Page 1

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

Page 2

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 amp 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

Page 3

Synopsis

Emerging markets are generally characterised by being ldquoinformationally inefficientrdquo

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 20002001

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 ldquoSemi-Strong fromrdquo

efficient markets indicating that publicly available information might have not been

ldquofully reflectedrdquo 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

Page 4

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

11 Aims and Objectives

Under the Efficient Markets Hypothesis stock prices are assumed to ldquoFully Reflectrdquo 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

Page 5

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 20002001 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

12 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

Page 6

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 20002001

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

Page 7

Chapter 2 Literature Review

21 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

bull A country with low or middle income using the World Bankrsquos

Classification

bull 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 (21) below depicts the results of the study

Page 8

Graph 21 Efficient Frontier with Emerging Markets

Source Odier Solnik and Zucchinetti ldquoGlobal Optimisation for Swiss Pension fundsrdquo 1995 in Solnik ldquoInvestmentsrdquo 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 115 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 investorrsquos 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

Page 9

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 countriesrsquo 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

Page 10

bull More diversified sources of external finance

bull Greater risk bearing by private investors through equity investment

compared to the case of bank lending in the 1970s

bull Reduced cost of capital

bull 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

bull Favourable interest and equity return differentials with industrial countries

bull Risk Diversification due to low correlation of stock returns in

developing countries with returns in industrial countries

bull The inefficiency of Emerging markets which makes returns predictable

bull 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

Page 11

protection inefficient country funds and limited number of internationally listed

securities

Williamson (1993) discusses the issue of better fund management under the private-

to-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 sellersrsquo 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 ldquoIndiscriminate Capital

Flowsrdquo 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

Page 12

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 Williamsonrsquos 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 countryrsquos market or

securities

Claessens (1993) also discusses the concept of marketsrsquo 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

Page 13

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 ldquoShifting Industrial

Structuresrdquo which suggests changes in risk sensitivities over time

Page 14

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 marketsrsquo returns

alter over time

Table (21) shows summary statistical data for 23 Developed and 15 Emerging

Markets over the period 1988-1997 on a monthly basis

Table 21 Summary Statistics for Emerging and Developed Markets

Page 15

Table 21 Continued

Source Stevenson S ldquoEmerging Markets Downside Risk and The Asset Allocation Decisionrdquo

The data is based on IFC indices for the Emerging markets and MSCI indices for the

Developed markets

Table 21 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 ndash0233 for Japan and 15037 for Netherlands and the Returns for

Emerging markets that vary between ndash07979 for Korea and 24731 for

Argentina

Page 16

Variance figures also show greater variation with Developed markets varying between

118745 for USA and 599113 for Hong Kong and developing markets varying

between 213601 for Jordan and 4490278 for Argentina

More interestingly when considering the degree of skewness and kurtosis most

Emerging marketsrsquo returns display significant results indicating non-normality in the

distribution of returns

For example Nigeria shows significant values of kurtosis and skewness of 31931 and

ndash34479 respectively compared to 04818 and ndash02368 for USA

The Jarque-Bera (JB) statistics show similar results confirming the departure of Risk-

Return 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 ndash

such as custody legal and accounting costs ndash 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

Page 17

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 ndash 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 22)

Page 18

Table 22 Correlations in Returns between Emerging and Developed Markets

Source Saunders and Walter ldquoAre Emerging Market Equities a Separate Asset Classrdquo 2002

They conclude that the traditional consideration of emerging marketsrsquo stocks as being

a separate asset class and therefore allocation of funds among countriesrsquo indices will

no longer be sufficient to generate diversification benefits

Instead they confirm Masterrsquos 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

Page 19

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

22 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)

ldquoThe literature is now so large that a full review is impossiblerdquo

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 ldquoRandom Walkrdquo that is stock returns tend to be

independent of past returns (Fama 1970)

The first impression of Kendallrsquos conclusion is that markets are irrational and tend to

act with no sense of direction

Page 20

Later research clarified that Kendallrsquos conclusion in fact reflects the rational nature

of the market

Fama (1970) defines an Efficient Market as one where information is ldquoFully

Reflectedrdquo 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 ldquoFully Reflectrdquo 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

bull Weak-form efficient where the prices reflect all available information

about past prices

bull Semi-strong-form efficient where the prices reflect all publicly

available information including earnings companiesrsquo performance

etc

bull 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 securitiesrsquo prices

follow a random walk and suggests that they tend to follow a ldquoSubmartingalerdquo

Page 21

That is instead of the restrictive assumption that securities prices and returns are

serially independent and identically distributed he assumes that prices follow a

ldquoRandom Walk with a Driftrdquo 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 ldquoBuy-and-Holdrdquo strategy

Subsequent research found relatively supporting evidence to Famarsquos 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 pricesrsquo returns show negative long-term serial correlations suggesting

that stock prices might overreact to relevant news in whatrsquos came to be known as the

ldquoFads Hypothesisrdquo (Bodie Kane and Marcus 2001)

Also Leroy (1989) challenged Famarsquos argument (1970) that when prices follow a

submartingale no strategy can outperform a ldquoBuy-and-Holdrdquo 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 ldquoBuy-and-Holdrdquo strategy

Page 22

Second that the Capital Asset Pricing Model (CAPM) implies that in equilibrium

asset returns will not necessarily follow a submartingale That is a stockrsquos returns

might negatively co-varies with the market strong enough that it would be included in

a risk averse investorrsquos 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

ldquoRisk Neutralityrdquo and that investors will rush to buysell 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 ldquoJoint Hypothesisrdquo 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

Page 23

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 ldquoParameter Uncertaintyrdquo 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 mean-

reversion process)

Something they comment which data generating process can predict before hands

Page 24

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 23 below shows the main results of the study

Table 23 Unconditional Distribution Statistics for the Egyptian Stock Exchange Daily Stock Returns

Page 25

Source Mecagni and Sourial ldquoThe Egyptian Stock Market Efficiency Tests and Volatility Effectsrdquo 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

Page 26

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

Page 27

Chapter 3 General Preview

31 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 19901991 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 951992 The law provided great momentum to the market and the

market capitalisation increased dramatically as the reform and privatisation

progressed

Table (31) provides main market indicators for the Egyptian Stock Market for the

period 1991 ndash June 2001

Page 28

Table 31 Main Market Indicators for the period 1991 ndash June 2001

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

From the table it can be seen that the market capitalisation increased form LE88

billion in 1991 to LE 1197 billion in 2000 and was slightly reduced to LE1103

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 (31) and (32) which correspond to lines 3 and 6 of Table (31) respectively

Page 29

Graph 31 Total Volume of Traded Securities Graph 32 Total Value Traded of Securities (Million) Jan 1991 ndash Jun 2001 (Million) Jan 1991 ndash June 2001

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

The Egyptian Stock Market is well regulated however therersquos 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 (32) below shows that as at 30 June 2001 8226 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 30

Table 32 Liquidity of the 30 Most Heavily Traded Stocks in Terms of Value Traded (Jan 2001 ndash 30 June 2001)

Source Cairo and Alexandria Stock Exchanges Statistical Highlights 2001

311 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 31

The Capital Market Law (Law 951992)

Replacing Law 1611957 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 932000)

This laws aims to provide the legal framework for the Central Depository in Egypt

The law identifies shareholdersrsquo 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 32

The law also introduced the legal recognition of the concept of ldquoNominee Tradingrdquo

and the Depositoryrsquos obligation to establish and control a ldquoGuarantee Fundrdquo which

ensures the settlement of trades on time to achieve smooth market operation

The Companies Law (Law 1591981)

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 2031991)

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 self-

run 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 governmentrsquos share of ownership in a company drops to less than

51 the regulation of the company passes from law 203 to law 159

Page 33

The Investment Law (Law 81997)

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

312 The Exchange

Egyptrsquos 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 34

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 951992) 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 35

313 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 36

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 LE300 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 ndash PIPO) (Prime Asset Management Index ndash PAMI)

and (Prime General Index ndash 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 Corporationrsquos Global and Investable indices

Page 37

(IFCG and IFCI) in 1996 Egypt was added to the Morgan Stanley index on a stand-

alone 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 028 212 and 014 respectively (CASEFB 2001)

314 Key Economic Sectors

Egyptrsquos 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 (33) below depicts the main economic indicators for Egypt for the period 1997

till 2000

Table 33 Main Economic Indicators 1997 - 2000

Source HSBC Investment Bank ndash Egypt ldquoTreasury and Capital Markets A Guide to Egyptrdquo 2001

Page 38

Table (33) shows GDP growth rate of 51 in 19992000 down from 61 in

19981999 due to the economic slowdown which was a reflection of the global

economic conditions

Egyptrsquos inflation rate has also declined from 38 in 19981999 to 28 in 19992000

with an average rate below 4 for the entire period from 1997 ndash 2000

Foreign Reserves have declined from US$ 203 billion in 19971998 to US$ 147

billion in 19992000 due to the governmentrsquos managed float foreign exchange policy

However the level of reserves remains healthy covering approximately 9 months of

imports

Exports increased by 42 in 19992000 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 39

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 statersquos 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 40

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

Egyptrsquos 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 governmentrsquos 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 55 million

arrivals and revenues which increased by 33 to US$ 47 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

109 This was in direct relation to an average growth in GDP of 5 per annum and

an average growth in construction industry of 25 per annum (HC 2001)

Page 41

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 (34) below shows the current market share of three of the largest cement

producers in Egypt as of 2001

Table 34 Market Share of the Three Largest Cement Producers in Egypt (2001)

Source HC Brokerage ldquoEgypt Equity Researchrdquo 2001

As a result capacity additions rose by 102 in 2000 and by 287 in 2001 This

increase in capacity coupled with the economic slowdown and stagnation in

construction industry in 20002001 resulted in supply exceeding demand for the first

time in 20012002 (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 42

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 25 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 43

while consumption is around 20 million tons with the surplus being exported

Approximately 79 of Egyptrsquos 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 Egyptrsquos 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)

315 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 44

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 LE 15 million However the more recently introduced Capital

Adequacy requirements mandate that new brokerage firms must have a minimum

Authorised Capital of LE 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)

316 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 45

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 LE 179 billion in June 2001 as compared to LE 1103

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 46

32 Market Performance

Market analysis for the period 1996 till 1st quarter 2000 is based on the analysis included in ldquoEFG-Hermes Country Report May 2000rdquo Additional analysis for the period 2nd quarter 2000 till 2001 is based on the analysis included in ldquoCairo and Alexandria Stock Exchanges Fact Book 2001rdquo Performance analysis is based on the performance of the Hermes Financial Index for the period 1996-2001

Despite the fact that the Capital Market Law (Law 951992) gave the regulatory

power to reform the Stock Market in Egypt it wasnrsquot until 1996 when ldquoNasr City for

Housing and Development Companyrdquo offered the first majority privatisation stake in

accordance with the aims and objectives of the Privatisation Law (Law 2031991)

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 33)

Graph 33 Overall Market Performance (1996 ndash 1998)

Source EFG-Hermes ldquoEgypt Country Reportrdquo 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 47

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 ldquoValue

Stocksrdquo to new-economy ldquoGrowth Stocksrdquo 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 34)

Graph 34 Private versus Public Sector Share Performance 1998

Source EFG-Hermes ldquoEgypt Country Reportrdquo 2000

In early 1999 the market started rising once again This was mainly attributed to the

initial public offering of ldquoMobinilrdquo the first in telecommunication sector which

marked the market shift towards more sophistication in trading decisions with

Mobinilrsquos share price ending 1999 with 660 increase

Page 48

In the mean time a liquidity squeeze became apparent amid concerns about the

governmentrsquos management of the economy and its commitment to the privatisation

programme This drove the market down for the most of 1999 (Graph 35)

Graph 35 Market Performance (1998-1999)

Source EFG-Hermes ldquoEgypt Country Reportrdquo 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 36)

Page 49

Graph 36 Market Performance (2000 ndash 2001)

0

2000

4000

6000

8000

10000

12000

14000

16000

020

120

00

020

220

00

020

320

00

020

420

00

020

520

00

020

620

00

020

720

00

020

820

00

020

920

00

021

020

00

021

120

00

021

220

00

020

120

01

020

220

01

020

320

01

020

420

01

020

520

01

020

620

01

020

720

01

020

820

01

020

920

01

021

020

01

021

120

01

021

220

01

HFI

Source REUTERS EFG-Hermes

The general downturn continued during the rest of 2000 and throughout 2001 with the

market being down by 596 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 50

Chapter 4 Market Efficiency

41 Methodology

411 Event studies

The approach adopted in testing for market efficiency within the Egyptian Stock

market is ldquoEvent Studiesrdquo 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 ldquoSemi-strong efficientrdquo 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 ldquoSemi-

strong inefficientrdquo market

The tests were conducted using an Ordinary Least Squares regression model (OLS) to

identify the stockrsquos Expected Normal Returns and hence any deviation of Actual

Returns from Expected returns in the form of Unexpected Abnormal Returns

Page 51

Mathematically the returns of a security can be represented by the following formula

ri = αi + βirM + ei (41)

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 irsquos abnormal returns

From equation (41) the abnormal returns of a security can be found be rewriting the

equation to be

ei = ri ndash (αi + βirM) (42)

Equation (42) 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

bull using Cumulative Abnormal Returns (CAR) to measure abnormal

returns surrounding the event examined instead of the Buy-and-Hold

Average Returns (BHAR) method

bull returns were measured over short horizons to provide better results

under the assumption of securities returns being normally distributed

Page 52

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)

412 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 41 shows the values of Standard Deviation Skewness and Kutosis for the

index returns for the periods 19961997 19981999 and 20002001

Page 53

Table 41 Key Statistics for the Hermes Financial Index 1996-2001

Date Index Value Change Index Returns Date Index Value Change Index Returns Date Index Value Change Index Returns 1996-19971 1998-1999 2000-2001 (Vt Vt-1) ln (Vt Vt-1) (Vt Vt-1) ln (Vt Vt-1) (Vt Vt-1) ln (Vt Vt-1)

10111996 867670 28121997 1226070 26121999 1215240 17111996 882871 1017519 174 04011998 1240540 1011802 117 02012000 1302750 1072010 695 24111996 945531 1070973 686 11011998 1222730 0985643 -145 09012000 1360710 1044491 435 01121996 996570 1053979 526 18011998 1206630 0986833 -133 16012000 1383930 1017065 169 08121996 1016080 1019577 194 25011998 1187560 0984196 -159 23012000 1457730 1053326 520 15121996 1039650 1023197 229 01021998 1161970 0978452 -218 30012000 1399530 0960075 -407 22121996 1024630 0985553 -146 08021998 1152100 0991506 -085 06022000 1378850 0985224 -149 29121996 1025110 1000468 005 15021998 1148570 0996936 -031 13022000 1408260 1021329 211 05011997 1131130 1103423 984 22021998 1154110 1004823 048 20022000 1369110 0972200 -282 12011997 1184190 1046909 458 01031998 1152270 0998406 -016 27022000 1249590 0912702 -913 19011997 1178430 0995136 -049 08031998 1171950 1017079 169 05032000 1263010 1010740 107 26011997 1258880 1068269 660 15031998 1177260 1004531 045 12032000 1278610 1012351 123 02021997 1357460 1078308 754 22031998 1188570 1009607 096 19032000 1262590 0987471 -126 09021997 1484800 1093808 897 29031998 1200260 1009835 098 26032000 1233620 0977055 -232 16021997 1531050 1031149 307 05041998 1197600 0997784 -022 02042000 1251400 1014413 143 23021997 1613500 1053852 525 12041998 1198900 1001086 011 09042000 1239300 0990331 -097 02031997 1556100 0964425 -362 19041998 1195490 0997156 -028 16042000 1198730 0967264 -333 09031997 1558050 1001253 013 26041998 1182420 0989067 -110 23042000 1083240 0903656 -1013 16031997 1552380 0996361 -036 03051998 1176960 0995382 -046 30042000 1119630 1033594 330 23031997 1468520 0945980 -555 10051998 1159590 0985242 -149 07052000 1105850 0987692 -124 30031997 1465020 0997617 -024 17051998 1129560 0974103 -262 14052000 1139120 1030085 296 06041997 1479870 1010136 101 24051998 1112340 0984755 -154 21052000 1170140 1027232 269 13041997 1486590 1004541 045 31051998 1073430 0965020 -356 28052000 1079810 0922804 -803 20041997 1476740 0993374 -066 07061998 1045480 0973962 -264 04062000 1084760 1004584 046

Page 54

27041997 1506070 1019861 197 14061998 1066480 1020086 199 11062000 1015120 0935801 -664 04051997 1464590 0972458 -279 21061998 1032170 0967829 -327 18062000 1001480 0986563 -135 11051997 1436900 0981094 -191 28061998 1030030 0997927 -021 25062000 916437 0915083 -887 18051997 1375190 0957053 -439 05071998 1002040 0972826 -276 02072000 899917 0981974 -182 25051997 1388860 1009940 099 12071998 982199 0980199 -200 09072000 939109 1043551 426 01061997 1322860 0952479 -487 19071998 970995 0988593 -115 16072000 925956 0985994 -141 08061997 1363670 1030850 304 26071998 995234 1024963 247 23072000 865117 0934296 -680 15061997 1347130 0987871 -122 02081998 1010220 1015058 149 30072000 817732 0945227 -563 22061997 1334000 0990253 -098 09081998 986274 0976296 -240 06082000 789054 0964930 -357 29061997 1311840 0983388 -168 16081998 966470 0979920 -203 13082000 756887 0959233 -416 06071997 1323390 1008804 088 23081998 934316 0966730 -338 20082000 834110 1102027 972 13071997 1309910 0989814 -102 30081998 901108 0964457 -362 27082000 832698 0998307 -017 20071997 1290000 0984800 -153 06091998 949019 1053169 518 03092000 816798 0980905 -193 27071997 1260250 0976938 -233 13091998 950397 1001452 015 10092000 845660 1035336 347 03081997 1262230 1001571 016 20091998 953342 1003099 031 17092000 811616 0959743 -411 10081997 1256470 0995437 -046 27091998 956663 1003484 035 24092000 777843 0958388 -425 17081997 1258060 1001265 013 04101998 958912 1002351 023 01102000 747666 0961204 -396 24081997 1303680 1036262 356 11101998 943251 0983668 -165 08102000 698780 0934615 -676 31081997 1353230 1038008 373 18101998 943963 1000755 008 15102000 607631 0869560 -1398 07091997 1366730 1009976 099 25101998 934640 0990124 -099 22102000 688893 1133736 1255 14091997 1396460 1021753 215 01111998 918468 0982697 -175 29102000 730437 1060305 586 21091997 1404870 1006022 060 08111998 913223 0994289 -057 05112000 747364 1023174 229 28091997 1399450 0996142 -039 15111998 917822 1005036 050 12112000 773445 1034897 343 05101997 1398330 0999200 -008 22111998 917160 0999279 -007 19112000 872700 1128328 1207 12101997 1387030 0991919 -081 29111998 906802 0988706 -114 26112000 799245 0915830 -879 19101997 1362190 0982091 -181 06121998 902621 0995389 -046 03122000 796977 0997162 -028 26101997 1364920 1002004 020 13121998 889094 0985014 -151 10122000 790233 0991538 -085 02111997 1348240 0987780 -123 20121998 902575 1015163 150 17122000 787365 0996371 -036 09111997 1333460 0989038 -110 27121998 906891 1004782 048 24122000 756623 0960956 -398 16111997 1299370 0974435 -259 03011999 914183 1008041 080 31122000 753795 0996262 -037

Page 55

23111997 1253930 0965029 -356 10011999 983873 1076232 735 07012001 757822 1005342 053 30111997 1260160 1004968 050 17011999 989959 1006186 062 14012001 752417 0992868 -072 07121997 1202660 0954371 -467 24011999 1016140 1026447 261 21012001 722711 0960519 -403 14121997 1218480 1013154 131 31011999 1105790 1088226 845 28012001 755868 1045879 449 21121997 1214730 0996922 -031 07021999 1094590 0989871 -102 04022001 769449 1017967 178 28121997 1226070 1009335 093 14021999 1053620 0962570 -381 11022001 747680 0971708 -287

21021999 1071770 1017226 171 18022001 716466 0958252 -426 28021999 1055100 0984446 -157 25022001 696200 0971714 -287 07031999 1039860 0985556 -145 04032001 672488 0965941 -347 14031999 1041200 1001289 013 11032001 687929 1022961 227 21031999 1027650 0986986 -131 18032001 634936 0922967 -802 28031999 1031360 1003610 036 25032001 616127 0970377 -301 04041999 1034930 1003461 035 01042001 591655 0960281 -405 11041999 1024940 0990347 -097 08042001 601771 1017098 170 18041999 1026450 1001473 015 15042001 629302 1045750 447 25041999 1038240 1011486 114 22042001 610423 0970000 -305 02051999 1014430 0977067 -232 29042001 617783 1012057 120 09051999 1027240 1012628 125 06052001 634110 1026428 261 16051999 1015400 0988474 -116 13052001 648901 1023326 231 23051999 1012050 0996701 -033 20052001 659723 1016677 165 30051999 986598 0974851 -255 27052001 665419 1008634 086 06061999 977053 0990325 -097 03062001 653740 0982449 -177 13061999 1007370 1031029 306 10062001 629223 0962497 -382 20061999 989166 0981929 -182 17062001 630035 1001290 013 27061999 1026150 1037389 367 24062001 613967 0974497 -258 04071999 995282 0969919 -305 01072001 596953 0972288 -281 11071999 995600 1000320 003 08072001 620332 1039164 384 18071999 1012170 1016643 165 15072001 609565 0982643 -175 25071999 981962 0970155 -303 22072001 554710 0910010 -943 01081999 971997 0989852 -102 29072001 550917 0993162 -069

Page 56

08081999 953229 0980691 -195 05082001 528555 0959409 -414 15081999 935049 0980928 -193 12082001 553572 1047331 462 22081999 944102 1009682 096 19082001 561918 1015077 150 29081999 935339 0990718 -093 26082001 564762 1005061 050 05091999 928650 0992849 -072 02092001 595784 1054929 535 12091999 923843 0994824 -052 09092001 642737 1078809 759 19091999 936583 1013790 137 16092001 626337 0974484 -258 26091999 963355 1028585 282 23092001 614817 0981607 -186 03101999 964466 1001153 012 30092001 561925 0913971 -900 10101999 1008430 1045584 446 07102001 544680 0969311 -312 17101999 1067340 1058418 568 14102001 554529 1018082 179 24101999 1019230 0954925 -461 21102001 579797 1045567 446 31101999 1038280 1018691 185 28102001 571335 0985405 -147 07111999 1047550 1008928 089 04112001 554861 0971166 -293 14111999 1071510 1022872 226 11112001 558192 1006003 060 21111999 1077140 1005254 052 18112001 533398 0955582 -454 28111999 1104220 1025141 248 25112001 508562 0953438 -477 05121999 1152250 1043497 426 02122001 519633 1021769 215 12121999 1338690 1161805 1500 09122001 516432 0993840 -062 19121999 1235780 0923126 -800 16122001 534209 1034423 338 26121999 1215240 0983379 -168 23122001 531180 0994330 -057 30122001 526241 0990702 -093 Std Dev 326 280 456 Skewness 080 181 011 Kurtosis 084 829 079 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 57

The table shows that Standard Deviation has decreased from 326 for the period

19961997 to 28 for the period 19981999 indicating a mild volatility during the

second period

Skewness and kurtosis coefficients have increased during the period 19981999

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 19981999 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) (43)

ri = ln (Pt Pt-1) (44)

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 andor

acquisition data were available for the period analysed (Note that the most actively

traded 30 securities accounted for 8226 of market liquidity as of June 2001 which

Page 58

makes the number of securities analysed a fair representation of the market under the

information constraint)

42 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 ldquoLarge Capitalisation-Valuerdquo stocks to avoid

anomalies associated with ldquoSmall Capitalisation-Growthrdquo stocks which are

characterised by the lack of accurate information and analysis and by infrequent

trading within the Egyptian market

Table 42 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 59

Table 42 Summary Statistics of Stocks Analysed

Company Beta Alpha Std Dev Of Rdm Std Error of Std Error of Correlation Coefficient of Coefficient of Error Term Beta Alpha Coefficient Determination Nondetermination Banking

Commercial International Bank (CIB) 145 -006 312 0062 0174 080 063 037 Egyptian American Bank (EAB) 118 -040 338 0065 0181 070 049 051 Misr International Bank (MIBANK) 127 -036 314 0062 0174 075 057 043 Cement Ameryah Cement 105 -043 358 0067 0187 064 041 059 Helwan Portland Cement 085 -056 326 0064 0178 060 035 065 Suez Cement 126 -020 271 0058 0162 080 063 037 Torah Portland Cement 107 -006 377 0068 0191 063 039 061 Food and Beverages Upper Egypt Flour Mills 087 -075 491 0078 0218 045 020 080 Housing Nasr City for Housing and Development 075 -115 444 0074 0208 043 018 082 Chemicals Abu Keir for Fertilisers 047 -094 389 0070 0194 033 011 089 Egyptian Financial and Industrial 086 -126 286 0060 0167 065 042 058 Paints and Chemical Industries 078 -071 410 0071 0200 047 022 078

Page 60

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

43 Findings

Appendix C provides the detailed calculations of Abnormal Returns for the securities

analysed around the announcement dates of the various events tested

431 Takeovers

Efficiency tests related to Acquisition events included the acquisition announcements

for two companies in the cement sector during 2001 namely the acquisition of

9469 of Helwan Portland Cement shares by the Arab Swiss Engineering Company

(ASEC) and 3465 of Suez Cement shares by Ciments Francais (Cairo and

Alexandria Stock Exchanges Monthly Bulletin May 2002)

Tables (43) and (44) and Graphs (41) and (42) show the following

Despite fluctuating around 040 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 61

Table 43 Average Abnormal Returns Takeovers Table 44 Cumulative Abnormal Returns Takeovers 2001 2001

Day Helwan Portland Suez Cement AAR ()

-18 055 018 036 -17 056 019 038 -16 057 022 039 -15 059 023 041 -14 059 018 038 -13 059 017 038 -12 055 016 036 -11 061 017 039 -10 059 020 040 -9 055 022 038 -8 053 022 037 -7 057 019 038 -6 057 019 038 -5 056 019 038 -4 056 023 039 -3 059 022 041 -2 061 020 041 -1 059 017 038 0 054 020 037 1 060 020 040 2 060 019 040 3 059 018 038 4 062 024 043 5 063 025 044 6 050 020 035 7 051 014 033 8 060 019 039 9 061 018 039

10 068 016 042 11 058 016 037 12 058 026 042 13 054 020 037 14 057 019 038 15 059 020 040 16 057 021 039 17 057 015 036 18 058 019 039 19 058 022 040 20 051 019 035 21 056 019 038

DayHelwan Portland Suez Cement Avg CAR

-18 112 038 075 -17 167 057 112 -16 225 079 152 -15 284 102 193 -14 343 120 231 -13 402 137 269 -12 457 153 305 -11 518 170 344 -10 577 190 384 -9 632 213 422 -8 685 234 460 -7 743 253 498 -6 800 272 536 -5 857 291 574 -4 913 314 613 -3 972 335 654 -2 1034 356 695 -1 1092 373 733 0 1146 393 769 1 1206 413 809 2 1266 432 849 3 1325 449 887 4 1387 474 931 5 1450 498 974 6 1500 519 1010 7 1552 533 1042 8 1611 551 1081 9 1672 569 1120

10 1740 585 1163 11 1799 602 1200 12 1856 627 1242 13 1910 648 1279 14 1967 666 1317 15 2026 687 1356 16 2084 708 1396 17 2141 723 1432 18 2199 742 1470 19 2257 764 1510 20 2308 783 1545 21 2364 802 1583

Page 62

Graph 41 Average Abnormal Returns surrounding Takeovers in 2001

Average Abnormal Returns Takeovers (2001)

000

005

010

015

020

025

030

035

040

045

050

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Graph 42 Cumulative Abnormal Returns surrounding Takeovers in 2001

Average Cumulative Abnormal Returns Takveovers (2001)

000

200

400

600

800

1000

1200

1400

1600

1800

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Slow Adjustment

Information Leakage

Page 63

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 securitiesrsquo prices to

their new fair values and therefore caused the increasing cumulative abnormal

returns after the announcement date

432 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 (45) (46) (47) and (48) and figure (41) 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 (050 in 2000

and 025 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 64

Table 45 Average Abnormal Returns Dividend Increase 2000 Day CIB EAB MIBANK Ameryah Egy FinampInd Abu Keir Fert AAR ()

-18 -139 042 035 046 126 096 034 -17 -344 043 038 043 125 096 000 -16 -403 040 034 040 124 094 -012 -15 192 037 036 044 128 095 089 -14 -277 040 037 047 126 096 011-13 -267 039 036 046 130 092 013 -12 134 040 035 043 126 094 079 -11 -060 038 034 044 125 095 046 -10 -448 040 036 046 128 097 -017 -9 -199 042 036 046 129 094 025 -8 426 041 031 044 126 092 127 -7 419 043 034 046 123 093 126 -6 328 040 036 032 127 095 110 -5 -388 037 036 044 126 096 -008 -4 -069 043 033 046 125 094 045 -3 014 039 035 041 131 093 059 -2 -128 041 037 045 125 095 036 -1 -017 040 037 041 125 094 054 0 -092 041 037 041 130 097 042 1 -105 039 034 042 130 098 040 2 172 043 034 043 122 097 085 3 248 042 036 041 124 096 098 4 333 037 037 041 122 094 111 5 156 043 035 041 128 094 083 6 -298 040 035 043 121 093 006 7 285 043 038 046 123 089 104 8 -024 042 033 045 120 092 052 9 225 031 039 045 122 085 091

10 -056 042 036 042 124 093 047 11 041 039 032 046 124 096 063 12 -240 038 037 045 122 095 016 13 -082 048 040 041 125 095 045 14 205 032 030 041 131 094 089 15 058 039 036 045 128 094 067 16 144 040 036 043 121 089 079 17 -358 039 036 044 126 090 -004 18 -010 041 036 046 126 100 057 19 307 039 041 043 125 099 109 20 -975 039 044 045 120 094 -105 21 -187 038 026 044 130 095 024

Page 65

Table 46 Average Abnormal Returns Dividend Increase 2001

Day CIB MIBANK Ameryah AAR ()

-18 009 034 042 029 -17 008 035 044 029 -16 006 035 047 029 -15 004 035 043 027 -14 002 034 049 029 -13 011 034 039 028 -12 009 040 041 030 -11 003 037 048 029 -10 008 036 047 030 -9 009 031 045 029 -8 010 033 040 027 -7 009 040 048 032 -6 003 038 041 027 -5 003 033 040 026 -4 007 039 040 029 -3 007 037 048 031 -2 003 039 044 029 -1 006 039 052 033 0 009 032 049 030 1 002 033 042 026 2 010 038 044 031 3 012 037 014 021 4 006 031 042 026 5 002 036 047 028 6 008 038 042 029 7 005 031 045 027 8 008 040 045 031 9 008 040 046 031

10 009 036 043 029 11 006 030 041 026 12 002 036 040 026 13 -003 029 041 022 14 006 040 044 030 15 002 039 044 028 16 007 035 043 028 17 010 032 041 028 18 005 032 043 026 19 003 037 042 027 20 008 035 046 030 21 008 034 045 029

Page 66

Table 47 Cumulative Abnormal Returns Dividend Increase 2000 Day CIB EAB MIBANK Ameryah Egy FinampInd Abu Keir Fert Avg CAR ()

-18 -271 083 070 086 249 191 068 -17 -614 126 108 129 374 287 068 -16 -1018 166 142 169 498 381 056 -15 -826 202 178 213 626 476 145 -14 -1103 242 215 260 752 572 156 -13 -1370 281 251 306 882 664 169 -12 -1235 321 286 348 1008 759 248 -11 -1296 359 321 392 1133 853 294 -10 -1744 399 357 439 1261 950 277 -9 -1943 441 393 485 1390 1045 302 -8 -1517 482 424 529 1516 1137 428 -7 -1098 525 458 575 1639 1230 555 -6 -770 564 494 607 1766 1326 665 -5 -1157 601 530 651 1892 1422 656 -4 -1227 645 563 697 2017 1515 702 -3 -1213 684 598 737 2148 1609 760 -2 -1341 725 634 782 2273 1703 796 -1 -1358 765 671 823 2398 1798 850 0 -1450 806 708 864 2529 1894 892 1 -1555 845 742 906 2659 1992 932 2 -1383 888 776 949 2781 2090 1017 3 -1135 929 811 990 2905 2185 1114 4 -802 966 848 1031 3028 2279 1225 5 -646 1009 883 1072 3156 2373 1308 6 -945 1049 918 1115 3277 2466 1313 7 -660 1092 956 1161 3400 2555 1417 8 -683 1134 990 1206 3521 2647 1469 9 -458 1165 1029 1251 3643 2732 1560

10 -514 1206 1065 1293 3766 2825 1607 11 -472 1245 1097 1339 3890 2921 1670 12 -712 1283 1134 1384 4012 3016 1686 13 -794 1331 1174 1426 4137 3111 1731 14 -589 1364 1203 1466 4267 3205 1819 15 -530 1403 1239 1512 4396 3299 1886 16 -386 1443 1275 1555 4516 3388 1965 17 -744 1482 1311 1599 4643 3478 1961 18 -754 1523 1347 1644 4769 3578 2018 19 -446 1562 1388 1688 4895 3676 2127 20 -1421 1601 1432 1732 5014 3770 2022 21 -1608 1639 1458 1777 5144 3866 2046

Page 67

Table 48 Cumulative Abnormal Returns Dividend Increase 2001

Day CIB MIBANK Ameryah Avg CAR ()

-18 017 066 082 055 -17 025 101 126 084 -16 031 136 174 114 -15 035 171 217 141 -14 037 205 266 169 -13 048 239 305 198 -12 058 279 347 228 -11 061 316 394 257 -10 069 352 441 287 -9 078 384 486 316 -8 087 416 526 343 -7 096 456 575 376 -6 099 494 616 403 -5 102 528 656 429 -4 109 567 696 457 -3 116 604 744 488 -2 119 644 789 517 -1 125 683 841 550 0 134 715 890 580 1 136 748 932 605 2 146 786 976 636 3 157 823 990 657 4 164 854 1033 683 5 165 890 1080 712 6 173 927 1121 741 7 178 958 1166 767 8 186 998 1211 798 9 194 1038 1257 830

10 203 1075 1299 859 11 209 1105 1340 885 12 211 1141 1380 911 13 208 1170 1421 933 14 213 1209 1465 963 15 215 1248 1509 991 16 222 1283 1552 1019 17 232 1315 1593 1047 18 236 1347 1636 1073 19 239 1384 1677 1100 20 247 1419 1724 1130 21 254 1453 1769 1159

Page 68

Figure 41 Abnormal Returns surrounding Dividend Increase (2000-2001)

Average Abnormal Returns Dividend Increase (2000)

-150

-100

-050

000

050

100

150

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Abnormal Returns Dividend Increase (2001)

000

005

010

015

020

025

030

035

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Cumulative Abnormal Returns Dividend Increase ( 2000)

000

500

1000

1500

2000

2500

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement date

AC

AR

()

Information Leakage

Slow Adjustment

Average Cumulative Abnormal Returns Dividend Increase (2001)

000

200

400

600

800

1000

1200

1400

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Page 70

433 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 (49) (410) (411) and (412) and figure (42) 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 (064 in 2000 and 0725 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 71

Table 49 Average Abnormal Returns Dividend Decrease 2000 Day Helwan Cement Torah Port Nasr City Paints amp Chem Upper Egypt F Mills AAR ()

-18 052 003 119 072 074 064-17 056 005 120 071 076 066-16 058 008 111 069 076 064-15 054 007 112 069 075 063-14 059 008 116 073 077 067-13 057 005 111 068 077 064-12 056 009 113 068 076 064-11 057 008 119 065 077 065-10 057 008 114 067 078 065-9 059 005 112 072 074 064-8 056 008 112 066 074 063-7 057 006 113 068 076 064-6 057 005 113 073 077 065-5 058 003 118 075 074 066-4 056 008 117 075 076 066-3 057 005 117 067 077 065-2 059 010 117 070 077 067-1 058 007 118 066 078 0660 060 007 116 069 069 0641 061 005 111 074 080 0662 047 005 112 071 076 0623 043 007 095 067 070 0564 058 -010 119 070 075 0635 055 006 120 070 077 0666 059 007 121 072 076 0677 059 005 118 068 052 0618 059 004 118 068 077 0659 051 008 117 073 072 064

10 055 010 118 071 076 06611 055 004 119 071 076 06512 057 005 120 068 073 06513 056 013 119 072 074 06714 054 010 119 078 076 06715 058 004 116 068 072 06416 058 007 118 069 074 06517 057 011 113 070 074 06518 055 008 113 069 071 06319 057 003 117 073 074 06520 057 001 112 072 077 06421 055 002 110 073 074 063

Page 72

Table 410 Average Abnormal Returns Dividend Decrease 2001 Day Torah Port Nasr City Suez Cement Egy FinampInd Abu Keir Fert AAR ()

-18 006 115 017 122 095 071 -17 008 115 021 125 094 072 -16 007 116 021 126 096 073 -15 010 113 019 126 096 073 -14 007 116 020 127 096 073 -13 002 115 021 122 095 071 -12 009 117 018 129 095 074 -11 005 112 020 126 094 072 -10 002 114 020 126 094 072 -9 007 117 022 126 095 073 -8 008 114 021 125 094 072 -7 007 116 021 128 095 074 -6 010 114 020 128 094 073 -5 006 115 019 127 094 072 -4 007 114 024 129 094 074 -3 005 113 023 125 095 072 -2 001 115 016 123 094 070 -1 009 114 021 130 094 073 0 005 116 021 127 095 073 1 004 115 016 125 093 071 2 012 114 019 124 095 073 3 008 114 019 131 095 074 4 008 114 021 128 095 073 5 009 117 019 126 095 073 6 004 115 021 122 083 069 7 003 116 020 122 093 071 8 002 115 019 130 093 072 9 006 114 021 125 095 072

10 -001 115 019 113 095 068 11 001 111 018 124 094 070 12 007 112 017 128 094 072 13 003 116 018 121 096 071 14 008 112 021 125 093 072 15 007 111 020 129 095 073 16 010 116 020 130 095 074 17 006 117 020 126 095 073 18 002 115 021 126 095 072 19 007 117 019 131 096 074 20 002 116 021 123 094 071 21 007 114 021 129 095 073

Page 73

Table 411 Cumulative Abnormal Returns Dividend Decrease 2000 Day Helwan Cement Torah Port Nasr City Paints amp Chem Upper Egypt F Mills Avg CAR ()

-18 108 009 233 143 147 128-17 164 013 353 214 223 194-16 223 021 464 283 299 258-15 276 028 576 351 374 321-14 336 037 692 425 451 388-13 392 042 804 493 528 452-12 449 051 917 561 603 516-11 506 058 1035 626 680 581-10 562 066 1150 693 759 646-9 621 071 1261 765 833 710-8 677 079 1373 831 907 773-7 734 085 1486 899 983 838-6 791 090 1599 972 1060 903-5 850 093 1717 1048 1134 968-4 906 101 1834 1123 1210 1035-3 963 105 1951 1190 1287 1099-2 1022 115 2068 1261 1364 1166-1 1081 122 2186 1327 1442 12320 1141 130 2303 1396 1510 12961 1202 135 2414 1470 1590 13622 1249 140 2526 1541 1666 14243 1292 147 2621 1608 1736 14814 1350 138 2740 1678 1812 15435 1405 143 2860 1748 1889 16096 1464 151 2981 1820 1965 16767 1523 156 3099 1888 2017 17378 1582 160 3217 1956 2094 18029 1634 168 3334 2029 2166 1866

10 1688 178 3452 2099 2242 193211 1743 181 3571 2170 2318 199712 1800 186 3691 2239 2391 206213 1856 200 3810 2311 2465 212814 1910 210 3929 2388 2541 219615 1968 214 4045 2456 2613 225916 2026 221 4163 2525 2687 232517 2083 232 4276 2595 2761 239018 2138 241 4389 2664 2833 245319 2195 244 4506 2737 2906 251820 2252 245 4619 2809 2984 258221 2307 247 4729 2883 3058 2645

Page 74

Table 412 Cumulative Abnormal Returns Dividend Decrease 2001 Day Torah Port Nasr City Suez Cement Egy FinampInd Abu Keir Fert Avg CAR ()

-18 012 229 037 254 190 144 -17 019 344 057 379 285 217 -16 026 460 078 505 380 290 -15 036 573 097 630 476 363 -14 044 689 117 757 572 436 -13 046 804 138 879 667 507 -12 055 921 155 1008 762 580 -11 060 1033 176 1134 856 652 -10 063 1147 196 1261 951 724 -9 069 1264 218 1387 1046 797 -8 077 1378 239 1512 1140 869 -7 085 1494 261 1641 1235 943 -6 094 1608 280 1769 1329 1016 -5 101 1723 299 1896 1423 1088 -4 107 1837 323 2025 1517 1162 -3 113 1950 346 2150 1612 1234 -2 114 2064 363 2273 1705 1304 -1 123 2179 384 2403 1799 1377 0 128 2295 405 2530 1894 1450 1 132 2411 421 2655 1987 1521 2 144 2525 440 2779 2082 1594 3 152 2639 459 2910 2177 1667 4 160 2753 481 3038 2272 1741 5 169 2870 500 3164 2367 1814 6 173 2986 520 3286 2450 1883 7 176 3102 541 3409 2544 1954 8 179 3217 560 3538 2637 2026 9 184 3330 580 3663 2732 2098

10 183 3445 599 3776 2827 2166 11 184 3556 617 3900 2922 2236 12 191 3668 634 4027 3016 2307 13 194 3784 652 4149 3111 2378 14 202 3896 672 4273 3205 2450 15 209 4008 692 4403 3300 2522 16 219 4124 712 4532 3396 2597 17 225 4241 732 4658 3490 2669 18 227 4355 753 4784 3585 2741 19 234 4472 771 4915 3681 2815 20 236 4588 792 5038 3774 2886 21 243 4703 813 5167 3869 2959

Page 75

Figure 42 Abnormal Returns surrounding Dividend Decrease (2000-2001)

Average Abnormal Returns Dividend Decrease (2000)

054

056

058

060

062

064

066

068

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Abnormal Returns Dividend Decrease (2001)

067

068

069

070

071

072

073

074

075

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Cumulative Abnormal Returns Dividend Decrease (2000)

000

500

1000

1500

2000

2500

3000

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Average Cumulative Abnormal Returns Dividend Decrease (2001)

000

500

1000

1500

2000

2500

3000

3500

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Page 76

44 Conclusion

From the above an overall conclusion can be drawn that the Egyptian stock market

showed a clear departure from the ldquoSemi-strong efficientrdquo market hypothesis in the

period 20002001 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 77

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 ldquoFree Handrdquo 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

51 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 78

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 ndash [arf + βp(arM - arf)]

(51)

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

Treynorrsquos 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 (52)

Hence it can be seen that the higher the value of Treynorrsquos 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 Treynorrsquos coefficient will be confined to evaluating funds

performance relative to the benchmark

Page 79

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 (53)

Where (arp - arf) is the average excess return and σp is the total volatility of the fund

Similar to Treynorrsquos coefficient the higher the value of the Sharpe ratio is the better

the performance of the fund will be However therersquos a fundamental difference

between Sharpe ratio and both Treynorrsquos coefficient and Jensenrsquos alpha in that in

Sharpersquos 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 Treynorrsquos or Jensenrsquos might

rank inferior under Sharpersquos due to high Unique Risk thatrsquos not accounted for by the

other two measures

However if a fund shows poor performance under both Jensenrsquos and Treynorrsquos it

should follow logically that it would also show poor performance under Sharpersquos

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 (54)

Page 80

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

52 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

53 Findings

Appendix D shows the detailed calculations of the different performance measures

Page 81

Table (51) and Graphs (51) and (52) 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 ndash562

for Fund No 2 to -1282 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 ndash739) 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 82

Table 51 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 -1405 -831 -474 -685 -950 -735 -666 -833 -323 Standard Deviation 3820 1379 1456 1359 1374 1333 1215 762 773 Std Dev Of Rndm Error Term 000 560 662 354 434 547 421 173 305 Beta 100 034 035 035 035 033 030 020 019 Jensen (Alpha) 000 -949 -562 -786 -1051 -880 -866 -1282 -780 Sharpe -060 -126 -094 -117 -135 -123 -129 -227 -158 Treynor -2305 -5099 -3899 -4571 -5339 -4994 -5155 -8863 -6369 Tracking Error 000 -169 -085 -222 -242 -161 -205 -739 -256

Page 84

Graph 51 Egyptian Mutual Funds Performance Evaluation Using the Ex Post Securities Market Line (1998-2001)

-2000

-1500

-1000

-500

000

500

1000

1500

000 020 040 060 080 100 120

βp

arp

Market Portfolio

Fund No 1

Fund No 2

Fund No 3

Fund No 4

Fund No 5

Fund No 6

Fund No 7

Fund No 8

Ex Post SML

Graph 52 Egyptian Mutual Funds Performance Evaluation Using the Ex Post Capital Market Line (1998-2001)

-2000

-1500

-1000

-500

000

500

1000

1500

000 500 1000 1500 2000 2500 3000 3500 4000 4500

σp

arp

Market Portfolio

Fund No 1

Fund No 2

Fund No 3

Fund No 4

Fund No 5

Fund No 6

Fund No 7

Fund No 8

Ex Post CML

Page 85

For Treynor (Reward-to-Volatility) and despite that the benchmark showed a

negative value of ndash2305 all funds showed greater negative values ranging from

ndash3899 for Fund No 2 to ndash8863 for Fund No 7

This can be seen from Graph (51) 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 ndash094 for Fund No 2 to ndash227 for Fund No 7

This can also be seen from Graph (52) 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

54 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 86

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 87

Chapter 6 Conclusions and Recommendations

61 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 20002001

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 88

62 Findings and Conclusions

621 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 maximumminimum 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 89

622 Mutual Funds Performance

CAPM based performance evaluation measures (Jensenrsquos 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 risk-

adjusted 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 90

63 Limitations

631 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 8226 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 91

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

632 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 92

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)

64 Recommendations

Based on the above findings a number of recommendations can be made These are

bull 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 andor the means to enact them in a

more effective manner should be considered

bull 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 93

bull 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

65 Suggestions for Further Research

The course of this study has outlined a number of areas that could be explored by

further research These include

bull the need to evaluate mutual funds performance more comprehensively

when more and sufficient data become available

bull 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 94

bull 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

bull 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 95

Appendix A

Current Listing Requirements

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

Page 96

Proposed Listing Requirements

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

Page 97

Appendix B

The calculations of the various risk measures for each security analysed were based

on the following

bull the benchmark used for measuring securitiesrsquo sensitivities against is the

Herms Financial Index (HFI)

bull 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

bull calculations were based on 104 weekly observations of index values

and securities prices starting from 2nd of January 1998 until 24th

December 1999

bull 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) (411)

ri = ln (Pt Pt-1) (412)

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 98

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 = [(T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX)] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2] (413)

Alpha = [sumsumsumsumYT] ndash [Beta (sumsumsumsumXT)] (414)

Standard Deviation of Random Error Term (Residual Volatility)

= [sumsumsumsumY2 ndash (Alpha sumsumsumsumY) ndash (Beta sumsumsumsumXY)] [T ndash 2]12 (415)

Standard Error of Beta

= Residual Volatility sumsumsumsumX2 ndash [(sumsumsumsumX)2 T]12 (416)

Standard Error of Alpha

= Residual Volatility T ndash [(sumsumsumsumX)2 sumsumsumsumX2]12 (417)

Correlation Coefficient

= (T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX) (418)

[(T sumsumsumsumY2) ndash (sumsumsumsumY)2] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2]12

Coefficient of Determination (R2)

= (Correlation Coefficient)2 (419)

Coefficient of Nondetermination

= 1 ndash Coefficient of Determination (4110)

The following are the detailed calculations of the various risk measures for the

securities analysed

Page 99

Commercial International Bank CIB

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5298 09011998 1222730 0985643 -145 5193 0980181 -200 209 401 289 16011998 1206630 0986833 -133 5170 0995571 -044 176 020 059 23011998 1187560 0984196 -159 5147 0995551 -045 254 020 071 30011998 1161970 0978452 -218 4748 0922479 -807 475 6511 1758 06021998 1152100 0991506 -085 4810 1013058 130 073 168 -111 13021998 1148570 0996936 -031 4581 0952391 -488 009 2379 150 20021998 1154110 1004823 048 4429 0966819 -337 023 1139 -162 27021998 1152270 0998406 -016 4395 0992323 -077 003 059 012 06031998 1171950 1017079 169 4487 1020933 207 287 429 351 13031998 1177260 1004531 045 4492 1001114 011 020 001 005 20031998 1188570 1009607 096 4678 1041407 406 091 1646 388 27031998 1200260 1009835 098 4735 1012185 121 096 147 119 03041998 1197600 0997784 -022 4840 1022175 219 005 481 -049 10041998 1198900 1001086 011 4793 0990289 -098 001 095 -011 17041998 1195490 0997156 -028 4814 1004381 044 008 019 -012 24041998 1182420 0989067 -110 4488 0932281 -701 121 4917 771 01051998 1176960 0995382 -046 4512 1005348 053 021 028 -025 08051998 1159590 0985242 -149 4117 0912456 -916 221 8393 1362 15051998 1129560 0974103 -262 3965 0963080 -376 688 1415 987 22051998 1112340 0984755 -154 4043 1019672 195 236 380 -299 29051998 1073430 0965020 -356 3984 0985407 -147 1268 216 523 05061998 1045480 0973962 -264 3946 0990462 -096 696 092 253 12061998 1066480 1020086 199 4040 1023822 235 396 554 468 19061998 1032170 0967829 -327 3815 0944307 -573 1069 3284 1874 26061998 1030030 0997927 -021 3903 1023067 228 004 520 -047 03071998 1002040 0972826 -276 3769 0965667 -349 759 1221 962 10071998 982199 0980199 -200 3740 0992306 -077 400 060 154 17071998 970995 0988593 -115 3749 1002406 024 132 006 -028 24071998 995234 1024963 247 3752 1000800 008 608 001 020 31071998 1010220 1015058 149 3729 0993870 -061 223 038 -092 07081998 986274 0976296 -240 3397 0910968 -932 575 8695 2237 14081998 966470 0979920 -203 3271 0962908 -378 411 1429 767 21081998 934316 0966730 -338 2978 0910425 -938 1145 8807 3175 28081998 901108 0964457 -362 2668 0895903 -1099 1310 12083 3978 04091998 949019 1053169 518 3026 1134183 1259 2684 15854 6523 11091998 950397 1001452 015 3201 1057832 562 002 3161 082 18091998 953342 1003099 031 3277 1023743 235 010 551 073 25091998 956663 1003484 035 3202 0977113 -232 012 536 -081 02101998 958912 1002351 023 3188 0995628 -044 006 019 -010 09101998 943251 0983668 -165 3049 0956399 -446 271 1987 734 16101998 943963 1000755 008 2887 0946868 -546 001 2981 -041 23101998 934640 0990124 -099 2891 1001386 014 099 002 -014

Page 100

30101998 918468 0982697 -175 2765 0956416 -446 305 1986 778 06111998 913223 0994289 -057 2872 1038698 380 033 1442 -217 13111998 917822 1005036 050 2823 0982939 -172 025 296 -086 20111998 917160 0999279 -007 2807 0994332 -057 001 032 004 27111998 906802 0988706 -114 2742 0976844 -234 129 549 266 04121998 902621 0995389 -046 2663 0971189 -292 021 855 135 11121998 889094 0985014 -151 2538 0953060 -481 228 2311 726 18121998 902575 1015163 150 2637 1039007 383 226 1464 576 25121998 906891 1004782 048 2608 0989003 -111 023 122 -053 01011999 914183 1008041 080 2698 1034509 339 064 1151 272 08011999 983873 1076232 735 3158 1170497 1574 5397 24784 11566 15011999 989959 1006186 062 3167 1002850 028 038 008 018 22011999 1016140 1026447 261 3257 1028418 280 681 785 731 29011999 1105790 1088226 845 3663 1124655 1175 7149 13801 9932 05021999 1094590 0989871 -102 3736 1019929 197 104 389 -201 12021999 1053620 0962570 -381 3717 0994914 -051 1455 026 195 19021999 1071770 1017226 171 3874 1042238 414 292 1712 707 26021999 1055100 0984446 -157 3736 0964378 -363 246 1316 569 05031999 1039860 0985556 -145 3502 0937366 -647 212 4184 941 12031999 1041200 1001289 013 3492 0997144 -029 002 008 -004 19031999 1027650 0986986 -131 3498 1001718 017 172 003 -022 26031999 1031360 1003610 036 3472 0992567 -075 013 056 -027 02041999 1034930 1003461 035 3520 1013825 137 012 189 047 09041999 1024940 0990347 -097 3480 0988636 -114 094 131 111 16041999 1026450 1001473 015 3543 1018103 179 002 322 026 23041999 1038240 1011486 114 3483 0983065 -171 130 292 -195 30041999 1014430 0977067 -232 3397 0975309 -250 538 625 580 07051999 1027240 1012628 125 3458 1017957 178 157 317 223 14051999 1015400 0988474 -116 3425 0990457 -096 134 092 111 21051999 1012050 0996701 -033 3322 0969927 -305 011 932 101 28051999 986598 0974851 -255 3179 0956954 -440 649 1936 1121 04061999 977053 0990325 -097 3074 0966971 -336 095 1128 327 11061999 1007370 1031029 306 3207 1043266 424 934 1794 1294 18061999 989166 0981929 -182 3155 0983785 -163 333 267 298 25061999 1026150 1037389 367 3135 0993661 -064 1347 040 -233 02071999 995282 0969919 -305 3079 0982137 -180 933 325 551 09071999 995600 1000320 003 3063 0994804 -052 000 027 -002 16071999 1012170 1016643 165 3083 1006530 065 272 042 107 23071999 981962 0970155 -303 3050 0989296 -108 918 116 326 30071999 971997 0989852 -102 3077 1008852 088 104 078 -090 06081999 953229 0980691 -195 3023 0982450 -177 380 313 345 13081999 935049 0980928 -193 2900 0959312 -415 371 1725 800 20081999 944102 1009682 096 3001 1034828 342 093 1172 330 27081999 935339 0990718 -093 2944 0981006 -192 087 368 179 03091999 928650 0992849 -072 2929 0994905 -051 052 026 037 10091999 923843 0994824 -052 2924 0998293 -017 027 003 009 17091999 936583 1013790 137 3071 1050274 491 188 2406 672 24091999 963355 1028585 282 3284 1069359 671 794 4497 1890 01101999 964466 1001153 012 3257 0991778 -083 001 068 -010 08101999 1008430 1045584 446 3662 1124348 1172 1987 13737 5224 15101999 1067340 1058418 568 4053 1106772 1014 3223 10292 5760

Page 101

22101999 1019230 0954925 -461 3643 0898840 -1066 2127 11374 4919 29101999 1038280 1018691 185 4123 1131760 1238 343 15320 2292 05111999 1047550 1008928 089 4100 0994422 -056 079 031 -050 12111999 1071510 1022872 226 4256 1038049 373 511 1394 844 19111999 1077140 1005254 052 4181 0982378 -178 027 316 -093 26111999 1104220 1025141 248 4357 1042095 412 617 1700 1024 03121999 1152250 1043497 426 4228 0970392 -301 1813 903 -1280 10121999 1338690 1161805 1500 5110 1208609 1895 22492 35899 28416 17121999 1235780 0923126 -800 4657 0911350 -928 6398 8617 7425 24121999 1215240 0983379 -168 4827 1036504 359 281 1285 -601 Sum -206 -931 80467 268123 116803 Beta 145 Alpha -006 Std Dev Of Rndm Error Term 312 Std Error of Beta 0062 Std Error of Alpha 0174 Correlation Coefficient 080 Coefficient of Determination 063 Coefficient of Nondetermination 037

Page 102

Egyptian American Bank

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8758 09011998 1222730 0985643 -145 8687 0991893 -081 209 066 118 16011998 1206630 0986833 -133 8226 0946932 -545 176 2973 723 23011998 1187560 0984196 -159 8172 0993435 -066 254 043 105 30011998 1161970 0978452 -218 7600 0930005 -726 475 5266 1581 06021998 1152100 0991506 -085 7837 1031184 307 073 943 -262 13021998 1148570 0996936 -031 7832 0999362 -006 009 000 002 20021998 1154110 1004823 048 7602 0970633 -298 023 888 -143 27021998 1152270 0998406 -016 7262 0955275 -458 003 2094 073 06031998 1171950 1017079 169 7629 1050537 493 287 2431 835 13031998 1177260 1004531 045 7657 1003670 037 020 013 017 20031998 1188570 1009607 096 7577 0989552 -105 091 110 -100 27031998 1200260 1009835 098 7707 1017157 170 096 289 166 03041998 1197600 0997784 -022 7738 1004022 040 005 016 -009 10041998 1198900 1001086 011 7793 1007108 071 001 050 008 17041998 1195490 0997156 -028 7580 0972668 -277 008 768 079 24041998 1182420 0989067 -110 7381 0973747 -266 121 708 292 01051998 1176960 0995382 -046 7249 0982116 -180 021 326 084 08051998 1159590 0985242 -149 6909 0953097 -480 221 2308 714 15051998 1129560 0974103 -262 6391 0925025 -779 688 6074 2045 22051998 1112340 0984755 -154 6352 0993898 -061 236 037 094 29051998 1073430 0965020 -356 6059 0953873 -472 1268 2230 1682 05061998 1045480 0973962 -264 5669 0935633 -665 696 4427 1755 12061998 1066480 1020086 199 5825 1027518 271 396 737 540 19061998 1032170 0967829 -327 5318 0912961 -911 1069 8292 2978 26061998 1030030 0997927 -021 5588 1050771 495 004 2453 -103 03071998 1002040 0972826 -276 5203 0931102 -714 759 5096 1967 10071998 982199 0980199 -200 4992 0959446 -414 400 1714 828 17071998 970995 0988593 -115 4802 0961939 -388 132 1506 445 24071998 995234 1024963 247 5012 1043732 428 608 1832 1055 31071998 1010220 1015058 149 5044 1006385 064 223 041 095 07081998 986274 0976296 -240 4756 0942902 -588 575 3457 1410 14081998 966470 0979920 -203 4594 0965938 -347 411 1201 703 21081998 934316 0966730 -338 4267 0928820 -738 1145 5452 2498 28081998 901108 0964457 -362 4157 0974221 -261 1310 682 945 04091998 949019 1053169 518 4729 1137599 1289 2684 16620 6679 11091998 950397 1001452 015 4734 1001057 011 002 001 002 18091998 953342 1003099 031 5211 1100760 960 010 9216 297 25091998 956663 1003484 035 5167 0991556 -085 012 072 -029 02101998 958912 1002351 023 5554 1074898 722 006 5217 170 09101998 943251 0983668 -165 5232 0942024 -597 271 3567 983 16101998 943963 1000755 008 5072 0969419 -311 001 965 -023 23101998 934640 0990124 -099 5344 1053628 522 099 2729 -519

Page 103

30101998 918468 0982697 -175 5273 0986714 -134 305 179 233 06111998 913223 0994289 -057 5201 0986346 -137 033 189 079 13111998 917822 1005036 050 5157 0991540 -085 025 072 -043 20111998 917160 0999279 -007 5163 1001163 012 001 001 -001 27111998 906802 0988706 -114 4696 0909549 -948 129 8988 1077 04121998 902621 0995389 -046 4659 0992121 -079 021 063 037 11121998 889094 0985014 -151 4811 1032625 321 228 1031 -485 18121998 902575 1015163 150 4810 0999792 -002 226 000 -003 25121998 906891 1004782 048 4724 0982121 -180 023 325 -086 01011999 914183 1008041 080 4896 1036410 358 064 1279 286 08011999 983873 1076232 735 5416 1106209 1009 5397 10189 7416 15011999 989959 1006186 062 5600 1033973 334 038 1116 206 22011999 1016140 1026447 261 5725 1022321 221 681 487 576 29011999 1105790 1088226 845 6017 1051004 497 7149 2475 4206 05021999 1094590 0989871 -102 5639 0937178 -649 104 4210 661 12021999 1053620 0962570 -381 5360 0950523 -507 1455 2575 1936 19021999 1071770 1017226 171 5354 0998881 -011 292 001 -019 26021999 1055100 0984446 -157 5263 0983003 -171 246 294 269 05031999 1039860 0985556 -145 5198 0987650 -124 212 154 181 12031999 1041200 1001289 013 4865 0935937 -662 002 4383 -085 19031999 1027650 0986986 -131 4716 0969373 -311 172 968 407 26031999 1031360 1003610 036 4851 1028626 282 013 797 102 02041999 1034930 1003461 035 4904 1010926 109 012 118 038 09041999 1024940 0990347 -097 5023 1024266 240 094 575 -233 16041999 1026450 1001473 015 5093 1013936 138 002 192 020 23041999 1038240 1011486 114 5046 0990772 -093 130 086 -106 30041999 1014430 0977067 -232 4872 0965517 -351 538 1231 814 07051999 1027240 1012628 125 4700 0964696 -359 157 1292 -451 14051999 1015400 0988474 -116 4896 1041702 409 134 1669 -474 21051999 1012050 0996701 -033 4891 0998979 -010 011 001 003 28051999 986598 0974851 -255 4709 0962789 -379 649 1438 966 04061999 977053 0990325 -097 4618 0980675 -195 095 381 190 11061999 1007370 1031029 306 4655 1008012 080 934 064 244 18061999 989166 0981929 -182 4600 0988185 -119 333 141 217 25061999 1026150 1037389 367 4518 0982174 -180 1347 324 -660 02071999 995282 0969919 -305 4497 0995352 -047 933 022 142 09071999 995600 1000320 003 4552 1012230 122 000 148 004 16071999 1012170 1016643 165 4535 0996265 -037 272 014 -062 23071999 981962 0970155 -303 4231 0932966 -694 918 4815 2102 30071999 971997 0989852 -102 4481 1059088 574 104 3296 -586 06081999 953229 0980691 -195 4253 0949119 -522 380 2727 1018 13081999 935049 0980928 -193 4405 1035739 351 371 1233 -676 20081999 944102 1009682 096 4423 1004086 041 093 017 039 27081999 935339 0990718 -093 4461 1008591 086 087 073 -080 03091999 928650 0992849 -072 4429 0992827 -072 052 052 052 10091999 923843 0994824 -052 4428 0999774 -002 027 000 001 17091999 936583 1013790 137 4611 1041328 405 188 1640 555 24091999 963355 1028585 282 4706 1020603 204 794 416 575 01101999 964466 1001153 012 4699 0998513 -015 001 002 -002 08101999 1008430 1045584 446 4903 1043413 425 1987 1806 1894 15101999 1067340 1058418 568 5191 1058740 571 3223 3258 3241

Page 104

22101999 1019230 0954925 -461 5130 0988249 -118 2127 140 545 29101999 1038280 1018691 185 5257 1024756 245 343 598 453 05111999 1047550 1008928 089 5302 1008560 085 079 073 076 12111999 1071510 1022872 226 5506 1038476 378 511 1425 854 19111999 1077140 1005254 052 5638 1023974 237 027 561 124 26111999 1104220 1025141 248 5487 0973217 -271 617 737 -674 03121999 1152250 1043497 426 5650 1029707 293 1813 857 1246 10121999 1338690 1161805 1500 6555 1160177 1486 22492 22074 22282 17121999 1235780 0923126 -800 5479 0835850 -1793 6398 32150 14343 24121999 1215240 0983379 -168 5680 1036686 360 281 1298 -604 Sum -206 -4330 80467 229628 95158 Beta 118 Alpha -040 Std Dev Of Rndm Error Term 338 Std Error of Beta 0065 Std Error of Alpha 0181 Correlation Coefficient 070 Coefficient of Determination 049 Coefficient of Nondetermination 051

Page 105

Misr International Bank MIBANK

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8144 09011998 1222730 0985643 -145 8192 1005894 059 209 035 -085 16011998 1206630 0986833 -133 8160 0996094 -039 176 015 052 23011998 1187560 0984196 -159 8098 0992451 -076 254 057 121 30011998 1161970 0978452 -218 7510 0927294 -755 475 5698 1644 06021998 1152100 0991506 -085 7295 0971450 -290 073 839 247 13021998 1148570 0996936 -031 7266 0996052 -040 009 016 012 20021998 1154110 1004823 048 6954 0957063 -439 023 1926 -211 27021998 1152270 0998406 -016 7089 1019326 191 003 366 -031 06031998 1171950 1017079 169 7269 1025392 251 287 629 425 13031998 1177260 1004531 045 7412 1019701 195 020 381 088 20031998 1188570 1009607 096 7509 1013060 130 091 168 124 27031998 1200260 1009835 098 7518 1001278 013 096 002 013 03041998 1197600 0997784 -022 7488 0995957 -041 005 016 009 10041998 1198900 1001086 011 7290 0973611 -267 001 715 -029 17041998 1195490 0997156 -028 7290 0999890 -001 008 000 000 24041998 1182420 0989067 -110 7189 0986172 -139 121 194 153 01051998 1176960 0995382 -046 7018 0976296 -240 021 575 111 08051998 1159590 0985242 -149 7055 1005243 052 221 027 -078 15051998 1129560 0974103 -262 6667 0945005 -566 688 3200 1484 22051998 1112340 0984755 -154 6737 1010439 104 236 108 -160 29051998 1073430 0965020 -356 6599 0979575 -206 1268 426 735 05061998 1045480 0973962 -264 6499 0984847 -153 696 233 403 12061998 1066480 1020086 199 6568 1010586 105 396 111 209 19061998 1032170 0967829 -327 6309 0960536 -403 1069 1621 1317 26061998 1030030 0997927 -021 6514 1032463 319 004 1021 -066 03071998 1002040 0972826 -276 6399 0982437 -177 759 314 488 10071998 982199 0980199 -200 6400 1000125 001 400 000 -003 17071998 970995 0988593 -115 6265 0978875 -214 132 456 245 24071998 995234 1024963 247 6454 1030264 298 608 889 735 31071998 1010220 1015058 149 6398 0991200 -088 223 078 -132 07081998 986274 0976296 -240 6122 0956859 -441 575 1945 1058 14081998 966470 0979920 -203 5966 0974647 -257 411 659 521 21081998 934316 0966730 -338 5863 0982703 -174 1145 304 590 28081998 901108 0964457 -362 5337 0910220 -941 1310 8849 3404 04091998 949019 1053169 518 5714 1070604 682 2684 4654 3534 11091998 950397 1001452 015 5832 1020722 205 002 421 030 18091998 953342 1003099 031 5818 0997531 -025 010 006 -008 25091998 956663 1003484 035 5775 0992712 -073 012 054 -025 02101998 958912 1002351 023 5759 0997230 -028 006 008 -007 09101998 943251 0983668 -165 5699 0989582 -105 271 110 172 16101998 943963 1000755 008 5687 0997894 -021 001 004 -002 23101998 934640 0990124 -099 5688 1000141 001 099 000 -001

Page 106

30101998 918468 0982697 -175 5290 0930098 -725 305 5251 1265 06111998 913223 0994289 -057 5203 0983517 -166 033 276 095 13111998 917822 1005036 050 5273 1013376 133 025 177 067 20111998 917160 0999279 -007 5192 0984676 -154 001 238 011 27111998 906802 0988706 -114 4970 0957165 -438 129 1917 497 04121998 902621 0995389 -046 4986 1003381 034 021 011 -016 11121998 889094 0985014 -151 5023 1007380 074 228 054 -111 18121998 902575 1015163 150 5288 1052715 514 226 2639 773 25121998 906891 1004782 048 5147 0973374 -270 023 728 -129 01011999 914183 1008041 080 5290 1027666 273 064 745 219 08011999 983873 1076232 735 6134 1159710 1482 5397 21954 10885 15011999 989959 1006186 062 6274 1022692 224 038 503 138 22011999 1016140 1026447 261 6548 1043739 428 681 1833 1117 29011999 1105790 1088226 845 7800 1191203 1750 7149 30612 14793 05021999 1094590 0989871 -102 8082 1036205 356 104 1265 -362 12021999 1053620 0962570 -381 6850 0847570 -1654 1455 27351 6309 19021999 1071770 1017226 171 7518 1097513 930 292 8658 1589 26021999 1055100 0984446 -157 7440 0989572 -105 246 110 164 05031999 1039860 0985556 -145 6931 0931613 -708 212 5018 1031 12031999 1041200 1001289 013 7196 1038204 375 002 1406 048 19031999 1027650 0986986 -131 7160 0994997 -050 172 025 066 26031999 1031360 1003610 036 7028 0981564 -186 013 346 -067 02041999 1034930 1003461 035 7114 1012180 121 012 147 042 09041999 1024940 0990347 -097 6950 0976946 -233 094 544 226 16041999 1026450 1001473 015 6654 0957408 -435 002 1895 -064 23041999 1038240 1011486 114 6683 1004449 044 130 020 051 30041999 1014430 0977067 -232 6389 0955949 -451 538 2030 1045 07051999 1027240 1012628 125 6351 0994115 -059 157 035 -074 14051999 1015400 0988474 -116 6366 1002393 024 134 006 -028 21051999 1012050 0996701 -033 6245 0980900 -193 011 372 064 28051999 986598 0974851 -255 6060 0970407 -300 649 902 765 04061999 977053 0990325 -097 5868 0968317 -322 095 1037 313 11061999 1007370 1031029 306 6034 1028221 278 934 775 850 18061999 989166 0981929 -182 5860 0971228 -292 333 852 532 25061999 1026150 1037389 367 5683 0969829 -306 1347 939 -1125 02071999 995282 0969919 -305 5428 0955096 -459 933 2111 1403 09071999 995600 1000320 003 5444 1002948 029 000 009 001 16071999 1012170 1016643 165 5430 0997355 -026 272 007 -044 23071999 981962 0970155 -303 5494 1011935 119 918 141 -359 30071999 971997 0989852 -102 5121 0932003 -704 104 4959 718 06081999 953229 0980691 -195 5026 0981409 -188 380 352 366 13081999 935049 0980928 -193 4848 0964661 -360 371 1294 693 20081999 944102 1009682 096 4853 1000990 010 093 001 010 27081999 935339 0990718 -093 4714 0971480 -289 087 837 270 03091999 928650 0992849 -072 4716 1000339 003 052 000 -002 10091999 923843 0994824 -052 4538 0962341 -384 027 1474 199 17091999 936583 1013790 137 4640 1022387 221 188 490 303 24091999 963355 1028585 282 4789 1032069 316 794 996 890 01101999 964466 1001153 012 4726 0986803 -133 001 176 -015 08101999 1008430 1045584 446 5332 1128322 1207 1987 14576 5382 15101999 1067340 1058418 568 5929 1111928 1061 3223 11256 6024

Page 107

22101999 1019230 0954925 -461 5517 0930509 -720 2127 5187 3322 29101999 1038280 1018691 185 5853 1060905 591 343 3495 1095 05111999 1047550 1008928 089 5904 1008748 087 079 076 077 12111999 1071510 1022872 226 5775 0978184 -221 511 487 -499 19111999 1077140 1005254 052 5759 0997230 -028 027 008 -015 26111999 1104220 1025141 248 5605 0973191 -272 617 738 -675 03121999 1152250 1043497 426 5650 1008136 081 1813 066 345 10121999 1338690 1161805 1500 6254 1106754 1014 22492 10288 15212 17121999 1235780 0923126 -800 5560 0889088 -1176 6398 13820 9403 24121999 1215240 0983379 -168 5503 0989784 -103 281 105 172 Sum -206 -3920 80467 230750 102346 Beta 127 Alpha -036 Std Dev Of Rndm Error Term 314 Std Error of Beta 0062 Std Error of Alpha 0174 Correlation Coefficient 075 Coefficient of Determination 057 Coefficient of Nondetermination 043

Page 108

Ameryah Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1)

02011998 1240540 7942 09011998 1222730 0985643 -145 7630 0960715 -401 209 1606 580 16011998 1206630 0986833 -133 7402 0970118 -303 176 920 402 23011998 1187560 0984196 -159 7427 1003377 034 254 011 -054 30011998 1161970 0978452 -218 7342 0988555 -115 475 132 251 06021998 1152100 0991506 -085 7184 0978480 -218 073 473 186 13021998 1148570 0996936 -031 7221 1005150 051 009 026 -016 20021998 1154110 1004823 048 7154 0990722 -093 023 087 -045 27021998 1152270 0998406 -016 7102 0992731 -073 003 053 012 06031998 1171950 1017079 169 7195 1013095 130 287 169 220 13031998 1177260 1004531 045 7099 0986657 -134 020 180 -061 20031998 1188570 1009607 096 7033 0990703 -093 091 087 -089 27031998 1200260 1009835 098 7053 1002844 028 096 008 028 03041998 1197600 0997784 -022 6796 0963562 -371 005 1378 082 10041998 1198900 1001086 011 6980 1027075 267 001 714 029 17041998 1195490 0997156 -028 6800 0974212 -261 008 683 074 24041998 1182420 0989067 -110 6772 0995882 -041 121 017 045 01051998 1176960 0995382 -046 6603 0975044 -253 021 639 117 08051998 1159590 0985242 -149 6644 1006209 062 221 038 -092 15051998 1129560 0974103 -262 6036 0908489 -960 688 9211 2518 22051998 1112340 0984755 -154 5908 0978794 -214 236 459 329 29051998 1073430 0965020 -356 5899 0998477 -015 1268 002 054 05061998 1045480 0973962 -264 5903 1000678 007 696 000 -018 12061998 1066480 1020086 199 6341 1074200 716 396 5123 1423 19061998 1032170 0967829 -327 5661 0892761 -1134 1069 12868 3709 26061998 1030030 0997927 -021 5875 1037803 371 004 1377 -077 03071998 1002040 0972826 -276 5707 0971404 -290 759 842 799 10071998 982199 0980199 -200 5640 0988260 -118 400 139 236 17071998 970995 0988593 -115 5441 0964716 -359 132 1290 412 24071998 995234 1024963 247 5734 1053850 525 608 2751 1293 31071998 1010220 1015058 149 5517 0962156 -386 223 1488 -577 07081998 986274 0976296 -240 5370 0973355 -270 575 729 648 14081998 966470 0979920 -203 5365 0999069 -009 411 001 019 21081998 934316 0966730 -338 5148 0959553 -413 1145 1705 1397 28081998 901108 0964457 -362 5057 0982323 -178 1310 318 645 04091998 949019 1053169 518 5693 1125766 1185 2684 14034 6137 11091998 950397 1001452 015 5622 0987529 -125 002 157 -018 18091998 953342 1003099 031 5844 1039488 387 010 1500 120 25091998 956663 1003484 035 5819 0995722 -043 012 018 -015 02101998 958912 1002351 023 5757 0989345 -107 006 115 -025 09101998 943251 0983668 -165 5709 0991662 -084 271 070 138 16101998 943963 1000755 008 5062 0886670 -1203 001 14468 -091 23101998 934640 0990124 -099 5109 1009285 092 099 085 -092

Page 109

30101998 918468 0982697 -175 5045 0987473 -126 305 159 220 06111998 913223 0994289 -057 5066 1004163 042 033 017 -024 13111998 917822 1005036 050 5141 1014805 147 025 216 074 20111998 917160 0999279 -007 5079 0987940 -121 001 147 009 27111998 906802 0988706 -114 5038 0991928 -081 129 066 092 04121998 902621 0995389 -046 5093 1010917 109 021 118 -050 11121998 889094 0985014 -151 5084 0998233 -018 228 003 027 18121998 902575 1015163 150 5088 1000787 008 226 001 012 25121998 906891 1004782 048 5069 0996266 -037 023 014 -018 01011999 914183 1008041 080 5095 1005129 051 064 026 041 08011999 983873 1076232 735 5674 1113641 1076 5397 11585 7907 15011999 989959 1006186 062 6026 1062037 602 038 3623 371 22011999 1016140 1026447 261 6488 1076668 739 681 5457 1928 29011999 1105790 1088226 845 7109 1095715 914 7149 8355 7728 05021999 1094590 0989871 -102 6429 0904347 -1005 104 10109 1024 12021999 1053620 0962570 -381 6441 1001867 019 1455 003 -071 19021999 1071770 1017226 171 6268 0973141 -272 292 741 -465 26021999 1055100 0984446 -157 6180 0985960 -141 246 200 222 05031999 1039860 0985556 -145 5756 0931392 -711 212 5052 1034 12031999 1041200 1001289 013 5791 1006081 061 002 037 008 19031999 1027650 0986986 -131 5533 0955448 -456 172 2077 597 26031999 1031360 1003610 036 5719 1033616 331 013 1093 119 02041999 1034930 1003461 035 5928 1036545 359 012 1288 124 09041999 1024940 0990347 -097 6142 1036100 355 094 1258 -344 16041999 1026450 1001473 015 5845 0951644 -496 002 2457 -073 23041999 1038240 1011486 114 5749 0983576 -166 130 274 -189 30041999 1014430 0977067 -232 5767 1003131 031 538 010 -073 07051999 1027240 1012628 125 5558 0963759 -369 157 1363 -463 14051999 1015400 0988474 -116 5698 1025189 249 134 619 -288 21051999 1012050 0996701 -033 5666 0994384 -056 011 032 019 28051999 986598 0974851 -255 5494 0969643 -308 649 950 785 04061999 977053 0990325 -097 5384 0979978 -202 095 409 197 11061999 1007370 1031029 306 5271 0979012 -212 934 450 -648 18061999 989166 0981929 -182 5423 1028837 284 333 808 -518 25061999 1026150 1037389 367 5553 1023972 237 1347 561 870 02071999 995282 0969919 -305 5490 0988655 -114 933 130 348 09071999 995600 1000320 003 5222 0951184 -500 000 2505 -016 16071999 1012170 1016643 165 5090 0974722 -256 272 655 -423 23071999 981962 0970155 -303 4992 0980747 -194 918 378 589 30071999 971997 0989852 -102 4900 0981571 -186 104 346 190 06081999 953229 0980691 -195 4528 0924082 -790 380 6234 1539 13081999 935049 0980928 -193 4505 0994920 -051 371 026 098 20081999 944102 1009682 096 4628 1027303 269 093 726 260 27081999 935339 0990718 -093 4611 0996327 -037 087 014 034 03091999 928650 0992849 -072 4556 0988072 -120 052 144 086 10091999 923843 0994824 -052 4651 1020852 206 027 426 -107 17091999 936583 1013790 137 4450 0956783 -442 188 1952 -605 24091999 963355 1028585 282 4477 1006067 060 794 037 170 01101999 964466 1001153 012 4451 0994193 -058 001 034 -007 08101999 1008430 1045584 446 4708 1057740 561 1987 3151 2502 15101999 1067340 1058418 568 5075 1077952 751 3223 5635 4262

Page 110

22101999 1019230 0954925 -461 4646 0915468 -883 2127 7800 4074 29101999 1038280 1018691 185 4762 1024968 247 343 608 457 05111999 1047550 1008928 089 4486 0942041 -597 079 3565 -531 12111999 1071510 1022872 226 4825 1075568 728 511 5307 1647 19111999 1077140 1005254 052 4741 0982591 -176 027 308 -092 26111999 1104220 1025141 248 4814 1015398 153 617 233 379 03121999 1152250 1043497 426 4750 0986705 -134 1813 179 -570 10121999 1338690 1161805 1500 5374 1131368 1234 22492 15234 18511 17121999 1235780 0923126 -800 4618 0859323 -1516 6398 22986 12127 24121999 1215240 0983379 -168 4993 1081204 781 281 6096 -1309

Sum -206 -4641 80467 220262 84434 Beta 105 Alpha -043 Std Dev Of Rndm Error Term 358 Std Error of Beta 0067 Std Error of Alpha 0187 Correlation Coefficient 064 Coefficient of Determination 041 Coefficient of Nondetermination 059

