Using unique, intraday transactions data from Egypt, this study examines the extent to which past returns, over several intervals going back to up to six months of past returns, and the level of sophistication of the different investor types, determine the propensity of different investor groups to buy and sell. I adopted the buy ratio differences method to determine which investors adopt a momentum behavior and which investors adopt a contrarian behavior. I find that non-Arab foreign investors tend to be momentum investors, buying past winning stocks and selling past losers while domestic investors, especially individual investors, tend to exhibit contrarianism. The distinctions in behavior are, to a great extent, consistent across the five different past-return intervals.


Management Department

Degree Name

MS in Finance

Graduation Date


Submission Date

June 2015

First Advisor

Bassiouny, Aliaa

Committee Member 1

Farooq, Omar

Committee Member 2

Ahmed, Neveen


76 p.

Document Type

Master's Thesis

Library of Congress Subject Heading 1

Stock exchanges -- Egypt.

Library of Congress Subject Heading 2

Egypt -- Economic conditions.


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