0.41
0.43
0.42
0.46
0.45
0.29
0.29
0.29
0.27
0.29
0.28
0.30
0.29
0.30
0.29
0.27
0.32
0.27
0.26
0.29
0.31
0.29
0.33
0.30
0.26
0.31
0.21
0.26
0.28
0.29
0.27
0.31
0.31
0.29
0.26
0.26
0.22
0.30
0.28
0.28
0.28
0.26
0.27
0.30
0.29
Page 65
Table 4.7. Cumulative Abnormal Returns: Dividend Increase, 2000
Day
-18
-17
-16
-15
-14
-13
-12
-11
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
CIB
-2.71
-6.14
-10.18
-8.26
-11.03
-13.70
-12.35
-12.96
-17.44
-19.43
-15.17
-10.98
-7.70
-11.57
-12.27
-12.13
-13.41
-13.58
-14.50
-15.55
-13.83
-11.35
-8.02
-6.46
-9.45
-6.60
-6.83
-4.58
-5.14
-4.72
-7.12
-7.94
-5.89
-5.30
-3.86
-7.44
-7.54
-4.46
-14.21
-16.08
EAB
0.83
1.26
1.66
2.02
2.42
2.81
3.21
3.59
3.99
4.41
4.82
5.25
5.64
6.01
6.45
6.84
7.25
7.65
8.06
8.45
8.88
9.29
9.66
10.09
10.49
10.92
11.34
11.65
12.06
12.45
12.83
13.31
13.64
14.03
14.43
14.82
15.23
15.62
16.01
16.39
MIBANK Ameryah
0.70
1.08
1.42
1.78
2.15
2.51
2.86
3.21
3.57
3.93
4.24
4.58
4.94
5.30
5.63
5.98
6.34
6.71
7.08
7.42
7.76
8.11
8.48
8.83
9.18
9.56
9.90
10.29
10.65
10.97
11.34
11.74
12.03
12.39
12.75
13.11
13.47
13.88
14.32
14.58
0.86
1.29
1.69
2.13
2.60
3.06
3.48
3.92
4.39
4.85
5.29
5.75
6.07
6.51
6.97
7.37
7.82
8.23
8.64
9.06
9.49
9.90
10.31
10.72
11.15
11.61
12.06
12.51
12.93
13.39
13.84
14.26
14.66
15.12
15.55
15.99
16.44
16.88
17.32
17.77
Egy. Fin.&Ind.
2.49
3.74
4.98
6.26
7.52
8.82
10.08
11.33
12.61
13.90
15.16
16.39
17.66
18.92
20.17
21.48
22.73
23.98
25.29
26.59
27.81
29.05
30.28
31.56
32.77
34.00
35.21
36.43
37.66
38.90
40.12
41.37
42.67
43.96
45.16
46.43
47.69
48.95
50.14
51.44
Abu Keir Fert.
1.91
2.87
3.81
4.76
5.72
6.64
7.59
8.53
9.50
10.45
11.37
12.30
13.26
14.22
15.15
16.09
17.03
17.98
18.94
19.92
20.90
21.85
22.79
23.73
24.66
25.55
26.47
27.32
28.25
29.21
30.16
31.11
32.05
32.99
33.88
34.78
35.78
36.76
37.70
38.66
Avg. CAR (%)
0.68
0.68
0.56
1.45
1.56
1.69
2.48
2.94
2.77
3.02
4.28
5.55
6.65
6.56
7.02
7.60
7.96
8.50
8.92
9.32
10.17
11.14
12.25
13.08
13.13
14.17
14.69
15.60
16.07
16.70
16.86
17.31
18.19
18.86
19.65
19.61
20.18
21.27
20.22
20.46
Page 66
Table 4.8. Cumulative Abnormal Returns: Dividend Increase, 2001
Day
-18
-17
-16
-15
-14
-13
-12
-11
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
CIB
MIBANK
0.17
0.25
0.31
0.35
0.37
0.48
0.58
0.61
0.69
0.78
0.87
0.96
0.99
1.02
1.09
1.16
1.19
1.25
1.34
1.36
1.46
1.57
1.64
1.65
1.73
1.78
1.86
1.94
2.03
2.09
2.11
2.08
2.13
2.15
2.22
2.32
2.36
2.39
2.47
2.54
Ameryah
0.66
1.01
1.36
1.71
2.05
2.39
2.79
3.16
3.52
3.84
4.16
4.56
4.94
5.28
5.67
6.04
6.44
6.83
7.15
7.48
7.86
8.23
8.54
8.90
9.27
9.58
9.98
10.38
10.75
11.05
11.41
11.70
12.09
12.48
12.83
13.15
13.47
13.84
14.19
14.53
Avg. CAR (%)
0.82
1.26
1.74
2.17
2.66
3.05
3.47
3.94
4.41
4.86
5.26
5.75
6.16
6.56
6.96
7.44
7.89
8.41
8.90
9.32
9.76
9.90
10.33
10.80
11.21
11.66
12.11
12.57
12.99
13.40
13.80
14.21
14.65
15.09
15.52
15.93
16.36
16.77
17.24
17.69
0.55
0.84
1.14
1.41
1.69
1.98
2.28
2.57
2.87
3.16
3.43
3.76
4.03
4.29
4.57
4.88
5.17
5.50
5.80
6.05
6.36
6.57
6.83
7.12
7.41
7.67
7.98
8.30
8.59
8.85
9.11
9.33
9.63
9.91
10.19
10.47
10.73
11.00
11.30
11.59
Page 67
Figure 4.1. Abnormal Returns surrounding Dividend Increase, (2000-2001)
Average Abnormal Returns: Dividend Increase (2000)
Average Abnormal Returns: Dividend Increase (2001)
1.50
0.35
0.30
1.00
0.25
0.00
-20
-15
-10
-5
0
5
10
15
20
25
0.20
AAR (%)
AAR (%)
0.50
0.15
-0.50
0.10
0.05
-1.00
0.00
-20
-1.50
-15
-10
-5
Days relative to Announcement Date
0
5
10
15
20
25
15
20
25
Days relative to Announcement Date
Average Cumulative Abnormal Returns: Dividend Increase ( 2000)
Average Cumulative Abnormal Returns: Dividend Increase (2001)
25.00
14.00
12.00
20.00
Slow Adjustment
Slow Adjustment
10.00
8.00
ACAR (%)
ACAR (%)
15.00
6.00
10.00
Information Leakage
Information Leakage
4.00
5.00
2.00
0.00
-20
-15
-10
-5
0.00
0
5
Days relative to Announcement date
10
15
20
25
-20
-15
-10
-5
0
5
10
Days relative to Announcement Date
Page 68
4.3.3. Dividend Decrease
Efficiency tests of dividend decreases attempted to measure market reaction to bad
news about companies performance. The tests measured returns behaviour around the
announcement date for companies, which announced dividend payments lower than
previous years during 2000 and 2001.
Tables (4.9), (4.10), (4.11) and (4.12) and figure (4.2) show the following:
The distribution of Average Abnormal Returns prior to the announcement date tended
to be random, though still showing positive values. Following the announcement date,
Average Abnormal returns dropped (an immediate drop in 2000 while gradual drop
via series of undershooting and corrections in 2001) in the following 5-10 days and
then, fluctuated around certain positive level. (0.64% in 2000 and 0.725% in 2001)
This trend of Average Abnormal Returns to show positive values caused Average
Cumulative Abnormal Returns to show an increasing trend.
One explanation of this trend is that the market immediately responded to the bad
news in the form of a downward shock of Abnormal returns, however, the ability of
companies to pay dividends, though lower than previous years, is regarded as a good
sign and helped maintaining the positive values for Abnormal returns.
Again, the slow readjustment of the securities prices to their new fair values caused
Cumulative Abnormal Returns to increase following the announcement date.
Page 70
Table 4.9. Average Abnormal Returns: Dividend Decrease, 2000
Day Helwan Cement Torah Port. Nasr City Paints & Chem. Upper Egypt F. Mills AAR (%)
-18
-17
-16
-15
-14
-13
-12
-11
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
0.52
0.56
0.58
0.54
0.59
0.57
0.56
0.57
0.57
0.59
0.56
0.57
0.57
0.58
0.56
0.57
0.59
0.58
0.60
0.61
0.47
0.43
0.58
0.55
0.59
0.59
0.59
0.51
0.55
0.55
0.57
0.56
0.54
0.58
0.58
0.57
0.55
0.57
0.57
0.55
0.03
0.05
0.08
0.07
0.08
0.05
0.09
0.08
0.08
0.05
0.08
0.06
0.05
0.03
0.08
0.05
0.10
0.07
0.07
0.05
0.05
0.07
-0.10
0.06
0.07
0.05
0.04
0.08
0.10
0.04
0.05
0.13
0.10
0.04
0.07
0.11
0.08
0.03
0.01
0.02
1.19
1.20
1.11
1.12
1.16
1.11
1.13
1.19
1.14
1.12
1.12
1.13
1.13
1.18
1.17
1.17
1.17
1.18
1.16
1.11
1.12
0.95
1.19
1.20
1.21
1.18
1.18
1.17
1.18
1.19
1.20
1.19
1.19
1.16
1.18
1.13
1.13
1.17
1.12
1.10
0.72
0.71
0.69
0.69
0.73
0.68
0.68
0.65
0.67
0.72
0.66
0.68
0.73
0.75
0.75
0.67
0.70
0.66
0.69
0.74
0.71
0.67
0.70
0.70
0.72
0.68
0.68
0.73
0.71
0.71
0.68
0.72
0.78
0.68
0.69
0.70
0.69
0.73
0.72
0.73
0.74
0.76
0.76
0.75
0.77
0.77
0.76
0.77
0.78
0.74
0.74
0.76
0.77
0.74
0.76
0.77
0.77
0.78
0.69
0.80
0.76
0.70
0.75
0.77
0.76
0.52
0.77
0.72
0.76
0.76
0.73
0.74
0.76
0.72
0.74
0.74
0.71
0.74
0.77
0.74
0.64
0.66
0.64
0.63
0.67
0.64
0.64
0.65
0.65
0.64
0.63
0.64
0.65
0.66
0.66
0.65
0.67
0.66
0.64
0.66
0.62
0.56
0.63
0.66
0.67
0.61
0.65
0.64
0.66
0.65
0.65
0.67
0.67
0.64
0.65
0.65
0.63
0.65
0.64
0.63
Page 71
Table 4.10. Average Abnormal Returns: Dividend Decrease, 2001
Day
-18
-17
-16
-15
-14
-13
-12
-11
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
Torah Port.
0.06
0.08
0.07
0.10
0.07
0.02
0.09
0.05
0.02
0.07
0.08
0.07
0.10
0.06
0.07
0.05
0.01
0.09
0.05
0.04
0.12
0.08
0.08
0.09
0.04
0.03
0.02
0.06
-0.01
0.01
0.07
0.03
0.08
0.07
0.10
0.06
0.02
0.07
0.02
0.07
Nasr City
1.15
1.15
1.16
1.13
1.16
1.15
1.17
1.12
1.14
1.17
1.14
1.16
1.14
1.15
1.14
1.13
1.15
1.14
1.16
1.15
1.14
1.14
1.14
1.17
1.15
1.16
1.15
1.14
1.15
1.11
1.12
1.16
1.12
1.11
1.16
1.17
1.15
1.17
1.16
1.14
Suez Cement
0.17
0.21
0.21
0.19
0.20
0.21
0.18
0.20
0.20
0.22
0.21
0.21
0.20
0.19
0.24
0.23
0.16
0.21
0.21
0.16
0.19
0.19
0.21
0.19
0.21
0.20
0.19
0.21
0.19
0.18
0.17
0.18
0.21
0.20
0.20
0.20
0.21
0.19
0.21
0.21
Egy. Fin.&Ind.
1.22
1.25
1.26
1.26
1.27
1.22
1.29
1.26
1.26
1.26
1.25
1.28
1.28
1.27
1.29
1.25
1.23
1.30
1.27
1.25
1.24
1.31
1.28
1.26
1.22
1.22
1.30
1.25
1.13
1.24
1.28
1.21
1.25
1.29
1.30
1.26
1.26
1.31
1.23
1.29
Abu Keir Fert.
0.95
0.94
0.96
0.96
0.96
0.95
0.95
0.94
0.94
0.95
0.94
0.95
0.94
0.94
0.94
0.95
0.94
0.94
0.95
0.93
0.95
0.95
0.95
0.95
0.83
0.93
0.93
0.95
0.95
0.94
0.94
0.96
0.93
0.95
0.95
0.95
0.95
0.96
0.94
0.95
AAR (%)
0.71
0.72
0.73
0.73
0.73
0.71
0.74
0.72
0.72
0.73
0.72
0.74
0.73
0.72
0.74
0.72
0.70
0.73
0.73
0.71
0.73
0.74
0.73
0.73
0.69
0.71
0.72
0.72
0.68
0.70
0.72
0.71
0.72
0.73
0.74
0.73
0.72
0.74
0.71
0.73
Page 72
Table 4.11. Cumulative Abnormal Returns: Dividend Decrease, 2000
Day Helwan Cement Torah Port. Nasr City Paints & Chem. Upper Egypt F. Mills Avg. CAR (%)
-18
-17
-16
-15
-14
-13
-12
-11
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
1.08
1.64
2.23
2.76
3.36
3.92
4.49
5.06
5.62
6.21
6.77
7.34
7.91
8.50
9.06
9.63
10.22
10.81
11.41
12.02
12.49
12.92
13.50
14.05
14.64
15.23
15.82
16.34
16.88
17.43
18.00
18.56
19.10
19.68
20.26
20.83
21.38
21.95
22.52
23.07
0.09
0.13
0.21
0.28
0.37
0.42
0.51
0.58
0.66
0.71
0.79
0.85
0.90
0.93
1.01
1.05
1.15
1.22
1.30
1.35
1.40
1.47
1.38
1.43
1.51
1.56
1.60
1.68
1.78
1.81
1.86
2.00
2.10
2.14
2.21
2.32
2.41
2.44
2.45
2.47
2.33
3.53
4.64
5.76
6.92
8.04
9.17
10.35
11.50
12.61
13.73
14.86
15.99
17.17
18.34
19.51
20.68
21.86
23.03
24.14
25.26
26.21
27.40
28.60
29.81
30.99
32.17
33.34
34.52
35.71
36.91
38.10
39.29
40.45
41.63
42.76
43.89
45.06
46.19
47.29
1.43
2.14
2.83
3.51
4.25
4.93
5.61
6.26
6.93
7.65
8.31
8.99
9.72
10.48
11.23
11.90
12.61
13.27
13.96
14.70
15.41
16.08
16.78
17.48
18.20
18.88
19.56
20.29
20.99
21.70
22.39
23.11
23.88
24.56
25.25
25.95
26.64
27.37
28.09
28.83
1.47
2.23
2.99
3.74
4.51
5.28
6.03
6.80
7.59
8.33
9.07
9.83
10.60
11.34
12.10
12.87
13.64
14.42
15.10
15.90
16.66
17.36
18.12
18.89
19.65
20.17
20.94
21.66
22.42
23.18
23.91
24.65
25.41
26.13
26.87
27.61
28.33
29.06
29.84
30.58
1.28
1.94
2.58
3.21
3.88
4.52
5.16
5.81
6.46
7.10
7.73
8.38
9.03
9.68
10.35
10.99
11.66
12.32
12.96
13.62
14.24
14.81
15.43
16.09
16.76
17.37
18.02
18.66
19.32
19.97
20.62
21.28
21.96
22.59
23.25
23.90
24.53
25.18
25.82
26.45
Page 73
Table 4.12. Cumulative Abnormal Returns: Dividend Decrease, 2001
Day Torah Port. Nasr City
-18
-17
-16
-15
-14
-13
-12
-11
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
0.12
0.19
0.26
0.36
0.44
0.46
0.55
0.60
0.63
0.69
0.77
0.85
0.94
1.01
1.07
1.13
1.14
1.23
1.28
1.32
1.44
1.52
1.60
1.69
1.73
1.76
1.79
1.84
1.83
1.84
1.91
1.94
2.02
2.09
2.19
2.25
2.27
2.34
2.36
2.43
2.29
3.44
4.60
5.73
6.89
8.04
9.21
10.33
11.47
12.64
13.78
14.94
16.08
17.23
18.37
19.50
20.64
21.79
22.95
24.11
25.25
26.39
27.53
28.70
29.86
31.02
32.17
33.30
34.45
35.56
36.68
37.84
38.96
40.08
41.24
42.41
43.55
44.72
45.88
47.03
Suez Cement Egy. Fin.&Ind. Abu Keir Fert.
0.37
0.57
0.78
0.97
1.17
1.38
1.55
1.76
1.96
2.18
2.39
2.61
2.80
2.99
3.23
3.46
3.63
3.84
4.05
4.21
4.40
4.59
4.81
5.00
5.20
5.41
5.60
5.80
5.99
6.17
6.34
6.52
6.72
6.92
7.12
7.32
7.53
7.71
7.92
8.13
2.54
3.79
5.05
6.30
7.57
8.79
10.08
11.34
12.61
13.87
15.12
16.41
17.69
18.96
20.25
21.50
22.73
24.03
25.30
26.55
27.79
29.10
30.38
31.64
32.86
34.09
35.38
36.63
37.76
39.00
40.27
41.49
42.73
44.03
45.32
46.58
47.84
49.15
50.38
51.67
1.90
2.85
3.80
4.76
5.72
6.67
7.62
8.56
9.51
10.46
11.40
12.35
13.29
14.23
15.17
16.12
17.05
17.99
18.94
19.87
20.82
21.77
22.72
23.67
24.50
25.44
26.37
27.32
28.27
29.22
30.16
31.11
32.05
33.00
33.96
34.90
35.85
36.81
37.74
38.69
Avg. CAR (%)
1.44
2.17
2.90
3.63
4.36
5.07
5.80
6.52
7.24
7.97
8.69
9.43
10.16
10.88
11.62
12.34
13.04
13.77
14.50
15.21
15.94
16.67
17.41
18.14
18.83
19.54
20.26
20.98
21.66
22.36
23.07
23.78
24.50
25.22
25.97
26.69
27.41
28.15
28.86
29.59
Page 74
Figure 4.2. Abnormal Returns surrounding Dividend Decrease, (2000-2001)
Average Abnormal Returns: Dividend Decrease (2000)
Average Abnormal Returns: Dividend Decrease (2001)
0.75
0.68
0.74
0.66
0.73
0.64
0.72
AAR (%)
AAR (%)
0.62
0.60
0.71
0.70
0.58
0.69
0.56
0.68
0.54
-20
-15
-10
-5
0.67
0
5
10
15
20
-20
25
-15
-10
-5
0
5
10
15
20
25
15
20
25
Days relative to Announcement Date
Days relative to Announcement Date
Average Cumulative Abnormal Returns: Dividend Decrease (2000)
Average Cumulative Abnormal Returns: Dividend Decrease (2001)
30.00
35.00
30.00
25.00
Slow Adjustment
Slow Adjustment
25.00
20.00
ACAR (%)
ACAR(%)
20.00
15.00
15.00
Information Leakage
10.00
Information Leakage
10.00
5.00
5.00
0.00
-20
-15
-10
-5
0.00
0
5
Days relative to Announcement Date
10
15
20
25
-20
-15
-10
-5
0
5
10
Days relative to Announcement Date
Page 75
4.4.
Conclusion
From the above, an overall conclusion can be drawn that the Egyptian stock market
showed a clear departure from the “Semi-strong, efficient” market hypothesis in the
period 2000/2001 with two major characteristics of 1) information leakage prior to the
announcement dates and 2) slow readjustment following the announcement dates.
These two drawbacks make it relatively easy for uninformed investors to achieve
abnormal returns by simply observing the price behaviour of securities without any
additional analytical effort.
Page 76
Chapter 5
Mutual Funds Performance
Despite a number of limitations on the work of this chapter, which are detailed in the
conclusions section of this project, an attempt, however, is made to measure funds
performance in order to initiate the academic work in this area within the Egyptian
market.
The role of professional Institutional Investors in the Egyptian stock market has been
a recent phenomenon with many of the existing funds having less than five years in
operation.
Ever since their inception, mutual funds in the Egyptian market have enjoyed a
relatively “Free Hand” as regarding the evaluation of their performance.
Hence, and despite the limited data available regarding their performance during this
study, the need arises to set the academic measures of their performance to provide a
Check Point on how they have performed in the past and how they are likely to
perform in the future.
5.1.
Methodology
In the attempt to evaluate funds performance within the Egyptian market, Capital
Asset Pricing Model (CAPM) based evaluation measures were used.
Funds Betas were calculated using an Ordinary Least Squares regression model
(OLS) to measure the sensitivity of funds excess returns, over the risk free rate, to the
excess returns of the benchmark (Sharpe, Alexander and Bailey, 1999).
Page 77
Funds excess returns, over and above those of the benchmark, were calculated using
the Alpha measure as suggested by Jensen (1968). Mathematically, an alpha of a fund
can be presented as
αp = arp – [arf + βp(arM - arf)]
(5.1)
Where, αp is the fund excess returns over and above those of the benchmark, arp is the
average return of the fund over the measurement period, arf is the average rate of the
risk free security over the measurement period, βp is the sensitivity of the fund excess
returns, over the risk free rate, to the excess returns of the benchmark and arM is the
average market return over the measurement period.
From the above, it can be seen that a positive value for αp indicates outperformance
while a negative value indicates underperformance.
Treynor’s coefficient (Reward-to-Volatility) is used to measure the excess return of a
fund, over the risk free rate, per unit of systematic risk as suggested by Treynor
(1965). Mathematically, the Reward-to-Volatility of a fund can be presented as
RVOLp = (arp - arf) / βp
(5.2)
Hence, it can be seen that, the higher the value of Treynor’s coefficient is, the better
the performance of the fund will be.
This measure can be used to rank funds relative to the benchmark and to each other,
however, to avoid confusion resulting from using different evaluation ratios within
this study, utilising Treynor’s coefficient will be confined to evaluating funds
performance relative to the benchmark.
Page 78
Sharpe ratio (Reward-to-Variability) measures the average excess returns of a fund,
over the average risk free rate, per unit of total risk of the fund as suggested by Sharpe
(1966). Mathematically, Sharpe ratio can be shown to be
Sp = (arp - arf) / σp
(5.3)
Where (arp - arf) is the average excess return and σp is the total volatility of the fund.
Similar to Treynor’s coefficient, the higher the value of the Sharpe ratio is, the better
the performance of the fund will be. However, there’s a fundamental difference
between Sharpe ratio and both Treynor’s coefficient and Jensen’s alpha in that in
Sharpe’s, the excess return is measured relative to total risk while in the other two
measures, excess return is measured relative to market risk only.
Therefore, a fund that might show outperformace under Treynor’s or Jensen’s, might
rank inferior under Sharpe’s due to high Unique Risk that’s not accounted for by the
other two measures.
However, if a fund shows poor performance under both Jensen’s and Treynor’s, it
should follow logically that it would also show poor performance under Sharpe’s.
This ratio can also be used to rank portfolios relative to the benchmark and to each
other, yet in this study the utilisation will be confined to evaluation relative to the
benchmark.
Finally, the Tracking Error (Appraisal Ratio) is used to measure the value of the alpha
of the fund relative to its Residual Volatility, as suggested by Treynor and Black
(1973).
This measure attempts to evaluate the benefit of concentration a fund was able to
achieve by deviating from full diversification. Mathematically, this can be show to be
Ap = αp / σep
(5.4)
Page 79
Where, αp is the fund excess returns and σep is the residual volatility or unique risk of
the fund as expressed by its Standard Deviation of the Random Error Term.
From the equation it can be seen that a positive value would indicate a benefit from
departing from full diversification and concentrating more on certain stocks. Also, the
higher the positive value is, the higher the benefit from concentration and the more
successful the fund will be in their securities selection strategy.
5.2.
Data
The calculations of the various performance measures for mutual funds were based on
the annual returns of the Hermes Financial Index (HFI) and the funds returns for the
period from 1998 until 2001.
Funds returns were calculated from their annual closing values of their Net Asset
Values (NAV).
Index returns were obtained from the EFG-Hermes website as at 11 September 2002.
Risk-free interest rates for 91 days Treasury Bills were obtained from the Cairo and
Alexandria Stock Exchanges Fact Book (2001).
Performance evaluation was conducted for a sample of 8 funds under different fund
managers and for which data were available during the test.
5.3.
Findings
Appendix D shows the detailed calculations of the different performance measures.
Page 80
Table (5.1) and Graphs (5.1) and (5.2) below show the summary figures for the
measures calculated for the 8 funds analysed.
From the table and the graphs, the following can be observed:
All funds were defensive relative to the benchmark. This can be seen from their Beta
figures, which, in all cases, were less than one.
This defensive strategy has enabled the funds to achieve less negative returns and less
volatility than the benchmark.
The Standard Deviation of Random Error Term (Residual Volatility) figures for the
funds indicate departure from full diversification for all funds, which might indicate
active management styles in the hope for achieving superior returns.
Unfortunately, and despite the above favourable indicators, none of the funds was
able to outperform the benchmark on a Risk-adjusted basis.
This can be seen from the values of the various evaluation measures.
Jensen (Alpha) values for all funds were significantly negative ranging from –5.62%
for Fund No. 2 to -12.82% for Fund No. 7 indicating funds failure to outperform the
benchmark.
As a consequence, the Appraisal ratio showed negative values for all funds (for
example Fund No. 7 showed a value of –7.39) indicating that the concentration efforts
of the funds were not fruitful and did not result in any superior positive returns to
justify the departure from full diversification.
Page 81
Table 5.1. Summary of Fund Performance Measures
Market
Fund No. 1
Fund No. 2
Fund No. 3
Fund No. 4
Fund No. 5
Fund No. 6
Fund No. 7
Fund No. 8
Mean Returns
Standard Deviation
Std. Dev. Of Rndm Error Term
-14.05
38.20
0.00
-8.31
13.79
5.60
-4.74
14.56
6.62
-6.85
13.59
3.54
-9.50
13.74
4.34
-7.35
13.33
5.47
-6.66
12.15
4.21
-8.33
7.62
1.73
-3.23
7.73
3.05
Beta
Jensen (Alpha) %
Sharpe
Treynor
Tracking Error
1.00
0.00
-0.60
-23.05
0.00
0.34
-9.49
-1.26
-50.99
-1.69
0.35
-5.62
-0.94
-38.99
-0.85
0.35
-7.86
-1.17
-45.71
-2.22
0.35
-10.51
-1.35
-53.39
-2.42
0.33
-8.80
-1.23
-49.94
-1.61
0.30
-8.66
-1.29
-51.55
-2.05
0.20
-12.82
-2.27
-88.63
-7.39
0.19
-7.80
-1.58
-63.69
-2.56
Page 82
Graph 5.1. Egyptian Mutual Funds: Performance Evaluation Using the Ex Post Securities
Market Line, (1998-2001)
15.00
arp
10.00
5.00
Market Portfolio
Fund No. 1
Fund No. 2
0.00
0.00
0.20
0.40
0.60
0.80
1.00
Fund No. 3
1.20
Fund No. 4
Fund No. 5
-5.00
Fund No. 6
Fund No. 7
Fund No. 8
-10.00
Ex Post SML
-15.00
-20.00
βp
Graph 5.2. Egyptian Mutual Funds: Performance Evaluation Using the Ex Post Capital Market
Line, (1998-2001)
15.00
arp
10.00
5.00
Market Portfolio
Fund No. 1
0.00
0.00
Fund No. 2
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
45.00
Fund No. 3
Fund No. 4
Fund No. 5
-5.00
Fund No. 6
Fund No. 7
Fund No. 8
-10.00
Ex Post CML
-15.00
-20.00
σp
Page 84
For Treynor (Reward-to-Volatility), and despite that the benchmark showed a
negative value of –23.05, all funds showed greater negative values ranging from
–38.99 for Fund No. 2 to –88.63 for Fund No. 7.
This can be seen from Graph (5.1) where the slopes of all funds lines were lower than
the slope of the ex-post Securities Market Line resulting in all funds lying under the
ex-post Securities Market Line of the benchmark portfolio.
Sharpe ratio gave similar results with all funds scoring negatively larger than the
benchmark ranging from –0.94 for Fund No. 2 to –2.27 for Fund No. 7.
This can also be seen from Graph (5.2) where the slopes of all funds lines were lower
than the slope of the ex-post Capital Market Line resulting in all funds lying under the
ex-post Capital Market Line of the benchmark portfolio.
Finally, it should be noted that all the analyses were conducted using the gross returns
of funds without accounting for transactions costs or management fees.
The above evaluation indicates that if the analysis would cater for these costs, the
performance will certainly be further aggravated.
5.4.
Conclusion
From the above analysis, a conclusion can be drawn that, on a risk-adjusted basis,
none of the funds evaluated was able to outperform the benchmark for the period of
the study.
However, it should be noted that one of the main factors that affected the evaluation
was the relatively high Risk-free interest rate, which made it difficult for both the
benchmark and the funds to achieve satisfactory returns.
Page 85
Also, this conclusion should be considered with caution in the light of the limited data
that were utilised to arrive at such a conclusion.
Page 86
Chapter 6
6.1.
Conclusions and Recommendations
Objectives and Procedures
This project has been conducted with the aim of exploring the effect of information on
the performance of the stock market in Egypt in accordance with the Efficient Market
Hypothesis, as suggested by Fama (1970) and others.
The tests conducted attempted to examine the effect of publicly available information
on the performance of stock returns and, hence, to come to a conclusion about
whether the Egyptian market, on the average, is Semi-strong efficient, or that there
might be exploitable opportunities that justify active fund management strategies.
The findings of those tests were then utilised to assess whether fund managers in
Egypt were successful in locating and benefiting from exploitable opportunities that
may be overlooked by other market players.
In order to achieve these objectives, first, Event Studies were utilised to examine the
behaviour of stock returns around the announcement date of a number of corporate
actions including dividend distributions and acquisitions during the period 2000/2001.
Then, CAPM based Performance Evaluation measures were utilised to assess the
performance of a sample of mutual funds in the Egyptian market during the period
from the beginning of 1998 until the end of 2001.
Page 87
6.2.
Findings and Conclusions
6.2.1. Market Efficiency
Event Studies conducted around the announcement dates of acquisitions and dividend
distributions for 12 securities representing different market sectors all showed a
positive trend in the average abnormal returns prior to and following the
announcement dates.
This had the effect of causing cumulative abnormal returns to have a gradual upward
(increasing) trend commencing prior to the announcement date and continuing days
afterwards.
This finding may indicate information leakage prior to the announcement date, which
causes cumulative abnormal returns to increase days prior to the announcement date,
and a slow adjustment of returns to the new fair value of the security, which causes
cumulative abnormal returns to continue increasing in a gradual trend and not to
adjust immediately to reflect the new fair value.
One reason for the gradual (slow) adjustment may be the limit that the exchange
imposes on the maximum/minimum change in the price of a security (plus or minus
5% of closing price of the previous day), which causes the slow adjustment of prices
to their new levels to reflect the new fair value of the stock.
The overall conclusion is a departure from the Semi-strong efficient market
hypothesis for the Egyptian market and the possibility of exploitable opportunities
within the Egyptian stock market that might justify active fund management activities.
Page 88
6.2.2. Mutual Funds Performance
CAPM based performance evaluation measures (Jensen’s Alpha, Treynor, Sharpe and
Appraisal ratio) were used to assess the performance of a sample of 8 mutual funds in
Egypt during the period from the beginning of 1998 until the end of 2001, on a riskadjusted basis, relative to a benchmark index (Hermes Financial Index).
The tests showed that all mutual funds were defensive in relation to the benchmark, as
indicated by their betas, standard deviation and mean returns. However, all four
performance evaluation measures showed significant underperformance of funds
returns relative to the benchmark.
The tests were conducted using gross returns of the funds and there was a clear
indication that if net returns, after accounting for transactions costs and management
fees, were to be considered, the underperformance will be further aggravated.
The overall conclusion is that, despite the fact that the Egyptian market has a clear
departure from Semi-strong efficient market hypothesis; mutual funds were unable to
exploit the opportunities that might exist and outperform a passive strategy.
One major reason for underperformance might be the relatively high risk-free interest
rate within the Egyptian market that favours the banking system as a channel of funds
over the stock exchange.
This, probably, made it difficult for funds to produce any significant outperforming
results.
Page 89
6.3.
Limitations
6.3.1. Market Efficiency
During the study of market efficiency, a number of limitations were uncovered, which
are detailed below.
The Concentration nature of equities trading within the Egyptian market results in a
relatively small number of securities being actively traded. (The 30 most actively
traded stocks accounted for 82.26% of total value traded as at June 2001). (CASEFB,
2001)
Another difficulty, was that many of the companies that are actively traded were
either recently listed on the exchange or had no previous corporate actions during the
period of the test.
These two factors had the effect of limiting the number of securities analysed during
the test.
In addition, a difficulty was encountered in relation to the collection of historic data
about the daily values of index and securities prices as most of the daily series were
found for the period after 1st January 2000. For the period prior to that date, the only
data available were for weekly series.
Hence, the Beta calculation for the securities analysed were based on a relatively
smaller sample of weekly series from 2nd of January 1998 until 24th December 1999.
Page 90
Finally, historic data relating to the various corporate actions studied (Dividends and
acquisitions) were not available electronically and, therefore, had to be collected
manually. A procedure that was both time and effort consuming and slightly
contributed to lowering the number of securities analysed.
However, and despite the manual collection process of some parts of the data, it is
trusted that the high accuracy of data collected and the representative number of
securities analysed should help to draw valid conclusions.
6.3.2. Mutual Funds Performance
The following limitations were encountered during the conduct of the analysis relating
to the evaluation of the performance of mutual funds within the Egyptian market:
Mutual funds in Egypt are relatively new with short history of performance. This has
limited the data available for statistical analysis.
Within the Egyptian market, comprehensive information about funds performance is
considered a privilege to subscribers with the duty of the funds only to provide
periodic reports to the monitoring body (The Capital Market Authority).
Therefore, and as a matter of market practice, only Net Asset Values (NAV) are
publicly available, in most cases, on annual basis.
The unavailability of a bond index within the Egyptian market, due to the immature
nature of the debt market, introduced a difficulty to use a multifactor model to assess
Page 91
the performance of mixed funds that include debt instruments, in addition to equities,
in their portfolios composition.
Hence, the performance of mutual funds was merely evaluated against a stock index
(Hermes Financial Index).
6.4.
Recommendations
Based on the above findings, a number of recommendations can be made. These are:
•
as the conclusions have indicated a possible information leakage prior
to the announcement dates of various corporate actions, a review of
current insider trading regulations and/or the means to enact them in a
more effective manner should be considered;
•
it would seem that the daily price limit imposed by the stock exchange
had a significant effect on the speed of adjustment of securities prices
to their new fair values and, hence, provided opportunities for
uninformed investors to profit form trading by simply observing the
price behaviour without any actual analytical effort.
Therefore, the issue of having a price limit should be re-evaluated by
the exchange for the possible abolition. This should have the effect of
reducing uninformed market speculation, which has resulted in
inflating the prices of securities without any fundamental support on
several occasions in the past;
Page 92
•
conclusions have also indicated the effect of high Risk-free interest
rate on the performance of institutional investors and although, on
absolute measures, many mutual funds were able to perform better than
the benchmark, the effect of high risk-free rate made it difficult for any
fund to outperform the benchmark on a risk-adjusted basis.
Therefore, if professional investors are to continue to attract
investments and channel funds through the exchange, it would seem
necessary to re-evaluate the level of risk-free interest rate for possible
reduction.
This final recommendation has other benefits to the economy as a
whole, of which the nature and magnitudes are outside the scope of this
study.
6.5.
Suggestions for Further Research
The course of this study has outlined a number of areas that could be explored by
further research. These include:
•
the need to evaluate mutual funds performance more comprehensively
when more and sufficient data become available;
•
in addition to CAPM based measures of evaluation, other measures
need to be considered to provide a more comprehensive and objective
evaluation of mutual funds performance. (For example, Market
Timing, Performance Attribution and Arbitrage Pricing Theory based
techniques);
Page 93
•
the need to evaluate the efficiency of the debt market when it shows
healthy signs of development and whether active management
techniques may payoff in such a market;
•
another related research area is the need to evaluate mutual funds
performance using multifactor models to gauge the performance of
mixed funds that use equity and debt instruments in their portfolio
composition. This can be done by considering the sensitivity of returns
of mutual funds to a bond index in addition to an equities index.
Apparently, this can be done only after a bond index has been
developed, which is contingent upon the development of the debt
market in Egypt.
Page 94
Appendix A
Current Listing Requirements
Source: Cairo and Alexandria Stock Exchanges Fact Book, 2001
Page 95
Proposed Listing Requirements
Source: Cairo and Alexandria Stock Exchanges Fact Book, 2001
Page 96
Appendix B
The calculations of the various risk measures for each security analysed were based
on the following:
•
the benchmark used for measuring securities’ sensitivities against is the
Herms Financial Index (HFI);
•
the calculations were based on the weekly returns of the index and the
securities for the period from the beginning of January 1998 until the
end of December 1999;
•
calculations were based on 104 weekly observations of index values
and securities prices starting from 2nd of January 1998 until 24th
December 1999;
•
In the calculation, continuous compounding of both index and
securities returns was assumed. This can be shown by the following
mathematical formulae:
rI = ln (Vt / Vt-1)
(4.1.1)
ri = ln (Pt / Pt-1)
(4.1.2)
Where,
rI
index return
Vt
index value at date t
Vt-1
index value at date t-1
ri
return on security i
Pt
security price at date t
Pt-1
security price at date t-1
Page 97
ln
natural logarithm for value calculated
In the following tables, the formulae utilised for calculating the various risk measures
were (Sharpe, Alexander and Bailey, 1999):
· Beta
∑X)2]
= [(T * ∑XY) – (∑
∑Y * ∑X)] / [(T * ∑X2) – (∑
(4.1.3)
· Alpha
= [∑
∑Y/T] – [Beta * (∑
∑X/T)]
(4.1.4)
· Standard Deviation of Random Error Term (Residual Volatility)
= {[∑
∑Y2 – (Alpha * ∑Y) – (Beta * ∑XY)] / [T – 2]}1/2
(4.1.5)
· Standard Error of Beta
∑X)2 / T]}1/2
= Residual Volatility / {∑
∑X2 – [(∑
(4.1.6)
· Standard Error of Alpha
= Residual Volatility / {T – [(∑
∑X)2 / ∑X2]}1/2
(4.1.7)
· Correlation Coefficient
(T * ∑XY) – (∑
∑Y * ∑X)
=
(4.1.8)
{[(T * ∑Y2) – (∑
∑Y)2] * [(T * ∑X2) – (∑
∑X)2]}1/2
· Coefficient of Determination (R2)
= (Correlation Coefficient)2
(4.1.9)
· Coefficient of Nondetermination
= 1 – Coefficient of Determination
(4.1.10)
The following are the detailed calculations of the various risk measures for the
securities analysed.