Page 111

Helwan Portland

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 6794 09011998 1222730 0985643 -145 6738 0991757 -083 209 069 120 16011998 1206630 0986833 -133 6678 0991095 -089 176 080 119 23011998 1187560 0984196 -159 6700 1003294 033 254 011 -052 30011998 1161970 0978452 -218 6736 1005373 054 475 029 -117 06021998 1152100 0991506 -085 6599 0979662 -205 073 422 175 13021998 1148570 0996936 -031 6663 1009698 097 009 093 -030 20021998 1154110 1004823 048 6605 0991295 -087 023 076 -042 27021998 1152270 0998406 -016 6625 1003028 030 003 009 -005 06031998 1171950 1017079 169 6795 1025660 253 287 642 429 13031998 1177260 1004531 045 7038 1035762 351 020 1235 159 20031998 1188570 1009607 096 7142 1014777 147 091 215 140 27031998 1200260 1009835 098 7289 1020582 204 096 415 199 03041998 1197600 0997784 -022 7191 0986555 -135 005 183 030 10041998 1198900 1001086 011 7298 1014880 148 001 218 016 17041998 1195490 0997156 -028 7326 1003837 038 008 015 -011 24041998 1182420 0989067 -110 7283 0994130 -059 121 035 065 01051998 1176960 0995382 -046 7338 1007552 075 021 057 -035 08051998 1159590 0985242 -149 7244 0987190 -129 221 166 192 15051998 1129560 0974103 -262 7136 0985091 -150 688 226 394 22051998 1112340 0984755 -154 7084 0992713 -073 236 053 112 29051998 1073430 0965020 -356 5748 0811406 -2090 1268 43675 7441 05061998 1045480 0973962 -264 5690 0989910 -101 696 103 268 12061998 1066480 1020086 199 5691 1000176 002 396 000 003 19061998 1032170 0967829 -327 5310 0933052 -693 1069 4802 2266 26061998 1030030 0997927 -021 5128 0965725 -349 004 1216 072 03071998 1002040 0972826 -276 5076 0989860 -102 759 104 281 10071998 982199 0980199 -200 5064 0997636 -024 400 006 047 17071998 970995 0988593 -115 4900 0967615 -329 132 1084 378 24071998 995234 1024963 247 5232 1067755 656 608 4298 1616 31071998 1010220 1015058 149 5317 1016246 161 223 260 241 07081998 986274 0976296 -240 5163 0971036 -294 575 864 705 14081998 966470 0979920 -203 5010 0970366 -301 411 905 610 21081998 934316 0966730 -338 4911 0980240 -200 1145 398 675 28081998 901108 0964457 -362 4880 0993688 -063 1310 040 229 04091998 949019 1053169 518 5239 1073566 710 2684 5039 3677 11091998 950397 1001452 015 5258 1003627 036 002 013 005 18091998 953342 1003099 031 5202 0989350 -107 010 115 -033 25091998 956663 1003484 035 5194 0998462 -015 012 002 -005 02101998 958912 1002351 023 5095 0980940 -192 006 370 -045 09101998 943251 0983668 -165 4961 0973700 -267 271 710 439 16101998 943963 1000755 008 5001 1008063 080 001 064 006 23101998 934640 0990124 -099 5006 1001000 010 099 001 -010

Page 112

30101998 918468 0982697 -175 4827 0964243 -364 305 1326 636 06111998 913223 0994289 -057 4853 1005386 054 033 029 -031 13111998 917822 1005036 050 4943 1018545 184 025 338 092 20111998 917160 0999279 -007 4951 1001618 016 001 003 -001 27111998 906802 0988706 -114 4851 0979802 -204 129 416 232 04121998 902621 0995389 -046 4836 0996908 -031 021 010 014 11121998 889094 0985014 -151 4779 0988213 -119 228 141 179 18121998 902575 1015163 150 4803 1005022 050 226 025 075 25121998 906891 1004782 048 4818 1003123 031 023 010 015 01011999 914183 1008041 080 4823 1001038 010 064 001 008 08011999 983873 1076232 735 5453 1130624 1228 5397 15072 9019 15011999 989959 1006186 062 5624 1031359 309 038 953 190 22011999 1016140 1026447 261 5778 1027383 270 681 730 705 29011999 1105790 1088226 845 6642 1149533 1394 7149 19420 11782 05021999 1094590 0989871 -102 6304 0949112 -522 104 2728 532 12021999 1053620 0962570 -381 6355 1008090 081 1455 065 -307 19021999 1071770 1017226 171 6423 1010700 106 292 113 182 26021999 1055100 0984446 -157 6319 0983808 -163 246 266 256 05031999 1039860 0985556 -145 6159 0974680 -256 212 658 373 12031999 1041200 1001289 013 6081 0987336 -127 002 162 -016 19031999 1027650 0986986 -131 5959 0979938 -203 172 411 265 26031999 1031360 1003610 036 6047 1014768 147 013 215 053 02041999 1034930 1003461 035 6037 0998346 -017 012 003 -006 09041999 1024940 0990347 -097 6042 1000828 008 094 001 -008 16041999 1026450 1001473 015 6034 0998676 -013 002 002 -002 23041999 1038240 1011486 114 6082 1007955 079 130 063 090 30041999 1014430 0977067 -232 5916 0972706 -277 538 766 642 07051999 1027240 1012628 125 5243 0886241 -1208 157 14585 -1515 14051999 1015400 0988474 -116 5174 0986840 -132 134 176 154 21051999 1012050 0996701 -033 5148 0994975 -050 011 025 017 28051999 986598 0974851 -255 4951 0961733 -390 649 1522 994 04061999 977053 0990325 -097 4901 0989901 -102 095 103 099 11061999 1007370 1031029 306 5002 1020608 204 934 416 623 18061999 989166 0981929 -182 4900 0979608 -206 333 424 376 25061999 1026150 1037389 367 4738 0966939 -336 1347 1130 -1234 02071999 995282 0969919 -305 4663 0984171 -160 933 255 487 09071999 995600 1000320 003 4509 0966974 -336 000 1128 -011 16071999 1012170 1016643 165 4371 0969395 -311 272 966 -513 23071999 981962 0970155 -303 4098 0937543 -645 918 4159 1954 30071999 971997 0989852 -102 4109 1002684 027 104 007 -027 06081999 953229 0980691 -195 4005 0974690 -256 380 657 500 13081999 935049 0980928 -193 3845 0960050 -408 371 1662 785 20081999 944102 1009682 096 3963 1030689 302 093 914 291 27081999 935339 0990718 -093 3893 0982337 -178 087 318 166 03091999 928650 0992849 -072 3891 0999486 -005 052 000 004 10091999 923843 0994824 -052 3789 0973786 -266 027 706 138 17091999 936583 1013790 137 3763 0993138 -069 188 047 -094 24091999 963355 1028585 282 3753 0997343 -027 794 007 -075 01101999 964466 1001153 012 3711 0988809 -113 001 127 -013 08101999 1008430 1045584 446 3922 1056858 553 1987 3058 2465 15101999 1067340 1058418 568 4279 1091025 871 3223 7589 4946

Page 113

22101999 1019230 0954925 -461 3898 0910961 -933 2127 8697 4301 29101999 1038280 1018691 185 3904 1001539 015 343 002 028 05111999 1047550 1008928 089 3796 0972336 -281 079 787 -249 12111999 1071510 1022872 226 3961 1043467 425 511 1810 962 19111999 1077140 1005254 052 3784 0955314 -457 027 2090 -240 26111999 1104220 1025141 248 3784 1000000 000 617 000 000 03121999 1152250 1043497 426 3832 1012685 126 1813 159 537 10121999 1338690 1161805 1500 3911 1020616 204 22492 416 3060 17121999 1235780 0923126 -800 3701 0946305 -552 6398 3046 4415 24121999 1215240 0983379 -168 3733 1008646 086 281 074 -144 Sum -206 -5988 80467 169307 68883 Beta 085 Alpha -056 Std Dev Of Rndm Error Term 326 Std Error of Beta 0064 Std Error of Alpha 0178 Correlation Coefficient 060 Coefficient of Determination 035 Coefficient of Nondetermination 065

Page 114

Suez Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 6281 09011998 1222730 0985643 -145 6182 0984224 -159 209 253 230 16011998 1206630 0986833 -133 6105 0987500 -126 176 158 167 23011998 1187560 0984196 -159 6165 1009978 099 254 099 -158 30011998 1161970 0978452 -218 6047 0980832 -194 475 375 422 06021998 1152100 0991506 -085 6091 1007215 072 073 052 -061 13021998 1148570 0996936 -031 6229 1022686 224 009 503 -069 20021998 1154110 1004823 048 6444 1034443 339 023 1147 163 27021998 1152270 0998406 -016 6285 0975452 -249 003 618 040 06031998 1171950 1017079 169 6262 0996239 -038 287 014 -064 13031998 1177260 1004531 045 6445 1029182 288 020 827 130 20031998 1188570 1009607 096 6408 0994358 -057 091 032 -054 27031998 1200260 1009835 098 6630 1034614 340 096 1158 333 03041998 1197600 0997784 -022 6625 0999315 -007 005 000 002 10041998 1198900 1001086 011 6546 0988063 -120 001 144 -013 17041998 1195490 0997156 -028 6600 1008192 082 008 067 -023 24041998 1182420 0989067 -110 6565 0994767 -052 121 028 058 01051998 1176960 0995382 -046 6430 0979368 -208 021 435 096 08051998 1159590 0985242 -149 6389 0993638 -064 221 041 095 15051998 1129560 0974103 -262 6295 0985203 -149 688 222 391 22051998 1112340 0984755 -154 6343 1007654 076 236 058 -117 29051998 1073430 0965020 -356 6223 0981081 -191 1268 365 680 05061998 1045480 0973962 -264 6076 0976480 -238 696 567 628 12061998 1066480 1020086 199 6265 1031119 306 396 939 609 19061998 1032170 0967829 -327 5945 0948926 -524 1069 2748 1714 26061998 1030030 0997927 -021 5723 0962538 -382 004 1458 079 03071998 1002040 0972826 -276 5667 0990311 -097 759 095 268 10071998 982199 0980199 -200 5719 1009144 091 400 083 -182 17071998 970995 0988593 -115 5637 0985694 -144 132 208 165 24071998 995234 1024963 247 5716 1014030 139 608 194 344 31071998 1010220 1015058 149 5908 1033556 330 223 1089 493 07081998 986274 0976296 -240 5341 0903984 -1009 575 10190 2422 14081998 966470 0979920 -203 5001 0936340 -658 411 4327 1334 21081998 934316 0966730 -338 4818 0963463 -372 1145 1385 1259 28081998 901108 0964457 -362 4399 0913019 -910 1310 8281 3293 04091998 949019 1053169 518 4926 1119859 1132 2684 12815 5864 11091998 950397 1001452 015 4822 0978777 -215 002 460 -031 18091998 953342 1003099 031 4828 1001321 013 010 002 004 25091998 956663 1003484 035 4907 1016381 162 012 264 057 02101998 958912 1002351 023 4828 0983883 -162 006 264 -038 09101998 943251 0983668 -165 4774 0988702 -114 271 129 187 16101998 943963 1000755 008 4824 1010474 104 001 109 008 23101998 934640 0990124 -099 4885 1012627 125 099 157 -125

Page 115

30101998 918468 0982697 -175 4795 0981575 -186 305 346 325 06111998 913223 0994289 -057 4775 0995829 -042 033 017 024 13111998 917822 1005036 050 4811 1007615 076 025 058 038 20111998 917160 0999279 -007 4732 0983560 -166 001 275 012 27111998 906802 0988706 -114 4677 0988474 -116 129 134 132 04121998 902621 0995389 -046 4619 0987561 -125 021 157 058 11121998 889094 0985014 -151 4367 0945483 -561 228 3143 846 18121998 902575 1015163 150 4596 1052456 511 226 2614 769 25121998 906891 1004782 048 4605 1001978 020 023 004 009 01011999 914183 1008041 080 4655 1010659 106 064 112 085 08011999 983873 1076232 735 4995 1073047 705 5397 4971 5180 15011999 989959 1006186 062 4876 0976338 -239 038 573 -148 22011999 1016140 1026447 261 5126 1051268 500 681 2500 1305 29011999 1105790 1088226 845 6034 1176981 1630 7149 26554 13777 05021999 1094590 0989871 -102 5763 0955100 -459 104 2110 468 12021999 1053620 0962570 -381 5725 0993375 -066 1455 044 254 19021999 1071770 1017226 171 5715 0998412 -016 292 003 -027 26021999 1055100 0984446 -157 5588 0977732 -225 246 507 353 05031999 1039860 0985556 -145 5282 0945175 -564 212 3179 820 12031999 1041200 1001289 013 5364 1015491 154 002 236 020 19031999 1027650 0986986 -131 5218 0972882 -275 172 756 360 26031999 1031360 1003610 036 5188 0994251 -058 013 033 -021 02041999 1034930 1003461 035 5175 0997371 -026 012 007 -009 09041999 1024940 0990347 -097 5296 1023542 233 094 541 -226 16041999 1026450 1001473 015 5403 1020082 199 002 395 029 23041999 1038240 1011486 114 5538 1025073 248 130 613 283 30041999 1014430 0977067 -232 5345 0965035 -356 538 1267 826 07051999 1027240 1012628 125 4872 0911549 -926 157 8577 -1162 14051999 1015400 0988474 -116 4795 0984139 -160 134 256 185 21051999 1012050 0996701 -033 4788 0998673 -013 011 002 004 28051999 986598 0974851 -255 4597 0960129 -407 649 1655 1036 04061999 977053 0990325 -097 4459 0969943 -305 095 931 297 11061999 1007370 1031029 306 4551 1020589 204 934 415 623 18061999 989166 0981929 -182 4465 0981223 -190 333 359 346 25061999 1026150 1037389 367 4415 0988803 -113 1347 127 -413 02071999 995282 0969919 -305 4390 0994236 -058 933 033 177 09071999 995600 1000320 003 4541 1034374 338 000 1142 011 16071999 1012170 1016643 165 4731 1041842 410 272 1680 677 23071999 981962 0970155 -303 4431 0936587 -655 918 4292 1985 30071999 971997 0989852 -102 4508 1017441 173 104 299 -176 06081999 953229 0980691 -195 4393 0974389 -259 380 673 506 13081999 935049 0980928 -193 4378 0996690 -033 371 011 064 20081999 944102 1009682 096 4499 1027616 272 093 742 262 27081999 935339 0990718 -093 4428 0984239 -159 087 252 148 03091999 928650 0992849 -072 4394 0992198 -078 052 061 056 10091999 923843 0994824 -052 4399 1001243 012 027 002 -006 17091999 936583 1013790 137 4572 1039263 385 188 1483 527 24091999 963355 1028585 282 4614 1009147 091 794 083 257 01101999 964466 1001153 012 4598 0996651 -034 001 011 -004 08101999 1008430 1045584 446 4954 1077302 745 1987 5544 3319 15101999 1067340 1058418 568 5351 1080198 771 3223 5951 4380

Page 116

22101999 1019230 0954925 -461 4855 0907324 -973 2127 9459 4486 29101999 1038280 1018691 185 5099 1050257 490 343 2404 908 05111999 1047550 1008928 089 4932 0967248 -333 079 1109 -296 12111999 1071510 1022872 226 5022 1018248 181 511 327 409 19111999 1077140 1005254 052 5045 1004580 046 027 021 024 26111999 1104220 1025141 248 5039 0998811 -012 617 001 -030 03121999 1152250 1043497 426 5001 0992459 -076 1813 057 -322 10121999 1338690 1161805 1500 5898 1179364 1650 22492 27217 24742 17121999 1235780 0923126 -800 5044 0855205 -1564 6398 24465 12511 24121999 1215240 0983379 -168 5005 0992268 -078 281 060 130 Sum -206 -2271 80467 203211 101802 Beta 126 Alpha -020 Std Dev Of Rndm Error Term 271 Std Error of Beta 0058 Std Error of Alpha 0162 Correlation Coefficient 080 Coefficient of Determination 063 Coefficient of Nondetermination 037

Page 117

Tora Portland Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 7721 09011998 1222730 0985643 -145 7484 0969304 -312 209 972 451 16011998 1206630 0986833 -133 7332 0979690 -205 176 421 272 23011998 1187560 0984196 -159 7241 0987589 -125 254 156 199 30011998 1161970 0978452 -218 6892 0951802 -494 475 2440 1076 06021998 1152100 0991506 -085 6911 1002757 028 073 008 -023 13021998 1148570 0996936 -031 6628 0959051 -418 009 1748 128 20021998 1154110 1004823 048 6496 0980084 -201 023 405 -097 27021998 1152270 0998406 -016 6547 1007851 078 003 061 -012 06031998 1171950 1017079 169 6915 1056209 547 287 2991 926 13031998 1177260 1004531 045 6900 0997831 -022 020 005 -010 20031998 1188570 1009607 096 7245 1050000 488 091 2380 466 27031998 1200260 1009835 098 7362 1016149 160 096 257 157 03041998 1197600 0997784 -022 7424 1008422 084 005 070 -019 10041998 1198900 1001086 011 7369 0992592 -074 001 055 -008 17041998 1195490 0997156 -028 7439 1009499 095 008 089 -027 24041998 1182420 0989067 -110 7370 0990725 -093 121 087 102 01051998 1176960 0995382 -046 7190 0975577 -247 021 611 114 08051998 1159590 0985242 -149 6998 0973296 -271 221 733 402 15051998 1129560 0974103 -262 6701 0957559 -434 688 1881 1138 22051998 1112340 0984755 -154 6773 1010745 107 236 114 -164 29051998 1073430 0965020 -356 6524 0963236 -375 1268 1403 1334 05061998 1045480 0973962 -264 6652 1019620 194 696 378 -513 12061998 1066480 1020086 199 6450 0969633 -308 396 951 -613 19061998 1032170 0967829 -327 6015 0932558 -698 1069 4875 2283 26061998 1030030 0997927 -021 6099 1013965 139 004 192 -029 03071998 1002040 0972826 -276 5719 0937695 -643 759 4138 1772 10071998 982199 0980199 -200 5452 0953314 -478 400 2286 956 17071998 970995 0988593 -115 5518 1012106 120 132 145 -138 24071998 995234 1024963 247 6339 1148786 1387 608 19239 3420 31071998 1010220 1015058 149 6348 1001420 014 223 002 021 07081998 986274 0976296 -240 6187 0974638 -257 575 660 616 14081998 966470 0979920 -203 5842 0944238 -574 411 3292 1164 21081998 934316 0966730 -338 5852 1001712 017 1145 003 -058 28081998 901108 0964457 -362 5794 0990089 -100 1310 099 360 04091998 949019 1053169 518 6237 1076458 737 2684 5428 3817 11091998 950397 1001452 015 6181 0991021 -090 002 081 -013 18091998 953342 1003099 031 6247 1010678 106 010 113 033 25091998 956663 1003484 035 6276 1004642 046 012 021 016 02101998 958912 1002351 023 6504 1036329 357 006 1273 084 09101998 943251 0983668 -165 6388 0982165 -180 271 324 296 16101998 943963 1000755 008 6449 1009549 095 001 090 007 23101998 934640 0990124 -099 6437 0998139 -019 099 003 018

Page 118

30101998 918468 0982697 -175 5477 0850862 -1615 305 26084 2819 06111998 913223 0994289 -057 5695 1039803 390 033 1523 -224 13111998 917822 1005036 050 5717 1003863 039 025 015 019 20111998 917160 0999279 -007 5780 1011020 110 001 120 -008 27111998 906802 0988706 -114 5800 1003460 035 129 012 -039 04121998 902621 0995389 -046 5758 0992759 -073 021 053 034 11121998 889094 0985014 -151 5686 0987496 -126 228 158 190 18121998 902575 1015163 150 5811 1021984 217 226 473 327 25121998 906891 1004782 048 5790 0996386 -036 023 013 -017 01011999 914183 1008041 080 5835 1007772 077 064 060 062 08011999 983873 1076232 735 6729 1153213 1426 5397 20321 10473 15011999 989959 1006186 062 7063 1049636 484 038 2347 299 22011999 1016140 1026447 261 7230 1023644 234 681 546 610 29011999 1105790 1088226 845 7810 1080221 772 7149 5955 6524 05021999 1094590 0989871 -102 7362 0942638 -591 104 3490 601 12021999 1053620 0962570 -381 7597 1031921 314 1455 987 -1199 19021999 1071770 1017226 171 7512 0988811 -113 292 127 -192 26021999 1055100 0984446 -157 7157 0952742 -484 246 2344 759 05031999 1039860 0985556 -145 7118 0994551 -055 212 030 079 12031999 1041200 1001289 013 6991 0982158 -180 002 324 -023 19031999 1027650 0986986 -131 6635 0949077 -523 172 2732 685 26031999 1031360 1003610 036 6775 1021100 209 013 436 075 02041999 1034930 1003461 035 7124 1051513 502 012 2523 174 09041999 1024940 0990347 -097 7022 0985682 -144 094 208 140 16041999 1026450 1001473 015 6905 0983338 -168 002 282 -025 23041999 1038240 1011486 114 7024 1017234 171 130 292 195 30041999 1014430 0977067 -232 6869 0977933 -223 538 498 518 07051999 1027240 1012628 125 6601 0960984 -398 157 1584 -499 14051999 1015400 0988474 -116 6800 1030147 297 134 882 -344 21051999 1012050 0996701 -033 6846 1006765 067 011 045 -022 28051999 986598 0974851 -255 6700 0978674 -216 649 465 549 04061999 977053 0990325 -097 6655 0993284 -067 095 045 066 11061999 1007370 1031029 306 6719 1009617 096 934 092 292 18061999 989166 0981929 -182 6501 0967555 -330 333 1088 601 25061999 1026150 1037389 367 6122 0941701 -601 1347 3608 -2205 02071999 995282 0969919 -305 6043 0987096 -130 933 169 397 09071999 995600 1000320 003 6193 1024822 245 000 601 008 16071999 1012170 1016643 165 6396 1032779 323 272 1040 532 23071999 981962 0970155 -303 6000 0938086 -639 918 4085 1937 30071999 971997 0989852 -102 5756 0959333 -415 104 1724 423 06081999 953229 0980691 -195 5655 0982453 -177 380 313 345 13081999 935049 0980928 -193 5907 1044562 436 371 1901 -840 20081999 944102 1009682 096 5900 0998815 -012 093 001 -011 27081999 935339 0990718 -093 5947 1007966 079 087 063 -074 03091999 928650 0992849 -072 5787 0973096 -273 052 744 196 10091999 923843 0994824 -052 6140 1060999 592 027 3506 -307 17091999 936583 1013790 137 5901 0961075 -397 188 1576 -544 24091999 963355 1028585 282 6103 1034231 337 794 1133 949 01101999 964466 1001153 012 6460 1058496 568 001 3232 066 08101999 1008430 1045584 446 6783 1050000 488 1987 2380 2175 15101999 1067340 1058418 568 7012 1033761 332 3223 1102 1885

Page 119

22101999 1019230 0954925 -461 6597 0940816 -610 2127 3722 2814 29101999 1038280 1018691 185 6777 1027285 269 343 725 498 05111999 1047550 1008928 089 6745 0995278 -047 079 022 -042 12111999 1071510 1022872 226 6076 0900815 -1045 511 10911 -2362 19111999 1077140 1005254 052 6329 1041639 408 027 1664 214 26111999 1104220 1025141 248 6453 1019592 194 617 376 482 03121999 1152250 1043497 426 6847 1061057 593 1813 3512 2523 10121999 1338690 1161805 1500 7898 1153498 1428 22492 20392 21416 17121999 1235780 0923126 -800 6702 0848569 -1642 6398 26963 13135 24121999 1215240 0983379 -168 7092 1058192 566 281 3199 -948 Sum -206 -850 80467 235301 86067 Beta 107 Alpha -006 Std Dev Of Rndm Error Term 377 Std Error of Beta 0068 Std Error of Alpha 0191 Correlation Coefficient 063 Coefficient of Determination 039 Coefficient of Nondetermination 061

Page 120

Upper Egypt Flour Mills

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5639 09011998 1222730 0985643 -145 5422 0961518 -392 209 1540 567 16011998 1206630 0986833 -133 4928 0908890 -955 176 9126 1266 23011998 1187560 0984196 -159 5053 1025365 250 254 627 -399 30011998 1161970 0978452 -218 5003 0990105 -099 475 099 217 06021998 1152100 0991506 -085 5096 1018589 184 073 339 -157 13021998 1148570 0996936 -031 5381 1055926 544 009 2961 -167 20021998 1154110 1004823 048 5859 1088831 851 023 7243 410 27021998 1152270 0998406 -016 5911 1008875 088 003 078 -014 06031998 1171950 1017079 169 6392 1081374 782 287 6120 1325 13031998 1177260 1004531 045 5999 0938517 -635 020 4026 -287 20031998 1188570 1009607 096 6168 1028171 278 091 772 266 27031998 1200260 1009835 098 6226 1009403 094 096 088 092 03041998 1197600 0997784 -022 6071 0975104 -252 005 636 056 10041998 1198900 1001086 011 6025 0992423 -076 001 058 -008 17041998 1195490 0997156 -028 6051 1004315 043 008 019 -012 24041998 1182420 0989067 -110 5819 0961659 -391 121 1528 430 01051998 1176960 0995382 -046 6052 1040041 393 021 1541 -182 08051998 1159590 0985242 -149 5933 0980337 -199 221 394 295 15051998 1129560 0974103 -262 5637 0950110 -512 688 2619 1343 22051998 1112340 0984755 -154 5238 0929218 -734 236 5389 1128 29051998 1073430 0965020 -356 4877 0931081 -714 1268 5099 2543 05061998 1045480 0973962 -264 4595 0942178 -596 696 3548 1571 12061998 1066480 1020086 199 4822 1049402 482 396 2325 959 19061998 1032170 0967829 -327 4818 0999170 -008 1069 001 027 26061998 1030030 0997927 -021 4795 0995226 -048 004 023 010 03071998 1002040 0972826 -276 4704 0981022 -192 759 367 528 10071998 982199 0980199 -200 4538 0964711 -359 400 1291 719 17071998 970995 0988593 -115 4544 1001322 013 132 002 -015 24071998 995234 1024963 247 4802 1056778 552 608 3050 1362 31071998 1010220 1015058 149 4983 1037693 370 223 1369 553 07081998 986274 0976296 -240 4698 0942806 -589 575 3469 1413 14081998 966470 0979920 -203 4825 1027033 267 411 711 -541 21081998 934316 0966730 -338 4695 0973057 -273 1145 746 924 28081998 901108 0964457 -362 4556 0970394 -301 1310 903 1088 04091998 949019 1053169 518 4795 1052458 511 2684 2614 2649 11091998 950397 1001452 015 4758 0992284 -077 002 060 -011 18091998 953342 1003099 031 4654 0978142 -221 010 488 -068 25091998 956663 1003484 035 4554 0978513 -217 012 472 -076 02101998 958912 1002351 023 4558 1000878 009 006 001 002 09101998 943251 0983668 -165 4223 0926503 -763 271 5828 1257 16101998 943963 1000755 008 4294 1016813 167 001 278 013 23101998 934640 0990124 -099 3931 0915463 -883 099 7801 877

Page 121

30101998 918468 0982697 -175 3658 0930552 -720 305 5181 1256 06111998 913223 0994289 -057 3086 0843630 -1700 033 28914 974 13111998 917822 1005036 050 3419 1107907 1025 025 10501 515 20111998 917160 0999279 -007 3452 1009652 096 001 092 -007 27111998 906802 0988706 -114 3318 0961182 -396 129 1567 450 04121998 902621 0995389 -046 3434 1034961 344 021 1181 -159 11121998 889094 0985014 -151 3437 1000874 009 228 001 -013 18121998 902575 1015163 150 3427 0997090 -029 226 008 -044 25121998 906891 1004782 048 36 1050481 492 023 2425 235 01011999 914183 1008041 080 3632 1008889 088 064 078 071 08011999 983873 1076232 735 4372 1203744 1854 5397 34387 13623 15011999 989959 1006186 062 4225 0966377 -342 038 1170 -211 22011999 1016140 1026447 261 4397 1040710 399 681 1592 1042 29011999 1105790 1088226 845 4738 1077553 747 7149 5579 6315 05021999 1094590 0989871 -102 4727 0997678 -023 104 005 024 12021999 1053620 0962570 -381 4519 0955997 -450 1455 2025 1717 19021999 1071770 1017226 171 4765 1054437 530 292 2810 905 26021999 1055100 0984446 -157 4714 0989297 -108 246 116 169 05031999 1039860 0985556 -145 4612 0978362 -219 212 479 318 12031999 1041200 1001289 013 4423 0959020 -418 002 1751 -054 19031999 1027650 0986986 -131 4462 1008818 088 172 077 -115 26031999 1031360 1003610 036 4586 1027790 274 013 751 099 02041999 1034930 1003461 035 4396 0958570 -423 012 1790 -146 09041999 1024940 0990347 -097 4152 0944495 -571 094 3261 554 16041999 1026450 1001473 015 3972 0956647 -443 002 1964 -065 23041999 1038240 1011486 114 3902 0982377 -178 130 316 -203 30041999 1014430 0977067 -232 3653 0936187 -659 538 4348 1530 07051999 1027240 1012628 125 3754 1027649 273 157 744 342 14051999 1015400 0988474 -116 3486 0928609 -741 134 5486 859 21051999 1012050 0996701 -033 3339 0957831 -431 011 1856 142 28051999 986598 0974851 -255 3213 0962264 -385 649 1480 980 04061999 977053 0990325 -097 3207 0998133 -019 095 003 018 11061999 1007370 1031029 306 3423 1067353 652 934 4249 1992 18061999 989166 0981929 -182 3325 0971370 -290 333 844 530 25061999 1026150 1037389 367 2992 0899850 -1055 1347 11136 -3874 02071999 995282 0969919 -305 3089 1032420 319 933 1018 -974 09071999 995600 1000320 003 2968 0960829 -400 000 1597 -013 16071999 1012170 1016643 165 3195 1076482 737 272 5432 1216 23071999 981962 0970155 -303 315 0985915 -142 918 201 430 30071999 971997 0989852 -102 3035 0963492 -372 104 1383 379 06081999 953229 0980691 -195 2889 0951895 -493 380 2431 961 13081999 935049 0980928 -193 2757 0954309 -468 371 2187 901 20081999 944102 1009682 096 2792 1012695 126 093 159 122 27081999 935339 0990718 -093 2859 1023997 237 087 562 -221 03091999 928650 0992849 -072 282 0986359 -137 052 189 099 10091999 923843 0994824 -052 3108 1102128 972 027 9456 -505 17091999 936583 1013790 137 3008 0967825 -327 188 1070 -448 24091999 963355 1028585 282 3016 1002660 027 794 007 075 01101999 964466 1001153 012 3017 1000332 003 001 000 000 08101999 1008430 1045584 446 3245 1075572 729 1987 5307 3247 15101999 1067340 1058418 568 3413 1051772 505 3223 2548 2866

Page 122

22101999 1019230 0954925 -461 3195 0936127 -660 2127 4357 3044 29101999 1038280 1018691 185 3256 1019092 189 343 358 350 05111999 1047550 1008928 089 2663 0817875 -2010 079 40420 -1787 12111999 1071510 1022872 226 2813 1056327 548 511 3003 1239 19111999 1077140 1005254 052 2776 0986847 -132 027 175 -069 26111999 1104220 1025141 248 2755 0992435 -076 617 058 -189 03121999 1152250 1043497 426 273 0990926 -091 1813 083 -388 10121999 1338690 1161805 1500 2777 1017216 171 22492 291 2560 17121999 1235780 0923126 -800 2606 0938423 -636 6398 4039 5084 24121999 1215240 0983379 -168 2553 0979662 -205 281 422 344 Sum -206 -7924 80467 310570 70040 Beta 087 Alpha -075 Std Dev Of Rndm Error Term 491 Std Error of Beta 0078 Std Error of Alpha 0218 Correlation Coefficient 045 Coefficient of Determination 020 Coefficient of Nondetermination 080

Page 123

Nasr City for Housing and Development

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 10973 09011998 1222730 0985643 -145 10724 0977262 -230 209 529 333 16011998 1206630 0986833 -133 10722 0999860 -001 176 000 002 23011998 1187560 0984196 -159 10612 0989741 -103 254 106 164 30011998 1161970 0978452 -218 10569 0995901 -041 475 017 089 06021998 1152100 0991506 -085 10372 0981360 -188 073 354 161 13021998 1148570 0996936 -031 10075 0971412 -290 009 841 089 20021998 1154110 1004823 048 9827 0975385 -249 023 621 -120 27021998 1152270 0998406 -016 10000 1017605 175 003 305 -028 06031998 1171950 1017079 169 10182 1018200 180 287 325 305 13031998 1177260 1004531 045 10080 0989933 -101 020 102 -046 20031998 1188570 1009607 096 10299 1021777 215 091 464 206 27031998 1200260 1009835 098 10688 1037722 370 096 1371 362 03041998 1197600 0997784 -022 10585 0990409 -096 005 093 021 10041998 1198900 1001086 011 10642 1005385 054 001 029 006 17041998 1195490 0997156 -028 10648 1000564 006 008 000 -002 24041998 1182420 0989067 -110 10613 0996713 -033 121 011 036 01051998 1176960 0995382 -046 10470 0986479 -136 021 185 063 08051998 1159590 0985242 -149 10393 0992645 -074 221 054 110 15051998 1129560 0974103 -262 10092 0971037 -294 688 864 771 22051998 1112340 0984755 -154 9631 0954368 -467 236 2181 718 29051998 1073430 0965020 -356 9625 0999377 -006 1268 000 022 05061998 1045480 0973962 -264 9140 0949558 -518 696 2679 1366 12061998 1066480 1020086 199 9153 1001422 014 396 002 028 19061998 1032170 0967829 -327 8790 0960393 -404 1069 1633 1321 26061998 1030030 0997927 -021 8353 0950284 -510 004 2600 106 03071998 1002040 0972826 -276 8133 0973662 -267 759 712 735 10071998 982199 0980199 -200 7391 0908705 -957 400 9165 1915 17071998 970995 0988593 -115 6762 0914958 -889 132 7899 1020 24071998 995234 1024963 247 7760 1147516 1376 608 18934 3393 31071998 1010220 1015058 149 8084 1041820 410 223 1678 612 07081998 986274 0976296 -240 7844 0970250 -302 575 912 725 14081998 966470 0979920 -203 7377 0940524 -613 411 3760 1244 21081998 934316 0966730 -338 7071 0958520 -424 1145 1795 1433 28081998 901108 0964457 -362 6804 0962169 -386 1310 1487 1396 04091998 949019 1053169 518 7267 1068127 659 2684 4344 3414 11091998 950397 1001452 015 7367 1013761 137 002 187 020 18091998 953342 1003099 031 7295 0990227 -098 010 096 -030 25091998 956663 1003484 035 7445 1020493 203 012 412 071 02101998 958912 1002351 023 7439 0999261 -007 006 001 -002 09101998 943251 0983668 -165 7179 0964982 -356 271 1271 587 16101998 943963 1000755 008 6238 0868914 -1405 001 19743 -106 23101998 934640 0990124 -099 6142 0984689 -154 099 238 153

Page 124

30101998 918468 0982697 -175 5338 0869098 -1403 305 19684 2449 06111998 913223 0994289 -057 5694 1066692 646 033 4168 -370 13111998 917822 1005036 050 5300 0930717 -718 025 5155 -361 20111998 917160 0999279 -007 5102 0962732 -380 001 1442 027 27111998 906802 0988706 -114 5148 1009016 090 129 081 -102 04121998 902621 0995389 -046 5135 0997378 -026 021 007 012 11121998 889094 0985014 -151 5151 1003214 032 228 010 -048 18121998 902575 1015163 150 5143 0998350 -017 226 003 -025 25121998 906891 1004782 048 5115 0994555 -055 023 030 -026 01011999 914183 1008041 080 5153 1007430 074 064 055 059 08011999 983873 1076232 735 5576 1082193 790 5397 6239 5803 15011999 989959 1006186 062 5613 1006546 065 038 043 040 22011999 1016140 1026447 261 5728 1020579 204 681 415 532 29011999 1105790 1088226 845 6809 1188722 1729 7149 29887 14617 05021999 1094590 0989871 -102 6457 0948304 -531 104 2818 540 12021999 1053620 0962570 -381 5937 0919390 -840 1455 7064 3206 19021999 1071770 1017226 171 6268 1055757 543 292 2944 927 26021999 1055100 0984446 -157 6139 0979418 -208 246 433 326 05031999 1039860 0985556 -145 5772 0940295 -616 212 3790 896 12031999 1041200 1001289 013 5590 0968468 -320 002 1027 -041 19031999 1027650 0986986 -131 5457 0976208 -241 172 580 315 26031999 1031360 1003610 036 5352 0980667 -195 013 381 -070 02041999 1034930 1003461 035 5509 1029431 290 012 841 100 09041999 1024940 0990347 -097 5325 0966509 -341 094 1160 330 16041999 1026450 1001473 015 5518 1036248 356 002 1268 052 23041999 1038240 1011486 114 5388 0976439 -238 130 569 -272 30041999 1014430 0977067 -232 5212 0967332 -332 538 1103 771 07051999 1027240 1012628 125 4940 0947904 -535 157 2863 -671 14051999 1015400 0988474 -116 4499 0910628 -936 134 8765 1085 21051999 1012050 0996701 -033 4500 1000333 003 011 000 -001 28051999 986598 0974851 -255 4500 1000000 000 649 000 000 04061999 977053 0990325 -097 4333 0962889 -378 095 1430 368 11061999 1007370 1031029 306 4221 0974152 -262 934 686 -800 18061999 989166 0981929 -182 4025 0953566 -475 333 2261 867 25061999 1026150 1037389 367 3968 0985839 -143 1347 203 -524 02071999 995282 0969919 -305 3726 0939012 -629 933 3960 1922 09071999 995600 1000320 003 3789 1016908 168 000 281 005 16071999 1012170 1016643 165 3853 1016891 167 272 281 276 23071999 981962 0970155 -303 3912 1015313 152 918 231 -460 30071999 971997 0989852 -102 3837 0980828 -194 104 375 197 06081999 953229 0980691 -195 3903 1017201 171 380 291 -333 13081999 935049 0980928 -193 3854 0987446 -126 371 160 243 20081999 944102 1009682 096 3753 0973793 -266 093 705 -256 27081999 935339 0990718 -093 3598 0958700 -422 087 1779 393 03091999 928650 0992849 -072 3562 0989994 -101 052 101 072 10091999 923843 0994824 -052 3546 0995508 -045 027 020 023 17091999 936583 1013790 137 3765 1061760 599 188 3591 821 24091999 963355 1028585 282 3903 1036653 360 794 1296 1015 01101999 964466 1001153 012 3791 0971304 -291 001 848 -034 08101999 1008430 1045584 446 4114 1085202 818 1987 6686 3645 15101999 1067340 1058418 568 4367 1061497 597 3223 3562 3388

Page 125

22101999 1019230 0954925 -461 4218 0965880 -347 2127 1205 1601 29101999 1038280 1018691 185 3687 0874111 -1345 343 18103 -2492 05111999 1047550 1008928 089 3487 0945755 -558 079 3110 -496 12111999 1071510 1022872 226 3549 1017780 176 511 311 399 19111999 1077140 1005254 052 3567 1005072 051 027 026 027 26111999 1104220 1025141 248 3356 0940847 -610 617 3718 -1514 03121999 1152250 1043497 426 3546 1056615 551 1813 3033 2345 10121999 1338690 1161805 1500 3498 0986464 -136 22492 186 -2044 17121999 1235780 0923126 -800 3611 1032304 318 6398 1011 -2543 24121999 1215240 0983379 -168 3308 0916090 -876 281 7681 1469 Sum -206 -11991 80467 257954 60346 Beta 075 Alpha -115 Std Dev Of Rndm Error Term 444 Std Error of Beta 0074 Std Error of Alpha 0208 Correlation Coefficient 043 Coefficient of Determination 018 Coefficient of Nondetermination 082

Page 126

Abu Keir for Fertilisers

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8459 09011998 1222730 0985643 -145 8438 0997517 -025 209 006 036 16011998 1206630 0986833 -133 8022 0950699 -506 176 2556 670 23011998 1187560 0984196 -159 7874 0981551 -186 254 347 297 30011998 1161970 0978452 -218 783 0994412 -056 475 031 122 06021998 1152100 0991506 -085 774 0988506 -116 073 134 099 13021998 1148570 0996936 -031 7632 0986047 -141 009 197 043 20021998 1154110 1004823 048 7711 1010351 103 023 106 050 27021998 1152270 0998406 -016 7744 1004280 043 003 018 -007 06031998 1171950 1017079 169 7716 0996384 -036 287 013 -061 13031998 1177260 1004531 045 7685 0995982 -040 020 016 -018 20031998 1188570 1009607 096 7453 0969811 -307 091 940 -293 27031998 1200260 1009835 098 7287 0977727 -225 096 507 -220 03041998 1197600 0997784 -022 7419 1018114 180 005 322 -040 10041998 1198900 1001086 011 7419 1000000 000 001 000 000 17041998 1195490 0997156 -028 7402 0997709 -023 008 005 007 24041998 1182420 0989067 -110 7369 0995542 -045 121 020 049 01051998 1176960 0995382 -046 7358 0998507 -015 021 002 007 08051998 1159590 0985242 -149 733 0996195 -038 221 015 057 15051998 1129560 0974103 -262 7246 0988540 -115 688 133 302 22051998 1112340 0984755 -154 7037 0971157 -293 236 857 450 29051998 1073430 0965020 -356 6648 0944721 -569 1268 3234 2025 05061998 1045480 0973962 -264 6775 1019103 189 696 358 -499 12061998 1066480 1020086 199 7001 1033358 328 396 1077 653 19061998 1032170 0967829 -327 6614 0944722 -569 1069 3234 1859 26061998 1030030 0997927 -021 6678 1009676 096 004 093 -020 03071998 1002040 0972826 -276 6351 0951033 -502 759 2521 1383 10071998 982199 0980199 -200 6234 0981578 -186 400 346 372 17071998 970995 0988593 -115 6126 0982676 -175 132 305 200 24071998 995234 1024963 247 6178 1008488 085 608 071 208 31071998 1010220 1015058 149 6189 1001781 018 223 003 027 07081998 986274 0976296 -240 6026 0973663 -267 575 712 640 14081998 966470 0979920 -203 5796 0961832 -389 411 1514 789 21081998 934316 0966730 -338 5415 0934265 -680 1145 4623 2301 28081998 901108 0964457 -362 5395 0996307 -037 1310 014 134 04091998 949019 1053169 518 5648 1046895 458 2684 2100 2374 11091998 950397 1001452 015 5801 1027089 267 002 714 039 18091998 953342 1003099 031 5755 0992070 -080 010 063 -025 25091998 956663 1003484 035 5834 1013727 136 012 186 047 02101998 958912 1002351 023 598 1025026 247 006 611 058 09101998 943251 0983668 -165 6272 1048829 477 271 2273 -785 16101998 943963 1000755 008 6497 1035874 352 001 1242 027 23101998 934640 0990124 -099 5815 0895028 -1109 099 12299 1101

Page 127

30101998 918468 0982697 -175 6326 1087876 842 305 7094 -1470 06111998 913223 0994289 -057 6336 1001581 016 033 002 -009 13111998 917822 1005036 050 6338 1000316 003 025 000 002 20111998 917160 0999279 -007 6471 1020985 208 001 431 -015 27111998 906802 0988706 -114 6366 0983774 -164 129 268 186 04121998 902621 0995389 -046 6304 0990261 -098 021 096 045 11121998 889094 0985014 -151 6247 0990958 -091 228 083 137 18121998 902575 1015163 150 6103 0976949 -233 226 544 -351 25121998 906891 1004782 048 6092 0998198 -018 023 003 -009 01011999 914183 1008041 080 6117 1004104 041 064 017 033 08011999 983873 1076232 735 6219 1016675 165 5397 273 1215 15011999 989959 1006186 062 6122 0984403 -157 038 247 -097 22011999 1016140 1026447 261 606 0989873 -102 681 104 -266 29011999 1105790 1088226 845 6213 1025248 249 7149 622 2108 05021999 1094590 0989871 -102 6163 0991952 -081 104 065 082 12021999 1053620 0962570 -381 5805 0941911 -598 1455 3581 2283 19021999 1071770 1017226 171 5799 0998966 -010 292 001 -018 26021999 1055100 0984446 -157 5871 1012416 123 246 152 -193 05031999 1039860 0985556 -145 5798 0987566 -125 212 157 182 12031999 1041200 1001289 013 5796 0999655 -003 002 000 -000 19031999 1027650 0986986 -131 5793 0999482 -005 172 000 007 26031999 1031360 1003610 036 5818 1004316 043 013 019 016 02041999 1034930 1003461 035 575 0988312 -118 012 138 -041 09041999 1024940 0990347 -097 5542 0963826 -368 094 1358 357 16041999 1026450 1001473 015 5438 0981234 -189 002 359 -028 23041999 1038240 1011486 114 5387 0990622 -094 130 089 -108 30041999 1014430 0977067 -232 5017 0931316 -712 538 5063 1651 07051999 1027240 1012628 125 4687 0934224 -680 157 4629 -854 14051999 1015400 0988474 -116 4446 0948581 -528 134 2787 612 21051999 1012050 0996701 -033 4741 1066352 642 011 4127 -212 28051999 986598 0974851 -255 4599 0970049 -304 649 925 775 04061999 977053 0990325 -097 4223 0918243 -853 095 7275 829 11061999 1007370 1031029 306 4203 0995264 -047 934 023 -145 18061999 989166 0981929 -182 3721 0885320 -1218 333 14837 2221 25061999 1026150 1037389 367 4174 1121741 1149 1347 13198 4217 02071999 995282 0969919 -305 4198 1005750 057 933 033 -175 09071999 995600 1000320 003 4374 1041925 411 000 1687 013 16071999 1012170 1016643 165 4243 0970050 -304 272 925 -502 23071999 981962 0970155 -303 4127 0972661 -277 918 768 840 30071999 971997 0989852 -102 40 0969227 -313 104 977 319 06081999 953229 0980691 -195 3788 0947000 -545 380 2965 1062 13081999 935049 0980928 -193 3854 1017423 173 371 298 -333 20081999 944102 1009682 096 3981 1032953 324 093 1051 312 27081999 935339 0990718 -093 4149 1042200 413 087 1709 -385 03091999 928650 0992849 -072 415 1000241 002 052 000 -002 10091999 923843 0994824 -052 4138 0997108 -029 027 008 015 17091999 936583 1013790 137 3927 0949009 -523 188 2739 -717 24091999 963355 1028585 282 4096 1043035 421 794 1775 1188 01101999 964466 1001153 012 4043 0987061 -130 001 170 -015 08101999 1008430 1045584 446 4059 1003957 039 1987 016 176 15101999 1067340 1058418 568 4054 0998768 -012 3223 002 -070

Page 128

22101999 1019230 0954925 -461 3984 0982733 -174 2127 303 803 29101999 1038280 1018691 185 3268 0820281 -1981 343 39247 -3669 05111999 1047550 1008928 089 3201 0979498 -207 079 429 -184 12111999 1071510 1022872 226 3164 0988441 -116 511 135 -263 19111999 1077140 1005254 052 298 0941846 -599 027 3590 -314 26111999 1104220 1025141 248 2952 0990604 -094 617 089 -234 03121999 1152250 1043497 426 2998 1015583 155 1813 239 658 10121999 1338690 1161805 1500 326 1087392 838 22492 7019 12565 17121999 1235780 0923126 -800 3303 1013190 131 6398 172 -1048 24121999 1215240 0983379 -168 3165 0958220 -427 281 1821 715 Sum -206 -9831 80467 180553 38354 Beta 047 Alpha -094 Std Dev Of Rndm Error Term 389 Std Error of Beta 0070 Std Error of Alpha 0194 Correlation Coefficient 033 Coefficient of Determination 011 Coefficient of Nondetermination 089

Page 129

Egyptian Financial and Industrial

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 10251 09011998 1222730 0985643 -145 10199 0994879 -051 209 026 074 16011998 1206630 0986833 -133 10039 0984311 -158 176 250 210 23011998 1187560 0984196 -159 10021 0998257 -017 254 003 028 30011998 1161970 0978452 -218 9630 0960982 -398 475 1584 867 06021998 1152100 0991506 -085 9051 0939875 -620 073 3845 529 13021998 1148570 0996936 -031 8848 0977572 -227 009 515 070 20021998 1154110 1004823 048 8823 0997175 -028 023 008 -014 27021998 1152270 0998406 -016 8847 1002720 027 003 007 -004 06031998 1171950 1017079 169 8405 0950040 -513 287 2627 -868 13031998 1177260 1004531 045 8903 1059191 575 020 3307 260 20031998 1188570 1009607 096 9174 1030497 300 091 902 287 27031998 1200260 1009835 098 9387 1023218 230 096 527 225 03041998 1197600 0997784 -022 9448 1006498 065 005 042 -014 10041998 1198900 1001086 011 9569 1012754 127 001 161 014 17041998 1195490 0997156 -028 9600 1003292 033 008 011 -009 24041998 1182420 0989067 -110 9581 0998021 -020 121 004 022 01051998 1176960 0995382 -046 9600 1001983 020 021 004 -009 08051998 1159590 0985242 -149 9449 0984271 -159 221 251 236 15051998 1129560 0974103 -262 9370 0991639 -084 688 070 220 22051998 1112340 0984755 -154 8661 0924333 -787 236 6191 1209 29051998 1073430 0965020 -356 8478 0978871 -214 1268 456 760 05061998 1045480 0973962 -264 8321 0981481 -187 696 349 493 12061998 1066480 1020086 199 8270 0993871 -061 396 038 -122 19061998 1032170 0967829 -327 7944 0960580 -402 1069 1617 1315 26061998 1030030 0997927 -021 7651 0963117 -376 004 1412 078 03071998 1002040 0972826 -276 7211 0942491 -592 759 3508 1632 10071998 982199 0980199 -200 6744 0935238 -670 400 4483 1339 17071998 970995 0988593 -115 6608 0979834 -204 132 415 234 24071998 995234 1024963 247 6082 0920400 -829 608 6880 -2045 31071998 1010220 1015058 149 6169 1014305 142 223 202 212 07081998 986274 0976296 -240 5979 0969201 -313 575 979 750 14081998 966470 0979920 -203 6034 1009199 092 411 084 -186 21081998 934316 0966730 -338 5803 0961717 -390 1145 1524 1321 28081998 901108 0964457 -362 5608 0966397 -342 1310 1168 1237 04091998 949019 1053169 518 5944 1059914 582 2684 3386 3014 11091998 950397 1001452 015 5724 0962988 -377 002 1422 -055 18091998 953342 1003099 031 5754 1005241 052 010 027 016 25091998 956663 1003484 035 5906 1026416 261 012 680 091 02101998 958912 1002351 023 6025 1020149 199 006 398 047 09101998 943251 0983668 -165 5959 0989046 -110 271 121 181 16101998 943963 1000755 008 5913 0992281 -077 001 060 -006 23101998 934640 0990124 -099 5860 0991037 -090 099 081 089

Page 130

30101998 918468 0982697 -175 5867 1001195 012 305 001 -021 06111998 913223 0994289 -057 5824 0992671 -074 033 054 042 13111998 917822 1005036 050 5777 0991930 -081 025 066 -041 20111998 917160 0999279 -007 5775 0999654 -003 001 000 000 27111998 906802 0988706 -114 5766 0998442 -016 129 002 018 04121998 902621 0995389 -046 5767 1000173 002 021 000 -001 11121998 889094 0985014 -151 5724 0992544 -075 228 056 113 18121998 902575 1015163 150 5676 0991614 -084 226 071 -127 25121998 906891 1004782 048 5625 0991015 -090 023 081 -043 01011999 914183 1008041 080 5627 1000356 004 064 000 003 08011999 983873 1076232 735 5876 1044251 433 5397 1875 3181 15011999 989959 1006186 062 5944 1011572 115 038 132 071 22011999 1016140 1026447 261 6172 1038358 376 681 1417 983 29011999 1105790 1088226 845 6828 1106286 1010 7149 10203 8540 05021999 1094590 0989871 -102 6460 0946104 -554 104 3069 564 12021999 1053620 0962570 -381 6061 0938235 -638 1455 4065 2432 19021999 1071770 1017226 171 6023 0993730 -063 292 040 -107 26021999 1055100 0984446 -157 5949 0987714 -124 246 153 194 05031999 1039860 0985556 -145 5656 0950748 -505 212 2551 735 12031999 1041200 1001289 013 5642 0997525 -025 002 006 -003 19031999 1027650 0986986 -131 5620 0996101 -039 172 015 051 26031999 1031360 1003610 036 5488 0976512 -238 013 565 -086 02041999 1034930 1003461 035 5568 1014577 145 012 209 050 09041999 1024940 0990347 -097 5498 0987428 -127 094 160 123 16041999 1026450 1001473 015 5354 0973809 -265 002 704 -039 23041999 1038240 1011486 114 5442 1016436 163 130 266 186 30041999 1014430 0977067 -232 5266 0967659 -329 538 1081 763 07051999 1027240 1012628 125 5229 0992974 -071 157 050 -088 14051999 1015400 0988474 -116 5022 0960413 -404 134 1631 468 21051999 1012050 0996701 -033 5134 1022302 221 011 487 -073 28051999 986598 0974851 -255 4781 0931243 -712 649 5074 1814 04061999 977053 0990325 -097 4664 0975528 -248 095 614 241 11061999 1007370 1031029 306 4637 0994211 -058 934 034 -177 18061999 989166 0981929 -182 4442 0957947 -430 333 1846 783 25061999 1026150 1037389 367 4289 0965556 -351 1347 1229 -1287 02071999 995282 0969919 -305 4239 0988342 -117 933 138 358 09071999 995600 1000320 003 4152 0979476 -207 000 430 -007 16071999 1012170 1016643 165 3782 0910886 -933 272 8712 -1541 23071999 981962 0970155 -303 3657 0966949 -336 918 1130 1018 30071999 971997 0989852 -102 3748 1024884 246 104 604 -251 06081999 953229 0980691 -195 3672 0979723 -205 380 420 399 13081999 935049 0980928 -193 3575 0973584 -268 371 717 516 20081999 944102 1009682 096 3472 0971189 -292 093 855 -282 27081999 935339 0990718 -093 3472 1000000 000 087 000 000 03091999 928650 0992849 -072 3320 0956221 -448 052 2004 321 10091999 923843 0994824 -052 3207 0965964 -346 027 1199 180 17091999 936583 1013790 137 3166 0987215 -129 188 166 -176 24091999 963355 1028585 282 3189 1007265 072 794 052 204 01101999 964466 1001153 012 3150 0987770 -123 001 151 -014 08101999 1008430 1045584 446 3336 1059048 574 1987 3291 2557 15101999 1067340 1058418 568 3445 1032674 322 3223 1034 1825

Page 131

22101999 1019230 0954925 -461 3200 0928882 -738 2127 5442 3403 29101999 1038280 1018691 185 3210 1003125 031 343 010 058 05111999 1047550 1008928 089 2864 0892212 -1141 079 13008 -1014 12111999 1071510 1022872 226 2820 0984637 -155 511 240 -350 19111999 1077140 1005254 052 2828 1002837 028 027 008 015 26111999 1104220 1025141 248 2758 0975248 -251 617 628 -622 03121999 1152250 1043497 426 2796 1013778 137 1813 187 583 10121999 1338690 1161805 1500 3185 1139127 1303 22492 16968 19536 17121999 1235780 0923126 -800 2840 0891680 -1146 6398 13144 9171 24121999 1215240 0983379 -168 2754 0969718 -307 281 946 515 Sum -206 -13143 80467 158917 69392 Beta 086 Alpha -126 Std Dev Of Rndm Error Term 286 Std Error of Beta 0060 Std Error of Alpha 0167 Correlation Coefficient 065 Coefficient of Determination 042 Coefficient of Nondetermination 058

Page 132

Paints and Chemical Industries (PACHIN)

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5386 09011998 1222730 0985643 -145 5201 0965649 -350 209 1222 505 16011998 1206630 0986833 -133 5121 0984617 -155 176 240 205 23011998 1187560 0984196 -159 4640 0906162 -985 254 9710 1570 30011998 1161970 0978452 -218 4846 1044289 433 475 1878 -944 06021998 1152100 0991506 -085 4850 1000929 009 073 001 -008 13021998 1148570 0996936 -031 5240 1080412 773 009 5982 -237 20021998 1154110 1004823 048 5664 1080821 777 023 6040 374 27021998 1152270 0998406 -016 5648 0997263 -027 003 008 004 06031998 1171950 1017079 169 5709 1010800 107 287 115 182 13031998 1177260 1004531 045 5779 1012261 122 020 149 055 20031998 1188570 1009607 096 5835 1009690 096 091 093 092 27031998 1200260 1009835 098 5800 0994002 -060 096 036 -059 03041998 1197600 0997784 -022 5792 0998621 -014 005 002 003 10041998 1198900 1001086 011 5752 0993094 -069 001 048 -008 17041998 1195490 0997156 -028 5745 0998696 -013 008 002 004 24041998 1182420 0989067 -110 5743 0999652 -003 121 000 004 01051998 1176960 0995382 -046 5613 0977362 -229 021 524 106 08051998 1159590 0985242 -149 5750 1024410 241 221 582 -359 15051998 1129560 0974103 -262 5637 0980433 -198 688 390 518 22051998 1112340 0984755 -154 5338 0946869 -546 236 2981 839 29051998 1073430 0965020 -356 4772 0893958 -1121 1268 12566 3991 05061998 1045480 0973962 -264 4966 1040763 400 696 1596 -1054 12061998 1066480 1020086 199 5150 1037052 364 396 1324 724 19061998 1032170 0967829 -327 5184 1006602 066 1069 043 -215 26061998 1030030 0997927 -021 5013 0966917 -336 004 1132 070 03071998 1002040 0972826 -276 4836 0964688 -360 759 1292 990 10071998 982199 0980199 -200 4713 0974563 -258 400 664 515 17071998 970995 0988593 -115 4750 1007851 078 132 061 -090 24071998 995234 1024963 247 4797 1009896 098 608 097 243 31071998 1010220 1015058 149 4789 0998332 -017 223 003 -025 07081998 986274 0976296 -240 4700 0981414 -188 575 352 450 14081998 966470 0979920 -203 4355 0926588 -762 411 5814 1547 21081998 934316 0966730 -338 4041 0927891 -748 1145 5601 2532 28081998 901108 0964457 -362 3685 0912016 -921 1310 8482 3333 04091998 949019 1053169 518 3935 1067843 656 2684 4309 3400 11091998 950397 1001452 015 4291 1090343 865 002 7481 125 18091998 953342 1003099 031 4428 1031931 314 010 988 097 25091998 956663 1003484 035 4673 1055449 540 012 2912 188 02101998 958912 1002351 023 4670 0999251 -007 006 001 -002 09101998 943251 0983668 -165 4599 0984902 -152 271 231 251 16101998 943963 1000755 008 4513 0981300 -189 001 356 -014 23101998 934640 0990124 -099 4718 1045314 443 099 1964 -440

Page 133

30101998 918468 0982697 -175 4937 1046423 454 305 2059 -792 06111998 913223 0994289 -057 4450 0901448 -1038 033 10765 594 13111998 917822 1005036 050 4574 1027865 275 025 755 138 20111998 917160 0999279 -007 4286 0937035 -650 001 4229 047 27111998 906802 0988706 -114 4153 0968969 -315 129 994 358 04121998 902621 0995389 -046 3887 0935950 -662 021 4382 306 11121998 889094 0985014 -151 3465 0891433 -1149 228 13208 1735 18121998 902575 1015163 150 3490 1007215 072 226 052 108 25121998 906891 1004782 048 3468 0993696 -063 023 040 -030 01011999 914183 1008041 080 3500 1009227 092 064 084 074 08011999 983873 1076232 735 3962 1131857 1239 5397 15341 9099 15011999 989959 1006186 062 4063 1025495 252 038 634 155 22011999 1016140 1026447 261 4358 1072615 701 681 4914 1830 29011999 1105790 1088226 845 4246 0974412 -259 7149 672 -2192 05021999 1094590 0989871 -102 4203 0989873 -102 104 104 104 12021999 1053620 0962570 -381 3905 0928979 -737 1455 5427 2810 19021999 1071770 1017226 171 4049 1036881 362 292 1312 619 26021999 1055100 0984446 -157 3900 0963196 -375 246 1406 588 05031999 1039860 0985556 -145 3709 0951019 -502 212 2522 731 12031999 1041200 1001289 013 3733 1006606 066 002 043 008 19031999 1027650 0986986 -131 3665 0981784 -184 172 338 241 26031999 1031360 1003610 036 3548 0967940 -326 013 1062 -117 02041999 1034930 1003461 035 3564 1004651 046 012 022 016 09041999 1024940 0990347 -097 3503 0982884 -173 094 298 167 16041999 1026450 1001473 015 3772 1076649 739 002 5454 109 23041999 1038240 1011486 114 3711 0983826 -163 130 266 -186 30041999 1014430 0977067 -232 3649 0983291 -169 538 284 391 07051999 1027240 1012628 125 3593 0984651 -155 157 239 -194 14051999 1015400 0988474 -116 3508 0976479 -238 134 567 276 21051999 1012050 0996701 -033 3650 1040336 395 011 1564 -131 28051999 986598 0974851 -255 3487 0955336 -457 649 2088 1164 04061999 977053 0990325 -097 3513 1007601 076 095 057 -074 11061999 1007370 1031029 306 3597 1023769 235 934 552 718 18061999 989166 0981929 -182 3477 0966634 -339 333 1152 619 25061999 1026150 1037389 367 3375 0970804 -296 1347 878 -1088 02071999 995282 0969919 -305 3498 1036296 357 933 1271 -1089 09071999 995600 1000320 003 3487 0996998 -030 000 009 -001 16071999 1012170 1016643 165 3505 1005019 050 272 025 083 23071999 981962 0970155 -303 3446 0983307 -168 918 283 510 30071999 971997 0989852 -102 3359 0974753 -256 104 654 261 06081999 953229 0980691 -195 3162 0941203 -606 380 3672 1181 13081999 935049 0980928 -193 3022 0955717 -453 371 2051 872 20081999 944102 1009682 096 3149 1042032 412 093 1695 397 27081999 935339 0990718 -093 3109 0987454 -126 087 159 118 03091999 928650 0992849 -072 3072 0988099 -120 052 143 086 10091999 923843 0994824 -052 3065 0997559 -024 027 006 013 17091999 936583 1013790 137 3150 1027900 275 188 757 377 24091999 963355 1028585 282 3164 1004444 044 794 020 125 01101999 964466 1001153 012 3163 0999526 -005 001 000 -001 08101999 1008430 1045584 446 3317 1048854 477 1987 2275 2126 15101999 1067340 1058418 568 3392 1022460 222 3223 493 1261

Page 134

22101999 1019230 0954925 -461 3127 0922011 -812 2127 6593 3745 29101999 1038280 1018691 185 3162 1011193 111 343 124 206 05111999 1047550 1008928 089 3249 1027514 271 079 737 241 12111999 1071510 1022872 226 3235 0995537 -045 511 020 -101 19111999 1077140 1005254 052 2841 0878343 -1297 027 16827 -680 26111999 1104220 1025141 248 2755 0969553 -309 617 956 -768 03121999 1152250 1043497 426 2684 0974406 -259 1813 672 -1104 10121999 1338690 1161805 1500 2853 1062779 609 22492 3707 9132 17121999 1235780 0923126 -800 2592 0908501 -960 6398 9208 7676 24121999 1215240 0983379 -168 2553 0984951 -152 281 230 254 Sum -206 -7466 80467 223623 62586 Beta 078 Alpha -071 Std Dev Of Rndm Error Term 410 Std Error of Beta 0071 Std Error of Alpha 0200 Correlation Coefficient 047 Coefficient of Determination 022 Coefficient of Nondetermination 078

Page 135

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) (421)

ri = ln (Pt Pt-1) (422)

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 136

Helwan Portland Cement - Takeover

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 05082001 524103 2743 06082001 538487 1027445 003 2817 1026978 003 -056 085 002 -054 057 07082001 545306 1012663 001 2801 0994320 -001 -056 085 001 -055 055 112 08082001 545779 1000867 000 2787 0995002 -001 -056 085 000 -056 056 167 09082001 553572 1014279 001 2842 1019734 002 -056 085 001 -055 057 225 12082001 562356 1015868 002 2970 1045039 004 -056 085 001 -055 059 284 13082001 577288 1026553 003 3107 1046128 005 -056 085 002 -054 059 343 14082001 589018 1020319 002 3254 1047313 005 -056 085 002 -055 059 402 15082001 569431 0966746 -003 3109 0955439 -005 -056 085 -003 -059 055 457 16082001 561918 0986806 -001 3226 1037633 004 -056 085 -001 -058 061 518 19082001 574654 1022665 002 3380 1047737 005 -056 085 002 -055 059 577 20082001 574422 0999596 -000 3318 0981657 -002 -056 085 -000 -056 055 632 21082001 563572 0981111 -002 3170 0955395 -005 -056 085 -002 -058 053 685 22082001 557923 0989976 -001 3175 1001577 000 -056 085 -001 -057 057 743 23082001 564762 1012258 001 3241 1020787 002 -056 085 001 -055 057 800 26082001 562188 0995442 -000 3222 0994138 -001 -056 085 -000 -057 056 857 27082001 566747 1008109 001 3239 1005276 001 -056 085 001 -056 056 913 28082001 578448 1020646 002 3398 1049089 005 -056 085 002 -055 059 972 29082001 577700 0998707 -000 3561 1047969 005 -056 085 -000 -057 061 1034 30082001 595784 1031303 003 3739 1049986 005 -056 085 003 -054 059 1092 02092001 615099 1032419 003 3739 1000000 000 -056 085 003 -054 054 1146 03092001 623383 1013468 001 3926 1050013 005 -056 085 001 -055 060 1206 04092001 631607 1013193 001 4122 1049924 005 -056 085 001 -055 060 1266

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05092001 647104 1024536 002 4328 1049976 005 -056 085 002 -054 059 1325 06092001 642737 0993251 -001 4544 1049908 005 -056 085 -001 -057 062 1387 09092001 632584 0984203 -002 4770 1049736 005 -056 085 -001 -058 063 1450 10092001 640695 1012822 001 4541 0951992 -005 -056 085 001 -055 050 1500 11092001 646508 1009073 001 4344 0956617 -004 -056 085 001 -056 051 1552 12092001 622690 0963159 -004 4344 1000000 000 -056 085 -003 -060 060 1611 13092001 626337 1005857 001 4561 1049954 005 -056 085 000 -056 061 1672 16092001 624189 0996571 -000 5110 1120368 011 -056 085 -000 -057 068 1740 17092001 609400 0976307 -002 5110 1000000 000 -056 085 -002 -058 058 1799 18092001 601322 0986744 -001 5110 1000000 000 -056 085 -001 -058 058 1856 19092001 620730 1032276 003 5110 1000000 000 -056 085 003 -054 054 1910 20092001 614817 0990474 -001 5110 1000000 000 -056 085 -001 -057 057 1967 23092001 597012 0971040 -003 5110 1000000 000 -056 085 -003 -059 059 2026 24092001 588809 0986260 -001 5103 0998630 -000 -056 085 -001 -058 057 2084 25092001 581727 0987972 -001 5103 1000000 000 -056 085 -001 -057 057 2141 26092001 570192 0980171 -002 5103 1000000 000 -056 085 -002 -058 058 2199 27092001 561925 0985501 -001 5103 1000000 000 -056 085 -001 -058 058 2257 30092001 564278 1004187 000 4848 0950029 -005 -056 085 000 -056 051 2308 01102001 568252 1007043 001 4848 1000000 000 -056 085 001 -056 056 2364

Page 138

Suez Cement - Takeover

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 22082001 557923 3272 23082001 564762 1012258 001 3323 1015587 002 -020 126 002 -018 020 26082001 562188 0995442 -000 3257 0980138 -002 -020 126 -001 -020 018 038 27082001 566747 1008109 001 3287 1009211 001 -020 126 001 -018 019 057 28082001 578448 1020646 002 3451 1049894 005 -020 126 003 -017 022 079 29082001 577700 0998707 -000 3569 1034193 003 -020 126 -000 -020 023 102 30082001 595784 1031303 003 3662 1026058 003 -020 126 004 -016 018 120 02092001 615099 1032419 003 3708 1012561 001 -020 126 004 -015 017 137 03092001 623383 1013468 001 3654 0985437 -001 -020 126 002 -018 016 153 04092001 631607 1013193 001 3635 0994800 -001 -020 126 002 -018 017 170 05092001 647104 1024536 002 3765 1035763 004 -020 126 003 -016 020 190 06092001 642737 0993251 -001 3829 1016999 002 -020 126 -001 -020 022 213 09092001 632584 0984203 -002 3828 0999739 -000 -020 126 -002 -022 022 234 10092001 640695 1012822 001 3866 1009927 001 -020 126 002 -018 019 253 11092001 646508 1009073 001 3891 1006467 001 -020 126 001 -018 019 272 12092001 622690 0963159 -004 3700 0950912 -005 -020 126 -005 -024 019 291 13092001 626337 1005857 001 3849 1040270 004 -020 126 001 -019 023 314 16092001 624189 0996571 -000 3911 1016108 002 -020 126 -000 -020 022 335 17092001 609400 0976307 -002 3828 0978778 -002 -020 126 -003 -023 020 356 18092001 601322 0986744 -001 3675 0960031 -004 -020 126 -002 -021 017 373 19092001 620730 1032276 003 3829 1041905 004 -020 126 004 -015 020 393

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20092001 614817 0990474 -001 3801 0992687 -001 -020 126 -001 -021 020 413 23092001 597012 0971040 -003 3654 0961326 -004 -020 126 -004 -023 019 432 24092001 588809 0986260 -001 3523 0964149 -004 -020 126 -002 -021 018 449 25092001 581727 0987972 -001 3641 1033494 003 -020 126 -002 -021 024 474 26092001 570192 0980171 -002 3733 1025268 002 -020 126 -003 -022 025 498 27092001 561925 0985501 -001 3697 0990356 -001 -020 126 -002 -021 020 519 30092001 564278 1004187 000 3512 0949959 -005 -020 126 001 -019 014 533 01102001 568252 1007043 001 3512 1000000 000 -020 126 001 -019 019 551 02102001 555684 0977883 -002 3347 0953018 -005 -020 126 -003 -022 018 569 03102001 549459 0988798 -001 3201 0956379 -004 -020 126 -001 -021 016 585 04102001 544680 0991302 -001 3069 0958763 -004 -020 126 -001 -021 016 602 07102001 544675 0999991 -000 3266 1064190 006 -020 126 -000 -020 026 627 08102001 543049 0997015 -000 3276 1003062 000 -020 126 -000 -020 020 648 09102001 545728 1004933 000 3270 0998168 -000 -020 126 001 -019 019 666 10102001 549824 1007506 001 3330 1018349 002 -020 126 001 -019 020 687 11102001 554529 1008557 001 3419 1026727 003 -020 126 001 -018 021 708 14102001 563161 1015566 002 3330 0973969 -003 -020 126 002 -018 015 723 15102001 563789 1001115 000 3322 0997598 -000 -020 126 000 -019 019 742 16102001 560209 0993650 -001 3383 1018362 002 -020 126 -001 -020 022 764 17102001 573477 1023684 002 3463 1023648 002 -020 126 003 -017 019 783 18102001 579797 1011020 001 3510 1013572 001 -020 126 001 -018 019 802

Page 140

Commercial International Bank (CIB) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 20022000 1347460 4428 21022000 1343130 0996787 -032 4347 0981707 -185 -006 145 -047 -053 -132 22022000 1315370 0979332 -002 4283 0985277 -148 -006 145 -003 -009 -139 -271 23022000 1297370 0986316 -001 4135 0965445 -352 -006 145 -002 -008 -344 -614 24022000 1249590 0963172 -004 3967 0959371 -415 -006 145 -005 -012 -403 -1018 27022000 1284540 1027969 003 4043 1019158 190 -006 145 004 -002 192 -826 28022000 1302870 1014270 001 3931 0972298 -281 -006 145 002 -004 -277 -1103 29022000 1276950 0980105 -002 3824 0972780 -276 -006 145 -003 -009 -267 -1370 01032000 1271220 0995513 -000 3873 1012814 127 -006 145 -001 -007 134 -1235 02032000 1263010 0993542 -001 3847 0993287 -067 -006 145 -001 -007 -060 -1296 05032000 1234900 0977744 -002 3675 0955290 -457 -006 145 -003 -009 -448 -1744 06032000 1228550 0994858 -001 3600 0979592 -206 -006 145 -001 -007 -199 -1943 07032000 1265480 1030060 003 3756 1043333 424 -006 145 004 -002 426 -1517 08032000 1280930 1012209 001 3915 1042332 415 -006 145 002 -004 419 -1098 09032000 1278610 0998189 -000 4043 1032695 322 -006 145 -000 -006 328 -770 12032000 1236490 0967058 -003 3885 0960920 -399 -006 145 -005 -011 -388 -1157 13032000 1260850 1019701 002 3857 0992793 -072 -006 145 003 -003 -069 -1227 14032000 1262590 1001380 000 3860 1000778 008 -006 145 000 -006 014 -1213 19032000 1253290 0992634 -001 3808 0986528 -136 -006 145 -001 -007 -128 -1341 20032000 1246240 0994375 -001 3799 0997637 -024 -006 145 -001 -007 -017 -1358 21032000 1251680 1004365 000 3762 0990261 -098 -006 145 001 -006 -092 -1450

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22032000 1240940 0991420 -001 3720 0988836 -112 -006 145 -001 -007 -105 -1555 23032000 1233620 0994101 -001 3782 1016667 165 -006 145 -001 -007 172 -1383 26032000 1243700 1008171 001 3875 1024590 243 -006 145 001 -005 248 -1135 27032000 1247010 1002661 000 4004 1033290 327 -006 145 000 -006 333 -802 28032000 1262200 1012181 001 4065 1015235 151 -006 145 002 -004 156 -646 29032000 1260000 0998257 -000 3943 0969988 -305 -006 145 -000 -006 -298 -945 30032000 1251400 0993175 -001 4054 1028151 278 -006 145 -001 -007 285 -660 02042000 1252220 1000655 000 4042 0997040 -030 -006 145 000 -006 -024 -683 03042000 1259850 1006093 001 4132 1022266 220 -006 145 001 -005 225 -458 04042000 1248840 0991261 -001 4106 0993708 -063 -006 145 -001 -007 -056 -514 05042000 1239300 0992361 -001 4120 1003410 034 -006 145 -001 -007 041 -472 09042000 1220080 0984491 -002 4019 0975485 -248 -006 145 -002 -008 -240 -712 10042000 1180450 0967519 -003 3982 0990794 -092 -006 145 -005 -011 -082 -794 11042000 1181020 1000483 000 4062 1020090 199 -006 145 000 -006 205 -589 12042000 1215120 1028873 003 4085 1005662 056 -006 145 004 -002 058 -530 13042000 1198730 0986512 -001 4141 1013709 136 -006 145 -002 -008 144 -386 16042000 1156640 0964888 -004 3991 0963777 -369 -006 145 -005 -011 -358 -744 17042000 1124800 0972472 -003 3983 0997995 -020 -006 145 -004 -010 -010 -754 18042000 1128930 1003672 000 4105 1030630 302 -006 145 001 -006 307 -446 19042000 1119740 0991860 -001 3721 0906456 -982 -006 145 -001 -007 -975 -1421 20042000 1083240 0967403 -003 3648 0980382 -198 -006 145 -005 -011 -187 -1608

Page 142

Egyptian American Bank (EAB) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 06032000 1228550 3600 07032000 1265480 1030060 003 3756 1043333 004 -040 118 003 -036 040 08032000 1280930 1012209 001 3915 1042332 004 -040 118 001 -038 042 083 09032000 1278610 0998189 -000 4043 1032695 003 -040 118 -000 -040 043 126 12032000 1236490 0967058 -003 3885 0960920 -004 -040 118 -004 -044 040 166 13032000 1260850 1019701 002 3857 0992793 -001 -040 118 002 -037 037 202 14032000 1262590 1001380 000 3860 1000778 000 -040 118 000 -040 040 242 19032000 1253290 0992634 -001 3808 0986528 -001 -040 118 -001 -041 039 281 20032000 1246240 0994375 -001 3799 0997637 -000 -040 118 -001 -040 040 321 21032000 1251680 1004365 000 3762 0990261 -001 -040 118 001 -039 038 359 22032000 1240940 0991420 -001 3720 0988836 -001 -040 118 -001 -041 040 399 23032000 1233620 0994101 -001 3782 1016667 002 -040 118 -001 -040 042 441 26032000 1243700 1008171 001 3875 1024590 002 -040 118 001 -039 041 48227032000 1247010 1002661 000 4004 1033290 003 -040 118 000 -039 043 525 28032000 1262200 1012181 001 4065 1015235 002 -040 118 001 -038 040 564 29032000 1260000 0998257 -000 3943 0969988 -003 -040 118 -000 -040 037 601 30032000 1251400 0993175 -001 4054 1028151 003 -040 118 -001 -040 043 645 02042000 1252220 1000655 000 4042 0997040 -000 -040 118 000 -040 039 684 03042000 1259850 1006093 001 4132 1022266 002 -040 118 001 -039 041 725 04042000 1248840 0991261 -001 4106 0993708 -001 -040 118 -001 -041 040 765 05042000 1239300 0992361 -001 4120 1003410 000 -040 118 -001 -041 041 806

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09042000 1220080 0984491 -002 4019 0975485 -002 -040 118 -002 -042 039 845 10042000 1180450 0967519 -003 3982 0990794 -001 -040 118 -004 -044 043 888 11042000 1181020 1000483 000 4062 1020090 002 -040 118 000 -040 042 929 12042000 1215120 1028873 003 4085 1005662 001 -040 118 003 -036 037 966 13042000 1198730 0986512 -001 4141 1013709 001 -040 118 -002 -041 043 1009 16042000 1156640 0964888 -004 3991 0963777 -004 -040 118 -004 -044 040 1049 17042000 1124800 0972472 -003 3983 0997995 -000 -040 118 -003 -043 043 1092 18042000 1128930 1003672 000 4105 1030630 003 -040 118 000 -039 042 1134 19042000 1119740 0991860 -001 3721 0906456 -010 -040 118 -001 -041 031 1165 20042000 1083240 0967403 -003 3648 0980382 -002 -040 118 -004 -044 042 1206 23042000 1049820 0969148 -003 3489 0956414 -004 -040 118 -004 -043 039 1245 24042000 1042840 0993351 -001 3396 0973345 -003 -040 118 -001 -040 038 1283 26042000 1011554 0969999 -003 3563 1049176 005 -040 118 -004 -043 048 1331 27042000 1119630 1106842 010 3738 1049116 005 -040 118 012 -028 032 1364 02052000 1110810 0992122 -001 3682 0985019 -002 -040 118 -001 -041 039 1403 03052000 1081230 0973371 -003 3585 0973656 -003 -040 118 -003 -043 040 1443 04052000 1105850 1022770 002 3656 1019805 002 -040 118 003 -037 039 1482 07052000 1087730 0983614 -002 3646 0997265 -000 -040 118 -002 -042 041 1523 08052000 1104760 1015656 002 3671 1006857 001 -040 118 002 -038 039 1562 09052000 1125200 1018502 002 3734 1017162 002 -040 118 002 -038 039 1601 10052000 1136130 1009714 001 3707 0992769 -001 -040 118 001 -039 038 1639

