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.
MS in Finance
Committee Member 1
Committee Member 2
Library of Congress Subject Heading 1
Stock exchanges -- Egypt.
Library of Congress Subject Heading 2
Egypt -- Economic conditions.
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(2015).Investor trading behavior: empirical evidence from the Egyptian stock exchange [Master's Thesis, the American University in Cairo]. AUC Knowledge Fountain.
Khalil, Heba Mohamed. Investor trading behavior: empirical evidence from the Egyptian stock exchange. 2015. American University in Cairo, Master's Thesis. AUC Knowledge Fountain.