Page 98
Commercial International Bank CIB
Date
02/01/1998
09/01/1998
16/01/1998
23/01/1998
30/01/1998
06/02/1998
13/02/1998
20/02/1998
27/02/1998
06/03/1998
13/03/1998
20/03/1998
27/03/1998
03/04/1998
10/04/1998
17/04/1998
24/04/1998
01/05/1998
08/05/1998
15/05/1998
22/05/1998
29/05/1998
05/06/1998
12/06/1998
19/06/1998
26/06/1998
03/07/1998
10/07/1998
17/07/1998
24/07/1998
31/07/1998
07/08/1998
14/08/1998
21/08/1998
28/08/1998
04/09/1998
11/09/1998
18/09/1998
25/09/1998
02/10/1998
09/10/1998
16/10/1998
23/10/1998
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns (X)2
(X) =ln (Vt / Vt-1)
(Y) =ln (Pt / Pt-1)
%
%
12405.40
12227.30 0.985643
12066.30 0.986833
11875.60 0.984196
11619.70 0.978452
11521.00 0.991506
11485.70 0.996936
11541.10 1.004823
11522.70 0.998406
11719.50 1.017079
11772.60 1.004531
11885.70 1.009607
12002.60 1.009835
11976.00 0.997784
11989.00 1.001086
11954.90 0.997156
11824.20 0.989067
11769.60 0.995382
11595.90 0.985242
11295.60 0.974103
11123.40 0.984755
10734.30 0.965020
10454.80 0.973962
10664.80 1.020086
10321.70 0.967829
10300.30 0.997927
10020.40 0.972826
9821.99 0.980199
9709.95 0.988593
9952.34 1.024963
10102.20 1.015058
9862.74 0.976296
9664.70 0.979920
9343.16 0.966730
9011.08 0.964457
9490.19 1.053169
9503.97 1.001452
9533.42 1.003099
9566.63 1.003484
9589.12 1.002351
9432.51 0.983668
9439.63 1.000755
9346.40 0.990124
-1.45
-1.33
-1.59
-2.18
-0.85
-0.31
0.48
-0.16
1.69
0.45
0.96
0.98
-0.22
0.11
-0.28
-1.10
-0.46
-1.49
-2.62
-1.54
-3.56
-2.64
1.99
-3.27
-0.21
-2.76
-2.00
-1.15
2.47
1.49
-2.40
-2.03
-3.38
-3.62
5.18
0.15
0.31
0.35
0.23
-1.65
0.08
-0.99
52.98
51.93 0.980181
51.70 0.995571
51.47 0.995551
47.48 0.922479
48.10 1.013058
45.81 0.952391
44.29 0.966819
43.95 0.992323
44.87 1.020933
44.92 1.001114
46.78 1.041407
47.35 1.012185
48.40 1.022175
47.93 0.990289
48.14 1.004381
44.88 0.932281
45.12 1.005348
41.17 0.912456
39.65 0.963080
40.43 1.019672
39.84 0.985407
39.46 0.990462
40.40 1.023822
38.15 0.944307
39.03 1.023067
37.69 0.965667
37.40 0.992306
37.49 1.002406
37.52 1.000800
37.29 0.993870
33.97 0.910968
32.71 0.962908
29.78 0.910425
26.68 0.895903
30.26 1.134183
32.01 1.057832
32.77 1.023743
32.02 0.977113
31.88 0.995628
30.49 0.956399
28.87 0.946868
28.91 1.001386
-2.00
-0.44
-0.45
-8.07
1.30
-4.88
-3.37
-0.77
2.07
0.11
4.06
1.21
2.19
-0.98
0.44
-7.01
0.53
-9.16
-3.76
1.95
-1.47
-0.96
2.35
-5.73
2.28
-3.49
-0.77
0.24
0.08
-0.61
-9.32
-3.78
-9.38
-10.99
12.59
5.62
2.35
-2.32
-0.44
-4.46
-5.46
0.14
(Y)2
2.09
4.01
1.76
0.20
2.54
0.20
4.75 65.11
0.73
1.68
0.09 23.79
0.23 11.39
0.03
0.59
2.87
4.29
0.20
0.01
0.91 16.46
0.96
1.47
0.05
4.81
0.01
0.95
0.08
0.19
1.21 49.17
0.21
0.28
2.21 83.93
6.88 14.15
2.36
3.80
12.68
2.16
6.96
0.92
3.96
5.54
10.69 32.84
0.04
5.20
7.59 12.21
4.00
0.60
1.32
0.06
6.08
0.01
2.23
0.38
5.75 86.95
4.11 14.29
11.45 88.07
13.10 120.83
26.84 158.54
0.02 31.61
0.10
5.51
0.12
5.36
0.06
0.19
2.71 19.87
0.01 29.81
0.99
0.02
Page 99
(X*Y)
2.89
0.59
0.71
17.58
-1.11
1.50
-1.62
0.12
3.51
0.05
3.88
1.19
-0.49
-0.11
-0.12
7.71
-0.25
13.62
9.87
-2.99
5.23
2.53
4.68
18.74
-0.47
9.62
1.54
-0.28
0.20
-0.92
22.37
7.67
31.75
39.78
65.23
0.82
0.73
-0.81
-0.10
7.34
-0.41
-0.14
30/10/1998
06/11/1998
13/11/1998
20/11/1998
27/11/1998
04/12/1998
11/12/1998
18/12/1998
25/12/1998
01/01/1999
08/01/1999
15/01/1999
22/01/1999
29/01/1999
05/02/1999
12/02/1999
19/02/1999
26/02/1999
05/03/1999
12/03/1999
19/03/1999
26/03/1999
02/04/1999
09/04/1999
16/04/1999
23/04/1999
30/04/1999
07/05/1999
14/05/1999
21/05/1999
28/05/1999
04/06/1999
11/06/1999
18/06/1999
25/06/1999
02/07/1999
09/07/1999
16/07/1999
23/07/1999
30/07/1999
06/08/1999
13/08/1999
20/08/1999
27/08/1999
03/09/1999
10/09/1999
17/09/1999
24/09/1999
01/10/1999
08/10/1999
15/10/1999
9184.68 0.982697
9132.23 0.994289
9178.22 1.005036
9171.60 0.999279
9068.02 0.988706
9026.21 0.995389
8890.94 0.985014
9025.75 1.015163
9068.91 1.004782
9141.83 1.008041
9838.73 1.076232
9899.59 1.006186
10161.40 1.026447
11057.90 1.088226
10945.90 0.989871
10536.20 0.962570
10717.70 1.017226
10551.00 0.984446
10398.60 0.985556
10412.00 1.001289
10276.50 0.986986
10313.60 1.003610
10349.30 1.003461
10249.40 0.990347
10264.50 1.001473
10382.40 1.011486
10144.30 0.977067
10272.40 1.012628
10154.00 0.988474
10120.50 0.996701
9865.98 0.974851
9770.53 0.990325
10073.70 1.031029
9891.66 0.981929
10261.50 1.037389
9952.82 0.969919
9956.00 1.000320
10121.70 1.016643
9819.62 0.970155
9719.97 0.989852
9532.29 0.980691
9350.49 0.980928
9441.02 1.009682
9353.39 0.990718
9286.50 0.992849
9238.43 0.994824
9365.83 1.013790
9633.55 1.028585
9644.66 1.001153
10084.30 1.045584
10673.40 1.058418
-1.75
-0.57
0.50
-0.07
-1.14
-0.46
-1.51
1.50
0.48
0.80
7.35
0.62
2.61
8.45
-1.02
-3.81
1.71
-1.57
-1.45
0.13
-1.31
0.36
0.35
-0.97
0.15
1.14
-2.32
1.25
-1.16
-0.33
-2.55
-0.97
3.06
-1.82
3.67
-3.05
0.03
1.65
-3.03
-1.02
-1.95
-1.93
0.96
-0.93
-0.72
-0.52
1.37
2.82
0.12
4.46
5.68
27.65 0.956416
28.72 1.038698
28.23 0.982939
28.07 0.994332
27.42 0.976844
26.63 0.971189
25.38 0.953060
26.37 1.039007
26.08 0.989003
26.98 1.034509
31.58 1.170497
31.67 1.002850
32.57 1.028418
36.63 1.124655
37.36 1.019929
37.17 0.994914
38.74 1.042238
37.36 0.964378
35.02 0.937366
34.92 0.997144
34.98 1.001718
34.72 0.992567
35.20 1.013825
34.80 0.988636
35.43 1.018103
34.83 0.983065
33.97 0.975309
34.58 1.017957
34.25 0.990457
33.22 0.969927
31.79 0.956954
30.74 0.966971
32.07 1.043266
31.55 0.983785
31.35 0.993661
30.79 0.982137
30.63 0.994804
30.83 1.006530
30.50 0.989296
30.77 1.008852
30.23 0.982450
29.00 0.959312
30.01 1.034828
29.44 0.981006
29.29 0.994905
29.24 0.998293
30.71 1.050274
32.84 1.069359
32.57 0.991778
36.62 1.124348
40.53 1.106772
-4.46
3.80
-1.72
-0.57
-2.34
-2.92
-4.81
3.83
-1.11
3.39
15.74
0.28
2.80
11.75
1.97
-0.51
4.14
-3.63
-6.47
-0.29
0.17
-0.75
1.37
-1.14
1.79
-1.71
-2.50
1.78
-0.96
-3.05
-4.40
-3.36
4.24
-1.63
-0.64
-1.80
-0.52
0.65
-1.08
0.88
-1.77
-4.15
3.42
-1.92
-0.51
-0.17
4.91
6.71
-0.83
11.72
10.14
3.05
0.33
0.25
0.01
1.29
0.21
2.28
2.26
0.23
0.64
53.97
0.38
6.81
71.49
1.04
14.55
2.92
2.46
2.12
0.02
1.72
0.13
0.12
0.94
0.02
1.30
5.38
1.57
1.34
0.11
6.49
0.95
9.34
3.33
13.47
9.33
0.00
2.72
9.18
1.04
3.80
3.71
0.93
0.87
0.52
0.27
1.88
7.94
0.01
19.87
32.23
19.86
7.78
14.42 -2.17
2.96 -0.86
0.32
0.04
5.49
2.66
8.55
1.35
23.11
7.26
14.64
5.76
1.22 -0.53
11.51
2.72
247.84 115.66
0.08
0.18
7.85
7.31
138.01 99.32
3.89 -2.01
0.26
1.95
17.12
7.07
13.16
5.69
41.84
9.41
0.08 -0.04
0.03 -0.22
0.56 -0.27
1.89
0.47
1.31
1.11
3.22
0.26
2.92 -1.95
6.25
5.80
3.17
2.23
0.92
1.11
9.32
1.01
19.36 11.21
11.28
3.27
17.94 12.94
2.67
2.98
0.40 -2.33
3.25
5.51
0.27 -0.02
0.42
1.07
1.16
3.26
0.78 -0.90
3.13
3.45
17.25
8.00
11.72
3.30
3.68
1.79
0.26
0.37
0.03
0.09
24.06
6.72
44.97 18.90
0.68 -0.10
137.37 52.24
102.92 57.60
Page 100
22/10/1999
29/10/1999
05/11/1999
12/11/1999
19/11/1999
26/11/1999
03/12/1999
10/12/1999
17/12/1999
24/12/1999
10192.30 0.954925
10382.80 1.018691
10475.50 1.008928
10715.10 1.022872
10771.40 1.005254
11042.20 1.025141
11522.50 1.043497
13386.90 1.161805
12357.80 0.923126
12152.40 0.983379
-4.61
1.85
0.89
2.26
0.52
2.48
4.26
15.00
-8.00
-1.68
Sum
-2.06
Beta
Alpha %
Std. Dev. Of Rndm Error Term %
Std. Error of Beta
Std. Error of Alpha
Correlation Coefficient
Coefficient of Determination
Coefficient of Nondetermination
1.45
-0.06
3.12
0.062
0.174
0.80
0.63
0.37
36.43 0.898840
41.23 1.131760
41.00 0.994422
42.56 1.038049
41.81 0.982378
43.57 1.042095
42.28 0.970392
51.10 1.208609
46.57 0.911350
48.27 1.036504
-10.66 21.27 113.74 49.19
12.38 3.43 153.20 22.92
-0.56 0.79
0.31 -0.50
3.73 5.11 13.94
8.44
-1.78 0.27
3.16 -0.93
4.12 6.17 17.00 10.24
-3.01 18.13
9.03 -12.80
18.95 224.92 358.99 284.16
-9.28 63.98 86.17 74.25
3.59 2.81 12.85 -6.01
-9.31 804.67 2681.23 1168.03
Page 101
Egyptian American Bank
Date
02/01/1998
09/01/1998
16/01/1998
23/01/1998
30/01/1998
06/02/1998
13/02/1998
20/02/1998
27/02/1998
06/03/1998
13/03/1998
20/03/1998
27/03/1998
03/04/1998
10/04/1998
17/04/1998
24/04/1998
01/05/1998
08/05/1998
15/05/1998
22/05/1998
29/05/1998
05/06/1998
12/06/1998
19/06/1998
26/06/1998
03/07/1998
10/07/1998
17/07/1998
24/07/1998
31/07/1998
07/08/1998
14/08/1998
21/08/1998
28/08/1998
04/09/1998
11/09/1998
18/09/1998
25/09/1998
02/10/1998
09/10/1998
16/10/1998
23/10/1998
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns (X)2
(X) =ln (Vt / Vt-1)
(Y) =ln (Pt / Pt-1)
%
%
12405.40
12227.30 0.985643
12066.30 0.986833
11875.60 0.984196
11619.70 0.978452
11521.00 0.991506
11485.70 0.996936
11541.10 1.004823
11522.70 0.998406
11719.50 1.017079
11772.60 1.004531
11885.70 1.009607
12002.60 1.009835
11976.00 0.997784
11989.00 1.001086
11954.90 0.997156
11824.20 0.989067
11769.60 0.995382
11595.90 0.985242
11295.60 0.974103
11123.40 0.984755
10734.30 0.965020
10454.80 0.973962
10664.80 1.020086
10321.70 0.967829
10300.30 0.997927
10020.40 0.972826
9821.99 0.980199
9709.95 0.988593
9952.34 1.024963
10102.20 1.015058
9862.74 0.976296
9664.70 0.979920
9343.16 0.966730
9011.08 0.964457
9490.19 1.053169
9503.97 1.001452
9533.42 1.003099
9566.63 1.003484
9589.12 1.002351
9432.51 0.983668
9439.63 1.000755
9346.40 0.990124
-1.45
-1.33
-1.59
-2.18
-0.85
-0.31
0.48
-0.16
1.69
0.45
0.96
0.98
-0.22
0.11
-0.28
-1.10
-0.46
-1.49
-2.62
-1.54
-3.56
-2.64
1.99
-3.27
-0.21
-2.76
-2.00
-1.15
2.47
1.49
-2.40
-2.03
-3.38
-3.62
5.18
0.15
0.31
0.35
0.23
-1.65
0.08
-0.99
87.58
86.87 0.991893
82.26 0.946932
81.72 0.993435
76.00 0.930005
78.37 1.031184
78.32 0.999362
76.02 0.970633
72.62 0.955275
76.29 1.050537
76.57 1.003670
75.77 0.989552
77.07 1.017157
77.38 1.004022
77.93 1.007108
75.80 0.972668
73.81 0.973747
72.49 0.982116
69.09 0.953097
63.91 0.925025
63.52 0.993898
60.59 0.953873
56.69 0.935633
58.25 1.027518
53.18 0.912961
55.88 1.050771
52.03 0.931102
49.92 0.959446
48.02 0.961939
50.12 1.043732
50.44 1.006385
47.56 0.942902
45.94 0.965938
42.67 0.928820
41.57 0.974221
47.29 1.137599
47.34 1.001057
52.11 1.100760
51.67 0.991556
55.54 1.074898
52.32 0.942024
50.72 0.969419
53.44 1.053628
-0.81
-5.45
-0.66
-7.26
3.07
-0.06
-2.98
-4.58
4.93
0.37
-1.05
1.70
0.40
0.71
-2.77
-2.66
-1.80
-4.80
-7.79
-0.61
-4.72
-6.65
2.71
-9.11
4.95
-7.14
-4.14
-3.88
4.28
0.64
-5.88
-3.47
-7.38
-2.61
12.89
0.11
9.60
-0.85
7.22
-5.97
-3.11
5.22
(Y)2 (X*Y)
2.09
0.66 1.18
1.76 29.73 7.23
2.54
0.43 1.05
4.75 52.66 15.81
0.73
9.43 -2.62
0.09
0.00 0.02
0.23
8.88 -1.43
0.03 20.94 0.73
2.87 24.31 8.35
0.20
0.13 0.17
0.91
1.10 -1.00
0.96
2.89 1.66
0.05
0.16 -0.09
0.01
0.50 0.08
0.08
7.68 0.79
1.21
7.08 2.92
0.21
3.26 0.84
2.21 23.08 7.14
6.88 60.74 20.45
2.36
0.37 0.94
12.68 22.30 16.82
6.96 44.27 17.55
3.96
7.37 5.40
10.69 82.92 29.78
0.04 24.53 -1.03
7.59 50.96 19.67
4.00 17.14 8.28
1.32 15.06 4.45
6.08 18.32 10.55
2.23
0.41 0.95
5.75 34.57 14.10
4.11 12.01 7.03
11.45 54.52 24.98
13.10
6.82 9.45
26.84 166.20 66.79
0.02
0.01 0.02
0.10 92.16 2.97
0.12
0.72 -0.29
0.06 52.17 1.70
2.71 35.67 9.83
0.01
9.65 -0.23
0.99 27.29 -5.19
Page 102
30/10/1998
06/11/1998
13/11/1998
20/11/1998
27/11/1998
04/12/1998
11/12/1998
18/12/1998
25/12/1998
01/01/1999
08/01/1999
15/01/1999
22/01/1999
29/01/1999
05/02/1999
12/02/1999
19/02/1999
26/02/1999
05/03/1999
12/03/1999
19/03/1999
26/03/1999
02/04/1999
09/04/1999
16/04/1999
23/04/1999
30/04/1999
07/05/1999
14/05/1999
21/05/1999
28/05/1999
04/06/1999
11/06/1999
18/06/1999
25/06/1999
02/07/1999
09/07/1999
16/07/1999
23/07/1999
30/07/1999
06/08/1999
13/08/1999
20/08/1999
27/08/1999
03/09/1999
10/09/1999
17/09/1999
24/09/1999
01/10/1999
08/10/1999
15/10/1999
9184.68 0.982697
9132.23 0.994289
9178.22 1.005036
9171.60 0.999279
9068.02 0.988706
9026.21 0.995389
8890.94 0.985014
9025.75 1.015163
9068.91 1.004782
9141.83 1.008041
9838.73 1.076232
9899.59 1.006186
10161.40 1.026447
11057.90 1.088226
10945.90 0.989871
10536.20 0.962570
10717.70 1.017226
10551.00 0.984446
10398.60 0.985556
10412.00 1.001289
10276.50 0.986986
10313.60 1.003610
10349.30 1.003461
10249.40 0.990347
10264.50 1.001473
10382.40 1.011486
10144.30 0.977067
10272.40 1.012628
10154.00 0.988474
10120.50 0.996701
9865.98 0.974851
9770.53 0.990325
10073.70 1.031029
9891.66 0.981929
10261.50 1.037389
9952.82 0.969919
9956.00 1.000320
10121.70 1.016643
9819.62 0.970155
9719.97 0.989852
9532.29 0.980691
9350.49 0.980928
9441.02 1.009682
9353.39 0.990718
9286.50 0.992849
9238.43 0.994824
9365.83 1.013790
9633.55 1.028585
9644.66 1.001153
10084.30 1.045584
10673.40 1.058418
-1.75
-0.57
0.50
-0.07
-1.14
-0.46
-1.51
1.50
0.48
0.80
7.35
0.62
2.61
8.45
-1.02
-3.81
1.71
-1.57
-1.45
0.13
-1.31
0.36
0.35
-0.97
0.15
1.14
-2.32
1.25
-1.16
-0.33
-2.55
-0.97
3.06
-1.82
3.67
-3.05
0.03
1.65
-3.03
-1.02
-1.95
-1.93
0.96
-0.93
-0.72
-0.52
1.37
2.82
0.12
4.46
5.68
52.73 0.986714
52.01 0.986346
51.57 0.991540
51.63 1.001163
46.96 0.909549
46.59 0.992121
48.11 1.032625
48.10 0.999792
47.24 0.982121
48.96 1.036410
54.16 1.106209
56.00 1.033973
57.25 1.022321
60.17 1.051004
56.39 0.937178
53.60 0.950523
53.54 0.998881
52.63 0.983003
51.98 0.987650
48.65 0.935937
47.16 0.969373
48.51 1.028626
49.04 1.010926
50.23 1.024266
50.93 1.013936
50.46 0.990772
48.72 0.965517
47.00 0.964696
48.96 1.041702
48.91 0.998979
47.09 0.962789
46.18 0.980675
46.55 1.008012
46.00 0.988185
45.18 0.982174
44.97 0.995352
45.52 1.012230
45.35 0.996265
42.31 0.932966
44.81 1.059088
42.53 0.949119
44.05 1.035739
44.23 1.004086
44.61 1.008591
44.29 0.992827
44.28 0.999774
46.11 1.041328
47.06 1.020603
46.99 0.998513
49.03 1.043413
51.91 1.058740
-1.34
-1.37
-0.85
0.12
-9.48
-0.79
3.21
-0.02
-1.80
3.58
10.09
3.34
2.21
4.97
-6.49
-5.07
-0.11
-1.71
-1.24
-6.62
-3.11
2.82
1.09
2.40
1.38
-0.93
-3.51
-3.59
4.09
-0.10
-3.79
-1.95
0.80
-1.19
-1.80
-0.47
1.22
-0.37
-6.94
5.74
-5.22
3.51
0.41
0.86
-0.72
-0.02
4.05
2.04
-0.15
4.25
5.71
3.05
1.79 2.33
0.33
1.89 0.79
0.25
0.72 -0.43
0.01
0.01 -0.01
1.29 89.88 10.77
0.21
0.63 0.37
2.28 10.31 -4.85
2.26
0.00 -0.03
0.23
3.25 -0.86
0.64 12.79 2.86
53.97 101.89 74.16
0.38 11.16 2.06
6.81
4.87 5.76
71.49 24.75 42.06
1.04 42.10 6.61
14.55 25.75 19.36
2.92
0.01 -0.19
2.46
2.94 2.69
2.12
1.54 1.81
0.02 43.83 -0.85
1.72
9.68 4.07
0.13
7.97 1.02
0.12
1.18 0.38
0.94
5.75 -2.33
0.02
1.92 0.20
1.30
0.86 -1.06
5.38 12.31 8.14
1.57 12.92 -4.51
1.34 16.69 -4.74
0.11
0.01 0.03
6.49 14.38 9.66
0.95
3.81 1.90
9.34
0.64 2.44
3.33
1.41 2.17
13.47
3.24 -6.60
9.33
0.22 1.42
0.00
1.48 0.04
2.72
0.14 -0.62
9.18 48.15 21.02
1.04 32.96 -5.86
3.80 27.27 10.18
3.71 12.33 -6.76
0.93
0.17 0.39
0.87
0.73 -0.80
0.52
0.52 0.52
0.27
0.00 0.01
1.88 16.40 5.55
7.94
4.16 5.75
0.01
0.02 -0.02
19.87 18.06 18.94
32.23 32.58 32.41
Page 103
22/10/1999
29/10/1999
05/11/1999
12/11/1999
19/11/1999
26/11/1999
03/12/1999
10/12/1999
17/12/1999
24/12/1999
10192.30 0.954925
10382.80 1.018691
10475.50 1.008928
10715.10 1.022872
10771.40 1.005254
11042.20 1.025141
11522.50 1.043497
13386.90 1.161805
12357.80 0.923126
12152.40 0.983379
-4.61
1.85
0.89
2.26
0.52
2.48
4.26
15.00
-8.00
-1.68
Sum
-2.06
Beta
Alpha %
Std. Dev. Of Rndm Error Term %
Std. Error of Beta
Std. Error of Alpha
Correlation Coefficient
Coefficient of Determination
Coefficient of Nondetermination
1.18
-0.40
3.38
0.065
0.181
0.70
0.49
0.51
51.30 0.988249
52.57 1.024756
53.02 1.008560
55.06 1.038476
56.38 1.023974
54.87 0.973217
56.50 1.029707
65.55 1.160177
54.79 0.835850
56.80 1.036686
-1.18 21.27
1.40 5.45
2.45 3.43
5.98 4.53
0.85 0.79
0.73 0.76
3.78 5.11 14.25 8.54
2.37 0.27
5.61 1.24
-2.71 6.17
7.37 -6.74
2.93 18.13
8.57 12.46
14.86 224.92 220.74 222.82
-17.93 63.98 321.50 143.43
3.60 2.81 12.98 -6.04
-43.30 804.67 2296.28 951.58
Page 104
Misr International Bank MIBANK
Date
02/01/1998
09/01/1998
16/01/1998
23/01/1998
30/01/1998
06/02/1998
13/02/1998
20/02/1998
27/02/1998
06/03/1998
13/03/1998
20/03/1998
27/03/1998
03/04/1998
10/04/1998
17/04/1998
24/04/1998
01/05/1998
08/05/1998
15/05/1998
22/05/1998
29/05/1998
05/06/1998
12/06/1998
19/06/1998
26/06/1998
03/07/1998
10/07/1998
17/07/1998
24/07/1998
31/07/1998
07/08/1998
14/08/1998
21/08/1998
28/08/1998
04/09/1998
11/09/1998
18/09/1998
25/09/1998
02/10/1998
09/10/1998
16/10/1998
23/10/1998
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns (X)2
(X) =ln (Vt / Vt-1)
(Y) =ln (Pt / Pt-1)
%
%
12405.40
12227.30 0.985643
12066.30 0.986833
11875.60 0.984196
11619.70 0.978452
11521.00 0.991506
11485.70 0.996936
11541.10 1.004823
11522.70 0.998406
11719.50 1.017079
11772.60 1.004531
11885.70 1.009607
12002.60 1.009835
11976.00 0.997784
11989.00 1.001086
11954.90 0.997156
11824.20 0.989067
11769.60 0.995382
11595.90 0.985242
11295.60 0.974103
11123.40 0.984755
10734.30 0.965020
10454.80 0.973962
10664.80 1.020086
10321.70 0.967829
10300.30 0.997927
10020.40 0.972826
9821.99 0.980199
9709.95 0.988593
9952.34 1.024963
10102.20 1.015058
9862.74 0.976296
9664.70 0.979920
9343.16 0.966730
9011.08 0.964457
9490.19 1.053169
9503.97 1.001452
9533.42 1.003099
9566.63 1.003484
9589.12 1.002351
9432.51 0.983668
9439.63 1.000755
9346.40 0.990124
-1.45
-1.33
-1.59
-2.18
-0.85
-0.31
0.48
-0.16
1.69
0.45
0.96
0.98
-0.22
0.11
-0.28
-1.10
-0.46
-1.49
-2.62
-1.54
-3.56
-2.64
1.99
-3.27
-0.21
-2.76
-2.00
-1.15
2.47
1.49
-2.40
-2.03
-3.38
-3.62
5.18
0.15
0.31
0.35
0.23
-1.65
0.08
-0.99
81.44
81.92 1.005894
81.60 0.996094
80.98 0.992451
75.10 0.927294
72.95 0.971450
72.66 0.996052
69.54 0.957063
70.89 1.019326
72.69 1.025392
74.12 1.019701
75.09 1.013060
75.18 1.001278
74.88 0.995957
72.90 0.973611
72.90 0.999890
71.89 0.986172
70.18 0.976296
70.55 1.005243
66.67 0.945005
67.37 1.010439
65.99 0.979575
64.99 0.984847
65.68 1.010586
63.09 0.960536
65.14 1.032463
63.99 0.982437
64.00 1.000125
62.65 0.978875
64.54 1.030264
63.98 0.991200
61.22 0.956859
59.66 0.974647
58.63 0.982703
53.37 0.910220
57.14 1.070604
58.32 1.020722
58.18 0.997531
57.75 0.992712
57.59 0.997230
56.99 0.989582
56.87 0.997894
56.88 1.000141
0.59
-0.39
-0.76
-7.55
-2.90
-0.40
-4.39
1.91
2.51
1.95
1.30
0.13
-0.41
-2.67
-0.01
-1.39
-2.40
0.52
-5.66
1.04
-2.06
-1.53
1.05
-4.03
3.19
-1.77
0.01
-2.14
2.98
-0.88
-4.41
-2.57
-1.74
-9.41
6.82
2.05
-0.25
-0.73
-0.28
-1.05
-0.21
0.01
2.09
1.76
2.54
4.75
0.73
0.09
0.23
0.03
2.87
0.20
0.91
0.96
0.05
0.01
0.08
1.21
0.21
2.21
6.88
2.36
12.68
6.96
3.96
10.69
0.04
7.59
4.00
1.32
6.08
2.23
5.75
4.11
11.45
13.10
26.84
0.02
0.10
0.12
0.06
2.71
0.01
0.99
(Y)2
0.35
0.15
0.57
56.98
8.39
0.16
19.26
3.66
6.29
3.81
1.68
0.02
0.16
7.15
0.00
1.94
5.75
0.27
32.00
1.08
4.26
2.33
1.11
16.21
10.21
3.14
0.00
4.56
8.89
0.78
19.45
6.59
3.04
88.49
46.54
4.21
0.06
0.54
0.08
1.10
0.04
0.00
Page 105
(X*Y)
-0.85
0.52
1.21
16.44
2.47
0.12
-2.11
-0.31
4.25
0.88
1.24
0.13
0.09
-0.29
0.00
1.53
1.11
-0.78
14.84
-1.60
7.35
4.03
2.09
13.17
-0.66
4.88
-0.03
2.45
7.35
-1.32
10.58
5.21
5.90
34.04
35.34
0.30
-0.08
-0.25
-0.07
1.72
-0.02
-0.01
30/10/1998
06/11/1998
13/11/1998
20/11/1998
27/11/1998
04/12/1998
11/12/1998
18/12/1998
25/12/1998
01/01/1999
08/01/1999
15/01/1999
22/01/1999
29/01/1999
05/02/1999
12/02/1999
19/02/1999
26/02/1999
05/03/1999
12/03/1999
19/03/1999
26/03/1999
02/04/1999
09/04/1999
16/04/1999
23/04/1999
30/04/1999
07/05/1999
14/05/1999
21/05/1999
28/05/1999
04/06/1999
11/06/1999
18/06/1999
25/06/1999
02/07/1999
09/07/1999
16/07/1999
23/07/1999
30/07/1999
06/08/1999
13/08/1999
20/08/1999
27/08/1999
03/09/1999
10/09/1999
17/09/1999
24/09/1999
01/10/1999
08/10/1999
15/10/1999
9184.68 0.982697
9132.23 0.994289
9178.22 1.005036
9171.60 0.999279
9068.02 0.988706
9026.21 0.995389
8890.94 0.985014
9025.75 1.015163
9068.91 1.004782
9141.83 1.008041
9838.73 1.076232
9899.59 1.006186
10161.40 1.026447
11057.90 1.088226
10945.90 0.989871
10536.20 0.962570
10717.70 1.017226
10551.00 0.984446
10398.60 0.985556
10412.00 1.001289
10276.50 0.986986
10313.60 1.003610
10349.30 1.003461
10249.40 0.990347
10264.50 1.001473
10382.40 1.011486
10144.30 0.977067
10272.40 1.012628
10154.00 0.988474
10120.50 0.996701
9865.98 0.974851
9770.53 0.990325
10073.70 1.031029
9891.66 0.981929
10261.50 1.037389
9952.82 0.969919
9956.00 1.000320
10121.70 1.016643
9819.62 0.970155
9719.97 0.989852
9532.29 0.980691
9350.49 0.980928
9441.02 1.009682
9353.39 0.990718
9286.50 0.992849
9238.43 0.994824
9365.83 1.013790
9633.55 1.028585
9644.66 1.001153
10084.30 1.045584
10673.40 1.058418
-1.75
-0.57
0.50
-0.07
-1.14
-0.46
-1.51
1.50
0.48
0.80
7.35
0.62
2.61
8.45
-1.02
-3.81
1.71
-1.57
-1.45
0.13
-1.31
0.36
0.35
-0.97
0.15
1.14
-2.32
1.25
-1.16
-0.33
-2.55
-0.97
3.06
-1.82
3.67
-3.05
0.03
1.65
-3.03
-1.02
-1.95
-1.93
0.96
-0.93
-0.72
-0.52
1.37
2.82
0.12
4.46
5.68
52.90 0.930098
52.03 0.983517
52.73 1.013376
51.92 0.984676
49.70 0.957165
49.86 1.003381
50.23 1.007380
52.88 1.052715
51.47 0.973374
52.90 1.027666
61.34 1.159710
62.74 1.022692
65.48 1.043739
78.00 1.191203
80.82 1.036205
68.50 0.847570
75.18 1.097513
74.40 0.989572
69.31 0.931613
71.96 1.038204
71.60 0.994997
70.28 0.981564
71.14 1.012180
69.50 0.976946
66.54 0.957408
66.83 1.004449
63.89 0.955949
63.51 0.994115
63.66 1.002393
62.45 0.980900
60.60 0.970407
58.68 0.968317
60.34 1.028221
58.60 0.971228
56.83 0.969829
54.28 0.955096
54.44 1.002948
54.30 0.997355
54.94 1.011935
51.21 0.932003
50.26 0.981409
48.48 0.964661
48.53 1.000990
47.14 0.971480
47.16 1.000339
45.38 0.962341
46.40 1.022387
47.89 1.032069
47.26 0.986803
53.32 1.128322
59.29 1.111928
-7.25
-1.66
1.33
-1.54
-4.38
0.34
0.74
5.14
-2.70
2.73
14.82
2.24
4.28
17.50
3.56
-16.54
9.30
-1.05
-7.08
3.75
-0.50
-1.86
1.21
-2.33
-4.35
0.44
-4.51
-0.59
0.24
-1.93
-3.00
-3.22
2.78
-2.92
-3.06
-4.59
0.29
-0.26
1.19
-7.04
-1.88
-3.60
0.10
-2.89
0.03
-3.84
2.21
3.16
-1.33
12.07
10.61
3.05
0.33
0.25
0.01
1.29
0.21
2.28
2.26
0.23
0.64
53.97
0.38
6.81
71.49
1.04
14.55
2.92
2.46
2.12
0.02
1.72
0.13
0.12
0.94
0.02
1.30
5.38
1.57
1.34
0.11
6.49
0.95
9.34
3.33
13.47
9.33
0.00
2.72
9.18
1.04
3.80
3.71
0.93
0.87
0.52
0.27
1.88
7.94
0.01
19.87
32.23
52.51 12.65
2.76
0.95
1.77
0.67
2.38
0.11
19.17
4.97
0.11 -0.16
0.54 -1.11
26.39
7.73
7.28 -1.29
7.45
2.19
219.54 108.85
5.03
1.38
18.33 11.17
306.12 147.93
12.65 -3.62
273.51 63.09
86.58 15.89
1.10
1.64
50.18 10.31
14.06
0.48
0.25
0.66
3.46 -0.67
1.47
0.42
5.44
2.26
18.95 -0.64
0.20
0.51
20.30 10.45
0.35 -0.74
0.06 -0.28
3.72
0.64
9.02
7.65
10.37
3.13
7.75
8.50
8.52
5.32
9.39 -11.25
21.11 14.03
0.09
0.01
0.07 -0.44
1.41 -3.59
49.59
7.18
3.52
3.66
12.94
6.93
0.01
0.10
8.37
2.70
0.00 -0.02
14.74
1.99
4.90
3.03
9.96
8.90
1.76 -0.15
145.76 53.82
112.56 60.24
Page 106
22/10/1999
29/10/1999
05/11/1999
12/11/1999
19/11/1999
26/11/1999
03/12/1999
10/12/1999
17/12/1999
24/12/1999
10192.30 0.954925
10382.80 1.018691
10475.50 1.008928
10715.10 1.022872
10771.40 1.005254
11042.20 1.025141
11522.50 1.043497
13386.90 1.161805
12357.80 0.923126
12152.40 0.983379
-4.61
1.85
0.89
2.26
0.52
2.48
4.26
15.00
-8.00
-1.68
Sum
-2.06
Beta
Alpha %
Std. Dev. Of Rndm Error Term %
Std. Error of Beta
Std. Error of Alpha
Correlation Coefficient
Coefficient of Determination
Coefficient of Nondetermination
1.27
-0.36
3.14
0.062
0.174
0.75
0.57
0.43
55.17 0.930509
58.53 1.060905
59.04 1.008748
57.75 0.978184
57.59 0.997230
56.05 0.973191
56.50 1.008136
62.54 1.106754
55.60 0.889088
55.03 0.989784
-7.20 21.27 51.87 33.22
5.91 3.43 34.95 10.95
0.87 0.79
0.76
0.77
-2.21 5.11
4.87 -4.99
-0.28 0.27
0.08 -0.15
-2.72 6.17
7.38 -6.75
0.81 18.13
0.66
3.45
10.14 224.92 102.88 152.12
-11.76 63.98 138.20 94.03
-1.03 2.81
1.05
1.72
-39.20 804.67 2307.50 1023.46
Page 107
Ameryah Cement
Date
02/01/1998
09/01/1998
16/01/1998
23/01/1998
30/01/1998
06/02/1998
13/02/1998
20/02/1998
27/02/1998
06/03/1998
13/03/1998
20/03/1998
27/03/1998