Page 144

Misr International Bank (MIBANK) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 24022000 1249590 5186 27022000 1284540 1027969 003 5323 1026535 003 -036 127 004 -032 035 28022000 1302870 1014270 001 5391 1012774 001 -036 127 002 -034 035 070 29022000 1276950 0980105 -002 5395 1000742 000 -036 127 -003 -038 038 108 01032000 1271220 0995513 -000 5310 0984134 -002 -036 127 -001 -036 034 142 02032000 1263010 0993542 -001 5283 0995028 -000 -036 127 -001 -036 036 178 05032000 1234900 0977744 -002 5201 0984403 -002 -036 127 -003 -038 037 215 06032000 1228550 0994858 -001 5198 0999539 -000 -036 127 -001 -036 036 251 07032000 1265480 1030060 003 5389 1036627 004 -036 127 004 -032 035 286 08032000 1280930 1012209 001 5412 1004305 000 -036 127 002 -034 034 321 09032000 1278610 0998189 -000 5416 1000739 000 -036 127 -000 -036 036 357 12032000 1236490 0967058 -003 5218 0963516 -004 -036 127 -004 -040 036 393 13032000 1260850 1019701 002 5118 0980684 -002 -036 127 002 -033 031 424 14032000 1262590 1001380 000 5049 0986556 -001 -036 127 000 -035 034 458 19032000 1253290 0992634 -001 5047 0999683 -000 -036 127 -001 -036 036 494 20032000 1246240 0994375 -001 5035 0997622 -000 -036 127 -001 -036 036 530 21032000 1251680 1004365 000 4920 0977121 -002 -036 127 001 -035 033 563 22032000 1240940 0991420 -001 4838 0983252 -002 -036 127 -001 -037 035 598 23032000 1233620 0994101 -001 4860 1004630 000 -036 127 -001 -036 037 634 26032000 1243700 1008171 001 4974 1023539 002 -036 127 001 -034 037 671 27032000 1247010 1002661 000 5052 1015600 002 -036 127 000 -035 037 708

Page 145

28032000 1262200 1012181 001 5054 1000475 000 -036 127 002 -034 034 742 29032000 1260000 0998257 -000 4951 0979582 -002 -036 127 -000 -036 034 776 30032000 1251400 0993175 -001 4923 0994345 -001 -036 127 -001 -036 036 811 02042000 1252220 1000655 000 4993 1014137 001 -036 127 000 -035 037 848 03042000 1259850 1006093 001 4995 1000481 000 -036 127 001 -035 035 883 04042000 1248840 0991261 -001 4938 0988469 -001 -036 127 -001 -037 035 918 05042000 1239300 0992361 -001 5010 1014744 001 -036 127 -001 -036 038 956 09042000 1220080 0984491 -002 4806 0959285 -004 -036 127 -002 -037 033 990 10042000 1180450 0967519 -003 4761 0990513 -001 -036 127 -004 -040 039 1029 11042000 1181020 1000483 000 4796 1007394 001 -036 127 000 -035 036 1065 12042000 1215120 1028873 003 4800 1000834 000 -036 127 004 -032 032 1097 13042000 1198730 0986512 -001 4800 1000000 000 -036 127 -002 -037 037 1134 16042000 1156640 0964888 -004 4779 0995667 -000 -036 127 -005 -040 040 1174 17042000 1124800 0972472 -003 4353 0910780 -009 -036 127 -004 -039 030 1203 18042000 1128930 1003672 000 4397 1010108 001 -036 127 000 -035 036 1239 19042000 1119740 0991860 -001 4378 0995633 -000 -036 127 -001 -037 036 1275 20042000 1083240 0967403 -003 4205 0960526 -004 -036 127 -004 -040 036 1311 23042000 1049820 0969148 -003 4061 0965753 -003 -036 127 -004 -039 036 1347 24042000 1042840 0993351 -001 4257 1048266 005 -036 127 -001 -036 041 1388 26042000 1011554 0969999 -003 4469 1049803 005 -036 127 -004 -039 044 1432 27042000 1119630 1106842 010 4613 1032223 003 -036 127 013 -023 026 1458

Page 146

Ameryah Cement Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 05042000 1239300 8213 09042000 1220080 0984491 -002 7803 0950079 -005 -043 105 -002 -045 039 10042000 1180450 0967519 -003 7803 1000000 000 -043 105 -003 -046 046 086 11042000 1181020 1000483 000 7803 1000000 000 -043 105 000 -043 043 129 12042000 1215120 1028873 003 7803 1000000 000 -043 105 003 -040 040 169 13042000 1198730 0986512 -001 7803 1000000 000 -043 105 -001 -044 044 213 16042000 1156640 0964888 -004 7803 1000000 000 -043 105 -004 -047 047 260 17042000 1124800 0972472 -003 7803 1000000 000 -043 105 -003 -046 046 306 18042000 1128930 1003672 000 7803 1000000 000 -043 105 000 -043 043 348 19042000 1119740 0991860 -001 7803 1000000 000 -043 105 -001 -044 044 392 20042000 1083240 0967403 -003 7803 1000000 000 -043 105 -003 -046 046 439 23042000 1049820 0969148 -003 7803 1000000 000 -043 105 -003 -046 046 485 24042000 1042840 0993351 -001 7803 1000000 000 -043 105 -001 -044 044 529 26042000 1011554 0969999 -003 7803 1000000 000 -043 105 -003 -046 046 575 27042000 1119630 1106842 010 7803 1000000 000 -043 105 011 -032 032 607 02052000 1110810 0992122 -001 7803 1000000 000 -043 105 -001 -044 044 651 03052000 1081230 0973371 -003 7803 1000000 000 -043 105 -003 -046 046 697 04052000 1105850 1022770 002 7803 1000000 000 -043 105 002 -041 041 737 07052000 1087730 0983614 -002 7803 1000000 000 -043 105 -002 -045 045 782 08052000 1104760 1015656 002 7803 1000000 000 -043 105 002 -041 041 823 09052000 1125200 1018502 002 7803 1000000 000 -043 105 002 -041 041 864

Page 147

10052000 1136130 1009714 001 7803 1000000 000 -043 105 001 -042 042 906 11052000 1139120 1002632 000 7803 1000000 000 -043 105 000 -043 043 949 14052000 1161700 1019822 002 7803 1000000 000 -043 105 002 -041 041 990 15052000 1179430 1015262 002 7803 1000000 000 -043 105 002 -041 041 1031 16052000 1203490 1020400 002 7803 1000000 000 -043 105 002 -041 041 1072 17052000 1207650 1003457 000 7803 1000000 000 -043 105 000 -043 043 1115 18052000 1170140 0968940 -003 7803 1000000 000 -043 105 -003 -046 046 1161 21052000 1144730 0978285 -002 7803 1000000 000 -043 105 -002 -045 045 1206 22052000 1127050 0984555 -002 7803 1000000 000 -043 105 -002 -045 045 1251 23052000 1137800 1009538 001 7803 1000000 000 -043 105 001 -042 042 1293 24052000 1105280 0971419 -003 7803 1000000 000 -043 105 -003 -046 046 1339 25052000 1079810 0976956 -002 7803 1000000 000 -043 105 -002 -045 045 1384 28052000 1096220 1015197 002 7803 1000000 000 -043 105 002 -041 041 1426 29052000 1120420 1022076 002 7803 1000000 000 -043 105 002 -041 041 1466 30052000 1094380 0976759 -002 7803 1000000 000 -043 105 -002 -045 045 1512 31052000 1091100 0997003 -000 7803 1000000 000 -043 105 -000 -043 043 1555 01062000 1084760 0994189 -001 7803 1000000 000 -043 105 -001 -044 044 1599 04062000 1055620 0973137 -003 7803 1000000 000 -043 105 -003 -046 046 1644 05062000 1053290 0997793 -000 7803 1000000 000 -043 105 -000 -043 043 1688 06062000 1033450 0981164 -002 7803 1000000 000 -043 105 -002 -045 045 1732 07062000 1019220 0986231 -001 7803 1000000 000 -043 105 -001 -044 044 1777

Page 148

Egyptian Financial and Industrial Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 11052000 1139120 3960 14052000 1161700 1019822 002 3905 0986111 -001 -126 086 002 -124 123 15052000 1179430 1015262 002 3975 1017926 002 -126 086 001 -125 126 249 16052000 1203490 1020400 002 3999 1006038 001 -126 086 002 -124 125 374 17052000 1207650 1003457 000 3921 0980495 -002 -126 086 000 -126 124 498 18052000 1170140 0968940 -003 3897 0993879 -001 -126 086 -003 -129 128 626 21052000 1144730 0978285 -002 3842 0985887 -001 -126 086 -002 -128 126 752 22052000 1127050 0984555 -002 3964 1031754 003 -126 086 -001 -127 130 882 23052000 1137800 1009538 001 4000 1009082 001 -126 086 001 -125 126 1008 24052000 1105280 0971419 -003 3860 0965000 -004 -126 086 -002 -128 125 1133 25052000 1079810 0976956 -002 3853 0998187 -000 -126 086 -002 -128 128 1261 28052000 1096220 1015197 002 4023 1044121 004 -126 086 001 -125 129 1390 29052000 1120420 1022076 002 4109 1021377 002 -126 086 002 -124 126 1516 30052000 1094380 0976759 -002 3911 0951813 -005 -126 086 -002 -128 123 1639 31052000 1091100 0997003 -000 3950 1009972 001 -126 086 -000 -126 127 1766 01062000 1084760 0994189 -001 3949 0999747 -000 -126 086 -001 -126 126 1892 04062000 1055620 0973137 -003 3810 0964801 -004 -126 086 -002 -128 125 2017 05062000 1053290 0997793 -000 4021 1055381 005 -126 086 -000 -126 131 2148 06062000 1033450 0981164 -002 3919 0974633 -003 -126 086 -002 -128 125 2273 07062000 1019220 0986231 -001 3846 0981373 -002 -126 086 -001 -127 125 2398 08062000 1015120 0995977 -000 4002 1040562 004 -126 086 -000 -126 130 2529

Page 149

11062000 989079 0974347 -003 4094 1022989 002 -126 086 -002 -128 130 2659 12062000 974139 0984895 -002 3890 0950171 -005 -126 086 -001 -127 122 2781 13062000 1001770 1028365 003 3922 1008226 001 -126 086 002 -123 124 2905 14062000 1001480 0999711 -000 3777 0963029 -004 -126 086 -000 -126 122 3028 18062000 975257 0973816 -003 3777 1000000 000 -126 086 -002 -128 128 3156 19062000 951281 0975416 -002 3528 0934075 -007 -126 086 -002 -128 121 3277 20062000 924905 0972273 -003 3362 0952948 -005 -126 086 -002 -128 123 3400 21062000 932278 1007972 001 3194 0950030 -005 -126 086 001 -125 120 3521 22062000 916437 0983008 -002 3035 0950219 -005 -126 086 -001 -127 122 3643 25062000 887397 0968312 -003 2885 0950577 -005 -126 086 -003 -129 124 3766 26062000 861150 0970422 -003 2753 0954246 -005 -126 086 -003 -128 124 3890 27062000 864892 1004345 000 2655 0964402 -004 -126 086 000 -126 122 4012 28062000 897903 1038168 004 2716 1022976 002 -126 086 003 -123 125 4137 29062000 899917 1002243 000 2850 1049337 005 -126 086 000 -126 131 4267 02072000 925746 1028702 003 2985 1047368 005 -126 086 002 -123 128 4396 03072000 925263 0999478 -000 2838 0950754 -005 -126 086 -000 -126 121 4516 04072000 901986 0974843 -003 2787 0982030 -002 -126 086 -002 -128 126 4643 05072000 931992 1033267 003 2883 1034446 003 -126 086 003 -123 126 4769 06072000 939109 1007636 001 2887 1001387 000 -126 086 001 -125 125 4895 09072000 954862 1016774 002 2750 0952546 -005 -126 086 001 -124 120 5014 10072000 952481 0997506 -000 2855 1038182 004 -126 086 -000 -126 130 5144

Page 150

Abu Keir For Fertilisers Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 13092000 820460 3114 14092000 811616 0989221 -001 3114 1000000 000 -094 047 -001 -095 095 17092000 800136 0985855 -001 3139 1008028 001 -094 047 -001 -095 096 191 18092000 785147 0981267 -002 3149 1003186 000 -094 047 -001 -095 096 287 19092000 781014 0994736 -001 3126 0992696 -001 -094 047 -000 -095 094 381 20092000 769681 0985489 -001 3128 1000640 000 -094 047 -001 -095 095 476 21092000 777843 1010604 001 3185 1018223 002 -094 047 001 -094 096 572 24092000 773441 0994341 -001 3109 0976138 -002 -094 047 -000 -095 092 664 25092000 776658 1004159 000 3114 1001608 000 -094 047 000 -094 094 759 26092000 769503 0990787 -001 3102 0996146 -000 -094 047 -000 -095 095 853 27092000 765212 0994424 -001 3178 1024500 002 -094 047 -000 -095 097 950 28092000 747666 0977070 -002 3143 0988987 -001 -094 047 -001 -096 094 1045 01102000 723766 0968034 -003 3031 0964365 -004 -094 047 -002 -096 092 1137 02102000 736337 1017369 002 3007 0992082 -001 -094 047 001 -094 093 1230 03102000 717831 0974867 -003 3000 0997672 -000 -094 047 -001 -096 095 1326 04102000 698780 0973460 -003 3007 1002333 000 -094 047 -001 -096 096 1422 08102000 673198 0963390 -004 2935 0976056 -002 -094 047 -002 -096 094 1515 09102000 669556 0994590 -001 2892 0985349 -001 -094 047 -000 -095 093 1609 10102000 652161 0974020 -003 2863 0989972 -001 -094 047 -001 -096 095 1703 11102000 629197 0964788 -004 2811 0981837 -002 -094 047 -002 -096 094 1798 12102000 607631 0965725 -003 2822 1003913 000 -094 047 -002 -096 097 1894

Page 151

15102000 619357 1019298 002 2948 1044649 004 -094 047 001 -094 098 1992 16102000 646053 1043103 004 3093 1049186 005 -094 047 002 -092 097 2090 17102000 668052 1034051 003 3183 1029098 003 -094 047 002 -093 096 2185 18102000 688105 1030017 003 3199 1005027 001 -094 047 001 -093 094 2279 19102000 688893 1001145 000 3186 0995936 -000 -094 047 000 -094 094 2373 22102000 719462 1044374 004 3196 1003139 000 -094 047 002 -092 093 2466 23102000 723338 1005387 001 3044 0952441 -005 -094 047 000 -094 089 2555 24102000 702403 0971058 -003 2929 0962221 -004 -094 047 -001 -096 092 2647 25102000 725191 1032443 003 2695 0920109 -008 -094 047 002 -093 085 2732 26102000 730437 1007234 001 2675 0992579 -001 -094 047 000 -094 093 2825 29102000 726703 0994888 -001 2713 1014206 001 -094 047 -000 -095 096 2921 30102000 714909 0983771 -002 2700 0995208 -000 -094 047 -001 -095 095 3016 31102000 733186 1025565 003 2734 1012593 001 -094 047 001 -093 095 3111 01112000 742977 1013354 001 2742 1002926 000 -094 047 001 -094 094 3205 02112000 747364 1005905 001 2749 1002553 000 -094 047 000 -094 094 3299 05112000 760243 1017233 002 2628 0955984 -005 -094 047 001 -094 089 3388 06112000 761956 1002253 000 2505 0953196 -005 -094 047 000 -094 090 3478 07112000 757468 0994110 -001 2630 1049900 005 -094 047 -000 -095 100 3578 08112000 762190 1006234 001 2749 1045247 004 -094 047 000 -094 099 3676 09112000 773445 1014767 001 2751 1000728 000 -094 047 001 -094 094 3770 12112000 807548 1044092 004 2835 1030534 003 -094 047 002 -092 095 3866

Page 152

Helwan Portland Cement Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 26032000 1243700 4298 27032000 1247010 1002661 000 4293 0998837 -000 -056 085 000 -056 056 28032000 1262200 1012181 001 4144 0965292 -004 -056 085 001 -055 052 108 29032000 1260000 0998257 -000 4132 0997104 -000 -056 085 -000 -057 056 164 30032000 1251400 0993175 -001 4187 1013311 001 -056 085 -001 -057 058 223 02042000 1252220 1000655 000 4076 0973489 -003 -056 085 000 -056 054 276 03042000 1259850 1006093 001 4217 1034593 003 -056 085 001 -056 059 336 04042000 1248840 0991261 -001 4201 0996206 -000 -056 085 -001 -057 057 392 05042000 1239300 0992361 -001 4165 0991431 -001 -056 085 -001 -057 056 449 09042000 1220080 0984491 -002 414 0993998 -001 -056 085 -001 -058 057 506 10042000 1180450 0967519 -003 4036 0974879 -003 -056 085 -003 -059 057 562 11042000 1181020 1000483 000 4142 1026264 003 -056 085 000 -056 059 621 12042000 1215120 1028873 003 422 1018831 002 -056 085 002 -054 056 677 13042000 1198730 0986512 -001 4198 0994787 -001 -056 085 -001 -058 057 734 16042000 1156640 0964888 -004 4095 0975465 -002 -056 085 -003 -059 057 791 17042000 1124800 0972472 -003 408 0996337 -000 -056 085 -002 -059 058 850 18042000 1128930 1003672 000 409 1002451 000 -056 085 000 -056 056 906 19042000 1119740 0991860 -001 4082 0998044 -000 -056 085 -001 -057 057 963 20042000 1083240 0967403 -003 4081 0999755 -000 -056 085 -003 -059 059 1022 23042000 1049820 0969148 -003 405 0992404 -001 -056 085 -003 -059 058 1081 24042000 1042840 0993351 -001 4185 1033333 003 -056 085 -001 -057 060 1141

Page 153

26042000 1011554 0969999 -003 4264 1018877 002 -056 085 -003 -059 061 1202 27042000 1119630 1106842 010 4246 0995779 -000 -056 085 009 -048 047 1249 02052000 1110810 0992122 -001 3692 0869524 -014 -056 085 -001 -057 043 1292 03052000 1081230 0973371 -003 3656 0990249 -001 -056 085 -002 -059 058 1350 04052000 1105850 1022770 002 3686 1008206 001 -056 085 002 -055 055 1405 07052000 1087730 0983614 -002 3718 1008681 001 -056 085 -001 -058 059 1464 08052000 1104760 1015656 002 3875 1042227 004 -056 085 001 -055 059 1523 09052000 1125200 1018502 002 4038 1042065 004 -056 085 002 -055 059 1582 10052000 1136130 1009714 001 3867 0957652 -004 -056 085 001 -056 051 1634 11052000 1139120 1002632 000 3805 0983967 -002 -056 085 000 -056 055 1688 14052000 1161700 1019822 002 3818 1003417 000 -056 085 002 -055 055 1743 15052000 1179430 1015262 002 3887 1018072 002 -056 085 001 -055 057 1800 16052000 1203490 1020400 002 3937 1012863 001 -056 085 002 -055 056 1856 17052000 1207650 1003457 000 3859 0980188 -002 -056 085 000 -056 054 1910 18052000 1170140 0968940 -003 3807 0986525 -001 -056 085 -003 -059 058 196821052000 1144730 0978285 -002 3805 0999475 -000 -056 085 -002 -058 058 2026 22052000 1127050 0984555 -002 3764 0989225 -001 -056 085 -001 -058 057 2083 23052000 1137800 1009538 001 3749 0996015 -000 -056 085 001 -056 055 2138 24052000 1105280 0971419 -003 3672 0979461 -002 -056 085 -002 -059 057 2195 25052000 1079810 0976956 -002 3633 0989379 -001 -056 085 -002 -058 057 2252 28052000 1096220 1015197 002 3623 0997247 -000 -056 085 001 -055 055 2307

Page 154

Torah Portland Cement Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 20082000 869132 4441 21082000 852890 0981312 -002 4335 0976132 -002 -006 107 -002 -008 006 22082000 836269 0980512 -002 4119 0950173 -005 -006 107 -002 -008 003 009 23082000 850672 1017223 002 4128 1002185 000 -006 107 002 -004 005 013 24082000 832698 0978871 -002 4115 0996851 -000 -006 107 -002 -008 008 021 27082000 836762 1004881 000 4161 1011179 001 -006 107 001 -006 007 028 28082000 832011 0994322 -001 4235 1017784 002 -006 107 -001 -007 008 037 29082000 822734 0988850 -001 4145 0978749 -002 -006 107 -001 -007 005 042 30082000 802537 0975451 -002 4156 1002654 000 -006 107 -003 -009 009 051 31082000 816798 1017770 002 4297 1033927 003 -006 107 002 -004 008 058 03092000 812893 0995219 -000 4344 1010938 001 -006 107 -001 -007 008 066 04092000 819306 1007889 001 4349 1001151 000 -006 107 001 -005 005 071 05092000 831599 1015004 001 4492 1032881 003 -006 107 002 -005 008 079 06092000 835104 1004215 000 4503 1002449 000 -006 107 000 -006 006 085 07092000 845660 1012640 001 4509 1001332 000 -006 107 001 -005 005 090 10092000 835500 0987986 -001 4309 0955644 -005 -006 107 -001 -007 003 093 11092000 823263 0985354 -001 4309 1000000 000 -006 107 -002 -008 008 101 12092000 837424 1017201 002 4325 1003713 000 -006 107 002 -004 005 105 13092000 820460 0979743 -002 4397 1016647 002 -006 107 -002 -008 010 115 14092000 811616 0989221 -001 4399 1000455 000 -006 107 -001 -007 007 122 17092000 800136 0985855 -001 4392 0998409 -000 -006 107 -002 -008 007 130

Page 155

18092000 785147 0981267 -002 4272 0972678 -003 -006 107 -002 -008 005 135 19092000 781014 0994736 -001 42 0983146 -002 -006 107 -001 -007 005 140 20092000 769681 0985489 -001 4166 0991905 -001 -006 107 -002 -008 007 147 21092000 777843 1010604 001 36 0864138 -015 -006 107 001 -005 -010 138 24092000 773441 0994341 -001 3569 0991389 -001 -006 107 -001 -007 006 143 25092000 776658 1004159 000 3625 1015691 002 -006 107 000 -006 007 151 26092000 769503 0990787 -001 3559 0981793 -002 -006 107 -001 -007 005 156 27092000 765212 0994424 -001 3467 0974150 -003 -006 107 -001 -007 004 160 28092000 747666 0977070 -002 345 0995097 -000 -006 107 -002 -009 008 168 01102000 723766 0968034 -003 345 1000000 000 -006 107 -003 -010 010 178 02102000 736337 1017369 002 3432 0994783 -001 -006 107 002 -004 004 181 03102000 717831 0974867 -003 3305 0962995 -004 -006 107 -003 -009 005 186 04102000 698780 0973460 -003 3449 1043570 004 -006 107 -003 -009 013 200 08102000 673198 0963390 -004 3449 1000000 000 -006 107 -004 -010 010 210 09102000 669556 0994590 -001 3354 0972456 -003 -006 107 -001 -007 004 214 10102000 652161 0974020 -003 3302 0984496 -002 -006 107 -003 -009 007 221 11102000 629197 0964788 -004 335 1014537 001 -006 107 -004 -010 011 232 12102000 607631 0965725 -003 3297 0984179 -002 -006 107 -004 -010 008 241 15102000 619357 1019298 002 3256 0987564 -001 -006 107 002 -004 003 244 16102000 646053 1043103 004 3248 0997543 -000 -006 107 005 -002 001 245 17102000 668052 1034051 003 3228 0993842 -001 -006 107 004 -003 002 247

Page 156

Nasr City for Housing and Development Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 21092000 777843 2026 -115 075 24092000 773441 0994341 -001 1999 0986673 -001 -115 075 -000 -115 114 25092000 776658 1004159 000 2080 1040520 004 -115 075 000 -115 119 233 26092000 769503 0990787 -001 2183 1049519 005 -115 075 -001 -116 120 353 27092000 765212 0994424 -001 2092 0958314 -004 -115 075 -000 -115 111 464 28092000 747666 0977070 -002 1996 0954111 -005 -115 075 -002 -117 112 576 01102000 723766 0968034 -003 1975 0989479 -001 -115 075 -002 -117 116 692 02102000 736337 1017369 002 1927 0975696 -002 -115 075 001 -114 111 804 03102000 717831 0974867 -003 1856 0963155 -004 -115 075 -002 -117 113 917 04102000 698780 0973460 -003 1888 1017241 002 -115 075 -002 -117 119 1035 08102000 673198 0963390 -004 1825 0966631 -003 -115 075 -003 -118 114 1150 09102000 669556 0994590 -001 1761 0964932 -004 -115 075 -000 -115 112 1261 10102000 652161 0974020 -003 1674 0950596 -005 -115 075 -002 -117 112 1373 11102000 629197 0964788 -004 1604 0958184 -004 -115 075 -003 -118 113 1486 12102000 607631 0965725 -003 1527 0951995 -005 -115 075 -003 -118 113 1599 15102000 619357 1019298 002 1597 1045842 004 -115 075 001 -113 118 1717 16102000 646053 1043103 004 1676 1049468 005 -115 075 003 -112 117 1834 17102000 668052 1034051 003 1758 1048926 005 -115 075 003 -112 117 1951 18102000 688105 1030017 003 1839 1046075 005 -115 075 002 -113 117 2068 19102000 688893 1001145 000 1906 1036433 004 -115 075 000 -115 118 2186 22102000 719462 1044374 004 2000 1049318 005 -115 075 003 -112 116 2303

Page 157

23102000 723338 1005387 001 1926 0963000 -004 -115 075 000 -115 111 2414 24102000 702403 0971058 -003 1830 0950156 -005 -115 075 -002 -117 112 2526 25102000 725191 1032443 003 1535 0838798 -018 -115 075 002 -113 095 2621 26102000 730437 1007234 001 1610 1048860 005 -115 075 001 -114 119 2740 29102000 726703 0994888 -001 1690 1049689 005 -115 075 -000 -115 120 2860 30102000 714909 0983771 -002 1774 1049704 005 -115 075 -001 -116 121 2981 31102000 733186 1025565 003 1855 1045660 004 -115 075 002 -113 118 3099 01112000 742977 1013354 001 1934 1042588 004 -115 075 001 -114 118 3217 02112000 747364 1005905 001 1982 1024819 002 -115 075 000 -114 117 3334 05112000 760243 1017233 002 2080 1049445 005 -115 075 001 -114 118 3452 06112000 761956 1002253 000 2176 1046154 005 -115 075 000 -115 119 3571 07112000 757468 0994110 -001 2278 1046875 005 -115 075 -000 -115 120 3691 08112000 762190 1006234 001 2381 1045215 004 -115 075 000 -114 119 3810 09112000 773445 1014767 001 2498 1049139 005 -115 075 001 -114 119 3929 12112000 807548 1044092 004 2617 1047638 005 -115 075 003 -112 116 4045 13112000 828930 1026478 003 2747 1049675 005 -115 075 002 -113 118 4163 14112000 817709 0986463 -001 2674 0973426 -003 -115 075 -001 -116 113 4276 15112000 845954 1034542 003 2689 1005610 001 -115 075 003 -112 113 4389 16112000 872700 1031616 003 2810 1044998 004 -115 075 002 -113 117 4506 19112000 845917 0969310 -003 2678 0953025 -005 -115 075 -002 -117 112 4619 20112000 838561 0991304 -001 2545 0950336 -005 -115 075 -001 -116 110 4729

Page 158

Paints and Chemical Industries (PACHIN) Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 04102000 698780 2750 08102000 673198 0963390 -004 2690 0978182 -002 -071 078 -003 -074 072 09102000 669556 0994590 -001 2700 1003717 000 -071 078 -000 -071 072 143 10102000 652161 0974020 -003 2647 0980370 -002 -071 078 -002 -073 071 214 11102000 629197 0964788 -004 2515 0950132 -005 -071 078 -003 -074 069 283 12102000 607631 0965725 -003 2390 0950298 -005 -071 078 -003 -074 069 351 15102000 619357 1019298 002 2481 1038075 004 -071 078 001 -069 073 425 16102000 646053 1043103 004 2489 1003225 000 -071 078 003 -068 068 493 17102000 668052 1034051 003 2483 0997589 -000 -071 078 003 -068 068 561 18102000 688105 1030017 003 2402 0967378 -003 -071 078 002 -069 065 626 19102000 688893 1001145 000 2301 0957952 -004 -071 078 000 -071 067 693 22102000 719462 1044374 004 2414 1049109 005 -071 078 003 -068 072 765 23102000 723338 1005387 001 2305 0954847 -005 -071 078 000 -071 066 831 24102000 702403 0971058 -003 2197 0953145 -005 -071 078 -002 -073 068 899 25102000 725191 1032443 003 2303 1048248 005 -071 078 002 -068 073 972 26102000 730437 1007234 001 2417 1049501 005 -071 078 001 -070 075 1048 29102000 726703 0994888 -001 2519 1042201 004 -071 078 -000 -071 075 1123 30102000 714909 0983771 -002 2396 0951171 -005 -071 078 -001 -072 067 1190 31102000 733186 1025565 003 2428 1013356 001 -071 078 002 -069 070 1261 01112000 742977 1013354 001 2346 0966227 -003 -071 078 001 -070 066 1327 02112000 747364 1005905 001 2304 0982097 -002 -071 078 000 -070 069 1396

Page 159

05112000 760243 1017233 002 2412 1046875 005 -071 078 001 -070 074 1470 06112000 761956 1002253 000 2416 1001658 000 -071 078 000 -071 071 1541 07112000 757468 0994110 -001 2315 0958195 -004 -071 078 -000 -071 067 1608 08112000 762190 1006234 001 2301 0993952 -001 -071 078 000 -070 070 1678 09112000 773445 1014767 001 2303 1000869 000 -071 078 001 -070 070 1748 12112000 807548 1044092 004 2412 1047330 005 -071 078 003 -068 072 1820 13112000 828930 1026478 003 2399 0994610 -001 -071 078 002 -069 068 1888 14112000 817709 0986463 -001 2296 0957065 -004 -071 078 -001 -072 068 1956 15112000 845954 1034542 003 2395 1043118 004 -071 078 003 -068 073 2029 16112000 872700 1031616 003 2453 1024217 002 -071 078 002 -069 071 2099 19112000 845917 0969310 -003 2396 0976763 -002 -071 078 -002 -073 071 2170 20112000 838561 0991304 -001 2322 0969115 -003 -071 078 -001 -072 068 2239 21112000 800223 0954281 -005 2255 0971146 -003 -071 078 -004 -075 072 2311 22112000 778413 0972745 -003 2361 1047007 005 -071 078 -002 -073 078 2388 23112000 799245 1026762 003 2340 0991105 -001 -071 078 002 -069 068 2456 26112000 823981 1030949 003 2353 1005556 001 -071 078 002 -069 069 2525 27112000 816509 0990932 -001 2310 0981725 -002 -071 078 -001 -072 070 2595 28112000 793731 0972103 -003 2210 0956710 -004 -071 078 -002 -073 069 2664 29112000 790196 0995546 -000 2253 1019457 002 -071 078 -000 -071 073 2737 30112000 796977 1008581 001 2299 1020417 002 -071 078 001 -070 072 2809 03122000 772668 0969498 -003 2299 1000000 000 -071 078 -002 -073 073 2883

Page 160

Upper Egypt Flour Mills Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 21092000 777843 2130 24092000 773441 0994341 -001 2073 0973239 -003 -075 087 -000 -076 073 25092000 776658 1004159 000 2056 0991799 -001 -075 087 000 -075 074 147 26092000 769503 0990787 -001 2051 0997568 -000 -075 087 -001 -076 076 223 27092000 765212 0994424 -001 2064 1006338 001 -075 087 -000 -076 076 299 28092000 747666 0977070 -002 2019 0978198 -002 -075 087 -002 -077 075 374 01102000 723766 0968034 -003 1995 0988113 -001 -075 087 -003 -078 077 451 02102000 736337 1017369 002 2055 1030075 003 -075 087 001 -074 077 528 03102000 717831 0974867 -003 2023 0984428 -002 -075 087 -002 -077 076 603 04102000 698780 0973460 -003 2010 0993574 -001 -075 087 -002 -078 077 680 08102000 673198 0963390 -004 2010 1000000 000 -075 087 -003 -078 078 759 09102000 669556 0994590 -001 1973 0981592 -002 -075 087 -000 -076 074 833 10102000 652161 0974020 -003 1909 0967562 -003 -075 087 -002 -077 074 907 11102000 629197 0964788 -004 1871 0980094 -002 -075 087 -003 -078 076 983 12102000 607631 0965725 -003 1850 0988776 -001 -075 087 -003 -078 077 1060 15102000 619357 1019298 002 1851 1000541 000 -075 087 002 -074 074 1134 16102000 646053 1043103 004 1942 1049163 005 -075 087 004 -072 076 1210 17102000 668052 1034051 003 2039 1049949 005 -075 087 003 -072 077 1287 18102000 688105 1030017 003 2126 1042668 004 -075 087 003 -073 077 1364 19102000 688893 1001145 000 2179 1024929 002 -075 087 000 -075 078 1442 22102000 719462 1044374 004 2118 0972006 -003 -075 087 004 -071 069 1510

Page 161

23102000 723338 1005387 001 2222 1049103 005 -075 087 000 -075 080 1590 24102000 702403 0971058 -003 2187 0984248 -002 -075 087 -003 -078 076 1666 25102000 725191 1032443 003 2142 0979424 -002 -075 087 003 -072 070 1736 26102000 730437 1007234 001 2160 1008403 001 -075 087 001 -075 075 1812 29102000 726703 0994888 -001 2190 1013889 001 -075 087 -000 -076 077 1889 30102000 714909 0983771 -002 2178 0994521 -001 -075 087 -001 -077 076 1965 31102000 733186 1025565 003 1774 0814509 -021 -075 087 002 -073 052 2017 01112000 742977 1013354 001 1826 1029312 003 -075 087 001 -074 077 2094 02112000 747364 1005905 001 1776 0972618 -003 -075 087 001 -075 072 2166 05112000 760243 1017233 002 1822 1025901 003 -075 087 001 -074 076 2242 06112000 761956 1002253 000 1840 1009879 001 -075 087 000 -075 076 2318 07112000 757468 0994110 -001 1790 0972826 -003 -075 087 -001 -076 073 2391 08112000 762190 1006234 001 1777 0992737 -001 -075 087 001 -075 074 2465 09112000 773445 1014767 001 1811 1019133 002 -075 087 001 -074 076 2541 12112000 807548 1044092 004 1815 1002209 000 -075 087 004 -071 072 2613 13112000 828930 1026478 003 1838 1012672 001 -075 087 002 -073 074 2687 14112000 817709 0986463 -001 1803 0980958 -002 -075 087 -001 -076 074 2761 15112000 845954 1034542 003 1788 0991681 -001 -075 087 003 -072 071 2833 16112000 872700 1031616 003 1807 1010626 001 -075 087 003 -072 074 2906 19112000 845917 0969310 -003 1799 0995573 -000 -075 087 -003 -078 077 2984 20112000 838561 0991304 -001 1766 0981656 -002 -075 087 -001 -076 074 3058

Page 162

Commercial International Bank (CIB) Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 11032001 675900 3598 12032001 668606 0989208 -001 3600 1000556 000 -006 145 -002 -008 008 14032001 643440 0962360 -004 3514 0976111 -002 -006 145 -006 -012 009 017 15032001 634936 0986784 -001 3520 1001707 000 -006 145 -002 -008 008 025 18032001 628225 0989430 -001 3455 0981534 -002 -006 145 -002 -008 006 031 19032001 624649 0994308 -001 3350 0969609 -003 -006 145 -001 -007 004 035 20032001 641923 1027654 003 3355 1001493 000 -006 145 004 -002 002 037 21032001 627624 0977725 -002 3412 1016990 002 -006 145 -003 -009 011 048 22032001 616127 0981682 -002 3428 1004689 000 -006 145 -003 -009 009 058 25032001 624609 1013767 001 3399 0991540 -001 -006 145 002 -004 003 061 27032001 619112 0991199 -001 3403 1001177 000 -006 145 -001 -007 008 069 28032001 606407 0979479 -002 3402 0999706 -000 -006 145 -003 -009 009 078 29032001 591655 0975673 -002 3399 0999118 -000 -006 145 -004 -010 010 087 01042001 574960 0971783 -003 3350 0985584 -001 -006 145 -004 -010 009 096 02042001 580434 1009521 001 3277 0978209 -002 -006 145 001 -005 003 099 03042001 595163 1025376 003 3304 1008239 001 -006 145 004 -002 003 102 04042001 604910 1016377 002 3406 1030872 003 -006 145 002 -004 007 109 05042001 601771 0994811 -001 3414 1002349 000 -006 145 -001 -007 007 116 08042001 613483 1019463 002 3389 0992677 -001 -006 145 003 -003 003 119 09042001 615266 1002906 000 3415 1007672 001 -006 145 000 -006 006 125 10042001 609238 0990203 -001 3459 1012884 001 -006 145 -001 -008 009 134

Page 163

11042001 628748 1032024 003 3466 1002024 000 -006 145 005 -002 002 136 12042001 629302 1000881 000 3617 1043566 004 -006 145 000 -006 010 146 17042001 609225 0968096 -003 3644 1007465 001 -006 145 -005 -011 012 157 18042001 597402 0980593 -002 3541 0971734 -003 -006 145 -003 -009 006 164 19042001 610423 1021796 002 3494 0986727 -001 -006 145 003 -003 002 165 22042001 615551 1008401 001 3596 1029193 003 -006 145 001 -005 008 173 23042001 626452 1017709 002 3650 1015017 001 -006 145 003 -004 005 178 24042001 624156 0996335 -000 3686 1009863 001 -006 145 -001 -007 008 186 26042001 617783 0989789 -001 3705 1005155 001 -006 145 -001 -008 008 194 29042001 612699 0991771 -001 3773 1018354 002 -006 145 -001 -007 009 203 30042001 612714 1000024 000 3771 0999470 -000 -006 145 000 -006 006 209 02052001 627421 1024003 002 3739 0991514 -001 -006 145 003 -003 002 211 03052001 634110 1010661 001 3454 0923776 -008 -006 145 002 -005 -003 208 06052001 636990 1004542 000 3457 1000869 000 -006 145 001 -005 006 213 07052001 649636 1019853 002 3414 0987561 -001 -006 145 003 -003 002 215 08052001 652206 1003956 000 3456 1012302 001 -006 145 001 -006 007 222 09052001 642720 0985456 -001 3502 1013310 001 -006 145 -002 -008 010 232 10052001 648901 1009617 001 3494 0997716 -000 -006 145 001 -005 005 236 13052001 666997 1027887 003 3516 1006297 001 -006 145 004 -002 003 239 14052001 664617 0996432 -000 3558 1011945 001 -006 145 -001 -007 008 247 15052001 656225 0987373 -001 3542 0995503 -000 -006 145 -002 -008 008 254

Page 164

Misr International Bank (MIBANK) Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 26022001 655096 3038 27022001 675048 1030457 003 3043 1001844 000 -036 127 004 -032 032 28022001 667608 0988979 -001 2962 0973186 -003 -036 127 -001 -037 034 066 01032001 672488 1007310 001 2973 1003782 000 -036 127 001 -035 035 101 07032001 691184 1027801 003 3058 1028525 003 -036 127 003 -032 035 136 08032001 687929 0995291 -000 3013 0985348 -001 -036 127 -001 -036 035 171 11032001 675900 0982514 -002 2906 0964684 -004 -036 127 -002 -038 034 205 12032001 668606 0989208 -001 2834 0974952 -003 -036 127 -001 -037 034 239 14032001 643440 0962360 -004 2811 0992095 -001 -036 127 -005 -040 040 279 15032001 634936 0986784 -001 2813 1000569 000 -036 127 -002 -037 037 316 18032001 628225 0989430 -001 2799 0995165 -000 -036 127 -001 -037 036 352 19032001 624649 0994308 -001 2670 0953701 -005 -036 127 -001 -036 031 384 20032001 641923 1027654 003 2688 1006892 001 -036 127 003 -032 033 416 21032001 627624 0977725 -002 2726 1013988 001 -036 127 -003 -038 040 456 22032001 616127 0981682 -002 2736 1003816 000 -036 127 -002 -038 038 494 25032001 624609 1013767 001 2725 0995906 -000 -036 127 002 -034 033 528 27032001 619112 0991199 -001 2800 1027598 003 -036 127 -001 -037 039 567 28032001 606407 0979479 -002 2774 0990857 -001 -036 127 -003 -038 037 604 29032001 591655 0975673 -002 2791 1006055 001 -036 127 -003 -039 039 644 01042001 574960 0971783 -003 2799 1002866 000 -036 127 -004 -039 039 683 02042001 580434 1009521 001 2730 0975136 -003 -036 127 001 -034 032 715

Page 165

03042001 595163 1025376 003 2738 1003224 000 -036 127 003 -032 033 748 04042001 604910 1016377 002 2870 1047911 005 -036 127 002 -033 038 786 05042001 601771 0994811 -001 2900 1010594 001 -036 127 -001 -036 037 823 08042001 613483 1019463 002 2834 0977379 -002 -036 127 002 -033 031 854 09042001 615266 1002906 000 2862 1009596 001 -036 127 000 -035 036 890 10042001 609238 0990203 -001 2888 1009226 001 -036 127 -001 -037 038 927 11042001 628748 1032024 003 2863 0991413 -001 -036 127 004 -032 031 958 12042001 629302 1000881 000 3005 1049455 005 -036 127 000 -035 040 998 17042001 609225 0968096 -003 3013 1002662 000 -036 127 -004 -040 040 1038 18042001 597402 0980593 -002 2966 0984334 -002 -036 127 -002 -038 036 1075 19042001 610423 1021796 002 2890 0974373 -003 -036 127 003 -033 030 1105 22042001 615551 1008401 001 2938 1016888 002 -036 127 001 -034 036 1141 23042001 626452 1017709 002 2807 0955350 -005 -036 127 002 -033 029 117024042001 624156 0996335 -000 2911 1037048 004 -036 127 -000 -036 040 1209 26042001 617783 0989789 -001 2973 1021160 002 -036 127 -001 -037 039 1248 29042001 612699 0991771 -001 2914 0980086 -002 -036 127 -001 -037 035 1283 30042001 612714 1000024 000 2822 0968699 -003 -036 127 000 -036 032 1315 02052001 627421 1024003 002 2801 0992347 -001 -036 127 003 -032 032 1347 03052001 634110 1010661 001 2886 1030277 003 -036 127 001 -034 037 1384 06052001 636990 1004542 000 2890 1001663 000 -036 127 001 -035 035 1419 07052001 649636 1019853 002 2909 1006366 001 -036 127 002 -033 034 1453

Page 166

Ameryah Cement Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative

rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return

08022001 747680 2900 11022001 733914 0981588 -002 2761 0952069 -005 -043 105 -002 -045 040 12022001 733028 0998793 -000 2743 0993481 -001 -043 105 -000 -043 042 082 13022001 726574 0991195 -001 2743 1000000 000 -043 105 -001 -044 044 126 14022001 726733 1000219 000 2867 1045206 004 -043 105 000 -043 047 174 15022001 716466 0985872 -001 2825 0985351 -001 -043 105 -001 -044 043 217 18022001 703762 0982269 -002 2949 1043894 004 -043 105 -002 -045 049 266 19022001 704431 1000951 000 2850 0966429 -003 -043 105 000 -043 039 305 20022001 720800 1023237 002 2870 1007018 001 -043 105 002 -041 041 347 22022001 696200 0965871 -003 2900 1010453 001 -043 105 -004 -047 048 394 25022001 670991 0963791 -004 2900 1000000 000 -043 105 -004 -047 047 441 26022001 655096 0976311 -002 2900 1000000 000 -043 105 -003 -045 045 486 27022001 675048 1030457 003 2900 1000000 000 -043 105 003 -040 040 526 28022001 667608 0988979 -001 3025 1043103 004 -043 105 -001 -044 048 575 01032001 672488 1007310 001 2995 0990083 -001 -043 105 001 -042 041 616 07032001 691184 1027801 003 3003 1002671 000 -043 105 003 -040 040 656 08032001 687929 0995291 -000 2907 0968032 -003 -043 105 -000 -043 040 696 11032001 675900 0982514 -002 3001 1032336 003 -043 105 -002 -045 048 744 12032001 668606 0989208 -001 3011 1003332 000 -043 105 -001 -044 044 789 14032001 643440 0962360 -004 3161 1049817 005 -043 105 -004 -047 052 841 15032001 634936 0986784 -001 3315 1048719 005 -043 105 -001 -044 049 890 18032001 628225 0989430 -001 3263 0984314 -002 -043 105 -001 -044 042 932 19032001 624649 0994308 -001 3263 1000000 000 -043 105 -001 -044 044 976 20032001 641923 1027654 003 2525 0773828 -026 -043 105 003 -040 014 990

Page 167

21032001 627624 0977725 -002 2452 0971089 -003 -043 105 -002 -045 042 1033 22032001 616127 0981682 -002 2500 1019576 002 -043 105 -002 -045 047 1080 25032001 624609 1013767 001 2500 1000000 000 -043 105 001 -042 042 1121 27032001 619112 0991199 -001 2516 1006400 001 -043 105 -001 -044 045 1166 28032001 606407 0979479 -002 2516 1000000 000 -043 105 -002 -045 045 1211 29032001 591655 0975673 -002 2527 1004372 000 -043 105 -003 -046 046 1257 01042001 574960 0971783 -003 2441 0965968 -003 -043 105 -003 -046 043 1299 02042001 580434 1009521 001 2415 0989349 -001 -043 105 001 -042 041 1340 03042001 595163 1025376 003 2415 1000000 000 -043 105 003 -040 040 1380 04042001 604910 1016377 002 2409 0997516 -000 -043 105 002 -041 041 1421 05042001 601771 0994811 -001 2415 1002491 000 -043 105 -001 -044 044 1465 08042001 613483 1019463 002 2481 1027329 003 -043 105 002 -041 044 1509 09042001 615266 1002906 000 2500 1007658 001 -043 105 000 -043 043 1552 10042001 609238 0990203 -001 2417 0966800 -003 -043 105 -001 -044 041 1593 11042001 628748 1032024 003 2500 1034340 003 -043 105 003 -040 043 1636 12042001 629302 1000881 000 2467 0986800 -001 -043 105 000 -043 042 1677 17042001 609225 0968096 -003 2467 1000000 000 -043 105 -003 -046 046 1724 18042001 597402 0980593 -002 2467 1000000 000 -043 105 -002 -045 045 1769

Page 168

Torah Portland Cement Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 15022001 716466 3234 -006 107 18022001 703762 0982269 -002 3174 0981447 -002 -006 107 -002 -008 006 19022001 704431 1000951 000 3160 0995589 -000 -006 107 000 -006 006 012 20022001 720800 1023237 002 3287 1040190 004 -006 107 002 -004 008 019 22022001 696200 0965871 -003 3199 0973228 -003 -006 107 -004 -010 007 026 25022001 670991 0963791 -004 3196 0999062 -000 -006 107 -004 -010 010 036 26022001 655096 0976311 -002 3156 0987484 -001 -006 107 -003 -009 007 044 27022001 675048 1030457 003 3127 0990811 -001 -006 107 003 -003 002 046 28022001 667608 0988979 -001 3190 1020147 002 -006 107 -001 -007 009 055 01032001 672488 1007310 001 3192 1000627 000 -006 107 001 -005 005 060 07032001 691184 1027801 003 3166 0991855 -001 -006 107 003 -003 002 063 08032001 687929 0995291 -000 3166 1000000 000 -006 107 -001 -007 007 069 11032001 675900 0982514 -002 3166 1000000 000 -006 107 -002 -008 008 077 12032001 668606 0989208 -001 3166 1000000 000 -006 107 -001 -007 007 085 14032001 643440 0962360 -004 3148 0994315 -001 -006 107 -004 -010 010 094 15032001 634936 0986784 -001 3112 0988564 -001 -006 107 -001 -008 006 101 18032001 628225 0989430 -001 3096 0994859 -001 -006 107 -001 -007 007 107 19032001 624649 0994308 -001 3054 0986434 -001 -006 107 -001 -007 005 113 20032001 641923 1027654 003 3000 0982318 -002 -006 107 003 -003 001 114 21032001 627624 0977725 -002 3000 1000000 000 -006 107 -002 -009 009 123 22032001 616127 0981682 -002 2912 0970667 -003 -006 107 -002 -008 005 128

Page 169

25032001 624609 1013767 001 2890 0992445 -001 -006 107 001 -005 004 132 27032001 619112 0991199 -001 3031 1048789 005 -006 107 -001 -007 012 144 28032001 606407 0979479 -002 3021 0996701 -000 -006 107 -002 -008 008 152 29032001 591655 0975673 -002 2999 0992718 -001 -006 107 -003 -009 008 160 01042001 574960 0971783 -003 3000 1000333 000 -006 107 -003 -009 009 169 02042001 580434 1009521 001 2967 0989000 -001 -006 107 001 -005 004 173 03042001 595163 1025376 003 2967 1000000 000 -006 107 003 -003 003 176 04042001 604910 1016377 002 2906 0979441 -002 -006 107 002 -004 002 179 05042001 601771 0994811 -001 2884 0992429 -001 -006 107 -001 -007 006 184 08042001 613483 1019463 002 2735 0948336 -005 -006 107 002 -004 -001 183 09042001 615266 1002906 000 2607 0953199 -005 -006 107 000 -006 001 184 10042001 609238 0990203 -001 2600 0997315 -000 -006 107 -001 -007 007 191 11042001 628748 1032024 003 2600 1000000 000 -006 107 003 -003 003 194 12042001 629302 1000881 000 2657 1021923 002 -006 107 000 -006 008 202 17042001 609225 0968096 -003 2590 0974784 -003 -006 107 -003 -010 007 209 18042001 597402 0980593 -002 2638 1018533 002 -006 107 -002 -008 010 219 19042001 610423 1021796 002 2696 1021986 002 -006 107 002 -004 006 225 22042001 615551 1008401 001 2613 0969214 -003 -006 107 001 -005 002 227 23042001 626452 1017709 002 2673 1022962 002 -006 107 002 -004 007 234 24042001 624156 0996335 -000 2567 0960344 -004 -006 107 -000 -007 002 236 26042001 617783 0989789 -001 2567 1000000 000 -006 107 -001 -007 007 243

Page 170

Nasr City for Housing and Development Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 27092001 561925 2109 30092001 564278 1004187 000 2104 0997629 -000 -115 075 000 -115 114 01102001 568252 1007043 001 2118 1006654 001 -115 075 001 -114 115 229 02102001 555684 0977883 -002 2075 0979698 -002 -115 075 -002 -117 115 344 03102001 549459 0988798 -001 2080 1002410 000 -115 075 -001 -116 116 460 04102001 544680 0991302 -001 2034 0977885 -002 -115 075 -001 -116 113 573 07102001 544675 0999991 -000 2050 1007866 001 -115 075 -000 -115 116 689 08102001 543049 0997015 -000 2046 0998049 -000 -115 075 -000 -115 115 804 09102001 545728 1004933 000 2106 1029326 003 -115 075 000 -115 117 921 10102001 549824 1007506 001 2055 0975783 -002 -115 075 001 -114 112 1033 11102001 554529 1008557 001 2051 0998054 -000 -115 075 001 -114 114 1147 14102001 563161 1015566 002 2111 1029254 003 -115 075 001 -114 117 1264 15102001 563789 1001115 000 2084 0987210 -001 -115 075 000 -115 114 1378 16102001 560209 0993650 -001 2104 1009597 001 -115 075 -000 -115 116 1494 17102001 573477 1023684 002 2113 1004278 000 -115 075 002 -113 114 1608 18102001 579797 1011020 001 2142 1013725 001 -115 075 001 -114 115 1723 21102001 583382 1006183 001 2129 0993931 -001 -115 075 000 -114 114 1837 22102001 585868 1004261 000 2095 0984030 -002 -115 075 000 -115 113 1950 23102001 584346 0997402 -000 2084 0994749 -001 -115 075 -000 -115 115 2064 24102001 580869 0994050 -001 2065 0990883 -001 -115 075 -000 -115 114 2179 25102001 571335 0983587 -002 2070 1002421 000 -115 075 -001 -116 116 2295

Page 171

28102001 560295 0980677 -002 2047 0988889 -001 -115 075 -001 -116 115 2411 29102001 558792 0997317 -000 2026 0989741 -001 -115 075 -000 -115 114 2525 30102001 563118 1007742 001 2025 0999506 -000 -115 075 001 -114 114 2639 31102001 557753 0990473 -001 2001 0988148 -001 -115 075 -001 -116 114 2753 01112001 554861 0994815 -001 2036 1017491 002 -115 075 -000 -115 117 2870 04112001 562024 1012910 001 2064 1013752 001 -115 075 001 -114 115 2986 05112001 565106 1005484 001 2100 1017442 002 -115 075 000 -115 116 3102 06112001 564130 0998273 -000 2091 0995714 -000 -115 075 -000 -115 115 3217 07112001 558639 0990266 -001 2051 0980870 -002 -115 075 -001 -116 114 3330 08112001 558192 0999200 -000 2050 0999512 -000 -115 075 -000 -115 115 3445 11112001 556063 0996186 -000 1958 0955122 -005 -115 075 -000 -115 111 3556 12112001 552223 0993094 -001 1895 0967824 -003 -115 075 -001 -115 112 3668 13112001 546427 0989504 -001 1896 1000528 000 -115 075 -001 -116 116 3784 14112001 541547 0991069 -001 1835 0967827 -003 -115 075 -001 -116 112 3896 15112001 533398 0984952 -002 1751 0954223 -005 -115 075 -001 -116 111 4008 18112001 524993 0984243 -002 1753 1001142 000 -115 075 -001 -116 116 4124 19112001 523018 0996238 -000 1783 1017114 002 -115 075 -000 -115 117 4241 20112001 520627 0995428 -000 1770 0992709 -001 -115 075 -000 -115 115 4355 21112001 510062 0979707 -002 1784 1007910 001 -115 075 -002 -116 117 4472 22112001 508562 0997059 -000 1792 1004484 000 -115 075 -000 -115 116 4588 25112001 508087 0999066 -000 1783 0994978 -001 -115 075 -000 -115 114 4703

Page 172

Suez Cement Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 16052001 655120 3535 17052001 659723 1007026 001 3554 1005375 001 -020 126 001 -019 019 20052001 656059 0994446 -001 3456 0972425 -003 -020 126 -001 -020 017 037 21052001 651237 0992650 -001 3462 1001736 000 -020 126 -001 -020 021 057 22052001 655995 1007306 001 3531 1019931 002 -020 126 001 -019 021 078 23052001 656965 1001479 000 3532 1000283 000 -020 126 000 -019 019 097 24052001 665419 1012868 001 3595 1017837 002 -020 126 002 -018 020 117 27052001 670868 1008189 001 3676 1022531 002 -020 126 001 -018 021 138 28052001 678608 1011537 001 3670 0998368 -000 -020 126 001 -018 018 155 29052001 668826 0985585 -001 3630 0989101 -001 -020 126 -002 -021 020 176 30052001 662111 0989960 -001 3617 0996419 -000 -020 126 -001 -021 020 196 31052001 653740 0987357 -001 3660 1011888 001 -020 126 -002 -021 022 218 03062001 634276 0970227 -003 3576 0977049 -002 -020 126 -004 -023 021 239 05062001 627793 0989779 -001 3596 1005593 001 -020 126 -001 -021 021 261 06062001 623888 0993780 -001 3568 0992214 -001 -020 126 -001 -020 020 280 07062001 629223 1008551 001 3582 1003924 000 -020 126 001 -018 019 299 10062001 632250 1004811 000 3761 1049972 005 -020 126 001 -019 024 323 11062001 629970 0996394 -000 3891 1034565 003 -020 126 -000 -020 023 346 12062001 632227 1003583 000 3789 0973786 -003 -020 126 000 -019 016 363 13062001 628592 0994250 -001 3814 1006598 001 -020 126 -001 -020 021 384 14062001 630035 1002296 000 3889 1019664 002 -020 126 000 -019 021 405

Page 173

17062001 621647 0986686 -001 3692 0949344 -005 -020 126 -002 -021 016 421 18062001 620202 0997676 -000 3671 0994312 -001 -020 126 -000 -020 019 440 19062001 610903 0985006 -002 3596 0979570 -002 -020 126 -002 -021 019 459 20062001 607444 0994338 -001 3627 1008621 001 -020 126 -001 -020 021 481 21062001 613967 1010738 001 3661 1009374 001 -020 126 001 -018 019 500 24062001 609920 0993408 -001 3672 1003005 000 -020 126 -001 -020 021 520 25062001 608366 0997452 -000 3694 1005991 001 -020 126 -000 -020 020 541 26062001 600648 0987314 -001 3610 0977260 -002 -020 126 -002 -021 019 560 27062001 593325 0987808 -001 3595 0995845 -000 -020 126 -002 -021 021 580 28062001 596953 1006115 001 3590 0998609 -000 -020 126 001 -019 019 599 02072001 609759 1021452 002 3627 1010306 001 -020 126 003 -017 018 617 03072001 619411 1015829 002 3611 0995589 -000 -020 126 002 -018 017 634 04072001 623719 1006955 001 3584 0992523 -001 -020 126 001 -019 018 652 05072001 620332 0994570 -001 3604 1005580 001 -020 126 -001 -020 021 672 08072001 622701 1003819 000 3641 1010266 001 -020 126 000 -019 020 692 09072001 624279 1002534 000 3654 1003570 000 -020 126 000 -019 020 712 10072001 615867 0986525 -001 3604 0986316 -001 -020 126 -002 -021 020 732 11072001 607357 0986182 -001 3587 0995283 -000 -020 126 -002 -021 021 753 12072001 609565 1003635 000 3579 0997770 -000 -020 126 000 -019 019 771 15072001 596585 0978706 -002 3519 0983236 -002 -020 126 -003 -022 021 792 16072001 579782 0971835 -003 3452 0980961 -002 -020 126 -004 -023 021 813

Page 174

Egyptian Financial and Industrial Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 14052001 664617 2188 -126 086 15052001 656225 0987373 -001 2297 1049817 005 -126 086 -001 -127 132 16052001 655120 0998316 -000 2206 0960383 -004 -126 086 -000 -126 122 254 17052001 659723 1007026 001 2199 0996827 -000 -126 086 001 -125 125 379 20052001 656059 0994446 -001 2188 0994998 -001 -126 086 -000 -126 126 505 21052001 651237 0992650 -001 2166 0989945 -001 -126 086 -001 -127 126 630 22052001 655995 1007306 001 2195 1013389 001 -126 086 001 -125 127 757 23052001 656965 1001479 000 2111 0961731 -004 -126 086 000 -126 122 879 24052001 665419 1012868 001 2210 1046897 005 -126 086 001 -125 129 1008 27052001 670868 1008189 001 2238 1012670 001 -126 086 001 -125 126 1134 28052001 678608 1011537 001 2272 1015192 002 -126 086 001 -125 126 1261 29052001 668826 0985585 -001 2253 0991637 -001 -126 086 -001 -127 126 1387 30052001 662111 0989960 -001 2220 0985353 -001 -126 086 -001 -127 125 1512 31052001 653740 0987357 -001 2253 1014865 001 -126 086 -001 -127 128 1641 03062001 634276 0970227 -003 2251 0999112 -000 -126 086 -003 -128 128 1769 05062001 627793 0989779 -001 2251 1000000 000 -126 086 -001 -127 127 1896 06062001 623888 0993780 -001 2315 1028432 003 -126 086 -001 -126 129 2025 07062001 629223 1008551 001 2306 0996112 -000 -126 086 001 -125 125 2150 10062001 632250 1004811 000 2257 0978751 -002 -126 086 000 -125 123 2273 11062001 629970 0996394 -000 2335 1034559 003 -126 086 -000 -126 130 2403 12062001 632227 1003583 000 2367 1013704 001 -126 086 000 -126 127 2530

Page 175

13062001 628592 0994250 -001 2335 0986481 -001 -126 086 -000 -126 125 2655 14062001 630035 1002296 000 2297 0983726 -002 -126 086 000 -126 124 2779 17062001 621647 0986686 -001 2386 1038746 004 -126 086 -001 -127 131 2910 18062001 620202 0997676 -000 2441 1023051 002 -126 086 -000 -126 128 3038 19062001 610903 0985006 -002 2416 0989758 -001 -126 086 -001 -127 126 3164 20062001 607444 0994338 -001 2311 0956540 -004 -126 086 -000 -126 122 3286 21062001 613967 1010738 001 2250 0973605 -003 -126 086 001 -125 122 3409 24062001 609920 0993408 -001 2331 1036000 004 -126 086 -001 -126 130 3538 25062001 608366 0997452 -000 2304 0988417 -001 -126 086 -000 -126 125 3663 26062001 600648 0987314 -001 1995 0865885 -014 -126 086 -001 -127 113 3776 27062001 593325 0987808 -001 1930 0967419 -003 -126 086 -001 -127 124 3900 28062001 596953 1006115 001 1975 1023316 002 -126 086 001 -125 128 4027 02072001 609759 1021452 002 1923 0973671 -003 -126 086 002 -124 121 4149 03072001 619411 1015829 002 1923 1000000 000 -126 086 001 -125 125 4273 04072001 623719 1006955 001 2001 1040562 004 -126 086 001 -125 129 4403 05072001 620332 0994570 -001 2067 1032984 003 -126 086 -000 -126 130 4532 08072001 622701 1003819 000 2075 1003870 000 -126 086 000 -126 126 4658 09072001 624279 1002534 000 2081 1002892 000 -126 086 000 -126 126 4784 10072001 615867 0986525 -001 2159 1037482 004 -126 086 -001 -127 131 4915 11072001 607357 0986182 -001 2078 0962483 -004 -126 086 -001 -127 123 5038 12072001 609565 1003635 000 2151 1035130 003 -126 086 000 -126 129 5167

Page 176

Abu Keir for Fertilisers Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 23092001 597012 2759 24092001 588809 0986260 -001 2759 1000000 000 -094 047 -001 -095 095 25092001 581727 0987972 -001 2760 1000362 000 -094 047 -001 -095 095 190 26092001 570192 0980171 -002 2734 0990580 -001 -094 047 -001 -095 094 285 27092001 561925 0985501 -001 2744 1003658 000 -094 047 -001 -095 096 380 30092001 564278 1004187 000 2790 1016764 002 -094 047 000 -094 096 476 01102001 568252 1007043 001 2837 1016846 002 -094 047 000 -094 096 572 02102001 555684 0977883 -002 2830 0997533 -000 -094 047 -001 -096 095 667 03102001 549459 0988798 -001 2821 0996820 -000 -094 047 -001 -095 095 762 04102001 544680 0991302 -001 2800 0992556 -001 -094 047 -000 -095 094 856 07102001 544675 0999991 -000 2800 1000000 000 -094 047 -000 -094 094 951 08102001 543049 0997015 -000 2822 1007857 001 -094 047 -000 -095 095 1046 09102001 545728 1004933 000 2815 0997519 -000 -094 047 000 -094 094 1140 10102001 549824 1007506 001 2834 1006750 001 -094 047 000 -094 095 1235 11102001 554529 1008557 001 2834 1000000 000 -094 047 000 -094 094 1329 14102001 563161 1015566 002 2828 0997883 -000 -094 047 001 -094 094 1423 15102001 563789 1001115 000 2825 0998939 -000 -094 047 000 -094 094 1517 16102001 560209 0993650 -001 2822 0998938 -000 -094 047 -000 -095 095 1612 17102001 573477 1023684 002 2832 1003544 000 -094 047 001 -093 094 1705 18102001 579797 1011020 001 2820 0995763 -000 -094 047 001 -094 094 1799 21102001 583382 1006183 001 2838 1006383 001 -094 047 000 -094 095 1894

Page 177

22102001 585868 1004261 000 2801 0986963 -001 -094 047 000 -094 093 1987 23102001 584346 0997402 -000 2812 1003927 000 -094 047 -000 -095 095 2082 24102001 580869 0994050 -001 2823 1003912 000 -094 047 -000 -095 095 2177 25102001 571335 0983587 -002 2824 1000354 000 -094 047 -001 -095 095 2272 28102001 560295 0980677 -002 2806 0993626 -001 -094 047 -001 -095 095 2367 29102001 558792 0997317 -000 2498 0890235 -012 -094 047 -000 -095 083 2450 30102001 563118 1007742 001 2482 0993595 -001 -094 047 000 -094 093 2544 31102001 557753 0990473 -001 2444 0984690 -002 -094 047 -000 -095 093 2637 01112001 554861 0994815 -001 2455 1004501 000 -094 047 -000 -095 095 2732 04112001 562024 1012910 001 2488 1013442 001 -094 047 001 -094 095 2827 05112001 565106 1005484 001 2492 1001608 000 -094 047 000 -094 094 2922 06112001 564130 0998273 -000 2481 0995586 -000 -094 047 -000 -095 094 3016 07112001 558639 0990266 -001 2496 1006046 001 -094 047 -000 -095 096 3111 08112001 558192 0999200 -000 2470 0989583 -001 -094 047 -000 -095 093 3205 11112001 556063 0996186 -000 2488 1007287 001 -094 047 -000 -095 095 3300 12112001 552223 0993094 -001 2498 1004019 000 -094 047 -000 -095 095 3396 13112001 546427 0989504 -001 2495 0998799 -000 -094 047 -001 -095 095 3490 14112001 541547 0991069 -001 2488 0997194 -000 -094 047 -000 -095 095 3585 15112001 533398 0984952 -002 2498 1004019 000 -094 047 -001 -095 096 3681 18112001 524993 0984243 -002 2460 0984788 -002 -094 047 -001 -095 094 3774 19112001 523018 0996238 -000 2460 1000000 000 -094 047 -000 -095 095 3869

Page 179

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 = [(T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX)] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2] (511)

middot Jensen (Alpha) = arp ndash [arf + βp(arM - arf)] (512)

middot Sharpe = (arp - arf) σp (513)

middot Treynor = (arp - arf) βp (514)

middot Tracking Error = αp σep (515)

The following are the detailed calculations of the various performance measures for

the funds analysed

Page 180

Market Portfolio

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -2630 881 -3511 123271 123271 123271 1999 4250 905 3345 4250 905 3345 111890 111890 111890 2000 -4119 909 -5028 -4119 909 -5028 252808 252808 252808 2001 -3120 906 -4026 -3120 906 -4026 162087 162087 162087

Sum -9220 -9220 650056 650056 650056

Mean -1405 900

Standard Deviation 3820

Beta 100 Jensen (Alpha) 000 Std Dev Of Rndm Error Term 000 Sharpe -060 Treynor -2305 Tracking Error 000

Page 181

Fund No 1

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1630 881 -2511 123271 63051 88161 1999 4250 905 3345 1200 905 295 111890 870 9868 2000 -4119 909 -5028 -1144 909 -2053 252808 42148 103225 2001 -3120 906 -4026 -1750 906 -2656 162087 70543 106931

Sum -9220 -6925 650056 176613 308184

Mean -831 900

Standard Deviation 1379

Beta 034 Jensen (Alpha) -949 Std Dev Of Rndm Error Term 560 Sharpe -126 Treynor -5099 Tracking Error -169

Page 182

Fund No 2

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1660 881 -2541 123271 64567 89215 1999 4250 905 3345 1590 905 685 111890 4692 22913 2000 -4119 909 -5028 -1307 909 -2216 252808 49107 111420 2001 -3120 906 -4026 -520 906 -1426 162087 20335 57411

Sum -9220 -5498 650056 138700 280959

Mean -474 900

Standard Deviation 1456

Beta 035 Jensen (Alpha) -562 Std Dev Of Rndm Error Term 662 Sharpe -094 Treynor -3899 Tracking Error -085

Page 183

Fund No 3

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1490 881 -2371 123271 56216 83246 1999 4250 905 3345 1350 905 445 111890 1980 14885 2000 -4119 909 -5028 -1289 909 -2198 252808 48312 110515 2001 -3120 906 -4026 -1310 906 -2216 162087 49107 89216

Sum -9220 -6340 650056 155615 297863

Mean -685 900

Standard Deviation 1359

Beta 035 Jensen (Alpha) -786 Std Dev Of Rndm Error Term 354 Sharpe -117 Treynor -4571 Tracking Error -222

Page 184

Fund No 4

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1770 881 -2651 123271 70278 93077 1999 4250 905 3345 1100 905 195 111890 380 6523 2000 -4119 909 -5028 -1438 909 -2347 252808 55084 118007 2001 -3120 906 -4026 -1690 906 -2596 162087 67392 104515

Sum -9220 -7399 650056 193135 322121

Mean -950 900

Standard Deviation 1374

Beta 035 Jensen (Alpha) -1051 Std Dev Of Rndm Error Term 434 Sharpe -135 Treynor -5339 Tracking Error -242

Page 185

Fund No 5

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1680 881 -2561 123271 65587 89917 1999 4250 905 3345 1230 905 325 111890 1056 10871 2000 -4119 909 -5028 -1078 909 -1987 252808 39482 99906 2001 -3120 906 -4026 -1410 906 -2316 162087 53639 93242

Sum -9220 -6539 650056 159764 293936

Mean -735 900

Standard Deviation 1333

Beta 033 Jensen (Alpha) -880 Std Dev Of Rndm Error Term 547 Sharpe -123 Treynor -4994 Tracking Error -161

Page 186

Fund No 6

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1480 881 -2361 123271 55743 82895 1999 4250 905 3345 1140 905 235 111890 552 7861 2000 -4119 909 -5028 -1083 909 -1992 252808 39681 100158 2001 -3120 906 -4026 -1240 906 -2146 162087 46053 86398

Sum -9220 -6264 650056 142029 277311

Mean -666 900

Standard Deviation 1215

Beta 030 Jensen (Alpha) -866 Std Dev Of Rndm Error Term 421 Sharpe -129 Treynor -5155 Tracking Error -205

Page 187

Fund No 7

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1151 881 -2032 123271 41290 71344 1999 4250 905 3345 306 905 -599 111890 3588 -20037 2000 -4119 909 -5028 -1174 909 -2083 252808 43389 104733 2001 -3120 906 -4026 -1312 906 -2218 162087 49195 89297

Sum -9220 -6932 650056 137462 245337

Mean -833 900

Standard Deviation 762

Beta 020 Jensen (Alpha) -1282 Std Dev Of Rndm Error Term 173 Sharpe -227 Treynor -8863 Tracking Error -739

Page 188

Fund No 8

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -279 881 -1160 123271 13456 40728 1999 4250 905 3345 751 905 -154 111890 237 -5151 2000 -4119 909 -5028 -803 909 -1712 252808 29309 86079 2001 -3120 906 -4026 -960 906 -1866 162087 34820 75125

Sum -9220 -4892 650056 77822 196781

Mean -323 900

Standard Deviation 773

Beta 019 Jensen (Alpha) -780 Std Dev Of Rndm Error Term 305 Sharpe -158 Treynor -6369 Tracking Error -256

Page 189

References

1 Bekaert G and Harvey C R ldquoTime-Varying World Market Integrationrdquo Journal

of Finance Vol 50 no 2 (June 1995) pp 403-444

2 Bekaert G and Harvey C R ldquoEmerging Equity Market Volatilityrdquo Journal of

Financial Economics Vol 43 no 1 (1997) pp 29-77

3 Bekaert G Erb C B Harvey C R and Viscanta T E ldquoDistributional

Characteristics of Emerging Market Returns and Asset

Allocationrdquo Journal of Portfolio Management Vol 24

no 2 (Winter 1998) pp 102-116

4 Bodie Z Kane A and Marcus A ldquoInvestmentsrdquo 4th ed McGraw Hell 2001

5 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (May 2002)

6 Cairo and Alexandria Stock Exchanges ldquoFact Bookrdquo 2001

7 Cairo and Alexandria Stock Exchanges ldquoStatistical Highlightsrdquo 2001

8 Claessens S ldquoAssessing Investment Potential and Security Designrdquo Conference

on Portfolio Investment in Developing Countries The

World Bank 1993

9 Conrad J and Kaul G ldquoTime Variation in Expected Returnsrdquo Journal of

Business Vol 61 no 4 (October 1998) pp 409-425

in (Bodie et al 2001)

10 Egyptian Financial Group (EFG-Hermes) ldquoEgypt Country Reportrdquo (May 2000)

11 Fama E F ldquoEfficient Capital Markets A Review of Theory and Empirical

Workrdquo Journal of Finance Vol 25 no 2 (May 1970) pp

383-417

12 Fama E F Fisher L Jensen M and Roll R ldquoThe Adjustment of Stock prices

Page 190

to New Informationrdquo International Economic Review

Vol 10 no 1 (February 1969) pp 1-21 in (Fama

1970)

13 Fama E F and French K R Permanent and Temporary Components of Stock

pricesrdquo Journal of Political Economy Vol 96 (April

1988) pp 24-73 in Bodie et al (2001)

14 Fama E F ldquoEfficient Capital Markets IIrdquo Journal of Finance Vol 46 no 5

(December 1991) pp 1575-1617

15 Fama E F ldquoMarket Efficiency Long-Term Returns and Behavioural Financerdquo

Journal of Financial Economics Vol 49 (September

1998) pp 283-306

16 Harvey C R ldquoThe Risk Exposure of Emerging Equity Marketsrdquo Conference on

Portfolio Investment in Developing Countries The World

Bank 1993

17 HC Brokerage ldquoEgypt Equity Researchrdquo 2001

18 Howell M J Cleassens S and Gooptu S ldquoInvesting in Emerging Marketsrdquo

Euromoney Books in association with the World Bank 1994

19 HSBC Investment Bank-Egypt ldquoTreasury and Capital Markets A Guide to

Egyptrdquo 2001

20 Jensen M C ldquoThe Performance of Mutual Funds in The Period 1945-1964rdquo

Journal of Finance Vol 23 no 2 (May 1968) pp 389-416

21 Kendall M G ldquoThe Ananlysis of Economic Time Series Part I Pricesrdquo Journal

of Royal Statistical Society 96 (Part 1 1953) pp 11-

25 in (Fama 1970 pp 390) and (Leroy 1989 pp

1587-1588)

Page 191

22 Law No 951992 ldquoCapital Market Lawrdquo

23 Law No 1591981 ldquoCompanies Lawrdquo

24 Law No 2031991 ldquoInvestment Lawrdquo

25 LeRoy S F ldquoEfficient Capital Markets and Martingalesrdquo Journal of Economic

Literature Vol 27 no 4 (December 1989) pp 1583-1621

26 Lewellen J and Shanken J ldquoLearning Asset Pricing Tests and Market

efficiencyrdquo Journal of Finance Vol 57 no 3 (June

2002) pp 1113-1144

27 Masters S J ldquoEmerging Markets Managing the Impact of High Costsrdquo Journal

of Portfolio Management Vol 28 no 3 (Spring 2002) pp

96-101

28 Mecagni M and Sourial M S ldquoThe Egyptian Stock Market Efficiency Tests

and Volatility Effectsrdquo International Monetary Fund

Working Paper 9948 (April 1999)

29 Odier P Solnik B and Zucchinetti S ldquoGlobal Optimisation for Swiss Pension

Fundsrdquo Finazmarkt und Portfolio Management (June

1995) in (Solnik 2000) pp 263

30 Poterba J and Summers L ldquoMean Reversion in Stock Prices Evidence and

Implicationsrdquo Journal of Financial Economics Vol 22

(October 1988) pp 27-59 in (Bodie et al 2001) pp

345

31 Saunders A and Walter I ldquoAre Emerging Market Equities a Separate Asset

Classrdquo Journal of Portfolio Management Vol 28 no

3 (Spring 2002) pp 102-114

32 Sharpe W F ldquoMutual Fund Performancerdquo Journal of Business Vol 39 no 1

Page 192

(January 1966) pp 119-138

33 Sharpe W F Alexander G J and Bailey J V ldquoInvestmentsrdquo 6th ed Prentice

Hall Inc 1999

34 Solnik B ldquoInternational Investmentsrdquo 4th ed Addison Wesley 2000

35 Stevenson S ldquoEmerging Markets Downside Risk and The Asset Allocation

Decisionrdquo Emerging Markets Review Vol 2 no 1

(March 2001) pp 50-66

36 Treynor J L ldquoHow to Rate Management of Investment Fundsrdquo Harvard

Business Review Vol 43 no 1 (JanuaryFebruary 1965) pp

63-75

37 Treynor J L and Black F ldquoHow to Use Security Analysis to Improve Portfolio

Selectionrdquo Journal of Business Vol 46 no 1

(January 1973) pp 66-86

38 Williamson J ldquoIssues Posed by Portfolio Investment in Developing Countriesrdquo

Conference on Portfolio Investment in Developing

Countries The World Bank 1993

Electronic References

1 Cairo and Alexandria Stock Exchanges ldquoTrade Historyrdquo [Online]

httpwwwegyptsecomtradehistoryasp

2 DATASTREAM [Online]

3 Law No 81997 ldquoInvestment Lawrdquo (August 2002) [Online]

httpwwweconomygovegenglishdownloadtocdownloadstm

4 Law No 932000 ldquoCentral Securities Depository and Registry Lawrdquo (August

Page 193

2002) [Online]

httpwwweconomygovegarabicdownloadtocdownloadstm

5 REUTERS [Online]

Bibliography

1 Black F ldquoNoiserdquo Journal of Finance Vol 41 no 3 (July 1986) pp 529-543

2 Cairo and Alexandria Stock Exchanges ldquoStock Guiderdquo 2001

3 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (November 2000)

4 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (December 2001)

5Cothren R ldquoOn The Impossibility of Informationally Efficient Markets

Commentrdquo American Economic Review Vol 72 no

4 (September 1982) pp 873-874

6 Elton E J Gruber M J Das S and Hlavka M ldquoEfficiency with Costly

Information A Reinterpretation of Evidence from

Managed Portfoliosrdquo Review of Financial Studies

Vol 6 no 1 (1993) pp 1-22

7 Grossman S J and Stiglitz J E ldquoOn The Impossibility of Informationally

Efficient Marketsrdquo American Economic Review Vol

70 no 3 (June 1980) pp 393-408

8 Grossman S J and Stiglitz J E ldquoOn The Impossibility of Informationally

Efficient Markets Replyrdquo American Economic

Review Vol 72 no 4 (September 1982) pp 875

Page 194

9 HSBC Investment Bank-Egypt ldquoEgypt Equities Researchrdquo (20012002)

10 Malkiel B G ldquoReturns From Investing in Equity Mutual Funds 1971-1991rdquo

Journal of Finance Vol 50 (June 1995) pp 549-572

11 Ministry of Foreign Trade ldquo Monthly Economic Digestrdquo (May 2002)

12 Prime Funds ldquoAnnual Reviewrdquo (1997 1998 1999 2000 and 2001)

13 Prime Group ldquoBlue Book Guide to Egyptian Securitiesrdquo (1998 1999 2000 and

2001)

14 Sharpe W F ldquoCapital Asset Prices A Theory of Market Equilibrium Under

Conditions of Riskrdquo Journal of Finance Vol 19 no

3 (September 1964) pp 425-442

Electronic

1 Cairo and Alexandria Stock Exchanges ldquoCASE 50 Index Rulesrdquo [Online]

httpwwwegyptsecomcase50_ivasp

2 Egyptian Financial Group (EFG-Hermes) ldquoFundsrdquo (September 2002) [Online]

httpwwwefg-hermescomegdocsmarketfundsasp

3 Egyptian Financial Group (EFG-Hermes) ldquoFunds Reportsrdquo (July 2002)

[Online]

httpwwwefg-hermescomegdocsmarketfunds_reportsasp

Page 2

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 amp 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

Page 3

Synopsis

Emerging markets are generally characterised by being ldquoinformationally inefficientrdquo

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 20002001

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 ldquoSemi-Strong fromrdquo

efficient markets indicating that publicly available information might have not been

ldquofully reflectedrdquo 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

Page 4

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

11 Aims and Objectives

Under the Efficient Markets Hypothesis stock prices are assumed to ldquoFully Reflectrdquo 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

Page 5

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 20002001 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

12 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

Page 6

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 20002001

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

Page 7

Chapter 2 Literature Review

21 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

bull A country with low or middle income using the World Bankrsquos

Classification

bull 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 (21) below depicts the results of the study

Page 8

Graph 21 Efficient Frontier with Emerging Markets

Source Odier Solnik and Zucchinetti ldquoGlobal Optimisation for Swiss Pension fundsrdquo 1995 in Solnik ldquoInvestmentsrdquo 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 115 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 investorrsquos 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

Page 9

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 countriesrsquo 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

