Abstract

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.

Department

Management Department

Degree Name

MS in Finance

Date of Award

6-1-2015

Online Submission Date

June 2015

First Advisor

Bassiouny, Aliaa

Committee Member 1

Farooq, Omar

Committee Member 2

Ahmed, Neveen

Document Type

Thesis

Extent

76 p.

Library of Congress Subject Heading 1

Stock exchanges -- Egypt.

Library of Congress Subject Heading 2

Egypt -- Economic conditions.

Rights

The author retains all rights with regard to copyright. The author certifies that written permission from the owner(s) of third-party copyrighted matter included in the thesis, dissertation, paper, or record of study has been obtained. The author further certifies that IRB approval has been obtained for this thesis, or that IRB approval is not necessary for this thesis. Insofar as this thesis, dissertation, paper, or record of study is an educational record as defined in the Family Educational Rights and Privacy Act (FERPA) (20 USC 1232g), the author has granted consent to disclosure of it to anyone who requests a copy.

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Approval has been obtained for this item

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