03/04/1998
10/04/1998
17/04/1998
24/04/1998
01/05/1998
08/05/1998
15/05/1998
22/05/1998
29/05/1998
05/06/1998
12/06/1998
19/06/1998
26/06/1998
03/07/1998
10/07/1998
17/07/1998
24/07/1998
31/07/1998
07/08/1998
14/08/1998
21/08/1998
28/08/1998
04/09/1998
11/09/1998
18/09/1998
25/09/1998
02/10/1998
09/10/1998
16/10/1998
23/10/1998
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns (X)2
(X) =ln (Vt / Vt-1)
(Y) =ln (Pt / Pt-1)
%
%
12405.40
12227.30
12066.30
11875.60
11619.70
11521.00
11485.70
11541.10
11522.70
11719.50
11772.60
11885.70
12002.60
11976.00
11989.00
11954.90
11824.20
11769.60
11595.90
11295.60
11123.40
10734.30
10454.80
10664.80
10321.70
10300.30
10020.40
9821.99
9709.95
9952.34
10102.20
9862.74
9664.70
9343.16
9011.08
9490.19
9503.97
9533.42
9566.63
9589.12
9432.51
9439.63
9346.40
(Y)2 (X*Y)
79.42
0.985643
0.986833
0.984196
0.978452
0.991506
0.996936
1.004823
0.998406
1.017079
1.004531
1.009607
1.009835
0.997784
1.001086
0.997156
0.989067
0.995382
0.985242
0.974103
0.984755
0.965020
0.973962
1.020086
0.967829
0.997927
0.972826
0.980199
0.988593
1.024963
1.015058
0.976296
0.979920
0.966730
0.964457
1.053169
1.001452
1.003099
1.003484
1.002351
0.983668
1.000755
0.990124
-1.45
-1.33
-1.59
-2.18
-0.85
-0.31
0.48
-0.16
1.69
0.45
0.96
0.98
-0.22
0.11
-0.28
-1.10
-0.46
-1.49
-2.62
-1.54
-3.56
-2.64
1.99
-3.27
-0.21
-2.76
-2.00
-1.15
2.47
1.49
-2.40
-2.03
-3.38
-3.62
5.18
0.15
0.31
0.35
0.23
-1.65
0.08
-0.99
76.30 0.960715
74.02 0.970118
74.27 1.003377
73.42 0.988555
71.84 0.978480
72.21 1.005150
71.54 0.990722
71.02 0.992731
71.95 1.013095
70.99 0.986657
70.33 0.990703
70.53 1.002844
67.96 0.963562
69.80 1.027075
68.00 0.974212
67.72 0.995882
66.03 0.975044
66.44 1.006209
60.36 0.908489
59.08 0.978794
58.99 0.998477
59.03 1.000678
63.41 1.074200
56.61 0.892761
58.75 1.037803
57.07 0.971404
56.40 0.988260
54.41 0.964716
57.34 1.053850
55.17 0.962156
53.70 0.973355
53.65 0.999069
51.48 0.959553
50.57 0.982323
56.93 1.125766
56.22 0.987529
58.44 1.039488
58.19 0.995722
57.57 0.989345
57.09 0.991662
50.62 0.886670
51.09 1.009285
-4.01
-3.03
0.34
-1.15
-2.18
0.51
-0.93
-0.73
1.30
-1.34
-0.93
0.28
-3.71
2.67
-2.61
-0.41
-2.53
0.62
-9.60
-2.14
-0.15
0.07
7.16
-11.34
3.71
-2.90
-1.18
-3.59
5.25
-3.86
-2.70
-0.09
-4.13
-1.78
11.85
-1.25
3.87
-0.43
-1.07
-0.84
-12.03
0.92
2.09 16.06 5.80
1.76
9.20 4.02
2.54
0.11 -0.54
4.75
1.32 2.51
0.73
4.73 1.86
0.09
0.26 -0.16
0.23
0.87 -0.45
0.03
0.53 0.12
2.87
1.69 2.20
0.20
1.80 -0.61
0.91
0.87 -0.89
0.96
0.08 0.28
0.05 13.78 0.82
0.01
7.14 0.29
0.08
6.83 0.74
1.21
0.17 0.45
0.21
6.39 1.17
2.21
0.38 -0.92
6.88 92.11 25.18
2.36
4.59 3.29
12.68
0.02 0.54
6.96
0.00 -0.18
3.96 51.23 14.23
10.69 128.68 37.09
0.04 13.77 -0.77
7.59
8.42 7.99
4.00
1.39 2.36
1.32 12.90 4.12
6.08 27.51 12.93
2.23 14.88 -5.77
5.75
7.29 6.48
4.11
0.01 0.19
11.45 17.05 13.97
13.10
3.18 6.45
26.84 140.34 61.37
0.02
1.57 -0.18
0.10 15.00 1.20
0.12
0.18 -0.15
0.06
1.15 -0.25
2.71
0.70 1.38
0.01 144.68 -0.91
0.99
0.85 -0.92
Page 108
30/10/1998
06/11/1998
13/11/1998
20/11/1998
27/11/1998
04/12/1998
11/12/1998
18/12/1998
25/12/1998
01/01/1999
08/01/1999
15/01/1999
22/01/1999
29/01/1999
05/02/1999
12/02/1999
19/02/1999
26/02/1999
05/03/1999
12/03/1999
19/03/1999
26/03/1999
02/04/1999
09/04/1999
16/04/1999
23/04/1999
30/04/1999
07/05/1999
14/05/1999
21/05/1999
28/05/1999
04/06/1999
11/06/1999
18/06/1999
25/06/1999
02/07/1999
09/07/1999
16/07/1999
23/07/1999
30/07/1999
06/08/1999
13/08/1999
20/08/1999
27/08/1999
03/09/1999
10/09/1999
17/09/1999
24/09/1999
01/10/1999
08/10/1999
15/10/1999
9184.68
9132.23
9178.22
9171.60
9068.02
9026.21
8890.94
9025.75
9068.91
9141.83
9838.73
9899.59
10161.40
11057.90
10945.90
10536.20
10717.70
10551.00
10398.60
10412.00
10276.50
10313.60
10349.30
10249.40
10264.50
10382.40
10144.30
10272.40
10154.00
10120.50
9865.98
9770.53
10073.70
9891.66
10261.50
9952.82
9956.00
10121.70
9819.62
9719.97
9532.29
9350.49
9441.02
9353.39
9286.50
9238.43
9365.83
9633.55
9644.66
10084.30
10673.40
0.982697
0.994289
1.005036
0.999279
0.988706
0.995389
0.985014
1.015163
1.004782
1.008041
1.076232
1.006186
1.026447
1.088226
0.989871
0.962570
1.017226
0.984446
0.985556
1.001289
0.986986
1.003610
1.003461
0.990347
1.001473
1.011486
0.977067
1.012628
0.988474
0.996701
0.974851
0.990325
1.031029
0.981929
1.037389
0.969919
1.000320
1.016643
0.970155
0.989852
0.980691
0.980928
1.009682
0.990718
0.992849
0.994824
1.013790
1.028585
1.001153
1.045584
1.058418
-1.75
-0.57
0.50
-0.07
-1.14
-0.46
-1.51
1.50
0.48
0.80
7.35
0.62
2.61
8.45
-1.02
-3.81
1.71
-1.57
-1.45
0.13
-1.31
0.36
0.35
-0.97
0.15
1.14
-2.32
1.25
-1.16
-0.33
-2.55
-0.97
3.06
-1.82
3.67
-3.05
0.03
1.65
-3.03
-1.02
-1.95
-1.93
0.96
-0.93
-0.72
-0.52
1.37
2.82
0.12
4.46
5.68
50.45 0.987473
50.66 1.004163
51.41 1.014805
50.79 0.987940
50.38 0.991928
50.93 1.010917
50.84 0.998233
50.88 1.000787
50.69 0.996266
50.95 1.005129
56.74 1.113641
60.26 1.062037
64.88 1.076668
71.09 1.095715
64.29 0.904347
64.41 1.001867
62.68 0.973141
61.80 0.985960
57.56 0.931392
57.91 1.006081
55.33 0.955448
57.19 1.033616
59.28 1.036545
61.42 1.036100
58.45 0.951644
57.49 0.983576
57.67 1.003131
55.58 0.963759
56.98 1.025189
56.66 0.994384
54.94 0.969643
53.84 0.979978
52.71 0.979012
54.23 1.028837
55.53 1.023972
54.90 0.988655
52.22 0.951184
50.90 0.974722
49.92 0.980747
49.00 0.981571
45.28 0.924082
45.05 0.994920
46.28 1.027303
46.11 0.996327
45.56 0.988072
46.51 1.020852
44.50 0.956783
44.77 1.006067
44.51 0.994193
47.08 1.057740
50.75 1.077952
-1.26
0.42
1.47
-1.21
-0.81
1.09
-0.18
0.08
-0.37
0.51
10.76
6.02
7.39
9.14
-10.05
0.19
-2.72
-1.41
-7.11
0.61
-4.56
3.31
3.59
3.55
-4.96
-1.66
0.31
-3.69
2.49
-0.56
-3.08
-2.02
-2.12
2.84
2.37
-1.14
-5.00
-2.56
-1.94
-1.86
-7.90
-0.51
2.69
-0.37
-1.20
2.06
-4.42
0.60
-0.58
5.61
7.51
3.05
1.59 2.20
0.33
0.17 -0.24
0.25
2.16 0.74
0.01
1.47 0.09
1.29
0.66 0.92
0.21
1.18 -0.50
2.28
0.03 0.27
2.26
0.01 0.12
0.23
0.14 -0.18
0.64
0.26 0.41
53.97 115.85 79.07
0.38 36.23 3.71
6.81 54.57 19.28
71.49 83.55 77.28
1.04 101.09 10.24
14.55
0.03 -0.71
2.92
7.41 -4.65
2.46
2.00 2.22
2.12 50.52 10.34
0.02
0.37 0.08
1.72 20.77 5.97
0.13 10.93 1.19
0.12 12.88 1.24
0.94 12.58 -3.44
0.02 24.57 -0.73
1.30
2.74 -1.89
5.38
0.10 -0.73
1.57 13.63 -4.63
1.34
6.19 -2.88
0.11
0.32 0.19
6.49
9.50 7.85
0.95
4.09 1.97
9.34
4.50 -6.48
3.33
8.08 -5.18
13.47
5.61 8.70
9.33
1.30 3.48
0.00 25.05 -0.16
2.72
6.55 -4.23
9.18
3.78 5.89
1.04
3.46 1.90
3.80 62.34 15.39
3.71
0.26 0.98
0.93
7.26 2.60
0.87
0.14 0.34
0.52
1.44 0.86
0.27
4.26 -1.07
1.88 19.52 -6.05
7.94
0.37 1.70
0.01
0.34 -0.07
19.87 31.51 25.02
32.23 56.35 42.62
Page 109
22/10/1999
29/10/1999
05/11/1999
12/11/1999
19/11/1999
26/11/1999
03/12/1999
10/12/1999
17/12/1999
24/12/1999
10192.30
10382.80
10475.50
10715.10
10771.40
11042.20
11522.50
13386.90
12357.80
12152.40
0.954925
1.018691
1.008928
1.022872
1.005254
1.025141
1.043497
1.161805
0.923126
0.983379
-4.61
1.85
0.89
2.26
0.52
2.48
4.26
15.00
-8.00
-1.68
Sum
-2.06
Beta
Alpha %
Std. Dev. Of Rndm Error Term %
Std. Error of Beta
Std. Error of Alpha
Correlation Coefficient
Coefficient of Determination
Coefficient of Nondetermination
1.05
-0.43
3.58
0.067
0.187
0.64
0.41
0.59
46.46 0.915468
47.62 1.024968
44.86 0.942041
48.25 1.075568
47.41 0.982591
48.14 1.015398
47.50 0.986705
53.74 1.131368
46.18 0.859323
49.93 1.081204
-8.83 21.27 78.00 40.74
2.47 3.43
6.08 4.57
-5.97 0.79 35.65 -5.31
7.28 5.11 53.07 16.47
-1.76 0.27
3.08 -0.92
1.53 6.17
2.33 3.79
-1.34 18.13
1.79 -5.70
12.34 224.92 152.34 185.11
-15.16 63.98 229.86 121.27
7.81 2.81 60.96 -13.09
-46.41 804.67 2202.62 844.34
Page 110
Helwan Portland
Date
02/01/1998
09/01/1998
16/01/1998
23/01/1998
30/01/1998
06/02/1998
13/02/1998
20/02/1998
27/02/1998
06/03/1998
13/03/1998
20/03/1998
27/03/1998
03/04/1998
10/04/1998
17/04/1998
24/04/1998
01/05/1998
08/05/1998
15/05/1998
22/05/1998
29/05/1998
05/06/1998
12/06/1998
19/06/1998
26/06/1998
03/07/1998
10/07/1998
17/07/1998
24/07/1998
31/07/1998
07/08/1998
14/08/1998
21/08/1998
28/08/1998
04/09/1998
11/09/1998
18/09/1998
25/09/1998
02/10/1998
09/10/1998
16/10/1998
23/10/1998
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns (X)2
(X) =ln (Vt / Vt-1)
(Y) =ln (Pt / Pt-1)
%
%
12405.40
12227.30 0.985643
12066.30 0.986833
11875.60 0.984196
11619.70 0.978452
11521.00 0.991506
11485.70 0.996936
11541.10 1.004823
11522.70 0.998406
11719.50 1.017079
11772.60 1.004531
11885.70 1.009607
12002.60 1.009835
11976.00 0.997784
11989.00 1.001086
11954.90 0.997156
11824.20 0.989067
11769.60 0.995382
11595.90 0.985242
11295.60 0.974103
11123.40 0.984755
10734.30 0.965020
10454.80 0.973962
10664.80 1.020086
10321.70 0.967829
10300.30 0.997927
10020.40 0.972826
9821.99 0.980199
9709.95 0.988593
9952.34 1.024963
10102.20 1.015058
9862.74 0.976296
9664.70 0.979920
9343.16 0.966730
9011.08 0.964457
9490.19 1.053169
9503.97 1.001452
9533.42 1.003099
9566.63 1.003484
9589.12 1.002351
9432.51 0.983668
9439.63 1.000755
9346.40 0.990124
-1.45
-1.33
-1.59
-2.18
-0.85
-0.31
0.48
-0.16
1.69
0.45
0.96
0.98
-0.22
0.11
-0.28
-1.10
-0.46
-1.49
-2.62
-1.54
-3.56
-2.64
1.99
-3.27
-0.21
-2.76
-2.00
-1.15
2.47
1.49
-2.40
-2.03
-3.38
-3.62
5.18
0.15
0.31
0.35
0.23
-1.65
0.08
-0.99
67.94
67.38 0.991757
66.78 0.991095
67.00 1.003294
67.36 1.005373
65.99 0.979662
66.63 1.009698
66.05 0.991295
66.25 1.003028
67.95 1.025660
70.38 1.035762
71.42 1.014777
72.89 1.020582
71.91 0.986555
72.98 1.014880
73.26 1.003837
72.83 0.994130
73.38 1.007552
72.44 0.987190
71.36 0.985091
70.84 0.992713
57.48 0.811406
56.90 0.989910
56.91 1.000176
53.10 0.933052
51.28 0.965725
50.76 0.989860
50.64 0.997636
49.00 0.967615
52.32 1.067755
53.17 1.016246
51.63 0.971036
50.10 0.970366
49.11 0.980240
48.80 0.993688
52.39 1.073566
52.58 1.003627
52.02 0.989350
51.94 0.998462
50.95 0.980940
49.61 0.973700
50.01 1.008063
50.06 1.001000
-0.83
-0.89
0.33
0.54
-2.05
0.97
-0.87
0.30
2.53
3.51
1.47
2.04
-1.35
1.48
0.38
-0.59
0.75
-1.29
-1.50
-0.73
-20.90
-1.01
0.02
-6.93
-3.49
-1.02
-0.24
-3.29
6.56
1.61
-2.94
-3.01
-2.00
-0.63
7.10
0.36
-1.07
-0.15
-1.92
-2.67
0.80
0.10
(Y)2 (X*Y)
2.09
0.69 1.20
1.76
0.80 1.19
2.54
0.11 -0.52
4.75
0.29 -1.17
0.73
4.22 1.75
0.09
0.93 -0.30
0.23
0.76 -0.42
0.03
0.09 -0.05
2.87
6.42 4.29
0.20 12.35 1.59
0.91
2.15 1.40
0.96
4.15 1.99
0.05
1.83 0.30
0.01
2.18 0.16
0.08
0.15 -0.11
1.21
0.35 0.65
0.21
0.57 -0.35
2.21
1.66 1.92
6.88
2.26 3.94
2.36
0.53 1.12
12.68 436.75 74.41
6.96
1.03 2.68
3.96
0.00 0.03
10.69 48.02 22.66
0.04 12.16 0.72
7.59
1.04 2.81
4.00
0.06 0.47
1.32 10.84 3.78
6.08 42.98 16.16
2.23
2.60 2.41
5.75
8.64 7.05
4.11
9.05 6.10
11.45
3.98 6.75
13.10
0.40 2.29
26.84 50.39 36.77
0.02
0.13 0.05
0.10
1.15 -0.33
0.12
0.02 -0.05
0.06
3.70 -0.45
2.71
7.10 4.39
0.01
0.64 0.06
0.99
0.01 -0.10
Page 111
30/10/1998
06/11/1998
13/11/1998
20/11/1998
27/11/1998
04/12/1998
11/12/1998
18/12/1998
25/12/1998
01/01/1999
08/01/1999
15/01/1999
22/01/1999
29/01/1999
05/02/1999
12/02/1999
19/02/1999
26/02/1999
05/03/1999
12/03/1999
19/03/1999
26/03/1999
02/04/1999
09/04/1999
16/04/1999
23/04/1999
30/04/1999
07/05/1999
14/05/1999
21/05/1999
28/05/1999
04/06/1999
11/06/1999
18/06/1999
25/06/1999
02/07/1999
09/07/1999
16/07/1999
23/07/1999
30/07/1999
06/08/1999
13/08/1999
20/08/1999
27/08/1999
03/09/1999
10/09/1999
17/09/1999
24/09/1999
01/10/1999
08/10/1999
15/10/1999
9184.68 0.982697
9132.23 0.994289
9178.22 1.005036
9171.60 0.999279
9068.02 0.988706
9026.21 0.995389
8890.94 0.985014
9025.75 1.015163
9068.91 1.004782
9141.83 1.008041
9838.73 1.076232
9899.59 1.006186
10161.40 1.026447
11057.90 1.088226
10945.90 0.989871
10536.20 0.962570
10717.70 1.017226
10551.00 0.984446
10398.60 0.985556
10412.00 1.001289
10276.50 0.986986
10313.60 1.003610
10349.30 1.003461
10249.40 0.990347
10264.50 1.001473
10382.40 1.011486
10144.30 0.977067
10272.40 1.012628
10154.00 0.988474
10120.50 0.996701
9865.98 0.974851
9770.53 0.990325
10073.70 1.031029
9891.66 0.981929
10261.50 1.037389
9952.82 0.969919
9956.00 1.000320
10121.70 1.016643
9819.62 0.970155
9719.97 0.989852
9532.29 0.980691
9350.49 0.980928
9441.02 1.009682
9353.39 0.990718
9286.50 0.992849
9238.43 0.994824
9365.83 1.013790
9633.55 1.028585
9644.66 1.001153
10084.30 1.045584
10673.40 1.058418
-1.75
-0.57
0.50
-0.07
-1.14
-0.46
-1.51
1.50
0.48
0.80
7.35
0.62
2.61
8.45
-1.02
-3.81
1.71
-1.57
-1.45
0.13
-1.31
0.36
0.35
-0.97
0.15
1.14
-2.32
1.25
-1.16
-0.33
-2.55
-0.97
3.06
-1.82
3.67
-3.05
0.03
1.65
-3.03
-1.02
-1.95
-1.93
0.96
-0.93
-0.72
-0.52
1.37
2.82
0.12
4.46
5.68
48.27 0.964243
48.53 1.005386
49.43 1.018545
49.51 1.001618
48.51 0.979802
48.36 0.996908
47.79 0.988213
48.03 1.005022
48.18 1.003123
48.23 1.001038
54.53 1.130624
56.24 1.031359
57.78 1.027383
66.42 1.149533
63.04 0.949112
63.55 1.008090
64.23 1.010700
63.19 0.983808
61.59 0.974680
60.81 0.987336
59.59 0.979938
60.47 1.014768
60.37 0.998346
60.42 1.000828
60.34 0.998676
60.82 1.007955
59.16 0.972706
52.43 0.886241
51.74 0.986840
51.48 0.994975
49.51 0.961733
49.01 0.989901
50.02 1.020608
49.00 0.979608
47.38 0.966939
46.63 0.984171
45.09 0.966974
43.71 0.969395
40.98 0.937543
41.09 1.002684
40.05 0.974690
38.45 0.960050
39.63 1.030689
38.93 0.982337
38.91 0.999486
37.89 0.973786
37.63 0.993138
37.53 0.997343
37.11 0.988809
39.22 1.056858
42.79 1.091025
-3.64
0.54
1.84
0.16
-2.04
-0.31
-1.19
0.50
0.31
0.10
12.28
3.09
2.70
13.94
-5.22
0.81
1.06
-1.63
-2.56
-1.27
-2.03
1.47
-0.17
0.08
-0.13
0.79
-2.77
-12.08
-1.32
-0.50
-3.90
-1.02
2.04
-2.06
-3.36
-1.60
-3.36
-3.11
-6.45
0.27
-2.56
-4.08
3.02
-1.78
-0.05
-2.66
-0.69
-0.27
-1.13
5.53
8.71
3.05 13.26 6.36
0.33
0.29 -0.31
0.25
3.38 0.92
0.01
0.03 -0.01
1.29
4.16 2.32
0.21
0.10 0.14
2.28
1.41 1.79
2.26
0.25 0.75
0.23
0.10 0.15
0.64
0.01 0.08
53.97 150.72 90.19
0.38
9.53 1.90
6.81
7.30 7.05
71.49 194.20 117.82
1.04 27.28 5.32
14.55
0.65 -3.07
2.92
1.13 1.82
2.46
2.66 2.56
2.12
6.58 3.73
0.02
1.62 -0.16
1.72
4.11 2.65
0.13
2.15 0.53
0.12
0.03 -0.06
0.94
0.01 -0.08
0.02
0.02 -0.02
1.30
0.63 0.90
5.38
7.66 6.42
1.57 145.85 -15.15
1.34
1.76 1.54
0.11
0.25 0.17
6.49 15.22 9.94
0.95
1.03 0.99
9.34
4.16 6.23
3.33
4.24 3.76
13.47 11.30 -12.34
9.33
2.55 4.87
0.00 11.28 -0.11
2.72
9.66 -5.13
9.18 41.59 19.54
1.04
0.07 -0.27
3.80
6.57 5.00
3.71 16.62 7.85
0.93
9.14 2.91
0.87
3.18 1.66
0.52
0.00 0.04
0.27
7.06 1.38
1.88
0.47 -0.94
7.94
0.07 -0.75
0.01
1.27 -0.13
19.87 30.58 24.65
32.23 75.89 49.46
Page 112
22/10/1999
29/10/1999
05/11/1999
12/11/1999
19/11/1999
26/11/1999
03/12/1999
10/12/1999
17/12/1999
24/12/1999
10192.30 0.954925
10382.80 1.018691
10475.50 1.008928
10715.10 1.022872
10771.40 1.005254
11042.20 1.025141
11522.50 1.043497
13386.90 1.161805
12357.80 0.923126
12152.40 0.983379
-4.61
1.85
0.89
2.26
0.52
2.48
4.26
15.00
-8.00
-1.68
Sum
-2.06
Beta
Alpha %
Std. Dev. Of Rndm Error Term %
Std. Error of Beta
Std. Error of Alpha
Correlation Coefficient
Coefficient of Determination
Coefficient of Nondetermination
0.85
-0.56
3.26
0.064
0.178
0.60
0.35
0.65
38.98 0.910961
39.04 1.001539
37.96 0.972336
39.61 1.043467
37.84 0.955314
37.84 1.000000
38.32 1.012685
39.11 1.020616
37.01 0.946305
37.33 1.008646
-9.33 21.27
0.15 3.43
-2.81 0.79
4.25 5.11
-4.57 0.27
0.00 6.17
1.26 18.13
2.04 224.92
-5.52 63.98
0.86 2.81
86.97
0.02
7.87
18.10
20.90
0.00
1.59
4.16
30.46
0.74
43.01
0.28
-2.49
9.62
-2.40
0.00
5.37
30.60
44.15
-1.44
-59.88 804.67 1693.07 688.83
Page 113
Suez Cement
Date
02/01/1998
09/01/1998
16/01/1998
23/01/1998
30/01/1998
06/02/1998
13/02/1998
20/02/1998
27/02/1998
06/03/1998
13/03/1998
20/03/1998
27/03/1998
03/04/1998
10/04/1998
17/04/1998
24/04/1998
01/05/1998
08/05/1998
15/05/1998
22/05/1998
29/05/1998
05/06/1998
12/06/1998
19/06/1998
26/06/1998
03/07/1998
10/07/1998
17/07/1998
24/07/1998
31/07/1998
07/08/1998
14/08/1998
21/08/1998
28/08/1998
04/09/1998
11/09/1998
18/09/1998
25/09/1998
02/10/1998
09/10/1998
16/10/1998
23/10/1998
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns (X)2
(X) =ln (Vt / Vt-1)
(Y) =ln (Pt / Pt-1)
%
%
12405.40
12227.30 0.985643
12066.30 0.986833
11875.60 0.984196
11619.70 0.978452
11521.00 0.991506
11485.70 0.996936
11541.10 1.004823
11522.70 0.998406
11719.50 1.017079
11772.60 1.004531
11885.70 1.009607
12002.60 1.009835
11976.00 0.997784
11989.00 1.001086
11954.90 0.997156
11824.20 0.989067
11769.60 0.995382
11595.90 0.985242
11295.60 0.974103
11123.40 0.984755
10734.30 0.965020
10454.80 0.973962
10664.80 1.020086
10321.70 0.967829
10300.30 0.997927
10020.40 0.972826
9821.99 0.980199
9709.95 0.988593
9952.34 1.024963
10102.20 1.015058
9862.74 0.976296
9664.70 0.979920
9343.16 0.966730
9011.08 0.964457
9490.19 1.053169
9503.97 1.001452
9533.42 1.003099
9566.63 1.003484
9589.12 1.002351
9432.51 0.983668
9439.63 1.000755
9346.40 0.990124
-1.45
-1.33
-1.59
-2.18
-0.85
-0.31
0.48
-0.16
1.69
0.45
0.96
0.98
-0.22
0.11
-0.28
-1.10
-0.46
-1.49
-2.62
-1.54
-3.56
-2.64
1.99
-3.27
-0.21
-2.76
-2.00
-1.15
2.47
1.49
-2.40
-2.03
-3.38
-3.62
5.18
0.15
0.31
0.35
0.23
-1.65
0.08
-0.99
62.81
61.82 0.984224
61.05 0.987500
61.65 1.009978
60.47 0.980832
60.91 1.007215
62.29 1.022686
64.44 1.034443
62.85 0.975452
62.62 0.996239
64.45 1.029182
64.08 0.994358
66.30 1.034614
66.25 0.999315
65.46 0.988063
66.00 1.008192
65.65 0.994767
64.30 0.979368
63.89 0.993638
62.95 0.985203
63.43 1.007654
62.23 0.981081
60.76 0.976480
62.65 1.031119
59.45 0.948926
57.23 0.962538
56.67 0.990311
57.19 1.009144
56.37 0.985694
57.16 1.014030
59.08 1.033556
53.41 0.903984
50.01 0.936340
48.18 0.963463
43.99 0.913019
49.26 1.119859
48.22 0.978777
48.28 1.001321
49.07 1.016381
48.28 0.983883
47.74 0.988702
48.24 1.010474
48.85 1.012627
-1.59
-1.26
0.99
-1.94
0.72
2.24
3.39
-2.49
-0.38
2.88
-0.57
3.40
-0.07
-1.20
0.82
-0.52
-2.08
-0.64
-1.49
0.76
-1.91
-2.38
3.06
-5.24
-3.82
-0.97
0.91
-1.44
1.39
3.30
-10.09
-6.58
-3.72
-9.10
11.32
-2.15
0.13
1.62
-1.62
-1.14
1.04
1.25
(Y)2
2.09
2.53
1.76
1.58
2.54
0.99
4.75
3.75
0.73
0.52
0.09
5.03
0.23 11.47
0.03
6.18
2.87
0.14
0.20
8.27
0.91
0.32
0.96 11.58
0.05
0.00
0.01
1.44
0.08
0.67
1.21
0.28
0.21
4.35
2.21
0.41
6.88
2.22
2.36
0.58
12.68
3.65
6.96
5.67
3.96
9.39
10.69 27.48
0.04 14.58
7.59
0.95
4.00
0.83
1.32
2.08
6.08
1.94
2.23 10.89
5.75 101.90
4.11 43.27
11.45 13.85
13.10 82.81
26.84 128.15
0.02
4.60
0.10
0.02
0.12
2.64
0.06
2.64
2.71
1.29
0.01
1.09
0.99
1.57
Page 114
(X*Y)
2.30
1.67
-1.58
4.22
-0.61
-0.69
1.63
0.40
-0.64
1.30
-0.54
3.33
0.02
-0.13
-0.23
0.58
0.96
0.95
3.91
-1.17
6.80
6.28
6.09
17.14
0.79
2.68
-1.82
1.65
3.44
4.93
24.22
13.34
12.59
32.93
58.64
-0.31
0.04
0.57
-0.38
1.87
0.08
-1.25
30/10/1998
06/11/1998
13/11/1998
20/11/1998
27/11/1998
04/12/1998
11/12/1998
18/12/1998
25/12/1998
01/01/1999
08/01/1999
15/01/1999
22/01/1999
29/01/1999
05/02/1999
12/02/1999
19/02/1999
26/02/1999
05/03/1999
12/03/1999
19/03/1999
26/03/1999
02/04/1999
09/04/1999
16/04/1999
23/04/1999
30/04/1999
07/05/1999
14/05/1999
21/05/1999
28/05/1999
04/06/1999
11/06/1999
18/06/1999
25/06/1999
02/07/1999
09/07/1999
16/07/1999
23/07/1999
30/07/1999
06/08/1999
13/08/1999
20/08/1999
27/08/1999
03/09/1999
10/09/1999
17/09/1999
24/09/1999
01/10/1999
08/10/1999
15/10/1999
9184.68 0.982697
9132.23 0.994289
9178.22 1.005036
9171.60 0.999279
9068.02 0.988706
9026.21 0.995389
8890.94 0.985014
9025.75 1.015163
9068.91 1.004782
9141.83 1.008041
9838.73 1.076232
9899.59 1.006186
10161.40 1.026447
11057.90 1.088226
10945.90 0.989871
10536.20 0.962570
10717.70 1.017226
10551.00 0.984446
10398.60 0.985556
10412.00 1.001289
10276.50 0.986986
10313.60 1.003610
10349.30 1.003461
10249.40 0.990347
10264.50 1.001473
10382.40 1.011486
10144.30 0.977067
10272.40 1.012628
10154.00 0.988474
10120.50 0.996701
9865.98 0.974851
9770.53 0.990325
10073.70 1.031029
9891.66 0.981929
10261.50 1.037389
9952.82 0.969919
9956.00 1.000320
10121.70 1.016643
9819.62 0.970155
9719.97 0.989852
9532.29 0.980691
9350.49 0.980928
9441.02 1.009682
9353.39 0.990718
9286.50 0.992849
9238.43 0.994824
9365.83 1.013790
9633.55 1.028585
9644.66 1.001153
10084.30 1.045584
10673.40 1.058418
-1.75
-0.57
0.50
-0.07
-1.14
-0.46
-1.51
1.50
0.48
0.80
7.35
0.62
2.61
8.45
-1.02
-3.81
1.71
-1.57
-1.45
0.13
-1.31
0.36
0.35
-0.97
0.15
1.14
-2.32
1.25
-1.16
-0.33
-2.55
-0.97
3.06
-1.82
3.67
-3.05
0.03
1.65
-3.03
-1.02
-1.95
-1.93
0.96
-0.93
-0.72
-0.52
1.37
2.82
0.12
4.46
5.68
47.95 0.981575
47.75 0.995829
48.11 1.007615
47.32 0.983560
46.77 0.988474
46.19 0.987561
43.67 0.945483
45.96 1.052456
46.05 1.001978
46.55 1.010659
49.95 1.073047
48.76 0.976338
51.26 1.051268
60.34 1.176981
57.63 0.955100
57.25 0.993375
57.15 0.998412
55.88 0.977732
52.82 0.945175
53.64 1.015491
52.18 0.972882
51.88 0.994251
51.75 0.997371
52.96 1.023542
54.03 1.020082
55.38 1.025073
53.45 0.965035
48.72 0.911549
47.95 0.984139
47.88 0.998673
45.97 0.960129
44.59 0.969943
45.51 1.020589
44.65 0.981223
44.15 0.988803
43.90 0.994236
45.41 1.034374
47.31 1.041842
44.31 0.936587
45.08 1.017441
43.93 0.974389
43.78 0.996690
44.99 1.027616
44.28 0.984239
43.94 0.992198
43.99 1.001243
45.72 1.039263
46.14 1.009147
45.98 0.996651
49.54 1.077302
53.51 1.080198
-1.86
-0.42
0.76
-1.66
-1.16
-1.25
-5.61
5.11
0.20
1.06
7.05
-2.39
5.00
16.30
-4.59
-0.66
-0.16
-2.25
-5.64
1.54
-2.75
-0.58
-0.26
2.33
1.99
2.48
-3.56
-9.26
-1.60
-0.13
-4.07
-3.05
2.04
-1.90
-1.13
-0.58
3.38
4.10
-6.55
1.73
-2.59
-0.33
2.72
-1.59
-0.78
0.12
3.85
0.91
-0.34
7.45
7.71
3.05
3.46
3.25
0.33
0.17
0.24
0.25
0.58
0.38
0.01
2.75
0.12
1.29
1.34
1.32
0.21
1.57
0.58
2.28 31.43
8.46
2.26 26.14
7.69
0.23
0.04
0.09
0.64
1.12
0.85
53.97 49.71 51.80
0.38
5.73 -1.48
6.81 25.00 13.05
71.49 265.54 137.77
1.04 21.10
4.68
14.55
0.44
2.54
2.92
0.03 -0.27
2.46
5.07
3.53
2.12 31.79
8.20
0.02
2.36
0.20
1.72
7.56
3.60
0.13
0.33 -0.21
0.12
0.07 -0.09
0.94
5.41 -2.26
0.02
3.95
0.29
1.30
6.13
2.83
5.38 12.67
8.26
1.57 85.77 -11.62
1.34
2.56
1.85
0.11
0.02
0.04
6.49 16.55 10.36
0.95
9.31
2.97
9.34
4.15
6.23
3.33
3.59
3.46
13.47
1.27 -4.13
9.33
0.33
1.77
0.00 11.42
0.11
2.72 16.80
6.77
9.18 42.92 19.85
1.04
2.99 -1.76
3.80
6.73
5.06
3.71
0.11
0.64
0.93
7.42
2.62
0.87
2.52
1.48
0.52
0.61
0.56
0.27
0.02 -0.06
1.88 14.83
5.27
7.94
0.83
2.57
0.01
0.11 -0.04
19.87 55.44 33.19
32.23 59.51 43.80
Page 115
22/10/1999
29/10/1999
05/11/1999
12/11/1999
19/11/1999
26/11/1999
03/12/1999
10/12/1999
17/12/1999
24/12/1999
10192.30 0.954925
10382.80 1.018691
10475.50 1.008928
10715.10 1.022872
10771.40 1.005254
11042.20 1.025141
11522.50 1.043497
13386.90 1.161805
12357.80 0.923126
12152.40 0.983379
-4.61
1.85
0.89
2.26
0.52
2.48
4.26
15.00
-8.00
-1.68
Sum
-2.06
Beta
Alpha %
Std. Dev. Of Rndm Error Term %
Std. Error of Beta
Std. Error of Alpha
Correlation Coefficient
Coefficient of Determination
Coefficient of Nondetermination
1.26
-0.20
2.71
0.058
0.162
0.80
0.63
0.37
48.55 0.907324
50.99 1.050257
49.32 0.967248
50.22 1.018248
50.45 1.004580
50.39 0.998811
50.01 0.992459
58.98 1.179364
50.44 0.855205
50.05 0.992268
-9.73 21.27 94.59 44.86
4.90 3.43 24.04
9.08
-3.33 0.79 11.09 -2.96
1.81 5.11
3.27
4.09
0.46 0.27
0.21
0.24
-0.12 6.17
0.01 -0.30
-0.76 18.13
0.57 -3.22
16.50 224.92 272.17 247.42
-15.64 63.98 244.65 125.11
-0.78 2.81
0.60
1.30
-22.71 804.67 2032.11 1018.02
Page 116
Tora Portland Cement
Date
02/01/1998
09/01/1998
16/01/1998
23/01/1998
30/01/1998
06/02/1998
13/02/1998
20/02/1998
27/02/1998
06/03/1998
13/03/1998
20/03/1998
27/03/1998
03/04/1998
10/04/1998
17/04/1998
24/04/1998
01/05/1998
08/05/1998
15/05/1998
22/05/1998
29/05/1998
05/06/1998
12/06/1998
19/06/1998
26/06/1998
03/07/1998
10/07/1998
17/07/1998
24/07/1998
31/07/1998
07/08/1998
14/08/1998
21/08/1998
28/08/1998
04/09/1998
11/09/1998