Page 10

bull More diversified sources of external finance

bull Greater risk bearing by private investors through equity investment

compared to the case of bank lending in the 1970s

bull Reduced cost of capital

bull 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

bull Favourable interest and equity return differentials with industrial countries

bull Risk Diversification due to low correlation of stock returns in

developing countries with returns in industrial countries

bull The inefficiency of Emerging markets which makes returns predictable

bull 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

Page 11

protection inefficient country funds and limited number of internationally listed

securities

Williamson (1993) discusses the issue of better fund management under the private-

to-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 sellersrsquo 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 ldquoIndiscriminate Capital

Flowsrdquo 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

Page 12

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 Williamsonrsquos 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 countryrsquos market or

securities

Claessens (1993) also discusses the concept of marketsrsquo 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

Page 13

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 ldquoShifting Industrial

Structuresrdquo which suggests changes in risk sensitivities over time

Page 14

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 marketsrsquo returns

alter over time

Table (21) shows summary statistical data for 23 Developed and 15 Emerging

Markets over the period 1988-1997 on a monthly basis

Table 21 Summary Statistics for Emerging and Developed Markets

Page 15

Table 21 Continued

Source Stevenson S ldquoEmerging Markets Downside Risk and The Asset Allocation Decisionrdquo

The data is based on IFC indices for the Emerging markets and MSCI indices for the

Developed markets

Table 21 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 ndash0233 for Japan and 15037 for Netherlands and the Returns for

Emerging markets that vary between ndash07979 for Korea and 24731 for

Argentina

Page 16

Variance figures also show greater variation with Developed markets varying between

118745 for USA and 599113 for Hong Kong and developing markets varying

between 213601 for Jordan and 4490278 for Argentina

More interestingly when considering the degree of skewness and kurtosis most

Emerging marketsrsquo returns display significant results indicating non-normality in the

distribution of returns

For example Nigeria shows significant values of kurtosis and skewness of 31931 and

ndash34479 respectively compared to 04818 and ndash02368 for USA

The Jarque-Bera (JB) statistics show similar results confirming the departure of Risk-

Return 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 ndash

such as custody legal and accounting costs ndash 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

Page 17

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 ndash 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 22)

Page 18

Table 22 Correlations in Returns between Emerging and Developed Markets

Source Saunders and Walter ldquoAre Emerging Market Equities a Separate Asset Classrdquo 2002

They conclude that the traditional consideration of emerging marketsrsquo stocks as being

a separate asset class and therefore allocation of funds among countriesrsquo indices will

no longer be sufficient to generate diversification benefits

Instead they confirm Masterrsquos 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

Page 19

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

22 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)

ldquoThe literature is now so large that a full review is impossiblerdquo

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 ldquoRandom Walkrdquo that is stock returns tend to be

independent of past returns (Fama 1970)

The first impression of Kendallrsquos conclusion is that markets are irrational and tend to

act with no sense of direction

Page 20

Later research clarified that Kendallrsquos conclusion in fact reflects the rational nature

of the market

Fama (1970) defines an Efficient Market as one where information is ldquoFully

Reflectedrdquo 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 ldquoFully Reflectrdquo 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

bull Weak-form efficient where the prices reflect all available information

about past prices

bull Semi-strong-form efficient where the prices reflect all publicly

available information including earnings companiesrsquo performance

etc

bull 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 securitiesrsquo prices

follow a random walk and suggests that they tend to follow a ldquoSubmartingalerdquo

Page 21

That is instead of the restrictive assumption that securities prices and returns are

serially independent and identically distributed he assumes that prices follow a

ldquoRandom Walk with a Driftrdquo 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 ldquoBuy-and-Holdrdquo strategy

Subsequent research found relatively supporting evidence to Famarsquos 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 pricesrsquo returns show negative long-term serial correlations suggesting

that stock prices might overreact to relevant news in whatrsquos came to be known as the

ldquoFads Hypothesisrdquo (Bodie Kane and Marcus 2001)

Also Leroy (1989) challenged Famarsquos argument (1970) that when prices follow a

submartingale no strategy can outperform a ldquoBuy-and-Holdrdquo 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 ldquoBuy-and-Holdrdquo strategy

Page 22

Second that the Capital Asset Pricing Model (CAPM) implies that in equilibrium

asset returns will not necessarily follow a submartingale That is a stockrsquos returns

might negatively co-varies with the market strong enough that it would be included in

a risk averse investorrsquos 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

ldquoRisk Neutralityrdquo and that investors will rush to buysell 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 ldquoJoint Hypothesisrdquo 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

Page 23

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 ldquoParameter Uncertaintyrdquo 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 mean-

reversion process)

Something they comment which data generating process can predict before hands

Page 24

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 23 below shows the main results of the study

Table 23 Unconditional Distribution Statistics for the Egyptian Stock Exchange Daily Stock Returns

Page 25

Source Mecagni and Sourial ldquoThe Egyptian Stock Market Efficiency Tests and Volatility Effectsrdquo 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

Page 26

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

Page 27

Chapter 3 General Preview

31 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 19901991 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 951992 The law provided great momentum to the market and the

market capitalisation increased dramatically as the reform and privatisation

progressed

Table (31) provides main market indicators for the Egyptian Stock Market for the

period 1991 ndash June 2001

Page 28

Table 31 Main Market Indicators for the period 1991 ndash June 2001

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

From the table it can be seen that the market capitalisation increased form LE88

billion in 1991 to LE 1197 billion in 2000 and was slightly reduced to LE1103

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 (31) and (32) which correspond to lines 3 and 6 of Table (31) respectively

Page 29

Graph 31 Total Volume of Traded Securities Graph 32 Total Value Traded of Securities (Million) Jan 1991 ndash Jun 2001 (Million) Jan 1991 ndash June 2001

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

The Egyptian Stock Market is well regulated however therersquos 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 (32) below shows that as at 30 June 2001 8226 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 30

Table 32 Liquidity of the 30 Most Heavily Traded Stocks in Terms of Value Traded (Jan 2001 ndash 30 June 2001)

Source Cairo and Alexandria Stock Exchanges Statistical Highlights 2001

311 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 31

The Capital Market Law (Law 951992)

Replacing Law 1611957 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 932000)

This laws aims to provide the legal framework for the Central Depository in Egypt

The law identifies shareholdersrsquo 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 32

The law also introduced the legal recognition of the concept of ldquoNominee Tradingrdquo

and the Depositoryrsquos obligation to establish and control a ldquoGuarantee Fundrdquo which

ensures the settlement of trades on time to achieve smooth market operation

The Companies Law (Law 1591981)

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 2031991)

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 self-

run 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 governmentrsquos share of ownership in a company drops to less than

51 the regulation of the company passes from law 203 to law 159

Page 33

The Investment Law (Law 81997)

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

312 The Exchange

Egyptrsquos 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 34

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 951992) 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 35

313 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 36

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 LE300 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 ndash PIPO) (Prime Asset Management Index ndash PAMI)

and (Prime General Index ndash 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 Corporationrsquos Global and Investable indices

Page 37

(IFCG and IFCI) in 1996 Egypt was added to the Morgan Stanley index on a stand-

alone 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 028 212 and 014 respectively (CASEFB 2001)

314 Key Economic Sectors

Egyptrsquos 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 (33) below depicts the main economic indicators for Egypt for the period 1997

till 2000

Table 33 Main Economic Indicators 1997 - 2000

Source HSBC Investment Bank ndash Egypt ldquoTreasury and Capital Markets A Guide to Egyptrdquo 2001

Page 38

Table (33) shows GDP growth rate of 51 in 19992000 down from 61 in

19981999 due to the economic slowdown which was a reflection of the global

economic conditions

Egyptrsquos inflation rate has also declined from 38 in 19981999 to 28 in 19992000

with an average rate below 4 for the entire period from 1997 ndash 2000

Foreign Reserves have declined from US$ 203 billion in 19971998 to US$ 147

billion in 19992000 due to the governmentrsquos managed float foreign exchange policy

However the level of reserves remains healthy covering approximately 9 months of

imports

Exports increased by 42 in 19992000 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 39

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 statersquos 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 40

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

Egyptrsquos 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 governmentrsquos 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 55 million

arrivals and revenues which increased by 33 to US$ 47 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

109 This was in direct relation to an average growth in GDP of 5 per annum and

an average growth in construction industry of 25 per annum (HC 2001)

Page 41

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 (34) below shows the current market share of three of the largest cement

producers in Egypt as of 2001

Table 34 Market Share of the Three Largest Cement Producers in Egypt (2001)

Source HC Brokerage ldquoEgypt Equity Researchrdquo 2001

As a result capacity additions rose by 102 in 2000 and by 287 in 2001 This

increase in capacity coupled with the economic slowdown and stagnation in

construction industry in 20002001 resulted in supply exceeding demand for the first

time in 20012002 (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 42

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 25 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 43

while consumption is around 20 million tons with the surplus being exported

Approximately 79 of Egyptrsquos 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 Egyptrsquos 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)

315 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 44

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 LE 15 million However the more recently introduced Capital

Adequacy requirements mandate that new brokerage firms must have a minimum

Authorised Capital of LE 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)

316 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 45

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 LE 179 billion in June 2001 as compared to LE 1103

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 46

32 Market Performance

Market analysis for the period 1996 till 1st quarter 2000 is based on the analysis included in ldquoEFG-Hermes Country Report May 2000rdquo Additional analysis for the period 2nd quarter 2000 till 2001 is based on the analysis included in ldquoCairo and Alexandria Stock Exchanges Fact Book 2001rdquo Performance analysis is based on the performance of the Hermes Financial Index for the period 1996-2001

Despite the fact that the Capital Market Law (Law 951992) gave the regulatory

power to reform the Stock Market in Egypt it wasnrsquot until 1996 when ldquoNasr City for

Housing and Development Companyrdquo offered the first majority privatisation stake in

accordance with the aims and objectives of the Privatisation Law (Law 2031991)

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 33)

Graph 33 Overall Market Performance (1996 ndash 1998)

Source EFG-Hermes ldquoEgypt Country Reportrdquo 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 47

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 ldquoValue

Stocksrdquo to new-economy ldquoGrowth Stocksrdquo 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 34)

Graph 34 Private versus Public Sector Share Performance 1998

Source EFG-Hermes ldquoEgypt Country Reportrdquo 2000

In early 1999 the market started rising once again This was mainly attributed to the

initial public offering of ldquoMobinilrdquo the first in telecommunication sector which

marked the market shift towards more sophistication in trading decisions with

Mobinilrsquos share price ending 1999 with 660 increase

Page 48

In the mean time a liquidity squeeze became apparent amid concerns about the

governmentrsquos management of the economy and its commitment to the privatisation

programme This drove the market down for the most of 1999 (Graph 35)

Graph 35 Market Performance (1998-1999)

Source EFG-Hermes ldquoEgypt Country Reportrdquo 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 36)

Page 49

Graph 36 Market Performance (2000 ndash 2001)

0

2000

4000

6000

8000

10000

12000

14000

16000

020

120

00

020

220

00

020

320

00

020

420

00

020

520

00

020

620

00

020

720

00

020

820

00

020

920

00

021

020

00

021

120

00

021

220

00

020

120

01

020

220

01

020

320

01

020

420

01

020

520

01

020

620

01

020

720

01

020

820

01

020

920

01

021

020

01

021

120

01

021

220

01

HFI

Source REUTERS EFG-Hermes

The general downturn continued during the rest of 2000 and throughout 2001 with the

market being down by 596 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 50

Chapter 4 Market Efficiency

41 Methodology

411 Event studies

The approach adopted in testing for market efficiency within the Egyptian Stock

market is ldquoEvent Studiesrdquo 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 ldquoSemi-strong efficientrdquo 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 ldquoSemi-

strong inefficientrdquo market

The tests were conducted using an Ordinary Least Squares regression model (OLS) to

identify the stockrsquos Expected Normal Returns and hence any deviation of Actual

Returns from Expected returns in the form of Unexpected Abnormal Returns

Page 51

Mathematically the returns of a security can be represented by the following formula

ri = αi + βirM + ei (41)

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 irsquos abnormal returns

From equation (41) the abnormal returns of a security can be found be rewriting the

equation to be

ei = ri ndash (αi + βirM) (42)

Equation (42) 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

bull using Cumulative Abnormal Returns (CAR) to measure abnormal

returns surrounding the event examined instead of the Buy-and-Hold

Average Returns (BHAR) method

bull returns were measured over short horizons to provide better results

under the assumption of securities returns being normally distributed

Page 52

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)

412 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 41 shows the values of Standard Deviation Skewness and Kutosis for the

index returns for the periods 19961997 19981999 and 20002001

Page 53

Table 41 Key Statistics for the Hermes Financial Index 1996-2001

Date Index Value Change Index Returns Date Index Value Change Index Returns Date Index Value Change Index Returns 1996-19971 1998-1999 2000-2001 (Vt Vt-1) ln (Vt Vt-1) (Vt Vt-1) ln (Vt Vt-1) (Vt Vt-1) ln (Vt Vt-1)

10111996 867670 28121997 1226070 26121999 1215240 17111996 882871 1017519 174 04011998 1240540 1011802 117 02012000 1302750 1072010 695 24111996 945531 1070973 686 11011998 1222730 0985643 -145 09012000 1360710 1044491 435 01121996 996570 1053979 526 18011998 1206630 0986833 -133 16012000 1383930 1017065 169 08121996 1016080 1019577 194 25011998 1187560 0984196 -159 23012000 1457730 1053326 520 15121996 1039650 1023197 229 01021998 1161970 0978452 -218 30012000 1399530 0960075 -407 22121996 1024630 0985553 -146 08021998 1152100 0991506 -085 06022000 1378850 0985224 -149 29121996 1025110 1000468 005 15021998 1148570 0996936 -031 13022000 1408260 1021329 211 05011997 1131130 1103423 984 22021998 1154110 1004823 048 20022000 1369110 0972200 -282 12011997 1184190 1046909 458 01031998 1152270 0998406 -016 27022000 1249590 0912702 -913 19011997 1178430 0995136 -049 08031998 1171950 1017079 169 05032000 1263010 1010740 107 26011997 1258880 1068269 660 15031998 1177260 1004531 045 12032000 1278610 1012351 123 02021997 1357460 1078308 754 22031998 1188570 1009607 096 19032000 1262590 0987471 -126 09021997 1484800 1093808 897 29031998 1200260 1009835 098 26032000 1233620 0977055 -232 16021997 1531050 1031149 307 05041998 1197600 0997784 -022 02042000 1251400 1014413 143 23021997 1613500 1053852 525 12041998 1198900 1001086 011 09042000 1239300 0990331 -097 02031997 1556100 0964425 -362 19041998 1195490 0997156 -028 16042000 1198730 0967264 -333 09031997 1558050 1001253 013 26041998 1182420 0989067 -110 23042000 1083240 0903656 -1013 16031997 1552380 0996361 -036 03051998 1176960 0995382 -046 30042000 1119630 1033594 330 23031997 1468520 0945980 -555 10051998 1159590 0985242 -149 07052000 1105850 0987692 -124 30031997 1465020 0997617 -024 17051998 1129560 0974103 -262 14052000 1139120 1030085 296 06041997 1479870 1010136 101 24051998 1112340 0984755 -154 21052000 1170140 1027232 269 13041997 1486590 1004541 045 31051998 1073430 0965020 -356 28052000 1079810 0922804 -803 20041997 1476740 0993374 -066 07061998 1045480 0973962 -264 04062000 1084760 1004584 046

Page 54

27041997 1506070 1019861 197 14061998 1066480 1020086 199 11062000 1015120 0935801 -664 04051997 1464590 0972458 -279 21061998 1032170 0967829 -327 18062000 1001480 0986563 -135 11051997 1436900 0981094 -191 28061998 1030030 0997927 -021 25062000 916437 0915083 -887 18051997 1375190 0957053 -439 05071998 1002040 0972826 -276 02072000 899917 0981974 -182 25051997 1388860 1009940 099 12071998 982199 0980199 -200 09072000 939109 1043551 426 01061997 1322860 0952479 -487 19071998 970995 0988593 -115 16072000 925956 0985994 -141 08061997 1363670 1030850 304 26071998 995234 1024963 247 23072000 865117 0934296 -680 15061997 1347130 0987871 -122 02081998 1010220 1015058 149 30072000 817732 0945227 -563 22061997 1334000 0990253 -098 09081998 986274 0976296 -240 06082000 789054 0964930 -357 29061997 1311840 0983388 -168 16081998 966470 0979920 -203 13082000 756887 0959233 -416 06071997 1323390 1008804 088 23081998 934316 0966730 -338 20082000 834110 1102027 972 13071997 1309910 0989814 -102 30081998 901108 0964457 -362 27082000 832698 0998307 -017 20071997 1290000 0984800 -153 06091998 949019 1053169 518 03092000 816798 0980905 -193 27071997 1260250 0976938 -233 13091998 950397 1001452 015 10092000 845660 1035336 347 03081997 1262230 1001571 016 20091998 953342 1003099 031 17092000 811616 0959743 -411 10081997 1256470 0995437 -046 27091998 956663 1003484 035 24092000 777843 0958388 -425 17081997 1258060 1001265 013 04101998 958912 1002351 023 01102000 747666 0961204 -396 24081997 1303680 1036262 356 11101998 943251 0983668 -165 08102000 698780 0934615 -676 31081997 1353230 1038008 373 18101998 943963 1000755 008 15102000 607631 0869560 -1398 07091997 1366730 1009976 099 25101998 934640 0990124 -099 22102000 688893 1133736 1255 14091997 1396460 1021753 215 01111998 918468 0982697 -175 29102000 730437 1060305 586 21091997 1404870 1006022 060 08111998 913223 0994289 -057 05112000 747364 1023174 229 28091997 1399450 0996142 -039 15111998 917822 1005036 050 12112000 773445 1034897 343 05101997 1398330 0999200 -008 22111998 917160 0999279 -007 19112000 872700 1128328 1207 12101997 1387030 0991919 -081 29111998 906802 0988706 -114 26112000 799245 0915830 -879 19101997 1362190 0982091 -181 06121998 902621 0995389 -046 03122000 796977 0997162 -028 26101997 1364920 1002004 020 13121998 889094 0985014 -151 10122000 790233 0991538 -085 02111997 1348240 0987780 -123 20121998 902575 1015163 150 17122000 787365 0996371 -036 09111997 1333460 0989038 -110 27121998 906891 1004782 048 24122000 756623 0960956 -398 16111997 1299370 0974435 -259 03011999 914183 1008041 080 31122000 753795 0996262 -037

Page 55

23111997 1253930 0965029 -356 10011999 983873 1076232 735 07012001 757822 1005342 053 30111997 1260160 1004968 050 17011999 989959 1006186 062 14012001 752417 0992868 -072 07121997 1202660 0954371 -467 24011999 1016140 1026447 261 21012001 722711 0960519 -403 14121997 1218480 1013154 131 31011999 1105790 1088226 845 28012001 755868 1045879 449 21121997 1214730 0996922 -031 07021999 1094590 0989871 -102 04022001 769449 1017967 178 28121997 1226070 1009335 093 14021999 1053620 0962570 -381 11022001 747680 0971708 -287

21021999 1071770 1017226 171 18022001 716466 0958252 -426 28021999 1055100 0984446 -157 25022001 696200 0971714 -287 07031999 1039860 0985556 -145 04032001 672488 0965941 -347 14031999 1041200 1001289 013 11032001 687929 1022961 227 21031999 1027650 0986986 -131 18032001 634936 0922967 -802 28031999 1031360 1003610 036 25032001 616127 0970377 -301 04041999 1034930 1003461 035 01042001 591655 0960281 -405 11041999 1024940 0990347 -097 08042001 601771 1017098 170 18041999 1026450 1001473 015 15042001 629302 1045750 447 25041999 1038240 1011486 114 22042001 610423 0970000 -305 02051999 1014430 0977067 -232 29042001 617783 1012057 120 09051999 1027240 1012628 125 06052001 634110 1026428 261 16051999 1015400 0988474 -116 13052001 648901 1023326 231 23051999 1012050 0996701 -033 20052001 659723 1016677 165 30051999 986598 0974851 -255 27052001 665419 1008634 086 06061999 977053 0990325 -097 03062001 653740 0982449 -177 13061999 1007370 1031029 306 10062001 629223 0962497 -382 20061999 989166 0981929 -182 17062001 630035 1001290 013 27061999 1026150 1037389 367 24062001 613967 0974497 -258 04071999 995282 0969919 -305 01072001 596953 0972288 -281 11071999 995600 1000320 003 08072001 620332 1039164 384 18071999 1012170 1016643 165 15072001 609565 0982643 -175 25071999 981962 0970155 -303 22072001 554710 0910010 -943 01081999 971997 0989852 -102 29072001 550917 0993162 -069

Page 56

08081999 953229 0980691 -195 05082001 528555 0959409 -414 15081999 935049 0980928 -193 12082001 553572 1047331 462 22081999 944102 1009682 096 19082001 561918 1015077 150 29081999 935339 0990718 -093 26082001 564762 1005061 050 05091999 928650 0992849 -072 02092001 595784 1054929 535 12091999 923843 0994824 -052 09092001 642737 1078809 759 19091999 936583 1013790 137 16092001 626337 0974484 -258 26091999 963355 1028585 282 23092001 614817 0981607 -186 03101999 964466 1001153 012 30092001 561925 0913971 -900 10101999 1008430 1045584 446 07102001 544680 0969311 -312 17101999 1067340 1058418 568 14102001 554529 1018082 179 24101999 1019230 0954925 -461 21102001 579797 1045567 446 31101999 1038280 1018691 185 28102001 571335 0985405 -147 07111999 1047550 1008928 089 04112001 554861 0971166 -293 14111999 1071510 1022872 226 11112001 558192 1006003 060 21111999 1077140 1005254 052 18112001 533398 0955582 -454 28111999 1104220 1025141 248 25112001 508562 0953438 -477 05121999 1152250 1043497 426 02122001 519633 1021769 215 12121999 1338690 1161805 1500 09122001 516432 0993840 -062 19121999 1235780 0923126 -800 16122001 534209 1034423 338 26121999 1215240 0983379 -168 23122001 531180 0994330 -057 30122001 526241 0990702 -093 Std Dev 326 280 456 Skewness 080 181 011 Kurtosis 084 829 079 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 57

The table shows that Standard Deviation has decreased from 326 for the period

19961997 to 28 for the period 19981999 indicating a mild volatility during the

second period

Skewness and kurtosis coefficients have increased during the period 19981999

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 19981999 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) (43)

ri = ln (Pt Pt-1) (44)

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 andor

acquisition data were available for the period analysed (Note that the most actively

traded 30 securities accounted for 8226 of market liquidity as of June 2001 which

Page 58

makes the number of securities analysed a fair representation of the market under the

information constraint)

42 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 ldquoLarge Capitalisation-Valuerdquo stocks to avoid

anomalies associated with ldquoSmall Capitalisation-Growthrdquo stocks which are

characterised by the lack of accurate information and analysis and by infrequent

trading within the Egyptian market

Table 42 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 59

Table 42 Summary Statistics of Stocks Analysed

Company Beta Alpha Std Dev Of Rdm Std Error of Std Error of Correlation Coefficient of Coefficient of Error Term Beta Alpha Coefficient Determination Nondetermination Banking

Commercial International Bank (CIB) 145 -006 312 0062 0174 080 063 037 Egyptian American Bank (EAB) 118 -040 338 0065 0181 070 049 051 Misr International Bank (MIBANK) 127 -036 314 0062 0174 075 057 043 Cement Ameryah Cement 105 -043 358 0067 0187 064 041 059 Helwan Portland Cement 085 -056 326 0064 0178 060 035 065 Suez Cement 126 -020 271 0058 0162 080 063 037 Torah Portland Cement 107 -006 377 0068 0191 063 039 061 Food and Beverages Upper Egypt Flour Mills 087 -075 491 0078 0218 045 020 080 Housing Nasr City for Housing and Development 075 -115 444 0074 0208 043 018 082 Chemicals Abu Keir for Fertilisers 047 -094 389 0070 0194 033 011 089 Egyptian Financial and Industrial 086 -126 286 0060 0167 065 042 058 Paints and Chemical Industries 078 -071 410 0071 0200 047 022 078

Page 60

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

43 Findings

Appendix C provides the detailed calculations of Abnormal Returns for the securities

analysed around the announcement dates of the various events tested

431 Takeovers

Efficiency tests related to Acquisition events included the acquisition announcements

for two companies in the cement sector during 2001 namely the acquisition of

9469 of Helwan Portland Cement shares by the Arab Swiss Engineering Company

(ASEC) and 3465 of Suez Cement shares by Ciments Francais (Cairo and

Alexandria Stock Exchanges Monthly Bulletin May 2002)

Tables (43) and (44) and Graphs (41) and (42) show the following

Despite fluctuating around 040 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 61

Table 43 Average Abnormal Returns Takeovers Table 44 Cumulative Abnormal Returns Takeovers 2001 2001

Day Helwan Portland Suez Cement AAR ()

-18 055 018 036 -17 056 019 038 -16 057 022 039 -15 059 023 041 -14 059 018 038 -13 059 017 038 -12 055 016 036 -11 061 017 039 -10 059 020 040 -9 055 022 038 -8 053 022 037 -7 057 019 038 -6 057 019 038 -5 056 019 038 -4 056 023 039 -3 059 022 041 -2 061 020 041 -1 059 017 038 0 054 020 037 1 060 020 040 2 060 019 040 3 059 018 038 4 062 024 043 5 063 025 044 6 050 020 035 7 051 014 033 8 060 019 039 9 061 018 039

10 068 016 042 11 058 016 037 12 058 026 042 13 054 020 037 14 057 019 038 15 059 020 040 16 057 021 039 17 057 015 036 18 058 019 039 19 058 022 040 20 051 019 035 21 056 019 038

DayHelwan Portland Suez Cement Avg CAR

-18 112 038 075 -17 167 057 112 -16 225 079 152 -15 284 102 193 -14 343 120 231 -13 402 137 269 -12 457 153 305 -11 518 170 344 -10 577 190 384 -9 632 213 422 -8 685 234 460 -7 743 253 498 -6 800 272 536 -5 857 291 574 -4 913 314 613 -3 972 335 654 -2 1034 356 695 -1 1092 373 733 0 1146 393 769 1 1206 413 809 2 1266 432 849 3 1325 449 887 4 1387 474 931 5 1450 498 974 6 1500 519 1010 7 1552 533 1042 8 1611 551 1081 9 1672 569 1120

10 1740 585 1163 11 1799 602 1200 12 1856 627 1242 13 1910 648 1279 14 1967 666 1317 15 2026 687 1356 16 2084 708 1396 17 2141 723 1432 18 2199 742 1470 19 2257 764 1510 20 2308 783 1545 21 2364 802 1583

Page 62

Graph 41 Average Abnormal Returns surrounding Takeovers in 2001

Average Abnormal Returns Takeovers (2001)

000

005

010

015

020

025

030

035

040

045

050

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Graph 42 Cumulative Abnormal Returns surrounding Takeovers in 2001

Average Cumulative Abnormal Returns Takveovers (2001)

000

200

400

600

800

1000

1200

1400

1600

1800

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Slow Adjustment

Information Leakage

Page 63

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 securitiesrsquo prices to

their new fair values and therefore caused the increasing cumulative abnormal

returns after the announcement date

432 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 (45) (46) (47) and (48) and figure (41) 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 (050 in 2000

and 025 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 64

Table 45 Average Abnormal Returns Dividend Increase 2000 Day CIB EAB MIBANK Ameryah Egy FinampInd Abu Keir Fert AAR ()

-18 -139 042 035 046 126 096 034 -17 -344 043 038 043 125 096 000 -16 -403 040 034 040 124 094 -012 -15 192 037 036 044 128 095 089 -14 -277 040 037 047 126 096 011-13 -267 039 036 046 130 092 013 -12 134 040 035 043 126 094 079 -11 -060 038 034 044 125 095 046 -10 -448 040 036 046 128 097 -017 -9 -199 042 036 046 129 094 025 -8 426 041 031 044 126 092 127 -7 419 043 034 046 123 093 126 -6 328 040 036 032 127 095 110 -5 -388 037 036 044 126 096 -008 -4 -069 043 033 046 125 094 045 -3 014 039 035 041 131 093 059 -2 -128 041 037 045 125 095 036 -1 -017 040 037 041 125 094 054 0 -092 041 037 041 130 097 042 1 -105 039 034 042 130 098 040 2 172 043 034 043 122 097 085 3 248 042 036 041 124 096 098 4 333 037 037 041 122 094 111 5 156 043 035 041 128 094 083 6 -298 040 035 043 121 093 006 7 285 043 038 046 123 089 104 8 -024 042 033 045 120 092 052 9 225 031 039 045 122 085 091

10 -056 042 036 042 124 093 047 11 041 039 032 046 124 096 063 12 -240 038 037 045 122 095 016 13 -082 048 040 041 125 095 045 14 205 032 030 041 131 094 089 15 058 039 036 045 128 094 067 16 144 040 036 043 121 089 079 17 -358 039 036 044 126 090 -004 18 -010 041 036 046 126 100 057 19 307 039 041 043 125 099 109 20 -975 039 044 045 120 094 -105 21 -187 038 026 044 130 095 024

Page 65

Table 46 Average Abnormal Returns Dividend Increase 2001

Day CIB MIBANK Ameryah AAR ()

-18 009 034 042 029 -17 008 035 044 029 -16 006 035 047 029 -15 004 035 043 027 -14 002 034 049 029 -13 011 034 039 028 -12 009 040 041 030 -11 003 037 048 029 -10 008 036 047 030 -9 009 031 045 029 -8 010 033 040 027 -7 009 040 048 032 -6 003 038 041 027 -5 003 033 040 026 -4 007 039 040 029 -3 007 037 048 031 -2 003 039 044 029 -1 006 039 052 033 0 009 032 049 030 1 002 033 042 026 2 010 038 044 031 3 012 037 014 021 4 006 031 042 026 5 002 036 047 028 6 008 038 042 029 7 005 031 045 027 8 008 040 045 031 9 008 040 046 031

10 009 036 043 029 11 006 030 041 026 12 002 036 040 026 13 -003 029 041 022 14 006 040 044 030 15 002 039 044 028 16 007 035 043 028 17 010 032 041 028 18 005 032 043 026 19 003 037 042 027 20 008 035 046 030 21 008 034 045 029

Page 66

Table 47 Cumulative Abnormal Returns Dividend Increase 2000 Day CIB EAB MIBANK Ameryah Egy FinampInd Abu Keir Fert Avg CAR ()

-18 -271 083 070 086 249 191 068 -17 -614 126 108 129 374 287 068 -16 -1018 166 142 169 498 381 056 -15 -826 202 178 213 626 476 145 -14 -1103 242 215 260 752 572 156 -13 -1370 281 251 306 882 664 169 -12 -1235 321 286 348 1008 759 248 -11 -1296 359 321 392 1133 853 294 -10 -1744 399 357 439 1261 950 277 -9 -1943 441 393 485 1390 1045 302 -8 -1517 482 424 529 1516 1137 428 -7 -1098 525 458 575 1639 1230 555 -6 -770 564 494 607 1766 1326 665 -5 -1157 601 530 651 1892 1422 656 -4 -1227 645 563 697 2017 1515 702 -3 -1213 684 598 737 2148 1609 760 -2 -1341 725 634 782 2273 1703 796 -1 -1358 765 671 823 2398 1798 850 0 -1450 806 708 864 2529 1894 892 1 -1555 845 742 906 2659 1992 932 2 -1383 888 776 949 2781 2090 1017 3 -1135 929 811 990 2905 2185 1114 4 -802 966 848 1031 3028 2279 1225 5 -646 1009 883 1072 3156 2373 1308 6 -945 1049 918 1115 3277 2466 1313 7 -660 1092 956 1161 3400 2555 1417 8 -683 1134 990 1206 3521 2647 1469 9 -458 1165 1029 1251 3643 2732 1560

10 -514 1206 1065 1293 3766 2825 1607 11 -472 1245 1097 1339 3890 2921 1670 12 -712 1283 1134 1384 4012 3016 1686 13 -794 1331 1174 1426 4137 3111 1731 14 -589 1364 1203 1466 4267 3205 1819 15 -530 1403 1239 1512 4396 3299 1886 16 -386 1443 1275 1555 4516 3388 1965 17 -744 1482 1311 1599 4643 3478 1961 18 -754 1523 1347 1644 4769 3578 2018 19 -446 1562 1388 1688 4895 3676 2127 20 -1421 1601 1432 1732 5014 3770 2022 21 -1608 1639 1458 1777 5144 3866 2046

Page 67

Table 48 Cumulative Abnormal Returns Dividend Increase 2001

Day CIB MIBANK Ameryah Avg CAR ()

-18 017 066 082 055 -17 025 101 126 084 -16 031 136 174 114 -15 035 171 217 141 -14 037 205 266 169 -13 048 239 305 198 -12 058 279 347 228 -11 061 316 394 257 -10 069 352 441 287 -9 078 384 486 316 -8 087 416 526 343 -7 096 456 575 376 -6 099 494 616 403 -5 102 528 656 429 -4 109 567 696 457 -3 116 604 744 488 -2 119 644 789 517 -1 125 683 841 550 0 134 715 890 580 1 136 748 932 605 2 146 786 976 636 3 157 823 990 657 4 164 854 1033 683 5 165 890 1080 712 6 173 927 1121 741 7 178 958 1166 767 8 186 998 1211 798 9 194 1038 1257 830

10 203 1075 1299 859 11 209 1105 1340 885 12 211 1141 1380 911 13 208 1170 1421 933 14 213 1209 1465 963 15 215 1248 1509 991 16 222 1283 1552 1019 17 232 1315 1593 1047 18 236 1347 1636 1073 19 239 1384 1677 1100 20 247 1419 1724 1130 21 254 1453 1769 1159

Page 68

Figure 41 Abnormal Returns surrounding Dividend Increase (2000-2001)

Average Abnormal Returns Dividend Increase (2000)

-150

-100

-050

000

050

100

150

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Abnormal Returns Dividend Increase (2001)

000

005

010

015

020

025

030

035

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Cumulative Abnormal Returns Dividend Increase ( 2000)

000

500

1000

1500

2000

2500

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement date

AC

AR

()

Information Leakage

Slow Adjustment

Average Cumulative Abnormal Returns Dividend Increase (2001)

000

200

400

600

800

1000

1200

1400

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Page 70

433 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 (49) (410) (411) and (412) and figure (42) 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 (064 in 2000 and 0725 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 71

Table 49 Average Abnormal Returns Dividend Decrease 2000 Day Helwan Cement Torah Port Nasr City Paints amp Chem Upper Egypt F Mills AAR ()

-18 052 003 119 072 074 064-17 056 005 120 071 076 066-16 058 008 111 069 076 064-15 054 007 112 069 075 063-14 059 008 116 073 077 067-13 057 005 111 068 077 064-12 056 009 113 068 076 064-11 057 008 119 065 077 065-10 057 008 114 067 078 065-9 059 005 112 072 074 064-8 056 008 112 066 074 063-7 057 006 113 068 076 064-6 057 005 113 073 077 065-5 058 003 118 075 074 066-4 056 008 117 075 076 066-3 057 005 117 067 077 065-2 059 010 117 070 077 067-1 058 007 118 066 078 0660 060 007 116 069 069 0641 061 005 111 074 080 0662 047 005 112 071 076 0623 043 007 095 067 070 0564 058 -010 119 070 075 0635 055 006 120 070 077 0666 059 007 121 072 076 0677 059 005 118 068 052 0618 059 004 118 068 077 0659 051 008 117 073 072 064

10 055 010 118 071 076 06611 055 004 119 071 076 06512 057 005 120 068 073 06513 056 013 119 072 074 06714 054 010 119 078 076 06715 058 004 116 068 072 06416 058 007 118 069 074 06517 057 011 113 070 074 06518 055 008 113 069 071 06319 057 003 117 073 074 06520 057 001 112 072 077 06421 055 002 110 073 074 063

Page 72

Table 410 Average Abnormal Returns Dividend Decrease 2001 Day Torah Port Nasr City Suez Cement Egy FinampInd Abu Keir Fert AAR ()

-18 006 115 017 122 095 071 -17 008 115 021 125 094 072 -16 007 116 021 126 096 073 -15 010 113 019 126 096 073 -14 007 116 020 127 096 073 -13 002 115 021 122 095 071 -12 009 117 018 129 095 074 -11 005 112 020 126 094 072 -10 002 114 020 126 094 072 -9 007 117 022 126 095 073 -8 008 114 021 125 094 072 -7 007 116 021 128 095 074 -6 010 114 020 128 094 073 -5 006 115 019 127 094 072 -4 007 114 024 129 094 074 -3 005 113 023 125 095 072 -2 001 115 016 123 094 070 -1 009 114 021 130 094 073 0 005 116 021 127 095 073 1 004 115 016 125 093 071 2 012 114 019 124 095 073 3 008 114 019 131 095 074 4 008 114 021 128 095 073 5 009 117 019 126 095 073 6 004 115 021 122 083 069 7 003 116 020 122 093 071 8 002 115 019 130 093 072 9 006 114 021 125 095 072

10 -001 115 019 113 095 068 11 001 111 018 124 094 070 12 007 112 017 128 094 072 13 003 116 018 121 096 071 14 008 112 021 125 093 072 15 007 111 020 129 095 073 16 010 116 020 130 095 074 17 006 117 020 126 095 073 18 002 115 021 126 095 072 19 007 117 019 131 096 074 20 002 116 021 123 094 071 21 007 114 021 129 095 073

Page 73

Table 411 Cumulative Abnormal Returns Dividend Decrease 2000 Day Helwan Cement Torah Port Nasr City Paints amp Chem Upper Egypt F Mills Avg CAR ()

-18 108 009 233 143 147 128-17 164 013 353 214 223 194-16 223 021 464 283 299 258-15 276 028 576 351 374 321-14 336 037 692 425 451 388-13 392 042 804 493 528 452-12 449 051 917 561 603 516-11 506 058 1035 626 680 581-10 562 066 1150 693 759 646-9 621 071 1261 765 833 710-8 677 079 1373 831 907 773-7 734 085 1486 899 983 838-6 791 090 1599 972 1060 903-5 850 093 1717 1048 1134 968-4 906 101 1834 1123 1210 1035-3 963 105 1951 1190 1287 1099-2 1022 115 2068 1261 1364 1166-1 1081 122 2186 1327 1442 12320 1141 130 2303 1396 1510 12961 1202 135 2414 1470 1590 13622 1249 140 2526 1541 1666 14243 1292 147 2621 1608 1736 14814 1350 138 2740 1678 1812 15435 1405 143 2860 1748 1889 16096 1464 151 2981 1820 1965 16767 1523 156 3099 1888 2017 17378 1582 160 3217 1956 2094 18029 1634 168 3334 2029 2166 1866

10 1688 178 3452 2099 2242 193211 1743 181 3571 2170 2318 199712 1800 186 3691 2239 2391 206213 1856 200 3810 2311 2465 212814 1910 210 3929 2388 2541 219615 1968 214 4045 2456 2613 225916 2026 221 4163 2525 2687 232517 2083 232 4276 2595 2761 239018 2138 241 4389 2664 2833 245319 2195 244 4506 2737 2906 251820 2252 245 4619 2809 2984 258221 2307 247 4729 2883 3058 2645

Page 74

Table 412 Cumulative Abnormal Returns Dividend Decrease 2001 Day Torah Port Nasr City Suez Cement Egy FinampInd Abu Keir Fert Avg CAR ()

-18 012 229 037 254 190 144 -17 019 344 057 379 285 217 -16 026 460 078 505 380 290 -15 036 573 097 630 476 363 -14 044 689 117 757 572 436 -13 046 804 138 879 667 507 -12 055 921 155 1008 762 580 -11 060 1033 176 1134 856 652 -10 063 1147 196 1261 951 724 -9 069 1264 218 1387 1046 797 -8 077 1378 239 1512 1140 869 -7 085 1494 261 1641 1235 943 -6 094 1608 280 1769 1329 1016 -5 101 1723 299 1896 1423 1088 -4 107 1837 323 2025 1517 1162 -3 113 1950 346 2150 1612 1234 -2 114 2064 363 2273 1705 1304 -1 123 2179 384 2403 1799 1377 0 128 2295 405 2530 1894 1450 1 132 2411 421 2655 1987 1521 2 144 2525 440 2779 2082 1594 3 152 2639 459 2910 2177 1667 4 160 2753 481 3038 2272 1741 5 169 2870 500 3164 2367 1814 6 173 2986 520 3286 2450 1883 7 176 3102 541 3409 2544 1954 8 179 3217 560 3538 2637 2026 9 184 3330 580 3663 2732 2098

10 183 3445 599 3776 2827 2166 11 184 3556 617 3900 2922 2236 12 191 3668 634 4027 3016 2307 13 194 3784 652 4149 3111 2378 14 202 3896 672 4273 3205 2450 15 209 4008 692 4403 3300 2522 16 219 4124 712 4532 3396 2597 17 225 4241 732 4658 3490 2669 18 227 4355 753 4784 3585 2741 19 234 4472 771 4915 3681 2815 20 236 4588 792 5038 3774 2886 21 243 4703 813 5167 3869 2959

Page 75

Figure 42 Abnormal Returns surrounding Dividend Decrease (2000-2001)

Average Abnormal Returns Dividend Decrease (2000)

054

056

058

060

062

064

066

068

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Abnormal Returns Dividend Decrease (2001)

067

068

069

070

071

072

073

074

075

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Cumulative Abnormal Returns Dividend Decrease (2000)

000

500

1000

1500

2000

2500

3000

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Average Cumulative Abnormal Returns Dividend Decrease (2001)

000

500

1000

1500

2000

2500

3000

3500

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Page 76

44 Conclusion

From the above an overall conclusion can be drawn that the Egyptian stock market

showed a clear departure from the ldquoSemi-strong efficientrdquo market hypothesis in the

period 20002001 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 77

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 ldquoFree Handrdquo 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

51 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 78

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 ndash [arf + βp(arM - arf)]

(51)

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

Treynorrsquos 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 (52)

Hence it can be seen that the higher the value of Treynorrsquos 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 Treynorrsquos coefficient will be confined to evaluating funds

performance relative to the benchmark

Page 79

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 (53)

Where (arp - arf) is the average excess return and σp is the total volatility of the fund

Similar to Treynorrsquos coefficient the higher the value of the Sharpe ratio is the better

the performance of the fund will be However therersquos a fundamental difference

between Sharpe ratio and both Treynorrsquos coefficient and Jensenrsquos alpha in that in

Sharpersquos 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 Treynorrsquos or Jensenrsquos might

rank inferior under Sharpersquos due to high Unique Risk thatrsquos not accounted for by the

other two measures

However if a fund shows poor performance under both Jensenrsquos and Treynorrsquos it

should follow logically that it would also show poor performance under Sharpersquos

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 (54)

Page 80

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

52 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

53 Findings

Appendix D shows the detailed calculations of the different performance measures

Page 81

Table (51) and Graphs (51) and (52) 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 ndash562

for Fund No 2 to -1282 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 ndash739) 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 82

Table 51 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 -1405 -831 -474 -685 -950 -735 -666 -833 -323 Standard Deviation 3820 1379 1456 1359 1374 1333 1215 762 773 Std Dev Of Rndm Error Term 000 560 662 354 434 547 421 173 305 Beta 100 034 035 035 035 033 030 020 019 Jensen (Alpha) 000 -949 -562 -786 -1051 -880 -866 -1282 -780 Sharpe -060 -126 -094 -117 -135 -123 -129 -227 -158 Treynor -2305 -5099 -3899 -4571 -5339 -4994 -5155 -8863 -6369 Tracking Error 000 -169 -085 -222 -242 -161 -205 -739 -256

Page 84

Graph 51 Egyptian Mutual Funds Performance Evaluation Using the Ex Post Securities Market Line (1998-2001)

-2000

-1500

-1000

-500

000

500

1000

1500

000 020 040 060 080 100 120

βp

arp

Market Portfolio

Fund No 1

Fund No 2

Fund No 3

Fund No 4

Fund No 5

Fund No 6

Fund No 7

Fund No 8

Ex Post SML

Graph 52 Egyptian Mutual Funds Performance Evaluation Using the Ex Post Capital Market Line (1998-2001)

-2000

-1500

-1000

-500

000

500

1000

1500

000 500 1000 1500 2000 2500 3000 3500 4000 4500

σp

arp

Market Portfolio

Fund No 1

Fund No 2

Fund No 3

Fund No 4

Fund No 5

Fund No 6

Fund No 7

Fund No 8

Ex Post CML

Page 85

For Treynor (Reward-to-Volatility) and despite that the benchmark showed a

negative value of ndash2305 all funds showed greater negative values ranging from

ndash3899 for Fund No 2 to ndash8863 for Fund No 7

This can be seen from Graph (51) 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 ndash094 for Fund No 2 to ndash227 for Fund No 7

This can also be seen from Graph (52) 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

54 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 86

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 87

Chapter 6 Conclusions and Recommendations

61 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 20002001

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 88

62 Findings and Conclusions

621 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 maximumminimum 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 89

622 Mutual Funds Performance

CAPM based performance evaluation measures (Jensenrsquos 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 risk-

adjusted 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 90

63 Limitations

631 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 8226 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 91

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

632 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 92

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)

64 Recommendations

Based on the above findings a number of recommendations can be made These are

bull 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 andor the means to enact them in a

more effective manner should be considered

bull 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 93

bull 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

65 Suggestions for Further Research

The course of this study has outlined a number of areas that could be explored by

further research These include

bull the need to evaluate mutual funds performance more comprehensively

when more and sufficient data become available

bull 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 94

bull 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

bull 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 95

Appendix A

Current Listing Requirements

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

Page 96

Proposed Listing Requirements

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

Page 97

Appendix B

The calculations of the various risk measures for each security analysed were based

on the following

bull the benchmark used for measuring securitiesrsquo sensitivities against is the

Herms Financial Index (HFI)

bull 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

bull calculations were based on 104 weekly observations of index values

and securities prices starting from 2nd of January 1998 until 24th

December 1999

bull 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) (411)

ri = ln (Pt Pt-1) (412)

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 98

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 = [(T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX)] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2] (413)

Alpha = [sumsumsumsumYT] ndash [Beta (sumsumsumsumXT)] (414)

Standard Deviation of Random Error Term (Residual Volatility)

= [sumsumsumsumY2 ndash (Alpha sumsumsumsumY) ndash (Beta sumsumsumsumXY)] [T ndash 2]12 (415)

Standard Error of Beta

= Residual Volatility sumsumsumsumX2 ndash [(sumsumsumsumX)2 T]12 (416)

Standard Error of Alpha

= Residual Volatility T ndash [(sumsumsumsumX)2 sumsumsumsumX2]12 (417)

Correlation Coefficient

= (T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX) (418)

[(T sumsumsumsumY2) ndash (sumsumsumsumY)2] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2]12

Coefficient of Determination (R2)

= (Correlation Coefficient)2 (419)

Coefficient of Nondetermination

= 1 ndash Coefficient of Determination (4110)

The following are the detailed calculations of the various risk measures for the

securities analysed

Page 99

Commercial International Bank CIB

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5298 09011998 1222730 0985643 -145 5193 0980181 -200 209 401 289 16011998 1206630 0986833 -133 5170 0995571 -044 176 020 059 23011998 1187560 0984196 -159 5147 0995551 -045 254 020 071 30011998 1161970 0978452 -218 4748 0922479 -807 475 6511 1758 06021998 1152100 0991506 -085 4810 1013058 130 073 168 -111 13021998 1148570 0996936 -031 4581 0952391 -488 009 2379 150 20021998 1154110 1004823 048 4429 0966819 -337 023 1139 -162 27021998 1152270 0998406 -016 4395 0992323 -077 003 059 012 06031998 1171950 1017079 169 4487 1020933 207 287 429 351 13031998 1177260 1004531 045 4492 1001114 011 020 001 005 20031998 1188570 1009607 096 4678 1041407 406 091 1646 388 27031998 1200260 1009835 098 4735 1012185 121 096 147 119 03041998 1197600 0997784 -022 4840 1022175 219 005 481 -049 10041998 1198900 1001086 011 4793 0990289 -098 001 095 -011 17041998 1195490 0997156 -028 4814 1004381 044 008 019 -012 24041998 1182420 0989067 -110 4488 0932281 -701 121 4917 771 01051998 1176960 0995382 -046 4512 1005348 053 021 028 -025 08051998 1159590 0985242 -149 4117 0912456 -916 221 8393 1362 15051998 1129560 0974103 -262 3965 0963080 -376 688 1415 987 22051998 1112340 0984755 -154 4043 1019672 195 236 380 -299 29051998 1073430 0965020 -356 3984 0985407 -147 1268 216 523 05061998 1045480 0973962 -264 3946 0990462 -096 696 092 253 12061998 1066480 1020086 199 4040 1023822 235 396 554 468 19061998 1032170 0967829 -327 3815 0944307 -573 1069 3284 1874 26061998 1030030 0997927 -021 3903 1023067 228 004 520 -047 03071998 1002040 0972826 -276 3769 0965667 -349 759 1221 962 10071998 982199 0980199 -200 3740 0992306 -077 400 060 154 17071998 970995 0988593 -115 3749 1002406 024 132 006 -028 24071998 995234 1024963 247 3752 1000800 008 608 001 020 31071998 1010220 1015058 149 3729 0993870 -061 223 038 -092 07081998 986274 0976296 -240 3397 0910968 -932 575 8695 2237 14081998 966470 0979920 -203 3271 0962908 -378 411 1429 767 21081998 934316 0966730 -338 2978 0910425 -938 1145 8807 3175 28081998 901108 0964457 -362 2668 0895903 -1099 1310 12083 3978 04091998 949019 1053169 518 3026 1134183 1259 2684 15854 6523 11091998 950397 1001452 015 3201 1057832 562 002 3161 082 18091998 953342 1003099 031 3277 1023743 235 010 551 073 25091998 956663 1003484 035 3202 0977113 -232 012 536 -081 02101998 958912 1002351 023 3188 0995628 -044 006 019 -010 09101998 943251 0983668 -165 3049 0956399 -446 271 1987 734 16101998 943963 1000755 008 2887 0946868 -546 001 2981 -041 23101998 934640 0990124 -099 2891 1001386 014 099 002 -014

Page 100

30101998 918468 0982697 -175 2765 0956416 -446 305 1986 778 06111998 913223 0994289 -057 2872 1038698 380 033 1442 -217 13111998 917822 1005036 050 2823 0982939 -172 025 296 -086 20111998 917160 0999279 -007 2807 0994332 -057 001 032 004 27111998 906802 0988706 -114 2742 0976844 -234 129 549 266 04121998 902621 0995389 -046 2663 0971189 -292 021 855 135 11121998 889094 0985014 -151 2538 0953060 -481 228 2311 726 18121998 902575 1015163 150 2637 1039007 383 226 1464 576 25121998 906891 1004782 048 2608 0989003 -111 023 122 -053 01011999 914183 1008041 080 2698 1034509 339 064 1151 272 08011999 983873 1076232 735 3158 1170497 1574 5397 24784 11566 15011999 989959 1006186 062 3167 1002850 028 038 008 018 22011999 1016140 1026447 261 3257 1028418 280 681 785 731 29011999 1105790 1088226 845 3663 1124655 1175 7149 13801 9932 05021999 1094590 0989871 -102 3736 1019929 197 104 389 -201 12021999 1053620 0962570 -381 3717 0994914 -051 1455 026 195 19021999 1071770 1017226 171 3874 1042238 414 292 1712 707 26021999 1055100 0984446 -157 3736 0964378 -363 246 1316 569 05031999 1039860 0985556 -145 3502 0937366 -647 212 4184 941 12031999 1041200 1001289 013 3492 0997144 -029 002 008 -004 19031999 1027650 0986986 -131 3498 1001718 017 172 003 -022 26031999 1031360 1003610 036 3472 0992567 -075 013 056 -027 02041999 1034930 1003461 035 3520 1013825 137 012 189 047 09041999 1024940 0990347 -097 3480 0988636 -114 094 131 111 16041999 1026450 1001473 015 3543 1018103 179 002 322 026 23041999 1038240 1011486 114 3483 0983065 -171 130 292 -195 30041999 1014430 0977067 -232 3397 0975309 -250 538 625 580 07051999 1027240 1012628 125 3458 1017957 178 157 317 223 14051999 1015400 0988474 -116 3425 0990457 -096 134 092 111 21051999 1012050 0996701 -033 3322 0969927 -305 011 932 101 28051999 986598 0974851 -255 3179 0956954 -440 649 1936 1121 04061999 977053 0990325 -097 3074 0966971 -336 095 1128 327 11061999 1007370 1031029 306 3207 1043266 424 934 1794 1294 18061999 989166 0981929 -182 3155 0983785 -163 333 267 298 25061999 1026150 1037389 367 3135 0993661 -064 1347 040 -233 02071999 995282 0969919 -305 3079 0982137 -180 933 325 551 09071999 995600 1000320 003 3063 0994804 -052 000 027 -002 16071999 1012170 1016643 165 3083 1006530 065 272 042 107 23071999 981962 0970155 -303 3050 0989296 -108 918 116 326 30071999 971997 0989852 -102 3077 1008852 088 104 078 -090 06081999 953229 0980691 -195 3023 0982450 -177 380 313 345 13081999 935049 0980928 -193 2900 0959312 -415 371 1725 800 20081999 944102 1009682 096 3001 1034828 342 093 1172 330 27081999 935339 0990718 -093 2944 0981006 -192 087 368 179 03091999 928650 0992849 -072 2929 0994905 -051 052 026 037 10091999 923843 0994824 -052 2924 0998293 -017 027 003 009 17091999 936583 1013790 137 3071 1050274 491 188 2406 672 24091999 963355 1028585 282 3284 1069359 671 794 4497 1890 01101999 964466 1001153 012 3257 0991778 -083 001 068 -010 08101999 1008430 1045584 446 3662 1124348 1172 1987 13737 5224 15101999 1067340 1058418 568 4053 1106772 1014 3223 10292 5760

Page 101

22101999 1019230 0954925 -461 3643 0898840 -1066 2127 11374 4919 29101999 1038280 1018691 185 4123 1131760 1238 343 15320 2292 05111999 1047550 1008928 089 4100 0994422 -056 079 031 -050 12111999 1071510 1022872 226 4256 1038049 373 511 1394 844 19111999 1077140 1005254 052 4181 0982378 -178 027 316 -093 26111999 1104220 1025141 248 4357 1042095 412 617 1700 1024 03121999 1152250 1043497 426 4228 0970392 -301 1813 903 -1280 10121999 1338690 1161805 1500 5110 1208609 1895 22492 35899 28416 17121999 1235780 0923126 -800 4657 0911350 -928 6398 8617 7425 24121999 1215240 0983379 -168 4827 1036504 359 281 1285 -601 Sum -206 -931 80467 268123 116803 Beta 145 Alpha -006 Std Dev Of Rndm Error Term 312 Std Error of Beta 0062 Std Error of Alpha 0174 Correlation Coefficient 080 Coefficient of Determination 063 Coefficient of Nondetermination 037

Page 102

Egyptian American Bank

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8758 09011998 1222730 0985643 -145 8687 0991893 -081 209 066 118 16011998 1206630 0986833 -133 8226 0946932 -545 176 2973 723 23011998 1187560 0984196 -159 8172 0993435 -066 254 043 105 30011998 1161970 0978452 -218 7600 0930005 -726 475 5266 1581 06021998 1152100 0991506 -085 7837 1031184 307 073 943 -262 13021998 1148570 0996936 -031 7832 0999362 -006 009 000 002 20021998 1154110 1004823 048 7602 0970633 -298 023 888 -143 27021998 1152270 0998406 -016 7262 0955275 -458 003 2094 073 06031998 1171950 1017079 169 7629 1050537 493 287 2431 835 13031998 1177260 1004531 045 7657 1003670 037 020 013 017 20031998 1188570 1009607 096 7577 0989552 -105 091 110 -100 27031998 1200260 1009835 098 7707 1017157 170 096 289 166 03041998 1197600 0997784 -022 7738 1004022 040 005 016 -009 10041998 1198900 1001086 011 7793 1007108 071 001 050 008 17041998 1195490 0997156 -028 7580 0972668 -277 008 768 079 24041998 1182420 0989067 -110 7381 0973747 -266 121 708 292 01051998 1176960 0995382 -046 7249 0982116 -180 021 326 084 08051998 1159590 0985242 -149 6909 0953097 -480 221 2308 714 15051998 1129560 0974103 -262 6391 0925025 -779 688 6074 2045 22051998 1112340 0984755 -154 6352 0993898 -061 236 037 094 29051998 1073430 0965020 -356 6059 0953873 -472 1268 2230 1682 05061998 1045480 0973962 -264 5669 0935633 -665 696 4427 1755 12061998 1066480 1020086 199 5825 1027518 271 396 737 540 19061998 1032170 0967829 -327 5318 0912961 -911 1069 8292 2978 26061998 1030030 0997927 -021 5588 1050771 495 004 2453 -103 03071998 1002040 0972826 -276 5203 0931102 -714 759 5096 1967 10071998 982199 0980199 -200 4992 0959446 -414 400 1714 828 17071998 970995 0988593 -115 4802 0961939 -388 132 1506 445 24071998 995234 1024963 247 5012 1043732 428 608 1832 1055 31071998 1010220 1015058 149 5044 1006385 064 223 041 095 07081998 986274 0976296 -240 4756 0942902 -588 575 3457 1410 14081998 966470 0979920 -203 4594 0965938 -347 411 1201 703 21081998 934316 0966730 -338 4267 0928820 -738 1145 5452 2498 28081998 901108 0964457 -362 4157 0974221 -261 1310 682 945 04091998 949019 1053169 518 4729 1137599 1289 2684 16620 6679 11091998 950397 1001452 015 4734 1001057 011 002 001 002 18091998 953342 1003099 031 5211 1100760 960 010 9216 297 25091998 956663 1003484 035 5167 0991556 -085 012 072 -029 02101998 958912 1002351 023 5554 1074898 722 006 5217 170 09101998 943251 0983668 -165 5232 0942024 -597 271 3567 983 16101998 943963 1000755 008 5072 0969419 -311 001 965 -023 23101998 934640 0990124 -099 5344 1053628 522 099 2729 -519

Page 103

30101998 918468 0982697 -175 5273 0986714 -134 305 179 233 06111998 913223 0994289 -057 5201 0986346 -137 033 189 079 13111998 917822 1005036 050 5157 0991540 -085 025 072 -043 20111998 917160 0999279 -007 5163 1001163 012 001 001 -001 27111998 906802 0988706 -114 4696 0909549 -948 129 8988 1077 04121998 902621 0995389 -046 4659 0992121 -079 021 063 037 11121998 889094 0985014 -151 4811 1032625 321 228 1031 -485 18121998 902575 1015163 150 4810 0999792 -002 226 000 -003 25121998 906891 1004782 048 4724 0982121 -180 023 325 -086 01011999 914183 1008041 080 4896 1036410 358 064 1279 286 08011999 983873 1076232 735 5416 1106209 1009 5397 10189 7416 15011999 989959 1006186 062 5600 1033973 334 038 1116 206 22011999 1016140 1026447 261 5725 1022321 221 681 487 576 29011999 1105790 1088226 845 6017 1051004 497 7149 2475 4206 05021999 1094590 0989871 -102 5639 0937178 -649 104 4210 661 12021999 1053620 0962570 -381 5360 0950523 -507 1455 2575 1936 19021999 1071770 1017226 171 5354 0998881 -011 292 001 -019 26021999 1055100 0984446 -157 5263 0983003 -171 246 294 269 05031999 1039860 0985556 -145 5198 0987650 -124 212 154 181 12031999 1041200 1001289 013 4865 0935937 -662 002 4383 -085 19031999 1027650 0986986 -131 4716 0969373 -311 172 968 407 26031999 1031360 1003610 036 4851 1028626 282 013 797 102 02041999 1034930 1003461 035 4904 1010926 109 012 118 038 09041999 1024940 0990347 -097 5023 1024266 240 094 575 -233 16041999 1026450 1001473 015 5093 1013936 138 002 192 020 23041999 1038240 1011486 114 5046 0990772 -093 130 086 -106 30041999 1014430 0977067 -232 4872 0965517 -351 538 1231 814 07051999 1027240 1012628 125 4700 0964696 -359 157 1292 -451 14051999 1015400 0988474 -116 4896 1041702 409 134 1669 -474 21051999 1012050 0996701 -033 4891 0998979 -010 011 001 003 28051999 986598 0974851 -255 4709 0962789 -379 649 1438 966 04061999 977053 0990325 -097 4618 0980675 -195 095 381 190 11061999 1007370 1031029 306 4655 1008012 080 934 064 244 18061999 989166 0981929 -182 4600 0988185 -119 333 141 217 25061999 1026150 1037389 367 4518 0982174 -180 1347 324 -660 02071999 995282 0969919 -305 4497 0995352 -047 933 022 142 09071999 995600 1000320 003 4552 1012230 122 000 148 004 16071999 1012170 1016643 165 4535 0996265 -037 272 014 -062 23071999 981962 0970155 -303 4231 0932966 -694 918 4815 2102 30071999 971997 0989852 -102 4481 1059088 574 104 3296 -586 06081999 953229 0980691 -195 4253 0949119 -522 380 2727 1018 13081999 935049 0980928 -193 4405 1035739 351 371 1233 -676 20081999 944102 1009682 096 4423 1004086 041 093 017 039 27081999 935339 0990718 -093 4461 1008591 086 087 073 -080 03091999 928650 0992849 -072 4429 0992827 -072 052 052 052 10091999 923843 0994824 -052 4428 0999774 -002 027 000 001 17091999 936583 1013790 137 4611 1041328 405 188 1640 555 24091999 963355 1028585 282 4706 1020603 204 794 416 575 01101999 964466 1001153 012 4699 0998513 -015 001 002 -002 08101999 1008430 1045584 446 4903 1043413 425 1987 1806 1894 15101999 1067340 1058418 568 5191 1058740 571 3223 3258 3241

Page 104

22101999 1019230 0954925 -461 5130 0988249 -118 2127 140 545 29101999 1038280 1018691 185 5257 1024756 245 343 598 453 05111999 1047550 1008928 089 5302 1008560 085 079 073 076 12111999 1071510 1022872 226 5506 1038476 378 511 1425 854 19111999 1077140 1005254 052 5638 1023974 237 027 561 124 26111999 1104220 1025141 248 5487 0973217 -271 617 737 -674 03121999 1152250 1043497 426 5650 1029707 293 1813 857 1246 10121999 1338690 1161805 1500 6555 1160177 1486 22492 22074 22282 17121999 1235780 0923126 -800 5479 0835850 -1793 6398 32150 14343 24121999 1215240 0983379 -168 5680 1036686 360 281 1298 -604 Sum -206 -4330 80467 229628 95158 Beta 118 Alpha -040 Std Dev Of Rndm Error Term 338 Std Error of Beta 0065 Std Error of Alpha 0181 Correlation Coefficient 070 Coefficient of Determination 049 Coefficient of Nondetermination 051

Page 105

Misr International Bank MIBANK

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8144 09011998 1222730 0985643 -145 8192 1005894 059 209 035 -085 16011998 1206630 0986833 -133 8160 0996094 -039 176 015 052 23011998 1187560 0984196 -159 8098 0992451 -076 254 057 121 30011998 1161970 0978452 -218 7510 0927294 -755 475 5698 1644 06021998 1152100 0991506 -085 7295 0971450 -290 073 839 247 13021998 1148570 0996936 -031 7266 0996052 -040 009 016 012 20021998 1154110 1004823 048 6954 0957063 -439 023 1926 -211 27021998 1152270 0998406 -016 7089 1019326 191 003 366 -031 06031998 1171950 1017079 169 7269 1025392 251 287 629 425 13031998 1177260 1004531 045 7412 1019701 195 020 381 088 20031998 1188570 1009607 096 7509 1013060 130 091 168 124 27031998 1200260 1009835 098 7518 1001278 013 096 002 013 03041998 1197600 0997784 -022 7488 0995957 -041 005 016 009 10041998 1198900 1001086 011 7290 0973611 -267 001 715 -029 17041998 1195490 0997156 -028 7290 0999890 -001 008 000 000 24041998 1182420 0989067 -110 7189 0986172 -139 121 194 153 01051998 1176960 0995382 -046 7018 0976296 -240 021 575 111 08051998 1159590 0985242 -149 7055 1005243 052 221 027 -078 15051998 1129560 0974103 -262 6667 0945005 -566 688 3200 1484 22051998 1112340 0984755 -154 6737 1010439 104 236 108 -160 29051998 1073430 0965020 -356 6599 0979575 -206 1268 426 735 05061998 1045480 0973962 -264 6499 0984847 -153 696 233 403 12061998 1066480 1020086 199 6568 1010586 105 396 111 209 19061998 1032170 0967829 -327 6309 0960536 -403 1069 1621 1317 26061998 1030030 0997927 -021 6514 1032463 319 004 1021 -066 03071998 1002040 0972826 -276 6399 0982437 -177 759 314 488 10071998 982199 0980199 -200 6400 1000125 001 400 000 -003 17071998 970995 0988593 -115 6265 0978875 -214 132 456 245 24071998 995234 1024963 247 6454 1030264 298 608 889 735 31071998 1010220 1015058 149 6398 0991200 -088 223 078 -132 07081998 986274 0976296 -240 6122 0956859 -441 575 1945 1058 14081998 966470 0979920 -203 5966 0974647 -257 411 659 521 21081998 934316 0966730 -338 5863 0982703 -174 1145 304 590 28081998 901108 0964457 -362 5337 0910220 -941 1310 8849 3404 04091998 949019 1053169 518 5714 1070604 682 2684 4654 3534 11091998 950397 1001452 015 5832 1020722 205 002 421 030 18091998 953342 1003099 031 5818 0997531 -025 010 006 -008 25091998 956663 1003484 035 5775 0992712 -073 012 054 -025 02101998 958912 1002351 023 5759 0997230 -028 006 008 -007 09101998 943251 0983668 -165 5699 0989582 -105 271 110 172 16101998 943963 1000755 008 5687 0997894 -021 001 004 -002 23101998 934640 0990124 -099 5688 1000141 001 099 000 -001

Page 106

30101998 918468 0982697 -175 5290 0930098 -725 305 5251 1265 06111998 913223 0994289 -057 5203 0983517 -166 033 276 095 13111998 917822 1005036 050 5273 1013376 133 025 177 067 20111998 917160 0999279 -007 5192 0984676 -154 001 238 011 27111998 906802 0988706 -114 4970 0957165 -438 129 1917 497 04121998 902621 0995389 -046 4986 1003381 034 021 011 -016 11121998 889094 0985014 -151 5023 1007380 074 228 054 -111 18121998 902575 1015163 150 5288 1052715 514 226 2639 773 25121998 906891 1004782 048 5147 0973374 -270 023 728 -129 01011999 914183 1008041 080 5290 1027666 273 064 745 219 08011999 983873 1076232 735 6134 1159710 1482 5397 21954 10885 15011999 989959 1006186 062 6274 1022692 224 038 503 138 22011999 1016140 1026447 261 6548 1043739 428 681 1833 1117 29011999 1105790 1088226 845 7800 1191203 1750 7149 30612 14793 05021999 1094590 0989871 -102 8082 1036205 356 104 1265 -362 12021999 1053620 0962570 -381 6850 0847570 -1654 1455 27351 6309 19021999 1071770 1017226 171 7518 1097513 930 292 8658 1589 26021999 1055100 0984446 -157 7440 0989572 -105 246 110 164 05031999 1039860 0985556 -145 6931 0931613 -708 212 5018 1031 12031999 1041200 1001289 013 7196 1038204 375 002 1406 048 19031999 1027650 0986986 -131 7160 0994997 -050 172 025 066 26031999 1031360 1003610 036 7028 0981564 -186 013 346 -067 02041999 1034930 1003461 035 7114 1012180 121 012 147 042 09041999 1024940 0990347 -097 6950 0976946 -233 094 544 226 16041999 1026450 1001473 015 6654 0957408 -435 002 1895 -064 23041999 1038240 1011486 114 6683 1004449 044 130 020 051 30041999 1014430 0977067 -232 6389 0955949 -451 538 2030 1045 07051999 1027240 1012628 125 6351 0994115 -059 157 035 -074 14051999 1015400 0988474 -116 6366 1002393 024 134 006 -028 21051999 1012050 0996701 -033 6245 0980900 -193 011 372 064 28051999 986598 0974851 -255 6060 0970407 -300 649 902 765 04061999 977053 0990325 -097 5868 0968317 -322 095 1037 313 11061999 1007370 1031029 306 6034 1028221 278 934 775 850 18061999 989166 0981929 -182 5860 0971228 -292 333 852 532 25061999 1026150 1037389 367 5683 0969829 -306 1347 939 -1125 02071999 995282 0969919 -305 5428 0955096 -459 933 2111 1403 09071999 995600 1000320 003 5444 1002948 029 000 009 001 16071999 1012170 1016643 165 5430 0997355 -026 272 007 -044 23071999 981962 0970155 -303 5494 1011935 119 918 141 -359 30071999 971997 0989852 -102 5121 0932003 -704 104 4959 718 06081999 953229 0980691 -195 5026 0981409 -188 380 352 366 13081999 935049 0980928 -193 4848 0964661 -360 371 1294 693 20081999 944102 1009682 096 4853 1000990 010 093 001 010 27081999 935339 0990718 -093 4714 0971480 -289 087 837 270 03091999 928650 0992849 -072 4716 1000339 003 052 000 -002 10091999 923843 0994824 -052 4538 0962341 -384 027 1474 199 17091999 936583 1013790 137 4640 1022387 221 188 490 303 24091999 963355 1028585 282 4789 1032069 316 794 996 890 01101999 964466 1001153 012 4726 0986803 -133 001 176 -015 08101999 1008430 1045584 446 5332 1128322 1207 1987 14576 5382 15101999 1067340 1058418 568 5929 1111928 1061 3223 11256 6024

Page 107

22101999 1019230 0954925 -461 5517 0930509 -720 2127 5187 3322 29101999 1038280 1018691 185 5853 1060905 591 343 3495 1095 05111999 1047550 1008928 089 5904 1008748 087 079 076 077 12111999 1071510 1022872 226 5775 0978184 -221 511 487 -499 19111999 1077140 1005254 052 5759 0997230 -028 027 008 -015 26111999 1104220 1025141 248 5605 0973191 -272 617 738 -675 03121999 1152250 1043497 426 5650 1008136 081 1813 066 345 10121999 1338690 1161805 1500 6254 1106754 1014 22492 10288 15212 17121999 1235780 0923126 -800 5560 0889088 -1176 6398 13820 9403 24121999 1215240 0983379 -168 5503 0989784 -103 281 105 172 Sum -206 -3920 80467 230750 102346 Beta 127 Alpha -036 Std Dev Of Rndm Error Term 314 Std Error of Beta 0062 Std Error of Alpha 0174 Correlation Coefficient 075 Coefficient of Determination 057 Coefficient of Nondetermination 043

Page 108

Ameryah Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1)

02011998 1240540 7942 09011998 1222730 0985643 -145 7630 0960715 -401 209 1606 580 16011998 1206630 0986833 -133 7402 0970118 -303 176 920 402 23011998 1187560 0984196 -159 7427 1003377 034 254 011 -054 30011998 1161970 0978452 -218 7342 0988555 -115 475 132 251 06021998 1152100 0991506 -085 7184 0978480 -218 073 473 186 13021998 1148570 0996936 -031 7221 1005150 051 009 026 -016 20021998 1154110 1004823 048 7154 0990722 -093 023 087 -045 27021998 1152270 0998406 -016 7102 0992731 -073 003 053 012 06031998 1171950 1017079 169 7195 1013095 130 287 169 220 13031998 1177260 1004531 045 7099 0986657 -134 020 180 -061 20031998 1188570 1009607 096 7033 0990703 -093 091 087 -089 27031998 1200260 1009835 098 7053 1002844 028 096 008 028 03041998 1197600 0997784 -022 6796 0963562 -371 005 1378 082 10041998 1198900 1001086 011 6980 1027075 267 001 714 029 17041998 1195490 0997156 -028 6800 0974212 -261 008 683 074 24041998 1182420 0989067 -110 6772 0995882 -041 121 017 045 01051998 1176960 0995382 -046 6603 0975044 -253 021 639 117 08051998 1159590 0985242 -149 6644 1006209 062 221 038 -092 15051998 1129560 0974103 -262 6036 0908489 -960 688 9211 2518 22051998 1112340 0984755 -154 5908 0978794 -214 236 459 329 29051998 1073430 0965020 -356 5899 0998477 -015 1268 002 054 05061998 1045480 0973962 -264 5903 1000678 007 696 000 -018 12061998 1066480 1020086 199 6341 1074200 716 396 5123 1423 19061998 1032170 0967829 -327 5661 0892761 -1134 1069 12868 3709 26061998 1030030 0997927 -021 5875 1037803 371 004 1377 -077 03071998 1002040 0972826 -276 5707 0971404 -290 759 842 799 10071998 982199 0980199 -200 5640 0988260 -118 400 139 236 17071998 970995 0988593 -115 5441 0964716 -359 132 1290 412 24071998 995234 1024963 247 5734 1053850 525 608 2751 1293 31071998 1010220 1015058 149 5517 0962156 -386 223 1488 -577 07081998 986274 0976296 -240 5370 0973355 -270 575 729 648 14081998 966470 0979920 -203 5365 0999069 -009 411 001 019 21081998 934316 0966730 -338 5148 0959553 -413 1145 1705 1397 28081998 901108 0964457 -362 5057 0982323 -178 1310 318 645 04091998 949019 1053169 518 5693 1125766 1185 2684 14034 6137 11091998 950397 1001452 015 5622 0987529 -125 002 157 -018 18091998 953342 1003099 031 5844 1039488 387 010 1500 120 25091998 956663 1003484 035 5819 0995722 -043 012 018 -015 02101998 958912 1002351 023 5757 0989345 -107 006 115 -025 09101998 943251 0983668 -165 5709 0991662 -084 271 070 138 16101998 943963 1000755 008 5062 0886670 -1203 001 14468 -091 23101998 934640 0990124 -099 5109 1009285 092 099 085 -092

Page 109

30101998 918468 0982697 -175 5045 0987473 -126 305 159 220 06111998 913223 0994289 -057 5066 1004163 042 033 017 -024 13111998 917822 1005036 050 5141 1014805 147 025 216 074 20111998 917160 0999279 -007 5079 0987940 -121 001 147 009 27111998 906802 0988706 -114 5038 0991928 -081 129 066 092 04121998 902621 0995389 -046 5093 1010917 109 021 118 -050 11121998 889094 0985014 -151 5084 0998233 -018 228 003 027 18121998 902575 1015163 150 5088 1000787 008 226 001 012 25121998 906891 1004782 048 5069 0996266 -037 023 014 -018 01011999 914183 1008041 080 5095 1005129 051 064 026 041 08011999 983873 1076232 735 5674 1113641 1076 5397 11585 7907 15011999 989959 1006186 062 6026 1062037 602 038 3623 371 22011999 1016140 1026447 261 6488 1076668 739 681 5457 1928 29011999 1105790 1088226 845 7109 1095715 914 7149 8355 7728 05021999 1094590 0989871 -102 6429 0904347 -1005 104 10109 1024 12021999 1053620 0962570 -381 6441 1001867 019 1455 003 -071 19021999 1071770 1017226 171 6268 0973141 -272 292 741 -465 26021999 1055100 0984446 -157 6180 0985960 -141 246 200 222 05031999 1039860 0985556 -145 5756 0931392 -711 212 5052 1034 12031999 1041200 1001289 013 5791 1006081 061 002 037 008 19031999 1027650 0986986 -131 5533 0955448 -456 172 2077 597 26031999 1031360 1003610 036 5719 1033616 331 013 1093 119 02041999 1034930 1003461 035 5928 1036545 359 012 1288 124 09041999 1024940 0990347 -097 6142 1036100 355 094 1258 -344 16041999 1026450 1001473 015 5845 0951644 -496 002 2457 -073 23041999 1038240 1011486 114 5749 0983576 -166 130 274 -189 30041999 1014430 0977067 -232 5767 1003131 031 538 010 -073 07051999 1027240 1012628 125 5558 0963759 -369 157 1363 -463 14051999 1015400 0988474 -116 5698 1025189 249 134 619 -288 21051999 1012050 0996701 -033 5666 0994384 -056 011 032 019 28051999 986598 0974851 -255 5494 0969643 -308 649 950 785 04061999 977053 0990325 -097 5384 0979978 -202 095 409 197 11061999 1007370 1031029 306 5271 0979012 -212 934 450 -648 18061999 989166 0981929 -182 5423 1028837 284 333 808 -518 25061999 1026150 1037389 367 5553 1023972 237 1347 561 870 02071999 995282 0969919 -305 5490 0988655 -114 933 130 348 09071999 995600 1000320 003 5222 0951184 -500 000 2505 -016 16071999 1012170 1016643 165 5090 0974722 -256 272 655 -423 23071999 981962 0970155 -303 4992 0980747 -194 918 378 589 30071999 971997 0989852 -102 4900 0981571 -186 104 346 190 06081999 953229 0980691 -195 4528 0924082 -790 380 6234 1539 13081999 935049 0980928 -193 4505 0994920 -051 371 026 098 20081999 944102 1009682 096 4628 1027303 269 093 726 260 27081999 935339 0990718 -093 4611 0996327 -037 087 014 034 03091999 928650 0992849 -072 4556 0988072 -120 052 144 086 10091999 923843 0994824 -052 4651 1020852 206 027 426 -107 17091999 936583 1013790 137 4450 0956783 -442 188 1952 -605 24091999 963355 1028585 282 4477 1006067 060 794 037 170 01101999 964466 1001153 012 4451 0994193 -058 001 034 -007 08101999 1008430 1045584 446 4708 1057740 561 1987 3151 2502 15101999 1067340 1058418 568 5075 1077952 751 3223 5635 4262

Page 110

22101999 1019230 0954925 -461 4646 0915468 -883 2127 7800 4074 29101999 1038280 1018691 185 4762 1024968 247 343 608 457 05111999 1047550 1008928 089 4486 0942041 -597 079 3565 -531 12111999 1071510 1022872 226 4825 1075568 728 511 5307 1647 19111999 1077140 1005254 052 4741 0982591 -176 027 308 -092 26111999 1104220 1025141 248 4814 1015398 153 617 233 379 03121999 1152250 1043497 426 4750 0986705 -134 1813 179 -570 10121999 1338690 1161805 1500 5374 1131368 1234 22492 15234 18511 17121999 1235780 0923126 -800 4618 0859323 -1516 6398 22986 12127 24121999 1215240 0983379 -168 4993 1081204 781 281 6096 -1309

Sum -206 -4641 80467 220262 84434 Beta 105 Alpha -043 Std Dev Of Rndm Error Term 358 Std Error of Beta 0067 Std Error of Alpha 0187 Correlation Coefficient 064 Coefficient of Determination 041 Coefficient of Nondetermination 059

Page 111

Helwan Portland

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 6794 09011998 1222730 0985643 -145 6738 0991757 -083 209 069 120 16011998 1206630 0986833 -133 6678 0991095 -089 176 080 119 23011998 1187560 0984196 -159 6700 1003294 033 254 011 -052 30011998 1161970 0978452 -218 6736 1005373 054 475 029 -117 06021998 1152100 0991506 -085 6599 0979662 -205 073 422 175 13021998 1148570 0996936 -031 6663 1009698 097 009 093 -030 20021998 1154110 1004823 048 6605 0991295 -087 023 076 -042 27021998 1152270 0998406 -016 6625 1003028 030 003 009 -005 06031998 1171950 1017079 169 6795 1025660 253 287 642 429 13031998 1177260 1004531 045 7038 1035762 351 020 1235 159 20031998 1188570 1009607 096 7142 1014777 147 091 215 140 27031998 1200260 1009835 098 7289 1020582 204 096 415 199 03041998 1197600 0997784 -022 7191 0986555 -135 005 183 030 10041998 1198900 1001086 011 7298 1014880 148 001 218 016 17041998 1195490 0997156 -028 7326 1003837 038 008 015 -011 24041998 1182420 0989067 -110 7283 0994130 -059 121 035 065 01051998 1176960 0995382 -046 7338 1007552 075 021 057 -035 08051998 1159590 0985242 -149 7244 0987190 -129 221 166 192 15051998 1129560 0974103 -262 7136 0985091 -150 688 226 394 22051998 1112340 0984755 -154 7084 0992713 -073 236 053 112 29051998 1073430 0965020 -356 5748 0811406 -2090 1268 43675 7441 05061998 1045480 0973962 -264 5690 0989910 -101 696 103 268 12061998 1066480 1020086 199 5691 1000176 002 396 000 003 19061998 1032170 0967829 -327 5310 0933052 -693 1069 4802 2266 26061998 1030030 0997927 -021 5128 0965725 -349 004 1216 072 03071998 1002040 0972826 -276 5076 0989860 -102 759 104 281 10071998 982199 0980199 -200 5064 0997636 -024 400 006 047 17071998 970995 0988593 -115 4900 0967615 -329 132 1084 378 24071998 995234 1024963 247 5232 1067755 656 608 4298 1616 31071998 1010220 1015058 149 5317 1016246 161 223 260 241 07081998 986274 0976296 -240 5163 0971036 -294 575 864 705 14081998 966470 0979920 -203 5010 0970366 -301 411 905 610 21081998 934316 0966730 -338 4911 0980240 -200 1145 398 675 28081998 901108 0964457 -362 4880 0993688 -063 1310 040 229 04091998 949019 1053169 518 5239 1073566 710 2684 5039 3677 11091998 950397 1001452 015 5258 1003627 036 002 013 005 18091998 953342 1003099 031 5202 0989350 -107 010 115 -033 25091998 956663 1003484 035 5194 0998462 -015 012 002 -005 02101998 958912 1002351 023 5095 0980940 -192 006 370 -045 09101998 943251 0983668 -165 4961 0973700 -267 271 710 439 16101998 943963 1000755 008 5001 1008063 080 001 064 006 23101998 934640 0990124 -099 5006 1001000 010 099 001 -010

Page 112

30101998 918468 0982697 -175 4827 0964243 -364 305 1326 636 06111998 913223 0994289 -057 4853 1005386 054 033 029 -031 13111998 917822 1005036 050 4943 1018545 184 025 338 092 20111998 917160 0999279 -007 4951 1001618 016 001 003 -001 27111998 906802 0988706 -114 4851 0979802 -204 129 416 232 04121998 902621 0995389 -046 4836 0996908 -031 021 010 014 11121998 889094 0985014 -151 4779 0988213 -119 228 141 179 18121998 902575 1015163 150 4803 1005022 050 226 025 075 25121998 906891 1004782 048 4818 1003123 031 023 010 015 01011999 914183 1008041 080 4823 1001038 010 064 001 008 08011999 983873 1076232 735 5453 1130624 1228 5397 15072 9019 15011999 989959 1006186 062 5624 1031359 309 038 953 190 22011999 1016140 1026447 261 5778 1027383 270 681 730 705 29011999 1105790 1088226 845 6642 1149533 1394 7149 19420 11782 05021999 1094590 0989871 -102 6304 0949112 -522 104 2728 532 12021999 1053620 0962570 -381 6355 1008090 081 1455 065 -307 19021999 1071770 1017226 171 6423 1010700 106 292 113 182 26021999 1055100 0984446 -157 6319 0983808 -163 246 266 256 05031999 1039860 0985556 -145 6159 0974680 -256 212 658 373 12031999 1041200 1001289 013 6081 0987336 -127 002 162 -016 19031999 1027650 0986986 -131 5959 0979938 -203 172 411 265 26031999 1031360 1003610 036 6047 1014768 147 013 215 053 02041999 1034930 1003461 035 6037 0998346 -017 012 003 -006 09041999 1024940 0990347 -097 6042 1000828 008 094 001 -008 16041999 1026450 1001473 015 6034 0998676 -013 002 002 -002 23041999 1038240 1011486 114 6082 1007955 079 130 063 090 30041999 1014430 0977067 -232 5916 0972706 -277 538 766 642 07051999 1027240 1012628 125 5243 0886241 -1208 157 14585 -1515 14051999 1015400 0988474 -116 5174 0986840 -132 134 176 154 21051999 1012050 0996701 -033 5148 0994975 -050 011 025 017 28051999 986598 0974851 -255 4951 0961733 -390 649 1522 994 04061999 977053 0990325 -097 4901 0989901 -102 095 103 099 11061999 1007370 1031029 306 5002 1020608 204 934 416 623 18061999 989166 0981929 -182 4900 0979608 -206 333 424 376 25061999 1026150 1037389 367 4738 0966939 -336 1347 1130 -1234 02071999 995282 0969919 -305 4663 0984171 -160 933 255 487 09071999 995600 1000320 003 4509 0966974 -336 000 1128 -011 16071999 1012170 1016643 165 4371 0969395 -311 272 966 -513 23071999 981962 0970155 -303 4098 0937543 -645 918 4159 1954 30071999 971997 0989852 -102 4109 1002684 027 104 007 -027 06081999 953229 0980691 -195 4005 0974690 -256 380 657 500 13081999 935049 0980928 -193 3845 0960050 -408 371 1662 785 20081999 944102 1009682 096 3963 1030689 302 093 914 291 27081999 935339 0990718 -093 3893 0982337 -178 087 318 166 03091999 928650 0992849 -072 3891 0999486 -005 052 000 004 10091999 923843 0994824 -052 3789 0973786 -266 027 706 138 17091999 936583 1013790 137 3763 0993138 -069 188 047 -094 24091999 963355 1028585 282 3753 0997343 -027 794 007 -075 01101999 964466 1001153 012 3711 0988809 -113 001 127 -013 08101999 1008430 1045584 446 3922 1056858 553 1987 3058 2465 15101999 1067340 1058418 568 4279 1091025 871 3223 7589 4946

Page 113

22101999 1019230 0954925 -461 3898 0910961 -933 2127 8697 4301 29101999 1038280 1018691 185 3904 1001539 015 343 002 028 05111999 1047550 1008928 089 3796 0972336 -281 079 787 -249 12111999 1071510 1022872 226 3961 1043467 425 511 1810 962 19111999 1077140 1005254 052 3784 0955314 -457 027 2090 -240 26111999 1104220 1025141 248 3784 1000000 000 617 000 000 03121999 1152250 1043497 426 3832 1012685 126 1813 159 537 10121999 1338690 1161805 1500 3911 1020616 204 22492 416 3060 17121999 1235780 0923126 -800 3701 0946305 -552 6398 3046 4415 24121999 1215240 0983379 -168 3733 1008646 086 281 074 -144 Sum -206 -5988 80467 169307 68883 Beta 085 Alpha -056 Std Dev Of Rndm Error Term 326 Std Error of Beta 0064 Std Error of Alpha 0178 Correlation Coefficient 060 Coefficient of Determination 035 Coefficient of Nondetermination 065

Page 114

Suez Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 6281 09011998 1222730 0985643 -145 6182 0984224 -159 209 253 230 16011998 1206630 0986833 -133 6105 0987500 -126 176 158 167 23011998 1187560 0984196 -159 6165 1009978 099 254 099 -158 30011998 1161970 0978452 -218 6047 0980832 -194 475 375 422 06021998 1152100 0991506 -085 6091 1007215 072 073 052 -061 13021998 1148570 0996936 -031 6229 1022686 224 009 503 -069 20021998 1154110 1004823 048 6444 1034443 339 023 1147 163 27021998 1152270 0998406 -016 6285 0975452 -249 003 618 040 06031998 1171950 1017079 169 6262 0996239 -038 287 014 -064 13031998 1177260 1004531 045 6445 1029182 288 020 827 130 20031998 1188570 1009607 096 6408 0994358 -057 091 032 -054 27031998 1200260 1009835 098 6630 1034614 340 096 1158 333 03041998 1197600 0997784 -022 6625 0999315 -007 005 000 002 10041998 1198900 1001086 011 6546 0988063 -120 001 144 -013 17041998 1195490 0997156 -028 6600 1008192 082 008 067 -023 24041998 1182420 0989067 -110 6565 0994767 -052 121 028 058 01051998 1176960 0995382 -046 6430 0979368 -208 021 435 096 08051998 1159590 0985242 -149 6389 0993638 -064 221 041 095 15051998 1129560 0974103 -262 6295 0985203 -149 688 222 391 22051998 1112340 0984755 -154 6343 1007654 076 236 058 -117 29051998 1073430 0965020 -356 6223 0981081 -191 1268 365 680 05061998 1045480 0973962 -264 6076 0976480 -238 696 567 628 12061998 1066480 1020086 199 6265 1031119 306 396 939 609 19061998 1032170 0967829 -327 5945 0948926 -524 1069 2748 1714 26061998 1030030 0997927 -021 5723 0962538 -382 004 1458 079 03071998 1002040 0972826 -276 5667 0990311 -097 759 095 268 10071998 982199 0980199 -200 5719 1009144 091 400 083 -182 17071998 970995 0988593 -115 5637 0985694 -144 132 208 165 24071998 995234 1024963 247 5716 1014030 139 608 194 344 31071998 1010220 1015058 149 5908 1033556 330 223 1089 493 07081998 986274 0976296 -240 5341 0903984 -1009 575 10190 2422 14081998 966470 0979920 -203 5001 0936340 -658 411 4327 1334 21081998 934316 0966730 -338 4818 0963463 -372 1145 1385 1259 28081998 901108 0964457 -362 4399 0913019 -910 1310 8281 3293 04091998 949019 1053169 518 4926 1119859 1132 2684 12815 5864 11091998 950397 1001452 015 4822 0978777 -215 002 460 -031 18091998 953342 1003099 031 4828 1001321 013 010 002 004 25091998 956663 1003484 035 4907 1016381 162 012 264 057 02101998 958912 1002351 023 4828 0983883 -162 006 264 -038 09101998 943251 0983668 -165 4774 0988702 -114 271 129 187 16101998 943963 1000755 008 4824 1010474 104 001 109 008 23101998 934640 0990124 -099 4885 1012627 125 099 157 -125

Page 115

30101998 918468 0982697 -175 4795 0981575 -186 305 346 325 06111998 913223 0994289 -057 4775 0995829 -042 033 017 024 13111998 917822 1005036 050 4811 1007615 076 025 058 038 20111998 917160 0999279 -007 4732 0983560 -166 001 275 012 27111998 906802 0988706 -114 4677 0988474 -116 129 134 132 04121998 902621 0995389 -046 4619 0987561 -125 021 157 058 11121998 889094 0985014 -151 4367 0945483 -561 228 3143 846 18121998 902575 1015163 150 4596 1052456 511 226 2614 769 25121998 906891 1004782 048 4605 1001978 020 023 004 009 01011999 914183 1008041 080 4655 1010659 106 064 112 085 08011999 983873 1076232 735 4995 1073047 705 5397 4971 5180 15011999 989959 1006186 062 4876 0976338 -239 038 573 -148 22011999 1016140 1026447 261 5126 1051268 500 681 2500 1305 29011999 1105790 1088226 845 6034 1176981 1630 7149 26554 13777 05021999 1094590 0989871 -102 5763 0955100 -459 104 2110 468 12021999 1053620 0962570 -381 5725 0993375 -066 1455 044 254 19021999 1071770 1017226 171 5715 0998412 -016 292 003 -027 26021999 1055100 0984446 -157 5588 0977732 -225 246 507 353 05031999 1039860 0985556 -145 5282 0945175 -564 212 3179 820 12031999 1041200 1001289 013 5364 1015491 154 002 236 020 19031999 1027650 0986986 -131 5218 0972882 -275 172 756 360 26031999 1031360 1003610 036 5188 0994251 -058 013 033 -021 02041999 1034930 1003461 035 5175 0997371 -026 012 007 -009 09041999 1024940 0990347 -097 5296 1023542 233 094 541 -226 16041999 1026450 1001473 015 5403 1020082 199 002 395 029 23041999 1038240 1011486 114 5538 1025073 248 130 613 283 30041999 1014430 0977067 -232 5345 0965035 -356 538 1267 826 07051999 1027240 1012628 125 4872 0911549 -926 157 8577 -1162 14051999 1015400 0988474 -116 4795 0984139 -160 134 256 185 21051999 1012050 0996701 -033 4788 0998673 -013 011 002 004 28051999 986598 0974851 -255 4597 0960129 -407 649 1655 1036 04061999 977053 0990325 -097 4459 0969943 -305 095 931 297 11061999 1007370 1031029 306 4551 1020589 204 934 415 623 18061999 989166 0981929 -182 4465 0981223 -190 333 359 346 25061999 1026150 1037389 367 4415 0988803 -113 1347 127 -413 02071999 995282 0969919 -305 4390 0994236 -058 933 033 177 09071999 995600 1000320 003 4541 1034374 338 000 1142 011 16071999 1012170 1016643 165 4731 1041842 410 272 1680 677 23071999 981962 0970155 -303 4431 0936587 -655 918 4292 1985 30071999 971997 0989852 -102 4508 1017441 173 104 299 -176 06081999 953229 0980691 -195 4393 0974389 -259 380 673 506 13081999 935049 0980928 -193 4378 0996690 -033 371 011 064 20081999 944102 1009682 096 4499 1027616 272 093 742 262 27081999 935339 0990718 -093 4428 0984239 -159 087 252 148 03091999 928650 0992849 -072 4394 0992198 -078 052 061 056 10091999 923843 0994824 -052 4399 1001243 012 027 002 -006 17091999 936583 1013790 137 4572 1039263 385 188 1483 527 24091999 963355 1028585 282 4614 1009147 091 794 083 257 01101999 964466 1001153 012 4598 0996651 -034 001 011 -004 08101999 1008430 1045584 446 4954 1077302 745 1987 5544 3319 15101999 1067340 1058418 568 5351 1080198 771 3223 5951 4380

Page 116

22101999 1019230 0954925 -461 4855 0907324 -973 2127 9459 4486 29101999 1038280 1018691 185 5099 1050257 490 343 2404 908 05111999 1047550 1008928 089 4932 0967248 -333 079 1109 -296 12111999 1071510 1022872 226 5022 1018248 181 511 327 409 19111999 1077140 1005254 052 5045 1004580 046 027 021 024 26111999 1104220 1025141 248 5039 0998811 -012 617 001 -030 03121999 1152250 1043497 426 5001 0992459 -076 1813 057 -322 10121999 1338690 1161805 1500 5898 1179364 1650 22492 27217 24742 17121999 1235780 0923126 -800 5044 0855205 -1564 6398 24465 12511 24121999 1215240 0983379 -168 5005 0992268 -078 281 060 130 Sum -206 -2271 80467 203211 101802 Beta 126 Alpha -020 Std Dev Of Rndm Error Term 271 Std Error of Beta 0058 Std Error of Alpha 0162 Correlation Coefficient 080 Coefficient of Determination 063 Coefficient of Nondetermination 037

Page 117

Tora Portland Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 7721 09011998 1222730 0985643 -145 7484 0969304 -312 209 972 451 16011998 1206630 0986833 -133 7332 0979690 -205 176 421 272 23011998 1187560 0984196 -159 7241 0987589 -125 254 156 199 30011998 1161970 0978452 -218 6892 0951802 -494 475 2440 1076 06021998 1152100 0991506 -085 6911 1002757 028 073 008 -023 13021998 1148570 0996936 -031 6628 0959051 -418 009 1748 128 20021998 1154110 1004823 048 6496 0980084 -201 023 405 -097 27021998 1152270 0998406 -016 6547 1007851 078 003 061 -012 06031998 1171950 1017079 169 6915 1056209 547 287 2991 926 13031998 1177260 1004531 045 6900 0997831 -022 020 005 -010 20031998 1188570 1009607 096 7245 1050000 488 091 2380 466 27031998 1200260 1009835 098 7362 1016149 160 096 257 157 03041998 1197600 0997784 -022 7424 1008422 084 005 070 -019 10041998 1198900 1001086 011 7369 0992592 -074 001 055 -008 17041998 1195490 0997156 -028 7439 1009499 095 008 089 -027 24041998 1182420 0989067 -110 7370 0990725 -093 121 087 102 01051998 1176960 0995382 -046 7190 0975577 -247 021 611 114 08051998 1159590 0985242 -149 6998 0973296 -271 221 733 402 15051998 1129560 0974103 -262 6701 0957559 -434 688 1881 1138 22051998 1112340 0984755 -154 6773 1010745 107 236 114 -164 29051998 1073430 0965020 -356 6524 0963236 -375 1268 1403 1334 05061998 1045480 0973962 -264 6652 1019620 194 696 378 -513 12061998 1066480 1020086 199 6450 0969633 -308 396 951 -613 19061998 1032170 0967829 -327 6015 0932558 -698 1069 4875 2283 26061998 1030030 0997927 -021 6099 1013965 139 004 192 -029 03071998 1002040 0972826 -276 5719 0937695 -643 759 4138 1772 10071998 982199 0980199 -200 5452 0953314 -478 400 2286 956 17071998 970995 0988593 -115 5518 1012106 120 132 145 -138 24071998 995234 1024963 247 6339 1148786 1387 608 19239 3420 31071998 1010220 1015058 149 6348 1001420 014 223 002 021 07081998 986274 0976296 -240 6187 0974638 -257 575 660 616 14081998 966470 0979920 -203 5842 0944238 -574 411 3292 1164 21081998 934316 0966730 -338 5852 1001712 017 1145 003 -058 28081998 901108 0964457 -362 5794 0990089 -100 1310 099 360 04091998 949019 1053169 518 6237 1076458 737 2684 5428 3817 11091998 950397 1001452 015 6181 0991021 -090 002 081 -013 18091998 953342 1003099 031 6247 1010678 106 010 113 033 25091998 956663 1003484 035 6276 1004642 046 012 021 016 02101998 958912 1002351 023 6504 1036329 357 006 1273 084 09101998 943251 0983668 -165 6388 0982165 -180 271 324 296 16101998 943963 1000755 008 6449 1009549 095 001 090 007 23101998 934640 0990124 -099 6437 0998139 -019 099 003 018

Page 118

30101998 918468 0982697 -175 5477 0850862 -1615 305 26084 2819 06111998 913223 0994289 -057 5695 1039803 390 033 1523 -224 13111998 917822 1005036 050 5717 1003863 039 025 015 019 20111998 917160 0999279 -007 5780 1011020 110 001 120 -008 27111998 906802 0988706 -114 5800 1003460 035 129 012 -039 04121998 902621 0995389 -046 5758 0992759 -073 021 053 034 11121998 889094 0985014 -151 5686 0987496 -126 228 158 190 18121998 902575 1015163 150 5811 1021984 217 226 473 327 25121998 906891 1004782 048 5790 0996386 -036 023 013 -017 01011999 914183 1008041 080 5835 1007772 077 064 060 062 08011999 983873 1076232 735 6729 1153213 1426 5397 20321 10473 15011999 989959 1006186 062 7063 1049636 484 038 2347 299 22011999 1016140 1026447 261 7230 1023644 234 681 546 610 29011999 1105790 1088226 845 7810 1080221 772 7149 5955 6524 05021999 1094590 0989871 -102 7362 0942638 -591 104 3490 601 12021999 1053620 0962570 -381 7597 1031921 314 1455 987 -1199 19021999 1071770 1017226 171 7512 0988811 -113 292 127 -192 26021999 1055100 0984446 -157 7157 0952742 -484 246 2344 759 05031999 1039860 0985556 -145 7118 0994551 -055 212 030 079 12031999 1041200 1001289 013 6991 0982158 -180 002 324 -023 19031999 1027650 0986986 -131 6635 0949077 -523 172 2732 685 26031999 1031360 1003610 036 6775 1021100 209 013 436 075 02041999 1034930 1003461 035 7124 1051513 502 012 2523 174 09041999 1024940 0990347 -097 7022 0985682 -144 094 208 140 16041999 1026450 1001473 015 6905 0983338 -168 002 282 -025 23041999 1038240 1011486 114 7024 1017234 171 130 292 195 30041999 1014430 0977067 -232 6869 0977933 -223 538 498 518 07051999 1027240 1012628 125 6601 0960984 -398 157 1584 -499 14051999 1015400 0988474 -116 6800 1030147 297 134 882 -344 21051999 1012050 0996701 -033 6846 1006765 067 011 045 -022 28051999 986598 0974851 -255 6700 0978674 -216 649 465 549 04061999 977053 0990325 -097 6655 0993284 -067 095 045 066 11061999 1007370 1031029 306 6719 1009617 096 934 092 292 18061999 989166 0981929 -182 6501 0967555 -330 333 1088 601 25061999 1026150 1037389 367 6122 0941701 -601 1347 3608 -2205 02071999 995282 0969919 -305 6043 0987096 -130 933 169 397 09071999 995600 1000320 003 6193 1024822 245 000 601 008 16071999 1012170 1016643 165 6396 1032779 323 272 1040 532 23071999 981962 0970155 -303 6000 0938086 -639 918 4085 1937 30071999 971997 0989852 -102 5756 0959333 -415 104 1724 423 06081999 953229 0980691 -195 5655 0982453 -177 380 313 345 13081999 935049 0980928 -193 5907 1044562 436 371 1901 -840 20081999 944102 1009682 096 5900 0998815 -012 093 001 -011 27081999 935339 0990718 -093 5947 1007966 079 087 063 -074 03091999 928650 0992849 -072 5787 0973096 -273 052 744 196 10091999 923843 0994824 -052 6140 1060999 592 027 3506 -307 17091999 936583 1013790 137 5901 0961075 -397 188 1576 -544 24091999 963355 1028585 282 6103 1034231 337 794 1133 949 01101999 964466 1001153 012 6460 1058496 568 001 3232 066 08101999 1008430 1045584 446 6783 1050000 488 1987 2380 2175 15101999 1067340 1058418 568 7012 1033761 332 3223 1102 1885

Page 119

22101999 1019230 0954925 -461 6597 0940816 -610 2127 3722 2814 29101999 1038280 1018691 185 6777 1027285 269 343 725 498 05111999 1047550 1008928 089 6745 0995278 -047 079 022 -042 12111999 1071510 1022872 226 6076 0900815 -1045 511 10911 -2362 19111999 1077140 1005254 052 6329 1041639 408 027 1664 214 26111999 1104220 1025141 248 6453 1019592 194 617 376 482 03121999 1152250 1043497 426 6847 1061057 593 1813 3512 2523 10121999 1338690 1161805 1500 7898 1153498 1428 22492 20392 21416 17121999 1235780 0923126 -800 6702 0848569 -1642 6398 26963 13135 24121999 1215240 0983379 -168 7092 1058192 566 281 3199 -948 Sum -206 -850 80467 235301 86067 Beta 107 Alpha -006 Std Dev Of Rndm Error Term 377 Std Error of Beta 0068 Std Error of Alpha 0191 Correlation Coefficient 063 Coefficient of Determination 039 Coefficient of Nondetermination 061

Page 120

Upper Egypt Flour Mills

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5639 09011998 1222730 0985643 -145 5422 0961518 -392 209 1540 567 16011998 1206630 0986833 -133 4928 0908890 -955 176 9126 1266 23011998 1187560 0984196 -159 5053 1025365 250 254 627 -399 30011998 1161970 0978452 -218 5003 0990105 -099 475 099 217 06021998 1152100 0991506 -085 5096 1018589 184 073 339 -157 13021998 1148570 0996936 -031 5381 1055926 544 009 2961 -167 20021998 1154110 1004823 048 5859 1088831 851 023 7243 410 27021998 1152270 0998406 -016 5911 1008875 088 003 078 -014 06031998 1171950 1017079 169 6392 1081374 782 287 6120 1325 13031998 1177260 1004531 045 5999 0938517 -635 020 4026 -287 20031998 1188570 1009607 096 6168 1028171 278 091 772 266 27031998 1200260 1009835 098 6226 1009403 094 096 088 092 03041998 1197600 0997784 -022 6071 0975104 -252 005 636 056 10041998 1198900 1001086 011 6025 0992423 -076 001 058 -008 17041998 1195490 0997156 -028 6051 1004315 043 008 019 -012 24041998 1182420 0989067 -110 5819 0961659 -391 121 1528 430 01051998 1176960 0995382 -046 6052 1040041 393 021 1541 -182 08051998 1159590 0985242 -149 5933 0980337 -199 221 394 295 15051998 1129560 0974103 -262 5637 0950110 -512 688 2619 1343 22051998 1112340 0984755 -154 5238 0929218 -734 236 5389 1128 29051998 1073430 0965020 -356 4877 0931081 -714 1268 5099 2543 05061998 1045480 0973962 -264 4595 0942178 -596 696 3548 1571 12061998 1066480 1020086 199 4822 1049402 482 396 2325 959 19061998 1032170 0967829 -327 4818 0999170 -008 1069 001 027 26061998 1030030 0997927 -021 4795 0995226 -048 004 023 010 03071998 1002040 0972826 -276 4704 0981022 -192 759 367 528 10071998 982199 0980199 -200 4538 0964711 -359 400 1291 719 17071998 970995 0988593 -115 4544 1001322 013 132 002 -015 24071998 995234 1024963 247 4802 1056778 552 608 3050 1362 31071998 1010220 1015058 149 4983 1037693 370 223 1369 553 07081998 986274 0976296 -240 4698 0942806 -589 575 3469 1413 14081998 966470 0979920 -203 4825 1027033 267 411 711 -541 21081998 934316 0966730 -338 4695 0973057 -273 1145 746 924 28081998 901108 0964457 -362 4556 0970394 -301 1310 903 1088 04091998 949019 1053169 518 4795 1052458 511 2684 2614 2649 11091998 950397 1001452 015 4758 0992284 -077 002 060 -011 18091998 953342 1003099 031 4654 0978142 -221 010 488 -068 25091998 956663 1003484 035 4554 0978513 -217 012 472 -076 02101998 958912 1002351 023 4558 1000878 009 006 001 002 09101998 943251 0983668 -165 4223 0926503 -763 271 5828 1257 16101998 943963 1000755 008 4294 1016813 167 001 278 013 23101998 934640 0990124 -099 3931 0915463 -883 099 7801 877

Page 121

30101998 918468 0982697 -175 3658 0930552 -720 305 5181 1256 06111998 913223 0994289 -057 3086 0843630 -1700 033 28914 974 13111998 917822 1005036 050 3419 1107907 1025 025 10501 515 20111998 917160 0999279 -007 3452 1009652 096 001 092 -007 27111998 906802 0988706 -114 3318 0961182 -396 129 1567 450 04121998 902621 0995389 -046 3434 1034961 344 021 1181 -159 11121998 889094 0985014 -151 3437 1000874 009 228 001 -013 18121998 902575 1015163 150 3427 0997090 -029 226 008 -044 25121998 906891 1004782 048 36 1050481 492 023 2425 235 01011999 914183 1008041 080 3632 1008889 088 064 078 071 08011999 983873 1076232 735 4372 1203744 1854 5397 34387 13623 15011999 989959 1006186 062 4225 0966377 -342 038 1170 -211 22011999 1016140 1026447 261 4397 1040710 399 681 1592 1042 29011999 1105790 1088226 845 4738 1077553 747 7149 5579 6315 05021999 1094590 0989871 -102 4727 0997678 -023 104 005 024 12021999 1053620 0962570 -381 4519 0955997 -450 1455 2025 1717 19021999 1071770 1017226 171 4765 1054437 530 292 2810 905 26021999 1055100 0984446 -157 4714 0989297 -108 246 116 169 05031999 1039860 0985556 -145 4612 0978362 -219 212 479 318 12031999 1041200 1001289 013 4423 0959020 -418 002 1751 -054 19031999 1027650 0986986 -131 4462 1008818 088 172 077 -115 26031999 1031360 1003610 036 4586 1027790 274 013 751 099 02041999 1034930 1003461 035 4396 0958570 -423 012 1790 -146 09041999 1024940 0990347 -097 4152 0944495 -571 094 3261 554 16041999 1026450 1001473 015 3972 0956647 -443 002 1964 -065 23041999 1038240 1011486 114 3902 0982377 -178 130 316 -203 30041999 1014430 0977067 -232 3653 0936187 -659 538 4348 1530 07051999 1027240 1012628 125 3754 1027649 273 157 744 342 14051999 1015400 0988474 -116 3486 0928609 -741 134 5486 859 21051999 1012050 0996701 -033 3339 0957831 -431 011 1856 142 28051999 986598 0974851 -255 3213 0962264 -385 649 1480 980 04061999 977053 0990325 -097 3207 0998133 -019 095 003 018 11061999 1007370 1031029 306 3423 1067353 652 934 4249 1992 18061999 989166 0981929 -182 3325 0971370 -290 333 844 530 25061999 1026150 1037389 367 2992 0899850 -1055 1347 11136 -3874 02071999 995282 0969919 -305 3089 1032420 319 933 1018 -974 09071999 995600 1000320 003 2968 0960829 -400 000 1597 -013 16071999 1012170 1016643 165 3195 1076482 737 272 5432 1216 23071999 981962 0970155 -303 315 0985915 -142 918 201 430 30071999 971997 0989852 -102 3035 0963492 -372 104 1383 379 06081999 953229 0980691 -195 2889 0951895 -493 380 2431 961 13081999 935049 0980928 -193 2757 0954309 -468 371 2187 901 20081999 944102 1009682 096 2792 1012695 126 093 159 122 27081999 935339 0990718 -093 2859 1023997 237 087 562 -221 03091999 928650 0992849 -072 282 0986359 -137 052 189 099 10091999 923843 0994824 -052 3108 1102128 972 027 9456 -505 17091999 936583 1013790 137 3008 0967825 -327 188 1070 -448 24091999 963355 1028585 282 3016 1002660 027 794 007 075 01101999 964466 1001153 012 3017 1000332 003 001 000 000 08101999 1008430 1045584 446 3245 1075572 729 1987 5307 3247 15101999 1067340 1058418 568 3413 1051772 505 3223 2548 2866

Page 122

22101999 1019230 0954925 -461 3195 0936127 -660 2127 4357 3044 29101999 1038280 1018691 185 3256 1019092 189 343 358 350 05111999 1047550 1008928 089 2663 0817875 -2010 079 40420 -1787 12111999 1071510 1022872 226 2813 1056327 548 511 3003 1239 19111999 1077140 1005254 052 2776 0986847 -132 027 175 -069 26111999 1104220 1025141 248 2755 0992435 -076 617 058 -189 03121999 1152250 1043497 426 273 0990926 -091 1813 083 -388 10121999 1338690 1161805 1500 2777 1017216 171 22492 291 2560 17121999 1235780 0923126 -800 2606 0938423 -636 6398 4039 5084 24121999 1215240 0983379 -168 2553 0979662 -205 281 422 344 Sum -206 -7924 80467 310570 70040 Beta 087 Alpha -075 Std Dev Of Rndm Error Term 491 Std Error of Beta 0078 Std Error of Alpha 0218 Correlation Coefficient 045 Coefficient of Determination 020 Coefficient of Nondetermination 080

Page 123

Nasr City for Housing and Development

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 10973 09011998 1222730 0985643 -145 10724 0977262 -230 209 529 333 16011998 1206630 0986833 -133 10722 0999860 -001 176 000 002 23011998 1187560 0984196 -159 10612 0989741 -103 254 106 164 30011998 1161970 0978452 -218 10569 0995901 -041 475 017 089 06021998 1152100 0991506 -085 10372 0981360 -188 073 354 161 13021998 1148570 0996936 -031 10075 0971412 -290 009 841 089 20021998 1154110 1004823 048 9827 0975385 -249 023 621 -120 27021998 1152270 0998406 -016 10000 1017605 175 003 305 -028 06031998 1171950 1017079 169 10182 1018200 180 287 325 305 13031998 1177260 1004531 045 10080 0989933 -101 020 102 -046 20031998 1188570 1009607 096 10299 1021777 215 091 464 206 27031998 1200260 1009835 098 10688 1037722 370 096 1371 362 03041998 1197600 0997784 -022 10585 0990409 -096 005 093 021 10041998 1198900 1001086 011 10642 1005385 054 001 029 006 17041998 1195490 0997156 -028 10648 1000564 006 008 000 -002 24041998 1182420 0989067 -110 10613 0996713 -033 121 011 036 01051998 1176960 0995382 -046 10470 0986479 -136 021 185 063 08051998 1159590 0985242 -149 10393 0992645 -074 221 054 110 15051998 1129560 0974103 -262 10092 0971037 -294 688 864 771 22051998 1112340 0984755 -154 9631 0954368 -467 236 2181 718 29051998 1073430 0965020 -356 9625 0999377 -006 1268 000 022 05061998 1045480 0973962 -264 9140 0949558 -518 696 2679 1366 12061998 1066480 1020086 199 9153 1001422 014 396 002 028 19061998 1032170 0967829 -327 8790 0960393 -404 1069 1633 1321 26061998 1030030 0997927 -021 8353 0950284 -510 004 2600 106 03071998 1002040 0972826 -276 8133 0973662 -267 759 712 735 10071998 982199 0980199 -200 7391 0908705 -957 400 9165 1915 17071998 970995 0988593 -115 6762 0914958 -889 132 7899 1020 24071998 995234 1024963 247 7760 1147516 1376 608 18934 3393 31071998 1010220 1015058 149 8084 1041820 410 223 1678 612 07081998 986274 0976296 -240 7844 0970250 -302 575 912 725 14081998 966470 0979920 -203 7377 0940524 -613 411 3760 1244 21081998 934316 0966730 -338 7071 0958520 -424 1145 1795 1433 28081998 901108 0964457 -362 6804 0962169 -386 1310 1487 1396 04091998 949019 1053169 518 7267 1068127 659 2684 4344 3414 11091998 950397 1001452 015 7367 1013761 137 002 187 020 18091998 953342 1003099 031 7295 0990227 -098 010 096 -030 25091998 956663 1003484 035 7445 1020493 203 012 412 071 02101998 958912 1002351 023 7439 0999261 -007 006 001 -002 09101998 943251 0983668 -165 7179 0964982 -356 271 1271 587 16101998 943963 1000755 008 6238 0868914 -1405 001 19743 -106 23101998 934640 0990124 -099 6142 0984689 -154 099 238 153

Page 124

30101998 918468 0982697 -175 5338 0869098 -1403 305 19684 2449 06111998 913223 0994289 -057 5694 1066692 646 033 4168 -370 13111998 917822 1005036 050 5300 0930717 -718 025 5155 -361 20111998 917160 0999279 -007 5102 0962732 -380 001 1442 027 27111998 906802 0988706 -114 5148 1009016 090 129 081 -102 04121998 902621 0995389 -046 5135 0997378 -026 021 007 012 11121998 889094 0985014 -151 5151 1003214 032 228 010 -048 18121998 902575 1015163 150 5143 0998350 -017 226 003 -025 25121998 906891 1004782 048 5115 0994555 -055 023 030 -026 01011999 914183 1008041 080 5153 1007430 074 064 055 059 08011999 983873 1076232 735 5576 1082193 790 5397 6239 5803 15011999 989959 1006186 062 5613 1006546 065 038 043 040 22011999 1016140 1026447 261 5728 1020579 204 681 415 532 29011999 1105790 1088226 845 6809 1188722 1729 7149 29887 14617 05021999 1094590 0989871 -102 6457 0948304 -531 104 2818 540 12021999 1053620 0962570 -381 5937 0919390 -840 1455 7064 3206 19021999 1071770 1017226 171 6268 1055757 543 292 2944 927 26021999 1055100 0984446 -157 6139 0979418 -208 246 433 326 05031999 1039860 0985556 -145 5772 0940295 -616 212 3790 896 12031999 1041200 1001289 013 5590 0968468 -320 002 1027 -041 19031999 1027650 0986986 -131 5457 0976208 -241 172 580 315 26031999 1031360 1003610 036 5352 0980667 -195 013 381 -070 02041999 1034930 1003461 035 5509 1029431 290 012 841 100 09041999 1024940 0990347 -097 5325 0966509 -341 094 1160 330 16041999 1026450 1001473 015 5518 1036248 356 002 1268 052 23041999 1038240 1011486 114 5388 0976439 -238 130 569 -272 30041999 1014430 0977067 -232 5212 0967332 -332 538 1103 771 07051999 1027240 1012628 125 4940 0947904 -535 157 2863 -671 14051999 1015400 0988474 -116 4499 0910628 -936 134 8765 1085 21051999 1012050 0996701 -033 4500 1000333 003 011 000 -001 28051999 986598 0974851 -255 4500 1000000 000 649 000 000 04061999 977053 0990325 -097 4333 0962889 -378 095 1430 368 11061999 1007370 1031029 306 4221 0974152 -262 934 686 -800 18061999 989166 0981929 -182 4025 0953566 -475 333 2261 867 25061999 1026150 1037389 367 3968 0985839 -143 1347 203 -524 02071999 995282 0969919 -305 3726 0939012 -629 933 3960 1922 09071999 995600 1000320 003 3789 1016908 168 000 281 005 16071999 1012170 1016643 165 3853 1016891 167 272 281 276 23071999 981962 0970155 -303 3912 1015313 152 918 231 -460 30071999 971997 0989852 -102 3837 0980828 -194 104 375 197 06081999 953229 0980691 -195 3903 1017201 171 380 291 -333 13081999 935049 0980928 -193 3854 0987446 -126 371 160 243 20081999 944102 1009682 096 3753 0973793 -266 093 705 -256 27081999 935339 0990718 -093 3598 0958700 -422 087 1779 393 03091999 928650 0992849 -072 3562 0989994 -101 052 101 072 10091999 923843 0994824 -052 3546 0995508 -045 027 020 023 17091999 936583 1013790 137 3765 1061760 599 188 3591 821 24091999 963355 1028585 282 3903 1036653 360 794 1296 1015 01101999 964466 1001153 012 3791 0971304 -291 001 848 -034 08101999 1008430 1045584 446 4114 1085202 818 1987 6686 3645 15101999 1067340 1058418 568 4367 1061497 597 3223 3562 3388

Page 125

22101999 1019230 0954925 -461 4218 0965880 -347 2127 1205 1601 29101999 1038280 1018691 185 3687 0874111 -1345 343 18103 -2492 05111999 1047550 1008928 089 3487 0945755 -558 079 3110 -496 12111999 1071510 1022872 226 3549 1017780 176 511 311 399 19111999 1077140 1005254 052 3567 1005072 051 027 026 027 26111999 1104220 1025141 248 3356 0940847 -610 617 3718 -1514 03121999 1152250 1043497 426 3546 1056615 551 1813 3033 2345 10121999 1338690 1161805 1500 3498 0986464 -136 22492 186 -2044 17121999 1235780 0923126 -800 3611 1032304 318 6398 1011 -2543 24121999 1215240 0983379 -168 3308 0916090 -876 281 7681 1469 Sum -206 -11991 80467 257954 60346 Beta 075 Alpha -115 Std Dev Of Rndm Error Term 444 Std Error of Beta 0074 Std Error of Alpha 0208 Correlation Coefficient 043 Coefficient of Determination 018 Coefficient of Nondetermination 082

Page 126

Abu Keir for Fertilisers

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8459 09011998 1222730 0985643 -145 8438 0997517 -025 209 006 036 16011998 1206630 0986833 -133 8022 0950699 -506 176 2556 670 23011998 1187560 0984196 -159 7874 0981551 -186 254 347 297 30011998 1161970 0978452 -218 783 0994412 -056 475 031 122 06021998 1152100 0991506 -085 774 0988506 -116 073 134 099 13021998 1148570 0996936 -031 7632 0986047 -141 009 197 043 20021998 1154110 1004823 048 7711 1010351 103 023 106 050 27021998 1152270 0998406 -016 7744 1004280 043 003 018 -007 06031998 1171950 1017079 169 7716 0996384 -036 287 013 -061 13031998 1177260 1004531 045 7685 0995982 -040 020 016 -018 20031998 1188570 1009607 096 7453 0969811 -307 091 940 -293 27031998 1200260 1009835 098 7287 0977727 -225 096 507 -220 03041998 1197600 0997784 -022 7419 1018114 180 005 322 -040 10041998 1198900 1001086 011 7419 1000000 000 001 000 000 17041998 1195490 0997156 -028 7402 0997709 -023 008 005 007 24041998 1182420 0989067 -110 7369 0995542 -045 121 020 049 01051998 1176960 0995382 -046 7358 0998507 -015 021 002 007 08051998 1159590 0985242 -149 733 0996195 -038 221 015 057 15051998 1129560 0974103 -262 7246 0988540 -115 688 133 302 22051998 1112340 0984755 -154 7037 0971157 -293 236 857 450 29051998 1073430 0965020 -356 6648 0944721 -569 1268 3234 2025 05061998 1045480 0973962 -264 6775 1019103 189 696 358 -499 12061998 1066480 1020086 199 7001 1033358 328 396 1077 653 19061998 1032170 0967829 -327 6614 0944722 -569 1069 3234 1859 26061998 1030030 0997927 -021 6678 1009676 096 004 093 -020 03071998 1002040 0972826 -276 6351 0951033 -502 759 2521 1383 10071998 982199 0980199 -200 6234 0981578 -186 400 346 372 17071998 970995 0988593 -115 6126 0982676 -175 132 305 200 24071998 995234 1024963 247 6178 1008488 085 608 071 208 31071998 1010220 1015058 149 6189 1001781 018 223 003 027 07081998 986274 0976296 -240 6026 0973663 -267 575 712 640 14081998 966470 0979920 -203 5796 0961832 -389 411 1514 789 21081998 934316 0966730 -338 5415 0934265 -680 1145 4623 2301 28081998 901108 0964457 -362 5395 0996307 -037 1310 014 134 04091998 949019 1053169 518 5648 1046895 458 2684 2100 2374 11091998 950397 1001452 015 5801 1027089 267 002 714 039 18091998 953342 1003099 031 5755 0992070 -080 010 063 -025 25091998 956663 1003484 035 5834 1013727 136 012 186 047 02101998 958912 1002351 023 598 1025026 247 006 611 058 09101998 943251 0983668 -165 6272 1048829 477 271 2273 -785 16101998 943963 1000755 008 6497 1035874 352 001 1242 027 23101998 934640 0990124 -099 5815 0895028 -1109 099 12299 1101

Page 127

30101998 918468 0982697 -175 6326 1087876 842 305 7094 -1470 06111998 913223 0994289 -057 6336 1001581 016 033 002 -009 13111998 917822 1005036 050 6338 1000316 003 025 000 002 20111998 917160 0999279 -007 6471 1020985 208 001 431 -015 27111998 906802 0988706 -114 6366 0983774 -164 129 268 186 04121998 902621 0995389 -046 6304 0990261 -098 021 096 045 11121998 889094 0985014 -151 6247 0990958 -091 228 083 137 18121998 902575 1015163 150 6103 0976949 -233 226 544 -351 25121998 906891 1004782 048 6092 0998198 -018 023 003 -009 01011999 914183 1008041 080 6117 1004104 041 064 017 033 08011999 983873 1076232 735 6219 1016675 165 5397 273 1215 15011999 989959 1006186 062 6122 0984403 -157 038 247 -097 22011999 1016140 1026447 261 606 0989873 -102 681 104 -266 29011999 1105790 1088226 845 6213 1025248 249 7149 622 2108 05021999 1094590 0989871 -102 6163 0991952 -081 104 065 082 12021999 1053620 0962570 -381 5805 0941911 -598 1455 3581 2283 19021999 1071770 1017226 171 5799 0998966 -010 292 001 -018 26021999 1055100 0984446 -157 5871 1012416 123 246 152 -193 05031999 1039860 0985556 -145 5798 0987566 -125 212 157 182 12031999 1041200 1001289 013 5796 0999655 -003 002 000 -000 19031999 1027650 0986986 -131 5793 0999482 -005 172 000 007 26031999 1031360 1003610 036 5818 1004316 043 013 019 016 02041999 1034930 1003461 035 575 0988312 -118 012 138 -041 09041999 1024940 0990347 -097 5542 0963826 -368 094 1358 357 16041999 1026450 1001473 015 5438 0981234 -189 002 359 -028 23041999 1038240 1011486 114 5387 0990622 -094 130 089 -108 30041999 1014430 0977067 -232 5017 0931316 -712 538 5063 1651 07051999 1027240 1012628 125 4687 0934224 -680 157 4629 -854 14051999 1015400 0988474 -116 4446 0948581 -528 134 2787 612 21051999 1012050 0996701 -033 4741 1066352 642 011 4127 -212 28051999 986598 0974851 -255 4599 0970049 -304 649 925 775 04061999 977053 0990325 -097 4223 0918243 -853 095 7275 829 11061999 1007370 1031029 306 4203 0995264 -047 934 023 -145 18061999 989166 0981929 -182 3721 0885320 -1218 333 14837 2221 25061999 1026150 1037389 367 4174 1121741 1149 1347 13198 4217 02071999 995282 0969919 -305 4198 1005750 057 933 033 -175 09071999 995600 1000320 003 4374 1041925 411 000 1687 013 16071999 1012170 1016643 165 4243 0970050 -304 272 925 -502 23071999 981962 0970155 -303 4127 0972661 -277 918 768 840 30071999 971997 0989852 -102 40 0969227 -313 104 977 319 06081999 953229 0980691 -195 3788 0947000 -545 380 2965 1062 13081999 935049 0980928 -193 3854 1017423 173 371 298 -333 20081999 944102 1009682 096 3981 1032953 324 093 1051 312 27081999 935339 0990718 -093 4149 1042200 413 087 1709 -385 03091999 928650 0992849 -072 415 1000241 002 052 000 -002 10091999 923843 0994824 -052 4138 0997108 -029 027 008 015 17091999 936583 1013790 137 3927 0949009 -523 188 2739 -717 24091999 963355 1028585 282 4096 1043035 421 794 1775 1188 01101999 964466 1001153 012 4043 0987061 -130 001 170 -015 08101999 1008430 1045584 446 4059 1003957 039 1987 016 176 15101999 1067340 1058418 568 4054 0998768 -012 3223 002 -070

Page 128

22101999 1019230 0954925 -461 3984 0982733 -174 2127 303 803 29101999 1038280 1018691 185 3268 0820281 -1981 343 39247 -3669 05111999 1047550 1008928 089 3201 0979498 -207 079 429 -184 12111999 1071510 1022872 226 3164 0988441 -116 511 135 -263 19111999 1077140 1005254 052 298 0941846 -599 027 3590 -314 26111999 1104220 1025141 248 2952 0990604 -094 617 089 -234 03121999 1152250 1043497 426 2998 1015583 155 1813 239 658 10121999 1338690 1161805 1500 326 1087392 838 22492 7019 12565 17121999 1235780 0923126 -800 3303 1013190 131 6398 172 -1048 24121999 1215240 0983379 -168 3165 0958220 -427 281 1821 715 Sum -206 -9831 80467 180553 38354 Beta 047 Alpha -094 Std Dev Of Rndm Error Term 389 Std Error of Beta 0070 Std Error of Alpha 0194 Correlation Coefficient 033 Coefficient of Determination 011 Coefficient of Nondetermination 089

Page 129

Egyptian Financial and Industrial

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 10251 09011998 1222730 0985643 -145 10199 0994879 -051 209 026 074 16011998 1206630 0986833 -133 10039 0984311 -158 176 250 210 23011998 1187560 0984196 -159 10021 0998257 -017 254 003 028 30011998 1161970 0978452 -218 9630 0960982 -398 475 1584 867 06021998 1152100 0991506 -085 9051 0939875 -620 073 3845 529 13021998 1148570 0996936 -031 8848 0977572 -227 009 515 070 20021998 1154110 1004823 048 8823 0997175 -028 023 008 -014 27021998 1152270 0998406 -016 8847 1002720 027 003 007 -004 06031998 1171950 1017079 169 8405 0950040 -513 287 2627 -868 13031998 1177260 1004531 045 8903 1059191 575 020 3307 260 20031998 1188570 1009607 096 9174 1030497 300 091 902 287 27031998 1200260 1009835 098 9387 1023218 230 096 527 225 03041998 1197600 0997784 -022 9448 1006498 065 005 042 -014 10041998 1198900 1001086 011 9569 1012754 127 001 161 014 17041998 1195490 0997156 -028 9600 1003292 033 008 011 -009 24041998 1182420 0989067 -110 9581 0998021 -020 121 004 022 01051998 1176960 0995382 -046 9600 1001983 020 021 004 -009 08051998 1159590 0985242 -149 9449 0984271 -159 221 251 236 15051998 1129560 0974103 -262 9370 0991639 -084 688 070 220 22051998 1112340 0984755 -154 8661 0924333 -787 236 6191 1209 29051998 1073430 0965020 -356 8478 0978871 -214 1268 456 760 05061998 1045480 0973962 -264 8321 0981481 -187 696 349 493 12061998 1066480 1020086 199 8270 0993871 -061 396 038 -122 19061998 1032170 0967829 -327 7944 0960580 -402 1069 1617 1315 26061998 1030030 0997927 -021 7651 0963117 -376 004 1412 078 03071998 1002040 0972826 -276 7211 0942491 -592 759 3508 1632 10071998 982199 0980199 -200 6744 0935238 -670 400 4483 1339 17071998 970995 0988593 -115 6608 0979834 -204 132 415 234 24071998 995234 1024963 247 6082 0920400 -829 608 6880 -2045 31071998 1010220 1015058 149 6169 1014305 142 223 202 212 07081998 986274 0976296 -240 5979 0969201 -313 575 979 750 14081998 966470 0979920 -203 6034 1009199 092 411 084 -186 21081998 934316 0966730 -338 5803 0961717 -390 1145 1524 1321 28081998 901108 0964457 -362 5608 0966397 -342 1310 1168 1237 04091998 949019 1053169 518 5944 1059914 582 2684 3386 3014 11091998 950397 1001452 015 5724 0962988 -377 002 1422 -055 18091998 953342 1003099 031 5754 1005241 052 010 027 016 25091998 956663 1003484 035 5906 1026416 261 012 680 091 02101998 958912 1002351 023 6025 1020149 199 006 398 047 09101998 943251 0983668 -165 5959 0989046 -110 271 121 181 16101998 943963 1000755 008 5913 0992281 -077 001 060 -006 23101998 934640 0990124 -099 5860 0991037 -090 099 081 089

Page 130

30101998 918468 0982697 -175 5867 1001195 012 305 001 -021 06111998 913223 0994289 -057 5824 0992671 -074 033 054 042 13111998 917822 1005036 050 5777 0991930 -081 025 066 -041 20111998 917160 0999279 -007 5775 0999654 -003 001 000 000 27111998 906802 0988706 -114 5766 0998442 -016 129 002 018 04121998 902621 0995389 -046 5767 1000173 002 021 000 -001 11121998 889094 0985014 -151 5724 0992544 -075 228 056 113 18121998 902575 1015163 150 5676 0991614 -084 226 071 -127 25121998 906891 1004782 048 5625 0991015 -090 023 081 -043 01011999 914183 1008041 080 5627 1000356 004 064 000 003 08011999 983873 1076232 735 5876 1044251 433 5397 1875 3181 15011999 989959 1006186 062 5944 1011572 115 038 132 071 22011999 1016140 1026447 261 6172 1038358 376 681 1417 983 29011999 1105790 1088226 845 6828 1106286 1010 7149 10203 8540 05021999 1094590 0989871 -102 6460 0946104 -554 104 3069 564 12021999 1053620 0962570 -381 6061 0938235 -638 1455 4065 2432 19021999 1071770 1017226 171 6023 0993730 -063 292 040 -107 26021999 1055100 0984446 -157 5949 0987714 -124 246 153 194 05031999 1039860 0985556 -145 5656 0950748 -505 212 2551 735 12031999 1041200 1001289 013 5642 0997525 -025 002 006 -003 19031999 1027650 0986986 -131 5620 0996101 -039 172 015 051 26031999 1031360 1003610 036 5488 0976512 -238 013 565 -086 02041999 1034930 1003461 035 5568 1014577 145 012 209 050 09041999 1024940 0990347 -097 5498 0987428 -127 094 160 123 16041999 1026450 1001473 015 5354 0973809 -265 002 704 -039 23041999 1038240 1011486 114 5442 1016436 163 130 266 186 30041999 1014430 0977067 -232 5266 0967659 -329 538 1081 763 07051999 1027240 1012628 125 5229 0992974 -071 157 050 -088 14051999 1015400 0988474 -116 5022 0960413 -404 134 1631 468 21051999 1012050 0996701 -033 5134 1022302 221 011 487 -073 28051999 986598 0974851 -255 4781 0931243 -712 649 5074 1814 04061999 977053 0990325 -097 4664 0975528 -248 095 614 241 11061999 1007370 1031029 306 4637 0994211 -058 934 034 -177 18061999 989166 0981929 -182 4442 0957947 -430 333 1846 783 25061999 1026150 1037389 367 4289 0965556 -351 1347 1229 -1287 02071999 995282 0969919 -305 4239 0988342 -117 933 138 358 09071999 995600 1000320 003 4152 0979476 -207 000 430 -007 16071999 1012170 1016643 165 3782 0910886 -933 272 8712 -1541 23071999 981962 0970155 -303 3657 0966949 -336 918 1130 1018 30071999 971997 0989852 -102 3748 1024884 246 104 604 -251 06081999 953229 0980691 -195 3672 0979723 -205 380 420 399 13081999 935049 0980928 -193 3575 0973584 -268 371 717 516 20081999 944102 1009682 096 3472 0971189 -292 093 855 -282 27081999 935339 0990718 -093 3472 1000000 000 087 000 000 03091999 928650 0992849 -072 3320 0956221 -448 052 2004 321 10091999 923843 0994824 -052 3207 0965964 -346 027 1199 180 17091999 936583 1013790 137 3166 0987215 -129 188 166 -176 24091999 963355 1028585 282 3189 1007265 072 794 052 204 01101999 964466 1001153 012 3150 0987770 -123 001 151 -014 08101999 1008430 1045584 446 3336 1059048 574 1987 3291 2557 15101999 1067340 1058418 568 3445 1032674 322 3223 1034 1825

Page 131

22101999 1019230 0954925 -461 3200 0928882 -738 2127 5442 3403 29101999 1038280 1018691 185 3210 1003125 031 343 010 058 05111999 1047550 1008928 089 2864 0892212 -1141 079 13008 -1014 12111999 1071510 1022872 226 2820 0984637 -155 511 240 -350 19111999 1077140 1005254 052 2828 1002837 028 027 008 015 26111999 1104220 1025141 248 2758 0975248 -251 617 628 -622 03121999 1152250 1043497 426 2796 1013778 137 1813 187 583 10121999 1338690 1161805 1500 3185 1139127 1303 22492 16968 19536 17121999 1235780 0923126 -800 2840 0891680 -1146 6398 13144 9171 24121999 1215240 0983379 -168 2754 0969718 -307 281 946 515 Sum -206 -13143 80467 158917 69392 Beta 086 Alpha -126 Std Dev Of Rndm Error Term 286 Std Error of Beta 0060 Std Error of Alpha 0167 Correlation Coefficient 065 Coefficient of Determination 042 Coefficient of Nondetermination 058

Page 132

Paints and Chemical Industries (PACHIN)

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5386 09011998 1222730 0985643 -145 5201 0965649 -350 209 1222 505 16011998 1206630 0986833 -133 5121 0984617 -155 176 240 205 23011998 1187560 0984196 -159 4640 0906162 -985 254 9710 1570 30011998 1161970 0978452 -218 4846 1044289 433 475 1878 -944 06021998 1152100 0991506 -085 4850 1000929 009 073 001 -008 13021998 1148570 0996936 -031 5240 1080412 773 009 5982 -237 20021998 1154110 1004823 048 5664 1080821 777 023 6040 374 27021998 1152270 0998406 -016 5648 0997263 -027 003 008 004 06031998 1171950 1017079 169 5709 1010800 107 287 115 182 13031998 1177260 1004531 045 5779 1012261 122 020 149 055 20031998 1188570 1009607 096 5835 1009690 096 091 093 092 27031998 1200260 1009835 098 5800 0994002 -060 096 036 -059 03041998 1197600 0997784 -022 5792 0998621 -014 005 002 003 10041998 1198900 1001086 011 5752 0993094 -069 001 048 -008 17041998 1195490 0997156 -028 5745 0998696 -013 008 002 004 24041998 1182420 0989067 -110 5743 0999652 -003 121 000 004 01051998 1176960 0995382 -046 5613 0977362 -229 021 524 106 08051998 1159590 0985242 -149 5750 1024410 241 221 582 -359 15051998 1129560 0974103 -262 5637 0980433 -198 688 390 518 22051998 1112340 0984755 -154 5338 0946869 -546 236 2981 839 29051998 1073430 0965020 -356 4772 0893958 -1121 1268 12566 3991 05061998 1045480 0973962 -264 4966 1040763 400 696 1596 -1054 12061998 1066480 1020086 199 5150 1037052 364 396 1324 724 19061998 1032170 0967829 -327 5184 1006602 066 1069 043 -215 26061998 1030030 0997927 -021 5013 0966917 -336 004 1132 070 03071998 1002040 0972826 -276 4836 0964688 -360 759 1292 990 10071998 982199 0980199 -200 4713 0974563 -258 400 664 515 17071998 970995 0988593 -115 4750 1007851 078 132 061 -090 24071998 995234 1024963 247 4797 1009896 098 608 097 243 31071998 1010220 1015058 149 4789 0998332 -017 223 003 -025 07081998 986274 0976296 -240 4700 0981414 -188 575 352 450 14081998 966470 0979920 -203 4355 0926588 -762 411 5814 1547 21081998 934316 0966730 -338 4041 0927891 -748 1145 5601 2532 28081998 901108 0964457 -362 3685 0912016 -921 1310 8482 3333 04091998 949019 1053169 518 3935 1067843 656 2684 4309 3400 11091998 950397 1001452 015 4291 1090343 865 002 7481 125 18091998 953342 1003099 031 4428 1031931 314 010 988 097 25091998 956663 1003484 035 4673 1055449 540 012 2912 188 02101998 958912 1002351 023 4670 0999251 -007 006 001 -002 09101998 943251 0983668 -165 4599 0984902 -152 271 231 251 16101998 943963 1000755 008 4513 0981300 -189 001 356 -014 23101998 934640 0990124 -099 4718 1045314 443 099 1964 -440

Page 133

30101998 918468 0982697 -175 4937 1046423 454 305 2059 -792 06111998 913223 0994289 -057 4450 0901448 -1038 033 10765 594 13111998 917822 1005036 050 4574 1027865 275 025 755 138 20111998 917160 0999279 -007 4286 0937035 -650 001 4229 047 27111998 906802 0988706 -114 4153 0968969 -315 129 994 358 04121998 902621 0995389 -046 3887 0935950 -662 021 4382 306 11121998 889094 0985014 -151 3465 0891433 -1149 228 13208 1735 18121998 902575 1015163 150 3490 1007215 072 226 052 108 25121998 906891 1004782 048 3468 0993696 -063 023 040 -030 01011999 914183 1008041 080 3500 1009227 092 064 084 074 08011999 983873 1076232 735 3962 1131857 1239 5397 15341 9099 15011999 989959 1006186 062 4063 1025495 252 038 634 155 22011999 1016140 1026447 261 4358 1072615 701 681 4914 1830 29011999 1105790 1088226 845 4246 0974412 -259 7149 672 -2192 05021999 1094590 0989871 -102 4203 0989873 -102 104 104 104 12021999 1053620 0962570 -381 3905 0928979 -737 1455 5427 2810 19021999 1071770 1017226 171 4049 1036881 362 292 1312 619 26021999 1055100 0984446 -157 3900 0963196 -375 246 1406 588 05031999 1039860 0985556 -145 3709 0951019 -502 212 2522 731 12031999 1041200 1001289 013 3733 1006606 066 002 043 008 19031999 1027650 0986986 -131 3665 0981784 -184 172 338 241 26031999 1031360 1003610 036 3548 0967940 -326 013 1062 -117 02041999 1034930 1003461 035 3564 1004651 046 012 022 016 09041999 1024940 0990347 -097 3503 0982884 -173 094 298 167 16041999 1026450 1001473 015 3772 1076649 739 002 5454 109 23041999 1038240 1011486 114 3711 0983826 -163 130 266 -186 30041999 1014430 0977067 -232 3649 0983291 -169 538 284 391 07051999 1027240 1012628 125 3593 0984651 -155 157 239 -194 14051999 1015400 0988474 -116 3508 0976479 -238 134 567 276 21051999 1012050 0996701 -033 3650 1040336 395 011 1564 -131 28051999 986598 0974851 -255 3487 0955336 -457 649 2088 1164 04061999 977053 0990325 -097 3513 1007601 076 095 057 -074 11061999 1007370 1031029 306 3597 1023769 235 934 552 718 18061999 989166 0981929 -182 3477 0966634 -339 333 1152 619 25061999 1026150 1037389 367 3375 0970804 -296 1347 878 -1088 02071999 995282 0969919 -305 3498 1036296 357 933 1271 -1089 09071999 995600 1000320 003 3487 0996998 -030 000 009 -001 16071999 1012170 1016643 165 3505 1005019 050 272 025 083 23071999 981962 0970155 -303 3446 0983307 -168 918 283 510 30071999 971997 0989852 -102 3359 0974753 -256 104 654 261 06081999 953229 0980691 -195 3162 0941203 -606 380 3672 1181 13081999 935049 0980928 -193 3022 0955717 -453 371 2051 872 20081999 944102 1009682 096 3149 1042032 412 093 1695 397 27081999 935339 0990718 -093 3109 0987454 -126 087 159 118 03091999 928650 0992849 -072 3072 0988099 -120 052 143 086 10091999 923843 0994824 -052 3065 0997559 -024 027 006 013 17091999 936583 1013790 137 3150 1027900 275 188 757 377 24091999 963355 1028585 282 3164 1004444 044 794 020 125 01101999 964466 1001153 012 3163 0999526 -005 001 000 -001 08101999 1008430 1045584 446 3317 1048854 477 1987 2275 2126 15101999 1067340 1058418 568 3392 1022460 222 3223 493 1261

Page 134

22101999 1019230 0954925 -461 3127 0922011 -812 2127 6593 3745 29101999 1038280 1018691 185 3162 1011193 111 343 124 206 05111999 1047550 1008928 089 3249 1027514 271 079 737 241 12111999 1071510 1022872 226 3235 0995537 -045 511 020 -101 19111999 1077140 1005254 052 2841 0878343 -1297 027 16827 -680 26111999 1104220 1025141 248 2755 0969553 -309 617 956 -768 03121999 1152250 1043497 426 2684 0974406 -259 1813 672 -1104 10121999 1338690 1161805 1500 2853 1062779 609 22492 3707 9132 17121999 1235780 0923126 -800 2592 0908501 -960 6398 9208 7676 24121999 1215240 0983379 -168 2553 0984951 -152 281 230 254 Sum -206 -7466 80467 223623 62586 Beta 078 Alpha -071 Std Dev Of Rndm Error Term 410 Std Error of Beta 0071 Std Error of Alpha 0200 Correlation Coefficient 047 Coefficient of Determination 022 Coefficient of Nondetermination 078

Page 135

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) (421)

ri = ln (Pt Pt-1) (422)

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 136

Helwan Portland Cement - Takeover

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 05082001 524103 2743 06082001 538487 1027445 003 2817 1026978 003 -056 085 002 -054 057 07082001 545306 1012663 001 2801 0994320 -001 -056 085 001 -055 055 112 08082001 545779 1000867 000 2787 0995002 -001 -056 085 000 -056 056 167 09082001 553572 1014279 001 2842 1019734 002 -056 085 001 -055 057 225 12082001 562356 1015868 002 2970 1045039 004 -056 085 001 -055 059 284 13082001 577288 1026553 003 3107 1046128 005 -056 085 002 -054 059 343 14082001 589018 1020319 002 3254 1047313 005 -056 085 002 -055 059 402 15082001 569431 0966746 -003 3109 0955439 -005 -056 085 -003 -059 055 457 16082001 561918 0986806 -001 3226 1037633 004 -056 085 -001 -058 061 518 19082001 574654 1022665 002 3380 1047737 005 -056 085 002 -055 059 577 20082001 574422 0999596 -000 3318 0981657 -002 -056 085 -000 -056 055 632 21082001 563572 0981111 -002 3170 0955395 -005 -056 085 -002 -058 053 685 22082001 557923 0989976 -001 3175 1001577 000 -056 085 -001 -057 057 743 23082001 564762 1012258 001 3241 1020787 002 -056 085 001 -055 057 800 26082001 562188 0995442 -000 3222 0994138 -001 -056 085 -000 -057 056 857 27082001 566747 1008109 001 3239 1005276 001 -056 085 001 -056 056 913 28082001 578448 1020646 002 3398 1049089 005 -056 085 002 -055 059 972 29082001 577700 0998707 -000 3561 1047969 005 -056 085 -000 -057 061 1034 30082001 595784 1031303 003 3739 1049986 005 -056 085 003 -054 059 1092 02092001 615099 1032419 003 3739 1000000 000 -056 085 003 -054 054 1146 03092001 623383 1013468 001 3926 1050013 005 -056 085 001 -055 060 1206 04092001 631607 1013193 001 4122 1049924 005 -056 085 001 -055 060 1266

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05092001 647104 1024536 002 4328 1049976 005 -056 085 002 -054 059 1325 06092001 642737 0993251 -001 4544 1049908 005 -056 085 -001 -057 062 1387 09092001 632584 0984203 -002 4770 1049736 005 -056 085 -001 -058 063 1450 10092001 640695 1012822 001 4541 0951992 -005 -056 085 001 -055 050 1500 11092001 646508 1009073 001 4344 0956617 -004 -056 085 001 -056 051 1552 12092001 622690 0963159 -004 4344 1000000 000 -056 085 -003 -060 060 1611 13092001 626337 1005857 001 4561 1049954 005 -056 085 000 -056 061 1672 16092001 624189 0996571 -000 5110 1120368 011 -056 085 -000 -057 068 1740 17092001 609400 0976307 -002 5110 1000000 000 -056 085 -002 -058 058 1799 18092001 601322 0986744 -001 5110 1000000 000 -056 085 -001 -058 058 1856 19092001 620730 1032276 003 5110 1000000 000 -056 085 003 -054 054 1910 20092001 614817 0990474 -001 5110 1000000 000 -056 085 -001 -057 057 1967 23092001 597012 0971040 -003 5110 1000000 000 -056 085 -003 -059 059 2026 24092001 588809 0986260 -001 5103 0998630 -000 -056 085 -001 -058 057 2084 25092001 581727 0987972 -001 5103 1000000 000 -056 085 -001 -057 057 2141 26092001 570192 0980171 -002 5103 1000000 000 -056 085 -002 -058 058 2199 27092001 561925 0985501 -001 5103 1000000 000 -056 085 -001 -058 058 2257 30092001 564278 1004187 000 4848 0950029 -005 -056 085 000 -056 051 2308 01102001 568252 1007043 001 4848 1000000 000 -056 085 001 -056 056 2364

Page 138

Suez Cement - Takeover

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 22082001 557923 3272 23082001 564762 1012258 001 3323 1015587 002 -020 126 002 -018 020 26082001 562188 0995442 -000 3257 0980138 -002 -020 126 -001 -020 018 038 27082001 566747 1008109 001 3287 1009211 001 -020 126 001 -018 019 057 28082001 578448 1020646 002 3451 1049894 005 -020 126 003 -017 022 079 29082001 577700 0998707 -000 3569 1034193 003 -020 126 -000 -020 023 102 30082001 595784 1031303 003 3662 1026058 003 -020 126 004 -016 018 120 02092001 615099 1032419 003 3708 1012561 001 -020 126 004 -015 017 137 03092001 623383 1013468 001 3654 0985437 -001 -020 126 002 -018 016 153 04092001 631607 1013193 001 3635 0994800 -001 -020 126 002 -018 017 170 05092001 647104 1024536 002 3765 1035763 004 -020 126 003 -016 020 190 06092001 642737 0993251 -001 3829 1016999 002 -020 126 -001 -020 022 213 09092001 632584 0984203 -002 3828 0999739 -000 -020 126 -002 -022 022 234 10092001 640695 1012822 001 3866 1009927 001 -020 126 002 -018 019 253 11092001 646508 1009073 001 3891 1006467 001 -020 126 001 -018 019 272 12092001 622690 0963159 -004 3700 0950912 -005 -020 126 -005 -024 019 291 13092001 626337 1005857 001 3849 1040270 004 -020 126 001 -019 023 314 16092001 624189 0996571 -000 3911 1016108 002 -020 126 -000 -020 022 335 17092001 609400 0976307 -002 3828 0978778 -002 -020 126 -003 -023 020 356 18092001 601322 0986744 -001 3675 0960031 -004 -020 126 -002 -021 017 373 19092001 620730 1032276 003 3829 1041905 004 -020 126 004 -015 020 393

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20092001 614817 0990474 -001 3801 0992687 -001 -020 126 -001 -021 020 413 23092001 597012 0971040 -003 3654 0961326 -004 -020 126 -004 -023 019 432 24092001 588809 0986260 -001 3523 0964149 -004 -020 126 -002 -021 018 449 25092001 581727 0987972 -001 3641 1033494 003 -020 126 -002 -021 024 474 26092001 570192 0980171 -002 3733 1025268 002 -020 126 -003 -022 025 498 27092001 561925 0985501 -001 3697 0990356 -001 -020 126 -002 -021 020 519 30092001 564278 1004187 000 3512 0949959 -005 -020 126 001 -019 014 533 01102001 568252 1007043 001 3512 1000000 000 -020 126 001 -019 019 551 02102001 555684 0977883 -002 3347 0953018 -005 -020 126 -003 -022 018 569 03102001 549459 0988798 -001 3201 0956379 -004 -020 126 -001 -021 016 585 04102001 544680 0991302 -001 3069 0958763 -004 -020 126 -001 -021 016 602 07102001 544675 0999991 -000 3266 1064190 006 -020 126 -000 -020 026 627 08102001 543049 0997015 -000 3276 1003062 000 -020 126 -000 -020 020 648 09102001 545728 1004933 000 3270 0998168 -000 -020 126 001 -019 019 666 10102001 549824 1007506 001 3330 1018349 002 -020 126 001 -019 020 687 11102001 554529 1008557 001 3419 1026727 003 -020 126 001 -018 021 708 14102001 563161 1015566 002 3330 0973969 -003 -020 126 002 -018 015 723 15102001 563789 1001115 000 3322 0997598 -000 -020 126 000 -019 019 742 16102001 560209 0993650 -001 3383 1018362 002 -020 126 -001 -020 022 764 17102001 573477 1023684 002 3463 1023648 002 -020 126 003 -017 019 783 18102001 579797 1011020 001 3510 1013572 001 -020 126 001 -018 019 802

Page 140

Commercial International Bank (CIB) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 20022000 1347460 4428 21022000 1343130 0996787 -032 4347 0981707 -185 -006 145 -047 -053 -132 22022000 1315370 0979332 -002 4283 0985277 -148 -006 145 -003 -009 -139 -271 23022000 1297370 0986316 -001 4135 0965445 -352 -006 145 -002 -008 -344 -614 24022000 1249590 0963172 -004 3967 0959371 -415 -006 145 -005 -012 -403 -1018 27022000 1284540 1027969 003 4043 1019158 190 -006 145 004 -002 192 -826 28022000 1302870 1014270 001 3931 0972298 -281 -006 145 002 -004 -277 -1103 29022000 1276950 0980105 -002 3824 0972780 -276 -006 145 -003 -009 -267 -1370 01032000 1271220 0995513 -000 3873 1012814 127 -006 145 -001 -007 134 -1235 02032000 1263010 0993542 -001 3847 0993287 -067 -006 145 -001 -007 -060 -1296 05032000 1234900 0977744 -002 3675 0955290 -457 -006 145 -003 -009 -448 -1744 06032000 1228550 0994858 -001 3600 0979592 -206 -006 145 -001 -007 -199 -1943 07032000 1265480 1030060 003 3756 1043333 424 -006 145 004 -002 426 -1517 08032000 1280930 1012209 001 3915 1042332 415 -006 145 002 -004 419 -1098 09032000 1278610 0998189 -000 4043 1032695 322 -006 145 -000 -006 328 -770 12032000 1236490 0967058 -003 3885 0960920 -399 -006 145 -005 -011 -388 -1157 13032000 1260850 1019701 002 3857 0992793 -072 -006 145 003 -003 -069 -1227 14032000 1262590 1001380 000 3860 1000778 008 -006 145 000 -006 014 -1213 19032000 1253290 0992634 -001 3808 0986528 -136 -006 145 -001 -007 -128 -1341 20032000 1246240 0994375 -001 3799 0997637 -024 -006 145 -001 -007 -017 -1358 21032000 1251680 1004365 000 3762 0990261 -098 -006 145 001 -006 -092 -1450

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22032000 1240940 0991420 -001 3720 0988836 -112 -006 145 -001 -007 -105 -1555 23032000 1233620 0994101 -001 3782 1016667 165 -006 145 -001 -007 172 -1383 26032000 1243700 1008171 001 3875 1024590 243 -006 145 001 -005 248 -1135 27032000 1247010 1002661 000 4004 1033290 327 -006 145 000 -006 333 -802 28032000 1262200 1012181 001 4065 1015235 151 -006 145 002 -004 156 -646 29032000 1260000 0998257 -000 3943 0969988 -305 -006 145 -000 -006 -298 -945 30032000 1251400 0993175 -001 4054 1028151 278 -006 145 -001 -007 285 -660 02042000 1252220 1000655 000 4042 0997040 -030 -006 145 000 -006 -024 -683 03042000 1259850 1006093 001 4132 1022266 220 -006 145 001 -005 225 -458 04042000 1248840 0991261 -001 4106 0993708 -063 -006 145 -001 -007 -056 -514 05042000 1239300 0992361 -001 4120 1003410 034 -006 145 -001 -007 041 -472 09042000 1220080 0984491 -002 4019 0975485 -248 -006 145 -002 -008 -240 -712 10042000 1180450 0967519 -003 3982 0990794 -092 -006 145 -005 -011 -082 -794 11042000 1181020 1000483 000 4062 1020090 199 -006 145 000 -006 205 -589 12042000 1215120 1028873 003 4085 1005662 056 -006 145 004 -002 058 -530 13042000 1198730 0986512 -001 4141 1013709 136 -006 145 -002 -008 144 -386 16042000 1156640 0964888 -004 3991 0963777 -369 -006 145 -005 -011 -358 -744 17042000 1124800 0972472 -003 3983 0997995 -020 -006 145 -004 -010 -010 -754 18042000 1128930 1003672 000 4105 1030630 302 -006 145 001 -006 307 -446 19042000 1119740 0991860 -001 3721 0906456 -982 -006 145 -001 -007 -975 -1421 20042000 1083240 0967403 -003 3648 0980382 -198 -006 145 -005 -011 -187 -1608

Page 142

Egyptian American Bank (EAB) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 06032000 1228550 3600 07032000 1265480 1030060 003 3756 1043333 004 -040 118 003 -036 040 08032000 1280930 1012209 001 3915 1042332 004 -040 118 001 -038 042 083 09032000 1278610 0998189 -000 4043 1032695 003 -040 118 -000 -040 043 126 12032000 1236490 0967058 -003 3885 0960920 -004 -040 118 -004 -044 040 166 13032000 1260850 1019701 002 3857 0992793 -001 -040 118 002 -037 037 202 14032000 1262590 1001380 000 3860 1000778 000 -040 118 000 -040 040 242 19032000 1253290 0992634 -001 3808 0986528 -001 -040 118 -001 -041 039 281 20032000 1246240 0994375 -001 3799 0997637 -000 -040 118 -001 -040 040 321 21032000 1251680 1004365 000 3762 0990261 -001 -040 118 001 -039 038 359 22032000 1240940 0991420 -001 3720 0988836 -001 -040 118 -001 -041 040 399 23032000 1233620 0994101 -001 3782 1016667 002 -040 118 -001 -040 042 441 26032000 1243700 1008171 001 3875 1024590 002 -040 118 001 -039 041 48227032000 1247010 1002661 000 4004 1033290 003 -040 118 000 -039 043 525 28032000 1262200 1012181 001 4065 1015235 002 -040 118 001 -038 040 564 29032000 1260000 0998257 -000 3943 0969988 -003 -040 118 -000 -040 037 601 30032000 1251400 0993175 -001 4054 1028151 003 -040 118 -001 -040 043 645 02042000 1252220 1000655 000 4042 0997040 -000 -040 118 000 -040 039 684 03042000 1259850 1006093 001 4132 1022266 002 -040 118 001 -039 041 725 04042000 1248840 0991261 -001 4106 0993708 -001 -040 118 -001 -041 040 765 05042000 1239300 0992361 -001 4120 1003410 000 -040 118 -001 -041 041 806

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09042000 1220080 0984491 -002 4019 0975485 -002 -040 118 -002 -042 039 845 10042000 1180450 0967519 -003 3982 0990794 -001 -040 118 -004 -044 043 888 11042000 1181020 1000483 000 4062 1020090 002 -040 118 000 -040 042 929 12042000 1215120 1028873 003 4085 1005662 001 -040 118 003 -036 037 966 13042000 1198730 0986512 -001 4141 1013709 001 -040 118 -002 -041 043 1009 16042000 1156640 0964888 -004 3991 0963777 -004 -040 118 -004 -044 040 1049 17042000 1124800 0972472 -003 3983 0997995 -000 -040 118 -003 -043 043 1092 18042000 1128930 1003672 000 4105 1030630 003 -040 118 000 -039 042 1134 19042000 1119740 0991860 -001 3721 0906456 -010 -040 118 -001 -041 031 1165 20042000 1083240 0967403 -003 3648 0980382 -002 -040 118 -004 -044 042 1206 23042000 1049820 0969148 -003 3489 0956414 -004 -040 118 -004 -043 039 1245 24042000 1042840 0993351 -001 3396 0973345 -003 -040 118 -001 -040 038 1283 26042000 1011554 0969999 -003 3563 1049176 005 -040 118 -004 -043 048 1331 27042000 1119630 1106842 010 3738 1049116 005 -040 118 012 -028 032 1364 02052000 1110810 0992122 -001 3682 0985019 -002 -040 118 -001 -041 039 1403 03052000 1081230 0973371 -003 3585 0973656 -003 -040 118 -003 -043 040 1443 04052000 1105850 1022770 002 3656 1019805 002 -040 118 003 -037 039 1482 07052000 1087730 0983614 -002 3646 0997265 -000 -040 118 -002 -042 041 1523 08052000 1104760 1015656 002 3671 1006857 001 -040 118 002 -038 039 1562 09052000 1125200 1018502 002 3734 1017162 002 -040 118 002 -038 039 1601 10052000 1136130 1009714 001 3707 0992769 -001 -040 118 001 -039 038 1639

Page 144

Misr International Bank (MIBANK) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 24022000 1249590 5186 27022000 1284540 1027969 003 5323 1026535 003 -036 127 004 -032 035 28022000 1302870 1014270 001 5391 1012774 001 -036 127 002 -034 035 070 29022000 1276950 0980105 -002 5395 1000742 000 -036 127 -003 -038 038 108 01032000 1271220 0995513 -000 5310 0984134 -002 -036 127 -001 -036 034 142 02032000 1263010 0993542 -001 5283 0995028 -000 -036 127 -001 -036 036 178 05032000 1234900 0977744 -002 5201 0984403 -002 -036 127 -003 -038 037 215 06032000 1228550 0994858 -001 5198 0999539 -000 -036 127 -001 -036 036 251 07032000 1265480 1030060 003 5389 1036627 004 -036 127 004 -032 035 286 08032000 1280930 1012209 001 5412 1004305 000 -036 127 002 -034 034 321 09032000 1278610 0998189 -000 5416 1000739 000 -036 127 -000 -036 036 357 12032000 1236490 0967058 -003 5218 0963516 -004 -036 127 -004 -040 036 393 13032000 1260850 1019701 002 5118 0980684 -002 -036 127 002 -033 031 424 14032000 1262590 1001380 000 5049 0986556 -001 -036 127 000 -035 034 458 19032000 1253290 0992634 -001 5047 0999683 -000 -036 127 -001 -036 036 494 20032000 1246240 0994375 -001 5035 0997622 -000 -036 127 -001 -036 036 530 21032000 1251680 1004365 000 4920 0977121 -002 -036 127 001 -035 033 563 22032000 1240940 0991420 -001 4838 0983252 -002 -036 127 -001 -037 035 598 23032000 1233620 0994101 -001 4860 1004630 000 -036 127 -001 -036 037 634 26032000 1243700 1008171 001 4974 1023539 002 -036 127 001 -034 037 671 27032000 1247010 1002661 000 5052 1015600 002 -036 127 000 -035 037 708