18/09/1998
25/09/1998
02/10/1998
09/10/1998
16/10/1998
23/10/1998
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns (X)2
(X) =ln (Vt / Vt-1)
(Y) =ln (Pt / Pt-1)
%
%
12405.40
12227.30 0.985643
12066.30 0.986833
11875.60 0.984196
11619.70 0.978452
11521.00 0.991506
11485.70 0.996936
11541.10 1.004823
11522.70 0.998406
11719.50 1.017079
11772.60 1.004531
11885.70 1.009607
12002.60 1.009835
11976.00 0.997784
11989.00 1.001086
11954.90 0.997156
11824.20 0.989067
11769.60 0.995382
11595.90 0.985242
11295.60 0.974103
11123.40 0.984755
10734.30 0.965020
10454.80 0.973962
10664.80 1.020086
10321.70 0.967829
10300.30 0.997927
10020.40 0.972826
9821.99 0.980199
9709.95 0.988593
9952.34 1.024963
10102.20 1.015058
9862.74 0.976296
9664.70 0.979920
9343.16 0.966730
9011.08 0.964457
9490.19 1.053169
9503.97 1.001452
9533.42 1.003099
9566.63 1.003484
9589.12 1.002351
9432.51 0.983668
9439.63 1.000755
9346.40 0.990124
-1.45
-1.33
-1.59
-2.18
-0.85
-0.31
0.48
-0.16
1.69
0.45
0.96
0.98
-0.22
0.11
-0.28
-1.10
-0.46
-1.49
-2.62
-1.54
-3.56
-2.64
1.99
-3.27
-0.21
-2.76
-2.00
-1.15
2.47
1.49
-2.40
-2.03
-3.38
-3.62
5.18
0.15
0.31
0.35
0.23
-1.65
0.08
-0.99
77.21
74.84 0.969304
73.32 0.979690
72.41 0.987589
68.92 0.951802
69.11 1.002757
66.28 0.959051
64.96 0.980084
65.47 1.007851
69.15 1.056209
69.00 0.997831
72.45 1.050000
73.62 1.016149
74.24 1.008422
73.69 0.992592
74.39 1.009499
73.70 0.990725
71.90 0.975577
69.98 0.973296
67.01 0.957559
67.73 1.010745
65.24 0.963236
66.52 1.019620
64.50 0.969633
60.15 0.932558
60.99 1.013965
57.19 0.937695
54.52 0.953314
55.18 1.012106
63.39 1.148786
63.48 1.001420
61.87 0.974638
58.42 0.944238
58.52 1.001712
57.94 0.990089
62.37 1.076458
61.81 0.991021
62.47 1.010678
62.76 1.004642
65.04 1.036329
63.88 0.982165
64.49 1.009549
64.37 0.998139
-3.12
-2.05
-1.25
-4.94
0.28
-4.18
-2.01
0.78
5.47
-0.22
4.88
1.60
0.84
-0.74
0.95
-0.93
-2.47
-2.71
-4.34
1.07
-3.75
1.94
-3.08
-6.98
1.39
-6.43
-4.78
1.20
13.87
0.14
-2.57
-5.74
0.17
-1.00
7.37
-0.90
1.06
0.46
3.57
-1.80
0.95
-0.19
(Y)2 (X*Y)
2.09
9.72 4.51
1.76
4.21 2.72
2.54
1.56 1.99
4.75 24.40 10.76
0.73
0.08 -0.23
0.09 17.48 1.28
0.23
4.05 -0.97
0.03
0.61 -0.12
2.87 29.91 9.26
0.20
0.05 -0.10
0.91 23.80 4.66
0.96
2.57 1.57
0.05
0.70 -0.19
0.01
0.55 -0.08
0.08
0.89 -0.27
1.21
0.87 1.02
0.21
6.11 1.14
2.21
7.33 4.02
6.88 18.81 11.38
2.36
1.14 -1.64
12.68 14.03 13.34
6.96
3.78 -5.13
3.96
9.51 -6.13
10.69 48.75 22.83
0.04
1.92 -0.29
7.59 41.38 17.72
4.00 22.86 9.56
1.32
1.45 -1.38
6.08 192.39 34.20
2.23
0.02 0.21
5.75
6.60 6.16
4.11 32.92 11.64
11.45
0.03 -0.58
13.10
0.99 3.60
26.84 54.28 38.17
0.02
0.81 -0.13
0.10
1.13 0.33
0.12
0.21 0.16
0.06 12.73 0.84
2.71
3.24 2.96
0.01
0.90 0.07
0.99
0.03 0.18
Page 117
30/10/1998
06/11/1998
13/11/1998
20/11/1998
27/11/1998
04/12/1998
11/12/1998
18/12/1998
25/12/1998
01/01/1999
08/01/1999
15/01/1999
22/01/1999
29/01/1999
05/02/1999
12/02/1999
19/02/1999
26/02/1999
05/03/1999
12/03/1999
19/03/1999
26/03/1999
02/04/1999
09/04/1999
16/04/1999
23/04/1999
30/04/1999
07/05/1999
14/05/1999
21/05/1999
28/05/1999
04/06/1999
11/06/1999
18/06/1999
25/06/1999
02/07/1999
09/07/1999
16/07/1999
23/07/1999
30/07/1999
06/08/1999
13/08/1999
20/08/1999
27/08/1999
03/09/1999
10/09/1999
17/09/1999
24/09/1999
01/10/1999
08/10/1999
15/10/1999
9184.68 0.982697
9132.23 0.994289
9178.22 1.005036
9171.60 0.999279
9068.02 0.988706
9026.21 0.995389
8890.94 0.985014
9025.75 1.015163
9068.91 1.004782
9141.83 1.008041
9838.73 1.076232
9899.59 1.006186
10161.40 1.026447
11057.90 1.088226
10945.90 0.989871
10536.20 0.962570
10717.70 1.017226
10551.00 0.984446
10398.60 0.985556
10412.00 1.001289
10276.50 0.986986
10313.60 1.003610
10349.30 1.003461
10249.40 0.990347
10264.50 1.001473
10382.40 1.011486
10144.30 0.977067
10272.40 1.012628
10154.00 0.988474
10120.50 0.996701
9865.98 0.974851
9770.53 0.990325
10073.70 1.031029
9891.66 0.981929
10261.50 1.037389
9952.82 0.969919
9956.00 1.000320
10121.70 1.016643
9819.62 0.970155
9719.97 0.989852
9532.29 0.980691
9350.49 0.980928
9441.02 1.009682
9353.39 0.990718
9286.50 0.992849
9238.43 0.994824
9365.83 1.013790
9633.55 1.028585
9644.66 1.001153
10084.30 1.045584
10673.40 1.058418
-1.75
-0.57
0.50
-0.07
-1.14
-0.46
-1.51
1.50
0.48
0.80
7.35
0.62
2.61
8.45
-1.02
-3.81
1.71
-1.57
-1.45
0.13
-1.31
0.36
0.35
-0.97
0.15
1.14
-2.32
1.25
-1.16
-0.33
-2.55
-0.97
3.06
-1.82
3.67
-3.05
0.03
1.65
-3.03
-1.02
-1.95
-1.93
0.96
-0.93
-0.72
-0.52
1.37
2.82
0.12
4.46
5.68
54.77 0.850862
56.95 1.039803
57.17 1.003863
57.80 1.011020
58.00 1.003460
57.58 0.992759
56.86 0.987496
58.11 1.021984
57.90 0.996386
58.35 1.007772
67.29 1.153213
70.63 1.049636
72.30 1.023644
78.10 1.080221
73.62 0.942638
75.97 1.031921
75.12 0.988811
71.57 0.952742
71.18 0.994551
69.91 0.982158
66.35 0.949077
67.75 1.021100
71.24 1.051513
70.22 0.985682
69.05 0.983338
70.24 1.017234
68.69 0.977933
66.01 0.960984
68.00 1.030147
68.46 1.006765
67.00 0.978674
66.55 0.993284
67.19 1.009617
65.01 0.967555
61.22 0.941701
60.43 0.987096
61.93 1.024822
63.96 1.032779
60.00 0.938086
57.56 0.959333
56.55 0.982453
59.07 1.044562
59.00 0.998815
59.47 1.007966
57.87 0.973096
61.40 1.060999
59.01 0.961075
61.03 1.034231
64.60 1.058496
67.83 1.050000
70.12 1.033761
-16.15
3.90
0.39
1.10
0.35
-0.73
-1.26
2.17
-0.36
0.77
14.26
4.84
2.34
7.72
-5.91
3.14
-1.13
-4.84
-0.55
-1.80
-5.23
2.09
5.02
-1.44
-1.68
1.71
-2.23
-3.98
2.97
0.67
-2.16
-0.67
0.96
-3.30
-6.01
-1.30
2.45
3.23
-6.39
-4.15
-1.77
4.36
-0.12
0.79
-2.73
5.92
-3.97
3.37
5.68
4.88
3.32
3.05 260.84 28.19
0.33 15.23 -2.24
0.25
0.15 0.19
0.01
1.20 -0.08
1.29
0.12 -0.39
0.21
0.53 0.34
2.28
1.58 1.90
2.26
4.73 3.27
0.23
0.13 -0.17
0.64
0.60 0.62
53.97 203.21 104.73
0.38 23.47 2.99
6.81
5.46 6.10
71.49 59.55 65.24
1.04 34.90 6.01
14.55
9.87 -11.99
2.92
1.27 -1.92
2.46 23.44 7.59
2.12
0.30 0.79
0.02
3.24 -0.23
1.72 27.32 6.85
0.13
4.36 0.75
0.12 25.23 1.74
0.94
2.08 1.40
0.02
2.82 -0.25
1.30
2.92 1.95
5.38
4.98 5.18
1.57 15.84 -4.99
1.34
8.82 -3.44
0.11
0.45 -0.22
6.49
4.65 5.49
0.95
0.45 0.66
9.34
0.92 2.92
3.33 10.88 6.01
13.47 36.08 -22.05
9.33
1.69 3.97
0.00
6.01 0.08
2.72 10.40 5.32
9.18 40.85 19.37
1.04 17.24 4.23
3.80
3.13 3.45
3.71 19.01 -8.40
0.93
0.01 -0.11
0.87
0.63 -0.74
0.52
7.44 1.96
0.27 35.06 -3.07
1.88 15.76 -5.44
7.94 11.33 9.49
0.01 32.32 0.66
19.87 23.80 21.75
32.23 11.02 18.85
Page 118
22/10/1999
29/10/1999
05/11/1999
12/11/1999
19/11/1999
26/11/1999
03/12/1999
10/12/1999
17/12/1999
24/12/1999
10192.30 0.954925
10382.80 1.018691
10475.50 1.008928
10715.10 1.022872
10771.40 1.005254
11042.20 1.025141
11522.50 1.043497
13386.90 1.161805
12357.80 0.923126
12152.40 0.983379
-4.61
1.85
0.89
2.26
0.52
2.48
4.26
15.00
-8.00
-1.68
Sum
-2.06
Beta
Alpha %
Std. Dev. Of Rndm Error Term %
Std. Error of Beta
Std. Error of Alpha
Correlation Coefficient
Coefficient of Determination
Coefficient of Nondetermination
1.07
-0.06
3.77
0.068
0.191
0.63
0.39
0.61
65.97 0.940816
67.77 1.027285
67.45 0.995278
60.76 0.900815
63.29 1.041639
64.53 1.019592
68.47 1.061057
78.98 1.153498
67.02 0.848569
70.92 1.058192
-6.10 21.27 37.22 28.14
2.69 3.43
7.25 4.98
-0.47 0.79
0.22 -0.42
-10.45 5.11 109.11 -23.62
4.08 0.27 16.64 2.14
1.94 6.17
3.76 4.82
5.93 18.13 35.12 25.23
14.28 224.92 203.92 214.16
-16.42 63.98 269.63 131.35
5.66 2.81 31.99 -9.48
-8.50 804.67 2353.01 860.67
Page 119
Upper Egypt Flour Mills
Date
02/01/1998
09/01/1998
16/01/1998
23/01/1998
30/01/1998
06/02/1998
13/02/1998
20/02/1998
27/02/1998
06/03/1998
13/03/1998
20/03/1998
27/03/1998
03/04/1998
10/04/1998
17/04/1998
24/04/1998
01/05/1998
08/05/1998
15/05/1998
22/05/1998
29/05/1998
05/06/1998
12/06/1998
19/06/1998
26/06/1998
03/07/1998
10/07/1998
17/07/1998
24/07/1998
31/07/1998
07/08/1998
14/08/1998
21/08/1998
28/08/1998
04/09/1998
11/09/1998
18/09/1998
25/09/1998
02/10/1998
09/10/1998
16/10/1998
23/10/1998
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns (X)2
(X) =ln (Vt / Vt-1)
(Y) =ln (Pt / Pt-1)
%
%
12405.40
12227.30 0.985643
12066.30 0.986833
11875.60 0.984196
11619.70 0.978452
11521.00 0.991506
11485.70 0.996936
11541.10 1.004823
11522.70 0.998406
11719.50 1.017079
11772.60 1.004531
11885.70 1.009607
12002.60 1.009835
11976.00 0.997784
11989.00 1.001086
11954.90 0.997156
11824.20 0.989067
11769.60 0.995382
11595.90 0.985242
11295.60 0.974103
11123.40 0.984755
10734.30 0.965020
10454.80 0.973962
10664.80 1.020086
10321.70 0.967829
10300.30 0.997927
10020.40 0.972826
9821.99 0.980199
9709.95 0.988593
9952.34 1.024963
10102.20 1.015058
9862.74 0.976296
9664.70 0.979920
9343.16 0.966730
9011.08 0.964457
9490.19 1.053169
9503.97 1.001452
9533.42 1.003099
9566.63 1.003484
9589.12 1.002351
9432.51 0.983668
9439.63 1.000755
9346.40 0.990124
-1.45
-1.33
-1.59
-2.18
-0.85
-0.31
0.48
-0.16
1.69
0.45
0.96
0.98
-0.22
0.11
-0.28
-1.10
-0.46
-1.49
-2.62
-1.54
-3.56
-2.64
1.99
-3.27
-0.21
-2.76
-2.00
-1.15
2.47
1.49
-2.40
-2.03
-3.38
-3.62
5.18
0.15
0.31
0.35
0.23
-1.65
0.08
-0.99
56.39
54.22 0.961518
49.28 0.908890
50.53 1.025365
50.03 0.990105
50.96 1.018589
53.81 1.055926
58.59 1.088831
59.11 1.008875
63.92 1.081374
59.99 0.938517
61.68 1.028171
62.26 1.009403
60.71 0.975104
60.25 0.992423
60.51 1.004315
58.19 0.961659
60.52 1.040041
59.33 0.980337
56.37 0.950110
52.38 0.929218
48.77 0.931081
45.95 0.942178
48.22 1.049402
48.18 0.999170
47.95 0.995226
47.04 0.981022
45.38 0.964711
45.44 1.001322
48.02 1.056778
49.83 1.037693
46.98 0.942806
48.25 1.027033
46.95 0.973057
45.56 0.970394
47.95 1.052458
47.58 0.992284
46.54 0.978142
45.54 0.978513
45.58 1.000878
42.23 0.926503
42.94 1.016813
39.31 0.915463
-3.92
-9.55
2.50
-0.99
1.84
5.44
8.51
0.88
7.82
-6.35
2.78
0.94
-2.52
-0.76
0.43
-3.91
3.93
-1.99
-5.12
-7.34
-7.14
-5.96
4.82
-0.08
-0.48
-1.92
-3.59
0.13
5.52
3.70
-5.89
2.67
-2.73
-3.01
5.11
-0.77
-2.21
-2.17
0.09
-7.63
1.67
-8.83
2.09
1.76
2.54
4.75
0.73
0.09
0.23
0.03
2.87
0.20
0.91
0.96
0.05
0.01
0.08
1.21
0.21
2.21
6.88
2.36
12.68
6.96
3.96
10.69
0.04
7.59
4.00
1.32
6.08
2.23
5.75
4.11
11.45
13.10
26.84
0.02
0.10
0.12
0.06
2.71
0.01
0.99
(Y)2 (X*Y)
15.40
91.26
6.27
0.99
3.39
29.61
72.43
0.78
61.20
40.26
7.72
0.88
6.36
0.58
0.19
15.28
15.41
3.94
26.19
53.89
50.99
35.48
23.25
0.01
0.23
3.67
12.91
0.02
30.50
13.69
34.69
7.11
7.46
9.03
26.14
0.60
4.88
4.72
0.01
58.28
2.78
78.01
Page 120
5.67
12.66
-3.99
2.17
-1.57
-1.67
4.10
-0.14
13.25
-2.87
2.66
0.92
0.56
-0.08
-0.12
4.30
-1.82
2.95
13.43
11.28
25.43
15.71
9.59
0.27
0.10
5.28
7.19
-0.15
13.62
5.53
14.13
-5.41
9.24
10.88
26.49
-0.11
-0.68
-0.76
0.02
12.57
0.13
8.77
30/10/1998
06/11/1998
13/11/1998
20/11/1998
27/11/1998
04/12/1998
11/12/1998
18/12/1998
25/12/1998
01/01/1999
08/01/1999
15/01/1999
22/01/1999
29/01/1999
05/02/1999
12/02/1999
19/02/1999
26/02/1999
05/03/1999
12/03/1999
19/03/1999
26/03/1999
02/04/1999
09/04/1999
16/04/1999
23/04/1999
30/04/1999
07/05/1999
14/05/1999
21/05/1999
28/05/1999
04/06/1999
11/06/1999
18/06/1999
25/06/1999
02/07/1999
09/07/1999
16/07/1999
23/07/1999
30/07/1999
06/08/1999
13/08/1999
20/08/1999
27/08/1999
03/09/1999
10/09/1999
17/09/1999
24/09/1999
01/10/1999
08/10/1999
15/10/1999
9184.68 0.982697
9132.23 0.994289
9178.22 1.005036
9171.60 0.999279
9068.02 0.988706
9026.21 0.995389
8890.94 0.985014
9025.75 1.015163
9068.91 1.004782
9141.83 1.008041
9838.73 1.076232
9899.59 1.006186
10161.40 1.026447
11057.90 1.088226
10945.90 0.989871
10536.20 0.962570
10717.70 1.017226
10551.00 0.984446
10398.60 0.985556
10412.00 1.001289
10276.50 0.986986
10313.60 1.003610
10349.30 1.003461
10249.40 0.990347
10264.50 1.001473
10382.40 1.011486
10144.30 0.977067
10272.40 1.012628
10154.00 0.988474
10120.50 0.996701
9865.98 0.974851
9770.53 0.990325
10073.70 1.031029
9891.66 0.981929
10261.50 1.037389
9952.82 0.969919
9956.00 1.000320
10121.70 1.016643
9819.62 0.970155
9719.97 0.989852
9532.29 0.980691
9350.49 0.980928
9441.02 1.009682
9353.39 0.990718
9286.50 0.992849
9238.43 0.994824
9365.83 1.013790
9633.55 1.028585
9644.66 1.001153
10084.30 1.045584
10673.40 1.058418
-1.75
-0.57
0.50
-0.07
-1.14
-0.46
-1.51
1.50
0.48
0.80
7.35
0.62
2.61
8.45
-1.02
-3.81
1.71
-1.57
-1.45
0.13
-1.31
0.36
0.35
-0.97
0.15
1.14
-2.32
1.25
-1.16
-0.33
-2.55
-0.97
3.06
-1.82
3.67
-3.05
0.03
1.65
-3.03
-1.02
-1.95
-1.93
0.96
-0.93
-0.72
-0.52
1.37
2.82
0.12
4.46
5.68
36.58 0.930552
30.86 0.843630
34.19 1.107907
34.52 1.009652
33.18 0.961182
34.34 1.034961
34.37 1.000874
34.27 0.997090
36 1.050481
36.32 1.008889
43.72 1.203744
42.25 0.966377
43.97 1.040710
47.38 1.077553
47.27 0.997678
45.19 0.955997
47.65 1.054437
47.14 0.989297
46.12 0.978362
44.23 0.959020
44.62 1.008818
45.86 1.027790
43.96 0.958570
41.52 0.944495
39.72 0.956647
39.02 0.982377
36.53 0.936187
37.54 1.027649
34.86 0.928609
33.39 0.957831
32.13 0.962264
32.07 0.998133
34.23 1.067353
33.25 0.971370
29.92 0.899850
30.89 1.032420
29.68 0.960829
31.95 1.076482
31.5 0.985915
30.35 0.963492
28.89 0.951895
27.57 0.954309
27.92 1.012695
28.59 1.023997
28.2 0.986359
31.08 1.102128
30.08 0.967825
30.16 1.002660
30.17 1.000332
32.45 1.075572
34.13 1.051772
-7.20
-17.00
10.25
0.96
-3.96
3.44
0.09
-0.29
4.92
0.88
18.54
-3.42
3.99
7.47
-0.23
-4.50
5.30
-1.08
-2.19
-4.18
0.88
2.74
-4.23
-5.71
-4.43
-1.78
-6.59
2.73
-7.41
-4.31
-3.85
-0.19
6.52
-2.90
-10.55
3.19
-4.00
7.37
-1.42
-3.72
-4.93
-4.68
1.26
2.37
-1.37
9.72
-3.27
0.27
0.03
7.29
5.05
3.05
0.33
0.25
0.01
1.29
0.21
2.28
2.26
0.23
0.64
53.97
0.38
6.81
71.49
1.04
14.55
2.92
2.46
2.12
0.02
1.72
0.13
0.12
0.94
0.02
1.30
5.38
1.57
1.34
0.11
6.49
0.95
9.34
3.33
13.47
9.33
0.00
2.72
9.18
1.04
3.80
3.71
0.93
0.87
0.52
0.27
1.88
7.94
0.01
19.87
32.23
51.81 12.56
289.14 9.74
105.01 5.15
0.92 -0.07
15.67 4.50
11.81 -1.59
0.01 -0.13
0.08 -0.44
24.25 2.35
0.78 0.71
343.87 136.23
11.70 -2.11
15.92 10.42
55.79 63.15
0.05 0.24
20.25 17.17
28.10 9.05
1.16 1.69
4.79 3.18
17.51 -0.54
0.77 -1.15
7.51 0.99
17.90 -1.46
32.61 5.54
19.64 -0.65
3.16 -2.03
43.48 15.30
7.44 3.42
54.86 8.59
18.56 1.42
14.80 9.80
0.03 0.18
42.49 19.92
8.44 5.30
111.36 -38.74
10.18 -9.74
15.97 -0.13
54.32 12.16
2.01 4.30
13.83 3.79
24.31 9.61
21.87 9.01
1.59 1.22
5.62 -2.21
1.89 0.99
94.56 -5.05
10.70 -4.48
0.07 0.75
0.00 0.00
53.07 32.47
25.48 28.66
Page 121
22/10/1999
29/10/1999
05/11/1999
12/11/1999
19/11/1999
26/11/1999
03/12/1999
10/12/1999
17/12/1999
24/12/1999
10192.30 0.954925
10382.80 1.018691
10475.50 1.008928
10715.10 1.022872
10771.40 1.005254
11042.20 1.025141
11522.50 1.043497
13386.90 1.161805
12357.80 0.923126
12152.40 0.983379
-4.61
1.85
0.89
2.26
0.52
2.48
4.26
15.00
-8.00
-1.68
Sum
-2.06
Beta
Alpha %
Std. Dev. Of Rndm Error Term %
Std. Error of Beta
Std. Error of Alpha
Correlation Coefficient
Coefficient of Determination
Coefficient of Nondetermination
0.87
-0.75
4.91
0.078
0.218
0.45
0.20
0.80
31.95 0.936127
32.56 1.019092
26.63 0.817875
28.13 1.056327
27.76 0.986847
27.55 0.992435
27.3 0.990926
27.77 1.017216
26.06 0.938423
25.53 0.979662
-6.60 21.27 43.57 30.44
1.89 3.43
3.58 3.50
-20.10 0.79 404.20 -17.87
5.48 5.11 30.03 12.39
-1.32 0.27
1.75 -0.69
-0.76 6.17
0.58 -1.89
-0.91 18.13
0.83 -3.88
1.71 224.92
2.91 25.60
-6.36 63.98 40.39 50.84
-2.05 2.81
4.22 3.44
-79.24 804.67 3105.70 700.40
Page 122
Nasr City for Housing and Development
Date
02/01/1998
09/01/1998
16/01/1998
23/01/1998
30/01/1998
06/02/1998
13/02/1998
20/02/1998
27/02/1998
06/03/1998
13/03/1998
20/03/1998
27/03/1998
03/04/1998
10/04/1998
17/04/1998
24/04/1998
01/05/1998
08/05/1998
15/05/1998
22/05/1998
29/05/1998
05/06/1998
12/06/1998
19/06/1998
26/06/1998
03/07/1998
10/07/1998
17/07/1998
24/07/1998
31/07/1998
07/08/1998
14/08/1998
21/08/1998
28/08/1998
04/09/1998
11/09/1998
18/09/1998
25/09/1998
02/10/1998
09/10/1998
16/10/1998
23/10/1998
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns (X)2
(X) =ln (Vt / Vt-1)
(Y) =ln (Pt / Pt-1)
%
%
12405.40
12227.30 0.985643
12066.30 0.986833
11875.60 0.984196
11619.70 0.978452
11521.00 0.991506
11485.70 0.996936
11541.10 1.004823
11522.70 0.998406
11719.50 1.017079
11772.60 1.004531
11885.70 1.009607
12002.60 1.009835
11976.00 0.997784
11989.00 1.001086
11954.90 0.997156
11824.20 0.989067
11769.60 0.995382
11595.90 0.985242
11295.60 0.974103
11123.40 0.984755
10734.30 0.965020
10454.80 0.973962
10664.80 1.020086
10321.70 0.967829
10300.30 0.997927
10020.40 0.972826
9821.99 0.980199
9709.95 0.988593
9952.34 1.024963
10102.20 1.015058
9862.74 0.976296
9664.70 0.979920
9343.16 0.966730
9011.08 0.964457
9490.19 1.053169
9503.97 1.001452
9533.42 1.003099
9566.63 1.003484
9589.12 1.002351
9432.51 0.983668
9439.63 1.000755
9346.40 0.990124
-1.45
-1.33
-1.59
-2.18
-0.85
-0.31
0.48
-0.16
1.69
0.45
0.96
0.98
-0.22
0.11
-0.28
-1.10
-0.46
-1.49
-2.62
-1.54
-3.56
-2.64
1.99
-3.27
-0.21
-2.76
-2.00
-1.15
2.47
1.49
-2.40
-2.03
-3.38
-3.62
5.18
0.15
0.31
0.35
0.23
-1.65
0.08
-0.99
109.73
107.24 0.977262
107.22 0.999860
106.12 0.989741
105.69 0.995901
103.72 0.981360
100.75 0.971412
98.27 0.975385
100.00 1.017605
101.82 1.018200
100.80 0.989933
102.99 1.021777
106.88 1.037722
105.85 0.990409
106.42 1.005385
106.48 1.000564
106.13 0.996713
104.70 0.986479
103.93 0.992645
100.92 0.971037
96.31 0.954368
96.25 0.999377
91.40 0.949558
91.53 1.001422
87.90 0.960393
83.53 0.950284
81.33 0.973662
73.91 0.908705
67.62 0.914958
77.60 1.147516
80.84 1.041820
78.44 0.970250
73.77 0.940524
70.71 0.958520
68.04 0.962169
72.67 1.068127
73.67 1.013761
72.95 0.990227
74.45 1.020493
74.39 0.999261
71.79 0.964982
62.38 0.868914
61.42 0.984689
-2.30
-0.01
-1.03
-0.41
-1.88
-2.90
-2.49
1.75
1.80
-1.01
2.15
3.70
-0.96
0.54
0.06
-0.33
-1.36
-0.74
-2.94
-4.67
-0.06
-5.18
0.14
-4.04
-5.10
-2.67
-9.57
-8.89
13.76
4.10
-3.02
-6.13
-4.24
-3.86
6.59
1.37
-0.98
2.03
-0.07
-3.56
-14.05
-1.54
(Y)2 (X*Y)
2.09
5.29 3.33
1.76
0.00 0.02
2.54
1.06 1.64
4.75
0.17 0.89
0.73
3.54 1.61
0.09
8.41 0.89
0.23
6.21 -1.20
0.03
3.05 -0.28
2.87
3.25 3.05
0.20
1.02 -0.46
0.91
4.64 2.06
0.96 13.71 3.62
0.05
0.93 0.21
0.01
0.29 0.06
0.08
0.00 -0.02
1.21
0.11 0.36
0.21
1.85 0.63
2.21
0.54 1.10
6.88
8.64 7.71
2.36 21.81 7.18
12.68
0.00 0.22
6.96 26.79 13.66
3.96
0.02 0.28
10.69 16.33 13.21
0.04 26.00 1.06
7.59
7.12 7.35
4.00 91.65 19.15
1.32 78.99 10.20
6.08 189.34 33.93
2.23 16.78 6.12
5.75
9.12 7.25
4.11 37.60 12.44
11.45 17.95 14.33
13.10 14.87 13.96
26.84 43.44 34.14
0.02
1.87 0.20
0.10
0.96 -0.30
0.12
4.12 0.71
0.06
0.01 -0.02
2.71 12.71 5.87
0.01 197.43 -1.06
0.99
2.38 1.53
Page 123
30/10/1998
06/11/1998
13/11/1998
20/11/1998
27/11/1998
04/12/1998
11/12/1998
18/12/1998
25/12/1998
01/01/1999
08/01/1999
15/01/1999
22/01/1999
29/01/1999
05/02/1999
12/02/1999
19/02/1999
26/02/1999
05/03/1999
12/03/1999
19/03/1999
26/03/1999
02/04/1999
09/04/1999
16/04/1999
23/04/1999
30/04/1999
07/05/1999
14/05/1999
21/05/1999
28/05/1999
04/06/1999
11/06/1999
18/06/1999
25/06/1999
02/07/1999
09/07/1999
16/07/1999
23/07/1999
30/07/1999
06/08/1999
13/08/1999
20/08/1999
27/08/1999
03/09/1999
10/09/1999
17/09/1999
24/09/1999
01/10/1999
08/10/1999
15/10/1999
9184.68 0.982697
9132.23 0.994289
9178.22 1.005036
9171.60 0.999279
9068.02 0.988706
9026.21 0.995389
8890.94 0.985014
9025.75 1.015163
9068.91 1.004782
9141.83 1.008041
9838.73 1.076232
9899.59 1.006186
10161.40 1.026447
11057.90 1.088226
10945.90 0.989871
10536.20 0.962570
10717.70 1.017226
10551.00 0.984446
10398.60 0.985556
10412.00 1.001289
10276.50 0.986986
10313.60 1.003610
10349.30 1.003461
10249.40 0.990347
10264.50 1.001473
10382.40 1.011486
10144.30 0.977067
10272.40 1.012628
10154.00 0.988474
10120.50 0.996701
9865.98 0.974851
9770.53 0.990325
10073.70 1.031029
9891.66 0.981929
10261.50 1.037389
9952.82 0.969919
9956.00 1.000320
10121.70 1.016643
9819.62 0.970155
9719.97 0.989852
9532.29 0.980691
9350.49 0.980928
9441.02 1.009682
9353.39 0.990718
9286.50 0.992849
9238.43 0.994824
9365.83 1.013790
9633.55 1.028585
9644.66 1.001153
10084.30 1.045584
10673.40 1.058418
-1.75
-0.57
0.50
-0.07
-1.14
-0.46
-1.51
1.50
0.48
0.80
7.35
0.62
2.61
8.45
-1.02
-3.81
1.71
-1.57
-1.45
0.13
-1.31
0.36
0.35
-0.97
0.15
1.14
-2.32
1.25
-1.16
-0.33
-2.55
-0.97
3.06
-1.82
3.67
-3.05
0.03
1.65
-3.03
-1.02
-1.95
-1.93
0.96
-0.93
-0.72
-0.52
1.37
2.82
0.12
4.46
5.68
53.38 0.869098
56.94 1.066692
53.00 0.930717
51.02 0.962732
51.48 1.009016
51.35 0.997378
51.51 1.003214
51.43 0.998350
51.15 0.994555
51.53 1.007430
55.76 1.082193
56.13 1.006546
57.28 1.020579
68.09 1.188722
64.57 0.948304
59.37 0.919390
62.68 1.055757
61.39 0.979418
57.72 0.940295
55.90 0.968468
54.57 0.976208
53.52 0.980667
55.09 1.029431
53.25 0.966509
55.18 1.036248
53.88 0.976439
52.12 0.967332
49.40 0.947904
44.99 0.910628
45.00 1.000333
45.00 1.000000
43.33 0.962889
42.21 0.974152
40.25 0.953566
39.68 0.985839
37.26 0.939012
37.89 1.016908
38.53 1.016891
39.12 1.015313
38.37 0.980828
39.03 1.017201
38.54 0.987446
37.53 0.973793
35.98 0.958700
35.62 0.989994
35.46 0.995508
37.65 1.061760
39.03 1.036653
37.91 0.971304
41.14 1.085202
43.67 1.061497
-14.03
6.46
-7.18
-3.80
0.90
-0.26
0.32
-0.17
-0.55
0.74
7.90
0.65
2.04
17.29
-5.31
-8.40
5.43
-2.08
-6.16
-3.20
-2.41
-1.95
2.90
-3.41
3.56
-2.38
-3.32
-5.35
-9.36
0.03
0.00
-3.78
-2.62
-4.75
-1.43
-6.29
1.68
1.67
1.52
-1.94
1.71
-1.26
-2.66
-4.22
-1.01
-0.45
5.99
3.60
-2.91
8.18
5.97
3.05 196.84 24.49
0.33 41.68 -3.70
0.25 51.55 -3.61
0.01 14.42 0.27
1.29
0.81 -1.02
0.21
0.07 0.12
2.28
0.10 -0.48
2.26
0.03 -0.25
0.23
0.30 -0.26
0.64
0.55 0.59
53.97 62.39 58.03
0.38
0.43 0.40
6.81
4.15 5.32
71.49 298.87 146.17
1.04 28.18 5.40
14.55 70.64 32.06
2.92 29.44 9.27
2.46
4.33 3.26
2.12 37.90 8.96
0.02 10.27 -0.41
1.72
5.80 3.15
0.13
3.81 -0.70
0.12
8.41 1.00
0.94 11.60 3.30
0.02 12.68 0.52
1.30
5.69 -2.72
5.38 11.03 7.71
1.57 28.63 -6.71
1.34 87.65 10.85
0.11
0.00 -0.01
6.49
0.00 0.00
0.95 14.30 3.68
9.34
6.86 -8.00
3.33 22.61 8.67
13.47
2.03 -5.24
9.33 39.60 19.22
0.00
2.81 0.05
2.72
2.81 2.76
9.18
2.31 -4.60
1.04
3.75 1.97
3.80
2.91 -3.33
3.71
1.60 2.43
0.93
7.05 -2.56
0.87 17.79 3.93
0.52
1.01 0.72
0.27
0.20 0.23
1.88 35.91 8.21
7.94 12.96 10.15
0.01
8.48 -0.34
19.87 66.86 36.45
32.23 35.62 33.88
Page 124
22/10/1999
29/10/1999
05/11/1999
12/11/1999
19/11/1999
26/11/1999
03/12/1999
10/12/1999
17/12/1999
24/12/1999
10192.30 0.954925
10382.80 1.018691
10475.50 1.008928
10715.10 1.022872
10771.40 1.005254
11042.20 1.025141
11522.50 1.043497
13386.90 1.161805
12357.80 0.923126
12152.40 0.983379
-4.61
1.85
0.89
2.26
0.52
2.48
4.26
15.00
-8.00
-1.68
Sum
-2.06
Beta
Alpha %
Std. Dev. Of Rndm Error Term %
Std. Error of Beta
Std. Error of Alpha
Correlation Coefficient
Coefficient of Determination
Coefficient of Nondetermination
0.75
-1.15
4.44
0.074
0.208
0.43
0.18
0.82
42.18 0.965880
36.87 0.874111
34.87 0.945755
35.49 1.017780
35.67 1.005072
33.56 0.940847
35.46 1.056615
34.98 0.986464
36.11 1.032304
33.08 0.916090
-3.47 21.27 12.05 16.01
-13.45 3.43 181.03 -24.92
-5.58 0.79 31.10 -4.96
1.76 5.11
3.11 3.99
0.51 0.27
0.26 0.27
-6.10 6.17 37.18 -15.14
5.51 18.13 30.33 23.45
-1.36 224.92
1.86 -20.44
3.18 63.98 10.11 -25.43
-8.76 2.81 76.81 14.69
-119.91 804.67 2579.54 603.46
Page 125
Abu Keir for Fertilisers
Date
02/01/1998
09/01/1998
16/01/1998
23/01/1998
30/01/1998
06/02/1998
13/02/1998
20/02/1998
27/02/1998
06/03/1998
13/03/1998
20/03/1998
27/03/1998
03/04/1998
10/04/1998
17/04/1998
24/04/1998
01/05/1998
08/05/1998
15/05/1998
22/05/1998
29/05/1998
05/06/1998
12/06/1998
19/06/1998
26/06/1998
03/07/1998
10/07/1998
17/07/1998
24/07/1998
31/07/1998
07/08/1998
14/08/1998
21/08/1998
28/08/1998
04/09/1998
11/09/1998
18/09/1998
25/09/1998
02/10/1998
09/10/1998
16/10/1998
23/10/1998
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns (X)2