Page 145

28032000 1262200 1012181 001 5054 1000475 000 -036 127 002 -034 034 742 29032000 1260000 0998257 -000 4951 0979582 -002 -036 127 -000 -036 034 776 30032000 1251400 0993175 -001 4923 0994345 -001 -036 127 -001 -036 036 811 02042000 1252220 1000655 000 4993 1014137 001 -036 127 000 -035 037 848 03042000 1259850 1006093 001 4995 1000481 000 -036 127 001 -035 035 883 04042000 1248840 0991261 -001 4938 0988469 -001 -036 127 -001 -037 035 918 05042000 1239300 0992361 -001 5010 1014744 001 -036 127 -001 -036 038 956 09042000 1220080 0984491 -002 4806 0959285 -004 -036 127 -002 -037 033 990 10042000 1180450 0967519 -003 4761 0990513 -001 -036 127 -004 -040 039 1029 11042000 1181020 1000483 000 4796 1007394 001 -036 127 000 -035 036 1065 12042000 1215120 1028873 003 4800 1000834 000 -036 127 004 -032 032 1097 13042000 1198730 0986512 -001 4800 1000000 000 -036 127 -002 -037 037 1134 16042000 1156640 0964888 -004 4779 0995667 -000 -036 127 -005 -040 040 1174 17042000 1124800 0972472 -003 4353 0910780 -009 -036 127 -004 -039 030 1203 18042000 1128930 1003672 000 4397 1010108 001 -036 127 000 -035 036 1239 19042000 1119740 0991860 -001 4378 0995633 -000 -036 127 -001 -037 036 1275 20042000 1083240 0967403 -003 4205 0960526 -004 -036 127 -004 -040 036 1311 23042000 1049820 0969148 -003 4061 0965753 -003 -036 127 -004 -039 036 1347 24042000 1042840 0993351 -001 4257 1048266 005 -036 127 -001 -036 041 1388 26042000 1011554 0969999 -003 4469 1049803 005 -036 127 -004 -039 044 1432 27042000 1119630 1106842 010 4613 1032223 003 -036 127 013 -023 026 1458

Page 146

Ameryah Cement Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 05042000 1239300 8213 09042000 1220080 0984491 -002 7803 0950079 -005 -043 105 -002 -045 039 10042000 1180450 0967519 -003 7803 1000000 000 -043 105 -003 -046 046 086 11042000 1181020 1000483 000 7803 1000000 000 -043 105 000 -043 043 129 12042000 1215120 1028873 003 7803 1000000 000 -043 105 003 -040 040 169 13042000 1198730 0986512 -001 7803 1000000 000 -043 105 -001 -044 044 213 16042000 1156640 0964888 -004 7803 1000000 000 -043 105 -004 -047 047 260 17042000 1124800 0972472 -003 7803 1000000 000 -043 105 -003 -046 046 306 18042000 1128930 1003672 000 7803 1000000 000 -043 105 000 -043 043 348 19042000 1119740 0991860 -001 7803 1000000 000 -043 105 -001 -044 044 392 20042000 1083240 0967403 -003 7803 1000000 000 -043 105 -003 -046 046 439 23042000 1049820 0969148 -003 7803 1000000 000 -043 105 -003 -046 046 485 24042000 1042840 0993351 -001 7803 1000000 000 -043 105 -001 -044 044 529 26042000 1011554 0969999 -003 7803 1000000 000 -043 105 -003 -046 046 575 27042000 1119630 1106842 010 7803 1000000 000 -043 105 011 -032 032 607 02052000 1110810 0992122 -001 7803 1000000 000 -043 105 -001 -044 044 651 03052000 1081230 0973371 -003 7803 1000000 000 -043 105 -003 -046 046 697 04052000 1105850 1022770 002 7803 1000000 000 -043 105 002 -041 041 737 07052000 1087730 0983614 -002 7803 1000000 000 -043 105 -002 -045 045 782 08052000 1104760 1015656 002 7803 1000000 000 -043 105 002 -041 041 823 09052000 1125200 1018502 002 7803 1000000 000 -043 105 002 -041 041 864

Page 147

10052000 1136130 1009714 001 7803 1000000 000 -043 105 001 -042 042 906 11052000 1139120 1002632 000 7803 1000000 000 -043 105 000 -043 043 949 14052000 1161700 1019822 002 7803 1000000 000 -043 105 002 -041 041 990 15052000 1179430 1015262 002 7803 1000000 000 -043 105 002 -041 041 1031 16052000 1203490 1020400 002 7803 1000000 000 -043 105 002 -041 041 1072 17052000 1207650 1003457 000 7803 1000000 000 -043 105 000 -043 043 1115 18052000 1170140 0968940 -003 7803 1000000 000 -043 105 -003 -046 046 1161 21052000 1144730 0978285 -002 7803 1000000 000 -043 105 -002 -045 045 1206 22052000 1127050 0984555 -002 7803 1000000 000 -043 105 -002 -045 045 1251 23052000 1137800 1009538 001 7803 1000000 000 -043 105 001 -042 042 1293 24052000 1105280 0971419 -003 7803 1000000 000 -043 105 -003 -046 046 1339 25052000 1079810 0976956 -002 7803 1000000 000 -043 105 -002 -045 045 1384 28052000 1096220 1015197 002 7803 1000000 000 -043 105 002 -041 041 1426 29052000 1120420 1022076 002 7803 1000000 000 -043 105 002 -041 041 1466 30052000 1094380 0976759 -002 7803 1000000 000 -043 105 -002 -045 045 1512 31052000 1091100 0997003 -000 7803 1000000 000 -043 105 -000 -043 043 1555 01062000 1084760 0994189 -001 7803 1000000 000 -043 105 -001 -044 044 1599 04062000 1055620 0973137 -003 7803 1000000 000 -043 105 -003 -046 046 1644 05062000 1053290 0997793 -000 7803 1000000 000 -043 105 -000 -043 043 1688 06062000 1033450 0981164 -002 7803 1000000 000 -043 105 -002 -045 045 1732 07062000 1019220 0986231 -001 7803 1000000 000 -043 105 -001 -044 044 1777

Page 148

Egyptian Financial and Industrial Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 11052000 1139120 3960 14052000 1161700 1019822 002 3905 0986111 -001 -126 086 002 -124 123 15052000 1179430 1015262 002 3975 1017926 002 -126 086 001 -125 126 249 16052000 1203490 1020400 002 3999 1006038 001 -126 086 002 -124 125 374 17052000 1207650 1003457 000 3921 0980495 -002 -126 086 000 -126 124 498 18052000 1170140 0968940 -003 3897 0993879 -001 -126 086 -003 -129 128 626 21052000 1144730 0978285 -002 3842 0985887 -001 -126 086 -002 -128 126 752 22052000 1127050 0984555 -002 3964 1031754 003 -126 086 -001 -127 130 882 23052000 1137800 1009538 001 4000 1009082 001 -126 086 001 -125 126 1008 24052000 1105280 0971419 -003 3860 0965000 -004 -126 086 -002 -128 125 1133 25052000 1079810 0976956 -002 3853 0998187 -000 -126 086 -002 -128 128 1261 28052000 1096220 1015197 002 4023 1044121 004 -126 086 001 -125 129 1390 29052000 1120420 1022076 002 4109 1021377 002 -126 086 002 -124 126 1516 30052000 1094380 0976759 -002 3911 0951813 -005 -126 086 -002 -128 123 1639 31052000 1091100 0997003 -000 3950 1009972 001 -126 086 -000 -126 127 1766 01062000 1084760 0994189 -001 3949 0999747 -000 -126 086 -001 -126 126 1892 04062000 1055620 0973137 -003 3810 0964801 -004 -126 086 -002 -128 125 2017 05062000 1053290 0997793 -000 4021 1055381 005 -126 086 -000 -126 131 2148 06062000 1033450 0981164 -002 3919 0974633 -003 -126 086 -002 -128 125 2273 07062000 1019220 0986231 -001 3846 0981373 -002 -126 086 -001 -127 125 2398 08062000 1015120 0995977 -000 4002 1040562 004 -126 086 -000 -126 130 2529

Page 149

11062000 989079 0974347 -003 4094 1022989 002 -126 086 -002 -128 130 2659 12062000 974139 0984895 -002 3890 0950171 -005 -126 086 -001 -127 122 2781 13062000 1001770 1028365 003 3922 1008226 001 -126 086 002 -123 124 2905 14062000 1001480 0999711 -000 3777 0963029 -004 -126 086 -000 -126 122 3028 18062000 975257 0973816 -003 3777 1000000 000 -126 086 -002 -128 128 3156 19062000 951281 0975416 -002 3528 0934075 -007 -126 086 -002 -128 121 3277 20062000 924905 0972273 -003 3362 0952948 -005 -126 086 -002 -128 123 3400 21062000 932278 1007972 001 3194 0950030 -005 -126 086 001 -125 120 3521 22062000 916437 0983008 -002 3035 0950219 -005 -126 086 -001 -127 122 3643 25062000 887397 0968312 -003 2885 0950577 -005 -126 086 -003 -129 124 3766 26062000 861150 0970422 -003 2753 0954246 -005 -126 086 -003 -128 124 3890 27062000 864892 1004345 000 2655 0964402 -004 -126 086 000 -126 122 4012 28062000 897903 1038168 004 2716 1022976 002 -126 086 003 -123 125 4137 29062000 899917 1002243 000 2850 1049337 005 -126 086 000 -126 131 4267 02072000 925746 1028702 003 2985 1047368 005 -126 086 002 -123 128 4396 03072000 925263 0999478 -000 2838 0950754 -005 -126 086 -000 -126 121 4516 04072000 901986 0974843 -003 2787 0982030 -002 -126 086 -002 -128 126 4643 05072000 931992 1033267 003 2883 1034446 003 -126 086 003 -123 126 4769 06072000 939109 1007636 001 2887 1001387 000 -126 086 001 -125 125 4895 09072000 954862 1016774 002 2750 0952546 -005 -126 086 001 -124 120 5014 10072000 952481 0997506 -000 2855 1038182 004 -126 086 -000 -126 130 5144

Page 150

Abu Keir For Fertilisers Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 13092000 820460 3114 14092000 811616 0989221 -001 3114 1000000 000 -094 047 -001 -095 095 17092000 800136 0985855 -001 3139 1008028 001 -094 047 -001 -095 096 191 18092000 785147 0981267 -002 3149 1003186 000 -094 047 -001 -095 096 287 19092000 781014 0994736 -001 3126 0992696 -001 -094 047 -000 -095 094 381 20092000 769681 0985489 -001 3128 1000640 000 -094 047 -001 -095 095 476 21092000 777843 1010604 001 3185 1018223 002 -094 047 001 -094 096 572 24092000 773441 0994341 -001 3109 0976138 -002 -094 047 -000 -095 092 664 25092000 776658 1004159 000 3114 1001608 000 -094 047 000 -094 094 759 26092000 769503 0990787 -001 3102 0996146 -000 -094 047 -000 -095 095 853 27092000 765212 0994424 -001 3178 1024500 002 -094 047 -000 -095 097 950 28092000 747666 0977070 -002 3143 0988987 -001 -094 047 -001 -096 094 1045 01102000 723766 0968034 -003 3031 0964365 -004 -094 047 -002 -096 092 1137 02102000 736337 1017369 002 3007 0992082 -001 -094 047 001 -094 093 1230 03102000 717831 0974867 -003 3000 0997672 -000 -094 047 -001 -096 095 1326 04102000 698780 0973460 -003 3007 1002333 000 -094 047 -001 -096 096 1422 08102000 673198 0963390 -004 2935 0976056 -002 -094 047 -002 -096 094 1515 09102000 669556 0994590 -001 2892 0985349 -001 -094 047 -000 -095 093 1609 10102000 652161 0974020 -003 2863 0989972 -001 -094 047 -001 -096 095 1703 11102000 629197 0964788 -004 2811 0981837 -002 -094 047 -002 -096 094 1798 12102000 607631 0965725 -003 2822 1003913 000 -094 047 -002 -096 097 1894

Page 151

15102000 619357 1019298 002 2948 1044649 004 -094 047 001 -094 098 1992 16102000 646053 1043103 004 3093 1049186 005 -094 047 002 -092 097 2090 17102000 668052 1034051 003 3183 1029098 003 -094 047 002 -093 096 2185 18102000 688105 1030017 003 3199 1005027 001 -094 047 001 -093 094 2279 19102000 688893 1001145 000 3186 0995936 -000 -094 047 000 -094 094 2373 22102000 719462 1044374 004 3196 1003139 000 -094 047 002 -092 093 2466 23102000 723338 1005387 001 3044 0952441 -005 -094 047 000 -094 089 2555 24102000 702403 0971058 -003 2929 0962221 -004 -094 047 -001 -096 092 2647 25102000 725191 1032443 003 2695 0920109 -008 -094 047 002 -093 085 2732 26102000 730437 1007234 001 2675 0992579 -001 -094 047 000 -094 093 2825 29102000 726703 0994888 -001 2713 1014206 001 -094 047 -000 -095 096 2921 30102000 714909 0983771 -002 2700 0995208 -000 -094 047 -001 -095 095 3016 31102000 733186 1025565 003 2734 1012593 001 -094 047 001 -093 095 3111 01112000 742977 1013354 001 2742 1002926 000 -094 047 001 -094 094 3205 02112000 747364 1005905 001 2749 1002553 000 -094 047 000 -094 094 3299 05112000 760243 1017233 002 2628 0955984 -005 -094 047 001 -094 089 3388 06112000 761956 1002253 000 2505 0953196 -005 -094 047 000 -094 090 3478 07112000 757468 0994110 -001 2630 1049900 005 -094 047 -000 -095 100 3578 08112000 762190 1006234 001 2749 1045247 004 -094 047 000 -094 099 3676 09112000 773445 1014767 001 2751 1000728 000 -094 047 001 -094 094 3770 12112000 807548 1044092 004 2835 1030534 003 -094 047 002 -092 095 3866

Page 152

Helwan Portland Cement Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 26032000 1243700 4298 27032000 1247010 1002661 000 4293 0998837 -000 -056 085 000 -056 056 28032000 1262200 1012181 001 4144 0965292 -004 -056 085 001 -055 052 108 29032000 1260000 0998257 -000 4132 0997104 -000 -056 085 -000 -057 056 164 30032000 1251400 0993175 -001 4187 1013311 001 -056 085 -001 -057 058 223 02042000 1252220 1000655 000 4076 0973489 -003 -056 085 000 -056 054 276 03042000 1259850 1006093 001 4217 1034593 003 -056 085 001 -056 059 336 04042000 1248840 0991261 -001 4201 0996206 -000 -056 085 -001 -057 057 392 05042000 1239300 0992361 -001 4165 0991431 -001 -056 085 -001 -057 056 449 09042000 1220080 0984491 -002 414 0993998 -001 -056 085 -001 -058 057 506 10042000 1180450 0967519 -003 4036 0974879 -003 -056 085 -003 -059 057 562 11042000 1181020 1000483 000 4142 1026264 003 -056 085 000 -056 059 621 12042000 1215120 1028873 003 422 1018831 002 -056 085 002 -054 056 677 13042000 1198730 0986512 -001 4198 0994787 -001 -056 085 -001 -058 057 734 16042000 1156640 0964888 -004 4095 0975465 -002 -056 085 -003 -059 057 791 17042000 1124800 0972472 -003 408 0996337 -000 -056 085 -002 -059 058 850 18042000 1128930 1003672 000 409 1002451 000 -056 085 000 -056 056 906 19042000 1119740 0991860 -001 4082 0998044 -000 -056 085 -001 -057 057 963 20042000 1083240 0967403 -003 4081 0999755 -000 -056 085 -003 -059 059 1022 23042000 1049820 0969148 -003 405 0992404 -001 -056 085 -003 -059 058 1081 24042000 1042840 0993351 -001 4185 1033333 003 -056 085 -001 -057 060 1141

Page 153

26042000 1011554 0969999 -003 4264 1018877 002 -056 085 -003 -059 061 1202 27042000 1119630 1106842 010 4246 0995779 -000 -056 085 009 -048 047 1249 02052000 1110810 0992122 -001 3692 0869524 -014 -056 085 -001 -057 043 1292 03052000 1081230 0973371 -003 3656 0990249 -001 -056 085 -002 -059 058 1350 04052000 1105850 1022770 002 3686 1008206 001 -056 085 002 -055 055 1405 07052000 1087730 0983614 -002 3718 1008681 001 -056 085 -001 -058 059 1464 08052000 1104760 1015656 002 3875 1042227 004 -056 085 001 -055 059 1523 09052000 1125200 1018502 002 4038 1042065 004 -056 085 002 -055 059 1582 10052000 1136130 1009714 001 3867 0957652 -004 -056 085 001 -056 051 1634 11052000 1139120 1002632 000 3805 0983967 -002 -056 085 000 -056 055 1688 14052000 1161700 1019822 002 3818 1003417 000 -056 085 002 -055 055 1743 15052000 1179430 1015262 002 3887 1018072 002 -056 085 001 -055 057 1800 16052000 1203490 1020400 002 3937 1012863 001 -056 085 002 -055 056 1856 17052000 1207650 1003457 000 3859 0980188 -002 -056 085 000 -056 054 1910 18052000 1170140 0968940 -003 3807 0986525 -001 -056 085 -003 -059 058 196821052000 1144730 0978285 -002 3805 0999475 -000 -056 085 -002 -058 058 2026 22052000 1127050 0984555 -002 3764 0989225 -001 -056 085 -001 -058 057 2083 23052000 1137800 1009538 001 3749 0996015 -000 -056 085 001 -056 055 2138 24052000 1105280 0971419 -003 3672 0979461 -002 -056 085 -002 -059 057 2195 25052000 1079810 0976956 -002 3633 0989379 -001 -056 085 -002 -058 057 2252 28052000 1096220 1015197 002 3623 0997247 -000 -056 085 001 -055 055 2307

Page 154

Torah Portland Cement Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 20082000 869132 4441 21082000 852890 0981312 -002 4335 0976132 -002 -006 107 -002 -008 006 22082000 836269 0980512 -002 4119 0950173 -005 -006 107 -002 -008 003 009 23082000 850672 1017223 002 4128 1002185 000 -006 107 002 -004 005 013 24082000 832698 0978871 -002 4115 0996851 -000 -006 107 -002 -008 008 021 27082000 836762 1004881 000 4161 1011179 001 -006 107 001 -006 007 028 28082000 832011 0994322 -001 4235 1017784 002 -006 107 -001 -007 008 037 29082000 822734 0988850 -001 4145 0978749 -002 -006 107 -001 -007 005 042 30082000 802537 0975451 -002 4156 1002654 000 -006 107 -003 -009 009 051 31082000 816798 1017770 002 4297 1033927 003 -006 107 002 -004 008 058 03092000 812893 0995219 -000 4344 1010938 001 -006 107 -001 -007 008 066 04092000 819306 1007889 001 4349 1001151 000 -006 107 001 -005 005 071 05092000 831599 1015004 001 4492 1032881 003 -006 107 002 -005 008 079 06092000 835104 1004215 000 4503 1002449 000 -006 107 000 -006 006 085 07092000 845660 1012640 001 4509 1001332 000 -006 107 001 -005 005 090 10092000 835500 0987986 -001 4309 0955644 -005 -006 107 -001 -007 003 093 11092000 823263 0985354 -001 4309 1000000 000 -006 107 -002 -008 008 101 12092000 837424 1017201 002 4325 1003713 000 -006 107 002 -004 005 105 13092000 820460 0979743 -002 4397 1016647 002 -006 107 -002 -008 010 115 14092000 811616 0989221 -001 4399 1000455 000 -006 107 -001 -007 007 122 17092000 800136 0985855 -001 4392 0998409 -000 -006 107 -002 -008 007 130

Page 155

18092000 785147 0981267 -002 4272 0972678 -003 -006 107 -002 -008 005 135 19092000 781014 0994736 -001 42 0983146 -002 -006 107 -001 -007 005 140 20092000 769681 0985489 -001 4166 0991905 -001 -006 107 -002 -008 007 147 21092000 777843 1010604 001 36 0864138 -015 -006 107 001 -005 -010 138 24092000 773441 0994341 -001 3569 0991389 -001 -006 107 -001 -007 006 143 25092000 776658 1004159 000 3625 1015691 002 -006 107 000 -006 007 151 26092000 769503 0990787 -001 3559 0981793 -002 -006 107 -001 -007 005 156 27092000 765212 0994424 -001 3467 0974150 -003 -006 107 -001 -007 004 160 28092000 747666 0977070 -002 345 0995097 -000 -006 107 -002 -009 008 168 01102000 723766 0968034 -003 345 1000000 000 -006 107 -003 -010 010 178 02102000 736337 1017369 002 3432 0994783 -001 -006 107 002 -004 004 181 03102000 717831 0974867 -003 3305 0962995 -004 -006 107 -003 -009 005 186 04102000 698780 0973460 -003 3449 1043570 004 -006 107 -003 -009 013 200 08102000 673198 0963390 -004 3449 1000000 000 -006 107 -004 -010 010 210 09102000 669556 0994590 -001 3354 0972456 -003 -006 107 -001 -007 004 214 10102000 652161 0974020 -003 3302 0984496 -002 -006 107 -003 -009 007 221 11102000 629197 0964788 -004 335 1014537 001 -006 107 -004 -010 011 232 12102000 607631 0965725 -003 3297 0984179 -002 -006 107 -004 -010 008 241 15102000 619357 1019298 002 3256 0987564 -001 -006 107 002 -004 003 244 16102000 646053 1043103 004 3248 0997543 -000 -006 107 005 -002 001 245 17102000 668052 1034051 003 3228 0993842 -001 -006 107 004 -003 002 247

Page 156

Nasr City for Housing and Development Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 21092000 777843 2026 -115 075 24092000 773441 0994341 -001 1999 0986673 -001 -115 075 -000 -115 114 25092000 776658 1004159 000 2080 1040520 004 -115 075 000 -115 119 233 26092000 769503 0990787 -001 2183 1049519 005 -115 075 -001 -116 120 353 27092000 765212 0994424 -001 2092 0958314 -004 -115 075 -000 -115 111 464 28092000 747666 0977070 -002 1996 0954111 -005 -115 075 -002 -117 112 576 01102000 723766 0968034 -003 1975 0989479 -001 -115 075 -002 -117 116 692 02102000 736337 1017369 002 1927 0975696 -002 -115 075 001 -114 111 804 03102000 717831 0974867 -003 1856 0963155 -004 -115 075 -002 -117 113 917 04102000 698780 0973460 -003 1888 1017241 002 -115 075 -002 -117 119 1035 08102000 673198 0963390 -004 1825 0966631 -003 -115 075 -003 -118 114 1150 09102000 669556 0994590 -001 1761 0964932 -004 -115 075 -000 -115 112 1261 10102000 652161 0974020 -003 1674 0950596 -005 -115 075 -002 -117 112 1373 11102000 629197 0964788 -004 1604 0958184 -004 -115 075 -003 -118 113 1486 12102000 607631 0965725 -003 1527 0951995 -005 -115 075 -003 -118 113 1599 15102000 619357 1019298 002 1597 1045842 004 -115 075 001 -113 118 1717 16102000 646053 1043103 004 1676 1049468 005 -115 075 003 -112 117 1834 17102000 668052 1034051 003 1758 1048926 005 -115 075 003 -112 117 1951 18102000 688105 1030017 003 1839 1046075 005 -115 075 002 -113 117 2068 19102000 688893 1001145 000 1906 1036433 004 -115 075 000 -115 118 2186 22102000 719462 1044374 004 2000 1049318 005 -115 075 003 -112 116 2303

Page 157

23102000 723338 1005387 001 1926 0963000 -004 -115 075 000 -115 111 2414 24102000 702403 0971058 -003 1830 0950156 -005 -115 075 -002 -117 112 2526 25102000 725191 1032443 003 1535 0838798 -018 -115 075 002 -113 095 2621 26102000 730437 1007234 001 1610 1048860 005 -115 075 001 -114 119 2740 29102000 726703 0994888 -001 1690 1049689 005 -115 075 -000 -115 120 2860 30102000 714909 0983771 -002 1774 1049704 005 -115 075 -001 -116 121 2981 31102000 733186 1025565 003 1855 1045660 004 -115 075 002 -113 118 3099 01112000 742977 1013354 001 1934 1042588 004 -115 075 001 -114 118 3217 02112000 747364 1005905 001 1982 1024819 002 -115 075 000 -114 117 3334 05112000 760243 1017233 002 2080 1049445 005 -115 075 001 -114 118 3452 06112000 761956 1002253 000 2176 1046154 005 -115 075 000 -115 119 3571 07112000 757468 0994110 -001 2278 1046875 005 -115 075 -000 -115 120 3691 08112000 762190 1006234 001 2381 1045215 004 -115 075 000 -114 119 3810 09112000 773445 1014767 001 2498 1049139 005 -115 075 001 -114 119 3929 12112000 807548 1044092 004 2617 1047638 005 -115 075 003 -112 116 4045 13112000 828930 1026478 003 2747 1049675 005 -115 075 002 -113 118 4163 14112000 817709 0986463 -001 2674 0973426 -003 -115 075 -001 -116 113 4276 15112000 845954 1034542 003 2689 1005610 001 -115 075 003 -112 113 4389 16112000 872700 1031616 003 2810 1044998 004 -115 075 002 -113 117 4506 19112000 845917 0969310 -003 2678 0953025 -005 -115 075 -002 -117 112 4619 20112000 838561 0991304 -001 2545 0950336 -005 -115 075 -001 -116 110 4729

Page 158

Paints and Chemical Industries (PACHIN) Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 04102000 698780 2750 08102000 673198 0963390 -004 2690 0978182 -002 -071 078 -003 -074 072 09102000 669556 0994590 -001 2700 1003717 000 -071 078 -000 -071 072 143 10102000 652161 0974020 -003 2647 0980370 -002 -071 078 -002 -073 071 214 11102000 629197 0964788 -004 2515 0950132 -005 -071 078 -003 -074 069 283 12102000 607631 0965725 -003 2390 0950298 -005 -071 078 -003 -074 069 351 15102000 619357 1019298 002 2481 1038075 004 -071 078 001 -069 073 425 16102000 646053 1043103 004 2489 1003225 000 -071 078 003 -068 068 493 17102000 668052 1034051 003 2483 0997589 -000 -071 078 003 -068 068 561 18102000 688105 1030017 003 2402 0967378 -003 -071 078 002 -069 065 626 19102000 688893 1001145 000 2301 0957952 -004 -071 078 000 -071 067 693 22102000 719462 1044374 004 2414 1049109 005 -071 078 003 -068 072 765 23102000 723338 1005387 001 2305 0954847 -005 -071 078 000 -071 066 831 24102000 702403 0971058 -003 2197 0953145 -005 -071 078 -002 -073 068 899 25102000 725191 1032443 003 2303 1048248 005 -071 078 002 -068 073 972 26102000 730437 1007234 001 2417 1049501 005 -071 078 001 -070 075 1048 29102000 726703 0994888 -001 2519 1042201 004 -071 078 -000 -071 075 1123 30102000 714909 0983771 -002 2396 0951171 -005 -071 078 -001 -072 067 1190 31102000 733186 1025565 003 2428 1013356 001 -071 078 002 -069 070 1261 01112000 742977 1013354 001 2346 0966227 -003 -071 078 001 -070 066 1327 02112000 747364 1005905 001 2304 0982097 -002 -071 078 000 -070 069 1396

Page 159

05112000 760243 1017233 002 2412 1046875 005 -071 078 001 -070 074 1470 06112000 761956 1002253 000 2416 1001658 000 -071 078 000 -071 071 1541 07112000 757468 0994110 -001 2315 0958195 -004 -071 078 -000 -071 067 1608 08112000 762190 1006234 001 2301 0993952 -001 -071 078 000 -070 070 1678 09112000 773445 1014767 001 2303 1000869 000 -071 078 001 -070 070 1748 12112000 807548 1044092 004 2412 1047330 005 -071 078 003 -068 072 1820 13112000 828930 1026478 003 2399 0994610 -001 -071 078 002 -069 068 1888 14112000 817709 0986463 -001 2296 0957065 -004 -071 078 -001 -072 068 1956 15112000 845954 1034542 003 2395 1043118 004 -071 078 003 -068 073 2029 16112000 872700 1031616 003 2453 1024217 002 -071 078 002 -069 071 2099 19112000 845917 0969310 -003 2396 0976763 -002 -071 078 -002 -073 071 2170 20112000 838561 0991304 -001 2322 0969115 -003 -071 078 -001 -072 068 2239 21112000 800223 0954281 -005 2255 0971146 -003 -071 078 -004 -075 072 2311 22112000 778413 0972745 -003 2361 1047007 005 -071 078 -002 -073 078 2388 23112000 799245 1026762 003 2340 0991105 -001 -071 078 002 -069 068 2456 26112000 823981 1030949 003 2353 1005556 001 -071 078 002 -069 069 2525 27112000 816509 0990932 -001 2310 0981725 -002 -071 078 -001 -072 070 2595 28112000 793731 0972103 -003 2210 0956710 -004 -071 078 -002 -073 069 2664 29112000 790196 0995546 -000 2253 1019457 002 -071 078 -000 -071 073 2737 30112000 796977 1008581 001 2299 1020417 002 -071 078 001 -070 072 2809 03122000 772668 0969498 -003 2299 1000000 000 -071 078 -002 -073 073 2883

Page 160

Upper Egypt Flour Mills Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 21092000 777843 2130 24092000 773441 0994341 -001 2073 0973239 -003 -075 087 -000 -076 073 25092000 776658 1004159 000 2056 0991799 -001 -075 087 000 -075 074 147 26092000 769503 0990787 -001 2051 0997568 -000 -075 087 -001 -076 076 223 27092000 765212 0994424 -001 2064 1006338 001 -075 087 -000 -076 076 299 28092000 747666 0977070 -002 2019 0978198 -002 -075 087 -002 -077 075 374 01102000 723766 0968034 -003 1995 0988113 -001 -075 087 -003 -078 077 451 02102000 736337 1017369 002 2055 1030075 003 -075 087 001 -074 077 528 03102000 717831 0974867 -003 2023 0984428 -002 -075 087 -002 -077 076 603 04102000 698780 0973460 -003 2010 0993574 -001 -075 087 -002 -078 077 680 08102000 673198 0963390 -004 2010 1000000 000 -075 087 -003 -078 078 759 09102000 669556 0994590 -001 1973 0981592 -002 -075 087 -000 -076 074 833 10102000 652161 0974020 -003 1909 0967562 -003 -075 087 -002 -077 074 907 11102000 629197 0964788 -004 1871 0980094 -002 -075 087 -003 -078 076 983 12102000 607631 0965725 -003 1850 0988776 -001 -075 087 -003 -078 077 1060 15102000 619357 1019298 002 1851 1000541 000 -075 087 002 -074 074 1134 16102000 646053 1043103 004 1942 1049163 005 -075 087 004 -072 076 1210 17102000 668052 1034051 003 2039 1049949 005 -075 087 003 -072 077 1287 18102000 688105 1030017 003 2126 1042668 004 -075 087 003 -073 077 1364 19102000 688893 1001145 000 2179 1024929 002 -075 087 000 -075 078 1442 22102000 719462 1044374 004 2118 0972006 -003 -075 087 004 -071 069 1510

Page 161

23102000 723338 1005387 001 2222 1049103 005 -075 087 000 -075 080 1590 24102000 702403 0971058 -003 2187 0984248 -002 -075 087 -003 -078 076 1666 25102000 725191 1032443 003 2142 0979424 -002 -075 087 003 -072 070 1736 26102000 730437 1007234 001 2160 1008403 001 -075 087 001 -075 075 1812 29102000 726703 0994888 -001 2190 1013889 001 -075 087 -000 -076 077 1889 30102000 714909 0983771 -002 2178 0994521 -001 -075 087 -001 -077 076 1965 31102000 733186 1025565 003 1774 0814509 -021 -075 087 002 -073 052 2017 01112000 742977 1013354 001 1826 1029312 003 -075 087 001 -074 077 2094 02112000 747364 1005905 001 1776 0972618 -003 -075 087 001 -075 072 2166 05112000 760243 1017233 002 1822 1025901 003 -075 087 001 -074 076 2242 06112000 761956 1002253 000 1840 1009879 001 -075 087 000 -075 076 2318 07112000 757468 0994110 -001 1790 0972826 -003 -075 087 -001 -076 073 2391 08112000 762190 1006234 001 1777 0992737 -001 -075 087 001 -075 074 2465 09112000 773445 1014767 001 1811 1019133 002 -075 087 001 -074 076 2541 12112000 807548 1044092 004 1815 1002209 000 -075 087 004 -071 072 2613 13112000 828930 1026478 003 1838 1012672 001 -075 087 002 -073 074 2687 14112000 817709 0986463 -001 1803 0980958 -002 -075 087 -001 -076 074 2761 15112000 845954 1034542 003 1788 0991681 -001 -075 087 003 -072 071 2833 16112000 872700 1031616 003 1807 1010626 001 -075 087 003 -072 074 2906 19112000 845917 0969310 -003 1799 0995573 -000 -075 087 -003 -078 077 2984 20112000 838561 0991304 -001 1766 0981656 -002 -075 087 -001 -076 074 3058

Page 162

Commercial International Bank (CIB) Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 11032001 675900 3598 12032001 668606 0989208 -001 3600 1000556 000 -006 145 -002 -008 008 14032001 643440 0962360 -004 3514 0976111 -002 -006 145 -006 -012 009 017 15032001 634936 0986784 -001 3520 1001707 000 -006 145 -002 -008 008 025 18032001 628225 0989430 -001 3455 0981534 -002 -006 145 -002 -008 006 031 19032001 624649 0994308 -001 3350 0969609 -003 -006 145 -001 -007 004 035 20032001 641923 1027654 003 3355 1001493 000 -006 145 004 -002 002 037 21032001 627624 0977725 -002 3412 1016990 002 -006 145 -003 -009 011 048 22032001 616127 0981682 -002 3428 1004689 000 -006 145 -003 -009 009 058 25032001 624609 1013767 001 3399 0991540 -001 -006 145 002 -004 003 061 27032001 619112 0991199 -001 3403 1001177 000 -006 145 -001 -007 008 069 28032001 606407 0979479 -002 3402 0999706 -000 -006 145 -003 -009 009 078 29032001 591655 0975673 -002 3399 0999118 -000 -006 145 -004 -010 010 087 01042001 574960 0971783 -003 3350 0985584 -001 -006 145 -004 -010 009 096 02042001 580434 1009521 001 3277 0978209 -002 -006 145 001 -005 003 099 03042001 595163 1025376 003 3304 1008239 001 -006 145 004 -002 003 102 04042001 604910 1016377 002 3406 1030872 003 -006 145 002 -004 007 109 05042001 601771 0994811 -001 3414 1002349 000 -006 145 -001 -007 007 116 08042001 613483 1019463 002 3389 0992677 -001 -006 145 003 -003 003 119 09042001 615266 1002906 000 3415 1007672 001 -006 145 000 -006 006 125 10042001 609238 0990203 -001 3459 1012884 001 -006 145 -001 -008 009 134

Page 163

11042001 628748 1032024 003 3466 1002024 000 -006 145 005 -002 002 136 12042001 629302 1000881 000 3617 1043566 004 -006 145 000 -006 010 146 17042001 609225 0968096 -003 3644 1007465 001 -006 145 -005 -011 012 157 18042001 597402 0980593 -002 3541 0971734 -003 -006 145 -003 -009 006 164 19042001 610423 1021796 002 3494 0986727 -001 -006 145 003 -003 002 165 22042001 615551 1008401 001 3596 1029193 003 -006 145 001 -005 008 173 23042001 626452 1017709 002 3650 1015017 001 -006 145 003 -004 005 178 24042001 624156 0996335 -000 3686 1009863 001 -006 145 -001 -007 008 186 26042001 617783 0989789 -001 3705 1005155 001 -006 145 -001 -008 008 194 29042001 612699 0991771 -001 3773 1018354 002 -006 145 -001 -007 009 203 30042001 612714 1000024 000 3771 0999470 -000 -006 145 000 -006 006 209 02052001 627421 1024003 002 3739 0991514 -001 -006 145 003 -003 002 211 03052001 634110 1010661 001 3454 0923776 -008 -006 145 002 -005 -003 208 06052001 636990 1004542 000 3457 1000869 000 -006 145 001 -005 006 213 07052001 649636 1019853 002 3414 0987561 -001 -006 145 003 -003 002 215 08052001 652206 1003956 000 3456 1012302 001 -006 145 001 -006 007 222 09052001 642720 0985456 -001 3502 1013310 001 -006 145 -002 -008 010 232 10052001 648901 1009617 001 3494 0997716 -000 -006 145 001 -005 005 236 13052001 666997 1027887 003 3516 1006297 001 -006 145 004 -002 003 239 14052001 664617 0996432 -000 3558 1011945 001 -006 145 -001 -007 008 247 15052001 656225 0987373 -001 3542 0995503 -000 -006 145 -002 -008 008 254

Page 164

Misr International Bank (MIBANK) Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 26022001 655096 3038 27022001 675048 1030457 003 3043 1001844 000 -036 127 004 -032 032 28022001 667608 0988979 -001 2962 0973186 -003 -036 127 -001 -037 034 066 01032001 672488 1007310 001 2973 1003782 000 -036 127 001 -035 035 101 07032001 691184 1027801 003 3058 1028525 003 -036 127 003 -032 035 136 08032001 687929 0995291 -000 3013 0985348 -001 -036 127 -001 -036 035 171 11032001 675900 0982514 -002 2906 0964684 -004 -036 127 -002 -038 034 205 12032001 668606 0989208 -001 2834 0974952 -003 -036 127 -001 -037 034 239 14032001 643440 0962360 -004 2811 0992095 -001 -036 127 -005 -040 040 279 15032001 634936 0986784 -001 2813 1000569 000 -036 127 -002 -037 037 316 18032001 628225 0989430 -001 2799 0995165 -000 -036 127 -001 -037 036 352 19032001 624649 0994308 -001 2670 0953701 -005 -036 127 -001 -036 031 384 20032001 641923 1027654 003 2688 1006892 001 -036 127 003 -032 033 416 21032001 627624 0977725 -002 2726 1013988 001 -036 127 -003 -038 040 456 22032001 616127 0981682 -002 2736 1003816 000 -036 127 -002 -038 038 494 25032001 624609 1013767 001 2725 0995906 -000 -036 127 002 -034 033 528 27032001 619112 0991199 -001 2800 1027598 003 -036 127 -001 -037 039 567 28032001 606407 0979479 -002 2774 0990857 -001 -036 127 -003 -038 037 604 29032001 591655 0975673 -002 2791 1006055 001 -036 127 -003 -039 039 644 01042001 574960 0971783 -003 2799 1002866 000 -036 127 -004 -039 039 683 02042001 580434 1009521 001 2730 0975136 -003 -036 127 001 -034 032 715

Page 165

03042001 595163 1025376 003 2738 1003224 000 -036 127 003 -032 033 748 04042001 604910 1016377 002 2870 1047911 005 -036 127 002 -033 038 786 05042001 601771 0994811 -001 2900 1010594 001 -036 127 -001 -036 037 823 08042001 613483 1019463 002 2834 0977379 -002 -036 127 002 -033 031 854 09042001 615266 1002906 000 2862 1009596 001 -036 127 000 -035 036 890 10042001 609238 0990203 -001 2888 1009226 001 -036 127 -001 -037 038 927 11042001 628748 1032024 003 2863 0991413 -001 -036 127 004 -032 031 958 12042001 629302 1000881 000 3005 1049455 005 -036 127 000 -035 040 998 17042001 609225 0968096 -003 3013 1002662 000 -036 127 -004 -040 040 1038 18042001 597402 0980593 -002 2966 0984334 -002 -036 127 -002 -038 036 1075 19042001 610423 1021796 002 2890 0974373 -003 -036 127 003 -033 030 1105 22042001 615551 1008401 001 2938 1016888 002 -036 127 001 -034 036 1141 23042001 626452 1017709 002 2807 0955350 -005 -036 127 002 -033 029 117024042001 624156 0996335 -000 2911 1037048 004 -036 127 -000 -036 040 1209 26042001 617783 0989789 -001 2973 1021160 002 -036 127 -001 -037 039 1248 29042001 612699 0991771 -001 2914 0980086 -002 -036 127 -001 -037 035 1283 30042001 612714 1000024 000 2822 0968699 -003 -036 127 000 -036 032 1315 02052001 627421 1024003 002 2801 0992347 -001 -036 127 003 -032 032 1347 03052001 634110 1010661 001 2886 1030277 003 -036 127 001 -034 037 1384 06052001 636990 1004542 000 2890 1001663 000 -036 127 001 -035 035 1419 07052001 649636 1019853 002 2909 1006366 001 -036 127 002 -033 034 1453

Page 166

Ameryah Cement Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative

rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return

08022001 747680 2900 11022001 733914 0981588 -002 2761 0952069 -005 -043 105 -002 -045 040 12022001 733028 0998793 -000 2743 0993481 -001 -043 105 -000 -043 042 082 13022001 726574 0991195 -001 2743 1000000 000 -043 105 -001 -044 044 126 14022001 726733 1000219 000 2867 1045206 004 -043 105 000 -043 047 174 15022001 716466 0985872 -001 2825 0985351 -001 -043 105 -001 -044 043 217 18022001 703762 0982269 -002 2949 1043894 004 -043 105 -002 -045 049 266 19022001 704431 1000951 000 2850 0966429 -003 -043 105 000 -043 039 305 20022001 720800 1023237 002 2870 1007018 001 -043 105 002 -041 041 347 22022001 696200 0965871 -003 2900 1010453 001 -043 105 -004 -047 048 394 25022001 670991 0963791 -004 2900 1000000 000 -043 105 -004 -047 047 441 26022001 655096 0976311 -002 2900 1000000 000 -043 105 -003 -045 045 486 27022001 675048 1030457 003 2900 1000000 000 -043 105 003 -040 040 526 28022001 667608 0988979 -001 3025 1043103 004 -043 105 -001 -044 048 575 01032001 672488 1007310 001 2995 0990083 -001 -043 105 001 -042 041 616 07032001 691184 1027801 003 3003 1002671 000 -043 105 003 -040 040 656 08032001 687929 0995291 -000 2907 0968032 -003 -043 105 -000 -043 040 696 11032001 675900 0982514 -002 3001 1032336 003 -043 105 -002 -045 048 744 12032001 668606 0989208 -001 3011 1003332 000 -043 105 -001 -044 044 789 14032001 643440 0962360 -004 3161 1049817 005 -043 105 -004 -047 052 841 15032001 634936 0986784 -001 3315 1048719 005 -043 105 -001 -044 049 890 18032001 628225 0989430 -001 3263 0984314 -002 -043 105 -001 -044 042 932 19032001 624649 0994308 -001 3263 1000000 000 -043 105 -001 -044 044 976 20032001 641923 1027654 003 2525 0773828 -026 -043 105 003 -040 014 990

Page 167

21032001 627624 0977725 -002 2452 0971089 -003 -043 105 -002 -045 042 1033 22032001 616127 0981682 -002 2500 1019576 002 -043 105 -002 -045 047 1080 25032001 624609 1013767 001 2500 1000000 000 -043 105 001 -042 042 1121 27032001 619112 0991199 -001 2516 1006400 001 -043 105 -001 -044 045 1166 28032001 606407 0979479 -002 2516 1000000 000 -043 105 -002 -045 045 1211 29032001 591655 0975673 -002 2527 1004372 000 -043 105 -003 -046 046 1257 01042001 574960 0971783 -003 2441 0965968 -003 -043 105 -003 -046 043 1299 02042001 580434 1009521 001 2415 0989349 -001 -043 105 001 -042 041 1340 03042001 595163 1025376 003 2415 1000000 000 -043 105 003 -040 040 1380 04042001 604910 1016377 002 2409 0997516 -000 -043 105 002 -041 041 1421 05042001 601771 0994811 -001 2415 1002491 000 -043 105 -001 -044 044 1465 08042001 613483 1019463 002 2481 1027329 003 -043 105 002 -041 044 1509 09042001 615266 1002906 000 2500 1007658 001 -043 105 000 -043 043 1552 10042001 609238 0990203 -001 2417 0966800 -003 -043 105 -001 -044 041 1593 11042001 628748 1032024 003 2500 1034340 003 -043 105 003 -040 043 1636 12042001 629302 1000881 000 2467 0986800 -001 -043 105 000 -043 042 1677 17042001 609225 0968096 -003 2467 1000000 000 -043 105 -003 -046 046 1724 18042001 597402 0980593 -002 2467 1000000 000 -043 105 -002 -045 045 1769

Page 168

Torah Portland Cement Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 15022001 716466 3234 -006 107 18022001 703762 0982269 -002 3174 0981447 -002 -006 107 -002 -008 006 19022001 704431 1000951 000 3160 0995589 -000 -006 107 000 -006 006 012 20022001 720800 1023237 002 3287 1040190 004 -006 107 002 -004 008 019 22022001 696200 0965871 -003 3199 0973228 -003 -006 107 -004 -010 007 026 25022001 670991 0963791 -004 3196 0999062 -000 -006 107 -004 -010 010 036 26022001 655096 0976311 -002 3156 0987484 -001 -006 107 -003 -009 007 044 27022001 675048 1030457 003 3127 0990811 -001 -006 107 003 -003 002 046 28022001 667608 0988979 -001 3190 1020147 002 -006 107 -001 -007 009 055 01032001 672488 1007310 001 3192 1000627 000 -006 107 001 -005 005 060 07032001 691184 1027801 003 3166 0991855 -001 -006 107 003 -003 002 063 08032001 687929 0995291 -000 3166 1000000 000 -006 107 -001 -007 007 069 11032001 675900 0982514 -002 3166 1000000 000 -006 107 -002 -008 008 077 12032001 668606 0989208 -001 3166 1000000 000 -006 107 -001 -007 007 085 14032001 643440 0962360 -004 3148 0994315 -001 -006 107 -004 -010 010 094 15032001 634936 0986784 -001 3112 0988564 -001 -006 107 -001 -008 006 101 18032001 628225 0989430 -001 3096 0994859 -001 -006 107 -001 -007 007 107 19032001 624649 0994308 -001 3054 0986434 -001 -006 107 -001 -007 005 113 20032001 641923 1027654 003 3000 0982318 -002 -006 107 003 -003 001 114 21032001 627624 0977725 -002 3000 1000000 000 -006 107 -002 -009 009 123 22032001 616127 0981682 -002 2912 0970667 -003 -006 107 -002 -008 005 128

Page 169

25032001 624609 1013767 001 2890 0992445 -001 -006 107 001 -005 004 132 27032001 619112 0991199 -001 3031 1048789 005 -006 107 -001 -007 012 144 28032001 606407 0979479 -002 3021 0996701 -000 -006 107 -002 -008 008 152 29032001 591655 0975673 -002 2999 0992718 -001 -006 107 -003 -009 008 160 01042001 574960 0971783 -003 3000 1000333 000 -006 107 -003 -009 009 169 02042001 580434 1009521 001 2967 0989000 -001 -006 107 001 -005 004 173 03042001 595163 1025376 003 2967 1000000 000 -006 107 003 -003 003 176 04042001 604910 1016377 002 2906 0979441 -002 -006 107 002 -004 002 179 05042001 601771 0994811 -001 2884 0992429 -001 -006 107 -001 -007 006 184 08042001 613483 1019463 002 2735 0948336 -005 -006 107 002 -004 -001 183 09042001 615266 1002906 000 2607 0953199 -005 -006 107 000 -006 001 184 10042001 609238 0990203 -001 2600 0997315 -000 -006 107 -001 -007 007 191 11042001 628748 1032024 003 2600 1000000 000 -006 107 003 -003 003 194 12042001 629302 1000881 000 2657 1021923 002 -006 107 000 -006 008 202 17042001 609225 0968096 -003 2590 0974784 -003 -006 107 -003 -010 007 209 18042001 597402 0980593 -002 2638 1018533 002 -006 107 -002 -008 010 219 19042001 610423 1021796 002 2696 1021986 002 -006 107 002 -004 006 225 22042001 615551 1008401 001 2613 0969214 -003 -006 107 001 -005 002 227 23042001 626452 1017709 002 2673 1022962 002 -006 107 002 -004 007 234 24042001 624156 0996335 -000 2567 0960344 -004 -006 107 -000 -007 002 236 26042001 617783 0989789 -001 2567 1000000 000 -006 107 -001 -007 007 243

Page 170

Nasr City for Housing and Development Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 27092001 561925 2109 30092001 564278 1004187 000 2104 0997629 -000 -115 075 000 -115 114 01102001 568252 1007043 001 2118 1006654 001 -115 075 001 -114 115 229 02102001 555684 0977883 -002 2075 0979698 -002 -115 075 -002 -117 115 344 03102001 549459 0988798 -001 2080 1002410 000 -115 075 -001 -116 116 460 04102001 544680 0991302 -001 2034 0977885 -002 -115 075 -001 -116 113 573 07102001 544675 0999991 -000 2050 1007866 001 -115 075 -000 -115 116 689 08102001 543049 0997015 -000 2046 0998049 -000 -115 075 -000 -115 115 804 09102001 545728 1004933 000 2106 1029326 003 -115 075 000 -115 117 921 10102001 549824 1007506 001 2055 0975783 -002 -115 075 001 -114 112 1033 11102001 554529 1008557 001 2051 0998054 -000 -115 075 001 -114 114 1147 14102001 563161 1015566 002 2111 1029254 003 -115 075 001 -114 117 1264 15102001 563789 1001115 000 2084 0987210 -001 -115 075 000 -115 114 1378 16102001 560209 0993650 -001 2104 1009597 001 -115 075 -000 -115 116 1494 17102001 573477 1023684 002 2113 1004278 000 -115 075 002 -113 114 1608 18102001 579797 1011020 001 2142 1013725 001 -115 075 001 -114 115 1723 21102001 583382 1006183 001 2129 0993931 -001 -115 075 000 -114 114 1837 22102001 585868 1004261 000 2095 0984030 -002 -115 075 000 -115 113 1950 23102001 584346 0997402 -000 2084 0994749 -001 -115 075 -000 -115 115 2064 24102001 580869 0994050 -001 2065 0990883 -001 -115 075 -000 -115 114 2179 25102001 571335 0983587 -002 2070 1002421 000 -115 075 -001 -116 116 2295

Page 171

28102001 560295 0980677 -002 2047 0988889 -001 -115 075 -001 -116 115 2411 29102001 558792 0997317 -000 2026 0989741 -001 -115 075 -000 -115 114 2525 30102001 563118 1007742 001 2025 0999506 -000 -115 075 001 -114 114 2639 31102001 557753 0990473 -001 2001 0988148 -001 -115 075 -001 -116 114 2753 01112001 554861 0994815 -001 2036 1017491 002 -115 075 -000 -115 117 2870 04112001 562024 1012910 001 2064 1013752 001 -115 075 001 -114 115 2986 05112001 565106 1005484 001 2100 1017442 002 -115 075 000 -115 116 3102 06112001 564130 0998273 -000 2091 0995714 -000 -115 075 -000 -115 115 3217 07112001 558639 0990266 -001 2051 0980870 -002 -115 075 -001 -116 114 3330 08112001 558192 0999200 -000 2050 0999512 -000 -115 075 -000 -115 115 3445 11112001 556063 0996186 -000 1958 0955122 -005 -115 075 -000 -115 111 3556 12112001 552223 0993094 -001 1895 0967824 -003 -115 075 -001 -115 112 3668 13112001 546427 0989504 -001 1896 1000528 000 -115 075 -001 -116 116 3784 14112001 541547 0991069 -001 1835 0967827 -003 -115 075 -001 -116 112 3896 15112001 533398 0984952 -002 1751 0954223 -005 -115 075 -001 -116 111 4008 18112001 524993 0984243 -002 1753 1001142 000 -115 075 -001 -116 116 4124 19112001 523018 0996238 -000 1783 1017114 002 -115 075 -000 -115 117 4241 20112001 520627 0995428 -000 1770 0992709 -001 -115 075 -000 -115 115 4355 21112001 510062 0979707 -002 1784 1007910 001 -115 075 -002 -116 117 4472 22112001 508562 0997059 -000 1792 1004484 000 -115 075 -000 -115 116 4588 25112001 508087 0999066 -000 1783 0994978 -001 -115 075 -000 -115 114 4703

Page 172

Suez Cement Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 16052001 655120 3535 17052001 659723 1007026 001 3554 1005375 001 -020 126 001 -019 019 20052001 656059 0994446 -001 3456 0972425 -003 -020 126 -001 -020 017 037 21052001 651237 0992650 -001 3462 1001736 000 -020 126 -001 -020 021 057 22052001 655995 1007306 001 3531 1019931 002 -020 126 001 -019 021 078 23052001 656965 1001479 000 3532 1000283 000 -020 126 000 -019 019 097 24052001 665419 1012868 001 3595 1017837 002 -020 126 002 -018 020 117 27052001 670868 1008189 001 3676 1022531 002 -020 126 001 -018 021 138 28052001 678608 1011537 001 3670 0998368 -000 -020 126 001 -018 018 155 29052001 668826 0985585 -001 3630 0989101 -001 -020 126 -002 -021 020 176 30052001 662111 0989960 -001 3617 0996419 -000 -020 126 -001 -021 020 196 31052001 653740 0987357 -001 3660 1011888 001 -020 126 -002 -021 022 218 03062001 634276 0970227 -003 3576 0977049 -002 -020 126 -004 -023 021 239 05062001 627793 0989779 -001 3596 1005593 001 -020 126 -001 -021 021 261 06062001 623888 0993780 -001 3568 0992214 -001 -020 126 -001 -020 020 280 07062001 629223 1008551 001 3582 1003924 000 -020 126 001 -018 019 299 10062001 632250 1004811 000 3761 1049972 005 -020 126 001 -019 024 323 11062001 629970 0996394 -000 3891 1034565 003 -020 126 -000 -020 023 346 12062001 632227 1003583 000 3789 0973786 -003 -020 126 000 -019 016 363 13062001 628592 0994250 -001 3814 1006598 001 -020 126 -001 -020 021 384 14062001 630035 1002296 000 3889 1019664 002 -020 126 000 -019 021 405

Page 173

17062001 621647 0986686 -001 3692 0949344 -005 -020 126 -002 -021 016 421 18062001 620202 0997676 -000 3671 0994312 -001 -020 126 -000 -020 019 440 19062001 610903 0985006 -002 3596 0979570 -002 -020 126 -002 -021 019 459 20062001 607444 0994338 -001 3627 1008621 001 -020 126 -001 -020 021 481 21062001 613967 1010738 001 3661 1009374 001 -020 126 001 -018 019 500 24062001 609920 0993408 -001 3672 1003005 000 -020 126 -001 -020 021 520 25062001 608366 0997452 -000 3694 1005991 001 -020 126 -000 -020 020 541 26062001 600648 0987314 -001 3610 0977260 -002 -020 126 -002 -021 019 560 27062001 593325 0987808 -001 3595 0995845 -000 -020 126 -002 -021 021 580 28062001 596953 1006115 001 3590 0998609 -000 -020 126 001 -019 019 599 02072001 609759 1021452 002 3627 1010306 001 -020 126 003 -017 018 617 03072001 619411 1015829 002 3611 0995589 -000 -020 126 002 -018 017 634 04072001 623719 1006955 001 3584 0992523 -001 -020 126 001 -019 018 652 05072001 620332 0994570 -001 3604 1005580 001 -020 126 -001 -020 021 672 08072001 622701 1003819 000 3641 1010266 001 -020 126 000 -019 020 692 09072001 624279 1002534 000 3654 1003570 000 -020 126 000 -019 020 712 10072001 615867 0986525 -001 3604 0986316 -001 -020 126 -002 -021 020 732 11072001 607357 0986182 -001 3587 0995283 -000 -020 126 -002 -021 021 753 12072001 609565 1003635 000 3579 0997770 -000 -020 126 000 -019 019 771 15072001 596585 0978706 -002 3519 0983236 -002 -020 126 -003 -022 021 792 16072001 579782 0971835 -003 3452 0980961 -002 -020 126 -004 -023 021 813

Page 174

Egyptian Financial and Industrial Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 14052001 664617 2188 -126 086 15052001 656225 0987373 -001 2297 1049817 005 -126 086 -001 -127 132 16052001 655120 0998316 -000 2206 0960383 -004 -126 086 -000 -126 122 254 17052001 659723 1007026 001 2199 0996827 -000 -126 086 001 -125 125 379 20052001 656059 0994446 -001 2188 0994998 -001 -126 086 -000 -126 126 505 21052001 651237 0992650 -001 2166 0989945 -001 -126 086 -001 -127 126 630 22052001 655995 1007306 001 2195 1013389 001 -126 086 001 -125 127 757 23052001 656965 1001479 000 2111 0961731 -004 -126 086 000 -126 122 879 24052001 665419 1012868 001 2210 1046897 005 -126 086 001 -125 129 1008 27052001 670868 1008189 001 2238 1012670 001 -126 086 001 -125 126 1134 28052001 678608 1011537 001 2272 1015192 002 -126 086 001 -125 126 1261 29052001 668826 0985585 -001 2253 0991637 -001 -126 086 -001 -127 126 1387 30052001 662111 0989960 -001 2220 0985353 -001 -126 086 -001 -127 125 1512 31052001 653740 0987357 -001 2253 1014865 001 -126 086 -001 -127 128 1641 03062001 634276 0970227 -003 2251 0999112 -000 -126 086 -003 -128 128 1769 05062001 627793 0989779 -001 2251 1000000 000 -126 086 -001 -127 127 1896 06062001 623888 0993780 -001 2315 1028432 003 -126 086 -001 -126 129 2025 07062001 629223 1008551 001 2306 0996112 -000 -126 086 001 -125 125 2150 10062001 632250 1004811 000 2257 0978751 -002 -126 086 000 -125 123 2273 11062001 629970 0996394 -000 2335 1034559 003 -126 086 -000 -126 130 2403 12062001 632227 1003583 000 2367 1013704 001 -126 086 000 -126 127 2530

Page 175

13062001 628592 0994250 -001 2335 0986481 -001 -126 086 -000 -126 125 2655 14062001 630035 1002296 000 2297 0983726 -002 -126 086 000 -126 124 2779 17062001 621647 0986686 -001 2386 1038746 004 -126 086 -001 -127 131 2910 18062001 620202 0997676 -000 2441 1023051 002 -126 086 -000 -126 128 3038 19062001 610903 0985006 -002 2416 0989758 -001 -126 086 -001 -127 126 3164 20062001 607444 0994338 -001 2311 0956540 -004 -126 086 -000 -126 122 3286 21062001 613967 1010738 001 2250 0973605 -003 -126 086 001 -125 122 3409 24062001 609920 0993408 -001 2331 1036000 004 -126 086 -001 -126 130 3538 25062001 608366 0997452 -000 2304 0988417 -001 -126 086 -000 -126 125 3663 26062001 600648 0987314 -001 1995 0865885 -014 -126 086 -001 -127 113 3776 27062001 593325 0987808 -001 1930 0967419 -003 -126 086 -001 -127 124 3900 28062001 596953 1006115 001 1975 1023316 002 -126 086 001 -125 128 4027 02072001 609759 1021452 002 1923 0973671 -003 -126 086 002 -124 121 4149 03072001 619411 1015829 002 1923 1000000 000 -126 086 001 -125 125 4273 04072001 623719 1006955 001 2001 1040562 004 -126 086 001 -125 129 4403 05072001 620332 0994570 -001 2067 1032984 003 -126 086 -000 -126 130 4532 08072001 622701 1003819 000 2075 1003870 000 -126 086 000 -126 126 4658 09072001 624279 1002534 000 2081 1002892 000 -126 086 000 -126 126 4784 10072001 615867 0986525 -001 2159 1037482 004 -126 086 -001 -127 131 4915 11072001 607357 0986182 -001 2078 0962483 -004 -126 086 -001 -127 123 5038 12072001 609565 1003635 000 2151 1035130 003 -126 086 000 -126 129 5167

Page 176

Abu Keir for Fertilisers Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 23092001 597012 2759 24092001 588809 0986260 -001 2759 1000000 000 -094 047 -001 -095 095 25092001 581727 0987972 -001 2760 1000362 000 -094 047 -001 -095 095 190 26092001 570192 0980171 -002 2734 0990580 -001 -094 047 -001 -095 094 285 27092001 561925 0985501 -001 2744 1003658 000 -094 047 -001 -095 096 380 30092001 564278 1004187 000 2790 1016764 002 -094 047 000 -094 096 476 01102001 568252 1007043 001 2837 1016846 002 -094 047 000 -094 096 572 02102001 555684 0977883 -002 2830 0997533 -000 -094 047 -001 -096 095 667 03102001 549459 0988798 -001 2821 0996820 -000 -094 047 -001 -095 095 762 04102001 544680 0991302 -001 2800 0992556 -001 -094 047 -000 -095 094 856 07102001 544675 0999991 -000 2800 1000000 000 -094 047 -000 -094 094 951 08102001 543049 0997015 -000 2822 1007857 001 -094 047 -000 -095 095 1046 09102001 545728 1004933 000 2815 0997519 -000 -094 047 000 -094 094 1140 10102001 549824 1007506 001 2834 1006750 001 -094 047 000 -094 095 1235 11102001 554529 1008557 001 2834 1000000 000 -094 047 000 -094 094 1329 14102001 563161 1015566 002 2828 0997883 -000 -094 047 001 -094 094 1423 15102001 563789 1001115 000 2825 0998939 -000 -094 047 000 -094 094 1517 16102001 560209 0993650 -001 2822 0998938 -000 -094 047 -000 -095 095 1612 17102001 573477 1023684 002 2832 1003544 000 -094 047 001 -093 094 1705 18102001 579797 1011020 001 2820 0995763 -000 -094 047 001 -094 094 1799 21102001 583382 1006183 001 2838 1006383 001 -094 047 000 -094 095 1894

Page 177

22102001 585868 1004261 000 2801 0986963 -001 -094 047 000 -094 093 1987 23102001 584346 0997402 -000 2812 1003927 000 -094 047 -000 -095 095 2082 24102001 580869 0994050 -001 2823 1003912 000 -094 047 -000 -095 095 2177 25102001 571335 0983587 -002 2824 1000354 000 -094 047 -001 -095 095 2272 28102001 560295 0980677 -002 2806 0993626 -001 -094 047 -001 -095 095 2367 29102001 558792 0997317 -000 2498 0890235 -012 -094 047 -000 -095 083 2450 30102001 563118 1007742 001 2482 0993595 -001 -094 047 000 -094 093 2544 31102001 557753 0990473 -001 2444 0984690 -002 -094 047 -000 -095 093 2637 01112001 554861 0994815 -001 2455 1004501 000 -094 047 -000 -095 095 2732 04112001 562024 1012910 001 2488 1013442 001 -094 047 001 -094 095 2827 05112001 565106 1005484 001 2492 1001608 000 -094 047 000 -094 094 2922 06112001 564130 0998273 -000 2481 0995586 -000 -094 047 -000 -095 094 3016 07112001 558639 0990266 -001 2496 1006046 001 -094 047 -000 -095 096 3111 08112001 558192 0999200 -000 2470 0989583 -001 -094 047 -000 -095 093 3205 11112001 556063 0996186 -000 2488 1007287 001 -094 047 -000 -095 095 3300 12112001 552223 0993094 -001 2498 1004019 000 -094 047 -000 -095 095 3396 13112001 546427 0989504 -001 2495 0998799 -000 -094 047 -001 -095 095 3490 14112001 541547 0991069 -001 2488 0997194 -000 -094 047 -000 -095 095 3585 15112001 533398 0984952 -002 2498 1004019 000 -094 047 -001 -095 096 3681 18112001 524993 0984243 -002 2460 0984788 -002 -094 047 -001 -095 094 3774 19112001 523018 0996238 -000 2460 1000000 000 -094 047 -000 -095 095 3869

Page 179

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 = [(T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX)] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2] (511)

middot Jensen (Alpha) = arp ndash [arf + βp(arM - arf)] (512)

middot Sharpe = (arp - arf) σp (513)

middot Treynor = (arp - arf) βp (514)

middot Tracking Error = αp σep (515)

The following are the detailed calculations of the various performance measures for

the funds analysed

Page 180

Market Portfolio

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -2630 881 -3511 123271 123271 123271 1999 4250 905 3345 4250 905 3345 111890 111890 111890 2000 -4119 909 -5028 -4119 909 -5028 252808 252808 252808 2001 -3120 906 -4026 -3120 906 -4026 162087 162087 162087

Sum -9220 -9220 650056 650056 650056

Mean -1405 900

Standard Deviation 3820

Beta 100 Jensen (Alpha) 000 Std Dev Of Rndm Error Term 000 Sharpe -060 Treynor -2305 Tracking Error 000

Page 181

Fund No 1

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1630 881 -2511 123271 63051 88161 1999 4250 905 3345 1200 905 295 111890 870 9868 2000 -4119 909 -5028 -1144 909 -2053 252808 42148 103225 2001 -3120 906 -4026 -1750 906 -2656 162087 70543 106931

Sum -9220 -6925 650056 176613 308184

Mean -831 900

Standard Deviation 1379

Beta 034 Jensen (Alpha) -949 Std Dev Of Rndm Error Term 560 Sharpe -126 Treynor -5099 Tracking Error -169

Page 182

Fund No 2

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1660 881 -2541 123271 64567 89215 1999 4250 905 3345 1590 905 685 111890 4692 22913 2000 -4119 909 -5028 -1307 909 -2216 252808 49107 111420 2001 -3120 906 -4026 -520 906 -1426 162087 20335 57411

Sum -9220 -5498 650056 138700 280959

Mean -474 900

Standard Deviation 1456

Beta 035 Jensen (Alpha) -562 Std Dev Of Rndm Error Term 662 Sharpe -094 Treynor -3899 Tracking Error -085

Page 183

Fund No 3

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1490 881 -2371 123271 56216 83246 1999 4250 905 3345 1350 905 445 111890 1980 14885 2000 -4119 909 -5028 -1289 909 -2198 252808 48312 110515 2001 -3120 906 -4026 -1310 906 -2216 162087 49107 89216

Sum -9220 -6340 650056 155615 297863

Mean -685 900

Standard Deviation 1359

Beta 035 Jensen (Alpha) -786 Std Dev Of Rndm Error Term 354 Sharpe -117 Treynor -4571 Tracking Error -222

Page 184

Fund No 4

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1770 881 -2651 123271 70278 93077 1999 4250 905 3345 1100 905 195 111890 380 6523 2000 -4119 909 -5028 -1438 909 -2347 252808 55084 118007 2001 -3120 906 -4026 -1690 906 -2596 162087 67392 104515

Sum -9220 -7399 650056 193135 322121

Mean -950 900

Standard Deviation 1374

Beta 035 Jensen (Alpha) -1051 Std Dev Of Rndm Error Term 434 Sharpe -135 Treynor -5339 Tracking Error -242

Page 185

Fund No 5

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1680 881 -2561 123271 65587 89917 1999 4250 905 3345 1230 905 325 111890 1056 10871 2000 -4119 909 -5028 -1078 909 -1987 252808 39482 99906 2001 -3120 906 -4026 -1410 906 -2316 162087 53639 93242

Sum -9220 -6539 650056 159764 293936

Mean -735 900

Standard Deviation 1333

Beta 033 Jensen (Alpha) -880 Std Dev Of Rndm Error Term 547 Sharpe -123 Treynor -4994 Tracking Error -161

Page 186

Fund No 6

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1480 881 -2361 123271 55743 82895 1999 4250 905 3345 1140 905 235 111890 552 7861 2000 -4119 909 -5028 -1083 909 -1992 252808 39681 100158 2001 -3120 906 -4026 -1240 906 -2146 162087 46053 86398

Sum -9220 -6264 650056 142029 277311

Mean -666 900

Standard Deviation 1215

Beta 030 Jensen (Alpha) -866 Std Dev Of Rndm Error Term 421 Sharpe -129 Treynor -5155 Tracking Error -205

Page 187

Fund No 7

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1151 881 -2032 123271 41290 71344 1999 4250 905 3345 306 905 -599 111890 3588 -20037 2000 -4119 909 -5028 -1174 909 -2083 252808 43389 104733 2001 -3120 906 -4026 -1312 906 -2218 162087 49195 89297

Sum -9220 -6932 650056 137462 245337

Mean -833 900

Standard Deviation 762

Beta 020 Jensen (Alpha) -1282 Std Dev Of Rndm Error Term 173 Sharpe -227 Treynor -8863 Tracking Error -739

Page 188

Fund No 8

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -279 881 -1160 123271 13456 40728 1999 4250 905 3345 751 905 -154 111890 237 -5151 2000 -4119 909 -5028 -803 909 -1712 252808 29309 86079 2001 -3120 906 -4026 -960 906 -1866 162087 34820 75125

Sum -9220 -4892 650056 77822 196781

Mean -323 900

Standard Deviation 773

Beta 019 Jensen (Alpha) -780 Std Dev Of Rndm Error Term 305 Sharpe -158 Treynor -6369 Tracking Error -256

Page 189

References

1 Bekaert G and Harvey C R ldquoTime-Varying World Market Integrationrdquo Journal

of Finance Vol 50 no 2 (June 1995) pp 403-444

2 Bekaert G and Harvey C R ldquoEmerging Equity Market Volatilityrdquo Journal of

Financial Economics Vol 43 no 1 (1997) pp 29-77

3 Bekaert G Erb C B Harvey C R and Viscanta T E ldquoDistributional

Characteristics of Emerging Market Returns and Asset

Allocationrdquo Journal of Portfolio Management Vol 24

no 2 (Winter 1998) pp 102-116

4 Bodie Z Kane A and Marcus A ldquoInvestmentsrdquo 4th ed McGraw Hell 2001

5 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (May 2002)

6 Cairo and Alexandria Stock Exchanges ldquoFact Bookrdquo 2001

7 Cairo and Alexandria Stock Exchanges ldquoStatistical Highlightsrdquo 2001

8 Claessens S ldquoAssessing Investment Potential and Security Designrdquo Conference

on Portfolio Investment in Developing Countries The

World Bank 1993

9 Conrad J and Kaul G ldquoTime Variation in Expected Returnsrdquo Journal of

Business Vol 61 no 4 (October 1998) pp 409-425

in (Bodie et al 2001)

10 Egyptian Financial Group (EFG-Hermes) ldquoEgypt Country Reportrdquo (May 2000)

11 Fama E F ldquoEfficient Capital Markets A Review of Theory and Empirical

Workrdquo Journal of Finance Vol 25 no 2 (May 1970) pp

383-417

12 Fama E F Fisher L Jensen M and Roll R ldquoThe Adjustment of Stock prices

Page 190

to New Informationrdquo International Economic Review

Vol 10 no 1 (February 1969) pp 1-21 in (Fama

1970)

13 Fama E F and French K R Permanent and Temporary Components of Stock

pricesrdquo Journal of Political Economy Vol 96 (April

1988) pp 24-73 in Bodie et al (2001)

14 Fama E F ldquoEfficient Capital Markets IIrdquo Journal of Finance Vol 46 no 5

(December 1991) pp 1575-1617

15 Fama E F ldquoMarket Efficiency Long-Term Returns and Behavioural Financerdquo

Journal of Financial Economics Vol 49 (September

1998) pp 283-306

16 Harvey C R ldquoThe Risk Exposure of Emerging Equity Marketsrdquo Conference on

Portfolio Investment in Developing Countries The World

Bank 1993

17 HC Brokerage ldquoEgypt Equity Researchrdquo 2001

18 Howell M J Cleassens S and Gooptu S ldquoInvesting in Emerging Marketsrdquo

Euromoney Books in association with the World Bank 1994

19 HSBC Investment Bank-Egypt ldquoTreasury and Capital Markets A Guide to

Egyptrdquo 2001

20 Jensen M C ldquoThe Performance of Mutual Funds in The Period 1945-1964rdquo

Journal of Finance Vol 23 no 2 (May 1968) pp 389-416

21 Kendall M G ldquoThe Ananlysis of Economic Time Series Part I Pricesrdquo Journal

of Royal Statistical Society 96 (Part 1 1953) pp 11-

25 in (Fama 1970 pp 390) and (Leroy 1989 pp

1587-1588)

Page 191

22 Law No 951992 ldquoCapital Market Lawrdquo

23 Law No 1591981 ldquoCompanies Lawrdquo

24 Law No 2031991 ldquoInvestment Lawrdquo

25 LeRoy S F ldquoEfficient Capital Markets and Martingalesrdquo Journal of Economic

Literature Vol 27 no 4 (December 1989) pp 1583-1621

26 Lewellen J and Shanken J ldquoLearning Asset Pricing Tests and Market

efficiencyrdquo Journal of Finance Vol 57 no 3 (June

2002) pp 1113-1144

27 Masters S J ldquoEmerging Markets Managing the Impact of High Costsrdquo Journal

of Portfolio Management Vol 28 no 3 (Spring 2002) pp

96-101

28 Mecagni M and Sourial M S ldquoThe Egyptian Stock Market Efficiency Tests

and Volatility Effectsrdquo International Monetary Fund

Working Paper 9948 (April 1999)

29 Odier P Solnik B and Zucchinetti S ldquoGlobal Optimisation for Swiss Pension

Fundsrdquo Finazmarkt und Portfolio Management (June

1995) in (Solnik 2000) pp 263

30 Poterba J and Summers L ldquoMean Reversion in Stock Prices Evidence and

Implicationsrdquo Journal of Financial Economics Vol 22

(October 1988) pp 27-59 in (Bodie et al 2001) pp

345

31 Saunders A and Walter I ldquoAre Emerging Market Equities a Separate Asset

Classrdquo Journal of Portfolio Management Vol 28 no

3 (Spring 2002) pp 102-114

32 Sharpe W F ldquoMutual Fund Performancerdquo Journal of Business Vol 39 no 1

Page 192

(January 1966) pp 119-138

33 Sharpe W F Alexander G J and Bailey J V ldquoInvestmentsrdquo 6th ed Prentice

Hall Inc 1999

34 Solnik B ldquoInternational Investmentsrdquo 4th ed Addison Wesley 2000

35 Stevenson S ldquoEmerging Markets Downside Risk and The Asset Allocation

Decisionrdquo Emerging Markets Review Vol 2 no 1

(March 2001) pp 50-66

36 Treynor J L ldquoHow to Rate Management of Investment Fundsrdquo Harvard

Business Review Vol 43 no 1 (JanuaryFebruary 1965) pp

63-75

37 Treynor J L and Black F ldquoHow to Use Security Analysis to Improve Portfolio

Selectionrdquo Journal of Business Vol 46 no 1

(January 1973) pp 66-86

38 Williamson J ldquoIssues Posed by Portfolio Investment in Developing Countriesrdquo

Conference on Portfolio Investment in Developing

Countries The World Bank 1993

Electronic References

1 Cairo and Alexandria Stock Exchanges ldquoTrade Historyrdquo [Online]

httpwwwegyptsecomtradehistoryasp

2 DATASTREAM [Online]

3 Law No 81997 ldquoInvestment Lawrdquo (August 2002) [Online]

httpwwweconomygovegenglishdownloadtocdownloadstm

4 Law No 932000 ldquoCentral Securities Depository and Registry Lawrdquo (August

Page 193

2002) [Online]

httpwwweconomygovegarabicdownloadtocdownloadstm

5 REUTERS [Online]

Bibliography

1 Black F ldquoNoiserdquo Journal of Finance Vol 41 no 3 (July 1986) pp 529-543

2 Cairo and Alexandria Stock Exchanges ldquoStock Guiderdquo 2001

3 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (November 2000)

4 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (December 2001)

5Cothren R ldquoOn The Impossibility of Informationally Efficient Markets

Commentrdquo American Economic Review Vol 72 no

4 (September 1982) pp 873-874

6 Elton E J Gruber M J Das S and Hlavka M ldquoEfficiency with Costly

Information A Reinterpretation of Evidence from

Managed Portfoliosrdquo Review of Financial Studies

Vol 6 no 1 (1993) pp 1-22

7 Grossman S J and Stiglitz J E ldquoOn The Impossibility of Informationally

Efficient Marketsrdquo American Economic Review Vol

70 no 3 (June 1980) pp 393-408

8 Grossman S J and Stiglitz J E ldquoOn The Impossibility of Informationally

Efficient Markets Replyrdquo American Economic

Review Vol 72 no 4 (September 1982) pp 875

Page 194

9 HSBC Investment Bank-Egypt ldquoEgypt Equities Researchrdquo (20012002)

10 Malkiel B G ldquoReturns From Investing in Equity Mutual Funds 1971-1991rdquo

Journal of Finance Vol 50 (June 1995) pp 549-572

11 Ministry of Foreign Trade ldquo Monthly Economic Digestrdquo (May 2002)

12 Prime Funds ldquoAnnual Reviewrdquo (1997 1998 1999 2000 and 2001)

13 Prime Group ldquoBlue Book Guide to Egyptian Securitiesrdquo (1998 1999 2000 and

2001)

14 Sharpe W F ldquoCapital Asset Prices A Theory of Market Equilibrium Under

Conditions of Riskrdquo Journal of Finance Vol 19 no

3 (September 1964) pp 425-442

Electronic

1 Cairo and Alexandria Stock Exchanges ldquoCASE 50 Index Rulesrdquo [Online]

httpwwwegyptsecomcase50_ivasp

2 Egyptian Financial Group (EFG-Hermes) ldquoFundsrdquo (September 2002) [Online]

httpwwwefg-hermescomegdocsmarketfundsasp

3 Egyptian Financial Group (EFG-Hermes) ldquoFunds Reportsrdquo (July 2002)

[Online]

httpwwwefg-hermescomegdocsmarketfunds_reportsasp

Page 3

Synopsis

Emerging markets are generally characterised by being ldquoinformationally inefficientrdquo

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 20002001

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 ldquoSemi-Strong fromrdquo

efficient markets indicating that publicly available information might have not been

ldquofully reflectedrdquo 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

Page 4

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

11 Aims and Objectives

Under the Efficient Markets Hypothesis stock prices are assumed to ldquoFully Reflectrdquo 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

Page 5

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 20002001 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

12 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

Page 6

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 20002001

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

Page 7

Chapter 2 Literature Review

21 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

bull A country with low or middle income using the World Bankrsquos

Classification

bull 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 (21) below depicts the results of the study

Page 8

Graph 21 Efficient Frontier with Emerging Markets

Source Odier Solnik and Zucchinetti ldquoGlobal Optimisation for Swiss Pension fundsrdquo 1995 in Solnik ldquoInvestmentsrdquo 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 115 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 investorrsquos 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

Page 9

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 countriesrsquo 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

Page 10

bull More diversified sources of external finance

bull Greater risk bearing by private investors through equity investment

compared to the case of bank lending in the 1970s

bull Reduced cost of capital

bull 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

bull Favourable interest and equity return differentials with industrial countries

bull Risk Diversification due to low correlation of stock returns in

developing countries with returns in industrial countries

bull The inefficiency of Emerging markets which makes returns predictable

bull 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

Page 11

protection inefficient country funds and limited number of internationally listed

securities

Williamson (1993) discusses the issue of better fund management under the private-

to-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 sellersrsquo 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 ldquoIndiscriminate Capital

Flowsrdquo 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

Page 12

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 Williamsonrsquos 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 countryrsquos market or

securities

Claessens (1993) also discusses the concept of marketsrsquo 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

Page 13

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 ldquoShifting Industrial

Structuresrdquo which suggests changes in risk sensitivities over time

Page 14

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 marketsrsquo returns

alter over time

Table (21) shows summary statistical data for 23 Developed and 15 Emerging

Markets over the period 1988-1997 on a monthly basis

Table 21 Summary Statistics for Emerging and Developed Markets

Page 15

Table 21 Continued

Source Stevenson S ldquoEmerging Markets Downside Risk and The Asset Allocation Decisionrdquo