(X) =ln (Vt / Vt-1)
(Y) =ln (Pt / Pt-1)
%
%
12405.40
12227.30 0.985643
12066.30 0.986833
11875.60 0.984196
11619.70 0.978452
11521.00 0.991506
11485.70 0.996936
11541.10 1.004823
11522.70 0.998406
11719.50 1.017079
11772.60 1.004531
11885.70 1.009607
12002.60 1.009835
11976.00 0.997784
11989.00 1.001086
11954.90 0.997156
11824.20 0.989067
11769.60 0.995382
11595.90 0.985242
11295.60 0.974103
11123.40 0.984755
10734.30 0.965020
10454.80 0.973962
10664.80 1.020086
10321.70 0.967829
10300.30 0.997927
10020.40 0.972826
9821.99 0.980199
9709.95 0.988593
9952.34 1.024963
10102.20 1.015058
9862.74 0.976296
9664.70 0.979920
9343.16 0.966730
9011.08 0.964457
9490.19 1.053169
9503.97 1.001452
9533.42 1.003099
9566.63 1.003484
9589.12 1.002351
9432.51 0.983668
9439.63 1.000755
9346.40 0.990124
-1.45
-1.33
-1.59
-2.18
-0.85
-0.31
0.48
-0.16
1.69
0.45
0.96
0.98
-0.22
0.11
-0.28
-1.10
-0.46
-1.49
-2.62
-1.54
-3.56
-2.64
1.99
-3.27
-0.21
-2.76
-2.00
-1.15
2.47
1.49
-2.40
-2.03
-3.38
-3.62
5.18
0.15
0.31
0.35
0.23
-1.65
0.08
-0.99
84.59
84.38 0.997517
80.22 0.950699
78.74 0.981551
78.3 0.994412
77.4 0.988506
76.32 0.986047
77.11 1.010351
77.44 1.004280
77.16 0.996384
76.85 0.995982
74.53 0.969811
72.87 0.977727
74.19 1.018114
74.19 1.000000
74.02 0.997709
73.69 0.995542
73.58 0.998507
73.3 0.996195
72.46 0.988540
70.37 0.971157
66.48 0.944721
67.75 1.019103
70.01 1.033358
66.14 0.944722
66.78 1.009676
63.51 0.951033
62.34 0.981578
61.26 0.982676
61.78 1.008488
61.89 1.001781
60.26 0.973663
57.96 0.961832
54.15 0.934265
53.95 0.996307
56.48 1.046895
58.01 1.027089
57.55 0.992070
58.34 1.013727
59.8 1.025026
62.72 1.048829
64.97 1.035874
58.15 0.895028
-0.25
-5.06
-1.86
-0.56
-1.16
-1.41
1.03
0.43
-0.36
-0.40
-3.07
-2.25
1.80
0.00
-0.23
-0.45
-0.15
-0.38
-1.15
-2.93
-5.69
1.89
3.28
-5.69
0.96
-5.02
-1.86
-1.75
0.85
0.18
-2.67
-3.89
-6.80
-0.37
4.58
2.67
-0.80
1.36
2.47
4.77
3.52
-11.09
(Y)2 (X*Y)
2.09
0.06
1.76 25.56
2.54
3.47
4.75
0.31
0.73
1.34
0.09
1.97
0.23
1.06
0.03
0.18
2.87
0.13
0.20
0.16
0.91
9.40
0.96
5.07
0.05
3.22
0.01
0.00
0.08
0.05
1.21
0.20
0.21
0.02
2.21
0.15
6.88
1.33
2.36
8.57
12.68 32.34
6.96
3.58
3.96 10.77
10.69 32.34
0.04
0.93
7.59 25.21
4.00
3.46
1.32
3.05
6.08
0.71
2.23
0.03
5.75
7.12
4.11 15.14
11.45 46.23
13.10
0.14
26.84 21.00
0.02
7.14
0.10
0.63
0.12
1.86
0.06
6.11
2.71 22.73
0.01 12.42
0.99 122.99
Page 126
0.36
6.70
2.97
1.22
0.99
0.43
0.50
-0.07
-0.61
-0.18
-2.93
-2.20
-0.40
0.00
0.07
0.49
0.07
0.57
3.02
4.50
20.25
-4.99
6.53
18.59
-0.20
13.83
3.72
2.00
2.08
0.27
6.40
7.89
23.01
1.34
23.74
0.39
-0.25
0.47
0.58
-7.85
0.27
11.01
30/10/1998
06/11/1998
13/11/1998
20/11/1998
27/11/1998
04/12/1998
11/12/1998
18/12/1998
25/12/1998
01/01/1999
08/01/1999
15/01/1999
22/01/1999
29/01/1999
05/02/1999
12/02/1999
19/02/1999
26/02/1999
05/03/1999
12/03/1999
19/03/1999
26/03/1999
02/04/1999
09/04/1999
16/04/1999
23/04/1999
30/04/1999
07/05/1999
14/05/1999
21/05/1999
28/05/1999
04/06/1999
11/06/1999
18/06/1999
25/06/1999
02/07/1999
09/07/1999
16/07/1999
23/07/1999
30/07/1999
06/08/1999
13/08/1999
20/08/1999
27/08/1999
03/09/1999
10/09/1999
17/09/1999
24/09/1999
01/10/1999
08/10/1999
15/10/1999
9184.68 0.982697
9132.23 0.994289
9178.22 1.005036
9171.60 0.999279
9068.02 0.988706
9026.21 0.995389
8890.94 0.985014
9025.75 1.015163
9068.91 1.004782
9141.83 1.008041
9838.73 1.076232
9899.59 1.006186
10161.40 1.026447
11057.90 1.088226
10945.90 0.989871
10536.20 0.962570
10717.70 1.017226
10551.00 0.984446
10398.60 0.985556
10412.00 1.001289
10276.50 0.986986
10313.60 1.003610
10349.30 1.003461
10249.40 0.990347
10264.50 1.001473
10382.40 1.011486
10144.30 0.977067
10272.40 1.012628
10154.00 0.988474
10120.50 0.996701
9865.98 0.974851
9770.53 0.990325
10073.70 1.031029
9891.66 0.981929
10261.50 1.037389
9952.82 0.969919
9956.00 1.000320
10121.70 1.016643
9819.62 0.970155
9719.97 0.989852
9532.29 0.980691
9350.49 0.980928
9441.02 1.009682
9353.39 0.990718
9286.50 0.992849
9238.43 0.994824
9365.83 1.013790
9633.55 1.028585
9644.66 1.001153
10084.30 1.045584
10673.40 1.058418
-1.75
-0.57
0.50
-0.07
-1.14
-0.46
-1.51
1.50
0.48
0.80
7.35
0.62
2.61
8.45
-1.02
-3.81
1.71
-1.57
-1.45
0.13
-1.31
0.36
0.35
-0.97
0.15
1.14
-2.32
1.25
-1.16
-0.33
-2.55
-0.97
3.06
-1.82
3.67
-3.05
0.03
1.65
-3.03
-1.02
-1.95
-1.93
0.96
-0.93
-0.72
-0.52
1.37
2.82
0.12
4.46
5.68
63.26 1.087876
63.36 1.001581
63.38 1.000316
64.71 1.020985
63.66 0.983774
63.04 0.990261
62.47 0.990958
61.03 0.976949
60.92 0.998198
61.17 1.004104
62.19 1.016675
61.22 0.984403
60.6 0.989873
62.13 1.025248
61.63 0.991952
58.05 0.941911
57.99 0.998966
58.71 1.012416
57.98 0.987566
57.96 0.999655
57.93 0.999482
58.18 1.004316
57.5 0.988312
55.42 0.963826
54.38 0.981234
53.87 0.990622
50.17 0.931316
46.87 0.934224
44.46 0.948581
47.41 1.066352
45.99 0.970049
42.23 0.918243
42.03 0.995264
37.21 0.885320
41.74 1.121741
41.98 1.005750
43.74 1.041925
42.43 0.970050
41.27 0.972661
40 0.969227
37.88 0.947000
38.54 1.017423
39.81 1.032953
41.49 1.042200
41.5 1.000241
41.38 0.997108
39.27 0.949009
40.96 1.043035
40.43 0.987061
40.59 1.003957
40.54 0.998768
8.42
0.16
0.03
2.08
-1.64
-0.98
-0.91
-2.33
-0.18
0.41
1.65
-1.57
-1.02
2.49
-0.81
-5.98
-0.10
1.23
-1.25
-0.03
-0.05
0.43
-1.18
-3.68
-1.89
-0.94
-7.12
-6.80
-5.28
6.42
-3.04
-8.53
-0.47
-12.18
11.49
0.57
4.11
-3.04
-2.77
-3.13
-5.45
1.73
3.24
4.13
0.02
-0.29
-5.23
4.21
-1.30
0.39
-0.12
3.05 70.94 -14.70
0.33
0.02 -0.09
0.25
0.00 0.02
0.01
4.31 -0.15
1.29
2.68 1.86
0.21
0.96 0.45
2.28
0.83 1.37
2.26
5.44 -3.51
0.23
0.03 -0.09
0.64
0.17 0.33
53.97
2.73 12.15
0.38
2.47 -0.97
6.81
1.04 -2.66
71.49
6.22 21.08
1.04
0.65 0.82
14.55 35.81 22.83
2.92
0.01 -0.18
2.46
1.52 -1.93
2.12
1.57 1.82
0.02
0.00 -0.00
1.72
0.00 0.07
0.13
0.19 0.16
0.12
1.38 -0.41
0.94 13.58 3.57
0.02
3.59 -0.28
1.30
0.89 -1.08
5.38 50.63 16.51
1.57 46.29 -8.54
1.34 27.87 6.12
0.11 41.27 -2.12
6.49
9.25 7.75
0.95 72.75 8.29
9.34
0.23 -1.45
3.33 148.37 22.21
13.47 131.98 42.17
9.33
0.33 -1.75
0.00 16.87 0.13
2.72
9.25 -5.02
9.18
7.68 8.40
1.04
9.77 3.19
3.80 29.65 10.62
3.71
2.98 -3.33
0.93 10.51 3.12
0.87 17.09 -3.85
0.52
0.00 -0.02
0.27
0.08 0.15
1.88 27.39 -7.17
7.94 17.75 11.88
0.01
1.70 -0.15
19.87
0.16 1.76
32.23
0.02 -0.70
Page 127
22/10/1999
29/10/1999
05/11/1999
12/11/1999
19/11/1999
26/11/1999
03/12/1999
10/12/1999
17/12/1999
24/12/1999
10192.30 0.954925
10382.80 1.018691
10475.50 1.008928
10715.10 1.022872
10771.40 1.005254
11042.20 1.025141
11522.50 1.043497
13386.90 1.161805
12357.80 0.923126
12152.40 0.983379
-4.61
1.85
0.89
2.26
0.52
2.48
4.26
15.00
-8.00
-1.68
Sum
-2.06
Beta
Alpha %
Std. Dev. Of Rndm Error Term %
Std. Error of Beta
Std. Error of Alpha
Correlation Coefficient
Coefficient of Determination
Coefficient of Nondetermination
0.47
-0.94
3.89
0.070
0.194
0.33
0.11
0.89
39.84 0.982733
32.68 0.820281
32.01 0.979498
31.64 0.988441
29.8 0.941846
29.52 0.990604
29.98 1.015583
32.6 1.087392
33.03 1.013190
31.65 0.958220
-1.74 21.27
3.03 8.03
-19.81 3.43 392.47 -36.69
-2.07 0.79
4.29 -1.84
-1.16 5.11
1.35 -2.63
-5.99 0.27 35.90 -3.14
-0.94 6.17
0.89 -2.34
1.55 18.13
2.39 6.58
8.38 224.92 70.19 125.65
1.31 63.98
1.72 -10.48
-4.27 2.81 18.21 7.15
-98.31 804.67 1805.53 383.54
Page 128
Egyptian Financial and Industrial
Date
02/01/1998
09/01/1998
16/01/1998
23/01/1998
30/01/1998
06/02/1998
13/02/1998
20/02/1998
27/02/1998
06/03/1998
13/03/1998
20/03/1998
27/03/1998
03/04/1998
10/04/1998
17/04/1998
24/04/1998
01/05/1998
08/05/1998
15/05/1998
22/05/1998
29/05/1998
05/06/1998
12/06/1998
19/06/1998
26/06/1998
03/07/1998
10/07/1998
17/07/1998
24/07/1998
31/07/1998
07/08/1998
14/08/1998
21/08/1998
28/08/1998
04/09/1998
11/09/1998
18/09/1998
25/09/1998
02/10/1998
09/10/1998
16/10/1998
23/10/1998
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns (X)2
(X) =ln (Vt / Vt-1)
(Y) =ln (Pt / Pt-1)
%
%
12405.40
12227.30 0.985643
12066.30 0.986833
11875.60 0.984196
11619.70 0.978452
11521.00 0.991506
11485.70 0.996936
11541.10 1.004823
11522.70 0.998406
11719.50 1.017079
11772.60 1.004531
11885.70 1.009607
12002.60 1.009835
11976.00 0.997784
11989.00 1.001086
11954.90 0.997156
11824.20 0.989067
11769.60 0.995382
11595.90 0.985242
11295.60 0.974103
11123.40 0.984755
10734.30 0.965020
10454.80 0.973962
10664.80 1.020086
10321.70 0.967829
10300.30 0.997927
10020.40 0.972826
9821.99 0.980199
9709.95 0.988593
9952.34 1.024963
10102.20 1.015058
9862.74 0.976296
9664.70 0.979920
9343.16 0.966730
9011.08 0.964457
9490.19 1.053169
9503.97 1.001452
9533.42 1.003099
9566.63 1.003484
9589.12 1.002351
9432.51 0.983668
9439.63 1.000755
9346.40 0.990124
-1.45
-1.33
-1.59
-2.18
-0.85
-0.31
0.48
-0.16
1.69
0.45
0.96
0.98
-0.22
0.11
-0.28
-1.10
-0.46
-1.49
-2.62
-1.54
-3.56
-2.64
1.99
-3.27
-0.21
-2.76
-2.00
-1.15
2.47
1.49
-2.40
-2.03
-3.38
-3.62
5.18
0.15
0.31
0.35
0.23
-1.65
0.08
-0.99
102.51
101.99 0.994879
100.39 0.984311
100.21 0.998257
96.30 0.960982
90.51 0.939875
88.48 0.977572
88.23 0.997175
88.47 1.002720
84.05 0.950040
89.03 1.059191
91.74 1.030497
93.87 1.023218
94.48 1.006498
95.69 1.012754
96.00 1.003292
95.81 0.998021
96.00 1.001983
94.49 0.984271
93.70 0.991639
86.61 0.924333
84.78 0.978871
83.21 0.981481
82.70 0.993871
79.44 0.960580
76.51 0.963117
72.11 0.942491
67.44 0.935238
66.08 0.979834
60.82 0.920400
61.69 1.014305
59.79 0.969201
60.34 1.009199
58.03 0.961717
56.08 0.966397
59.44 1.059914
57.24 0.962988
57.54 1.005241
59.06 1.026416
60.25 1.020149
59.59 0.989046
59.13 0.992281
58.60 0.991037
-0.51
-1.58
-0.17
-3.98
-6.20
-2.27
-0.28
0.27
-5.13
5.75
3.00
2.30
0.65
1.27
0.33
-0.20
0.20
-1.59
-0.84
-7.87
-2.14
-1.87
-0.61
-4.02
-3.76
-5.92
-6.70
-2.04
-8.29
1.42
-3.13
0.92
-3.90
-3.42
5.82
-3.77
0.52
2.61
1.99
-1.10
-0.77
-0.90
2.09
1.76
2.54
4.75
0.73
0.09
0.23
0.03
2.87
0.20
0.91
0.96
0.05
0.01
0.08
1.21
0.21
2.21
6.88
2.36
12.68
6.96
3.96
10.69
0.04
7.59
4.00
1.32
6.08
2.23
5.75
4.11
11.45
13.10
26.84
0.02
0.10
0.12
0.06
2.71
0.01
0.99
(Y)2 (X*Y)
0.26
2.50
0.03
15.84
38.45
5.15
0.08
0.07
26.27
33.07
9.02
5.27
0.42
1.61
0.11
0.04
0.04
2.51
0.70
61.91
4.56
3.49
0.38
16.17
14.12
35.08
44.83
4.15
68.80
2.02
9.79
0.84
15.24
11.68
33.86
14.22
0.27
6.80
3.98
1.21
0.60
0.81
Page 129
0.74
2.10
0.28
8.67
5.29
0.70
-0.14
-0.04
-8.68
2.60
2.87
2.25
-0.14
0.14
-0.09
0.22
-0.09
2.36
2.20
12.09
7.60
4.93
-1.22
13.15
0.78
16.32
13.39
2.34
-20.45
2.12
7.50
-1.86
13.21
12.37
30.14
-0.55
0.16
0.91
0.47
1.81
-0.06
0.89
30/10/1998
06/11/1998
13/11/1998
20/11/1998
27/11/1998
04/12/1998
11/12/1998
18/12/1998
25/12/1998
01/01/1999
08/01/1999
15/01/1999
22/01/1999
29/01/1999
05/02/1999
12/02/1999
19/02/1999
26/02/1999
05/03/1999
12/03/1999
19/03/1999
26/03/1999
02/04/1999
09/04/1999
16/04/1999
23/04/1999
30/04/1999
07/05/1999
14/05/1999
21/05/1999
28/05/1999
04/06/1999
11/06/1999
18/06/1999
25/06/1999
02/07/1999
09/07/1999
16/07/1999
23/07/1999
30/07/1999
06/08/1999
13/08/1999
20/08/1999
27/08/1999
03/09/1999
10/09/1999
17/09/1999
24/09/1999
01/10/1999
08/10/1999
15/10/1999
9184.68 0.982697
9132.23 0.994289
9178.22 1.005036
9171.60 0.999279
9068.02 0.988706
9026.21 0.995389
8890.94 0.985014
9025.75 1.015163
9068.91 1.004782
9141.83 1.008041
9838.73 1.076232
9899.59 1.006186
10161.40 1.026447
11057.90 1.088226
10945.90 0.989871
10536.20 0.962570
10717.70 1.017226
10551.00 0.984446
10398.60 0.985556
10412.00 1.001289
10276.50 0.986986
10313.60 1.003610
10349.30 1.003461
10249.40 0.990347
10264.50 1.001473
10382.40 1.011486
10144.30 0.977067
10272.40 1.012628
10154.00 0.988474
10120.50 0.996701
9865.98 0.974851
9770.53 0.990325
10073.70 1.031029
9891.66 0.981929
10261.50 1.037389
9952.82 0.969919
9956.00 1.000320
10121.70 1.016643
9819.62 0.970155
9719.97 0.989852
9532.29 0.980691
9350.49 0.980928
9441.02 1.009682
9353.39 0.990718
9286.50 0.992849
9238.43 0.994824
9365.83 1.013790
9633.55 1.028585
9644.66 1.001153
10084.30 1.045584
10673.40 1.058418
-1.75
-0.57
0.50
-0.07
-1.14
-0.46
-1.51
1.50
0.48
0.80
7.35
0.62
2.61
8.45
-1.02
-3.81
1.71
-1.57
-1.45
0.13
-1.31
0.36
0.35
-0.97
0.15
1.14
-2.32
1.25
-1.16
-0.33
-2.55
-0.97
3.06
-1.82
3.67
-3.05
0.03
1.65
-3.03
-1.02
-1.95
-1.93
0.96
-0.93
-0.72
-0.52
1.37
2.82
0.12
4.46
5.68
58.67 1.001195
58.24 0.992671
57.77 0.991930
57.75 0.999654
57.66 0.998442
57.67 1.000173
57.24 0.992544
56.76 0.991614
56.25 0.991015
56.27 1.000356
58.76 1.044251
59.44 1.011572
61.72 1.038358
68.28 1.106286
64.60 0.946104
60.61 0.938235
60.23 0.993730
59.49 0.987714
56.56 0.950748
56.42 0.997525
56.20 0.996101
54.88 0.976512
55.68 1.014577
54.98 0.987428
53.54 0.973809
54.42 1.016436
52.66 0.967659
52.29 0.992974
50.22 0.960413
51.34 1.022302
47.81 0.931243
46.64 0.975528
46.37 0.994211
44.42 0.957947
42.89 0.965556
42.39 0.988342
41.52 0.979476
37.82 0.910886
36.57 0.966949
37.48 1.024884
36.72 0.979723
35.75 0.973584
34.72 0.971189
34.72 1.000000
33.20 0.956221
32.07 0.965964
31.66 0.987215
31.89 1.007265
31.50 0.987770
33.36 1.059048
34.45 1.032674
0.12
-0.74
-0.81
-0.03
-0.16
0.02
-0.75
-0.84
-0.90
0.04
4.33
1.15
3.76
10.10
-5.54
-6.38
-0.63
-1.24
-5.05
-0.25
-0.39
-2.38
1.45
-1.27
-2.65
1.63
-3.29
-0.71
-4.04
2.21
-7.12
-2.48
-0.58
-4.30
-3.51
-1.17
-2.07
-9.33
-3.36
2.46
-2.05
-2.68
-2.92
0.00
-4.48
-3.46
-1.29
0.72
-1.23
5.74
3.22
3.05
0.01 -0.21
0.33
0.54 0.42
0.25
0.66 -0.41
0.01
0.00 0.00
1.29
0.02 0.18
0.21
0.00 -0.01
2.28
0.56 1.13
2.26
0.71 -1.27
0.23
0.81 -0.43
0.64
0.00 0.03
53.97 18.75 31.81
0.38
1.32 0.71
6.81 14.17 9.83
71.49 102.03 85.40
1.04 30.69 5.64
14.55 40.65 24.32
2.92
0.40 -1.07
2.46
1.53 1.94
2.12 25.51 7.35
0.02
0.06 -0.03
1.72
0.15 0.51
0.13
5.65 -0.86
0.12
2.09 0.50
0.94
1.60 1.23
0.02
7.04 -0.39
1.30
2.66 1.86
5.38 10.81 7.63
1.57
0.50 -0.88
1.34 16.31 4.68
0.11
4.87 -0.73
6.49 50.74 18.14
0.95
6.14 2.41
9.34
0.34 -1.77
3.33 18.46 7.83
13.47 12.29 -12.87
9.33
1.38 3.58
0.00
4.30 -0.07
2.72 87.12 -15.41
9.18 11.30 10.18
1.04
6.04 -2.51
3.80
4.20 3.99
3.71
7.17 5.16
0.93
8.55 -2.82
0.87
0.00 0.00
0.52 20.04 3.21
0.27 11.99 1.80
1.88
1.66 -1.76
7.94
0.52 2.04
0.01
1.51 -0.14
19.87 32.91 25.57
32.23 10.34 18.25
Page 130
22/10/1999
29/10/1999
05/11/1999
12/11/1999
19/11/1999
26/11/1999
03/12/1999
10/12/1999
17/12/1999
24/12/1999
10192.30 0.954925
10382.80 1.018691
10475.50 1.008928
10715.10 1.022872
10771.40 1.005254
11042.20 1.025141
11522.50 1.043497
13386.90 1.161805
12357.80 0.923126
12152.40 0.983379
-4.61
1.85
0.89
2.26
0.52
2.48
4.26
15.00
-8.00
-1.68
Sum
-2.06
Beta
Alpha %
Std. Dev. Of Rndm Error Term %
Std. Error of Beta
Std. Error of Alpha
Correlation Coefficient
Coefficient of Determination
Coefficient of Nondetermination
0.86
-1.26
2.86
0.060
0.167
0.65
0.42
0.58
32.00 0.928882
32.10 1.003125
28.64 0.892212
28.20 0.984637
28.28 1.002837
27.58 0.975248
27.96 1.013778
31.85 1.139127
28.40 0.891680
27.54 0.969718
-7.38 21.27 54.42 34.03
0.31 3.43
0.10 0.58
-11.41 0.79 130.08 -10.14
-1.55 5.11
2.40 -3.50
0.28 0.27
0.08 0.15
-2.51 6.17
6.28 -6.22
1.37 18.13
1.87 5.83
13.03 224.92 169.68 195.36
-11.46 63.98 131.44 91.71
-3.07 2.81
9.46 5.15
-131.43 804.67 1589.17 693.92
Page 131
Paints and Chemical Industries (PACHIN)
Date
02/01/1998
09/01/1998
16/01/1998
23/01/1998
30/01/1998
06/02/1998
13/02/1998
20/02/1998
27/02/1998
06/03/1998
13/03/1998
20/03/1998
27/03/1998
03/04/1998
10/04/1998
17/04/1998
24/04/1998
01/05/1998
08/05/1998
15/05/1998
22/05/1998
29/05/1998
05/06/1998
12/06/1998
19/06/1998
26/06/1998
03/07/1998
10/07/1998
17/07/1998
24/07/1998
31/07/1998
07/08/1998
14/08/1998
21/08/1998
28/08/1998
04/09/1998
11/09/1998
18/09/1998
25/09/1998
02/10/1998
09/10/1998
16/10/1998
23/10/1998
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns (X)2
(X) =ln (Vt / Vt-1)
(Y) =ln (Pt / Pt-1)
%
%
12405.40
12227.30
12066.30
11875.60
11619.70
11521.00
11485.70
11541.10
11522.70
11719.50
11772.60
11885.70
12002.60
11976.00
11989.00
11954.90
11824.20
11769.60
11595.90
11295.60
11123.40
10734.30
10454.80
10664.80
10321.70
10300.30
10020.40
9821.99
9709.95
9952.34
10102.20
9862.74
9664.70
9343.16
9011.08
9490.19
9503.97
9533.42
9566.63
9589.12
9432.51
9439.63
9346.40
0.985643
0.986833
0.984196
0.978452
0.991506
0.996936
1.004823
0.998406
1.017079
1.004531
1.009607
1.009835
0.997784
1.001086
0.997156
0.989067
0.995382
0.985242
0.974103
0.984755
0.965020
0.973962
1.020086
0.967829
0.997927
0.972826
0.980199
0.988593
1.024963
1.015058
0.976296
0.979920
0.966730
0.964457
1.053169
1.001452
1.003099
1.003484
1.002351
0.983668
1.000755
0.990124
-1.45
-1.33
-1.59
-2.18
-0.85
-0.31
0.48
-0.16
1.69
0.45
0.96
0.98
-0.22
0.11
-0.28
-1.10
-0.46
-1.49
-2.62
-1.54
-3.56
-2.64
1.99
-3.27
-0.21
-2.76
-2.00
-1.15
2.47
1.49
-2.40
-2.03
-3.38
-3.62
5.18
0.15
0.31
0.35
0.23
-1.65
0.08
-0.99
53.86
52.01 0.965649
51.21 0.984617
46.40 0.906162
48.46 1.044289
48.50 1.000929
52.40 1.080412
56.64 1.080821
56.48 0.997263
57.09 1.010800
57.79 1.012261
58.35 1.009690
58.00 0.994002
57.92 0.998621
57.52 0.993094
57.45 0.998696
57.43 0.999652
56.13 0.977362
57.50 1.024410
56.37 0.980433
53.38 0.946869
47.72 0.893958
49.66 1.040763
51.50 1.037052
51.84 1.006602
50.13 0.966917
48.36 0.964688
47.13 0.974563
47.50 1.007851
47.97 1.009896
47.89 0.998332
47.00 0.981414
43.55 0.926588
40.41 0.927891
36.85 0.912016
39.35 1.067843
42.91 1.090343
44.28 1.031931
46.73 1.055449
46.70 0.999251
45.99 0.984902
45.13 0.981300
47.18 1.045314
-3.50
-1.55
-9.85
4.33
0.09
7.73
7.77
-0.27
1.07
1.22
0.96
-0.60
-0.14
-0.69
-0.13
-0.03
-2.29
2.41
-1.98
-5.46
-11.21
4.00
3.64
0.66
-3.36
-3.60
-2.58
0.78
0.98
-0.17
-1.88
-7.62
-7.48
-9.21
6.56
8.65
3.14
5.40
-0.07
-1.52
-1.89
4.43
(Y)2 (X*Y)
2.09 12.22 5.05
1.76
2.40 2.05
2.54 97.10 15.70
4.75 18.78 -9.44
0.73
0.01 -0.08
0.09 59.82 -2.37
0.23 60.40 3.74
0.03
0.08 0.04
2.87
1.15 1.82
0.20
1.49 0.55
0.91
0.93 0.92
0.96
0.36 -0.59
0.05
0.02 0.03
0.01
0.48 -0.08
0.08
0.02 0.04
1.21
0.00 0.04
0.21
5.24 1.06
2.21
5.82 -3.59
6.88
3.90 5.18
2.36 29.81 8.39
12.68 125.66 39.91
6.96 15.96 -10.54
3.96 13.24 7.24
10.69
0.43 -2.15
0.04 11.32 0.70
7.59 12.92 9.90
4.00
6.64 5.15
1.32
0.61 -0.90
6.08
0.97 2.43
2.23
0.03 -0.25
5.75
3.52 4.50
4.11 58.14 15.47
11.45 56.01 25.32
13.10 84.82 33.33
26.84 43.09 34.00
0.02 74.81 1.25
0.10
9.88 0.97
0.12 29.12 1.88
0.06
0.01 -0.02
2.71
2.31 2.51
0.01
3.56 -0.14
0.99 19.64 -4.40
Page 132
30/10/1998
06/11/1998
13/11/1998
20/11/1998
27/11/1998
04/12/1998
11/12/1998
18/12/1998
25/12/1998
01/01/1999
08/01/1999
15/01/1999
22/01/1999
29/01/1999
05/02/1999
12/02/1999
19/02/1999
26/02/1999
05/03/1999
12/03/1999
19/03/1999
26/03/1999
02/04/1999
09/04/1999
16/04/1999
23/04/1999
30/04/1999
07/05/1999
14/05/1999
21/05/1999
28/05/1999
04/06/1999
11/06/1999
18/06/1999
25/06/1999
02/07/1999
09/07/1999
16/07/1999
23/07/1999
30/07/1999
06/08/1999
13/08/1999
20/08/1999
27/08/1999
03/09/1999
10/09/1999
17/09/1999
24/09/1999
01/10/1999
08/10/1999
15/10/1999
9184.68
9132.23
9178.22
9171.60
9068.02
9026.21
8890.94
9025.75
9068.91
9141.83
9838.73
9899.59
10161.40
11057.90
10945.90
10536.20
10717.70
10551.00
10398.60
10412.00
10276.50
10313.60
10349.30
10249.40
10264.50
10382.40
10144.30
10272.40
10154.00
10120.50
9865.98
9770.53
10073.70
9891.66
10261.50
9952.82
9956.00
10121.70
9819.62
9719.97
9532.29
9350.49
9441.02
9353.39
9286.50
9238.43
9365.83
9633.55
9644.66
10084.30
10673.40
0.982697
0.994289
1.005036
0.999279
0.988706
0.995389
0.985014
1.015163
1.004782
1.008041
1.076232
1.006186
1.026447
1.088226
0.989871
0.962570
1.017226
0.984446
0.985556
1.001289
0.986986
1.003610
1.003461
0.990347
1.001473
1.011486
0.977067
1.012628
0.988474
0.996701
0.974851
0.990325
1.031029
0.981929
1.037389
0.969919
1.000320
1.016643
0.970155
0.989852
0.980691
0.980928
1.009682
0.990718
0.992849
0.994824
1.013790
1.028585
1.001153
1.045584
1.058418
-1.75
-0.57
0.50
-0.07
-1.14
-0.46
-1.51
1.50
0.48
0.80
7.35
0.62
2.61
8.45
-1.02
-3.81
1.71
-1.57
-1.45
0.13
-1.31
0.36
0.35
-0.97
0.15
1.14
-2.32
1.25
-1.16
-0.33
-2.55
-0.97
3.06
-1.82
3.67
-3.05
0.03
1.65
-3.03
-1.02
-1.95
-1.93
0.96
-0.93
-0.72
-0.52
1.37
2.82
0.12
4.46
5.68
49.37 1.046423
44.50 0.901448
45.74 1.027865
42.86 0.937035
41.53 0.968969
38.87 0.935950
34.65 0.891433
34.90 1.007215
34.68 0.993696
35.00 1.009227
39.62 1.131857
40.63 1.025495
43.58 1.072615
42.46 0.974412
42.03 0.989873
39.05 0.928979
40.49 1.036881
39.00 0.963196
37.09 0.951019
37.33 1.006606
36.65 0.981784
35.48 0.967940
35.64 1.004651
35.03 0.982884
37.72 1.076649
37.11 0.983826
36.49 0.983291
35.93 0.984651
35.08 0.976479
36.50 1.040336
34.87 0.955336
35.13 1.007601
35.97 1.023769
34.77 0.966634
33.75 0.970804
34.98 1.036296
34.87 0.996998
35.05 1.005019
34.46 0.983307
33.59 0.974753
31.62 0.941203
30.22 0.955717
31.49 1.042032
31.09 0.987454
30.72 0.988099
30.65 0.997559
31.50 1.027900
31.64 1.004444
31.63 0.999526
33.17 1.048854
33.92 1.022460
4.54
-10.38
2.75
-6.50
-3.15
-6.62
-11.49
0.72
-0.63
0.92
12.39
2.52
7.01
-2.59
-1.02
-7.37
3.62
-3.75
-5.02
0.66
-1.84
-3.26
0.46
-1.73
7.39
-1.63
-1.69
-1.55
-2.38
3.95
-4.57
0.76
2.35
-3.39
-2.96
3.57
-0.30
0.50
-1.68
-2.56
-6.06
-4.53
4.12
-1.26
-1.20
-0.24
2.75
0.44
-0.05
4.77
2.22
3.05 20.59 -7.92
0.33 107.65 5.94
0.25
7.55 1.38
0.01 42.29 0.47
1.29
9.94 3.58
0.21 43.82 3.06
2.28 132.08 17.35
2.26
0.52 1.08
0.23
0.40 -0.30
0.64
0.84 0.74
53.97 153.41 90.99
0.38
6.34 1.55
6.81 49.14 18.30
71.49
6.72 -21.92
1.04
1.04 1.04
14.55 54.27 28.10
2.92 13.12 6.19
2.46 14.06 5.88
2.12 25.22 7.31
0.02
0.43 0.08
1.72
3.38 2.41
0.13 10.62 -1.17
0.12
0.22 0.16
0.94
2.98 1.67
0.02 54.54 1.09
1.30
2.66 -1.86
5.38
2.84 3.91
1.57
2.39 -1.94
1.34
5.67 2.76
0.11 15.64 -1.31
6.49 20.88 11.64
0.95
0.57 -0.74
9.34
5.52 7.18
3.33 11.52 6.19
13.47
8.78 -10.88
9.33 12.71 -10.89
0.00
0.09 -0.01
2.72
0.25 0.83
9.18
2.83 5.10
1.04
6.54 2.61
3.80 36.72 11.81
3.71 20.51 8.72
0.93 16.95 3.97
0.87
1.59 1.18
0.52
1.43 0.86
0.27
0.06 0.13
1.88
7.57 3.77
7.94
0.20 1.25
0.01
0.00 -0.01
19.87 22.75 21.26
32.23
4.93 12.61
Page 133
22/10/1999
29/10/1999
05/11/1999
12/11/1999
19/11/1999
26/11/1999
03/12/1999
10/12/1999
17/12/1999
24/12/1999
10192.30
10382.80
10475.50
10715.10
10771.40
11042.20
11522.50
13386.90
12357.80
12152.40
0.954925
1.018691
1.008928
1.022872
1.005254
1.025141
1.043497
1.161805
0.923126
0.983379
-4.61
1.85
0.89
2.26
0.52
2.48
4.26
15.00
-8.00
-1.68
Sum
-2.06
Beta
Alpha %
Std. Dev. Of Rndm Error Term %
Std. Error of Beta
Std. Error of Alpha
Correlation Coefficient
Coefficient of Determination
Coefficient of Nondetermination
0.78
-0.71
4.10
0.071
0.200
0.47
0.22
0.78
31.27 0.922011
31.62 1.011193
32.49 1.027514
32.35 0.995537
28.41 0.878343
27.55 0.969553
26.84 0.974406
28.53 1.062779
25.92 0.908501
25.53 0.984951
-8.12 21.27 65.93 37.45
1.11 3.43
1.24 2.06
2.71 0.79
7.37 2.41
-0.45 5.11
0.20 -1.01
-12.97 0.27 168.27 -6.80
-3.09 6.17
9.56 -7.68
-2.59 18.13
6.72 -11.04
6.09 224.92 37.07 91.32
-9.60 63.98 92.08 76.76
-1.52 2.81
2.30 2.54
-74.66 804.67 2236.23 625.86
Page 134
Appendix C
Calculations of Abnormal Returns around dividends and acquisitions announcements
were based on 42 daily observations of index values and securities prices surrounding
the Announcement date for each case.
In the calculation, continuous compounding of both index and securities returns was
assumed. This can be shown by the following mathematical formulae:
rM = ln (Vt / Vt-1)
(4.2.1)
ri = ln (Pt / Pt-1)
(4.2.2)
Where,
rM
index return
Vt
index value at date t
Vt-1
index value at date t-1
ri
return on security i
Pt
security price at date t
Pt-1
security price at date t-1
ln
natural logarithm for value calculated
The following are the detailed calculations of Abnormal Returns for Acquisitions and
Dividend announcements.