The data is based on IFC indices for the Emerging markets and MSCI indices for the

Developed markets

Table 21 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 ndash0233 for Japan and 15037 for Netherlands and the Returns for

Emerging markets that vary between ndash07979 for Korea and 24731 for

Argentina

Page 16

Variance figures also show greater variation with Developed markets varying between

118745 for USA and 599113 for Hong Kong and developing markets varying

between 213601 for Jordan and 4490278 for Argentina

More interestingly when considering the degree of skewness and kurtosis most

Emerging marketsrsquo returns display significant results indicating non-normality in the

distribution of returns

For example Nigeria shows significant values of kurtosis and skewness of 31931 and

ndash34479 respectively compared to 04818 and ndash02368 for USA

The Jarque-Bera (JB) statistics show similar results confirming the departure of Risk-

Return 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 ndash

such as custody legal and accounting costs ndash 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

Page 17

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 ndash 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 22)

Page 18

Table 22 Correlations in Returns between Emerging and Developed Markets

Source Saunders and Walter ldquoAre Emerging Market Equities a Separate Asset Classrdquo 2002

They conclude that the traditional consideration of emerging marketsrsquo stocks as being

a separate asset class and therefore allocation of funds among countriesrsquo indices will

no longer be sufficient to generate diversification benefits

Instead they confirm Masterrsquos 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

Page 19

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

22 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)

ldquoThe literature is now so large that a full review is impossiblerdquo

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 ldquoRandom Walkrdquo that is stock returns tend to be

independent of past returns (Fama 1970)

The first impression of Kendallrsquos conclusion is that markets are irrational and tend to

act with no sense of direction

Page 20

Later research clarified that Kendallrsquos conclusion in fact reflects the rational nature

of the market

Fama (1970) defines an Efficient Market as one where information is ldquoFully

Reflectedrdquo 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 ldquoFully Reflectrdquo 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

bull Weak-form efficient where the prices reflect all available information

about past prices

bull Semi-strong-form efficient where the prices reflect all publicly

available information including earnings companiesrsquo performance

etc

bull 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 securitiesrsquo prices

follow a random walk and suggests that they tend to follow a ldquoSubmartingalerdquo

Page 21

That is instead of the restrictive assumption that securities prices and returns are

serially independent and identically distributed he assumes that prices follow a

ldquoRandom Walk with a Driftrdquo 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 ldquoBuy-and-Holdrdquo strategy

Subsequent research found relatively supporting evidence to Famarsquos 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 pricesrsquo returns show negative long-term serial correlations suggesting

that stock prices might overreact to relevant news in whatrsquos came to be known as the

ldquoFads Hypothesisrdquo (Bodie Kane and Marcus 2001)

Also Leroy (1989) challenged Famarsquos argument (1970) that when prices follow a

submartingale no strategy can outperform a ldquoBuy-and-Holdrdquo 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 ldquoBuy-and-Holdrdquo strategy

Page 22

Second that the Capital Asset Pricing Model (CAPM) implies that in equilibrium

asset returns will not necessarily follow a submartingale That is a stockrsquos returns

might negatively co-varies with the market strong enough that it would be included in

a risk averse investorrsquos 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

ldquoRisk Neutralityrdquo and that investors will rush to buysell 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 ldquoJoint Hypothesisrdquo 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

Page 23

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 ldquoParameter Uncertaintyrdquo 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 mean-

reversion process)

Something they comment which data generating process can predict before hands

Page 24

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 23 below shows the main results of the study

Table 23 Unconditional Distribution Statistics for the Egyptian Stock Exchange Daily Stock Returns

Page 25

Source Mecagni and Sourial ldquoThe Egyptian Stock Market Efficiency Tests and Volatility Effectsrdquo 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

Page 26

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

Page 27

Chapter 3 General Preview

31 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 19901991 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 951992 The law provided great momentum to the market and the

market capitalisation increased dramatically as the reform and privatisation

progressed

Table (31) provides main market indicators for the Egyptian Stock Market for the

period 1991 ndash June 2001

Page 28

Table 31 Main Market Indicators for the period 1991 ndash June 2001

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

From the table it can be seen that the market capitalisation increased form LE88

billion in 1991 to LE 1197 billion in 2000 and was slightly reduced to LE1103

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 (31) and (32) which correspond to lines 3 and 6 of Table (31) respectively

Page 29

Graph 31 Total Volume of Traded Securities Graph 32 Total Value Traded of Securities (Million) Jan 1991 ndash Jun 2001 (Million) Jan 1991 ndash June 2001

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

The Egyptian Stock Market is well regulated however therersquos 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 (32) below shows that as at 30 June 2001 8226 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 30

Table 32 Liquidity of the 30 Most Heavily Traded Stocks in Terms of Value Traded (Jan 2001 ndash 30 June 2001)

Source Cairo and Alexandria Stock Exchanges Statistical Highlights 2001

311 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 31

The Capital Market Law (Law 951992)

Replacing Law 1611957 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 932000)

This laws aims to provide the legal framework for the Central Depository in Egypt

The law identifies shareholdersrsquo 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 32

The law also introduced the legal recognition of the concept of ldquoNominee Tradingrdquo

and the Depositoryrsquos obligation to establish and control a ldquoGuarantee Fundrdquo which

ensures the settlement of trades on time to achieve smooth market operation

The Companies Law (Law 1591981)

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 2031991)

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 self-

run 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 governmentrsquos share of ownership in a company drops to less than

51 the regulation of the company passes from law 203 to law 159

Page 33

The Investment Law (Law 81997)

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

312 The Exchange

Egyptrsquos 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 34

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 951992) 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 35

313 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 36

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 LE300 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 ndash PIPO) (Prime Asset Management Index ndash PAMI)

and (Prime General Index ndash 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 Corporationrsquos Global and Investable indices

Page 37

(IFCG and IFCI) in 1996 Egypt was added to the Morgan Stanley index on a stand-

alone 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 028 212 and 014 respectively (CASEFB 2001)

314 Key Economic Sectors

Egyptrsquos 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 (33) below depicts the main economic indicators for Egypt for the period 1997

till 2000

Table 33 Main Economic Indicators 1997 - 2000

Source HSBC Investment Bank ndash Egypt ldquoTreasury and Capital Markets A Guide to Egyptrdquo 2001

Page 38

Table (33) shows GDP growth rate of 51 in 19992000 down from 61 in

19981999 due to the economic slowdown which was a reflection of the global

economic conditions

Egyptrsquos inflation rate has also declined from 38 in 19981999 to 28 in 19992000

with an average rate below 4 for the entire period from 1997 ndash 2000

Foreign Reserves have declined from US$ 203 billion in 19971998 to US$ 147

billion in 19992000 due to the governmentrsquos managed float foreign exchange policy

However the level of reserves remains healthy covering approximately 9 months of

imports

Exports increased by 42 in 19992000 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 39

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 statersquos 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 40

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

Egyptrsquos 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 governmentrsquos 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 55 million

arrivals and revenues which increased by 33 to US$ 47 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

109 This was in direct relation to an average growth in GDP of 5 per annum and

an average growth in construction industry of 25 per annum (HC 2001)

Page 41

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 (34) below shows the current market share of three of the largest cement

producers in Egypt as of 2001

Table 34 Market Share of the Three Largest Cement Producers in Egypt (2001)

Source HC Brokerage ldquoEgypt Equity Researchrdquo 2001

As a result capacity additions rose by 102 in 2000 and by 287 in 2001 This

increase in capacity coupled with the economic slowdown and stagnation in

construction industry in 20002001 resulted in supply exceeding demand for the first

time in 20012002 (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 42

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 25 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 43

while consumption is around 20 million tons with the surplus being exported

Approximately 79 of Egyptrsquos 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 Egyptrsquos 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)

315 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 44

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 LE 15 million However the more recently introduced Capital

Adequacy requirements mandate that new brokerage firms must have a minimum

Authorised Capital of LE 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)

316 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 45

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 LE 179 billion in June 2001 as compared to LE 1103

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 46

32 Market Performance

Market analysis for the period 1996 till 1st quarter 2000 is based on the analysis included in ldquoEFG-Hermes Country Report May 2000rdquo Additional analysis for the period 2nd quarter 2000 till 2001 is based on the analysis included in ldquoCairo and Alexandria Stock Exchanges Fact Book 2001rdquo Performance analysis is based on the performance of the Hermes Financial Index for the period 1996-2001

Despite the fact that the Capital Market Law (Law 951992) gave the regulatory

power to reform the Stock Market in Egypt it wasnrsquot until 1996 when ldquoNasr City for

Housing and Development Companyrdquo offered the first majority privatisation stake in

accordance with the aims and objectives of the Privatisation Law (Law 2031991)

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 33)

Graph 33 Overall Market Performance (1996 ndash 1998)

Source EFG-Hermes ldquoEgypt Country Reportrdquo 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 47

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 ldquoValue

Stocksrdquo to new-economy ldquoGrowth Stocksrdquo 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 34)

Graph 34 Private versus Public Sector Share Performance 1998

Source EFG-Hermes ldquoEgypt Country Reportrdquo 2000

In early 1999 the market started rising once again This was mainly attributed to the

initial public offering of ldquoMobinilrdquo the first in telecommunication sector which

marked the market shift towards more sophistication in trading decisions with

Mobinilrsquos share price ending 1999 with 660 increase

Page 48

In the mean time a liquidity squeeze became apparent amid concerns about the

governmentrsquos management of the economy and its commitment to the privatisation

programme This drove the market down for the most of 1999 (Graph 35)

Graph 35 Market Performance (1998-1999)

Source EFG-Hermes ldquoEgypt Country Reportrdquo 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 36)

Page 49

Graph 36 Market Performance (2000 ndash 2001)

0

2000

4000

6000

8000

10000

12000

14000

16000

020

120

00

020

220

00

020

320

00

020

420

00

020

520

00

020

620

00

020

720

00

020

820

00

020

920

00

021

020

00

021

120

00

021

220

00

020

120

01

020

220

01

020

320

01

020

420

01

020

520

01

020

620

01

020

720

01

020

820

01

020

920

01

021

020

01

021

120

01

021

220

01

HFI

Source REUTERS EFG-Hermes

The general downturn continued during the rest of 2000 and throughout 2001 with the

market being down by 596 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 50

Chapter 4 Market Efficiency

41 Methodology

411 Event studies

The approach adopted in testing for market efficiency within the Egyptian Stock

market is ldquoEvent Studiesrdquo 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 ldquoSemi-strong efficientrdquo 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 ldquoSemi-

strong inefficientrdquo market

The tests were conducted using an Ordinary Least Squares regression model (OLS) to

identify the stockrsquos Expected Normal Returns and hence any deviation of Actual

Returns from Expected returns in the form of Unexpected Abnormal Returns

Page 51

Mathematically the returns of a security can be represented by the following formula

ri = αi + βirM + ei (41)

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 irsquos abnormal returns

From equation (41) the abnormal returns of a security can be found be rewriting the

equation to be

ei = ri ndash (αi + βirM) (42)

Equation (42) 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

bull using Cumulative Abnormal Returns (CAR) to measure abnormal

returns surrounding the event examined instead of the Buy-and-Hold

Average Returns (BHAR) method

bull returns were measured over short horizons to provide better results

under the assumption of securities returns being normally distributed

Page 52

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)

412 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 41 shows the values of Standard Deviation Skewness and Kutosis for the

index returns for the periods 19961997 19981999 and 20002001

Page 53

Table 41 Key Statistics for the Hermes Financial Index 1996-2001

Date Index Value Change Index Returns Date Index Value Change Index Returns Date Index Value Change Index Returns 1996-19971 1998-1999 2000-2001 (Vt Vt-1) ln (Vt Vt-1) (Vt Vt-1) ln (Vt Vt-1) (Vt Vt-1) ln (Vt Vt-1)

10111996 867670 28121997 1226070 26121999 1215240 17111996 882871 1017519 174 04011998 1240540 1011802 117 02012000 1302750 1072010 695 24111996 945531 1070973 686 11011998 1222730 0985643 -145 09012000 1360710 1044491 435 01121996 996570 1053979 526 18011998 1206630 0986833 -133 16012000 1383930 1017065 169 08121996 1016080 1019577 194 25011998 1187560 0984196 -159 23012000 1457730 1053326 520 15121996 1039650 1023197 229 01021998 1161970 0978452 -218 30012000 1399530 0960075 -407 22121996 1024630 0985553 -146 08021998 1152100 0991506 -085 06022000 1378850 0985224 -149 29121996 1025110 1000468 005 15021998 1148570 0996936 -031 13022000 1408260 1021329 211 05011997 1131130 1103423 984 22021998 1154110 1004823 048 20022000 1369110 0972200 -282 12011997 1184190 1046909 458 01031998 1152270 0998406 -016 27022000 1249590 0912702 -913 19011997 1178430 0995136 -049 08031998 1171950 1017079 169 05032000 1263010 1010740 107 26011997 1258880 1068269 660 15031998 1177260 1004531 045 12032000 1278610 1012351 123 02021997 1357460 1078308 754 22031998 1188570 1009607 096 19032000 1262590 0987471 -126 09021997 1484800 1093808 897 29031998 1200260 1009835 098 26032000 1233620 0977055 -232 16021997 1531050 1031149 307 05041998 1197600 0997784 -022 02042000 1251400 1014413 143 23021997 1613500 1053852 525 12041998 1198900 1001086 011 09042000 1239300 0990331 -097 02031997 1556100 0964425 -362 19041998 1195490 0997156 -028 16042000 1198730 0967264 -333 09031997 1558050 1001253 013 26041998 1182420 0989067 -110 23042000 1083240 0903656 -1013 16031997 1552380 0996361 -036 03051998 1176960 0995382 -046 30042000 1119630 1033594 330 23031997 1468520 0945980 -555 10051998 1159590 0985242 -149 07052000 1105850 0987692 -124 30031997 1465020 0997617 -024 17051998 1129560 0974103 -262 14052000 1139120 1030085 296 06041997 1479870 1010136 101 24051998 1112340 0984755 -154 21052000 1170140 1027232 269 13041997 1486590 1004541 045 31051998 1073430 0965020 -356 28052000 1079810 0922804 -803 20041997 1476740 0993374 -066 07061998 1045480 0973962 -264 04062000 1084760 1004584 046

Page 54

27041997 1506070 1019861 197 14061998 1066480 1020086 199 11062000 1015120 0935801 -664 04051997 1464590 0972458 -279 21061998 1032170 0967829 -327 18062000 1001480 0986563 -135 11051997 1436900 0981094 -191 28061998 1030030 0997927 -021 25062000 916437 0915083 -887 18051997 1375190 0957053 -439 05071998 1002040 0972826 -276 02072000 899917 0981974 -182 25051997 1388860 1009940 099 12071998 982199 0980199 -200 09072000 939109 1043551 426 01061997 1322860 0952479 -487 19071998 970995 0988593 -115 16072000 925956 0985994 -141 08061997 1363670 1030850 304 26071998 995234 1024963 247 23072000 865117 0934296 -680 15061997 1347130 0987871 -122 02081998 1010220 1015058 149 30072000 817732 0945227 -563 22061997 1334000 0990253 -098 09081998 986274 0976296 -240 06082000 789054 0964930 -357 29061997 1311840 0983388 -168 16081998 966470 0979920 -203 13082000 756887 0959233 -416 06071997 1323390 1008804 088 23081998 934316 0966730 -338 20082000 834110 1102027 972 13071997 1309910 0989814 -102 30081998 901108 0964457 -362 27082000 832698 0998307 -017 20071997 1290000 0984800 -153 06091998 949019 1053169 518 03092000 816798 0980905 -193 27071997 1260250 0976938 -233 13091998 950397 1001452 015 10092000 845660 1035336 347 03081997 1262230 1001571 016 20091998 953342 1003099 031 17092000 811616 0959743 -411 10081997 1256470 0995437 -046 27091998 956663 1003484 035 24092000 777843 0958388 -425 17081997 1258060 1001265 013 04101998 958912 1002351 023 01102000 747666 0961204 -396 24081997 1303680 1036262 356 11101998 943251 0983668 -165 08102000 698780 0934615 -676 31081997 1353230 1038008 373 18101998 943963 1000755 008 15102000 607631 0869560 -1398 07091997 1366730 1009976 099 25101998 934640 0990124 -099 22102000 688893 1133736 1255 14091997 1396460 1021753 215 01111998 918468 0982697 -175 29102000 730437 1060305 586 21091997 1404870 1006022 060 08111998 913223 0994289 -057 05112000 747364 1023174 229 28091997 1399450 0996142 -039 15111998 917822 1005036 050 12112000 773445 1034897 343 05101997 1398330 0999200 -008 22111998 917160 0999279 -007 19112000 872700 1128328 1207 12101997 1387030 0991919 -081 29111998 906802 0988706 -114 26112000 799245 0915830 -879 19101997 1362190 0982091 -181 06121998 902621 0995389 -046 03122000 796977 0997162 -028 26101997 1364920 1002004 020 13121998 889094 0985014 -151 10122000 790233 0991538 -085 02111997 1348240 0987780 -123 20121998 902575 1015163 150 17122000 787365 0996371 -036 09111997 1333460 0989038 -110 27121998 906891 1004782 048 24122000 756623 0960956 -398 16111997 1299370 0974435 -259 03011999 914183 1008041 080 31122000 753795 0996262 -037

Page 55

23111997 1253930 0965029 -356 10011999 983873 1076232 735 07012001 757822 1005342 053 30111997 1260160 1004968 050 17011999 989959 1006186 062 14012001 752417 0992868 -072 07121997 1202660 0954371 -467 24011999 1016140 1026447 261 21012001 722711 0960519 -403 14121997 1218480 1013154 131 31011999 1105790 1088226 845 28012001 755868 1045879 449 21121997 1214730 0996922 -031 07021999 1094590 0989871 -102 04022001 769449 1017967 178 28121997 1226070 1009335 093 14021999 1053620 0962570 -381 11022001 747680 0971708 -287

21021999 1071770 1017226 171 18022001 716466 0958252 -426 28021999 1055100 0984446 -157 25022001 696200 0971714 -287 07031999 1039860 0985556 -145 04032001 672488 0965941 -347 14031999 1041200 1001289 013 11032001 687929 1022961 227 21031999 1027650 0986986 -131 18032001 634936 0922967 -802 28031999 1031360 1003610 036 25032001 616127 0970377 -301 04041999 1034930 1003461 035 01042001 591655 0960281 -405 11041999 1024940 0990347 -097 08042001 601771 1017098 170 18041999 1026450 1001473 015 15042001 629302 1045750 447 25041999 1038240 1011486 114 22042001 610423 0970000 -305 02051999 1014430 0977067 -232 29042001 617783 1012057 120 09051999 1027240 1012628 125 06052001 634110 1026428 261 16051999 1015400 0988474 -116 13052001 648901 1023326 231 23051999 1012050 0996701 -033 20052001 659723 1016677 165 30051999 986598 0974851 -255 27052001 665419 1008634 086 06061999 977053 0990325 -097 03062001 653740 0982449 -177 13061999 1007370 1031029 306 10062001 629223 0962497 -382 20061999 989166 0981929 -182 17062001 630035 1001290 013 27061999 1026150 1037389 367 24062001 613967 0974497 -258 04071999 995282 0969919 -305 01072001 596953 0972288 -281 11071999 995600 1000320 003 08072001 620332 1039164 384 18071999 1012170 1016643 165 15072001 609565 0982643 -175 25071999 981962 0970155 -303 22072001 554710 0910010 -943 01081999 971997 0989852 -102 29072001 550917 0993162 -069

Page 56

08081999 953229 0980691 -195 05082001 528555 0959409 -414 15081999 935049 0980928 -193 12082001 553572 1047331 462 22081999 944102 1009682 096 19082001 561918 1015077 150 29081999 935339 0990718 -093 26082001 564762 1005061 050 05091999 928650 0992849 -072 02092001 595784 1054929 535 12091999 923843 0994824 -052 09092001 642737 1078809 759 19091999 936583 1013790 137 16092001 626337 0974484 -258 26091999 963355 1028585 282 23092001 614817 0981607 -186 03101999 964466 1001153 012 30092001 561925 0913971 -900 10101999 1008430 1045584 446 07102001 544680 0969311 -312 17101999 1067340 1058418 568 14102001 554529 1018082 179 24101999 1019230 0954925 -461 21102001 579797 1045567 446 31101999 1038280 1018691 185 28102001 571335 0985405 -147 07111999 1047550 1008928 089 04112001 554861 0971166 -293 14111999 1071510 1022872 226 11112001 558192 1006003 060 21111999 1077140 1005254 052 18112001 533398 0955582 -454 28111999 1104220 1025141 248 25112001 508562 0953438 -477 05121999 1152250 1043497 426 02122001 519633 1021769 215 12121999 1338690 1161805 1500 09122001 516432 0993840 -062 19121999 1235780 0923126 -800 16122001 534209 1034423 338 26121999 1215240 0983379 -168 23122001 531180 0994330 -057 30122001 526241 0990702 -093 Std Dev 326 280 456 Skewness 080 181 011 Kurtosis 084 829 079 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 57

The table shows that Standard Deviation has decreased from 326 for the period

19961997 to 28 for the period 19981999 indicating a mild volatility during the

second period

Skewness and kurtosis coefficients have increased during the period 19981999

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 19981999 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) (43)

ri = ln (Pt Pt-1) (44)

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 andor

acquisition data were available for the period analysed (Note that the most actively

traded 30 securities accounted for 8226 of market liquidity as of June 2001 which

Page 58

makes the number of securities analysed a fair representation of the market under the

information constraint)

42 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 ldquoLarge Capitalisation-Valuerdquo stocks to avoid

anomalies associated with ldquoSmall Capitalisation-Growthrdquo stocks which are

characterised by the lack of accurate information and analysis and by infrequent

trading within the Egyptian market

Table 42 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 59

Table 42 Summary Statistics of Stocks Analysed

Company Beta Alpha Std Dev Of Rdm Std Error of Std Error of Correlation Coefficient of Coefficient of Error Term Beta Alpha Coefficient Determination Nondetermination Banking

Commercial International Bank (CIB) 145 -006 312 0062 0174 080 063 037 Egyptian American Bank (EAB) 118 -040 338 0065 0181 070 049 051 Misr International Bank (MIBANK) 127 -036 314 0062 0174 075 057 043 Cement Ameryah Cement 105 -043 358 0067 0187 064 041 059 Helwan Portland Cement 085 -056 326 0064 0178 060 035 065 Suez Cement 126 -020 271 0058 0162 080 063 037 Torah Portland Cement 107 -006 377 0068 0191 063 039 061 Food and Beverages Upper Egypt Flour Mills 087 -075 491 0078 0218 045 020 080 Housing Nasr City for Housing and Development 075 -115 444 0074 0208 043 018 082 Chemicals Abu Keir for Fertilisers 047 -094 389 0070 0194 033 011 089 Egyptian Financial and Industrial 086 -126 286 0060 0167 065 042 058 Paints and Chemical Industries 078 -071 410 0071 0200 047 022 078

Page 60

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

43 Findings

Appendix C provides the detailed calculations of Abnormal Returns for the securities

analysed around the announcement dates of the various events tested

431 Takeovers

Efficiency tests related to Acquisition events included the acquisition announcements

for two companies in the cement sector during 2001 namely the acquisition of

9469 of Helwan Portland Cement shares by the Arab Swiss Engineering Company

(ASEC) and 3465 of Suez Cement shares by Ciments Francais (Cairo and

Alexandria Stock Exchanges Monthly Bulletin May 2002)

Tables (43) and (44) and Graphs (41) and (42) show the following

Despite fluctuating around 040 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 61

Table 43 Average Abnormal Returns Takeovers Table 44 Cumulative Abnormal Returns Takeovers 2001 2001

Day Helwan Portland Suez Cement AAR ()

-18 055 018 036 -17 056 019 038 -16 057 022 039 -15 059 023 041 -14 059 018 038 -13 059 017 038 -12 055 016 036 -11 061 017 039 -10 059 020 040 -9 055 022 038 -8 053 022 037 -7 057 019 038 -6 057 019 038 -5 056 019 038 -4 056 023 039 -3 059 022 041 -2 061 020 041 -1 059 017 038 0 054 020 037 1 060 020 040 2 060 019 040 3 059 018 038 4 062 024 043 5 063 025 044 6 050 020 035 7 051 014 033 8 060 019 039 9 061 018 039

10 068 016 042 11 058 016 037 12 058 026 042 13 054 020 037 14 057 019 038 15 059 020 040 16 057 021 039 17 057 015 036 18 058 019 039 19 058 022 040 20 051 019 035 21 056 019 038

DayHelwan Portland Suez Cement Avg CAR

-18 112 038 075 -17 167 057 112 -16 225 079 152 -15 284 102 193 -14 343 120 231 -13 402 137 269 -12 457 153 305 -11 518 170 344 -10 577 190 384 -9 632 213 422 -8 685 234 460 -7 743 253 498 -6 800 272 536 -5 857 291 574 -4 913 314 613 -3 972 335 654 -2 1034 356 695 -1 1092 373 733 0 1146 393 769 1 1206 413 809 2 1266 432 849 3 1325 449 887 4 1387 474 931 5 1450 498 974 6 1500 519 1010 7 1552 533 1042 8 1611 551 1081 9 1672 569 1120

10 1740 585 1163 11 1799 602 1200 12 1856 627 1242 13 1910 648 1279 14 1967 666 1317 15 2026 687 1356 16 2084 708 1396 17 2141 723 1432 18 2199 742 1470 19 2257 764 1510 20 2308 783 1545 21 2364 802 1583

Page 62

Graph 41 Average Abnormal Returns surrounding Takeovers in 2001

Average Abnormal Returns Takeovers (2001)

000

005

010

015

020

025

030

035

040

045

050

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Graph 42 Cumulative Abnormal Returns surrounding Takeovers in 2001

Average Cumulative Abnormal Returns Takveovers (2001)

000

200

400

600

800

1000

1200

1400

1600

1800

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Slow Adjustment

Information Leakage

Page 63

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 securitiesrsquo prices to

their new fair values and therefore caused the increasing cumulative abnormal

returns after the announcement date

432 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 (45) (46) (47) and (48) and figure (41) 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 (050 in 2000

and 025 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 64

Table 45 Average Abnormal Returns Dividend Increase 2000 Day CIB EAB MIBANK Ameryah Egy FinampInd Abu Keir Fert AAR ()

-18 -139 042 035 046 126 096 034 -17 -344 043 038 043 125 096 000 -16 -403 040 034 040 124 094 -012 -15 192 037 036 044 128 095 089 -14 -277 040 037 047 126 096 011-13 -267 039 036 046 130 092 013 -12 134 040 035 043 126 094 079 -11 -060 038 034 044 125 095 046 -10 -448 040 036 046 128 097 -017 -9 -199 042 036 046 129 094 025 -8 426 041 031 044 126 092 127 -7 419 043 034 046 123 093 126 -6 328 040 036 032 127 095 110 -5 -388 037 036 044 126 096 -008 -4 -069 043 033 046 125 094 045 -3 014 039 035 041 131 093 059 -2 -128 041 037 045 125 095 036 -1 -017 040 037 041 125 094 054 0 -092 041 037 041 130 097 042 1 -105 039 034 042 130 098 040 2 172 043 034 043 122 097 085 3 248 042 036 041 124 096 098 4 333 037 037 041 122 094 111 5 156 043 035 041 128 094 083 6 -298 040 035 043 121 093 006 7 285 043 038 046 123 089 104 8 -024 042 033 045 120 092 052 9 225 031 039 045 122 085 091

10 -056 042 036 042 124 093 047 11 041 039 032 046 124 096 063 12 -240 038 037 045 122 095 016 13 -082 048 040 041 125 095 045 14 205 032 030 041 131 094 089 15 058 039 036 045 128 094 067 16 144 040 036 043 121 089 079 17 -358 039 036 044 126 090 -004 18 -010 041 036 046 126 100 057 19 307 039 041 043 125 099 109 20 -975 039 044 045 120 094 -105 21 -187 038 026 044 130 095 024

Page 65

Table 46 Average Abnormal Returns Dividend Increase 2001

Day CIB MIBANK Ameryah AAR ()

-18 009 034 042 029 -17 008 035 044 029 -16 006 035 047 029 -15 004 035 043 027 -14 002 034 049 029 -13 011 034 039 028 -12 009 040 041 030 -11 003 037 048 029 -10 008 036 047 030 -9 009 031 045 029 -8 010 033 040 027 -7 009 040 048 032 -6 003 038 041 027 -5 003 033 040 026 -4 007 039 040 029 -3 007 037 048 031 -2 003 039 044 029 -1 006 039 052 033 0 009 032 049 030 1 002 033 042 026 2 010 038 044 031 3 012 037 014 021 4 006 031 042 026 5 002 036 047 028 6 008 038 042 029 7 005 031 045 027 8 008 040 045 031 9 008 040 046 031

10 009 036 043 029 11 006 030 041 026 12 002 036 040 026 13 -003 029 041 022 14 006 040 044 030 15 002 039 044 028 16 007 035 043 028 17 010 032 041 028 18 005 032 043 026 19 003 037 042 027 20 008 035 046 030 21 008 034 045 029

Page 66

Table 47 Cumulative Abnormal Returns Dividend Increase 2000 Day CIB EAB MIBANK Ameryah Egy FinampInd Abu Keir Fert Avg CAR ()

-18 -271 083 070 086 249 191 068 -17 -614 126 108 129 374 287 068 -16 -1018 166 142 169 498 381 056 -15 -826 202 178 213 626 476 145 -14 -1103 242 215 260 752 572 156 -13 -1370 281 251 306 882 664 169 -12 -1235 321 286 348 1008 759 248 -11 -1296 359 321 392 1133 853 294 -10 -1744 399 357 439 1261 950 277 -9 -1943 441 393 485 1390 1045 302 -8 -1517 482 424 529 1516 1137 428 -7 -1098 525 458 575 1639 1230 555 -6 -770 564 494 607 1766 1326 665 -5 -1157 601 530 651 1892 1422 656 -4 -1227 645 563 697 2017 1515 702 -3 -1213 684 598 737 2148 1609 760 -2 -1341 725 634 782 2273 1703 796 -1 -1358 765 671 823 2398 1798 850 0 -1450 806 708 864 2529 1894 892 1 -1555 845 742 906 2659 1992 932 2 -1383 888 776 949 2781 2090 1017 3 -1135 929 811 990 2905 2185 1114 4 -802 966 848 1031 3028 2279 1225 5 -646 1009 883 1072 3156 2373 1308 6 -945 1049 918 1115 3277 2466 1313 7 -660 1092 956 1161 3400 2555 1417 8 -683 1134 990 1206 3521 2647 1469 9 -458 1165 1029 1251 3643 2732 1560

10 -514 1206 1065 1293 3766 2825 1607 11 -472 1245 1097 1339 3890 2921 1670 12 -712 1283 1134 1384 4012 3016 1686 13 -794 1331 1174 1426 4137 3111 1731 14 -589 1364 1203 1466 4267 3205 1819 15 -530 1403 1239 1512 4396 3299 1886 16 -386 1443 1275 1555 4516 3388 1965 17 -744 1482 1311 1599 4643 3478 1961 18 -754 1523 1347 1644 4769 3578 2018 19 -446 1562 1388 1688 4895 3676 2127 20 -1421 1601 1432 1732 5014 3770 2022 21 -1608 1639 1458 1777 5144 3866 2046

Page 67

Table 48 Cumulative Abnormal Returns Dividend Increase 2001

Day CIB MIBANK Ameryah Avg CAR ()

-18 017 066 082 055 -17 025 101 126 084 -16 031 136 174 114 -15 035 171 217 141 -14 037 205 266 169 -13 048 239 305 198 -12 058 279 347 228 -11 061 316 394 257 -10 069 352 441 287 -9 078 384 486 316 -8 087 416 526 343 -7 096 456 575 376 -6 099 494 616 403 -5 102 528 656 429 -4 109 567 696 457 -3 116 604 744 488 -2 119 644 789 517 -1 125 683 841 550 0 134 715 890 580 1 136 748 932 605 2 146 786 976 636 3 157 823 990 657 4 164 854 1033 683 5 165 890 1080 712 6 173 927 1121 741 7 178 958 1166 767 8 186 998 1211 798 9 194 1038 1257 830

10 203 1075 1299 859 11 209 1105 1340 885 12 211 1141 1380 911 13 208 1170 1421 933 14 213 1209 1465 963 15 215 1248 1509 991 16 222 1283 1552 1019 17 232 1315 1593 1047 18 236 1347 1636 1073 19 239 1384 1677 1100 20 247 1419 1724 1130 21 254 1453 1769 1159

Page 68

Figure 41 Abnormal Returns surrounding Dividend Increase (2000-2001)

Average Abnormal Returns Dividend Increase (2000)

-150

-100

-050

000

050

100

150

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Abnormal Returns Dividend Increase (2001)

000

005

010

015

020

025

030

035

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Cumulative Abnormal Returns Dividend Increase ( 2000)

000

500

1000

1500

2000

2500

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement date

AC

AR

()

Information Leakage

Slow Adjustment

Average Cumulative Abnormal Returns Dividend Increase (2001)

000

200

400

600

800

1000

1200

1400

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Page 70

433 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 (49) (410) (411) and (412) and figure (42) 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 (064 in 2000 and 0725 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 71

Table 49 Average Abnormal Returns Dividend Decrease 2000 Day Helwan Cement Torah Port Nasr City Paints amp Chem Upper Egypt F Mills AAR ()

-18 052 003 119 072 074 064-17 056 005 120 071 076 066-16 058 008 111 069 076 064-15 054 007 112 069 075 063-14 059 008 116 073 077 067-13 057 005 111 068 077 064-12 056 009 113 068 076 064-11 057 008 119 065 077 065-10 057 008 114 067 078 065-9 059 005 112 072 074 064-8 056 008 112 066 074 063-7 057 006 113 068 076 064-6 057 005 113 073 077 065-5 058 003 118 075 074 066-4 056 008 117 075 076 066-3 057 005 117 067 077 065-2 059 010 117 070 077 067-1 058 007 118 066 078 0660 060 007 116 069 069 0641 061 005 111 074 080 0662 047 005 112 071 076 0623 043 007 095 067 070 0564 058 -010 119 070 075 0635 055 006 120 070 077 0666 059 007 121 072 076 0677 059 005 118 068 052 0618 059 004 118 068 077 0659 051 008 117 073 072 064

10 055 010 118 071 076 06611 055 004 119 071 076 06512 057 005 120 068 073 06513 056 013 119 072 074 06714 054 010 119 078 076 06715 058 004 116 068 072 06416 058 007 118 069 074 06517 057 011 113 070 074 06518 055 008 113 069 071 06319 057 003 117 073 074 06520 057 001 112 072 077 06421 055 002 110 073 074 063

Page 72

Table 410 Average Abnormal Returns Dividend Decrease 2001 Day Torah Port Nasr City Suez Cement Egy FinampInd Abu Keir Fert AAR ()

-18 006 115 017 122 095 071 -17 008 115 021 125 094 072 -16 007 116 021 126 096 073 -15 010 113 019 126 096 073 -14 007 116 020 127 096 073 -13 002 115 021 122 095 071 -12 009 117 018 129 095 074 -11 005 112 020 126 094 072 -10 002 114 020 126 094 072 -9 007 117 022 126 095 073 -8 008 114 021 125 094 072 -7 007 116 021 128 095 074 -6 010 114 020 128 094 073 -5 006 115 019 127 094 072 -4 007 114 024 129 094 074 -3 005 113 023 125 095 072 -2 001 115 016 123 094 070 -1 009 114 021 130 094 073 0 005 116 021 127 095 073 1 004 115 016 125 093 071 2 012 114 019 124 095 073 3 008 114 019 131 095 074 4 008 114 021 128 095 073 5 009 117 019 126 095 073 6 004 115 021 122 083 069 7 003 116 020 122 093 071 8 002 115 019 130 093 072 9 006 114 021 125 095 072

10 -001 115 019 113 095 068 11 001 111 018 124 094 070 12 007 112 017 128 094 072 13 003 116 018 121 096 071 14 008 112 021 125 093 072 15 007 111 020 129 095 073 16 010 116 020 130 095 074 17 006 117 020 126 095 073 18 002 115 021 126 095 072 19 007 117 019 131 096 074 20 002 116 021 123 094 071 21 007 114 021 129 095 073

Page 73

Table 411 Cumulative Abnormal Returns Dividend Decrease 2000 Day Helwan Cement Torah Port Nasr City Paints amp Chem Upper Egypt F Mills Avg CAR ()

-18 108 009 233 143 147 128-17 164 013 353 214 223 194-16 223 021 464 283 299 258-15 276 028 576 351 374 321-14 336 037 692 425 451 388-13 392 042 804 493 528 452-12 449 051 917 561 603 516-11 506 058 1035 626 680 581-10 562 066 1150 693 759 646-9 621 071 1261 765 833 710-8 677 079 1373 831 907 773-7 734 085 1486 899 983 838-6 791 090 1599 972 1060 903-5 850 093 1717 1048 1134 968-4 906 101 1834 1123 1210 1035-3 963 105 1951 1190 1287 1099-2 1022 115 2068 1261 1364 1166-1 1081 122 2186 1327 1442 12320 1141 130 2303 1396 1510 12961 1202 135 2414 1470 1590 13622 1249 140 2526 1541 1666 14243 1292 147 2621 1608 1736 14814 1350 138 2740 1678 1812 15435 1405 143 2860 1748 1889 16096 1464 151 2981 1820 1965 16767 1523 156 3099 1888 2017 17378 1582 160 3217 1956 2094 18029 1634 168 3334 2029 2166 1866

10 1688 178 3452 2099 2242 193211 1743 181 3571 2170 2318 199712 1800 186 3691 2239 2391 206213 1856 200 3810 2311 2465 212814 1910 210 3929 2388 2541 219615 1968 214 4045 2456 2613 225916 2026 221 4163 2525 2687 232517 2083 232 4276 2595 2761 239018 2138 241 4389 2664 2833 245319 2195 244 4506 2737 2906 251820 2252 245 4619 2809 2984 258221 2307 247 4729 2883 3058 2645

Page 74

Table 412 Cumulative Abnormal Returns Dividend Decrease 2001 Day Torah Port Nasr City Suez Cement Egy FinampInd Abu Keir Fert Avg CAR ()

-18 012 229 037 254 190 144 -17 019 344 057 379 285 217 -16 026 460 078 505 380 290 -15 036 573 097 630 476 363 -14 044 689 117 757 572 436 -13 046 804 138 879 667 507 -12 055 921 155 1008 762 580 -11 060 1033 176 1134 856 652 -10 063 1147 196 1261 951 724 -9 069 1264 218 1387 1046 797 -8 077 1378 239 1512 1140 869 -7 085 1494 261 1641 1235 943 -6 094 1608 280 1769 1329 1016 -5 101 1723 299 1896 1423 1088 -4 107 1837 323 2025 1517 1162 -3 113 1950 346 2150 1612 1234 -2 114 2064 363 2273 1705 1304 -1 123 2179 384 2403 1799 1377 0 128 2295 405 2530 1894 1450 1 132 2411 421 2655 1987 1521 2 144 2525 440 2779 2082 1594 3 152 2639 459 2910 2177 1667 4 160 2753 481 3038 2272 1741 5 169 2870 500 3164 2367 1814 6 173 2986 520 3286 2450 1883 7 176 3102 541 3409 2544 1954 8 179 3217 560 3538 2637 2026 9 184 3330 580 3663 2732 2098

10 183 3445 599 3776 2827 2166 11 184 3556 617 3900 2922 2236 12 191 3668 634 4027 3016 2307 13 194 3784 652 4149 3111 2378 14 202 3896 672 4273 3205 2450 15 209 4008 692 4403 3300 2522 16 219 4124 712 4532 3396 2597 17 225 4241 732 4658 3490 2669 18 227 4355 753 4784 3585 2741 19 234 4472 771 4915 3681 2815 20 236 4588 792 5038 3774 2886 21 243 4703 813 5167 3869 2959

Page 75

Figure 42 Abnormal Returns surrounding Dividend Decrease (2000-2001)

Average Abnormal Returns Dividend Decrease (2000)

054

056

058

060

062

064

066

068

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Abnormal Returns Dividend Decrease (2001)

067

068

069

070

071

072

073

074

075

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Cumulative Abnormal Returns Dividend Decrease (2000)

000

500

1000

1500

2000

2500

3000

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Average Cumulative Abnormal Returns Dividend Decrease (2001)

000

500

1000

1500

2000

2500

3000

3500

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Page 76

44 Conclusion

From the above an overall conclusion can be drawn that the Egyptian stock market

showed a clear departure from the ldquoSemi-strong efficientrdquo market hypothesis in the

period 20002001 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 77

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 ldquoFree Handrdquo 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

51 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 78

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 ndash [arf + βp(arM - arf)]

(51)

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

Treynorrsquos 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 (52)

Hence it can be seen that the higher the value of Treynorrsquos 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 Treynorrsquos coefficient will be confined to evaluating funds

performance relative to the benchmark

Page 79

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 (53)

Where (arp - arf) is the average excess return and σp is the total volatility of the fund

Similar to Treynorrsquos coefficient the higher the value of the Sharpe ratio is the better

the performance of the fund will be However therersquos a fundamental difference

between Sharpe ratio and both Treynorrsquos coefficient and Jensenrsquos alpha in that in

Sharpersquos 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 Treynorrsquos or Jensenrsquos might

rank inferior under Sharpersquos due to high Unique Risk thatrsquos not accounted for by the

other two measures

However if a fund shows poor performance under both Jensenrsquos and Treynorrsquos it

should follow logically that it would also show poor performance under Sharpersquos

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 (54)

Page 80

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

52 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

53 Findings

Appendix D shows the detailed calculations of the different performance measures

Page 81

Table (51) and Graphs (51) and (52) 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 ndash562

for Fund No 2 to -1282 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 ndash739) 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 82

Table 51 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 -1405 -831 -474 -685 -950 -735 -666 -833 -323 Standard Deviation 3820 1379 1456 1359 1374 1333 1215 762 773 Std Dev Of Rndm Error Term 000 560 662 354 434 547 421 173 305 Beta 100 034 035 035 035 033 030 020 019 Jensen (Alpha) 000 -949 -562 -786 -1051 -880 -866 -1282 -780 Sharpe -060 -126 -094 -117 -135 -123 -129 -227 -158 Treynor -2305 -5099 -3899 -4571 -5339 -4994 -5155 -8863 -6369 Tracking Error 000 -169 -085 -222 -242 -161 -205 -739 -256

Page 84

Graph 51 Egyptian Mutual Funds Performance Evaluation Using the Ex Post Securities Market Line (1998-2001)

-2000

-1500

-1000

-500

000

500

1000

1500

000 020 040 060 080 100 120

βp

arp

Market Portfolio

Fund No 1

Fund No 2

Fund No 3

Fund No 4

Fund No 5

Fund No 6

Fund No 7

Fund No 8

Ex Post SML

Graph 52 Egyptian Mutual Funds Performance Evaluation Using the Ex Post Capital Market Line (1998-2001)

-2000

-1500

-1000

-500

000

500

1000

1500

000 500 1000 1500 2000 2500 3000 3500 4000 4500

σp

arp

Market Portfolio

Fund No 1

Fund No 2

Fund No 3

Fund No 4

Fund No 5

Fund No 6

Fund No 7

Fund No 8

Ex Post CML

Page 85

For Treynor (Reward-to-Volatility) and despite that the benchmark showed a

negative value of ndash2305 all funds showed greater negative values ranging from

ndash3899 for Fund No 2 to ndash8863 for Fund No 7

This can be seen from Graph (51) 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 ndash094 for Fund No 2 to ndash227 for Fund No 7

This can also be seen from Graph (52) 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

54 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 86

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 87

Chapter 6 Conclusions and Recommendations

61 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 20002001

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 88

62 Findings and Conclusions

621 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 maximumminimum 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 89

622 Mutual Funds Performance

CAPM based performance evaluation measures (Jensenrsquos 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 risk-

adjusted 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 90

63 Limitations

631 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 8226 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 91

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

632 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 92

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)

64 Recommendations

Based on the above findings a number of recommendations can be made These are

bull 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 andor the means to enact them in a

more effective manner should be considered

bull 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 93

bull 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

65 Suggestions for Further Research

The course of this study has outlined a number of areas that could be explored by

further research These include

bull the need to evaluate mutual funds performance more comprehensively

when more and sufficient data become available

bull 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 94

bull 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

bull 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 95

Appendix A

Current Listing Requirements

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

Page 96

Proposed Listing Requirements

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

Page 97

Appendix B

The calculations of the various risk measures for each security analysed were based

on the following

bull the benchmark used for measuring securitiesrsquo sensitivities against is the

Herms Financial Index (HFI)

bull 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

bull calculations were based on 104 weekly observations of index values

and securities prices starting from 2nd of January 1998 until 24th

December 1999

bull 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) (411)

ri = ln (Pt Pt-1) (412)

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 98

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 = [(T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX)] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2] (413)

Alpha = [sumsumsumsumYT] ndash [Beta (sumsumsumsumXT)] (414)

Standard Deviation of Random Error Term (Residual Volatility)

= [sumsumsumsumY2 ndash (Alpha sumsumsumsumY) ndash (Beta sumsumsumsumXY)] [T ndash 2]12 (415)

Standard Error of Beta

= Residual Volatility sumsumsumsumX2 ndash [(sumsumsumsumX)2 T]12 (416)

Standard Error of Alpha

= Residual Volatility T ndash [(sumsumsumsumX)2 sumsumsumsumX2]12 (417)

Correlation Coefficient

= (T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX) (418)

[(T sumsumsumsumY2) ndash (sumsumsumsumY)2] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2]12

Coefficient of Determination (R2)

= (Correlation Coefficient)2 (419)

Coefficient of Nondetermination

= 1 ndash Coefficient of Determination (4110)

The following are the detailed calculations of the various risk measures for the

securities analysed

Page 99

Commercial International Bank CIB

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5298 09011998 1222730 0985643 -145 5193 0980181 -200 209 401 289 16011998 1206630 0986833 -133 5170 0995571 -044 176 020 059 23011998 1187560 0984196 -159 5147 0995551 -045 254 020 071 30011998 1161970 0978452 -218 4748 0922479 -807 475 6511 1758 06021998 1152100 0991506 -085 4810 1013058 130 073 168 -111 13021998 1148570 0996936 -031 4581 0952391 -488 009 2379 150 20021998 1154110 1004823 048 4429 0966819 -337 023 1139 -162 27021998 1152270 0998406 -016 4395 0992323 -077 003 059 012 06031998 1171950 1017079 169 4487 1020933 207 287 429 351 13031998 1177260 1004531 045 4492 1001114 011 020 001 005 20031998 1188570 1009607 096 4678 1041407 406 091 1646 388 27031998 1200260 1009835 098 4735 1012185 121 096 147 119 03041998 1197600 0997784 -022 4840 1022175 219 005 481 -049 10041998 1198900 1001086 011 4793 0990289 -098 001 095 -011 17041998 1195490 0997156 -028 4814 1004381 044 008 019 -012 24041998 1182420 0989067 -110 4488 0932281 -701 121 4917 771 01051998 1176960 0995382 -046 4512 1005348 053 021 028 -025 08051998 1159590 0985242 -149 4117 0912456 -916 221 8393 1362 15051998 1129560 0974103 -262 3965 0963080 -376 688 1415 987 22051998 1112340 0984755 -154 4043 1019672 195 236 380 -299 29051998 1073430 0965020 -356 3984 0985407 -147 1268 216 523 05061998 1045480 0973962 -264 3946 0990462 -096 696 092 253 12061998 1066480 1020086 199 4040 1023822 235 396 554 468 19061998 1032170 0967829 -327 3815 0944307 -573 1069 3284 1874 26061998 1030030 0997927 -021 3903 1023067 228 004 520 -047 03071998 1002040 0972826 -276 3769 0965667 -349 759 1221 962 10071998 982199 0980199 -200 3740 0992306 -077 400 060 154 17071998 970995 0988593 -115 3749 1002406 024 132 006 -028 24071998 995234 1024963 247 3752 1000800 008 608 001 020 31071998 1010220 1015058 149 3729 0993870 -061 223 038 -092 07081998 986274 0976296 -240 3397 0910968 -932 575 8695 2237 14081998 966470 0979920 -203 3271 0962908 -378 411 1429 767 21081998 934316 0966730 -338 2978 0910425 -938 1145 8807 3175 28081998 901108 0964457 -362 2668 0895903 -1099 1310 12083 3978 04091998 949019 1053169 518 3026 1134183 1259 2684 15854 6523 11091998 950397 1001452 015 3201 1057832 562 002 3161 082 18091998 953342 1003099 031 3277 1023743 235 010 551 073 25091998 956663 1003484 035 3202 0977113 -232 012 536 -081 02101998 958912 1002351 023 3188 0995628 -044 006 019 -010 09101998 943251 0983668 -165 3049 0956399 -446 271 1987 734 16101998 943963 1000755 008 2887 0946868 -546 001 2981 -041 23101998 934640 0990124 -099 2891 1001386 014 099 002 -014

Page 100

30101998 918468 0982697 -175 2765 0956416 -446 305 1986 778 06111998 913223 0994289 -057 2872 1038698 380 033 1442 -217 13111998 917822 1005036 050 2823 0982939 -172 025 296 -086 20111998 917160 0999279 -007 2807 0994332 -057 001 032 004 27111998 906802 0988706 -114 2742 0976844 -234 129 549 266 04121998 902621 0995389 -046 2663 0971189 -292 021 855 135 11121998 889094 0985014 -151 2538 0953060 -481 228 2311 726 18121998 902575 1015163 150 2637 1039007 383 226 1464 576 25121998 906891 1004782 048 2608 0989003 -111 023 122 -053 01011999 914183 1008041 080 2698 1034509 339 064 1151 272 08011999 983873 1076232 735 3158 1170497 1574 5397 24784 11566 15011999 989959 1006186 062 3167 1002850 028 038 008 018 22011999 1016140 1026447 261 3257 1028418 280 681 785 731 29011999 1105790 1088226 845 3663 1124655 1175 7149 13801 9932 05021999 1094590 0989871 -102 3736 1019929 197 104 389 -201 12021999 1053620 0962570 -381 3717 0994914 -051 1455 026 195 19021999 1071770 1017226 171 3874 1042238 414 292 1712 707 26021999 1055100 0984446 -157 3736 0964378 -363 246 1316 569 05031999 1039860 0985556 -145 3502 0937366 -647 212 4184 941 12031999 1041200 1001289 013 3492 0997144 -029 002 008 -004 19031999 1027650 0986986 -131 3498 1001718 017 172 003 -022 26031999 1031360 1003610 036 3472 0992567 -075 013 056 -027 02041999 1034930 1003461 035 3520 1013825 137 012 189 047 09041999 1024940 0990347 -097 3480 0988636 -114 094 131 111 16041999 1026450 1001473 015 3543 1018103 179 002 322 026 23041999 1038240 1011486 114 3483 0983065 -171 130 292 -195 30041999 1014430 0977067 -232 3397 0975309 -250 538 625 580 07051999 1027240 1012628 125 3458 1017957 178 157 317 223 14051999 1015400 0988474 -116 3425 0990457 -096 134 092 111 21051999 1012050 0996701 -033 3322 0969927 -305 011 932 101 28051999 986598 0974851 -255 3179 0956954 -440 649 1936 1121 04061999 977053 0990325 -097 3074 0966971 -336 095 1128 327 11061999 1007370 1031029 306 3207 1043266 424 934 1794 1294 18061999 989166 0981929 -182 3155 0983785 -163 333 267 298 25061999 1026150 1037389 367 3135 0993661 -064 1347 040 -233 02071999 995282 0969919 -305 3079 0982137 -180 933 325 551 09071999 995600 1000320 003 3063 0994804 -052 000 027 -002 16071999 1012170 1016643 165 3083 1006530 065 272 042 107 23071999 981962 0970155 -303 3050 0989296 -108 918 116 326 30071999 971997 0989852 -102 3077 1008852 088 104 078 -090 06081999 953229 0980691 -195 3023 0982450 -177 380 313 345 13081999 935049 0980928 -193 2900 0959312 -415 371 1725 800 20081999 944102 1009682 096 3001 1034828 342 093 1172 330 27081999 935339 0990718 -093 2944 0981006 -192 087 368 179 03091999 928650 0992849 -072 2929 0994905 -051 052 026 037 10091999 923843 0994824 -052 2924 0998293 -017 027 003 009 17091999 936583 1013790 137 3071 1050274 491 188 2406 672 24091999 963355 1028585 282 3284 1069359 671 794 4497 1890 01101999 964466 1001153 012 3257 0991778 -083 001 068 -010 08101999 1008430 1045584 446 3662 1124348 1172 1987 13737 5224 15101999 1067340 1058418 568 4053 1106772 1014 3223 10292 5760

Page 101

22101999 1019230 0954925 -461 3643 0898840 -1066 2127 11374 4919 29101999 1038280 1018691 185 4123 1131760 1238 343 15320 2292 05111999 1047550 1008928 089 4100 0994422 -056 079 031 -050 12111999 1071510 1022872 226 4256 1038049 373 511 1394 844 19111999 1077140 1005254 052 4181 0982378 -178 027 316 -093 26111999 1104220 1025141 248 4357 1042095 412 617 1700 1024 03121999 1152250 1043497 426 4228 0970392 -301 1813 903 -1280 10121999 1338690 1161805 1500 5110 1208609 1895 22492 35899 28416 17121999 1235780 0923126 -800 4657 0911350 -928 6398 8617 7425 24121999 1215240 0983379 -168 4827 1036504 359 281 1285 -601 Sum -206 -931 80467 268123 116803 Beta 145 Alpha -006 Std Dev Of Rndm Error Term 312 Std Error of Beta 0062 Std Error of Alpha 0174 Correlation Coefficient 080 Coefficient of Determination 063 Coefficient of Nondetermination 037

Page 102

Egyptian American Bank

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8758 09011998 1222730 0985643 -145 8687 0991893 -081 209 066 118 16011998 1206630 0986833 -133 8226 0946932 -545 176 2973 723 23011998 1187560 0984196 -159 8172 0993435 -066 254 043 105 30011998 1161970 0978452 -218 7600 0930005 -726 475 5266 1581 06021998 1152100 0991506 -085 7837 1031184 307 073 943 -262 13021998 1148570 0996936 -031 7832 0999362 -006 009 000 002 20021998 1154110 1004823 048 7602 0970633 -298 023 888 -143 27021998 1152270 0998406 -016 7262 0955275 -458 003 2094 073 06031998 1171950 1017079 169 7629 1050537 493 287 2431 835 13031998 1177260 1004531 045 7657 1003670 037 020 013 017 20031998 1188570 1009607 096 7577 0989552 -105 091 110 -100 27031998 1200260 1009835 098 7707 1017157 170 096 289 166 03041998 1197600 0997784 -022 7738 1004022 040 005 016 -009 10041998 1198900 1001086 011 7793 1007108 071 001 050 008 17041998 1195490 0997156 -028 7580 0972668 -277 008 768 079 24041998 1182420 0989067 -110 7381 0973747 -266 121 708 292 01051998 1176960 0995382 -046 7249 0982116 -180 021 326 084 08051998 1159590 0985242 -149 6909 0953097 -480 221 2308 714 15051998 1129560 0974103 -262 6391 0925025 -779 688 6074 2045 22051998 1112340 0984755 -154 6352 0993898 -061 236 037 094 29051998 1073430 0965020 -356 6059 0953873 -472 1268 2230 1682 05061998 1045480 0973962 -264 5669 0935633 -665 696 4427 1755 12061998 1066480 1020086 199 5825 1027518 271 396 737 540 19061998 1032170 0967829 -327 5318 0912961 -911 1069 8292 2978 26061998 1030030 0997927 -021 5588 1050771 495 004 2453 -103 03071998 1002040 0972826 -276 5203 0931102 -714 759 5096 1967 10071998 982199 0980199 -200 4992 0959446 -414 400 1714 828 17071998 970995 0988593 -115 4802 0961939 -388 132 1506 445 24071998 995234 1024963 247 5012 1043732 428 608 1832 1055 31071998 1010220 1015058 149 5044 1006385 064 223 041 095 07081998 986274 0976296 -240 4756 0942902 -588 575 3457 1410 14081998 966470 0979920 -203 4594 0965938 -347 411 1201 703 21081998 934316 0966730 -338 4267 0928820 -738 1145 5452 2498 28081998 901108 0964457 -362 4157 0974221 -261 1310 682 945 04091998 949019 1053169 518 4729 1137599 1289 2684 16620 6679 11091998 950397 1001452 015 4734 1001057 011 002 001 002 18091998 953342 1003099 031 5211 1100760 960 010 9216 297 25091998 956663 1003484 035 5167 0991556 -085 012 072 -029 02101998 958912 1002351 023 5554 1074898 722 006 5217 170 09101998 943251 0983668 -165 5232 0942024 -597 271 3567 983 16101998 943963 1000755 008 5072 0969419 -311 001 965 -023 23101998 934640 0990124 -099 5344 1053628 522 099 2729 -519

Page 103

30101998 918468 0982697 -175 5273 0986714 -134 305 179 233 06111998 913223 0994289 -057 5201 0986346 -137 033 189 079 13111998 917822 1005036 050 5157 0991540 -085 025 072 -043 20111998 917160 0999279 -007 5163 1001163 012 001 001 -001 27111998 906802 0988706 -114 4696 0909549 -948 129 8988 1077 04121998 902621 0995389 -046 4659 0992121 -079 021 063 037 11121998 889094 0985014 -151 4811 1032625 321 228 1031 -485 18121998 902575 1015163 150 4810 0999792 -002 226 000 -003 25121998 906891 1004782 048 4724 0982121 -180 023 325 -086 01011999 914183 1008041 080 4896 1036410 358 064 1279 286 08011999 983873 1076232 735 5416 1106209 1009 5397 10189 7416 15011999 989959 1006186 062 5600 1033973 334 038 1116 206 22011999 1016140 1026447 261 5725 1022321 221 681 487 576 29011999 1105790 1088226 845 6017 1051004 497 7149 2475 4206 05021999 1094590 0989871 -102 5639 0937178 -649 104 4210 661 12021999 1053620 0962570 -381 5360 0950523 -507 1455 2575 1936 19021999 1071770 1017226 171 5354 0998881 -011 292 001 -019 26021999 1055100 0984446 -157 5263 0983003 -171 246 294 269 05031999 1039860 0985556 -145 5198 0987650 -124 212 154 181 12031999 1041200 1001289 013 4865 0935937 -662 002 4383 -085 19031999 1027650 0986986 -131 4716 0969373 -311 172 968 407 26031999 1031360 1003610 036 4851 1028626 282 013 797 102 02041999 1034930 1003461 035 4904 1010926 109 012 118 038 09041999 1024940 0990347 -097 5023 1024266 240 094 575 -233 16041999 1026450 1001473 015 5093 1013936 138 002 192 020 23041999 1038240 1011486 114 5046 0990772 -093 130 086 -106 30041999 1014430 0977067 -232 4872 0965517 -351 538 1231 814 07051999 1027240 1012628 125 4700 0964696 -359 157 1292 -451 14051999 1015400 0988474 -116 4896 1041702 409 134 1669 -474 21051999 1012050 0996701 -033 4891 0998979 -010 011 001 003 28051999 986598 0974851 -255 4709 0962789 -379 649 1438 966 04061999 977053 0990325 -097 4618 0980675 -195 095 381 190 11061999 1007370 1031029 306 4655 1008012 080 934 064 244 18061999 989166 0981929 -182 4600 0988185 -119 333 141 217 25061999 1026150 1037389 367 4518 0982174 -180 1347 324 -660 02071999 995282 0969919 -305 4497 0995352 -047 933 022 142 09071999 995600 1000320 003 4552 1012230 122 000 148 004 16071999 1012170 1016643 165 4535 0996265 -037 272 014 -062 23071999 981962 0970155 -303 4231 0932966 -694 918 4815 2102 30071999 971997 0989852 -102 4481 1059088 574 104 3296 -586 06081999 953229 0980691 -195 4253 0949119 -522 380 2727 1018 13081999 935049 0980928 -193 4405 1035739 351 371 1233 -676 20081999 944102 1009682 096 4423 1004086 041 093 017 039 27081999 935339 0990718 -093 4461 1008591 086 087 073 -080 03091999 928650 0992849 -072 4429 0992827 -072 052 052 052 10091999 923843 0994824 -052 4428 0999774 -002 027 000 001 17091999 936583 1013790 137 4611 1041328 405 188 1640 555 24091999 963355 1028585 282 4706 1020603 204 794 416 575 01101999 964466 1001153 012 4699 0998513 -015 001 002 -002 08101999 1008430 1045584 446 4903 1043413 425 1987 1806 1894 15101999 1067340 1058418 568 5191 1058740 571 3223 3258 3241

Page 104

22101999 1019230 0954925 -461 5130 0988249 -118 2127 140 545 29101999 1038280 1018691 185 5257 1024756 245 343 598 453 05111999 1047550 1008928 089 5302 1008560 085 079 073 076 12111999 1071510 1022872 226 5506 1038476 378 511 1425 854 19111999 1077140 1005254 052 5638 1023974 237 027 561 124 26111999 1104220 1025141 248 5487 0973217 -271 617 737 -674 03121999 1152250 1043497 426 5650 1029707 293 1813 857 1246 10121999 1338690 1161805 1500 6555 1160177 1486 22492 22074 22282 17121999 1235780 0923126 -800 5479 0835850 -1793 6398 32150 14343 24121999 1215240 0983379 -168 5680 1036686 360 281 1298 -604 Sum -206 -4330 80467 229628 95158 Beta 118 Alpha -040 Std Dev Of Rndm Error Term 338 Std Error of Beta 0065 Std Error of Alpha 0181 Correlation Coefficient 070 Coefficient of Determination 049 Coefficient of Nondetermination 051

Page 105

Misr International Bank MIBANK

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8144 09011998 1222730 0985643 -145 8192 1005894 059 209 035 -085 16011998 1206630 0986833 -133 8160 0996094 -039 176 015 052 23011998 1187560 0984196 -159 8098 0992451 -076 254 057 121 30011998 1161970 0978452 -218 7510 0927294 -755 475 5698 1644 06021998 1152100 0991506 -085 7295 0971450 -290 073 839 247 13021998 1148570 0996936 -031 7266 0996052 -040 009 016 012 20021998 1154110 1004823 048 6954 0957063 -439 023 1926 -211 27021998 1152270 0998406 -016 7089 1019326 191 003 366 -031 06031998 1171950 1017079 169 7269 1025392 251 287 629 425 13031998 1177260 1004531 045 7412 1019701 195 020 381 088 20031998 1188570 1009607 096 7509 1013060 130 091 168 124 27031998 1200260 1009835 098 7518 1001278 013 096 002 013 03041998 1197600 0997784 -022 7488 0995957 -041 005 016 009 10041998 1198900 1001086 011 7290 0973611 -267 001 715 -029 17041998 1195490 0997156 -028 7290 0999890 -001 008 000 000 24041998 1182420 0989067 -110 7189 0986172 -139 121 194 153 01051998 1176960 0995382 -046 7018 0976296 -240 021 575 111 08051998 1159590 0985242 -149 7055 1005243 052 221 027 -078 15051998 1129560 0974103 -262 6667 0945005 -566 688 3200 1484 22051998 1112340 0984755 -154 6737 1010439 104 236 108 -160 29051998 1073430 0965020 -356 6599 0979575 -206 1268 426 735 05061998 1045480 0973962 -264 6499 0984847 -153 696 233 403 12061998 1066480 1020086 199 6568 1010586 105 396 111 209 19061998 1032170 0967829 -327 6309 0960536 -403 1069 1621 1317 26061998 1030030 0997927 -021 6514 1032463 319 004 1021 -066 03071998 1002040 0972826 -276 6399 0982437 -177 759 314 488 10071998 982199 0980199 -200 6400 1000125 001 400 000 -003 17071998 970995 0988593 -115 6265 0978875 -214 132 456 245 24071998 995234 1024963 247 6454 1030264 298 608 889 735 31071998 1010220 1015058 149 6398 0991200 -088 223 078 -132 07081998 986274 0976296 -240 6122 0956859 -441 575 1945 1058 14081998 966470 0979920 -203 5966 0974647 -257 411 659 521 21081998 934316 0966730 -338 5863 0982703 -174 1145 304 590 28081998 901108 0964457 -362 5337 0910220 -941 1310 8849 3404 04091998 949019 1053169 518 5714 1070604 682 2684 4654 3534 11091998 950397 1001452 015 5832 1020722 205 002 421 030 18091998 953342 1003099 031 5818 0997531 -025 010 006 -008 25091998 956663 1003484 035 5775 0992712 -073 012 054 -025 02101998 958912 1002351 023 5759 0997230 -028 006 008 -007 09101998 943251 0983668 -165 5699 0989582 -105 271 110 172 16101998 943963 1000755 008 5687 0997894 -021 001 004 -002 23101998 934640 0990124 -099 5688 1000141 001 099 000 -001

Page 106

30101998 918468 0982697 -175 5290 0930098 -725 305 5251 1265 06111998 913223 0994289 -057 5203 0983517 -166 033 276 095 13111998 917822 1005036 050 5273 1013376 133 025 177 067 20111998 917160 0999279 -007 5192 0984676 -154 001 238 011 27111998 906802 0988706 -114 4970 0957165 -438 129 1917 497 04121998 902621 0995389 -046 4986 1003381 034 021 011 -016 11121998 889094 0985014 -151 5023 1007380 074 228 054 -111 18121998 902575 1015163 150 5288 1052715 514 226 2639 773 25121998 906891 1004782 048 5147 0973374 -270 023 728 -129 01011999 914183 1008041 080 5290 1027666 273 064 745 219 08011999 983873 1076232 735 6134 1159710 1482 5397 21954 10885 15011999 989959 1006186 062 6274 1022692 224 038 503 138 22011999 1016140 1026447 261 6548 1043739 428 681 1833 1117 29011999 1105790 1088226 845 7800 1191203 1750 7149 30612 14793 05021999 1094590 0989871 -102 8082 1036205 356 104 1265 -362 12021999 1053620 0962570 -381 6850 0847570 -1654 1455 27351 6309 19021999 1071770 1017226 171 7518 1097513 930 292 8658 1589 26021999 1055100 0984446 -157 7440 0989572 -105 246 110 164 05031999 1039860 0985556 -145 6931 0931613 -708 212 5018 1031 12031999 1041200 1001289 013 7196 1038204 375 002 1406 048 19031999 1027650 0986986 -131 7160 0994997 -050 172 025 066 26031999 1031360 1003610 036 7028 0981564 -186 013 346 -067 02041999 1034930 1003461 035 7114 1012180 121 012 147 042 09041999 1024940 0990347 -097 6950 0976946 -233 094 544 226 16041999 1026450 1001473 015 6654 0957408 -435 002 1895 -064 23041999 1038240 1011486 114 6683 1004449 044 130 020 051 30041999 1014430 0977067 -232 6389 0955949 -451 538 2030 1045 07051999 1027240 1012628 125 6351 0994115 -059 157 035 -074 14051999 1015400 0988474 -116 6366 1002393 024 134 006 -028 21051999 1012050 0996701 -033 6245 0980900 -193 011 372 064 28051999 986598 0974851 -255 6060 0970407 -300 649 902 765 04061999 977053 0990325 -097 5868 0968317 -322 095 1037 313 11061999 1007370 1031029 306 6034 1028221 278 934 775 850 18061999 989166 0981929 -182 5860 0971228 -292 333 852 532 25061999 1026150 1037389 367 5683 0969829 -306 1347 939 -1125 02071999 995282 0969919 -305 5428 0955096 -459 933 2111 1403 09071999 995600 1000320 003 5444 1002948 029 000 009 001 16071999 1012170 1016643 165 5430 0997355 -026 272 007 -044 23071999 981962 0970155 -303 5494 1011935 119 918 141 -359 30071999 971997 0989852 -102 5121 0932003 -704 104 4959 718 06081999 953229 0980691 -195 5026 0981409 -188 380 352 366 13081999 935049 0980928 -193 4848 0964661 -360 371 1294 693 20081999 944102 1009682 096 4853 1000990 010 093 001 010 27081999 935339 0990718 -093 4714 0971480 -289 087 837 270 03091999 928650 0992849 -072 4716 1000339 003 052 000 -002 10091999 923843 0994824 -052 4538 0962341 -384 027 1474 199 17091999 936583 1013790 137 4640 1022387 221 188 490 303 24091999 963355 1028585 282 4789 1032069 316 794 996 890 01101999 964466 1001153 012 4726 0986803 -133 001 176 -015 08101999 1008430 1045584 446 5332 1128322 1207 1987 14576 5382 15101999 1067340 1058418 568 5929 1111928 1061 3223 11256 6024

Page 107

22101999 1019230 0954925 -461 5517 0930509 -720 2127 5187 3322 29101999 1038280 1018691 185 5853 1060905 591 343 3495 1095 05111999 1047550 1008928 089 5904 1008748 087 079 076 077 12111999 1071510 1022872 226 5775 0978184 -221 511 487 -499 19111999 1077140 1005254 052 5759 0997230 -028 027 008 -015 26111999 1104220 1025141 248 5605 0973191 -272 617 738 -675 03121999 1152250 1043497 426 5650 1008136 081 1813 066 345 10121999 1338690 1161805 1500 6254 1106754 1014 22492 10288 15212 17121999 1235780 0923126 -800 5560 0889088 -1176 6398 13820 9403 24121999 1215240 0983379 -168 5503 0989784 -103 281 105 172 Sum -206 -3920 80467 230750 102346 Beta 127 Alpha -036 Std Dev Of Rndm Error Term 314 Std Error of Beta 0062 Std Error of Alpha 0174 Correlation Coefficient 075 Coefficient of Determination 057 Coefficient of Nondetermination 043

Page 108

Ameryah Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1)

02011998 1240540 7942 09011998 1222730 0985643 -145 7630 0960715 -401 209 1606 580 16011998 1206630 0986833 -133 7402 0970118 -303 176 920 402 23011998 1187560 0984196 -159 7427 1003377 034 254 011 -054 30011998 1161970 0978452 -218 7342 0988555 -115 475 132 251 06021998 1152100 0991506 -085 7184 0978480 -218 073 473 186 13021998 1148570 0996936 -031 7221 1005150 051 009 026 -016 20021998 1154110 1004823 048 7154 0990722 -093 023 087 -045 27021998 1152270 0998406 -016 7102 0992731 -073 003 053 012 06031998 1171950 1017079 169 7195 1013095 130 287 169 220 13031998 1177260 1004531 045 7099 0986657 -134 020 180 -061 20031998 1188570 1009607 096 7033 0990703 -093 091 087 -089 27031998 1200260 1009835 098 7053 1002844 028 096 008 028 03041998 1197600 0997784 -022 6796 0963562 -371 005 1378 082 10041998 1198900 1001086 011 6980 1027075 267 001 714 029 17041998 1195490 0997156 -028 6800 0974212 -261 008 683 074 24041998 1182420 0989067 -110 6772 0995882 -041 121 017 045 01051998 1176960 0995382 -046 6603 0975044 -253 021 639 117 08051998 1159590 0985242 -149 6644 1006209 062 221 038 -092 15051998 1129560 0974103 -262 6036 0908489 -960 688 9211 2518 22051998 1112340 0984755 -154 5908 0978794 -214 236 459 329 29051998 1073430 0965020 -356 5899 0998477 -015 1268 002 054 05061998 1045480 0973962 -264 5903 1000678 007 696 000 -018 12061998 1066480 1020086 199 6341 1074200 716 396 5123 1423 19061998 1032170 0967829 -327 5661 0892761 -1134 1069 12868 3709 26061998 1030030 0997927 -021 5875 1037803 371 004 1377 -077 03071998 1002040 0972826 -276 5707 0971404 -290 759 842 799 10071998 982199 0980199 -200 5640 0988260 -118 400 139 236 17071998 970995 0988593 -115 5441 0964716 -359 132 1290 412 24071998 995234 1024963 247 5734 1053850 525 608 2751 1293 31071998 1010220 1015058 149 5517 0962156 -386 223 1488 -577 07081998 986274 0976296 -240 5370 0973355 -270 575 729 648 14081998 966470 0979920 -203 5365 0999069 -009 411 001 019 21081998 934316 0966730 -338 5148 0959553 -413 1145 1705 1397 28081998 901108 0964457 -362 5057 0982323 -178 1310 318 645 04091998 949019 1053169 518 5693 1125766 1185 2684 14034 6137 11091998 950397 1001452 015 5622 0987529 -125 002 157 -018 18091998 953342 1003099 031 5844 1039488 387 010 1500 120 25091998 956663 1003484 035 5819 0995722 -043 012 018 -015 02101998 958912 1002351 023 5757 0989345 -107 006 115 -025 09101998 943251 0983668 -165 5709 0991662 -084 271 070 138 16101998 943963 1000755 008 5062 0886670 -1203 001 14468 -091 23101998 934640 0990124 -099 5109 1009285 092 099 085 -092

Page 109

30101998 918468 0982697 -175 5045 0987473 -126 305 159 220 06111998 913223 0994289 -057 5066 1004163 042 033 017 -024 13111998 917822 1005036 050 5141 1014805 147 025 216 074 20111998 917160 0999279 -007 5079 0987940 -121 001 147 009 27111998 906802 0988706 -114 5038 0991928 -081 129 066 092 04121998 902621 0995389 -046 5093 1010917 109 021 118 -050 11121998 889094 0985014 -151 5084 0998233 -018 228 003 027 18121998 902575 1015163 150 5088 1000787 008 226 001 012 25121998 906891 1004782 048 5069 0996266 -037 023 014 -018 01011999 914183 1008041 080 5095 1005129 051 064 026 041 08011999 983873 1076232 735 5674 1113641 1076 5397 11585 7907 15011999 989959 1006186 062 6026 1062037 602 038 3623 371 22011999 1016140 1026447 261 6488 1076668 739 681 5457 1928 29011999 1105790 1088226 845 7109 1095715 914 7149 8355 7728 05021999 1094590 0989871 -102 6429 0904347 -1005 104 10109 1024 12021999 1053620 0962570 -381 6441 1001867 019 1455 003 -071 19021999 1071770 1017226 171 6268 0973141 -272 292 741 -465 26021999 1055100 0984446 -157 6180 0985960 -141 246 200 222 05031999 1039860 0985556 -145 5756 0931392 -711 212 5052 1034 12031999 1041200 1001289 013 5791 1006081 061 002 037 008 19031999 1027650 0986986 -131 5533 0955448 -456 172 2077 597 26031999 1031360 1003610 036 5719 1033616 331 013 1093 119 02041999 1034930 1003461 035 5928 1036545 359 012 1288 124 09041999 1024940 0990347 -097 6142 1036100 355 094 1258 -344 16041999 1026450 1001473 015 5845 0951644 -496 002 2457 -073 23041999 1038240 1011486 114 5749 0983576 -166 130 274 -189 30041999 1014430 0977067 -232 5767 1003131 031 538 010 -073 07051999 1027240 1012628 125 5558 0963759 -369 157 1363 -463 14051999 1015400 0988474 -116 5698 1025189 249 134 619 -288 21051999 1012050 0996701 -033 5666 0994384 -056 011 032 019 28051999 986598 0974851 -255 5494 0969643 -308 649 950 785 04061999 977053 0990325 -097 5384 0979978 -202 095 409 197 11061999 1007370 1031029 306 5271 0979012 -212 934 450 -648 18061999 989166 0981929 -182 5423 1028837 284 333 808 -518 25061999 1026150 1037389 367 5553 1023972 237 1347 561 870 02071999 995282 0969919 -305 5490 0988655 -114 933 130 348 09071999 995600 1000320 003 5222 0951184 -500 000 2505 -016 16071999 1012170 1016643 165 5090 0974722 -256 272 655 -423 23071999 981962 0970155 -303 4992 0980747 -194 918 378 589 30071999 971997 0989852 -102 4900 0981571 -186 104 346 190 06081999 953229 0980691 -195 4528 0924082 -790 380 6234 1539 13081999 935049 0980928 -193 4505 0994920 -051 371 026 098 20081999 944102 1009682 096 4628 1027303 269 093 726 260 27081999 935339 0990718 -093 4611 0996327 -037 087 014 034 03091999 928650 0992849 -072 4556 0988072 -120 052 144 086 10091999 923843 0994824 -052 4651 1020852 206 027 426 -107 17091999 936583 1013790 137 4450 0956783 -442 188 1952 -605 24091999 963355 1028585 282 4477 1006067 060 794 037 170 01101999 964466 1001153 012 4451 0994193 -058 001 034 -007 08101999 1008430 1045584 446 4708 1057740 561 1987 3151 2502 15101999 1067340 1058418 568 5075 1077952 751 3223 5635 4262

Page 110

22101999 1019230 0954925 -461 4646 0915468 -883 2127 7800 4074 29101999 1038280 1018691 185 4762 1024968 247 343 608 457 05111999 1047550 1008928 089 4486 0942041 -597 079 3565 -531 12111999 1071510 1022872 226 4825 1075568 728 511 5307 1647 19111999 1077140 1005254 052 4741 0982591 -176 027 308 -092 26111999 1104220 1025141 248 4814 1015398 153 617 233 379 03121999 1152250 1043497 426 4750 0986705 -134 1813 179 -570 10121999 1338690 1161805 1500 5374 1131368 1234 22492 15234 18511 17121999 1235780 0923126 -800 4618 0859323 -1516 6398 22986 12127 24121999 1215240 0983379 -168 4993 1081204 781 281 6096 -1309

Sum -206 -4641 80467 220262 84434 Beta 105 Alpha -043 Std Dev Of Rndm Error Term 358 Std Error of Beta 0067 Std Error of Alpha 0187 Correlation Coefficient 064 Coefficient of Determination 041 Coefficient of Nondetermination 059

Page 111

Helwan Portland

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 6794 09011998 1222730 0985643 -145 6738 0991757 -083 209 069 120 16011998 1206630 0986833 -133 6678 0991095 -089 176 080 119 23011998 1187560 0984196 -159 6700 1003294 033 254 011 -052 30011998 1161970 0978452 -218 6736 1005373 054 475 029 -117 06021998 1152100 0991506 -085 6599 0979662 -205 073 422 175 13021998 1148570 0996936 -031 6663 1009698 097 009 093 -030 20021998 1154110 1004823 048 6605 0991295 -087 023 076 -042 27021998 1152270 0998406 -016 6625 1003028 030 003 009 -005 06031998 1171950 1017079 169 6795 1025660 253 287 642 429 13031998 1177260 1004531 045 7038 1035762 351 020 1235 159 20031998 1188570 1009607 096 7142 1014777 147 091 215 140 27031998 1200260 1009835 098 7289 1020582 204 096 415 199 03041998 1197600 0997784 -022 7191 0986555 -135 005 183 030 10041998 1198900 1001086 011 7298 1014880 148 001 218 016 17041998 1195490 0997156 -028 7326 1003837 038 008 015 -011 24041998 1182420 0989067 -110 7283 0994130 -059 121 035 065 01051998 1176960 0995382 -046 7338 1007552 075 021 057 -035 08051998 1159590 0985242 -149 7244 0987190 -129 221 166 192 15051998 1129560 0974103 -262 7136 0985091 -150 688 226 394 22051998 1112340 0984755 -154 7084 0992713 -073 236 053 112 29051998 1073430 0965020 -356 5748 0811406 -2090 1268 43675 7441 05061998 1045480 0973962 -264 5690 0989910 -101 696 103 268 12061998 1066480 1020086 199 5691 1000176 002 396 000 003 19061998 1032170 0967829 -327 5310 0933052 -693 1069 4802 2266 26061998 1030030 0997927 -021 5128 0965725 -349 004 1216 072 03071998 1002040 0972826 -276 5076 0989860 -102 759 104 281 10071998 982199 0980199 -200 5064 0997636 -024 400 006 047 17071998 970995 0988593 -115 4900 0967615 -329 132 1084 378 24071998 995234 1024963 247 5232 1067755 656 608 4298 1616 31071998 1010220 1015058 149 5317 1016246 161 223 260 241 07081998 986274 0976296 -240 5163 0971036 -294 575 864 705 14081998 966470 0979920 -203 5010 0970366 -301 411 905 610 21081998 934316 0966730 -338 4911 0980240 -200 1145 398 675 28081998 901108 0964457 -362 4880 0993688 -063 1310 040 229 04091998 949019 1053169 518 5239 1073566 710 2684 5039 3677 11091998 950397 1001452 015 5258 1003627 036 002 013 005 18091998 953342 1003099 031 5202 0989350 -107 010 115 -033 25091998 956663 1003484 035 5194 0998462 -015 012 002 -005 02101998 958912 1002351 023 5095 0980940 -192 006 370 -045 09101998 943251 0983668 -165 4961 0973700 -267 271 710 439 16101998 943963 1000755 008 5001 1008063 080 001 064 006 23101998 934640 0990124 -099 5006 1001000 010 099 001 -010