Page 135
Helwan Portland Cement - Takeover
Date
05/08/2001
06/08/2001
07/08/2001
08/08/2001
09/08/2001
12/08/2001
13/08/2001
14/08/2001
15/08/2001
16/08/2001
19/08/2001
20/08/2001
21/08/2001
22/08/2001
23/08/2001
26/08/2001
27/08/2001
28/08/2001
29/08/2001
30/08/2001
02/09/2001
03/09/2001
04/09/2001
Index Value (Vt / Vt-1) Index Returns
5,241.03
5,384.87
5,453.06
5,457.79
5,535.72
5,623.56
5,772.88
5,890.18
5,694.31
5,619.18
5,746.54
5,744.22
5,635.72
5,579.23
5,647.62
5,621.88
5,667.47
5,784.48
5,777.00
5,957.84
6,150.99
6,233.83
6,316.07
Stock Price (Pt / Pt-1) Stock Returns
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
αi
βi
%
βirM
%
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
27.43
1.027445
1.012663
1.000867
1.014279
1.015868
1.026553
1.020319
0.966746
0.986806
1.022665
0.999596
0.981111
0.989976
1.012258
0.995442
1.008109
1.020646
0.998707
1.031303
1.032419
1.013468
1.013193
0.03
0.01
0.00
0.01
0.02
0.03
0.02
-0.03
-0.01
0.02
-0.00
-0.02
-0.01
0.01
-0.00
0.01
0.02
-0.00
0.03
0.03
0.01
0.01
28.17
28.01
27.87
28.42
29.70
31.07
32.54
31.09
32.26
33.80
33.18
31.70
31.75
32.41
32.22
32.39
33.98
35.61
37.39
37.39
39.26
41.22
1.026978
0.994320
0.995002
1.019734
1.045039
1.046128
1.047313
0.955439
1.037633
1.047737
0.981657
0.955395
1.001577
1.020787
0.994138
1.005276
1.049089
1.047969
1.049986
1.000000
1.050013
1.049924
0.03
-0.01
-0.01
0.02
0.04
0.05
0.05
-0.05
0.04
0.05
-0.02
-0.05
0.00
0.02
-0.01
0.01
0.05
0.05
0.05
0.00
0.05
0.05
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.02
0.01
0.00
0.01
0.01
0.02
0.02
-0.03
-0.01
0.02
-0.00
-0.02
-0.01
0.01
-0.00
0.01
0.02
-0.00
0.03
0.03
0.01
0.01
-0.54
-0.55
-0.56
-0.55
-0.55
-0.54
-0.55
-0.59
-0.58
-0.55
-0.56
-0.58
-0.57
-0.55
-0.57
-0.56
-0.55
-0.57
-0.54
-0.54
-0.55
-0.55
0.57
0.55
0.56
0.57
0.59
0.59
0.59
0.55
0.61
0.59
0.55
0.53
0.57
0.57
0.56
0.56
0.59
0.61
0.59
0.54
0.60
0.60
1.12
1.67
2.25
2.84
3.43
4.02
4.57
5.18
5.77
6.32
6.85
7.43
8.00
8.57
9.13
9.72
10.34
10.92
11.46
12.06
12.66
Page 136
05/09/2001
06/09/2001
09/09/2001
10/09/2001
11/09/2001
12/09/2001
13/09/2001
16/09/2001
17/09/2001
18/09/2001
19/09/2001
20/09/2001
23/09/2001
24/09/2001
25/09/2001
26/09/2001
27/09/2001
30/09/2001
01/10/2001
6,471.04
6,427.37
6,325.84
6,406.95
6,465.08
6,226.90
6,263.37
6,241.89
6,094.00
6,013.22
6,207.30
6,148.17
5,970.12
5,888.09
5,817.27
5,701.92
5,619.25
5,642.78
5,682.52
1.024536
0.993251
0.984203
1.012822
1.009073
0.963159
1.005857
0.996571
0.976307
0.986744
1.032276
0.990474
0.971040
0.986260
0.987972
0.980171
0.985501
1.004187
1.007043
0.02
-0.01
-0.02
0.01
0.01
-0.04
0.01
-0.00
-0.02
-0.01
0.03
-0.01
-0.03
-0.01
-0.01
-0.02
-0.01
0.00
0.01
43.28
45.44
47.70
45.41
43.44
43.44
45.61
51.10
51.10
51.10
51.10
51.10
51.10
51.03
51.03
51.03
51.03
48.48
48.48
1.049976
1.049908
1.049736
0.951992
0.956617
1.000000
1.049954
1.120368
1.000000
1.000000
1.000000
1.000000
1.000000
0.998630
1.000000
1.000000
1.000000
0.950029
1.000000
0.05
0.05
0.05
-0.05
-0.04
0.00
0.05
0.11
0.00
0.00
0.00
0.00
0.00
-0.00
0.00
0.00
0.00
-0.05
0.00
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.02
-0.01
-0.01
0.01
0.01
-0.03
0.00
-0.00
-0.02
-0.01
0.03
-0.01
-0.03
-0.01
-0.01
-0.02
-0.01
0.00
0.01
-0.54
-0.57
-0.58
-0.55
-0.56
-0.60
-0.56
-0.57
-0.58
-0.58
-0.54
-0.57
-0.59
-0.58
-0.57
-0.58
-0.58
-0.56
-0.56
0.59
0.62
0.63
0.50
0.51
0.60
0.61
0.68
0.58
0.58
0.54
0.57
0.59
0.57
0.57
0.58
0.58
0.51
0.56
13.25
13.87
14.50
15.00
15.52
16.11
16.72
17.40
17.99
18.56
19.10
19.67
20.26
20.84
21.41
21.99
22.57
23.08
23.64
Page 137
Suez Cement - Takeover
Date
22/08/2001
23/08/2001
26/08/2001
27/08/2001
28/08/2001
29/08/2001
30/08/2001
02/09/2001
03/09/2001
04/09/2001
05/09/2001
06/09/2001
09/09/2001
10/09/2001
11/09/2001
12/09/2001
13/09/2001
16/09/2001
17/09/2001
18/09/2001
19/09/2001
Index Value (Vt / Vt-1) Index Returns
5,579.23
5,647.62
5,621.88
5,667.47
5,784.48
5,777.00
5,957.84
6,150.99
6,233.83
6,316.07
6,471.04
6,427.37
6,325.84
6,406.95
6,465.08
6,226.90
6,263.37
6,241.89
6,094.00
6,013.22
6,207.30
Stock Price (Pt / Pt-1) Stock Returns
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
αi
βi
%
βirM
%
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
32.72
1.012258
0.995442
1.008109
1.020646
0.998707
1.031303
1.032419
1.013468
1.013193
1.024536
0.993251
0.984203
1.012822
1.009073
0.963159
1.005857
0.996571
0.976307
0.986744
1.032276
0.01
-0.00
0.01
0.02
-0.00
0.03
0.03
0.01
0.01
0.02
-0.01
-0.02
0.01
0.01
-0.04
0.01
-0.00
-0.02
-0.01
0.03
33.23
32.57
32.87
34.51
35.69
36.62
37.08
36.54
36.35
37.65
38.29
38.28
38.66
38.91
37.00
38.49
39.11
38.28
36.75
38.29
1.015587
0.980138
1.009211
1.049894
1.034193
1.026058
1.012561
0.985437
0.994800
1.035763
1.016999
0.999739
1.009927
1.006467
0.950912
1.040270
1.016108
0.978778
0.960031
1.041905
0.02
-0.02
0.01
0.05
0.03
0.03
0.01
-0.01
-0.01
0.04
0.02
-0.00
0.01
0.01
-0.05
0.04
0.02
-0.02
-0.04
0.04
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
0.02
-0.01
0.01
0.03
-0.00
0.04
0.04
0.02
0.02
0.03
-0.01
-0.02
0.02
0.01
-0.05
0.01
-0.00
-0.03
-0.02
0.04
-0.18
-0.20
-0.18
-0.17
-0.20
-0.16
-0.15
-0.18
-0.18
-0.16
-0.20
-0.22
-0.18
-0.18
-0.24
-0.19
-0.20
-0.23
-0.21
-0.15
0.20
0.18
0.19
0.22
0.23
0.18
0.17
0.16
0.17
0.20
0.22
0.22
0.19
0.19
0.19
0.23
0.22
0.20
0.17
0.20
0.38
0.57
0.79
1.02
1.20
1.37
1.53
1.70
1.90
2.13
2.34
2.53
2.72
2.91
3.14
3.35
3.56
3.73
3.93
Page 138
20/09/2001
23/09/2001
24/09/2001
25/09/2001
26/09/2001
27/09/2001
30/09/2001
01/10/2001
02/10/2001
03/10/2001
04/10/2001
07/10/2001
08/10/2001
09/10/2001
10/10/2001
11/10/2001
14/10/2001
15/10/2001
16/10/2001
17/10/2001
18/10/2001
6,148.17
5,970.12
5,888.09
5,817.27
5,701.92
5,619.25
5,642.78
5,682.52
5,556.84
5,494.59
5,446.80
5,446.75
5,430.49
5,457.28
5,498.24
5,545.29
5,631.61
5,637.89
5,602.09
5,734.77
5,797.97
0.990474
0.971040
0.986260
0.987972
0.980171
0.985501
1.004187
1.007043
0.977883
0.988798
0.991302
0.999991
0.997015
1.004933
1.007506
1.008557
1.015566
1.001115
0.993650
1.023684
1.011020
-0.01
-0.03
-0.01
-0.01
-0.02
-0.01
0.00
0.01
-0.02
-0.01
-0.01
-0.00
-0.00
0.00
0.01
0.01
0.02
0.00
-0.01
0.02
0.01
38.01
36.54
35.23
36.41
37.33
36.97
35.12
35.12
33.47
32.01
30.69
32.66
32.76
32.70
33.30
34.19
33.30
33.22
33.83
34.63
35.10
0.992687
0.961326
0.964149
1.033494
1.025268
0.990356
0.949959
1.000000
0.953018
0.956379
0.958763
1.064190
1.003062
0.998168
1.018349
1.026727
0.973969
0.997598
1.018362
1.023648
1.013572
-0.01
-0.04
-0.04
0.03
0.02
-0.01
-0.05
0.00
-0.05
-0.04
-0.04
0.06
0.00
-0.00
0.02
0.03
-0.03
-0.00
0.02
0.02
0.01
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
-0.01
-0.04
-0.02
-0.02
-0.03
-0.02
0.01
0.01
-0.03
-0.01
-0.01
-0.00
-0.00
0.01
0.01
0.01
0.02
0.00
-0.01
0.03
0.01
-0.21
-0.23
-0.21
-0.21
-0.22
-0.21
-0.19
-0.19
-0.22
-0.21
-0.21
-0.20
-0.20
-0.19
-0.19
-0.18
-0.18
-0.19
-0.20
-0.17
-0.18
0.20
0.19
0.18
0.24
0.25
0.20
0.14
0.19
0.18
0.16
0.16
0.26
0.20
0.19
0.20
0.21
0.15
0.19
0.22
0.19
0.19
4.13
4.32
4.49
4.74
4.98
5.19
5.33
5.51
5.69
5.85
6.02
6.27
6.48
6.66
6.87
7.08
7.23
7.42
7.64
7.83
8.02
Page 139
Commercial International Bank (CIB): Dividend Increase, 2000
Date
20/02/2000
21/02/2000
22/02/2000
23/02/2000
24/02/2000
27/02/2000
28/02/2000
29/02/2000
01/03/2000
02/03/2000
05/03/2000
06/03/2000
07/03/2000
08/03/2000
09/03/2000
12/03/2000
13/03/2000
14/03/2000
19/03/2000
20/03/2000
21/03/2000
Index Value (Vt / Vt-1) Index Returns
13,474.60
13,431.30
13,153.70
12,973.70
12,495.90
12,845.40
13,028.70
12,769.50
12,712.20
12,630.10
12,349.00
12,285.50
12,654.80
12,809.30
12,786.10
12,364.90
12,608.50
12,625.90
12,532.90
12,462.40
12,516.80
Stock Price (Pt / Pt-1) Stock Returns
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
αi
βi
%
βirM
%
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
44.28
0.996787
0.979332
0.986316
0.963172
1.027969
1.014270
0.980105
0.995513
0.993542
0.977744
0.994858
1.030060
1.012209
0.998189
0.967058
1.019701
1.001380
0.992634
0.994375
1.004365
-0.32
-0.02
-0.01
-0.04
0.03
0.01
-0.02
-0.00
-0.01
-0.02
-0.01
0.03
0.01
-0.00
-0.03
0.02
0.00
-0.01
-0.01
0.00
43.47
42.83
41.35
39.67
40.43
39.31
38.24
38.73
38.47
36.75
36.00
37.56
39.15
40.43
38.85
38.57
38.60
38.08
37.99
37.62
0.981707
0.985277
0.965445
0.959371
1.019158
0.972298
0.972780
1.012814
0.993287
0.955290
0.979592
1.043333
1.042332
1.032695
0.960920
0.992793
1.000778
0.986528
0.997637
0.990261
-1.85
-1.48
-3.52
-4.15
1.90
-2.81
-2.76
1.27
-0.67
-4.57
-2.06
4.24
4.15
3.22
-3.99
-0.72
0.08
-1.36
-0.24
-0.98
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
-0.47
-0.03
-0.02
-0.05
0.04
0.02
-0.03
-0.01
-0.01
-0.03
-0.01
0.04
0.02
-0.00
-0.05
0.03
0.00
-0.01
-0.01
0.01
-0.53
-0.09
-0.08
-0.12
-0.02
-0.04
-0.09
-0.07
-0.07
-0.09
-0.07
-0.02
-0.04
-0.06
-0.11
-0.03
-0.06
-0.07
-0.07
-0.06
-1.32
-1.39
-3.44
-4.03
1.92
-2.77
-2.67
1.34
-0.60
-4.48
-1.99
4.26
4.19
3.28
-3.88
-0.69
0.14
-1.28
-0.17
-0.92
-2.71
-6.14
-10.18
-8.26
-11.03
-13.70
-12.35
-12.96
-17.44
-19.43
-15.17
-10.98
-7.70
-11.57
-12.27
-12.13
-13.41
-13.58
-14.50
Page 140
22/03/2000
23/03/2000
26/03/2000
27/03/2000
28/03/2000
29/03/2000
30/03/2000
02/04/2000
03/04/2000
04/04/2000
05/04/2000
09/04/2000
10/04/2000
11/04/2000
12/04/2000
13/04/2000
16/04/2000
17/04/2000
18/04/2000
19/04/2000
20/04/2000
12,409.40
12,336.20
12,437.00
12,470.10
12,622.00
12,600.00
12,514.00
12,522.20
12,598.50
12,488.40
12,393.00
12,200.80
11,804.50
11,810.20
12,151.20
11,987.30
11,566.40
11,248.00
11,289.30
11,197.40
10,832.40
0.991420
0.994101
1.008171
1.002661
1.012181
0.998257
0.993175
1.000655
1.006093
0.991261
0.992361
0.984491
0.967519
1.000483
1.028873
0.986512
0.964888
0.972472
1.003672
0.991860
0.967403
-0.01
-0.01
0.01
0.00
0.01
-0.00
-0.01
0.00
0.01
-0.01
-0.01
-0.02
-0.03
0.00
0.03
-0.01
-0.04
-0.03
0.00
-0.01
-0.03
37.20
37.82
38.75
40.04
40.65
39.43
40.54
40.42
41.32
41.06
41.20
40.19
39.82
40.62
40.85
41.41
39.91
39.83
41.05
37.21
36.48
0.988836
1.016667
1.024590
1.033290
1.015235
0.969988
1.028151
0.997040
1.022266
0.993708
1.003410
0.975485
0.990794
1.020090
1.005662
1.013709
0.963777
0.997995
1.030630
0.906456
0.980382
-1.12
1.65
2.43
3.27
1.51
-3.05
2.78
-0.30
2.20
-0.63
0.34
-2.48
-0.92
1.99
0.56
1.36
-3.69
-0.20
3.02
-9.82
-1.98
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
-0.01
-0.01
0.01
0.00
0.02
-0.00
-0.01
0.00
0.01
-0.01
-0.01
-0.02
-0.05
0.00
0.04
-0.02
-0.05
-0.04
0.01
-0.01
-0.05
-0.07
-0.07
-0.05
-0.06
-0.04
-0.06
-0.07
-0.06
-0.05
-0.07
-0.07
-0.08
-0.11
-0.06
-0.02
-0.08
-0.11
-0.10
-0.06
-0.07
-0.11
-1.05
1.72
2.48
3.33
1.56
-2.98
2.85
-0.24
2.25
-0.56
0.41
-2.40
-0.82
2.05
0.58
1.44
-3.58
-0.10
3.07
-9.75
-1.87
-15.55
-13.83
-11.35
-8.02
-6.46
-9.45
-6.60
-6.83
-4.58
-5.14
-4.72
-7.12
-7.94
-5.89
-5.30
-3.86
-7.44
-7.54
-4.46
-14.21
-16.08
Page 141
Egyptian American Bank (EAB): Dividend Increase, 2000
Date
06/03/2000
07/03/2000
08/03/2000
09/03/2000
12/03/2000
13/03/2000
14/03/2000
19/03/2000
20/03/2000
21/03/2000
22/03/2000
23/03/2000
26/03/2000
27/03/2000
28/03/2000
29/03/2000
30/03/2000
02/04/2000
03/04/2000
04/04/2000
05/04/2000
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns
12,285.50
12,654.80
12,809.30
12,786.10
12,364.90
12,608.50
12,625.90
12,532.90
12,462.40
12,516.80
12,409.40
12,336.20
12,437.00
12,470.10
12,622.00
12,600.00
12,514.00
12,522.20
12,598.50
12,488.40
12,393.00
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
αi
βi
%
βirM
%
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
36.00
1.030060
1.012209
0.998189
0.967058
1.019701
1.001380
0.992634
0.994375
1.004365
0.991420
0.994101
1.008171
1.002661
1.012181
0.998257
0.993175
1.000655
1.006093
0.991261
0.992361
0.03
0.01
-0.00
-0.03
0.02
0.00
-0.01
-0.01
0.00
-0.01
-0.01
0.01
0.00
0.01
-0.00
-0.01
0.00
0.01
-0.01
-0.01
37.56
39.15
40.43
38.85
38.57
38.60
38.08
37.99
37.62
37.20
37.82
38.75
40.04
40.65
39.43
40.54
40.42
41.32
41.06
41.20
1.043333
1.042332
1.032695
0.960920
0.992793
1.000778
0.986528
0.997637
0.990261
0.988836
1.016667
1.024590
1.033290
1.015235
0.969988
1.028151
0.997040
1.022266
0.993708
1.003410
0.04
0.04
0.03
-0.04
-0.01
0.00
-0.01
-0.00
-0.01
-0.01
0.02
0.02
0.03
0.02
-0.03
0.03
-0.00
0.02
-0.01
0.00
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
0.03
0.01
-0.00
-0.04
0.02
0.00
-0.01
-0.01
0.01
-0.01
-0.01
0.01
0.00
0.01
-0.00
-0.01
0.00
0.01
-0.01
-0.01
-0.36
-0.38
-0.40
-0.44
-0.37
-0.40
-0.41
-0.40
-0.39
-0.41
-0.40
-0.39
-0.39
-0.38
-0.40
-0.40
-0.40
-0.39
-0.41
-0.41
0.40
0.42
0.43
0.40
0.37
0.40
0.39
0.40
0.38
0.40
0.42
0.41
0.43
0.40
0.37
0.43
0.39
0.41
0.40
0.41
0.83
1.26
1.66
2.02
2.42
2.81
3.21
3.59
3.99
4.41
4.82
5.25
5.64
6.01
6.45
6.84
7.25
7.65
8.06
Page 142
09/04/2000
10/04/2000
11/04/2000
12/04/2000
13/04/2000
16/04/2000
17/04/2000
18/04/2000
19/04/2000
20/04/2000
23/04/2000
24/04/2000
26/04/2000
27/04/2000
02/05/2000
03/05/2000
04/05/2000
07/05/2000
08/05/2000
09/05/2000
10/05/2000
12,200.80
11,804.50
11,810.20
12,151.20
11,987.30
11,566.40
11,248.00
11,289.30
11,197.40
10,832.40
10,498.20
10,428.40
10,115.54
11,196.30
11,108.10
10,812.30
11,058.50
10,877.30
11,047.60
11,252.00
11,361.30
0.984491
0.967519
1.000483
1.028873
0.986512
0.964888
0.972472
1.003672
0.991860
0.967403
0.969148
0.993351
0.969999
1.106842
0.992122
0.973371
1.022770
0.983614
1.015656
1.018502
1.009714
-0.02
-0.03
0.00
0.03
-0.01
-0.04
-0.03
0.00
-0.01
-0.03
-0.03
-0.01
-0.03
0.10
-0.01
-0.03
0.02
-0.02
0.02
0.02
0.01
40.19
39.82
40.62
40.85
41.41
39.91
39.83
41.05
37.21
36.48
34.89
33.96
35.63
37.38
36.82
35.85
36.56
36.46
36.71
37.34
37.07
0.975485
0.990794
1.020090
1.005662
1.013709
0.963777
0.997995
1.030630
0.906456
0.980382
0.956414
0.973345
1.049176
1.049116
0.985019
0.973656
1.019805
0.997265
1.006857
1.017162
0.992769
-0.02
-0.01
0.02
0.01
0.01
-0.04
-0.00
0.03
-0.10
-0.02
-0.04
-0.03
0.05
0.05
-0.02
-0.03
0.02
-0.00
0.01
0.02
-0.01
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
-0.40
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
1.18
-0.02
-0.04
0.00
0.03
-0.02
-0.04
-0.03
0.00
-0.01
-0.04
-0.04
-0.01
-0.04
0.12
-0.01
-0.03
0.03
-0.02
0.02
0.02
0.01
-0.42
-0.44
-0.40
-0.36
-0.41
-0.44
-0.43
-0.39
-0.41
-0.44
-0.43
-0.40
-0.43
-0.28
-0.41
-0.43
-0.37
-0.42
-0.38
-0.38
-0.39
0.39
0.43
0.42
0.37
0.43
0.40
0.43
0.42
0.31
0.42
0.39
0.38
0.48
0.32
0.39
0.40
0.39
0.41
0.39
0.39
0.38
8.45
8.88
9.29
9.66
10.09
10.49
10.92
11.34
11.65
12.06
12.45
12.83
13.31
13.64
14.03
14.43
14.82
15.23
15.62
16.01
16.39
Page 143
Misr International Bank (MIBANK): Dividend Increase, 2000
Date
24/02/2000
27/02/2000
28/02/2000
29/02/2000
01/03/2000
02/03/2000
05/03/2000
06/03/2000
07/03/2000
08/03/2000
09/03/2000
12/03/2000
13/03/2000
14/03/2000
19/03/2000
20/03/2000
21/03/2000
22/03/2000
23/03/2000
26/03/2000
27/03/2000
Index Value (Vt / Vt-1) Index Returns
12,495.90
12,845.40
13,028.70
12,769.50
12,712.20
12,630.10
12,349.00
12,285.50
12,654.80
12,809.30
12,786.10
12,364.90
12,608.50
12,625.90
12,532.90
12,462.40
12,516.80
12,409.40
12,336.20
12,437.00
12,470.10
Stock Price (Pt / Pt-1) Stock Returns
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
αi
βi
%
βirM
%
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
51.86
1.027969
1.014270
0.980105
0.995513
0.993542
0.977744
0.994858
1.030060
1.012209
0.998189
0.967058
1.019701
1.001380
0.992634
0.994375
1.004365
0.991420
0.994101
1.008171
1.002661
0.03
0.01
-0.02
-0.00
-0.01
-0.02
-0.01
0.03
0.01
-0.00
-0.03
0.02
0.00
-0.01
-0.01
0.00
-0.01
-0.01
0.01
0.00
53.23
53.91
53.95
53.10
52.83
52.01
51.98
53.89
54.12
54.16
52.18
51.18
50.49
50.47
50.35
49.20
48.38
48.60
49.74
50.52
1.026535
1.012774
1.000742
0.984134
0.995028
0.984403
0.999539
1.036627
1.004305
1.000739
0.963516
0.980684
0.986556
0.999683
0.997622
0.977121
0.983252
1.004630
1.023539
1.015600
0.03
0.01
0.00
-0.02
-0.00
-0.02
-0.00
0.04
0.00
0.00
-0.04
-0.02
-0.01
-0.00
-0.00
-0.02
-0.02
0.00
0.02
0.02
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
0.04
0.02
-0.03
-0.01
-0.01
-0.03
-0.01
0.04
0.02
-0.00
-0.04
0.02
0.00
-0.01
-0.01
0.01
-0.01
-0.01
0.01
0.00
-0.32
-0.34
-0.38
-0.36
-0.36
-0.38
-0.36
-0.32
-0.34
-0.36
-0.40
-0.33
-0.35
-0.36
-0.36
-0.35
-0.37
-0.36
-0.34
-0.35
0.35
0.35
0.38
0.34
0.36
0.37
0.36
0.35
0.34
0.36
0.36
0.31
0.34
0.36
0.36
0.33
0.35
0.37
0.37
0.37
0.70
1.08
1.42
1.78
2.15
2.51
2.86
3.21
3.57
3.93
4.24
4.58
4.94
5.30
5.63
5.98
6.34
6.71
7.08
Page 144
28/03/2000
29/03/2000
30/03/2000
02/04/2000
03/04/2000
04/04/2000
05/04/2000
09/04/2000
10/04/2000
11/04/2000
12/04/2000
13/04/2000
16/04/2000
17/04/2000
18/04/2000
19/04/2000
20/04/2000
23/04/2000
24/04/2000
26/04/2000
27/04/2000
12,622.00
12,600.00
12,514.00
12,522.20
12,598.50
12,488.40
12,393.00
12,200.80
11,804.50
11,810.20
12,151.20
11,987.30
11,566.40
11,248.00
11,289.30
11,197.40
10,832.40
10,498.20
10,428.40
10,115.54
11,196.30
1.012181
0.998257
0.993175
1.000655
1.006093
0.991261
0.992361
0.984491
0.967519
1.000483
1.028873
0.986512
0.964888
0.972472
1.003672
0.991860
0.967403
0.969148
0.993351
0.969999
1.106842
0.01
-0.00
-0.01
0.00
0.01
-0.01
-0.01
-0.02
-0.03
0.00
0.03
-0.01
-0.04
-0.03
0.00
-0.01
-0.03
-0.03
-0.01
-0.03
0.10
50.54
49.51
49.23
49.93
49.95
49.38
50.10
48.06
47.61
47.96
48.00
48.00
47.79
43.53
43.97
43.78
42.05
40.61
42.57
44.69
46.13
1.000475
0.979582
0.994345
1.014137
1.000481
0.988469
1.014744
0.959285
0.990513
1.007394
1.000834
1.000000
0.995667
0.910780
1.010108
0.995633
0.960526
0.965753
1.048266
1.049803
1.032223
0.00
-0.02
-0.01
0.01
0.00
-0.01
0.01
-0.04
-0.01
0.01
0.00
0.00
-0.00
-0.09
0.01
-0.00
-0.04
-0.03
0.05
0.05
0.03
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
0.02
-0.00
-0.01
0.00
0.01
-0.01
-0.01
-0.02
-0.04
0.00
0.04
-0.02
-0.05
-0.04
0.00
-0.01
-0.04
-0.04
-0.01
-0.04
0.13
-0.34
-0.36
-0.36
-0.35
-0.35
-0.37
-0.36
-0.37
-0.40
-0.35
-0.32
-0.37
-0.40
-0.39
-0.35
-0.37
-0.40
-0.39
-0.36
-0.39
-0.23
0.34
0.34
0.36
0.37
0.35
0.35
0.38
0.33
0.39
0.36
0.32
0.37
0.40
0.30
0.36
0.36
0.36
0.36
0.41
0.44
0.26
7.42
7.76
8.11
8.48
8.83
9.18
9.56
9.90
10.29
10.65
10.97
11.34
11.74
12.03
12.39
12.75
13.11
13.47
13.88
14.32
14.58
Page 145
Ameryah Cement: Dividend Increase, 2000
Date
05/04/2000
09/04/2000
10/04/2000
11/04/2000
12/04/2000
13/04/2000
16/04/2000
17/04/2000
18/04/2000
19/04/2000
20/04/2000
23/04/2000
24/04/2000
26/04/2000
27/04/2000
02/05/2000
03/05/2000
04/05/2000
07/05/2000
08/05/2000
09/05/2000
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns
12,393.00
12,200.80
11,804.50
11,810.20
12,151.20
11,987.30
11,566.40
11,248.00
11,289.30
11,197.40
10,832.40
10,498.20
10,428.40
10,115.54
11,196.30
11,108.10
10,812.30
11,058.50
10,877.30
11,047.60
11,252.00
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
αi
βi
%
βirM
%
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
82.13
0.984491
0.967519
1.000483
1.028873
0.986512
0.964888
0.972472
1.003672
0.991860
0.967403
0.969148
0.993351
0.969999
1.106842
0.992122
0.973371
1.022770
0.983614
1.015656
1.018502
-0.02
-0.03
0.00
0.03
-0.01
-0.04
-0.03
0.00
-0.01
-0.03
-0.03
-0.01
-0.03
0.10
-0.01
-0.03
0.02
-0.02
0.02
0.02
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
0.950079
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
-0.05
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
-0.02
-0.03
0.00
0.03
-0.01
-0.04
-0.03
0.00
-0.01
-0.03
-0.03
-0.01
-0.03
0.11
-0.01
-0.03
0.02
-0.02
0.02
0.02
-0.45
-0.46
-0.43
-0.40
-0.44
-0.47
-0.46
-0.43
-0.44
-0.46
-0.46
-0.44
-0.46
-0.32
-0.44
-0.46
-0.41
-0.45
-0.41
-0.41
0.39
0.46
0.43
0.40
0.44
0.47
0.46
0.43
0.44
0.46
0.46
0.44
0.46
0.32
0.44
0.46
0.41
0.45
0.41
0.41
0.86
1.29
1.69
2.13
2.60
3.06
3.48
3.92
4.39
4.85
5.29
5.75
6.07
6.51
6.97
7.37
7.82
8.23
8.64
Page 146
10/05/2000
11/05/2000
14/05/2000
15/05/2000
16/05/2000
17/05/2000
18/05/2000
21/05/2000
22/05/2000
23/05/2000
24/05/2000
25/05/2000
28/05/2000
29/05/2000
30/05/2000
31/05/2000
01/06/2000
04/06/2000
05/06/2000
06/06/2000
07/06/2000
11,361.30
11,391.20
11,617.00
11,794.30
12,034.90
12,076.50
11,701.40
11,447.30
11,270.50
11,378.00
11,052.80
10,798.10
10,962.20
11,204.20
10,943.80
10,911.00
10,847.60
10,556.20
10,532.90
10,334.50
10,192.20
1.009714
1.002632
1.019822
1.015262
1.020400
1.003457
0.968940
0.978285
0.984555
1.009538
0.971419
0.976956
1.015197
1.022076
0.976759
0.997003
0.994189
0.973137
0.997793
0.981164
0.986231
0.01
0.00
0.02
0.02
0.02
0.00
-0.03
-0.02
-0.02
0.01
-0.03
-0.02
0.02
0.02
-0.02
-0.00
-0.01
-0.03
-0.00
-0.02
-0.01
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
78.03
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
0.01
0.00
0.02
0.02
0.02
0.00
-0.03
-0.02
-0.02
0.01
-0.03
-0.02
0.02
0.02
-0.02
-0.00
-0.01
-0.03
-0.00
-0.02
-0.01
-0.42
-0.43
-0.41
-0.41
-0.41
-0.43
-0.46
-0.45
-0.45
-0.42
-0.46
-0.45
-0.41
-0.41
-0.45
-0.43
-0.44
-0.46
-0.43
-0.45
-0.44
0.42
0.43
0.41
0.41
0.41
0.43
0.46
0.45
0.45
0.42
0.46
0.45
0.41
0.41
0.45
0.43
0.44
0.46
0.43
0.45
0.44
9.06
9.49
9.90
10.31
10.72
11.15
11.61
12.06
12.51
12.93
13.39
13.84
14.26
14.66
15.12
15.55
15.99
16.44
16.88
17.32
17.77
Page 147
Egyptian Financial and Industrial: Dividend Increase, 2000
Date
11/05/2000
14/05/2000
15/05/2000
16/05/2000
17/05/2000
18/05/2000
21/05/2000
22/05/2000
23/05/2000
24/05/2000
25/05/2000
28/05/2000
29/05/2000
30/05/2000
31/05/2000
01/06/2000
04/06/2000
05/06/2000
06/06/2000
07/06/2000
08/06/2000
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns
11,391.20
11,617.00
11,794.30
12,034.90
12,076.50
11,701.40
11,447.30
11,270.50
11,378.00
11,052.80
10,798.10
10,962.20
11,204.20
10,943.80
10,911.00
10,847.60
10,556.20
10,532.90
10,334.50
10,192.20
10,151.20
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
αi
βi
%
βirM
%
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
39.60
1.019822
1.015262
1.020400
1.003457
0.968940
0.978285
0.984555
1.009538
0.971419
0.976956
1.015197
1.022076
0.976759
0.997003
0.994189
0.973137
0.997793
0.981164
0.986231
0.995977
0.02
0.02
0.02
0.00
-0.03
-0.02
-0.02
0.01
-0.03
-0.02
0.02
0.02
-0.02
-0.00
-0.01
-0.03
-0.00
-0.02
-0.01
-0.00
39.05
39.75
39.99
39.21
38.97
38.42
39.64
40.00
38.60
38.53
40.23
41.09
39.11
39.50
39.49
38.10
40.21
39.19
38.46
40.02
0.986111
1.017926
1.006038
0.980495
0.993879
0.985887
1.031754
1.009082
0.965000
0.998187
1.044121
1.021377
0.951813
1.009972
0.999747
0.964801
1.055381
0.974633
0.981373
1.040562
-0.01
0.02
0.01
-0.02
-0.01
-0.01
0.03
0.01
-0.04
-0.00
0.04
0.02
-0.05
0.01
-0.00
-0.04
0.05
-0.03
-0.02
0.04
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.02
0.01
0.02
0.00
-0.03
-0.02
-0.01
0.01
-0.02
-0.02
0.01
0.02
-0.02
-0.00
-0.01
-0.02
-0.00
-0.02
-0.01
-0.00
-1.24
-1.25
-1.24
-1.26
-1.29
-1.28
-1.27
-1.25
-1.28
-1.28
-1.25
-1.24
-1.28
-1.26
-1.26
-1.28
-1.26
-1.28
-1.27
-1.26
1.23
1.26
1.25
1.24
1.28
1.26
1.30
1.26
1.25
1.28
1.29
1.26
1.23
1.27
1.26
1.25
1.31
1.25
1.25
1.30
2.49
3.74
4.98
6.26
7.52
8.82
10.08
11.33
12.61
13.90
15.16
16.39
17.66
18.92
20.17
21.48
22.73
23.98
25.29
Page 148
11/06/2000
12/06/2000
13/06/2000
14/06/2000
18/06/2000
19/06/2000
20/06/2000
21/06/2000
22/06/2000
25/06/2000
26/06/2000
27/06/2000
28/06/2000
29/06/2000
02/07/2000
03/07/2000
04/07/2000
05/07/2000
06/07/2000
09/07/2000
10/07/2000
9,890.79
9,741.39
10,017.70
10,014.80
9,752.57
9,512.81
9,249.05
9,322.78
9,164.37
8,873.97
8,611.50
8,648.92
8,979.03
8,999.17
9,257.46
9,252.63
9,019.86
9,319.92
9,391.09
9,548.62
9,524.81
0.974347
0.984895
1.028365
0.999711
0.973816
0.975416
0.972273
1.007972
0.983008
0.968312
0.970422
1.004345
1.038168
1.002243
1.028702
0.999478
0.974843
1.033267
1.007636
1.016774
0.997506
-0.03
-0.02
0.03
-0.00
-0.03
-0.02
-0.03
0.01
-0.02
-0.03
-0.03
0.00
0.04
0.00
0.03
-0.00
-0.03
0.03
0.01
0.02
-0.00
40.94
38.90
39.22
37.77
37.77
35.28
33.62
31.94
30.35
28.85
27.53
26.55
27.16
28.50
29.85
28.38
27.87
28.83
28.87
27.50
28.55
1.022989
0.950171
1.008226
0.963029
1.000000
0.934075
0.952948
0.950030
0.950219
0.950577
0.954246
0.964402
1.022976
1.049337
1.047368
0.950754
0.982030
1.034446
1.001387
0.952546
1.038182
0.02
-0.05
0.01
-0.04
0.00
-0.07
-0.05
-0.05
-0.05
-0.05
-0.05
-0.04
0.02
0.05
0.05
-0.05
-0.02
0.03
0.00
-0.05
0.04
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
-0.02
-0.01
0.02
-0.00
-0.02
-0.02
-0.02
0.01
-0.01
-0.03
-0.03
0.00
0.03
0.00
0.02
-0.00
-0.02
0.03
0.01
0.01
-0.00
-1.28
-1.27
-1.23
-1.26
-1.28
-1.28
-1.28
-1.25
-1.27
-1.29
-1.28
-1.26
-1.23
-1.26
-1.23
-1.26
-1.28
-1.23
-1.25
-1.24
-1.26
1.30
1.22
1.24
1.22
1.28
1.21
1.23
1.20
1.22
1.24
1.24
1.22
1.25
1.31
1.28
1.21
1.26
1.26
1.25
1.20
1.30
26.59
27.81
29.05
30.28
31.56
32.77
34.00
35.21
36.43
37.66
38.90
40.12
41.37
42.67
43.96
45.16
46.43
47.69
48.95
50.14
51.44
Page 149
Abu Keir For Fertilisers: Dividend Increase, 2000
Date
13/09/2000
14/09/2000
17/09/2000
18/09/2000
19/09/2000
20/09/2000
21/09/2000
24/09/2000
25/09/2000
26/09/2000
27/09/2000
28/09/2000
01/10/2000
02/10/2000
03/10/2000
04/10/2000
08/10/2000
09/10/2000
10/10/2000
11/10/2000
12/10/2000
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns
8,204.60
8,116.16
8,001.36
7,851.47
7,810.14
7,696.81
7,778.43
7,734.41
7,766.58
7,695.03
7,652.12
7,476.66
7,237.66
7,363.37
7,178.31
6,987.80
6,731.98
6,695.56
6,521.61
6,291.97
6,076.31
0.989221
0.985855
0.981267
0.994736
0.985489
1.010604
0.994341
1.004159
0.990787
0.994424
0.977070
0.968034
1.017369
0.974867
0.973460
0.963390
0.994590
0.974020
0.964788
0.965725
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
-0.01
-0.01
-0.02
-0.01
-0.01
0.01
-0.01
0.00
-0.01
-0.01
-0.02
-0.03
0.02
-0.03
-0.03
-0.04
-0.01
-0.03
-0.04
-0.03
31.14
31.14
31.39
31.49
31.26
31.28
31.85
31.09
31.14
31.02
31.78
31.43
30.31
30.07
30.00
30.07
29.35
28.92
28.63
28.11
28.22
1.000000
1.008028
1.003186
0.992696
1.000640
1.018223
0.976138
1.001608
0.996146
1.024500
0.988987
0.964365
0.992082
0.997672
1.002333
0.976056
0.985349
0.989972
0.981837
1.003913
αi
βi
%
0.00
0.01
0.00
-0.01
0.00
0.02
-0.02
0.00
-0.00
0.02
-0.01
-0.04
-0.01
-0.00
0.00
-0.02
-0.01
-0.01
-0.02
0.00
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
βirM
%
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
-0.01
-0.01
-0.01
-0.00
-0.01
0.01
-0.00
0.00
-0.00
-0.00
-0.01
-0.02
0.01
-0.01
-0.01
-0.02
-0.00
-0.01
-0.02
-0.02
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
-0.95
-0.95
-0.95
-0.95
-0.95
-0.94
-0.95
-0.94
-0.95
-0.95
-0.96
-0.96
-0.94
-0.96
-0.96
-0.96
-0.95
-0.96
-0.96
-0.96
0.95
0.96
0.96
0.94
0.95
0.96
0.92
0.94
0.95
0.97
0.94
0.92
0.93
0.95
0.96
0.94
0.93
0.95
0.94
0.97
1.91
2.87
3.81
4.76
5.72
6.64
7.59
8.53
9.50
10.45
11.37
12.30
13.26
14.22
15.15
16.09
17.03
17.98
18.94
Page 150
15/10/2000
16/10/2000
17/10/2000
18/10/2000
19/10/2000
22/10/2000
23/10/2000
24/10/2000
25/10/2000
26/10/2000
29/10/2000
30/10/2000
31/10/2000
01/11/2000
02/11/2000
05/11/2000
06/11/2000
07/11/2000
08/11/2000
09/11/2000
12/11/2000
6,193.57
6,460.53
6,680.52
6,881.05
6,888.93
7,194.62
7,233.38
7,024.03
7,251.91
7,304.37
7,267.03
7,149.09
7,331.86
7,429.77
7,473.64
7,602.43
7,619.56
7,574.68
7,621.90
7,734.45
8,075.48
1.019298
1.043103
1.034051
1.030017
1.001145
1.044374
1.005387
0.971058
1.032443
1.007234
0.994888
0.983771
1.025565
1.013354
1.005905
1.017233
1.002253
0.994110
1.006234
1.014767
1.044092
0.02
0.04
0.03
0.03
0.00
0.04
0.01
-0.03
0.03
0.01
-0.01
-0.02
0.03
0.01
0.01
0.02
0.00
-0.01
0.01
0.01
0.04
29.48
30.93
31.83
31.99
31.86
31.96
30.44
29.29
26.95
26.75
27.13
27.00
27.34
27.42
27.49
26.28
25.05
26.30
27.49
27.51
28.35
1.044649
1.049186
1.029098
1.005027
0.995936
1.003139
0.952441
0.962221
0.920109
0.992579
1.014206
0.995208
1.012593
1.002926
1.002553
0.955984
0.953196
1.049900
1.045247
1.000728
1.030534
0.04
0.05
0.03
0.01
-0.00
0.00
-0.05
-0.04
-0.08
-0.01
0.01
-0.00
0.01
0.00
0.00
-0.05
-0.05
0.05
0.04
0.00
0.03
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.01
0.02
0.02
0.01
0.00
0.02
0.00
-0.01
0.02
0.00
-0.00
-0.01
0.01
0.01
0.00
0.01
0.00
-0.00
0.00
0.01
0.02
-0.94
-0.92
-0.93
-0.93
-0.94
-0.92
-0.94
-0.96
-0.93
-0.94
-0.95
-0.95
-0.93
-0.94
-0.94
-0.94
-0.94
-0.95
-0.94
-0.94
-0.92
0.98
0.97
0.96
0.94
0.94
0.93
0.89
0.92
0.85
0.93
0.96
0.95
0.95
0.94
0.94
0.89
0.90
1.00
0.99
0.94
0.95
19.92
20.90
21.85
22.79
23.73
24.66
25.55
26.47
27.32
28.25
29.21
30.16
31.11
32.05
32.99
33.88
34.78
35.78
36.76
37.70
38.66
Page 151
Helwan Portland Cement: Dividend Decrease, 2000
Date
26/03/2000
27/03/2000
28/03/2000
29/03/2000
30/03/2000
02/04/2000
03/04/2000
04/04/2000
05/04/2000
09/04/2000
10/04/2000
11/04/2000
12/04/2000
13/04/2000
16/04/2000
17/04/2000
18/04/2000
19/04/2000
20/04/2000
23/04/2000
24/04/2000
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns
12,437.00
12,470.10
12,622.00
12,600.00
12,514.00
12,522.20
12,598.50
12,488.40
12,393.00
12,200.80
11,804.50
11,810.20
12,151.20
11,987.30
11,566.40
11,248.00
11,289.30
11,197.40
10,832.40
10,498.20
10,428.40
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
αi
βi
%
βirM
%
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
42.98
1.002661
1.012181
0.998257
0.993175
1.000655
1.006093
0.991261
0.992361
0.984491
0.967519
1.000483
1.028873
0.986512
0.964888
0.972472
1.003672
0.991860
0.967403
0.969148
0.993351
0.00
0.01
-0.00
-0.01
0.00
0.01
-0.01
-0.01
-0.02
-0.03
0.00
0.03
-0.01
-0.04
-0.03
0.00
-0.01
-0.03
-0.03
-0.01
42.93
41.44
41.32
41.87
40.76
42.17
42.01
41.65
41.4
40.36
41.42
42.2
41.98
40.95
40.8
40.9
40.82
40.81
40.5
41.85
0.998837
0.965292
0.997104
1.013311
0.973489
1.034593
0.996206
0.991431
0.993998
0.974879
1.026264
1.018831
0.994787
0.975465
0.996337
1.002451
0.998044
0.999755
0.992404
1.033333
-0.00
-0.04
-0.00
0.01
-0.03
0.03
-0.00
-0.01
-0.01
-0.03
0.03
0.02
-0.01
-0.02
-0.00
0.00
-0.00
-0.00
-0.01
0.03
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.00
0.01
-0.00
-0.01
0.00
0.01
-0.01
-0.01
-0.01
-0.03
0.00
0.02
-0.01
-0.03
-0.02
0.00
-0.01
-0.03
-0.03
-0.01
-0.56
-0.55
-0.57
-0.57
-0.56
-0.56
-0.57
-0.57
-0.58
-0.59
-0.56
-0.54
-0.58
-0.59
-0.59
-0.56
-0.57
-0.59
-0.59
-0.57
0.56
0.52
0.56
0.58
0.54
0.59
0.57
0.56
0.57
0.57
0.59
0.56
0.57
0.57
0.58
0.56
0.57
0.59
0.58
0.60
1.08
1.64
2.23
2.76
3.36
3.92
4.49
5.06
5.62
6.21
6.77
7.34
7.91
8.50
9.06
9.63
10.22
10.81
11.41
Page 152
26/04/2000
27/04/2000
02/05/2000
03/05/2000
04/05/2000
07/05/2000
08/05/2000
09/05/2000
10/05/2000
11/05/2000
14/05/2000
15/05/2000
16/05/2000
17/05/2000
18/05/2000
21/05/2000
22/05/2000
23/05/2000
24/05/2000
25/05/2000
28/05/2000
10,115.54
11,196.30
11,108.10
10,812.30
11,058.50
10,877.30
11,047.60
11,252.00
11,361.30
11,391.20
11,617.00
11,794.30
12,034.90
12,076.50
11,701.40
11,447.30
11,270.50
11,378.00
11,052.80
10,798.10
10,962.20
0.969999
1.106842
0.992122
0.973371
1.022770
0.983614
1.015656
1.018502
1.009714
1.002632
1.019822
1.015262
1.020400
1.003457
0.968940
0.978285
0.984555
1.009538
0.971419
0.976956
1.015197
-0.03
0.10
-0.01
-0.03
0.02
-0.02
0.02
0.02
0.01
0.00
0.02
0.02
0.02
0.00
-0.03
-0.02
-0.02
0.01
-0.03
-0.02
0.02
42.64
42.46
36.92
36.56
36.86
37.18
38.75
40.38
38.67
38.05
38.18
38.87
39.37
38.59
38.07
38.05
37.64
37.49
36.72
36.33
36.23
1.018877
0.995779
0.869524
0.990249
1.008206
1.008681
1.042227
1.042065
0.957652
0.983967
1.003417
1.018072
1.012863
0.980188
0.986525
0.999475
0.989225
0.996015
0.979461
0.989379
0.997247
0.02
-0.00
-0.14
-0.01
0.01
0.01
0.04
0.04
-0.04
-0.02
0.00
0.02
0.01
-0.02
-0.01
-0.00
-0.01
-0.00
-0.02
-0.01
-0.00
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
-0.56
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
0.85
-0.03
0.09
-0.01
-0.02
0.02
-0.01
0.01
0.02
0.01
0.00
0.02
0.01
0.02
0.00
-0.03
-0.02
-0.01
0.01
-0.02
-0.02
0.01
-0.59
-0.48
-0.57
-0.59
-0.55
-0.58
-0.55
-0.55
-0.56
-0.56
-0.55
-0.55
-0.55
-0.56
-0.59
-0.58
-0.58
-0.56
-0.59
-0.58
-0.55
0.61
0.47
0.43
0.58
0.55
0.59
0.59
0.59
0.51
0.55
0.55
0.57
0.56
0.54
0.58
0.58
0.57
0.55
0.57
0.57
0.55
12.02
12.49
12.92
13.50
14.05
14.64
15.23
15.82
16.34
16.88
17.43
18.00
18.56
19.10
19.68
20.26
20.83
21.38
21.95
22.52
23.07
Page 153
Torah Portland Cement: Dividend Decrease, 2000
Date
20/08/2000
21/08/2000
22/08/2000
23/08/2000
24/08/2000
27/08/2000
28/08/2000
29/08/2000
30/08/2000
31/08/2000
03/09/2000
04/09/2000
05/09/2000
06/09/2000
07/09/2000
10/09/2000
11/09/2000
12/09/2000
13/09/2000
14/09/2000
17/09/2000
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns
8,691.32
8,528.90
8,362.69
8,506.72
8,326.98
8,367.62
8,320.11
8,227.34
8,025.37
8,167.98
8,128.93
8,193.06
8,315.99
8,351.04
8,456.60
8,355.00
8,232.63
8,374.24
8,204.60
8,116.16
8,001.36
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
αi
βi
%
βirM
%
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
44.41
0.981312
0.980512
1.017223
0.978871
1.004881
0.994322
0.988850
0.975451
1.017770
0.995219
1.007889
1.015004
1.004215
1.012640
0.987986
0.985354
1.017201
0.979743
0.989221
0.985855
-0.02
-0.02
0.02
-0.02
0.00
-0.01
-0.01
-0.02
0.02
-0.00
0.01
0.01
0.00
0.01
-0.01
-0.01
0.02
-0.02
-0.01
-0.01
43.35
41.19
41.28
41.15
41.61
42.35
41.45
41.56
42.97
43.44
43.49
44.92
45.03
45.09
43.09
43.09
43.25
43.97
43.99
43.92
0.976132
0.950173
1.002185
0.996851
1.011179
1.017784
0.978749
1.002654
1.033927
1.010938
1.001151
1.032881
1.002449
1.001332
0.955644
1.000000
1.003713
1.016647
1.000455
0.998409
-0.02
-0.05
0.00
-0.00
0.01
0.02
-0.02
0.00
0.03
0.01
0.00
0.03
0.00
0.00
-0.05
0.00
0.00
0.02
0.00
-0.00
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
-0.02
-0.02
0.02
-0.02
0.01
-0.01
-0.01
-0.03
0.02
-0.01
0.01
0.02
0.00
0.01
-0.01
-0.02
0.02
-0.02
-0.01
-0.02
-0.08
-0.08
-0.04
-0.08
-0.06
-0.07
-0.07
-0.09
-0.04
-0.07
-0.05
-0.05
-0.06
-0.05
-0.07
-0.08
-0.04
-0.08
-0.07
-0.08
0.06
0.03
0.05
0.08
0.07
0.08
0.05
0.09
0.08
0.08
0.05
0.08
0.06
0.05
0.03
0.08
0.05
0.10
0.07
0.07
0.09
0.13
0.21
0.28
0.37
0.42
0.51
0.58
0.66
0.71
0.79
0.85
0.90
0.93
1.01
1.05
1.15
1.22
1.30
Page 154
18/09/2000
19/09/2000
20/09/2000
21/09/2000
24/09/2000
25/09/2000
26/09/2000
27/09/2000
28/09/2000
01/10/2000
02/10/2000
03/10/2000
04/10/2000
08/10/2000
09/10/2000
10/10/2000
11/10/2000
12/10/2000
15/10/2000
16/10/2000
17/10/2000
7,851.47
7,810.14
7,696.81
7,778.43
7,734.41
7,766.58
7,695.03
7,652.12
7,476.66
7,237.66
7,363.37
7,178.31
6,987.80
6,731.98
6,695.56
6,521.61
6,291.97
6,076.31
6,193.57
6,460.53
6,680.52
0.981267
0.994736
0.985489
1.010604
0.994341
1.004159
0.990787
0.994424
0.977070
0.968034
1.017369
0.974867
0.973460
0.963390
0.994590
0.974020
0.964788
0.965725
1.019298
1.043103
1.034051
-0.02
-0.01
-0.01
0.01
-0.01
0.00
-0.01
-0.01
-0.02
-0.03
0.02
-0.03
-0.03
-0.04
-0.01
-0.03
-0.04
-0.03
0.02
0.04
0.03
42.72
42
41.66
36
35.69
36.25
35.59
34.67
34.5
34.5
34.32
33.05
34.49
34.49
33.54
33.02
33.5
32.97
32.56
32.48
32.28
0.972678
0.983146
0.991905
0.864138
0.991389
1.015691
0.981793
0.974150
0.995097
1.000000
0.994783
0.962995
1.043570
1.000000
0.972456
0.984496
1.014537
0.984179
0.987564
0.997543
0.993842
-0.03
-0.02
-0.01
-0.15
-0.01
0.02
-0.02
-0.03
-0.00
0.00
-0.01
-0.04
0.04
0.00
-0.03
-0.02
0.01
-0.02
-0.01
-0.00
-0.01
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
-0.02
-0.01
-0.02
0.01
-0.01
0.00
-0.01
-0.01
-0.02
-0.03
0.02
-0.03
-0.03
-0.04
-0.01
-0.03
-0.04
-0.04
0.02
0.05
0.04
-0.08
-0.07
-0.08
-0.05
-0.07
-0.06
-0.07
-0.07
-0.09
-0.10
-0.04
-0.09
-0.09
-0.10
-0.07
-0.09
-0.10
-0.10
-0.04
-0.02
-0.03
0.05
0.05
0.07
-0.10
0.06
0.07
0.05
0.04
0.08
0.10
0.04
0.05
0.13
0.10
0.04
0.07
0.11
0.08
0.03
0.01
0.02
1.35
1.40
1.47
1.38
1.43
1.51
1.56
1.60
1.68
1.78
1.81
1.86
2.00
2.10
2.14
2.21
2.32
2.41
2.44
2.45
2.47
Page 155
Nasr City for Housing and Development: Dividend Decrease, 2000
Date
21/09/2000
24/09/2000
25/09/2000
26/09/2000
27/09/2000
28/09/2000
01/10/2000
02/10/2000
03/10/2000
04/10/2000
08/10/2000
09/10/2000
10/10/2000
11/10/2000
12/10/2000
15/10/2000
16/10/2000
17/10/2000
18/10/2000
19/10/2000
22/10/2000
Index Value (Vt / Vt-1) Index Returns
7,778.43
7,734.41
7,766.58
7,695.03
7,652.12
7,476.66
7,237.66
7,363.37
7,178.31
6,987.80
6,731.98
6,695.56
6,521.61
6,291.97
6,076.31
6,193.57
6,460.53
6,680.52
6,881.05
6,888.93
7,194.62
Stock Price (Pt / Pt-1) Stock Returns
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
-0.01
0.00
-0.01
-0.01
-0.02
-0.03
0.02
-0.03
-0.03
-0.04
-0.01
-0.03
-0.04
-0.03
0.02
0.04
0.03
0.03
0.00
0.04
19.99
20.80
21.83
20.92
19.96
19.75
19.27
18.56
18.88
18.25
17.61
16.74
16.04
15.27
15.97
16.76
17.58
18.39
19.06
20.00
0.986673
1.040520
1.049519
0.958314
0.954111
0.989479
0.975696
0.963155
1.017241
0.966631
0.964932
0.950596
0.958184
0.951995
1.045842
1.049468
1.048926
1.046075
1.036433
1.049318
βi
%
20.26
0.994341
1.004159
0.990787
0.994424
0.977070
0.968034
1.017369
0.974867
0.973460
0.963390
0.994590
0.974020
0.964788
0.965725
1.019298
1.043103
1.034051
1.030017
1.001145
1.044374
αi
-0.01
0.04
0.05
-0.04
-0.05
-0.01
-0.02
-0.04
0.02
-0.03
-0.04
-0.05
-0.04
-0.05
0.04
0.05
0.05
0.05
0.04
0.05
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
βirM
%
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
-0.00
0.00
-0.01
-0.00
-0.02
-0.02
0.01
-0.02
-0.02
-0.03
-0.00
-0.02
-0.03
-0.03
0.01
0.03
0.03
0.02
0.00
0.03
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
-1.15
-1.15
-1.16
-1.15
-1.17
-1.17
-1.14
-1.17
-1.17
-1.18
-1.15
-1.17
-1.18
-1.18
-1.13
-1.12
-1.12
-1.13
-1.15
-1.12
1.14
1.19
1.20
1.11
1.12
1.16
1.11
1.13
1.19
1.14
1.12
1.12
1.13
1.13
1.18
1.17
1.17
1.17
1.18
1.16
2.33
3.53
4.64
5.76
6.92
8.04
9.17
10.35
11.50
12.61
13.73
14.86
15.99
17.17
18.34
19.51
20.68
21.86
23.03
Page 156
23/10/2000
24/10/2000
25/10/2000
26/10/2000
29/10/2000
30/10/2000
31/10/2000
01/11/2000
02/11/2000
05/11/2000
06/11/2000
07/11/2000
08/11/2000
09/11/2000
12/11/2000
13/11/2000
14/11/2000
15/11/2000
16/11/2000
19/11/2000
20/11/2000
7,233.38
7,024.03
7,251.91
7,304.37
7,267.03
7,149.09
7,331.86
7,429.77
7,473.64
7,602.43
7,619.56
7,574.68
7,621.90
7,734.45
8,075.48
8,289.30
8,177.09
8,459.54
8,727.00
8,459.17
8,385.61
1.005387
0.971058
1.032443
1.007234
0.994888
0.983771
1.025565
1.013354
1.005905
1.017233
1.002253
0.994110
1.006234
1.014767
1.044092
1.026478
0.986463
1.034542
1.031616
0.969310
0.991304
0.01
-0.03
0.03
0.01
-0.01
-0.02
0.03
0.01
0.01
0.02
0.00
-0.01
0.01
0.01
0.04
0.03
-0.01
0.03
0.03
-0.03
-0.01
19.26
18.30
15.35
16.10
16.90
17.74
18.55
19.34
19.82
20.80
21.76
22.78
23.81
24.98
26.17
27.47
26.74
26.89
28.10
26.78
25.45
0.963000
0.950156
0.838798
1.048860
1.049689
1.049704
1.045660
1.042588
1.024819
1.049445
1.046154
1.046875
1.045215
1.049139
1.047638
1.049675
0.973426
1.005610
1.044998
0.953025
0.950336
-0.04
-0.05
-0.18
0.05
0.05
0.05
0.04
0.04
0.02
0.05
0.05
0.05
0.04
0.05
0.05
0.05
-0.03
0.01
0.04
-0.05
-0.05
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.00
-0.02
0.02
0.01
-0.00
-0.01
0.02
0.01
0.00
0.01
0.00
-0.00
0.00
0.01
0.03
0.02
-0.01
0.03
0.02
-0.02
-0.01
-1.15
-1.17
-1.13
-1.14
-1.15
-1.16
-1.13
-1.14
-1.14
-1.14
-1.15
-1.15
-1.14
-1.14
-1.12
-1.13
-1.16
-1.12
-1.13
-1.17
-1.16
1.11
1.12
0.95
1.19
1.20
1.21
1.18
1.18
1.17
1.18
1.19
1.20
1.19
1.19
1.16
1.18
1.13
1.13
1.17
1.12
1.10
24.14
25.26
26.21
27.40
28.60
29.81
30.99
32.17
33.34
34.52
35.71
36.91
38.10
39.29
40.45
41.63
42.76
43.89
45.06
46.19
47.29
Page 157
Paints and Chemical Industries (PACHIN): Dividend Decrease, 2000
Date
04/10/2000
08/10/2000
09/10/2000
10/10/2000
11/10/2000
12/10/2000
15/10/2000
16/10/2000
17/10/2000
18/10/2000
19/10/2000
22/10/2000
23/10/2000
24/10/2000
25/10/2000
26/10/2000
29/10/2000
30/10/2000
31/10/2000
01/11/2000
02/11/2000
Index Value (Vt / Vt-1) Index Returns
6,987.80
6,731.98
6,695.56
6,521.61
6,291.97
6,076.31
6,193.57
6,460.53
6,680.52
6,881.05
6,888.93
7,194.62
7,233.38
7,024.03
7,251.91
7,304.37
7,267.03
7,149.09
7,331.86
7,429.77
7,473.64
Stock Price (Pt / Pt-1) Stock Returns
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
αi
βi
%
βirM
%
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
27.50
0.963390
0.994590
0.974020
0.964788
0.965725
1.019298
1.043103
1.034051
1.030017
1.001145
1.044374
1.005387
0.971058
1.032443
1.007234
0.994888
0.983771
1.025565
1.013354
1.005905
-0.04
-0.01
-0.03
-0.04
-0.03
0.02
0.04
0.03
0.03
0.00
0.04
0.01
-0.03
0.03
0.01
-0.01
-0.02
0.03
0.01
0.01
26.90
27.00
26.47
25.15
23.90
24.81
24.89
24.83
24.02
23.01
24.14
23.05
21.97
23.03
24.17
25.19
23.96
24.28
23.46
23.04
0.978182
1.003717
0.980370
0.950132
0.950298
1.038075
1.003225
0.997589
0.967378
0.957952
1.049109
0.954847
0.953145
1.048248
1.049501
1.042201
0.951171
1.013356
0.966227
0.982097
-0.02
0.00
-0.02
-0.05
-0.05
0.04
0.00
-0.00
-0.03
-0.04
0.05
-0.05
-0.05
0.05
0.05
0.04
-0.05
0.01
-0.03
-0.02
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
-0.03
-0.00
-0.02
-0.03
-0.03
0.01
0.03
0.03
0.02
0.00
0.03
0.00
-0.02
0.02
0.01
-0.00
-0.01
0.02
0.01
0.00
-0.74
-0.71
-0.73
-0.74
-0.74
-0.69
-0.68
-0.68
-0.69
-0.71
-0.68
-0.71
-0.73
-0.68
-0.70
-0.71
-0.72
-0.69
-0.70
-0.70
0.72
0.72
0.71
0.69
0.69
0.73
0.68
0.68
0.65
0.67
0.72
0.66
0.68
0.73
0.75
0.75
0.67
0.70
0.66
0.69
1.43
2.14
2.83
3.51
4.25
4.93
5.61
6.26
6.93
7.65
8.31
8.99
9.72
10.48
11.23
11.90
12.61
13.27
13.96
Page 158
05/11/2000
06/11/2000
07/11/2000
08/11/2000
09/11/2000
12/11/2000
13/11/2000
14/11/2000
15/11/2000
16/11/2000
19/11/2000
20/11/2000
21/11/2000
22/11/2000
23/11/2000
26/11/2000
27/11/2000
28/11/2000
29/11/2000
30/11/2000
03/12/2000
7,602.43
7,619.56
7,574.68
7,621.90
7,734.45
8,075.48
8,289.30
8,177.09
8,459.54
8,727.00
8,459.17
8,385.61
8,002.23
7,784.13
7,992.45
8,239.81
8,165.09
7,937.31
7,901.96
7,969.77
7,726.68
1.017233
1.002253
0.994110
1.006234
1.014767
1.044092
1.026478
0.986463
1.034542
1.031616
0.969310
0.991304
0.954281
0.972745
1.026762
1.030949
0.990932
0.972103
0.995546
1.008581
0.969498
0.02
0.00
-0.01
0.01
0.01
0.04
0.03
-0.01
0.03
0.03
-0.03
-0.01
-0.05
-0.03
0.03
0.03
-0.01
-0.03
-0.00
0.01
-0.03
24.12
24.16
23.15
23.01
23.03
24.12
23.99
22.96
23.95
24.53
23.96
23.22
22.55
23.61
23.40
23.53
23.10
22.10
22.53
22.99
22.99
1.046875
1.001658
0.958195
0.993952
1.000869
1.047330
0.994610
0.957065
1.043118
1.024217
0.976763
0.969115
0.971146
1.047007
0.991105
1.005556
0.981725
0.956710
1.019457
1.020417
1.000000
0.05
0.00
-0.04
-0.01
0.00
0.05
-0.01
-0.04
0.04
0.02
-0.02
-0.03
-0.03
0.05
-0.01
0.01
-0.02
-0.04
0.02
0.02
0.00
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
-0.71
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.78
0.01
0.00
-0.00
0.00
0.01
0.03
0.02
-0.01
0.03
0.02
-0.02
-0.01
-0.04
-0.02
0.02
0.02
-0.01
-0.02
-0.00
0.01
-0.02
-0.70
-0.71
-0.71
-0.70
-0.70
-0.68
-0.69
-0.72
-0.68
-0.69
-0.73
-0.72
-0.75
-0.73
-0.69
-0.69
-0.72
-0.73
-0.71
-0.70
-0.73
0.74
0.71
0.67
0.70
0.70
0.72
0.68
0.68
0.73
0.71
0.71
0.68
0.72
0.78
0.68
0.69
0.70
0.69
0.73
0.72
0.73
14.70
15.41
16.08
16.78
17.48
18.20
18.88
19.56
20.29
20.99
21.70
22.39
23.11
23.88
24.56
25.25
25.95
26.64
27.37
28.09
28.83
Page 159
Upper Egypt Flour Mills: Dividend Decrease, 2000
Date
21/09/2000
24/09/2000
25/09/2000
26/09/2000
27/09/2000
28/09/2000
01/10/2000
02/10/2000
03/10/2000
04/10/2000
08/10/2000
09/10/2000
10/10/2000
11/10/2000
12/10/2000
15/10/2000
16/10/2000
17/10/2000
18/10/2000
19/10/2000
22/10/2000
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns
7,778.43
7,734.41
7,766.58
7,695.03
7,652.12
7,476.66
7,237.66
7,363.37
7,178.31
6,987.80
6,731.98
6,695.56
6,521.61
6,291.97
6,076.31
6,193.57
6,460.53
6,680.52
6,881.05
6,888.93
7,194.62
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
αi
βi
%
βirM
%
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
21.30
0.994341
1.004159
0.990787
0.994424
0.977070
0.968034
1.017369
0.974867
0.973460
0.963390
0.994590
0.974020
0.964788
0.965725
1.019298
1.043103
1.034051
1.030017
1.001145
1.044374
-0.01
0.00
-0.01
-0.01
-0.02
-0.03
0.02
-0.03
-0.03
-0.04
-0.01
-0.03
-0.04
-0.03
0.02
0.04
0.03
0.03
0.00
0.04
20.73
20.56
20.51
20.64
20.19
19.95
20.55
20.23
20.10
20.10
19.73
19.09
18.71
18.50
18.51
19.42
20.39
21.26
21.79
21.18
0.973239
0.991799
0.997568
1.006338
0.978198
0.988113
1.030075
0.984428
0.993574
1.000000
0.981592
0.967562
0.980094
0.988776
1.000541
1.049163
1.049949
1.042668
1.024929
0.972006
-0.03
-0.01
-0.00
0.01
-0.02
-0.01
0.03
-0.02
-0.01
0.00
-0.02
-0.03
-0.02
-0.01
0.00
0.05
0.05
0.04
0.02
-0.03
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
-0.00
0.00
-0.01
-0.00
-0.02
-0.03
0.01
-0.02
-0.02
-0.03
-0.00
-0.02
-0.03
-0.03
0.02
0.04
0.03
0.03
0.00
0.04
-0.76
-0.75
-0.76
-0.76
-0.77
-0.78
-0.74
-0.77
-0.78
-0.78
-0.76
-0.77
-0.78
-0.78
-0.74
-0.72
-0.72
-0.73
-0.75
-0.71
0.73
0.74
0.76
0.76
0.75
0.77
0.77
0.76
0.77
0.78
0.74
0.74
0.76
0.77
0.74
0.76
0.77
0.77
0.78
0.69
1.47
2.23
2.99
3.74
4.51
5.28
6.03
6.80
7.59
8.33
9.07
9.83
10.60
11.34
12.10
12.87
13.64
14.42
15.10
Page 160
23/10/2000
24/10/2000
25/10/2000
26/10/2000
29/10/2000
30/10/2000
31/10/2000
01/11/2000
02/11/2000
05/11/2000
06/11/2000
07/11/2000
08/11/2000
09/11/2000
12/11/2000
13/11/2000
14/11/2000
15/11/2000
16/11/2000
19/11/2000
20/11/2000
7,233.38
7,024.03
7,251.91
7,304.37
7,267.03
7,149.09
7,331.86
7,429.77
7,473.64
7,602.43
7,619.56
7,574.68
7,621.90
7,734.45
8,075.48
8,289.30
8,177.09
8,459.54
8,727.00
8,459.17
8,385.61
1.005387
0.971058
1.032443
1.007234
0.994888
0.983771
1.025565
1.013354
1.005905
1.017233
1.002253
0.994110
1.006234
1.014767
1.044092
1.026478
0.986463
1.034542
1.031616
0.969310
0.991304
0.01
-0.03
0.03
0.01
-0.01
-0.02
0.03
0.01
0.01
0.02
0.00
-0.01
0.01
0.01
0.04
0.03
-0.01
0.03
0.03
-0.03
-0.01
22.22
21.87
21.42
21.60
21.90
21.78
17.74
18.26
17.76
18.22
18.40
17.90
17.77
18.11
18.15
18.38
18.03
17.88
18.07
17.99
17.66
1.049103
0.984248
0.979424
1.008403
1.013889
0.994521
0.814509
1.029312
0.972618
1.025901
1.009879
0.972826
0.992737
1.019133
1.002209
1.012672
0.980958
0.991681
1.010626
0.995573
0.981656
0.05
-0.02
-0.02
0.01
0.01
-0.01
-0.21
0.03
-0.03
0.03
0.01
-0.03
-0.01
0.02
0.00
0.01
-0.02
-0.01
0.01
-0.00
-0.02
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
-0.75
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.87
0.00
-0.03
0.03
0.01
-0.00
-0.01
0.02
0.01
0.01
0.01
0.00
-0.01
0.01
0.01
0.04
0.02
-0.01
0.03
0.03
-0.03
-0.01
-0.75
-0.78
-0.72
-0.75
-0.76
-0.77
-0.73
-0.74
-0.75
-0.74
-0.75
-0.76
-0.75
-0.74
-0.71
-0.73
-0.76
-0.72
-0.72
-0.78
-0.76
0.80
0.76
0.70
0.75
0.77
0.76
0.52
0.77
0.72
0.76
0.76
0.73
0.74
0.76
0.72
0.74
0.74
0.71
0.74
0.77
0.74
15.90
16.66
17.36
18.12
18.89
19.65
20.17
20.94
21.66
22.42
23.18
23.91
24.65
25.41
26.13
26.87
27.61
28.33
29.06
29.84
30.58
Page 161
Commercial International Bank (CIB): Dividend Increase, 2001
Date
11/03/2001
12/03/2001
14/03/2001
15/03/2001
18/03/2001
19/03/2001
20/03/2001
21/03/2001
22/03/2001
25/03/2001
27/03/2001
28/03/2001
29/03/2001
01/04/2001
02/04/2001
03/04/2001
04/04/2001
05/04/2001
08/04/2001
09/04/2001
10/04/2001
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns
6,759.00
6,686.06
6,434.40
6,349.36
6,282.25
6,246.49
6,419.23
6,276.24
6,161.27
6,246.09
6,191.12
6,064.07
5,916.55
5,749.60
5,804.34
5,951.63
6,049.10
6,017.71
6,134.83
6,152.66
6,092.38
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
αi
βi
%
βirM
%
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
35.98
0.989208
0.962360
0.986784
0.989430
0.994308
1.027654
0.977725
0.981682
1.013767
0.991199
0.979479
0.975673
0.971783
1.009521
1.025376
1.016377
0.994811
1.019463
1.002906
0.990203
-0.01
-0.04
-0.01
-0.01
-0.01
0.03
-0.02
-0.02
0.01
-0.01
-0.02
-0.02
-0.03
0.01
0.03
0.02
-0.01
0.02
0.00
-0.01
36.00
35.14
35.20
34.55
33.50
33.55
34.12
34.28
33.99
34.03
34.02
33.99
33.50
32.77
33.04
34.06
34.14
33.89
34.15
34.59
1.000556
0.976111
1.001707
0.981534
0.969609
1.001493
1.016990
1.004689
0.991540
1.001177
0.999706
0.999118
0.985584
0.978209
1.008239
1.030872
1.002349
0.992677
1.007672
1.012884
0.00
-0.02
0.00
-0.02
-0.03
0.00
0.02
0.00
-0.01
0.00
-0.00
-0.00
-0.01
-0.02
0.01
0.03
0.00
-0.01
0.01
0.01
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
-0.02
-0.06
-0.02
-0.02
-0.01
0.04
-0.03
-0.03
0.02
-0.01
-0.03
-0.04
-0.04
0.01
0.04
0.02
-0.01
0.03
0.00
-0.01
-0.08
-0.12
-0.08
-0.08
-0.07
-0.02
-0.09
-0.09
-0.04
-0.07
-0.09
-0.10
-0.10
-0.05
-0.02
-0.04
-0.07
-0.03
-0.06
-0.08
0.08
0.09
0.08
0.06
0.04
0.02
0.11
0.09
0.03
0.08
0.09
0.10
0.09
0.03
0.03
0.07
0.07
0.03
0.06
0.09
0.17
0.25
0.31
0.35
0.37
0.48
0.58
0.61
0.69
0.78
0.87
0.96
0.99
1.02
1.09
1.16
1.19
1.25
1.34
Page 162
11/04/2001
12/04/2001
17/04/2001
18/04/2001
19/04/2001
22/04/2001
23/04/2001
24/04/2001
26/04/2001
29/04/2001
30/04/2001
02/05/2001
03/05/2001
06/05/2001
07/05/2001
08/05/2001
09/05/2001
10/05/2001
13/05/2001
14/05/2001
15/05/2001
6,287.48
6,293.02
6,092.25
5,974.02
6,104.23
6,155.51
6,264.52
6,241.56
6,177.83
6,126.99
6,127.14
6,274.21
6,341.10
6,369.90
6,496.36
6,522.06
6,427.20
6,489.01
6,669.97
6,646.17
6,562.25
1.032024
1.000881
0.968096
0.980593
1.021796
1.008401
1.017709
0.996335
0.989789
0.991771
1.000024
1.024003
1.010661
1.004542
1.019853
1.003956
0.985456
1.009617
1.027887
0.996432
0.987373
0.03
0.00
-0.03
-0.02
0.02
0.01
0.02
-0.00
-0.01
-0.01
0.00
0.02
0.01
0.00
0.02
0.00
-0.01
0.01
0.03
-0.00
-0.01
34.66
36.17
36.44
35.41
34.94
35.96
36.50
36.86
37.05
37.73
37.71
37.39
34.54
34.57
34.14
34.56
35.02
34.94
35.16
35.58
35.42
1.002024
1.043566
1.007465
0.971734
0.986727
1.029193
1.015017
1.009863
1.005155
1.018354
0.999470
0.991514
0.923776
1.000869
0.987561
1.012302
1.013310
0.997716
1.006297
1.011945
0.995503
0.00
0.04
0.01
-0.03
-0.01
0.03
0.01
0.01
0.01
0.02
-0.00
-0.01
-0.08
0.00
-0.01
0.01
0.01
-0.00
0.01
0.01
-0.00
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
1.45
0.05
0.00
-0.05
-0.03
0.03
0.01
0.03
-0.01
-0.01
-0.01
0.00
0.03
0.02
0.01
0.03
0.01
-0.02
0.01
0.04
-0.01
-0.02
-0.02
-0.06
-0.11
-0.09
-0.03
-0.05
-0.04
-0.07
-0.08
-0.07
-0.06
-0.03
-0.05
-0.05
-0.03
-0.06
-0.08
-0.05
-0.02
-0.07
-0.08
0.02
0.10
0.12
0.06
0.02
0.08
0.05
0.08
0.08
0.09
0.06
0.02
-0.03
0.06
0.02
0.07
0.10
0.05
0.03
0.08
0.08
1.36
1.46
1.57
1.64
1.65
1.73
1.78
1.86
1.94
2.03
2.09
2.11
2.08
2.13
2.15
2.22
2.32
2.36
2.39
2.47
2.54
Page 163
Misr International Bank (MIBANK): Dividend Increase, 2001
Date
26/02/2001
27/02/2001
28/02/2001
01/03/2001
07/03/2001
08/03/2001
11/03/2001
12/03/2001
14/03/2001
15/03/2001
18/03/2001
19/03/2001
20/03/2001
21/03/2001
22/03/2001
25/03/2001
27/03/2001
28/03/2001
29/03/2001
01/04/2001
02/04/2001
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns
6,550.96
6,750.48
6,676.08
6,724.88
6,911.84
6,879.29
6,759.00
6,686.06
6,434.40
6,349.36
6,282.25
6,246.49
6,419.23
6,276.24
6,161.27
6,246.09
6,191.12
6,064.07
5,916.55
5,749.60
5,804.34
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
αi
βi
%
βirM
%
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
30.38
1.030457
0.988979
1.007310
1.027801
0.995291
0.982514
0.989208
0.962360
0.986784
0.989430
0.994308
1.027654
0.977725
0.981682
1.013767
0.991199
0.979479
0.975673
0.971783
1.009521
0.03
-0.01
0.01
0.03
-0.00
-0.02
-0.01
-0.04
-0.01
-0.01
-0.01
0.03
-0.02
-0.02
0.01
-0.01
-0.02
-0.02
-0.03
0.01
30.43
29.62
29.73
30.58
30.13
29.06
28.34
28.11
28.13
27.99
26.70
26.88
27.26
27.36
27.25
28.00
27.74
27.91
27.99
27.30
1.001844
0.973186
1.003782
1.028525
0.985348
0.964684
0.974952
0.992095
1.000569
0.995165
0.953701
1.006892
1.013988
1.003816
0.995906
1.027598
0.990857
1.006055
1.002866
0.975136
0.00
-0.03
0.00
0.03
-0.01
-0.04
-0.03
-0.01
0.00
-0.00
-0.05
0.01
0.01
0.00
-0.00
0.03
-0.01
0.01
0.00
-0.03
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
0.04
-0.01
0.01
0.03
-0.01
-0.02
-0.01
-0.05
-0.02
-0.01
-0.01
0.03
-0.03
-0.02
0.02
-0.01
-0.03
-0.03
-0.04
0.01
-0.32
-0.37
-0.35
-0.32
-0.36
-0.38
-0.37
-0.40
-0.37
-0.37
-0.36
-0.32
-0.38
-0.38
-0.34
-0.37
-0.38
-0.39
-0.39
-0.34
0.32
0.34
0.35
0.35
0.35
0.34
0.34
0.40
0.37
0.36
0.31
0.33
0.40
0.38
0.33
0.39
0.37
0.39
0.39
0.32
0.66
1.01
1.36
1.71
2.05
2.39
2.79
3.16
3.52
3.84
4.16
4.56
4.94
5.28
5.67
6.04
6.44
6.83
7.15
Page 164
03/04/2001
04/04/2001
05/04/2001
08/04/2001
09/04/2001
10/04/2001
11/04/2001
12/04/2001
17/04/2001
18/04/2001
19/04/2001
22/04/2001
23/04/2001
24/04/2001
26/04/2001
29/04/2001
30/04/2001
02/05/2001
03/05/2001
06/05/2001
07/05/2001
5,951.63
6,049.10
6,017.71
6,134.83
6,152.66
6,092.38
6,287.48
6,293.02
6,092.25
5,974.02
6,104.23
6,155.51
6,264.52
6,241.56
6,177.83
6,126.99
6,127.14
6,274.21
6,341.10
6,369.90
6,496.36
1.025376
1.016377
0.994811
1.019463
1.002906
0.990203
1.032024
1.000881
0.968096
0.980593
1.021796
1.008401
1.017709
0.996335
0.989789
0.991771
1.000024
1.024003
1.010661
1.004542
1.019853
0.03
0.02
-0.01
0.02
0.00
-0.01
0.03
0.00
-0.03
-0.02
0.02
0.01
0.02
-0.00
-0.01
-0.01
0.00
0.02
0.01
0.00
0.02
27.38
28.70
29.00
28.34
28.62
28.88
28.63
30.05
30.13
29.66
28.90
29.38
28.07
29.11
29.73
29.14
28.22
28.01
28.86
28.90
29.09
1.003224
1.047911
1.010594
0.977379
1.009596
1.009226
0.991413
1.049455
1.002662
0.984334
0.974373
1.016888
0.955350
1.037048
1.021160
0.980086
0.968699
0.992347
1.030277
1.001663
1.006366
0.00
0.05
0.01
-0.02
0.01
0.01
-0.01
0.05
0.00
-0.02
-0.03
0.02
-0.05
0.04
0.02
-0.02
-0.03
-0.01
0.03
0.00
0.01
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
-0.36
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
1.27
0.03
0.02
-0.01
0.02
0.00
-0.01
0.04
0.00
-0.04
-0.02
0.03
0.01
0.02
-0.00
-0.01
-0.01
0.00
0.03
0.01
0.01
0.02
-0.32
-0.33
-0.36
-0.33
-0.35
-0.37
-0.32
-0.35
-0.40
-0.38
-0.33
-0.34
-0.33
-0.36
-0.37
-0.37
-0.36
-0.32
-0.34
-0.35
-0.33
0.33
0.38
0.37
0.31
0.36
0.38
0.31
0.40
0.40
0.36
0.30
0.36
0.29
0.40
0.39
0.35
0.32
0.32
0.37
0.35
0.34
7.48
7.86
8.23
8.54
8.90
9.27
9.58
9.98
10.38
10.75
11.05
11.41
11.70
12.09
12.48
12.83
13.15
13.47
13.84
14.19
14.53
Page 165
Ameryah Cement: Dividend Increase, 2001
Date
Index Value (Vt / Vt-1)
Index Returns
Stock Price (Pt / Pt-1) Stock Returns
rM =ln (Vt / Vt-1)
7,476.80
7,339.14
7,330.28
7,265.74
7,267.33
7,164.66
7,037.62
7,044.31
7,208.00
6,962.00
6,709.91
6,550.96
6,750.48
6,676.08
6,724.88
6,911.84
6,879.29
6,759.00
6,686.06
6,434.40
6,349.36
6,282.25
6,246.49
6,419.23
βi
βirM
(αi + βirM) Abnormal Return
%
%
%
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
ri =ln (Pt / Pt-1)
%
08/02/2001
11/02/2001
12/02/2001
13/02/2001
14/02/2001
15/02/2001
18/02/2001
19/02/2001
20/02/2001
22/02/2001
25/02/2001
26/02/2001
27/02/2001
28/02/2001
01/03/2001
07/03/2001
08/03/2001
11/03/2001
12/03/2001
14/03/2001
15/03/2001
18/03/2001
19/03/2001
20/03/2001
αi
%
29.00
0.981588
0.998793
0.991195
1.000219
0.985872
0.982269
1.000951
1.023237
0.965871
0.963791
0.976311
1.030457
0.988979
1.007310
1.027801
0.995291
0.982514
0.989208
0.962360
0.986784
0.989430
0.994308
1.027654
-0.02
-0.00
-0.01
0.00
-0.01
-0.02
0.00
0.02
-0.03
-0.04
-0.02
0.03
-0.01
0.01
0.03
-0.00
-0.02
-0.01
-0.04
-0.01
-0.01
-0.01
0.03
27.61
27.43
27.43
28.67
28.25
29.49
28.50
28.70
29.00
29.00
29.00
29.00
30.25
29.95
30.03
29.07
30.01
30.11
31.61
33.15
32.63
32.63
25.25
0.952069
0.993481
1.000000
1.045206
0.985351
1.043894
0.966429
1.007018
1.010453
1.000000
1.000000
1.000000
1.043103
0.990083
1.002671
0.968032
1.032336
1.003332
1.049817
1.048719
0.984314
1.000000
0.773828
-0.05
-0.01
0.00
0.04
-0.01
0.04
-0.03
0.01
0.01
0.00
0.00
0.00
0.04
-0.01
0.00
-0.03
0.03
0.00
0.05
0.05
-0.02
0.00
-0.26
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
-0.02
-0.00
-0.01
0.00
-0.01
-0.02
0.00
0.02
-0.04
-0.04
-0.03
0.03
-0.01
0.01
0.03
-0.00
-0.02
-0.01
-0.04
-0.01
-0.01
-0.01
0.03
-0.45
-0.43
-0.44
-0.43
-0.44
-0.45
-0.43
-0.41
-0.47
-0.47
-0.45
-0.40
-0.44
-0.42
-0.40
-0.43
-0.45
-0.44
-0.47
-0.44
-0.44
-0.44
-0.40
0.40
0.42
0.44
0.47
0.43
0.49
0.39
0.41
0.48
0.47
0.45
0.40
0.48
0.41
0.40
0.40
0.48
0.44
0.52
0.49
0.42
0.44
0.14
0.82
1.26
1.74
2.17
2.66
3.05
3.47
3.94
4.41
4.86
5.26
5.75
6.16
6.56
6.96
7.44
7.89
8.41
8.90
9.32
9.76
9.90
Page 166
21/03/2001
22/03/2001
25/03/2001
27/03/2001
28/03/2001
29/03/2001
01/04/2001
02/04/2001
03/04/2001
04/04/2001
05/04/2001
08/04/2001
09/04/2001
10/04/2001
11/04/2001
12/04/2001
17/04/2001
18/04/2001
6,276.24
6,161.27
6,246.09
6,191.12
6,064.07
5,916.55
5,749.60
5,804.34
5,951.63
6,049.10
6,017.71
6,134.83
6,152.66
6,092.38
6,287.48
6,293.02
6,092.25
5,974.02
0.977725
0.981682
1.013767
0.991199
0.979479
0.975673
0.971783
1.009521
1.025376
1.016377
0.994811
1.019463
1.002906
0.990203
1.032024
1.000881
0.968096
0.980593
-0.02
-0.02
0.01
-0.01
-0.02
-0.02
-0.03
0.01
0.03
0.02
-0.01
0.02
0.00
-0.01
0.03
0.00
-0.03
-0.02
24.52
25.00
25.00
25.16
25.16
25.27
24.41
24.15
24.15
24.09
24.15
24.81
25.00
24.17
25.00
24.67
24.67
24.67
0.971089
1.019576
1.000000
1.006400
1.000000
1.004372
0.965968
0.989349
1.000000
0.997516
1.002491
1.027329
1.007658
0.966800
1.034340
0.986800
1.000000
1.000000
-0.03
0.02
0.00
0.01
0.00
0.00
-0.03
-0.01
0.00
-0.00
0.00
0.03
0.01
-0.03
0.03
-0.01
0.00
0.00
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
-0.43
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
1.05
-0.02
-0.02
0.01
-0.01
-0.02
-0.03
-0.03
0.01
0.03
0.02
-0.01
0.02
0.00
-0.01
0.03
0.00
-0.03
-0.02
-0.45
-0.45
-0.42
-0.44
-0.45
-0.46
-0.46
-0.42
-0.40
-0.41
-0.44
-0.41
-0.43
-0.44
-0.40
-0.43
-0.46
-0.45
0.42
0.47
0.42
0.45
0.45
0.46
0.43
0.41
0.40
0.41
0.44
0.44
0.43
0.41
0.43
0.42
0.46
0.45
10.33
10.80
11.21
11.66
12.11
12.57
12.99
13.40
13.80
14.21
14.65
15.09
15.52
15.93
16.36
16.77
17.24
17.69
Page 167
Torah Portland Cement: Dividend Decrease, 2001
Date
15/02/2001
18/02/2001
19/02/2001
20/02/2001
22/02/2001
25/02/2001
26/02/2001
27/02/2001
28/02/2001
01/03/2001
07/03/2001
08/03/2001
11/03/2001
12/03/2001
14/03/2001
15/03/2001
18/03/2001
19/03/2001
20/03/2001
21/03/2001
22/03/2001
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns
7,164.66
7,037.62
7,044.31
7,208.00
6,962.00
6,709.91
6,550.96
6,750.48
6,676.08
6,724.88
6,911.84
6,879.29
6,759.00
6,686.06
6,434.40
6,349.36
6,282.25
6,246.49
6,419.23
6,276.24
6,161.27
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
-0.02
0.00
0.02
-0.03
-0.04
-0.02
0.03
-0.01
0.01
0.03
-0.00
-0.02
-0.01
-0.04
-0.01
-0.01
-0.01
0.03
-0.02
-0.02
31.74
31.60
32.87
31.99
31.96
31.56
31.27
31.90
31.92
31.66
31.66
31.66
31.66
31.48
31.12
30.96
30.54
30.00
30.00
29.12
0.981447
0.995589
1.040190
0.973228
0.999062
0.987484
0.990811
1.020147
1.000627
0.991855
1.000000
1.000000
1.000000
0.994315
0.988564
0.994859
0.986434
0.982318
1.000000
0.970667
βi
%
32.34
0.982269
1.000951
1.023237
0.965871
0.963791
0.976311
1.030457
0.988979
1.007310
1.027801
0.995291
0.982514
0.989208
0.962360
0.986784
0.989430
0.994308
1.027654
0.977725
0.981682
αi
-0.02
-0.00
0.04
-0.03
-0.00
-0.01
-0.01
0.02
0.00
-0.01
0.00
0.00
0.00
-0.01
-0.01
-0.01
-0.01
-0.02
0.00
-0.03
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
βirM
%
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
-0.02
0.00
0.02
-0.04
-0.04
-0.03
0.03
-0.01
0.01
0.03
-0.01
-0.02
-0.01
-0.04
-0.01
-0.01
-0.01
0.03
-0.02
-0.02
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
-0.08
-0.06
-0.04
-0.10
-0.10
-0.09
-0.03
-0.07
-0.05
-0.03
-0.07
-0.08
-0.07
-0.10
-0.08
-0.07
-0.07
-0.03
-0.09
-0.08
0.06
0.06
0.08
0.07
0.10
0.07
0.02
0.09
0.05
0.02
0.07
0.08
0.07
0.10
0.06
0.07
0.05
0.01
0.09
0.05
0.12
0.19
0.26
0.36
0.44
0.46
0.55
0.60
0.63
0.69
0.77
0.85
0.94
1.01
1.07
1.13
1.14
1.23
1.28
Page 168
25/03/2001
27/03/2001
28/03/2001
29/03/2001
01/04/2001
02/04/2001
03/04/2001
04/04/2001
05/04/2001
08/04/2001
09/04/2001
10/04/2001
11/04/2001
12/04/2001
17/04/2001
18/04/2001
19/04/2001
22/04/2001
23/04/2001
24/04/2001
26/04/2001
6,246.09
6,191.12
6,064.07
5,916.55
5,749.60
5,804.34
5,951.63
6,049.10
6,017.71
6,134.83
6,152.66
6,092.38
6,287.48
6,293.02
6,092.25
5,974.02
6,104.23
6,155.51
6,264.52
6,241.56
6,177.83
1.013767
0.991199
0.979479
0.975673
0.971783
1.009521
1.025376
1.016377
0.994811
1.019463
1.002906
0.990203
1.032024
1.000881
0.968096
0.980593
1.021796
1.008401
1.017709
0.996335
0.989789
0.01
-0.01
-0.02
-0.02
-0.03
0.01
0.03
0.02
-0.01
0.02
0.00
-0.01
0.03
0.00
-0.03
-0.02
0.02
0.01
0.02
-0.00
-0.01
28.90
30.31
30.21
29.99
30.00
29.67
29.67
29.06
28.84
27.35
26.07
26.00
26.00
26.57
25.90
26.38
26.96
26.13
26.73
25.67
25.67
0.992445
1.048789
0.996701
0.992718
1.000333
0.989000
1.000000
0.979441
0.992429
0.948336
0.953199
0.997315
1.000000
1.021923
0.974784
1.018533
1.021986
0.969214
1.022962
0.960344
1.000000
-0.01
0.05
-0.00
-0.01
0.00
-0.01
0.00
-0.02
-0.01
-0.05
-0.05
-0.00
0.00
0.02
-0.03
0.02
0.02
-0.03
0.02
-0.04
0.00
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
-0.06
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
1.07
0.01
-0.01
-0.02
-0.03
-0.03
0.01
0.03
0.02
-0.01
0.02
0.00
-0.01
0.03
0.00
-0.03
-0.02
0.02
0.01
0.02
-0.00
-0.01
-0.05
-0.07
-0.08
-0.09
-0.09
-0.05
-0.03
-0.04
-0.07
-0.04
-0.06
-0.07
-0.03
-0.06
-0.10
-0.08
-0.04
-0.05
-0.04
-0.07
-0.07
0.04
0.12
0.08
0.08
0.09
0.04
0.03
0.02
0.06
-0.01
0.01
0.07
0.03
0.08
0.07
0.10
0.06
0.02
0.07
0.02
0.07
1.32
1.44
1.52
1.60
1.69
1.73
1.76
1.79
1.84
1.83
1.84
1.91
1.94
2.02
2.09
2.19
2.25
2.27
2.34
2.36
2.43
Page 169
Nasr City for Housing and Development: Dividend Decrease, 2001
Date
27/09/2001
30/09/2001
01/10/2001
02/10/2001
03/10/2001
04/10/2001
07/10/2001
08/10/2001
09/10/2001
10/10/2001
11/10/2001
14/10/2001
15/10/2001
16/10/2001
17/10/2001
18/10/2001
21/10/2001
22/10/2001
23/10/2001
24/10/2001
25/10/2001
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns
5,619.25
5,642.78
5,682.52
5,556.84
5,494.59
5,446.80
5,446.75
5,430.49
5,457.28
5,498.24
5,545.29
5,631.61
5,637.89
5,602.09
5,734.77
5,797.97
5,833.82
5,858.68
5,843.46
5,808.69
5,713.35
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
αi
βi
%
βirM
%
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
21.09
1.004187
1.007043
0.977883
0.988798
0.991302
0.999991
0.997015
1.004933
1.007506
1.008557
1.015566
1.001115
0.993650
1.023684
1.011020
1.006183
1.004261
0.997402
0.994050
0.983587
0.00
0.01
-0.02
-0.01
-0.01
-0.00
-0.00
0.00
0.01
0.01
0.02
0.00
-0.01
0.02
0.01
0.01
0.00
-0.00
-0.01
-0.02
21.04
21.18
20.75
20.80
20.34
20.50
20.46
21.06
20.55
20.51
21.11
20.84
21.04
21.13
21.42
21.29
20.95
20.84
20.65
20.70
0.997629
1.006654
0.979698
1.002410
0.977885
1.007866
0.998049
1.029326
0.975783
0.998054
1.029254
0.987210
1.009597
1.004278
1.013725
0.993931
0.984030
0.994749
0.990883
1.002421
-0.00
0.01
-0.02
0.00
-0.02
0.01
-0.00
0.03
-0.02
-0.00
0.03
-0.01
0.01
0.00
0.01
-0.01
-0.02
-0.01
-0.01
0.00
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.00
0.01
-0.02
-0.01
-0.01
-0.00
-0.00
0.00
0.01
0.01
0.01
0.00
-0.00
0.02
0.01
0.00
0.00
-0.00
-0.00
-0.01
-1.15
-1.14
-1.17
-1.16
-1.16
-1.15
-1.15
-1.15
-1.14
-1.14
-1.14
-1.15
-1.15
-1.13
-1.14
-1.14
-1.15
-1.15
-1.15
-1.16
1.14
1.15
1.15
1.16
1.13
1.16
1.15
1.17
1.12
1.14
1.17
1.14
1.16
1.14
1.15
1.14
1.13
1.15
1.14
1.16
2.29
3.44
4.60
5.73
6.89
8.04
9.21
10.33
11.47
12.64
13.78
14.94
16.08
17.23
18.37
19.50
20.64
21.79
22.95
Page 170
28/10/2001
29/10/2001
30/10/2001
31/10/2001
01/11/2001
04/11/2001
05/11/2001
06/11/2001
07/11/2001
08/11/2001
11/11/2001
12/11/2001
13/11/2001
14/11/2001
15/11/2001
18/11/2001
19/11/2001
20/11/2001
21/11/2001
22/11/2001
25/11/2001
5,602.95
5,587.92
5,631.18
5,577.53
5,548.61
5,620.24
5,651.06
5,641.30
5,586.39
5,581.92
5,560.63
5,522.23
5,464.27
5,415.47
5,333.98
5,249.93
5,230.18
5,206.27
5,100.62
5,085.62
5,080.87
0.980677
0.997317
1.007742
0.990473
0.994815
1.012910
1.005484
0.998273
0.990266
0.999200
0.996186
0.993094
0.989504
0.991069
0.984952
0.984243
0.996238
0.995428
0.979707
0.997059
0.999066
-0.02
-0.00
0.01
-0.01
-0.01
0.01
0.01
-0.00
-0.01
-0.00
-0.00
-0.01
-0.01
-0.01
-0.02
-0.02
-0.00
-0.00
-0.02
-0.00
-0.00
20.47
20.26
20.25
20.01
20.36
20.64
21.00
20.91
20.51
20.50
19.58
18.95
18.96
18.35
17.51
17.53
17.83
17.70
17.84
17.92
17.83
0.988889
0.989741
0.999506
0.988148
1.017491
1.013752
1.017442
0.995714
0.980870
0.999512
0.955122
0.967824
1.000528
0.967827
0.954223
1.001142
1.017114
0.992709
1.007910
1.004484
0.994978
-0.01
-0.01
-0.00
-0.01
0.02
0.01
0.02
-0.00
-0.02
-0.00
-0.05
-0.03
0.00
-0.03
-0.05
0.00
0.02
-0.01
0.01
0.00
-0.01
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
-1.15
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75
-0.01
-0.00
0.01
-0.01
-0.00
0.01
0.00
-0.00
-0.01
-0.00
-0.00
-0.01
-0.01
-0.01
-0.01
-0.01
-0.00
-0.00
-0.02
-0.00
-0.00
-1.16
-1.15
-1.14
-1.16
-1.15
-1.14
-1.15
-1.15
-1.16
-1.15
-1.15
-1.15
-1.16
-1.16
-1.16
-1.16
-1.15
-1.15
-1.16
-1.15
-1.15
1.15
1.14
1.14
1.14
1.17
1.15
1.16
1.15
1.14
1.15
1.11
1.12
1.16
1.12
1.11
1.16
1.17
1.15
1.17
1.16
1.14
24.11
25.25
26.39
27.53
28.70
29.86
31.02
32.17
33.30
34.45
35.56
36.68
37.84
38.96
40.08
41.24
42.41
43.55
44.72
45.88
47.03
Page 171
Suez Cement: Dividend Decrease, 2001
Date
16/05/2001
17/05/2001
20/05/2001
21/05/2001
22/05/2001
23/05/2001
24/05/2001
27/05/2001
28/05/2001
29/05/2001
30/05/2001
31/05/2001
03/06/2001
05/06/2001
06/06/2001
07/06/2001
10/06/2001
11/06/2001
12/06/2001
13/06/2001
14/06/2001
Index Value (Vt / Vt-1) Index Returns
6,551.20
6,597.23
6,560.59
6,512.37
6,559.95
6,569.65
6,654.19
6,708.68
6,786.08
6,688.26
6,621.11
6,537.40
6,342.76
6,277.93
6,238.88
6,292.23
6,322.50
6,299.70
6,322.27
6,285.92
6,300.35
Stock Price (Pt / Pt-1) Stock Returns
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
αi
βi
%
βirM
%
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
35.35
1.007026
0.994446
0.992650
1.007306
1.001479
1.012868
1.008189
1.011537
0.985585
0.989960
0.987357
0.970227
0.989779
0.993780
1.008551
1.004811
0.996394
1.003583
0.994250
1.002296
0.01
-0.01
-0.01
0.01
0.00
0.01
0.01
0.01
-0.01
-0.01
-0.01
-0.03
-0.01
-0.01
0.01
0.00
-0.00
0.00
-0.01
0.00
35.54
34.56
34.62
35.31
35.32
35.95
36.76
36.70
36.30
36.17
36.60
35.76
35.96
35.68
35.82
37.61
38.91
37.89
38.14
38.89
1.005375
0.972425
1.001736
1.019931
1.000283
1.017837
1.022531
0.998368
0.989101
0.996419
1.011888
0.977049
1.005593
0.992214
1.003924
1.049972
1.034565
0.973786
1.006598
1.019664
0.01
-0.03
0.00
0.02
0.00
0.02
0.02
-0.00
-0.01
-0.00
0.01
-0.02
0.01
-0.01
0.00
0.05
0.03
-0.03
0.01
0.02
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
0.01
-0.01
-0.01
0.01
0.00
0.02
0.01
0.01
-0.02
-0.01
-0.02
-0.04
-0.01
-0.01
0.01
0.01
-0.00
0.00
-0.01
0.00
-0.19
-0.20
-0.20
-0.19
-0.19
-0.18
-0.18
-0.18
-0.21
-0.21
-0.21
-0.23
-0.21
-0.20
-0.18
-0.19
-0.20
-0.19
-0.20
-0.19
0.19
0.17
0.21
0.21
0.19
0.20
0.21
0.18
0.20
0.20
0.22
0.21
0.21
0.20
0.19
0.24
0.23
0.16
0.21
0.21
0.37
0.57
0.78
0.97
1.17
1.38
1.55
1.76
1.96
2.18
2.39
2.61
2.80
2.99
3.23
3.46
3.63
3.84
4.05
Page 172
17/06/2001
18/06/2001
19/06/2001
20/06/2001
21/06/2001
24/06/2001
25/06/2001
26/06/2001
27/06/2001
28/06/2001
02/07/2001
03/07/2001
04/07/2001
05/07/2001
08/07/2001
09/07/2001
10/07/2001
11/07/2001
12/07/2001
15/07/2001
16/07/2001
6,216.47
6,202.02
6,109.03
6,074.44
6,139.67
6,099.20
6,083.66
6,006.48
5,933.25
5,969.53
6,097.59
6,194.11
6,237.19
6,203.32
6,227.01
6,242.79
6,158.67
6,073.57
6,095.65
5,965.85
5,797.82
0.986686
0.997676
0.985006
0.994338
1.010738
0.993408
0.997452
0.987314
0.987808
1.006115
1.021452
1.015829
1.006955
0.994570
1.003819
1.002534
0.986525
0.986182
1.003635
0.978706
0.971835
-0.01
-0.00
-0.02
-0.01
0.01
-0.01
-0.00
-0.01
-0.01
0.01
0.02
0.02
0.01
-0.01
0.00
0.00
-0.01
-0.01
0.00
-0.02
-0.03
36.92
36.71
35.96
36.27
36.61
36.72
36.94
36.10
35.95
35.90
36.27
36.11
35.84
36.04
36.41
36.54
36.04
35.87
35.79
35.19
34.52
0.949344
0.994312
0.979570
1.008621
1.009374
1.003005
1.005991
0.977260
0.995845
0.998609
1.010306
0.995589
0.992523
1.005580
1.010266
1.003570
0.986316
0.995283
0.997770
0.983236
0.980961
-0.05
-0.01
-0.02
0.01
0.01
0.00
0.01
-0.02
-0.00
-0.00
0.01
-0.00
-0.01
0.01
0.01
0.00
-0.01
-0.00
-0.00
-0.02
-0.02
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
-0.20
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
1.26
-0.02
-0.00
-0.02
-0.01
0.01
-0.01
-0.00
-0.02
-0.02
0.01
0.03
0.02
0.01
-0.01
0.00
0.00
-0.02
-0.02
0.00
-0.03
-0.04
-0.21
-0.20
-0.21
-0.20
-0.18
-0.20
-0.20
-0.21
-0.21
-0.19
-0.17
-0.18
-0.19
-0.20
-0.19
-0.19
-0.21
-0.21
-0.19
-0.22
-0.23
0.16
0.19
0.19
0.21
0.19
0.21
0.20
0.19
0.21
0.19
0.18
0.17
0.18
0.21
0.20
0.20
0.20
0.21
0.19
0.21
0.21
4.21
4.40
4.59
4.81
5.00
5.20
5.41
5.60
5.80
5.99
6.17
6.34
6.52
6.72
6.92
7.12
7.32
7.53
7.71
7.92
8.13
Page 173
Egyptian Financial and Industrial: Dividend Decrease, 2001
Date
14/05/2001
15/05/2001
16/05/2001
17/05/2001
20/05/2001
21/05/2001
22/05/2001
23/05/2001
24/05/2001
27/05/2001
28/05/2001
29/05/2001
30/05/2001
31/05/2001
03/06/2001
05/06/2001
06/06/2001
07/06/2001
10/06/2001
11/06/2001
12/06/2001
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns
6,646.17
6,562.25
6,551.20
6,597.23
6,560.59
6,512.37
6,559.95
6,569.65
6,654.19
6,708.68
6,786.08
6,688.26
6,621.11
6,537.40
6,342.76
6,277.93
6,238.88
6,292.23
6,322.50
6,299.70
6,322.27
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
-0.01
-0.00
0.01
-0.01
-0.01
0.01
0.00
0.01
0.01
0.01
-0.01
-0.01
-0.01
-0.03
-0.01
-0.01
0.01
0.00
-0.00
0.00
22.97
22.06
21.99
21.88
21.66
21.95
21.11
22.10
22.38
22.72
22.53
22.20
22.53
22.51
22.51
23.15
23.06
22.57
23.35
23.67
1.049817
0.960383
0.996827
0.994998
0.989945
1.013389
0.961731
1.046897
1.012670
1.015192
0.991637
0.985353
1.014865
0.999112
1.000000
1.028432
0.996112
0.978751
1.034559
1.013704
βi
%
21.88
0.987373
0.998316
1.007026
0.994446
0.992650
1.007306
1.001479
1.012868
1.008189
1.011537
0.985585
0.989960
0.987357
0.970227
0.989779
0.993780
1.008551
1.004811
0.996394
1.003583
αi
0.05
-0.04
-0.00
-0.01
-0.01
0.01
-0.04
0.05
0.01
0.02
-0.01
-0.01
0.01
-0.00
0.00
0.03
-0.00
-0.02
0.03
0.01
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
βirM
%
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
-0.01
-0.00
0.01
-0.00
-0.01
0.01
0.00
0.01
0.01
0.01
-0.01
-0.01
-0.01
-0.03
-0.01
-0.01
0.01
0.00
-0.00
0.00
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
-1.27
-1.26
-1.25
-1.26
-1.27
-1.25
-1.26
-1.25
-1.25
-1.25
-1.27
-1.27
-1.27
-1.28
-1.27
-1.26
-1.25
-1.25
-1.26
-1.26
1.32
1.22
1.25
1.26
1.26
1.27
1.22
1.29
1.26
1.26
1.26
1.25
1.28
1.28
1.27
1.29
1.25
1.23
1.30
1.27
2.54
3.79
5.05
6.30
7.57
8.79
10.08
11.34
12.61
13.87
15.12
16.41
17.69
18.96
20.25
21.50
22.73
24.03
25.30
Page 174
13/06/2001
14/06/2001
17/06/2001
18/06/2001
19/06/2001
20/06/2001
21/06/2001
24/06/2001
25/06/2001
26/06/2001
27/06/2001
28/06/2001
02/07/2001
03/07/2001
04/07/2001
05/07/2001
08/07/2001
09/07/2001
10/07/2001
11/07/2001
12/07/2001
6,285.92
6,300.35
6,216.47
6,202.02
6,109.03
6,074.44
6,139.67
6,099.20
6,083.66
6,006.48
5,933.25
5,969.53
6,097.59
6,194.11
6,237.19
6,203.32
6,227.01
6,242.79
6,158.67
6,073.57
6,095.65
0.994250
1.002296
0.986686
0.997676
0.985006
0.994338
1.010738
0.993408
0.997452
0.987314
0.987808
1.006115
1.021452
1.015829
1.006955
0.994570
1.003819
1.002534
0.986525
0.986182
1.003635
-0.01
0.00
-0.01
-0.00
-0.02
-0.01
0.01
-0.01
-0.00
-0.01
-0.01
0.01
0.02
0.02
0.01
-0.01
0.00
0.00
-0.01
-0.01
0.00
23.35
22.97
23.86
24.41
24.16
23.11
22.50
23.31
23.04
19.95
19.30
19.75
19.23
19.23
20.01
20.67
20.75
20.81
21.59
20.78
21.51
0.986481
0.983726
1.038746
1.023051
0.989758
0.956540
0.973605
1.036000
0.988417
0.865885
0.967419
1.023316
0.973671
1.000000
1.040562
1.032984
1.003870
1.002892
1.037482
0.962483
1.035130
-0.01
-0.02
0.04
0.02
-0.01
-0.04
-0.03
0.04
-0.01
-0.14
-0.03
0.02
-0.03
0.00
0.04
0.03
0.00
0.00
0.04
-0.04
0.03
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
-1.26
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
0.86
-0.00
0.00
-0.01
-0.00
-0.01
-0.00
0.01
-0.01
-0.00
-0.01
-0.01
0.01
0.02
0.01
0.01
-0.00
0.00
0.00
-0.01
-0.01
0.00
-1.26
-1.26
-1.27
-1.26
-1.27
-1.26
-1.25
-1.26
-1.26
-1.27
-1.27
-1.25
-1.24
-1.25
-1.25
-1.26
-1.26
-1.26
-1.27
-1.27
-1.26
1.25
1.24
1.31
1.28
1.26
1.22
1.22
1.30
1.25
1.13
1.24
1.28
1.21
1.25
1.29
1.30
1.26
1.26
1.31
1.23
1.29
26.55
27.79
29.10
30.38
31.64
32.86
34.09
35.38
36.63
37.76
39.00
40.27
41.49
42.73
44.03
45.32
46.58
47.84
49.15
50.38
51.67
Page 175
Abu Keir for Fertilisers: Dividend Decrease, 2001
Date
23/09/2001
24/09/2001
25/09/2001
26/09/2001
27/09/2001
30/09/2001
01/10/2001
02/10/2001
03/10/2001
04/10/2001
07/10/2001
08/10/2001
09/10/2001
10/10/2001
11/10/2001
14/10/2001
15/10/2001
16/10/2001
17/10/2001
18/10/2001
21/10/2001
Index Value (Vt / Vt-1) Index Returns Stock Price (Pt / Pt-1) Stock Returns
5,970.12
5,888.09
5,817.27
5,701.92
5,619.25
5,642.78
5,682.52
5,556.84
5,494.59
5,446.80
5,446.75
5,430.49
5,457.28
5,498.24
5,545.29
5,631.61
5,637.89
5,602.09
5,734.77
5,797.97
5,833.82
0.986260
0.987972
0.980171
0.985501
1.004187
1.007043
0.977883
0.988798
0.991302
0.999991
0.997015
1.004933
1.007506
1.008557
1.015566
1.001115
0.993650
1.023684
1.011020
1.006183
rM =ln (Vt / Vt-1)
ri =ln (Pt / Pt-1)
%
%
-0.01
-0.01
-0.02
-0.01
0.00
0.01
-0.02
-0.01
-0.01
-0.00
-0.00
0.00
0.01
0.01
0.02
0.00
-0.01
0.02
0.01
0.01
27.59
27.59
27.60
27.34
27.44
27.90
28.37
28.30
28.21
28.00
28.00
28.22
28.15
28.34
28.34
28.28
28.25
28.22
28.32
28.20
28.38
1.000000
1.000362
0.990580
1.003658
1.016764
1.016846
0.997533
0.996820
0.992556
1.000000
1.007857
0.997519
1.006750
1.000000
0.997883
0.998939
0.998938
1.003544
0.995763
1.006383
αi
βi
%
0.00
0.00
-0.01
0.00
0.02
0.02
-0.00
-0.00
-0.01
0.00
0.01
-0.00
0.01
0.00
-0.00
-0.00
-0.00
0.00
-0.00
0.01
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
βirM
%
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
-0.01
-0.01
-0.01
-0.01
0.00
0.00
-0.01
-0.01
-0.00
-0.00
-0.00
0.00
0.00
0.00
0.01
0.00
-0.00
0.01
0.01
0.00
(αi + βirM) Abnormal Return
Cumulative
ei = ri - (αi + βirM) Abnormal Return
%
%
%
-0.95
-0.95
-0.95
-0.95
-0.94
-0.94
-0.96
-0.95
-0.95
-0.94
-0.95
-0.94
-0.94
-0.94
-0.94
-0.94
-0.95
-0.93
-0.94
-0.94
0.95
0.95
0.94
0.96
0.96
0.96
0.95
0.95
0.94
0.94
0.95
0.94
0.95
0.94
0.94
0.94
0.95
0.94
0.94
0.95
1.90
2.85
3.80
4.76
5.72
6.67
7.62
8.56
9.51
10.46
11.40
12.35
13.29
14.23
15.17
16.12
17.05
17.99
18.94
Page 176
22/10/2001
23/10/2001
24/10/2001
25/10/2001
28/10/2001
29/10/2001
30/10/2001
31/10/2001
01/11/2001
04/11/2001
05/11/2001
06/11/2001
07/11/2001
08/11/2001
11/11/2001
12/11/2001
13/11/2001
14/11/2001
15/11/2001
18/11/2001
19/11/2001
5,858.68
5,843.46
5,808.69
5,713.35
5,602.95
5,587.92
5,631.18
5,577.53
5,548.61
5,620.24
5,651.06
5,641.30
5,586.39
5,581.92
5,560.63
5,522.23
5,464.27
5,415.47
5,333.98
5,249.93
5,230.18
1.004261
0.997402
0.994050
0.983587
0.980677
0.997317
1.007742
0.990473
0.994815
1.012910
1.005484
0.998273
0.990266
0.999200
0.996186
0.993094
0.989504
0.991069
0.984952
0.984243
0.996238
0.00
-0.00
-0.01
-0.02
-0.02
-0.00
0.01
-0.01
-0.01
0.01
0.01
-0.00
-0.01
-0.00
-0.00
-0.01
-0.01
-0.01
-0.02
-0.02
-0.00
28.01
28.12
28.23
28.24
28.06
24.98
24.82
24.44
24.55
24.88
24.92
24.81
24.96
24.70
24.88
24.98
24.95
24.88
24.98
24.60
24.60
0.986963
1.003927
1.003912
1.000354
0.993626
0.890235
0.993595
0.984690
1.004501
1.013442
1.001608
0.995586
1.006046
0.989583
1.007287
1.004019
0.998799
0.997194
1.004019
0.984788
1.000000
-0.01
0.00
0.00
0.00
-0.01
-0.12
-0.01
-0.02
0.00
0.01
0.00
-0.00
0.01
-0.01
0.01
0.00
-0.00
-0.00
0.00
-0.02
0.00
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
-0.94
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.47
0.00
-0.00
-0.00
-0.01
-0.01
-0.00
0.00
-0.00
-0.00
0.01
0.00
-0.00
-0.00
-0.00
-0.00
-0.00
-0.01
-0.00
-0.01
-0.01
-0.00
-0.94
-0.95
-0.95
-0.95
-0.95
-0.95
-0.94
-0.95
-0.95
-0.94
-0.94
-0.95
-0.95
-0.95
-0.95
-0.95
-0.95
-0.95
-0.95
-0.95
-0.95
0.93
0.95
0.95
0.95
0.95
0.83
0.93
0.93
0.95
0.95
0.94
0.94
0.96
0.93
0.95
0.95
0.95
0.95
0.96
0.94
0.95
19.87
20.82
21.77
22.72
23.67
24.50
25.44
26.37
27.32
28.27
29.22
30.16
31.11
32.05
33.00
33.96
34.90
35.85
36.81
37.74
38.69
Page 177
Appendix D
The calculations of the various performance measures for mutual funds were based on
the annual returns of the Hermes Financial Index (HFI) and the funds returns for the
period from 1998 until 2001.
Funds returns were calculated from their annual closing values of their Net Asset
Values (NAV).
In the following tables, the formulae utilised for calculating the various performance
measures were:
· Beta
∑X)2] (5.1.1)
= [(T * ∑XY) – (∑
∑Y * ∑X)] / [(T * ∑X2) – (∑
· Jensen (Alpha)
= arp – [arf + βp(arM - arf)]
(5.1.2)
· Sharpe
= (arp - arf) / σp
(5.1.3)
· Treynor
= (arp - arf) / βp
(5.1.4)
· Tracking Error
= αp / σep
(5.1.5)
The following are the detailed calculations of the various performance measures for
the funds analysed.
Page 179
Market Portfolio
Year Index Return (%) T.Bills Rate (%)
X = rM - rf
rM
1998
1999
2000
2001
Excess Return (%) Fund Return (%) T.Bills Rate (%)
-26.30
42.50
-41.19
-31.20
Sum
8.81
9.05
9.09
9.06
-35.11
33.45
-50.28
-40.26
-26.30
42.50
-41.19
-31.20
-14.05
(Y)2
(X*Y)
8.81
9.05
9.09
9.06
-35.11
33.45
-50.28
-40.26
1232.71
1118.90
2528.08
1620.87
1232.71
1118.90
2528.08
1620.87
1232.71
1118.90
2528.08
1620.87
-92.20
6500.56
6500.56
6500.56
9.00
38.20
Standard Deviation
Beta
Jensen (Alpha) %
Std. Dev. Of Rndm Error Term %
Sharpe
Treynor
Tracking Error
(X)2
Y = rp - rf
-92.20
Mean
Excess Return (%)
1.00
0.00
0.00
-0.60
-23.05
0.00
Page 180
Fund No. 1
Year Index Return (%) T.Bills Rate (%)
X = rM - rf
rM
1998
1999
2000
2001
Excess Return (%) Fund Return (%) T.Bills Rate (%)
-26.30
42.50
-41.19
-31.20
Sum
8.81
9.05
9.09
9.06
-35.11
33.45
-50.28
-40.26
(X)2
(Y)2
(X*Y)
Y = rp - rf
-16.30
12.00
-11.44
-17.50
8.81
9.05
9.09
9.06
-92.20
Mean
-8.31
Standard Deviation
13.79
Beta
Jensen (Alpha) %
Std. Dev. Of Rndm Error Term %
Sharpe
Treynor
Tracking Error
Excess Return (%)
-25.11
2.95
-20.53
-26.56
1232.71
1118.90
2528.08
1620.87
630.51
8.70
421.48
705.43
881.61
98.68
1032.25
1069.31
-69.25
6500.56
1766.13
3081.84
9.00
0.34
-9.49
5.60
-1.26
-50.99
-1.69
Page 181
Fund No. 2
Year Index Return (%) T.Bills Rate (%)
X = rM - rf
rM
1998
1999
2000
2001
Excess Return (%) Fund Return (%) T.Bills Rate (%)
-26.30
42.50
-41.19
-31.20
Sum
8.81
9.05
9.09
9.06
-35.11
33.45
-50.28
-40.26
(X)2
(Y)2
(X*Y)
Y = rp - rf
-16.60
15.90
-13.07
-5.20
8.81
9.05
9.09
9.06
-92.20
Mean
-4.74
Standard Deviation
14.56
Beta
Jensen (Alpha) %
Std. Dev. Of Rndm Error Term %
Sharpe
Treynor
Tracking Error
Excess Return (%)
-25.41
6.85
-22.16
-14.26
1232.71
1118.90
2528.08
1620.87
645.67
46.92
491.07
203.35
892.15
229.13
1114.20
574.11
-54.98
6500.56
1387.00
2809.59
9.00
0.35
-5.62
6.62
-0.94
-38.99
-0.85
Page 182
Fund No. 3
Year Index Return (%) T.Bills Rate (%)
X = rM - rf
rM
1998
1999
2000
2001
Excess Return (%) Fund Return (%) T.Bills Rate (%)
-26.30
42.50
-41.19
-31.20
Sum
8.81
9.05
9.09
9.06
-35.11
33.45
-50.28
-40.26
(X)2
(Y)2
(X*Y)
Y = rp - rf
-14.90
13.50
-12.89
-13.10
8.81
9.05
9.09
9.06
-92.20
Mean
-6.85
Standard Deviation
13.59
Beta
Jensen (Alpha) %
Std. Dev. Of Rndm Error Term %
Sharpe
Treynor
Tracking Error
Excess Return (%)
-23.71
4.45
-21.98
-22.16
1232.71
1118.90
2528.08
1620.87
562.16
19.80
483.12
491.07
832.46
148.85
1105.15
892.16
-63.40
6500.56
1556.15
2978.63
9.00
0.35
-7.86
3.54
-1.17
-45.71
-2.22
Page 183
Fund No. 4
Year Index Return (%) T.Bills Rate (%)
X = rM - rf
rM
1998
1999
2000
2001
Excess Return (%) Fund Return (%) T.Bills Rate (%)
-26.30
42.50
-41.19
-31.20
Sum
8.81
9.05
9.09
9.06
-35.11
33.45
-50.28
-40.26
(X)2
(Y)2
(X*Y)
Y = rp - rf
-17.70
11.00
-14.38
-16.90
8.81
9.05
9.09
9.06
-92.20
Mean
-9.50
Standard Deviation
13.74
Beta
Jensen (Alpha) %
Std. Dev. Of Rndm Error Term %
Sharpe
Treynor
Tracking Error
Excess Return (%)
-26.51
1.95
-23.47
-25.96
1232.71
1118.90
2528.08
1620.87
702.78
3.80
550.84
673.92
930.77
65.23
1180.07
1045.15
-73.99
6500.56
1931.35
3221.21
9.00
0.35
-10.51
4.34
-1.35
-53.39
-2.42
Page 184
Fund No. 5
Year Index Return (%) T.Bills Rate (%)
X = rM - rf
rM
1998
1999
2000
2001
Excess Return (%) Fund Return (%) T.Bills Rate (%)
-26.30
42.50
-41.19
-31.20
Sum
8.81
9.05
9.09
9.06
-35.11
33.45
-50.28
-40.26
(X)2
(Y)2
(X*Y)
Y = rp - rf
-16.80
12.30
-10.78
-14.10
8.81
9.05
9.09
9.06
-92.20
Mean
-7.35
Standard Deviation
13.33
Beta
Jensen (Alpha) %
Std. Dev. Of Rndm Error Term %
Sharpe
Treynor
Tracking Error
Excess Return (%)
-25.61
3.25
-19.87
-23.16
1232.71
1118.90
2528.08
1620.87
655.87
10.56
394.82
536.39
899.17
108.71
999.06
932.42
-65.39
6500.56
1597.64
2939.36
9.00
0.33
-8.80
5.47
-1.23
-49.94
-1.61
Page 185
Fund No. 6
Year Index Return (%) T.Bills Rate (%)
X = rM - rf
rM
1998
1999
2000
2001
Excess Return (%) Fund Return (%) T.Bills Rate (%)
-26.30
42.50
-41.19
-31.20
Sum
8.81
9.05
9.09
9.06
-35.11
33.45
-50.28
-40.26
(X)2
(Y)2
(X*Y)
Y = rp - rf
-14.80
11.40
-10.83
-12.40
8.81
9.05
9.09
9.06
-92.20
Mean
-6.66
Standard Deviation
12.15
Beta
Jensen (Alpha) %
Std. Dev. Of Rndm Error Term %
Sharpe
Treynor
Tracking Error
Excess Return (%)
-23.61
2.35
-19.92
-21.46
1232.71
1118.90
2528.08
1620.87
557.43
5.52
396.81
460.53
828.95
78.61
1001.58
863.98
-62.64
6500.56
1420.29
2773.11
9.00
0.30
-8.66
4.21
-1.29
-51.55
-2.05
Page 186
Fund No. 7
Year Index Return (%) T.Bills Rate (%)
X = rM - rf
rM
1998
1999
2000
2001
Excess Return (%) Fund Return (%) T.Bills Rate (%)
-26.30
42.50
-41.19
-31.20
Sum
8.81
9.05
9.09
9.06
-35.11
33.45
-50.28
-40.26
-11.51
3.06
-11.74
-13.12
-8.33
(Y)2
(X*Y)
8.81
9.05
9.09
9.06
-20.32
-5.99
-20.83
-22.18
1232.71
1118.90
2528.08
1620.87
412.90
35.88
433.89
491.95
713.44
-200.37
1047.33
892.97
-69.32
6500.56
1374.62
2453.37
9.00
7.62
Standard Deviation
Beta
Jensen (Alpha) %
Std. Dev. Of Rndm Error Term %
Sharpe
Treynor
Tracking Error
(X)2
Y = rp - rf
-92.20
Mean
Excess Return (%)
0.20
-12.82
1.73
-2.27
-88.63
-7.39
Page 187
Fund No. 8
Year Index Return (%) T.Bills Rate (%)
X = rM - rf
rM
1998
1999
2000
2001
Excess Return (%) Fund Return (%) T.Bills Rate (%)
-26.30
42.50
-41.19
-31.20
Sum
8.81
9.05
9.09
9.06
-35.11
33.45
-50.28
-40.26
-2.79
7.51
-8.03
-9.60
-3.23
(Y)2
(X*Y)
8.81
9.05
9.09
9.06
-11.60
-1.54
-17.12
-18.66
1232.71
1118.90
2528.08
1620.87
134.56
2.37
293.09
348.20
407.28
-51.51
860.79
751.25
-48.92
6500.56
778.22
1967.81
9.00
7.73
Standard Deviation
Beta
Jensen (Alpha) %
Std. Dev. Of Rndm Error Term %
Sharpe
Treynor
Tracking Error
(X)2
Y = rp - rf
-92.20
Mean
Excess Return (%)
0.19
-7.80
3.05
-1.58
-63.69
-2.56
Page 188
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Page 194