Page 112

30101998 918468 0982697 -175 4827 0964243 -364 305 1326 636 06111998 913223 0994289 -057 4853 1005386 054 033 029 -031 13111998 917822 1005036 050 4943 1018545 184 025 338 092 20111998 917160 0999279 -007 4951 1001618 016 001 003 -001 27111998 906802 0988706 -114 4851 0979802 -204 129 416 232 04121998 902621 0995389 -046 4836 0996908 -031 021 010 014 11121998 889094 0985014 -151 4779 0988213 -119 228 141 179 18121998 902575 1015163 150 4803 1005022 050 226 025 075 25121998 906891 1004782 048 4818 1003123 031 023 010 015 01011999 914183 1008041 080 4823 1001038 010 064 001 008 08011999 983873 1076232 735 5453 1130624 1228 5397 15072 9019 15011999 989959 1006186 062 5624 1031359 309 038 953 190 22011999 1016140 1026447 261 5778 1027383 270 681 730 705 29011999 1105790 1088226 845 6642 1149533 1394 7149 19420 11782 05021999 1094590 0989871 -102 6304 0949112 -522 104 2728 532 12021999 1053620 0962570 -381 6355 1008090 081 1455 065 -307 19021999 1071770 1017226 171 6423 1010700 106 292 113 182 26021999 1055100 0984446 -157 6319 0983808 -163 246 266 256 05031999 1039860 0985556 -145 6159 0974680 -256 212 658 373 12031999 1041200 1001289 013 6081 0987336 -127 002 162 -016 19031999 1027650 0986986 -131 5959 0979938 -203 172 411 265 26031999 1031360 1003610 036 6047 1014768 147 013 215 053 02041999 1034930 1003461 035 6037 0998346 -017 012 003 -006 09041999 1024940 0990347 -097 6042 1000828 008 094 001 -008 16041999 1026450 1001473 015 6034 0998676 -013 002 002 -002 23041999 1038240 1011486 114 6082 1007955 079 130 063 090 30041999 1014430 0977067 -232 5916 0972706 -277 538 766 642 07051999 1027240 1012628 125 5243 0886241 -1208 157 14585 -1515 14051999 1015400 0988474 -116 5174 0986840 -132 134 176 154 21051999 1012050 0996701 -033 5148 0994975 -050 011 025 017 28051999 986598 0974851 -255 4951 0961733 -390 649 1522 994 04061999 977053 0990325 -097 4901 0989901 -102 095 103 099 11061999 1007370 1031029 306 5002 1020608 204 934 416 623 18061999 989166 0981929 -182 4900 0979608 -206 333 424 376 25061999 1026150 1037389 367 4738 0966939 -336 1347 1130 -1234 02071999 995282 0969919 -305 4663 0984171 -160 933 255 487 09071999 995600 1000320 003 4509 0966974 -336 000 1128 -011 16071999 1012170 1016643 165 4371 0969395 -311 272 966 -513 23071999 981962 0970155 -303 4098 0937543 -645 918 4159 1954 30071999 971997 0989852 -102 4109 1002684 027 104 007 -027 06081999 953229 0980691 -195 4005 0974690 -256 380 657 500 13081999 935049 0980928 -193 3845 0960050 -408 371 1662 785 20081999 944102 1009682 096 3963 1030689 302 093 914 291 27081999 935339 0990718 -093 3893 0982337 -178 087 318 166 03091999 928650 0992849 -072 3891 0999486 -005 052 000 004 10091999 923843 0994824 -052 3789 0973786 -266 027 706 138 17091999 936583 1013790 137 3763 0993138 -069 188 047 -094 24091999 963355 1028585 282 3753 0997343 -027 794 007 -075 01101999 964466 1001153 012 3711 0988809 -113 001 127 -013 08101999 1008430 1045584 446 3922 1056858 553 1987 3058 2465 15101999 1067340 1058418 568 4279 1091025 871 3223 7589 4946

Page 113

22101999 1019230 0954925 -461 3898 0910961 -933 2127 8697 4301 29101999 1038280 1018691 185 3904 1001539 015 343 002 028 05111999 1047550 1008928 089 3796 0972336 -281 079 787 -249 12111999 1071510 1022872 226 3961 1043467 425 511 1810 962 19111999 1077140 1005254 052 3784 0955314 -457 027 2090 -240 26111999 1104220 1025141 248 3784 1000000 000 617 000 000 03121999 1152250 1043497 426 3832 1012685 126 1813 159 537 10121999 1338690 1161805 1500 3911 1020616 204 22492 416 3060 17121999 1235780 0923126 -800 3701 0946305 -552 6398 3046 4415 24121999 1215240 0983379 -168 3733 1008646 086 281 074 -144 Sum -206 -5988 80467 169307 68883 Beta 085 Alpha -056 Std Dev Of Rndm Error Term 326 Std Error of Beta 0064 Std Error of Alpha 0178 Correlation Coefficient 060 Coefficient of Determination 035 Coefficient of Nondetermination 065

Page 114

Suez Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 6281 09011998 1222730 0985643 -145 6182 0984224 -159 209 253 230 16011998 1206630 0986833 -133 6105 0987500 -126 176 158 167 23011998 1187560 0984196 -159 6165 1009978 099 254 099 -158 30011998 1161970 0978452 -218 6047 0980832 -194 475 375 422 06021998 1152100 0991506 -085 6091 1007215 072 073 052 -061 13021998 1148570 0996936 -031 6229 1022686 224 009 503 -069 20021998 1154110 1004823 048 6444 1034443 339 023 1147 163 27021998 1152270 0998406 -016 6285 0975452 -249 003 618 040 06031998 1171950 1017079 169 6262 0996239 -038 287 014 -064 13031998 1177260 1004531 045 6445 1029182 288 020 827 130 20031998 1188570 1009607 096 6408 0994358 -057 091 032 -054 27031998 1200260 1009835 098 6630 1034614 340 096 1158 333 03041998 1197600 0997784 -022 6625 0999315 -007 005 000 002 10041998 1198900 1001086 011 6546 0988063 -120 001 144 -013 17041998 1195490 0997156 -028 6600 1008192 082 008 067 -023 24041998 1182420 0989067 -110 6565 0994767 -052 121 028 058 01051998 1176960 0995382 -046 6430 0979368 -208 021 435 096 08051998 1159590 0985242 -149 6389 0993638 -064 221 041 095 15051998 1129560 0974103 -262 6295 0985203 -149 688 222 391 22051998 1112340 0984755 -154 6343 1007654 076 236 058 -117 29051998 1073430 0965020 -356 6223 0981081 -191 1268 365 680 05061998 1045480 0973962 -264 6076 0976480 -238 696 567 628 12061998 1066480 1020086 199 6265 1031119 306 396 939 609 19061998 1032170 0967829 -327 5945 0948926 -524 1069 2748 1714 26061998 1030030 0997927 -021 5723 0962538 -382 004 1458 079 03071998 1002040 0972826 -276 5667 0990311 -097 759 095 268 10071998 982199 0980199 -200 5719 1009144 091 400 083 -182 17071998 970995 0988593 -115 5637 0985694 -144 132 208 165 24071998 995234 1024963 247 5716 1014030 139 608 194 344 31071998 1010220 1015058 149 5908 1033556 330 223 1089 493 07081998 986274 0976296 -240 5341 0903984 -1009 575 10190 2422 14081998 966470 0979920 -203 5001 0936340 -658 411 4327 1334 21081998 934316 0966730 -338 4818 0963463 -372 1145 1385 1259 28081998 901108 0964457 -362 4399 0913019 -910 1310 8281 3293 04091998 949019 1053169 518 4926 1119859 1132 2684 12815 5864 11091998 950397 1001452 015 4822 0978777 -215 002 460 -031 18091998 953342 1003099 031 4828 1001321 013 010 002 004 25091998 956663 1003484 035 4907 1016381 162 012 264 057 02101998 958912 1002351 023 4828 0983883 -162 006 264 -038 09101998 943251 0983668 -165 4774 0988702 -114 271 129 187 16101998 943963 1000755 008 4824 1010474 104 001 109 008 23101998 934640 0990124 -099 4885 1012627 125 099 157 -125

Page 115

30101998 918468 0982697 -175 4795 0981575 -186 305 346 325 06111998 913223 0994289 -057 4775 0995829 -042 033 017 024 13111998 917822 1005036 050 4811 1007615 076 025 058 038 20111998 917160 0999279 -007 4732 0983560 -166 001 275 012 27111998 906802 0988706 -114 4677 0988474 -116 129 134 132 04121998 902621 0995389 -046 4619 0987561 -125 021 157 058 11121998 889094 0985014 -151 4367 0945483 -561 228 3143 846 18121998 902575 1015163 150 4596 1052456 511 226 2614 769 25121998 906891 1004782 048 4605 1001978 020 023 004 009 01011999 914183 1008041 080 4655 1010659 106 064 112 085 08011999 983873 1076232 735 4995 1073047 705 5397 4971 5180 15011999 989959 1006186 062 4876 0976338 -239 038 573 -148 22011999 1016140 1026447 261 5126 1051268 500 681 2500 1305 29011999 1105790 1088226 845 6034 1176981 1630 7149 26554 13777 05021999 1094590 0989871 -102 5763 0955100 -459 104 2110 468 12021999 1053620 0962570 -381 5725 0993375 -066 1455 044 254 19021999 1071770 1017226 171 5715 0998412 -016 292 003 -027 26021999 1055100 0984446 -157 5588 0977732 -225 246 507 353 05031999 1039860 0985556 -145 5282 0945175 -564 212 3179 820 12031999 1041200 1001289 013 5364 1015491 154 002 236 020 19031999 1027650 0986986 -131 5218 0972882 -275 172 756 360 26031999 1031360 1003610 036 5188 0994251 -058 013 033 -021 02041999 1034930 1003461 035 5175 0997371 -026 012 007 -009 09041999 1024940 0990347 -097 5296 1023542 233 094 541 -226 16041999 1026450 1001473 015 5403 1020082 199 002 395 029 23041999 1038240 1011486 114 5538 1025073 248 130 613 283 30041999 1014430 0977067 -232 5345 0965035 -356 538 1267 826 07051999 1027240 1012628 125 4872 0911549 -926 157 8577 -1162 14051999 1015400 0988474 -116 4795 0984139 -160 134 256 185 21051999 1012050 0996701 -033 4788 0998673 -013 011 002 004 28051999 986598 0974851 -255 4597 0960129 -407 649 1655 1036 04061999 977053 0990325 -097 4459 0969943 -305 095 931 297 11061999 1007370 1031029 306 4551 1020589 204 934 415 623 18061999 989166 0981929 -182 4465 0981223 -190 333 359 346 25061999 1026150 1037389 367 4415 0988803 -113 1347 127 -413 02071999 995282 0969919 -305 4390 0994236 -058 933 033 177 09071999 995600 1000320 003 4541 1034374 338 000 1142 011 16071999 1012170 1016643 165 4731 1041842 410 272 1680 677 23071999 981962 0970155 -303 4431 0936587 -655 918 4292 1985 30071999 971997 0989852 -102 4508 1017441 173 104 299 -176 06081999 953229 0980691 -195 4393 0974389 -259 380 673 506 13081999 935049 0980928 -193 4378 0996690 -033 371 011 064 20081999 944102 1009682 096 4499 1027616 272 093 742 262 27081999 935339 0990718 -093 4428 0984239 -159 087 252 148 03091999 928650 0992849 -072 4394 0992198 -078 052 061 056 10091999 923843 0994824 -052 4399 1001243 012 027 002 -006 17091999 936583 1013790 137 4572 1039263 385 188 1483 527 24091999 963355 1028585 282 4614 1009147 091 794 083 257 01101999 964466 1001153 012 4598 0996651 -034 001 011 -004 08101999 1008430 1045584 446 4954 1077302 745 1987 5544 3319 15101999 1067340 1058418 568 5351 1080198 771 3223 5951 4380

Page 116

22101999 1019230 0954925 -461 4855 0907324 -973 2127 9459 4486 29101999 1038280 1018691 185 5099 1050257 490 343 2404 908 05111999 1047550 1008928 089 4932 0967248 -333 079 1109 -296 12111999 1071510 1022872 226 5022 1018248 181 511 327 409 19111999 1077140 1005254 052 5045 1004580 046 027 021 024 26111999 1104220 1025141 248 5039 0998811 -012 617 001 -030 03121999 1152250 1043497 426 5001 0992459 -076 1813 057 -322 10121999 1338690 1161805 1500 5898 1179364 1650 22492 27217 24742 17121999 1235780 0923126 -800 5044 0855205 -1564 6398 24465 12511 24121999 1215240 0983379 -168 5005 0992268 -078 281 060 130 Sum -206 -2271 80467 203211 101802 Beta 126 Alpha -020 Std Dev Of Rndm Error Term 271 Std Error of Beta 0058 Std Error of Alpha 0162 Correlation Coefficient 080 Coefficient of Determination 063 Coefficient of Nondetermination 037

Page 117

Tora Portland Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 7721 09011998 1222730 0985643 -145 7484 0969304 -312 209 972 451 16011998 1206630 0986833 -133 7332 0979690 -205 176 421 272 23011998 1187560 0984196 -159 7241 0987589 -125 254 156 199 30011998 1161970 0978452 -218 6892 0951802 -494 475 2440 1076 06021998 1152100 0991506 -085 6911 1002757 028 073 008 -023 13021998 1148570 0996936 -031 6628 0959051 -418 009 1748 128 20021998 1154110 1004823 048 6496 0980084 -201 023 405 -097 27021998 1152270 0998406 -016 6547 1007851 078 003 061 -012 06031998 1171950 1017079 169 6915 1056209 547 287 2991 926 13031998 1177260 1004531 045 6900 0997831 -022 020 005 -010 20031998 1188570 1009607 096 7245 1050000 488 091 2380 466 27031998 1200260 1009835 098 7362 1016149 160 096 257 157 03041998 1197600 0997784 -022 7424 1008422 084 005 070 -019 10041998 1198900 1001086 011 7369 0992592 -074 001 055 -008 17041998 1195490 0997156 -028 7439 1009499 095 008 089 -027 24041998 1182420 0989067 -110 7370 0990725 -093 121 087 102 01051998 1176960 0995382 -046 7190 0975577 -247 021 611 114 08051998 1159590 0985242 -149 6998 0973296 -271 221 733 402 15051998 1129560 0974103 -262 6701 0957559 -434 688 1881 1138 22051998 1112340 0984755 -154 6773 1010745 107 236 114 -164 29051998 1073430 0965020 -356 6524 0963236 -375 1268 1403 1334 05061998 1045480 0973962 -264 6652 1019620 194 696 378 -513 12061998 1066480 1020086 199 6450 0969633 -308 396 951 -613 19061998 1032170 0967829 -327 6015 0932558 -698 1069 4875 2283 26061998 1030030 0997927 -021 6099 1013965 139 004 192 -029 03071998 1002040 0972826 -276 5719 0937695 -643 759 4138 1772 10071998 982199 0980199 -200 5452 0953314 -478 400 2286 956 17071998 970995 0988593 -115 5518 1012106 120 132 145 -138 24071998 995234 1024963 247 6339 1148786 1387 608 19239 3420 31071998 1010220 1015058 149 6348 1001420 014 223 002 021 07081998 986274 0976296 -240 6187 0974638 -257 575 660 616 14081998 966470 0979920 -203 5842 0944238 -574 411 3292 1164 21081998 934316 0966730 -338 5852 1001712 017 1145 003 -058 28081998 901108 0964457 -362 5794 0990089 -100 1310 099 360 04091998 949019 1053169 518 6237 1076458 737 2684 5428 3817 11091998 950397 1001452 015 6181 0991021 -090 002 081 -013 18091998 953342 1003099 031 6247 1010678 106 010 113 033 25091998 956663 1003484 035 6276 1004642 046 012 021 016 02101998 958912 1002351 023 6504 1036329 357 006 1273 084 09101998 943251 0983668 -165 6388 0982165 -180 271 324 296 16101998 943963 1000755 008 6449 1009549 095 001 090 007 23101998 934640 0990124 -099 6437 0998139 -019 099 003 018

Page 118

30101998 918468 0982697 -175 5477 0850862 -1615 305 26084 2819 06111998 913223 0994289 -057 5695 1039803 390 033 1523 -224 13111998 917822 1005036 050 5717 1003863 039 025 015 019 20111998 917160 0999279 -007 5780 1011020 110 001 120 -008 27111998 906802 0988706 -114 5800 1003460 035 129 012 -039 04121998 902621 0995389 -046 5758 0992759 -073 021 053 034 11121998 889094 0985014 -151 5686 0987496 -126 228 158 190 18121998 902575 1015163 150 5811 1021984 217 226 473 327 25121998 906891 1004782 048 5790 0996386 -036 023 013 -017 01011999 914183 1008041 080 5835 1007772 077 064 060 062 08011999 983873 1076232 735 6729 1153213 1426 5397 20321 10473 15011999 989959 1006186 062 7063 1049636 484 038 2347 299 22011999 1016140 1026447 261 7230 1023644 234 681 546 610 29011999 1105790 1088226 845 7810 1080221 772 7149 5955 6524 05021999 1094590 0989871 -102 7362 0942638 -591 104 3490 601 12021999 1053620 0962570 -381 7597 1031921 314 1455 987 -1199 19021999 1071770 1017226 171 7512 0988811 -113 292 127 -192 26021999 1055100 0984446 -157 7157 0952742 -484 246 2344 759 05031999 1039860 0985556 -145 7118 0994551 -055 212 030 079 12031999 1041200 1001289 013 6991 0982158 -180 002 324 -023 19031999 1027650 0986986 -131 6635 0949077 -523 172 2732 685 26031999 1031360 1003610 036 6775 1021100 209 013 436 075 02041999 1034930 1003461 035 7124 1051513 502 012 2523 174 09041999 1024940 0990347 -097 7022 0985682 -144 094 208 140 16041999 1026450 1001473 015 6905 0983338 -168 002 282 -025 23041999 1038240 1011486 114 7024 1017234 171 130 292 195 30041999 1014430 0977067 -232 6869 0977933 -223 538 498 518 07051999 1027240 1012628 125 6601 0960984 -398 157 1584 -499 14051999 1015400 0988474 -116 6800 1030147 297 134 882 -344 21051999 1012050 0996701 -033 6846 1006765 067 011 045 -022 28051999 986598 0974851 -255 6700 0978674 -216 649 465 549 04061999 977053 0990325 -097 6655 0993284 -067 095 045 066 11061999 1007370 1031029 306 6719 1009617 096 934 092 292 18061999 989166 0981929 -182 6501 0967555 -330 333 1088 601 25061999 1026150 1037389 367 6122 0941701 -601 1347 3608 -2205 02071999 995282 0969919 -305 6043 0987096 -130 933 169 397 09071999 995600 1000320 003 6193 1024822 245 000 601 008 16071999 1012170 1016643 165 6396 1032779 323 272 1040 532 23071999 981962 0970155 -303 6000 0938086 -639 918 4085 1937 30071999 971997 0989852 -102 5756 0959333 -415 104 1724 423 06081999 953229 0980691 -195 5655 0982453 -177 380 313 345 13081999 935049 0980928 -193 5907 1044562 436 371 1901 -840 20081999 944102 1009682 096 5900 0998815 -012 093 001 -011 27081999 935339 0990718 -093 5947 1007966 079 087 063 -074 03091999 928650 0992849 -072 5787 0973096 -273 052 744 196 10091999 923843 0994824 -052 6140 1060999 592 027 3506 -307 17091999 936583 1013790 137 5901 0961075 -397 188 1576 -544 24091999 963355 1028585 282 6103 1034231 337 794 1133 949 01101999 964466 1001153 012 6460 1058496 568 001 3232 066 08101999 1008430 1045584 446 6783 1050000 488 1987 2380 2175 15101999 1067340 1058418 568 7012 1033761 332 3223 1102 1885

Page 119

22101999 1019230 0954925 -461 6597 0940816 -610 2127 3722 2814 29101999 1038280 1018691 185 6777 1027285 269 343 725 498 05111999 1047550 1008928 089 6745 0995278 -047 079 022 -042 12111999 1071510 1022872 226 6076 0900815 -1045 511 10911 -2362 19111999 1077140 1005254 052 6329 1041639 408 027 1664 214 26111999 1104220 1025141 248 6453 1019592 194 617 376 482 03121999 1152250 1043497 426 6847 1061057 593 1813 3512 2523 10121999 1338690 1161805 1500 7898 1153498 1428 22492 20392 21416 17121999 1235780 0923126 -800 6702 0848569 -1642 6398 26963 13135 24121999 1215240 0983379 -168 7092 1058192 566 281 3199 -948 Sum -206 -850 80467 235301 86067 Beta 107 Alpha -006 Std Dev Of Rndm Error Term 377 Std Error of Beta 0068 Std Error of Alpha 0191 Correlation Coefficient 063 Coefficient of Determination 039 Coefficient of Nondetermination 061

Page 120

Upper Egypt Flour Mills

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5639 09011998 1222730 0985643 -145 5422 0961518 -392 209 1540 567 16011998 1206630 0986833 -133 4928 0908890 -955 176 9126 1266 23011998 1187560 0984196 -159 5053 1025365 250 254 627 -399 30011998 1161970 0978452 -218 5003 0990105 -099 475 099 217 06021998 1152100 0991506 -085 5096 1018589 184 073 339 -157 13021998 1148570 0996936 -031 5381 1055926 544 009 2961 -167 20021998 1154110 1004823 048 5859 1088831 851 023 7243 410 27021998 1152270 0998406 -016 5911 1008875 088 003 078 -014 06031998 1171950 1017079 169 6392 1081374 782 287 6120 1325 13031998 1177260 1004531 045 5999 0938517 -635 020 4026 -287 20031998 1188570 1009607 096 6168 1028171 278 091 772 266 27031998 1200260 1009835 098 6226 1009403 094 096 088 092 03041998 1197600 0997784 -022 6071 0975104 -252 005 636 056 10041998 1198900 1001086 011 6025 0992423 -076 001 058 -008 17041998 1195490 0997156 -028 6051 1004315 043 008 019 -012 24041998 1182420 0989067 -110 5819 0961659 -391 121 1528 430 01051998 1176960 0995382 -046 6052 1040041 393 021 1541 -182 08051998 1159590 0985242 -149 5933 0980337 -199 221 394 295 15051998 1129560 0974103 -262 5637 0950110 -512 688 2619 1343 22051998 1112340 0984755 -154 5238 0929218 -734 236 5389 1128 29051998 1073430 0965020 -356 4877 0931081 -714 1268 5099 2543 05061998 1045480 0973962 -264 4595 0942178 -596 696 3548 1571 12061998 1066480 1020086 199 4822 1049402 482 396 2325 959 19061998 1032170 0967829 -327 4818 0999170 -008 1069 001 027 26061998 1030030 0997927 -021 4795 0995226 -048 004 023 010 03071998 1002040 0972826 -276 4704 0981022 -192 759 367 528 10071998 982199 0980199 -200 4538 0964711 -359 400 1291 719 17071998 970995 0988593 -115 4544 1001322 013 132 002 -015 24071998 995234 1024963 247 4802 1056778 552 608 3050 1362 31071998 1010220 1015058 149 4983 1037693 370 223 1369 553 07081998 986274 0976296 -240 4698 0942806 -589 575 3469 1413 14081998 966470 0979920 -203 4825 1027033 267 411 711 -541 21081998 934316 0966730 -338 4695 0973057 -273 1145 746 924 28081998 901108 0964457 -362 4556 0970394 -301 1310 903 1088 04091998 949019 1053169 518 4795 1052458 511 2684 2614 2649 11091998 950397 1001452 015 4758 0992284 -077 002 060 -011 18091998 953342 1003099 031 4654 0978142 -221 010 488 -068 25091998 956663 1003484 035 4554 0978513 -217 012 472 -076 02101998 958912 1002351 023 4558 1000878 009 006 001 002 09101998 943251 0983668 -165 4223 0926503 -763 271 5828 1257 16101998 943963 1000755 008 4294 1016813 167 001 278 013 23101998 934640 0990124 -099 3931 0915463 -883 099 7801 877

Page 121

30101998 918468 0982697 -175 3658 0930552 -720 305 5181 1256 06111998 913223 0994289 -057 3086 0843630 -1700 033 28914 974 13111998 917822 1005036 050 3419 1107907 1025 025 10501 515 20111998 917160 0999279 -007 3452 1009652 096 001 092 -007 27111998 906802 0988706 -114 3318 0961182 -396 129 1567 450 04121998 902621 0995389 -046 3434 1034961 344 021 1181 -159 11121998 889094 0985014 -151 3437 1000874 009 228 001 -013 18121998 902575 1015163 150 3427 0997090 -029 226 008 -044 25121998 906891 1004782 048 36 1050481 492 023 2425 235 01011999 914183 1008041 080 3632 1008889 088 064 078 071 08011999 983873 1076232 735 4372 1203744 1854 5397 34387 13623 15011999 989959 1006186 062 4225 0966377 -342 038 1170 -211 22011999 1016140 1026447 261 4397 1040710 399 681 1592 1042 29011999 1105790 1088226 845 4738 1077553 747 7149 5579 6315 05021999 1094590 0989871 -102 4727 0997678 -023 104 005 024 12021999 1053620 0962570 -381 4519 0955997 -450 1455 2025 1717 19021999 1071770 1017226 171 4765 1054437 530 292 2810 905 26021999 1055100 0984446 -157 4714 0989297 -108 246 116 169 05031999 1039860 0985556 -145 4612 0978362 -219 212 479 318 12031999 1041200 1001289 013 4423 0959020 -418 002 1751 -054 19031999 1027650 0986986 -131 4462 1008818 088 172 077 -115 26031999 1031360 1003610 036 4586 1027790 274 013 751 099 02041999 1034930 1003461 035 4396 0958570 -423 012 1790 -146 09041999 1024940 0990347 -097 4152 0944495 -571 094 3261 554 16041999 1026450 1001473 015 3972 0956647 -443 002 1964 -065 23041999 1038240 1011486 114 3902 0982377 -178 130 316 -203 30041999 1014430 0977067 -232 3653 0936187 -659 538 4348 1530 07051999 1027240 1012628 125 3754 1027649 273 157 744 342 14051999 1015400 0988474 -116 3486 0928609 -741 134 5486 859 21051999 1012050 0996701 -033 3339 0957831 -431 011 1856 142 28051999 986598 0974851 -255 3213 0962264 -385 649 1480 980 04061999 977053 0990325 -097 3207 0998133 -019 095 003 018 11061999 1007370 1031029 306 3423 1067353 652 934 4249 1992 18061999 989166 0981929 -182 3325 0971370 -290 333 844 530 25061999 1026150 1037389 367 2992 0899850 -1055 1347 11136 -3874 02071999 995282 0969919 -305 3089 1032420 319 933 1018 -974 09071999 995600 1000320 003 2968 0960829 -400 000 1597 -013 16071999 1012170 1016643 165 3195 1076482 737 272 5432 1216 23071999 981962 0970155 -303 315 0985915 -142 918 201 430 30071999 971997 0989852 -102 3035 0963492 -372 104 1383 379 06081999 953229 0980691 -195 2889 0951895 -493 380 2431 961 13081999 935049 0980928 -193 2757 0954309 -468 371 2187 901 20081999 944102 1009682 096 2792 1012695 126 093 159 122 27081999 935339 0990718 -093 2859 1023997 237 087 562 -221 03091999 928650 0992849 -072 282 0986359 -137 052 189 099 10091999 923843 0994824 -052 3108 1102128 972 027 9456 -505 17091999 936583 1013790 137 3008 0967825 -327 188 1070 -448 24091999 963355 1028585 282 3016 1002660 027 794 007 075 01101999 964466 1001153 012 3017 1000332 003 001 000 000 08101999 1008430 1045584 446 3245 1075572 729 1987 5307 3247 15101999 1067340 1058418 568 3413 1051772 505 3223 2548 2866

Page 122

22101999 1019230 0954925 -461 3195 0936127 -660 2127 4357 3044 29101999 1038280 1018691 185 3256 1019092 189 343 358 350 05111999 1047550 1008928 089 2663 0817875 -2010 079 40420 -1787 12111999 1071510 1022872 226 2813 1056327 548 511 3003 1239 19111999 1077140 1005254 052 2776 0986847 -132 027 175 -069 26111999 1104220 1025141 248 2755 0992435 -076 617 058 -189 03121999 1152250 1043497 426 273 0990926 -091 1813 083 -388 10121999 1338690 1161805 1500 2777 1017216 171 22492 291 2560 17121999 1235780 0923126 -800 2606 0938423 -636 6398 4039 5084 24121999 1215240 0983379 -168 2553 0979662 -205 281 422 344 Sum -206 -7924 80467 310570 70040 Beta 087 Alpha -075 Std Dev Of Rndm Error Term 491 Std Error of Beta 0078 Std Error of Alpha 0218 Correlation Coefficient 045 Coefficient of Determination 020 Coefficient of Nondetermination 080

Page 123

Nasr City for Housing and Development

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 10973 09011998 1222730 0985643 -145 10724 0977262 -230 209 529 333 16011998 1206630 0986833 -133 10722 0999860 -001 176 000 002 23011998 1187560 0984196 -159 10612 0989741 -103 254 106 164 30011998 1161970 0978452 -218 10569 0995901 -041 475 017 089 06021998 1152100 0991506 -085 10372 0981360 -188 073 354 161 13021998 1148570 0996936 -031 10075 0971412 -290 009 841 089 20021998 1154110 1004823 048 9827 0975385 -249 023 621 -120 27021998 1152270 0998406 -016 10000 1017605 175 003 305 -028 06031998 1171950 1017079 169 10182 1018200 180 287 325 305 13031998 1177260 1004531 045 10080 0989933 -101 020 102 -046 20031998 1188570 1009607 096 10299 1021777 215 091 464 206 27031998 1200260 1009835 098 10688 1037722 370 096 1371 362 03041998 1197600 0997784 -022 10585 0990409 -096 005 093 021 10041998 1198900 1001086 011 10642 1005385 054 001 029 006 17041998 1195490 0997156 -028 10648 1000564 006 008 000 -002 24041998 1182420 0989067 -110 10613 0996713 -033 121 011 036 01051998 1176960 0995382 -046 10470 0986479 -136 021 185 063 08051998 1159590 0985242 -149 10393 0992645 -074 221 054 110 15051998 1129560 0974103 -262 10092 0971037 -294 688 864 771 22051998 1112340 0984755 -154 9631 0954368 -467 236 2181 718 29051998 1073430 0965020 -356 9625 0999377 -006 1268 000 022 05061998 1045480 0973962 -264 9140 0949558 -518 696 2679 1366 12061998 1066480 1020086 199 9153 1001422 014 396 002 028 19061998 1032170 0967829 -327 8790 0960393 -404 1069 1633 1321 26061998 1030030 0997927 -021 8353 0950284 -510 004 2600 106 03071998 1002040 0972826 -276 8133 0973662 -267 759 712 735 10071998 982199 0980199 -200 7391 0908705 -957 400 9165 1915 17071998 970995 0988593 -115 6762 0914958 -889 132 7899 1020 24071998 995234 1024963 247 7760 1147516 1376 608 18934 3393 31071998 1010220 1015058 149 8084 1041820 410 223 1678 612 07081998 986274 0976296 -240 7844 0970250 -302 575 912 725 14081998 966470 0979920 -203 7377 0940524 -613 411 3760 1244 21081998 934316 0966730 -338 7071 0958520 -424 1145 1795 1433 28081998 901108 0964457 -362 6804 0962169 -386 1310 1487 1396 04091998 949019 1053169 518 7267 1068127 659 2684 4344 3414 11091998 950397 1001452 015 7367 1013761 137 002 187 020 18091998 953342 1003099 031 7295 0990227 -098 010 096 -030 25091998 956663 1003484 035 7445 1020493 203 012 412 071 02101998 958912 1002351 023 7439 0999261 -007 006 001 -002 09101998 943251 0983668 -165 7179 0964982 -356 271 1271 587 16101998 943963 1000755 008 6238 0868914 -1405 001 19743 -106 23101998 934640 0990124 -099 6142 0984689 -154 099 238 153

Page 124

30101998 918468 0982697 -175 5338 0869098 -1403 305 19684 2449 06111998 913223 0994289 -057 5694 1066692 646 033 4168 -370 13111998 917822 1005036 050 5300 0930717 -718 025 5155 -361 20111998 917160 0999279 -007 5102 0962732 -380 001 1442 027 27111998 906802 0988706 -114 5148 1009016 090 129 081 -102 04121998 902621 0995389 -046 5135 0997378 -026 021 007 012 11121998 889094 0985014 -151 5151 1003214 032 228 010 -048 18121998 902575 1015163 150 5143 0998350 -017 226 003 -025 25121998 906891 1004782 048 5115 0994555 -055 023 030 -026 01011999 914183 1008041 080 5153 1007430 074 064 055 059 08011999 983873 1076232 735 5576 1082193 790 5397 6239 5803 15011999 989959 1006186 062 5613 1006546 065 038 043 040 22011999 1016140 1026447 261 5728 1020579 204 681 415 532 29011999 1105790 1088226 845 6809 1188722 1729 7149 29887 14617 05021999 1094590 0989871 -102 6457 0948304 -531 104 2818 540 12021999 1053620 0962570 -381 5937 0919390 -840 1455 7064 3206 19021999 1071770 1017226 171 6268 1055757 543 292 2944 927 26021999 1055100 0984446 -157 6139 0979418 -208 246 433 326 05031999 1039860 0985556 -145 5772 0940295 -616 212 3790 896 12031999 1041200 1001289 013 5590 0968468 -320 002 1027 -041 19031999 1027650 0986986 -131 5457 0976208 -241 172 580 315 26031999 1031360 1003610 036 5352 0980667 -195 013 381 -070 02041999 1034930 1003461 035 5509 1029431 290 012 841 100 09041999 1024940 0990347 -097 5325 0966509 -341 094 1160 330 16041999 1026450 1001473 015 5518 1036248 356 002 1268 052 23041999 1038240 1011486 114 5388 0976439 -238 130 569 -272 30041999 1014430 0977067 -232 5212 0967332 -332 538 1103 771 07051999 1027240 1012628 125 4940 0947904 -535 157 2863 -671 14051999 1015400 0988474 -116 4499 0910628 -936 134 8765 1085 21051999 1012050 0996701 -033 4500 1000333 003 011 000 -001 28051999 986598 0974851 -255 4500 1000000 000 649 000 000 04061999 977053 0990325 -097 4333 0962889 -378 095 1430 368 11061999 1007370 1031029 306 4221 0974152 -262 934 686 -800 18061999 989166 0981929 -182 4025 0953566 -475 333 2261 867 25061999 1026150 1037389 367 3968 0985839 -143 1347 203 -524 02071999 995282 0969919 -305 3726 0939012 -629 933 3960 1922 09071999 995600 1000320 003 3789 1016908 168 000 281 005 16071999 1012170 1016643 165 3853 1016891 167 272 281 276 23071999 981962 0970155 -303 3912 1015313 152 918 231 -460 30071999 971997 0989852 -102 3837 0980828 -194 104 375 197 06081999 953229 0980691 -195 3903 1017201 171 380 291 -333 13081999 935049 0980928 -193 3854 0987446 -126 371 160 243 20081999 944102 1009682 096 3753 0973793 -266 093 705 -256 27081999 935339 0990718 -093 3598 0958700 -422 087 1779 393 03091999 928650 0992849 -072 3562 0989994 -101 052 101 072 10091999 923843 0994824 -052 3546 0995508 -045 027 020 023 17091999 936583 1013790 137 3765 1061760 599 188 3591 821 24091999 963355 1028585 282 3903 1036653 360 794 1296 1015 01101999 964466 1001153 012 3791 0971304 -291 001 848 -034 08101999 1008430 1045584 446 4114 1085202 818 1987 6686 3645 15101999 1067340 1058418 568 4367 1061497 597 3223 3562 3388

Page 125

22101999 1019230 0954925 -461 4218 0965880 -347 2127 1205 1601 29101999 1038280 1018691 185 3687 0874111 -1345 343 18103 -2492 05111999 1047550 1008928 089 3487 0945755 -558 079 3110 -496 12111999 1071510 1022872 226 3549 1017780 176 511 311 399 19111999 1077140 1005254 052 3567 1005072 051 027 026 027 26111999 1104220 1025141 248 3356 0940847 -610 617 3718 -1514 03121999 1152250 1043497 426 3546 1056615 551 1813 3033 2345 10121999 1338690 1161805 1500 3498 0986464 -136 22492 186 -2044 17121999 1235780 0923126 -800 3611 1032304 318 6398 1011 -2543 24121999 1215240 0983379 -168 3308 0916090 -876 281 7681 1469 Sum -206 -11991 80467 257954 60346 Beta 075 Alpha -115 Std Dev Of Rndm Error Term 444 Std Error of Beta 0074 Std Error of Alpha 0208 Correlation Coefficient 043 Coefficient of Determination 018 Coefficient of Nondetermination 082

Page 126

Abu Keir for Fertilisers

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8459 09011998 1222730 0985643 -145 8438 0997517 -025 209 006 036 16011998 1206630 0986833 -133 8022 0950699 -506 176 2556 670 23011998 1187560 0984196 -159 7874 0981551 -186 254 347 297 30011998 1161970 0978452 -218 783 0994412 -056 475 031 122 06021998 1152100 0991506 -085 774 0988506 -116 073 134 099 13021998 1148570 0996936 -031 7632 0986047 -141 009 197 043 20021998 1154110 1004823 048 7711 1010351 103 023 106 050 27021998 1152270 0998406 -016 7744 1004280 043 003 018 -007 06031998 1171950 1017079 169 7716 0996384 -036 287 013 -061 13031998 1177260 1004531 045 7685 0995982 -040 020 016 -018 20031998 1188570 1009607 096 7453 0969811 -307 091 940 -293 27031998 1200260 1009835 098 7287 0977727 -225 096 507 -220 03041998 1197600 0997784 -022 7419 1018114 180 005 322 -040 10041998 1198900 1001086 011 7419 1000000 000 001 000 000 17041998 1195490 0997156 -028 7402 0997709 -023 008 005 007 24041998 1182420 0989067 -110 7369 0995542 -045 121 020 049 01051998 1176960 0995382 -046 7358 0998507 -015 021 002 007 08051998 1159590 0985242 -149 733 0996195 -038 221 015 057 15051998 1129560 0974103 -262 7246 0988540 -115 688 133 302 22051998 1112340 0984755 -154 7037 0971157 -293 236 857 450 29051998 1073430 0965020 -356 6648 0944721 -569 1268 3234 2025 05061998 1045480 0973962 -264 6775 1019103 189 696 358 -499 12061998 1066480 1020086 199 7001 1033358 328 396 1077 653 19061998 1032170 0967829 -327 6614 0944722 -569 1069 3234 1859 26061998 1030030 0997927 -021 6678 1009676 096 004 093 -020 03071998 1002040 0972826 -276 6351 0951033 -502 759 2521 1383 10071998 982199 0980199 -200 6234 0981578 -186 400 346 372 17071998 970995 0988593 -115 6126 0982676 -175 132 305 200 24071998 995234 1024963 247 6178 1008488 085 608 071 208 31071998 1010220 1015058 149 6189 1001781 018 223 003 027 07081998 986274 0976296 -240 6026 0973663 -267 575 712 640 14081998 966470 0979920 -203 5796 0961832 -389 411 1514 789 21081998 934316 0966730 -338 5415 0934265 -680 1145 4623 2301 28081998 901108 0964457 -362 5395 0996307 -037 1310 014 134 04091998 949019 1053169 518 5648 1046895 458 2684 2100 2374 11091998 950397 1001452 015 5801 1027089 267 002 714 039 18091998 953342 1003099 031 5755 0992070 -080 010 063 -025 25091998 956663 1003484 035 5834 1013727 136 012 186 047 02101998 958912 1002351 023 598 1025026 247 006 611 058 09101998 943251 0983668 -165 6272 1048829 477 271 2273 -785 16101998 943963 1000755 008 6497 1035874 352 001 1242 027 23101998 934640 0990124 -099 5815 0895028 -1109 099 12299 1101

Page 127

30101998 918468 0982697 -175 6326 1087876 842 305 7094 -1470 06111998 913223 0994289 -057 6336 1001581 016 033 002 -009 13111998 917822 1005036 050 6338 1000316 003 025 000 002 20111998 917160 0999279 -007 6471 1020985 208 001 431 -015 27111998 906802 0988706 -114 6366 0983774 -164 129 268 186 04121998 902621 0995389 -046 6304 0990261 -098 021 096 045 11121998 889094 0985014 -151 6247 0990958 -091 228 083 137 18121998 902575 1015163 150 6103 0976949 -233 226 544 -351 25121998 906891 1004782 048 6092 0998198 -018 023 003 -009 01011999 914183 1008041 080 6117 1004104 041 064 017 033 08011999 983873 1076232 735 6219 1016675 165 5397 273 1215 15011999 989959 1006186 062 6122 0984403 -157 038 247 -097 22011999 1016140 1026447 261 606 0989873 -102 681 104 -266 29011999 1105790 1088226 845 6213 1025248 249 7149 622 2108 05021999 1094590 0989871 -102 6163 0991952 -081 104 065 082 12021999 1053620 0962570 -381 5805 0941911 -598 1455 3581 2283 19021999 1071770 1017226 171 5799 0998966 -010 292 001 -018 26021999 1055100 0984446 -157 5871 1012416 123 246 152 -193 05031999 1039860 0985556 -145 5798 0987566 -125 212 157 182 12031999 1041200 1001289 013 5796 0999655 -003 002 000 -000 19031999 1027650 0986986 -131 5793 0999482 -005 172 000 007 26031999 1031360 1003610 036 5818 1004316 043 013 019 016 02041999 1034930 1003461 035 575 0988312 -118 012 138 -041 09041999 1024940 0990347 -097 5542 0963826 -368 094 1358 357 16041999 1026450 1001473 015 5438 0981234 -189 002 359 -028 23041999 1038240 1011486 114 5387 0990622 -094 130 089 -108 30041999 1014430 0977067 -232 5017 0931316 -712 538 5063 1651 07051999 1027240 1012628 125 4687 0934224 -680 157 4629 -854 14051999 1015400 0988474 -116 4446 0948581 -528 134 2787 612 21051999 1012050 0996701 -033 4741 1066352 642 011 4127 -212 28051999 986598 0974851 -255 4599 0970049 -304 649 925 775 04061999 977053 0990325 -097 4223 0918243 -853 095 7275 829 11061999 1007370 1031029 306 4203 0995264 -047 934 023 -145 18061999 989166 0981929 -182 3721 0885320 -1218 333 14837 2221 25061999 1026150 1037389 367 4174 1121741 1149 1347 13198 4217 02071999 995282 0969919 -305 4198 1005750 057 933 033 -175 09071999 995600 1000320 003 4374 1041925 411 000 1687 013 16071999 1012170 1016643 165 4243 0970050 -304 272 925 -502 23071999 981962 0970155 -303 4127 0972661 -277 918 768 840 30071999 971997 0989852 -102 40 0969227 -313 104 977 319 06081999 953229 0980691 -195 3788 0947000 -545 380 2965 1062 13081999 935049 0980928 -193 3854 1017423 173 371 298 -333 20081999 944102 1009682 096 3981 1032953 324 093 1051 312 27081999 935339 0990718 -093 4149 1042200 413 087 1709 -385 03091999 928650 0992849 -072 415 1000241 002 052 000 -002 10091999 923843 0994824 -052 4138 0997108 -029 027 008 015 17091999 936583 1013790 137 3927 0949009 -523 188 2739 -717 24091999 963355 1028585 282 4096 1043035 421 794 1775 1188 01101999 964466 1001153 012 4043 0987061 -130 001 170 -015 08101999 1008430 1045584 446 4059 1003957 039 1987 016 176 15101999 1067340 1058418 568 4054 0998768 -012 3223 002 -070

Page 128

22101999 1019230 0954925 -461 3984 0982733 -174 2127 303 803 29101999 1038280 1018691 185 3268 0820281 -1981 343 39247 -3669 05111999 1047550 1008928 089 3201 0979498 -207 079 429 -184 12111999 1071510 1022872 226 3164 0988441 -116 511 135 -263 19111999 1077140 1005254 052 298 0941846 -599 027 3590 -314 26111999 1104220 1025141 248 2952 0990604 -094 617 089 -234 03121999 1152250 1043497 426 2998 1015583 155 1813 239 658 10121999 1338690 1161805 1500 326 1087392 838 22492 7019 12565 17121999 1235780 0923126 -800 3303 1013190 131 6398 172 -1048 24121999 1215240 0983379 -168 3165 0958220 -427 281 1821 715 Sum -206 -9831 80467 180553 38354 Beta 047 Alpha -094 Std Dev Of Rndm Error Term 389 Std Error of Beta 0070 Std Error of Alpha 0194 Correlation Coefficient 033 Coefficient of Determination 011 Coefficient of Nondetermination 089

Page 129

Egyptian Financial and Industrial

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 10251 09011998 1222730 0985643 -145 10199 0994879 -051 209 026 074 16011998 1206630 0986833 -133 10039 0984311 -158 176 250 210 23011998 1187560 0984196 -159 10021 0998257 -017 254 003 028 30011998 1161970 0978452 -218 9630 0960982 -398 475 1584 867 06021998 1152100 0991506 -085 9051 0939875 -620 073 3845 529 13021998 1148570 0996936 -031 8848 0977572 -227 009 515 070 20021998 1154110 1004823 048 8823 0997175 -028 023 008 -014 27021998 1152270 0998406 -016 8847 1002720 027 003 007 -004 06031998 1171950 1017079 169 8405 0950040 -513 287 2627 -868 13031998 1177260 1004531 045 8903 1059191 575 020 3307 260 20031998 1188570 1009607 096 9174 1030497 300 091 902 287 27031998 1200260 1009835 098 9387 1023218 230 096 527 225 03041998 1197600 0997784 -022 9448 1006498 065 005 042 -014 10041998 1198900 1001086 011 9569 1012754 127 001 161 014 17041998 1195490 0997156 -028 9600 1003292 033 008 011 -009 24041998 1182420 0989067 -110 9581 0998021 -020 121 004 022 01051998 1176960 0995382 -046 9600 1001983 020 021 004 -009 08051998 1159590 0985242 -149 9449 0984271 -159 221 251 236 15051998 1129560 0974103 -262 9370 0991639 -084 688 070 220 22051998 1112340 0984755 -154 8661 0924333 -787 236 6191 1209 29051998 1073430 0965020 -356 8478 0978871 -214 1268 456 760 05061998 1045480 0973962 -264 8321 0981481 -187 696 349 493 12061998 1066480 1020086 199 8270 0993871 -061 396 038 -122 19061998 1032170 0967829 -327 7944 0960580 -402 1069 1617 1315 26061998 1030030 0997927 -021 7651 0963117 -376 004 1412 078 03071998 1002040 0972826 -276 7211 0942491 -592 759 3508 1632 10071998 982199 0980199 -200 6744 0935238 -670 400 4483 1339 17071998 970995 0988593 -115 6608 0979834 -204 132 415 234 24071998 995234 1024963 247 6082 0920400 -829 608 6880 -2045 31071998 1010220 1015058 149 6169 1014305 142 223 202 212 07081998 986274 0976296 -240 5979 0969201 -313 575 979 750 14081998 966470 0979920 -203 6034 1009199 092 411 084 -186 21081998 934316 0966730 -338 5803 0961717 -390 1145 1524 1321 28081998 901108 0964457 -362 5608 0966397 -342 1310 1168 1237 04091998 949019 1053169 518 5944 1059914 582 2684 3386 3014 11091998 950397 1001452 015 5724 0962988 -377 002 1422 -055 18091998 953342 1003099 031 5754 1005241 052 010 027 016 25091998 956663 1003484 035 5906 1026416 261 012 680 091 02101998 958912 1002351 023 6025 1020149 199 006 398 047 09101998 943251 0983668 -165 5959 0989046 -110 271 121 181 16101998 943963 1000755 008 5913 0992281 -077 001 060 -006 23101998 934640 0990124 -099 5860 0991037 -090 099 081 089

Page 130

30101998 918468 0982697 -175 5867 1001195 012 305 001 -021 06111998 913223 0994289 -057 5824 0992671 -074 033 054 042 13111998 917822 1005036 050 5777 0991930 -081 025 066 -041 20111998 917160 0999279 -007 5775 0999654 -003 001 000 000 27111998 906802 0988706 -114 5766 0998442 -016 129 002 018 04121998 902621 0995389 -046 5767 1000173 002 021 000 -001 11121998 889094 0985014 -151 5724 0992544 -075 228 056 113 18121998 902575 1015163 150 5676 0991614 -084 226 071 -127 25121998 906891 1004782 048 5625 0991015 -090 023 081 -043 01011999 914183 1008041 080 5627 1000356 004 064 000 003 08011999 983873 1076232 735 5876 1044251 433 5397 1875 3181 15011999 989959 1006186 062 5944 1011572 115 038 132 071 22011999 1016140 1026447 261 6172 1038358 376 681 1417 983 29011999 1105790 1088226 845 6828 1106286 1010 7149 10203 8540 05021999 1094590 0989871 -102 6460 0946104 -554 104 3069 564 12021999 1053620 0962570 -381 6061 0938235 -638 1455 4065 2432 19021999 1071770 1017226 171 6023 0993730 -063 292 040 -107 26021999 1055100 0984446 -157 5949 0987714 -124 246 153 194 05031999 1039860 0985556 -145 5656 0950748 -505 212 2551 735 12031999 1041200 1001289 013 5642 0997525 -025 002 006 -003 19031999 1027650 0986986 -131 5620 0996101 -039 172 015 051 26031999 1031360 1003610 036 5488 0976512 -238 013 565 -086 02041999 1034930 1003461 035 5568 1014577 145 012 209 050 09041999 1024940 0990347 -097 5498 0987428 -127 094 160 123 16041999 1026450 1001473 015 5354 0973809 -265 002 704 -039 23041999 1038240 1011486 114 5442 1016436 163 130 266 186 30041999 1014430 0977067 -232 5266 0967659 -329 538 1081 763 07051999 1027240 1012628 125 5229 0992974 -071 157 050 -088 14051999 1015400 0988474 -116 5022 0960413 -404 134 1631 468 21051999 1012050 0996701 -033 5134 1022302 221 011 487 -073 28051999 986598 0974851 -255 4781 0931243 -712 649 5074 1814 04061999 977053 0990325 -097 4664 0975528 -248 095 614 241 11061999 1007370 1031029 306 4637 0994211 -058 934 034 -177 18061999 989166 0981929 -182 4442 0957947 -430 333 1846 783 25061999 1026150 1037389 367 4289 0965556 -351 1347 1229 -1287 02071999 995282 0969919 -305 4239 0988342 -117 933 138 358 09071999 995600 1000320 003 4152 0979476 -207 000 430 -007 16071999 1012170 1016643 165 3782 0910886 -933 272 8712 -1541 23071999 981962 0970155 -303 3657 0966949 -336 918 1130 1018 30071999 971997 0989852 -102 3748 1024884 246 104 604 -251 06081999 953229 0980691 -195 3672 0979723 -205 380 420 399 13081999 935049 0980928 -193 3575 0973584 -268 371 717 516 20081999 944102 1009682 096 3472 0971189 -292 093 855 -282 27081999 935339 0990718 -093 3472 1000000 000 087 000 000 03091999 928650 0992849 -072 3320 0956221 -448 052 2004 321 10091999 923843 0994824 -052 3207 0965964 -346 027 1199 180 17091999 936583 1013790 137 3166 0987215 -129 188 166 -176 24091999 963355 1028585 282 3189 1007265 072 794 052 204 01101999 964466 1001153 012 3150 0987770 -123 001 151 -014 08101999 1008430 1045584 446 3336 1059048 574 1987 3291 2557 15101999 1067340 1058418 568 3445 1032674 322 3223 1034 1825

Page 131

22101999 1019230 0954925 -461 3200 0928882 -738 2127 5442 3403 29101999 1038280 1018691 185 3210 1003125 031 343 010 058 05111999 1047550 1008928 089 2864 0892212 -1141 079 13008 -1014 12111999 1071510 1022872 226 2820 0984637 -155 511 240 -350 19111999 1077140 1005254 052 2828 1002837 028 027 008 015 26111999 1104220 1025141 248 2758 0975248 -251 617 628 -622 03121999 1152250 1043497 426 2796 1013778 137 1813 187 583 10121999 1338690 1161805 1500 3185 1139127 1303 22492 16968 19536 17121999 1235780 0923126 -800 2840 0891680 -1146 6398 13144 9171 24121999 1215240 0983379 -168 2754 0969718 -307 281 946 515 Sum -206 -13143 80467 158917 69392 Beta 086 Alpha -126 Std Dev Of Rndm Error Term 286 Std Error of Beta 0060 Std Error of Alpha 0167 Correlation Coefficient 065 Coefficient of Determination 042 Coefficient of Nondetermination 058

Page 132

Paints and Chemical Industries (PACHIN)

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5386 09011998 1222730 0985643 -145 5201 0965649 -350 209 1222 505 16011998 1206630 0986833 -133 5121 0984617 -155 176 240 205 23011998 1187560 0984196 -159 4640 0906162 -985 254 9710 1570 30011998 1161970 0978452 -218 4846 1044289 433 475 1878 -944 06021998 1152100 0991506 -085 4850 1000929 009 073 001 -008 13021998 1148570 0996936 -031 5240 1080412 773 009 5982 -237 20021998 1154110 1004823 048 5664 1080821 777 023 6040 374 27021998 1152270 0998406 -016 5648 0997263 -027 003 008 004 06031998 1171950 1017079 169 5709 1010800 107 287 115 182 13031998 1177260 1004531 045 5779 1012261 122 020 149 055 20031998 1188570 1009607 096 5835 1009690 096 091 093 092 27031998 1200260 1009835 098 5800 0994002 -060 096 036 -059 03041998 1197600 0997784 -022 5792 0998621 -014 005 002 003 10041998 1198900 1001086 011 5752 0993094 -069 001 048 -008 17041998 1195490 0997156 -028 5745 0998696 -013 008 002 004 24041998 1182420 0989067 -110 5743 0999652 -003 121 000 004 01051998 1176960 0995382 -046 5613 0977362 -229 021 524 106 08051998 1159590 0985242 -149 5750 1024410 241 221 582 -359 15051998 1129560 0974103 -262 5637 0980433 -198 688 390 518 22051998 1112340 0984755 -154 5338 0946869 -546 236 2981 839 29051998 1073430 0965020 -356 4772 0893958 -1121 1268 12566 3991 05061998 1045480 0973962 -264 4966 1040763 400 696 1596 -1054 12061998 1066480 1020086 199 5150 1037052 364 396 1324 724 19061998 1032170 0967829 -327 5184 1006602 066 1069 043 -215 26061998 1030030 0997927 -021 5013 0966917 -336 004 1132 070 03071998 1002040 0972826 -276 4836 0964688 -360 759 1292 990 10071998 982199 0980199 -200 4713 0974563 -258 400 664 515 17071998 970995 0988593 -115 4750 1007851 078 132 061 -090 24071998 995234 1024963 247 4797 1009896 098 608 097 243 31071998 1010220 1015058 149 4789 0998332 -017 223 003 -025 07081998 986274 0976296 -240 4700 0981414 -188 575 352 450 14081998 966470 0979920 -203 4355 0926588 -762 411 5814 1547 21081998 934316 0966730 -338 4041 0927891 -748 1145 5601 2532 28081998 901108 0964457 -362 3685 0912016 -921 1310 8482 3333 04091998 949019 1053169 518 3935 1067843 656 2684 4309 3400 11091998 950397 1001452 015 4291 1090343 865 002 7481 125 18091998 953342 1003099 031 4428 1031931 314 010 988 097 25091998 956663 1003484 035 4673 1055449 540 012 2912 188 02101998 958912 1002351 023 4670 0999251 -007 006 001 -002 09101998 943251 0983668 -165 4599 0984902 -152 271 231 251 16101998 943963 1000755 008 4513 0981300 -189 001 356 -014 23101998 934640 0990124 -099 4718 1045314 443 099 1964 -440

Page 133

30101998 918468 0982697 -175 4937 1046423 454 305 2059 -792 06111998 913223 0994289 -057 4450 0901448 -1038 033 10765 594 13111998 917822 1005036 050 4574 1027865 275 025 755 138 20111998 917160 0999279 -007 4286 0937035 -650 001 4229 047 27111998 906802 0988706 -114 4153 0968969 -315 129 994 358 04121998 902621 0995389 -046 3887 0935950 -662 021 4382 306 11121998 889094 0985014 -151 3465 0891433 -1149 228 13208 1735 18121998 902575 1015163 150 3490 1007215 072 226 052 108 25121998 906891 1004782 048 3468 0993696 -063 023 040 -030 01011999 914183 1008041 080 3500 1009227 092 064 084 074 08011999 983873 1076232 735 3962 1131857 1239 5397 15341 9099 15011999 989959 1006186 062 4063 1025495 252 038 634 155 22011999 1016140 1026447 261 4358 1072615 701 681 4914 1830 29011999 1105790 1088226 845 4246 0974412 -259 7149 672 -2192 05021999 1094590 0989871 -102 4203 0989873 -102 104 104 104 12021999 1053620 0962570 -381 3905 0928979 -737 1455 5427 2810 19021999 1071770 1017226 171 4049 1036881 362 292 1312 619 26021999 1055100 0984446 -157 3900 0963196 -375 246 1406 588 05031999 1039860 0985556 -145 3709 0951019 -502 212 2522 731 12031999 1041200 1001289 013 3733 1006606 066 002 043 008 19031999 1027650 0986986 -131 3665 0981784 -184 172 338 241 26031999 1031360 1003610 036 3548 0967940 -326 013 1062 -117 02041999 1034930 1003461 035 3564 1004651 046 012 022 016 09041999 1024940 0990347 -097 3503 0982884 -173 094 298 167 16041999 1026450 1001473 015 3772 1076649 739 002 5454 109 23041999 1038240 1011486 114 3711 0983826 -163 130 266 -186 30041999 1014430 0977067 -232 3649 0983291 -169 538 284 391 07051999 1027240 1012628 125 3593 0984651 -155 157 239 -194 14051999 1015400 0988474 -116 3508 0976479 -238 134 567 276 21051999 1012050 0996701 -033 3650 1040336 395 011 1564 -131 28051999 986598 0974851 -255 3487 0955336 -457 649 2088 1164 04061999 977053 0990325 -097 3513 1007601 076 095 057 -074 11061999 1007370 1031029 306 3597 1023769 235 934 552 718 18061999 989166 0981929 -182 3477 0966634 -339 333 1152 619 25061999 1026150 1037389 367 3375 0970804 -296 1347 878 -1088 02071999 995282 0969919 -305 3498 1036296 357 933 1271 -1089 09071999 995600 1000320 003 3487 0996998 -030 000 009 -001 16071999 1012170 1016643 165 3505 1005019 050 272 025 083 23071999 981962 0970155 -303 3446 0983307 -168 918 283 510 30071999 971997 0989852 -102 3359 0974753 -256 104 654 261 06081999 953229 0980691 -195 3162 0941203 -606 380 3672 1181 13081999 935049 0980928 -193 3022 0955717 -453 371 2051 872 20081999 944102 1009682 096 3149 1042032 412 093 1695 397 27081999 935339 0990718 -093 3109 0987454 -126 087 159 118 03091999 928650 0992849 -072 3072 0988099 -120 052 143 086 10091999 923843 0994824 -052 3065 0997559 -024 027 006 013 17091999 936583 1013790 137 3150 1027900 275 188 757 377 24091999 963355 1028585 282 3164 1004444 044 794 020 125 01101999 964466 1001153 012 3163 0999526 -005 001 000 -001 08101999 1008430 1045584 446 3317 1048854 477 1987 2275 2126 15101999 1067340 1058418 568 3392 1022460 222 3223 493 1261

Page 134

22101999 1019230 0954925 -461 3127 0922011 -812 2127 6593 3745 29101999 1038280 1018691 185 3162 1011193 111 343 124 206 05111999 1047550 1008928 089 3249 1027514 271 079 737 241 12111999 1071510 1022872 226 3235 0995537 -045 511 020 -101 19111999 1077140 1005254 052 2841 0878343 -1297 027 16827 -680 26111999 1104220 1025141 248 2755 0969553 -309 617 956 -768 03121999 1152250 1043497 426 2684 0974406 -259 1813 672 -1104 10121999 1338690 1161805 1500 2853 1062779 609 22492 3707 9132 17121999 1235780 0923126 -800 2592 0908501 -960 6398 9208 7676 24121999 1215240 0983379 -168 2553 0984951 -152 281 230 254 Sum -206 -7466 80467 223623 62586 Beta 078 Alpha -071 Std Dev Of Rndm Error Term 410 Std Error of Beta 0071 Std Error of Alpha 0200 Correlation Coefficient 047 Coefficient of Determination 022 Coefficient of Nondetermination 078

Page 135

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) (421)

ri = ln (Pt Pt-1) (422)

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 136

Helwan Portland Cement - Takeover

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 05082001 524103 2743 06082001 538487 1027445 003 2817 1026978 003 -056 085 002 -054 057 07082001 545306 1012663 001 2801 0994320 -001 -056 085 001 -055 055 112 08082001 545779 1000867 000 2787 0995002 -001 -056 085 000 -056 056 167 09082001 553572 1014279 001 2842 1019734 002 -056 085 001 -055 057 225 12082001 562356 1015868 002 2970 1045039 004 -056 085 001 -055 059 284 13082001 577288 1026553 003 3107 1046128 005 -056 085 002 -054 059 343 14082001 589018 1020319 002 3254 1047313 005 -056 085 002 -055 059 402 15082001 569431 0966746 -003 3109 0955439 -005 -056 085 -003 -059 055 457 16082001 561918 0986806 -001 3226 1037633 004 -056 085 -001 -058 061 518 19082001 574654 1022665 002 3380 1047737 005 -056 085 002 -055 059 577 20082001 574422 0999596 -000 3318 0981657 -002 -056 085 -000 -056 055 632 21082001 563572 0981111 -002 3170 0955395 -005 -056 085 -002 -058 053 685 22082001 557923 0989976 -001 3175 1001577 000 -056 085 -001 -057 057 743 23082001 564762 1012258 001 3241 1020787 002 -056 085 001 -055 057 800 26082001 562188 0995442 -000 3222 0994138 -001 -056 085 -000 -057 056 857 27082001 566747 1008109 001 3239 1005276 001 -056 085 001 -056 056 913 28082001 578448 1020646 002 3398 1049089 005 -056 085 002 -055 059 972 29082001 577700 0998707 -000 3561 1047969 005 -056 085 -000 -057 061 1034 30082001 595784 1031303 003 3739 1049986 005 -056 085 003 -054 059 1092 02092001 615099 1032419 003 3739 1000000 000 -056 085 003 -054 054 1146 03092001 623383 1013468 001 3926 1050013 005 -056 085 001 -055 060 1206 04092001 631607 1013193 001 4122 1049924 005 -056 085 001 -055 060 1266

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05092001 647104 1024536 002 4328 1049976 005 -056 085 002 -054 059 1325 06092001 642737 0993251 -001 4544 1049908 005 -056 085 -001 -057 062 1387 09092001 632584 0984203 -002 4770 1049736 005 -056 085 -001 -058 063 1450 10092001 640695 1012822 001 4541 0951992 -005 -056 085 001 -055 050 1500 11092001 646508 1009073 001 4344 0956617 -004 -056 085 001 -056 051 1552 12092001 622690 0963159 -004 4344 1000000 000 -056 085 -003 -060 060 1611 13092001 626337 1005857 001 4561 1049954 005 -056 085 000 -056 061 1672 16092001 624189 0996571 -000 5110 1120368 011 -056 085 -000 -057 068 1740 17092001 609400 0976307 -002 5110 1000000 000 -056 085 -002 -058 058 1799 18092001 601322 0986744 -001 5110 1000000 000 -056 085 -001 -058 058 1856 19092001 620730 1032276 003 5110 1000000 000 -056 085 003 -054 054 1910 20092001 614817 0990474 -001 5110 1000000 000 -056 085 -001 -057 057 1967 23092001 597012 0971040 -003 5110 1000000 000 -056 085 -003 -059 059 2026 24092001 588809 0986260 -001 5103 0998630 -000 -056 085 -001 -058 057 2084 25092001 581727 0987972 -001 5103 1000000 000 -056 085 -001 -057 057 2141 26092001 570192 0980171 -002 5103 1000000 000 -056 085 -002 -058 058 2199 27092001 561925 0985501 -001 5103 1000000 000 -056 085 -001 -058 058 2257 30092001 564278 1004187 000 4848 0950029 -005 -056 085 000 -056 051 2308 01102001 568252 1007043 001 4848 1000000 000 -056 085 001 -056 056 2364

Page 138

Suez Cement - Takeover

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 22082001 557923 3272 23082001 564762 1012258 001 3323 1015587 002 -020 126 002 -018 020 26082001 562188 0995442 -000 3257 0980138 -002 -020 126 -001 -020 018 038 27082001 566747 1008109 001 3287 1009211 001 -020 126 001 -018 019 057 28082001 578448 1020646 002 3451 1049894 005 -020 126 003 -017 022 079 29082001 577700 0998707 -000 3569 1034193 003 -020 126 -000 -020 023 102 30082001 595784 1031303 003 3662 1026058 003 -020 126 004 -016 018 120 02092001 615099 1032419 003 3708 1012561 001 -020 126 004 -015 017 137 03092001 623383 1013468 001 3654 0985437 -001 -020 126 002 -018 016 153 04092001 631607 1013193 001 3635 0994800 -001 -020 126 002 -018 017 170 05092001 647104 1024536 002 3765 1035763 004 -020 126 003 -016 020 190 06092001 642737 0993251 -001 3829 1016999 002 -020 126 -001 -020 022 213 09092001 632584 0984203 -002 3828 0999739 -000 -020 126 -002 -022 022 234 10092001 640695 1012822 001 3866 1009927 001 -020 126 002 -018 019 253 11092001 646508 1009073 001 3891 1006467 001 -020 126 001 -018 019 272 12092001 622690 0963159 -004 3700 0950912 -005 -020 126 -005 -024 019 291 13092001 626337 1005857 001 3849 1040270 004 -020 126 001 -019 023 314 16092001 624189 0996571 -000 3911 1016108 002 -020 126 -000 -020 022 335 17092001 609400 0976307 -002 3828 0978778 -002 -020 126 -003 -023 020 356 18092001 601322 0986744 -001 3675 0960031 -004 -020 126 -002 -021 017 373 19092001 620730 1032276 003 3829 1041905 004 -020 126 004 -015 020 393

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20092001 614817 0990474 -001 3801 0992687 -001 -020 126 -001 -021 020 413 23092001 597012 0971040 -003 3654 0961326 -004 -020 126 -004 -023 019 432 24092001 588809 0986260 -001 3523 0964149 -004 -020 126 -002 -021 018 449 25092001 581727 0987972 -001 3641 1033494 003 -020 126 -002 -021 024 474 26092001 570192 0980171 -002 3733 1025268 002 -020 126 -003 -022 025 498 27092001 561925 0985501 -001 3697 0990356 -001 -020 126 -002 -021 020 519 30092001 564278 1004187 000 3512 0949959 -005 -020 126 001 -019 014 533 01102001 568252 1007043 001 3512 1000000 000 -020 126 001 -019 019 551 02102001 555684 0977883 -002 3347 0953018 -005 -020 126 -003 -022 018 569 03102001 549459 0988798 -001 3201 0956379 -004 -020 126 -001 -021 016 585 04102001 544680 0991302 -001 3069 0958763 -004 -020 126 -001 -021 016 602 07102001 544675 0999991 -000 3266 1064190 006 -020 126 -000 -020 026 627 08102001 543049 0997015 -000 3276 1003062 000 -020 126 -000 -020 020 648 09102001 545728 1004933 000 3270 0998168 -000 -020 126 001 -019 019 666 10102001 549824 1007506 001 3330 1018349 002 -020 126 001 -019 020 687 11102001 554529 1008557 001 3419 1026727 003 -020 126 001 -018 021 708 14102001 563161 1015566 002 3330 0973969 -003 -020 126 002 -018 015 723 15102001 563789 1001115 000 3322 0997598 -000 -020 126 000 -019 019 742 16102001 560209 0993650 -001 3383 1018362 002 -020 126 -001 -020 022 764 17102001 573477 1023684 002 3463 1023648 002 -020 126 003 -017 019 783 18102001 579797 1011020 001 3510 1013572 001 -020 126 001 -018 019 802

Page 140

Commercial International Bank (CIB) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 20022000 1347460 4428 21022000 1343130 0996787 -032 4347 0981707 -185 -006 145 -047 -053 -132 22022000 1315370 0979332 -002 4283 0985277 -148 -006 145 -003 -009 -139 -271 23022000 1297370 0986316 -001 4135 0965445 -352 -006 145 -002 -008 -344 -614 24022000 1249590 0963172 -004 3967 0959371 -415 -006 145 -005 -012 -403 -1018 27022000 1284540 1027969 003 4043 1019158 190 -006 145 004 -002 192 -826 28022000 1302870 1014270 001 3931 0972298 -281 -006 145 002 -004 -277 -1103 29022000 1276950 0980105 -002 3824 0972780 -276 -006 145 -003 -009 -267 -1370 01032000 1271220 0995513 -000 3873 1012814 127 -006 145 -001 -007 134 -1235 02032000 1263010 0993542 -001 3847 0993287 -067 -006 145 -001 -007 -060 -1296 05032000 1234900 0977744 -002 3675 0955290 -457 -006 145 -003 -009 -448 -1744 06032000 1228550 0994858 -001 3600 0979592 -206 -006 145 -001 -007 -199 -1943 07032000 1265480 1030060 003 3756 1043333 424 -006 145 004 -002 426 -1517 08032000 1280930 1012209 001 3915 1042332 415 -006 145 002 -004 419 -1098 09032000 1278610 0998189 -000 4043 1032695 322 -006 145 -000 -006 328 -770 12032000 1236490 0967058 -003 3885 0960920 -399 -006 145 -005 -011 -388 -1157 13032000 1260850 1019701 002 3857 0992793 -072 -006 145 003 -003 -069 -1227 14032000 1262590 1001380 000 3860 1000778 008 -006 145 000 -006 014 -1213 19032000 1253290 0992634 -001 3808 0986528 -136 -006 145 -001 -007 -128 -1341 20032000 1246240 0994375 -001 3799 0997637 -024 -006 145 -001 -007 -017 -1358 21032000 1251680 1004365 000 3762 0990261 -098 -006 145 001 -006 -092 -1450

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22032000 1240940 0991420 -001 3720 0988836 -112 -006 145 -001 -007 -105 -1555 23032000 1233620 0994101 -001 3782 1016667 165 -006 145 -001 -007 172 -1383 26032000 1243700 1008171 001 3875 1024590 243 -006 145 001 -005 248 -1135 27032000 1247010 1002661 000 4004 1033290 327 -006 145 000 -006 333 -802 28032000 1262200 1012181 001 4065 1015235 151 -006 145 002 -004 156 -646 29032000 1260000 0998257 -000 3943 0969988 -305 -006 145 -000 -006 -298 -945 30032000 1251400 0993175 -001 4054 1028151 278 -006 145 -001 -007 285 -660 02042000 1252220 1000655 000 4042 0997040 -030 -006 145 000 -006 -024 -683 03042000 1259850 1006093 001 4132 1022266 220 -006 145 001 -005 225 -458 04042000 1248840 0991261 -001 4106 0993708 -063 -006 145 -001 -007 -056 -514 05042000 1239300 0992361 -001 4120 1003410 034 -006 145 -001 -007 041 -472 09042000 1220080 0984491 -002 4019 0975485 -248 -006 145 -002 -008 -240 -712 10042000 1180450 0967519 -003 3982 0990794 -092 -006 145 -005 -011 -082 -794 11042000 1181020 1000483 000 4062 1020090 199 -006 145 000 -006 205 -589 12042000 1215120 1028873 003 4085 1005662 056 -006 145 004 -002 058 -530 13042000 1198730 0986512 -001 4141 1013709 136 -006 145 -002 -008 144 -386 16042000 1156640 0964888 -004 3991 0963777 -369 -006 145 -005 -011 -358 -744 17042000 1124800 0972472 -003 3983 0997995 -020 -006 145 -004 -010 -010 -754 18042000 1128930 1003672 000 4105 1030630 302 -006 145 001 -006 307 -446 19042000 1119740 0991860 -001 3721 0906456 -982 -006 145 -001 -007 -975 -1421 20042000 1083240 0967403 -003 3648 0980382 -198 -006 145 -005 -011 -187 -1608

Page 142

Egyptian American Bank (EAB) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 06032000 1228550 3600 07032000 1265480 1030060 003 3756 1043333 004 -040 118 003 -036 040 08032000 1280930 1012209 001 3915 1042332 004 -040 118 001 -038 042 083 09032000 1278610 0998189 -000 4043 1032695 003 -040 118 -000 -040 043 126 12032000 1236490 0967058 -003 3885 0960920 -004 -040 118 -004 -044 040 166 13032000 1260850 1019701 002 3857 0992793 -001 -040 118 002 -037 037 202 14032000 1262590 1001380 000 3860 1000778 000 -040 118 000 -040 040 242 19032000 1253290 0992634 -001 3808 0986528 -001 -040 118 -001 -041 039 281 20032000 1246240 0994375 -001 3799 0997637 -000 -040 118 -001 -040 040 321 21032000 1251680 1004365 000 3762 0990261 -001 -040 118 001 -039 038 359 22032000 1240940 0991420 -001 3720 0988836 -001 -040 118 -001 -041 040 399 23032000 1233620 0994101 -001 3782 1016667 002 -040 118 -001 -040 042 441 26032000 1243700 1008171 001 3875 1024590 002 -040 118 001 -039 041 48227032000 1247010 1002661 000 4004 1033290 003 -040 118 000 -039 043 525 28032000 1262200 1012181 001 4065 1015235 002 -040 118 001 -038 040 564 29032000 1260000 0998257 -000 3943 0969988 -003 -040 118 -000 -040 037 601 30032000 1251400 0993175 -001 4054 1028151 003 -040 118 -001 -040 043 645 02042000 1252220 1000655 000 4042 0997040 -000 -040 118 000 -040 039 684 03042000 1259850 1006093 001 4132 1022266 002 -040 118 001 -039 041 725 04042000 1248840 0991261 -001 4106 0993708 -001 -040 118 -001 -041 040 765 05042000 1239300 0992361 -001 4120 1003410 000 -040 118 -001 -041 041 806

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09042000 1220080 0984491 -002 4019 0975485 -002 -040 118 -002 -042 039 845 10042000 1180450 0967519 -003 3982 0990794 -001 -040 118 -004 -044 043 888 11042000 1181020 1000483 000 4062 1020090 002 -040 118 000 -040 042 929 12042000 1215120 1028873 003 4085 1005662 001 -040 118 003 -036 037 966 13042000 1198730 0986512 -001 4141 1013709 001 -040 118 -002 -041 043 1009 16042000 1156640 0964888 -004 3991 0963777 -004 -040 118 -004 -044 040 1049 17042000 1124800 0972472 -003 3983 0997995 -000 -040 118 -003 -043 043 1092 18042000 1128930 1003672 000 4105 1030630 003 -040 118 000 -039 042 1134 19042000 1119740 0991860 -001 3721 0906456 -010 -040 118 -001 -041 031 1165 20042000 1083240 0967403 -003 3648 0980382 -002 -040 118 -004 -044 042 1206 23042000 1049820 0969148 -003 3489 0956414 -004 -040 118 -004 -043 039 1245 24042000 1042840 0993351 -001 3396 0973345 -003 -040 118 -001 -040 038 1283 26042000 1011554 0969999 -003 3563 1049176 005 -040 118 -004 -043 048 1331 27042000 1119630 1106842 010 3738 1049116 005 -040 118 012 -028 032 1364 02052000 1110810 0992122 -001 3682 0985019 -002 -040 118 -001 -041 039 1403 03052000 1081230 0973371 -003 3585 0973656 -003 -040 118 -003 -043 040 1443 04052000 1105850 1022770 002 3656 1019805 002 -040 118 003 -037 039 1482 07052000 1087730 0983614 -002 3646 0997265 -000 -040 118 -002 -042 041 1523 08052000 1104760 1015656 002 3671 1006857 001 -040 118 002 -038 039 1562 09052000 1125200 1018502 002 3734 1017162 002 -040 118 002 -038 039 1601 10052000 1136130 1009714 001 3707 0992769 -001 -040 118 001 -039 038 1639

Page 144

Misr International Bank (MIBANK) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 24022000 1249590 5186 27022000 1284540 1027969 003 5323 1026535 003 -036 127 004 -032 035 28022000 1302870 1014270 001 5391 1012774 001 -036 127 002 -034 035 070 29022000 1276950 0980105 -002 5395 1000742 000 -036 127 -003 -038 038 108 01032000 1271220 0995513 -000 5310 0984134 -002 -036 127 -001 -036 034 142 02032000 1263010 0993542 -001 5283 0995028 -000 -036 127 -001 -036 036 178 05032000 1234900 0977744 -002 5201 0984403 -002 -036 127 -003 -038 037 215 06032000 1228550 0994858 -001 5198 0999539 -000 -036 127 -001 -036 036 251 07032000 1265480 1030060 003 5389 1036627 004 -036 127 004 -032 035 286 08032000 1280930 1012209 001 5412 1004305 000 -036 127 002 -034 034 321 09032000 1278610 0998189 -000 5416 1000739 000 -036 127 -000 -036 036 357 12032000 1236490 0967058 -003 5218 0963516 -004 -036 127 -004 -040 036 393 13032000 1260850 1019701 002 5118 0980684 -002 -036 127 002 -033 031 424 14032000 1262590 1001380 000 5049 0986556 -001 -036 127 000 -035 034 458 19032000 1253290 0992634 -001 5047 0999683 -000 -036 127 -001 -036 036 494 20032000 1246240 0994375 -001 5035 0997622 -000 -036 127 -001 -036 036 530 21032000 1251680 1004365 000 4920 0977121 -002 -036 127 001 -035 033 563 22032000 1240940 0991420 -001 4838 0983252 -002 -036 127 -001 -037 035 598 23032000 1233620 0994101 -001 4860 1004630 000 -036 127 -001 -036 037 634 26032000 1243700 1008171 001 4974 1023539 002 -036 127 001 -034 037 671 27032000 1247010 1002661 000 5052 1015600 002 -036 127 000 -035 037 708

Page 145

28032000 1262200 1012181 001 5054 1000475 000 -036 127 002 -034 034 742 29032000 1260000 0998257 -000 4951 0979582 -002 -036 127 -000 -036 034 776 30032000 1251400 0993175 -001 4923 0994345 -001 -036 127 -001 -036 036 811 02042000 1252220 1000655 000 4993 1014137 001 -036 127 000 -035 037 848 03042000 1259850 1006093 001 4995 1000481 000 -036 127 001 -035 035 883 04042000 1248840 0991261 -001 4938 0988469 -001 -036 127 -001 -037 035 918 05042000 1239300 0992361 -001 5010 1014744 001 -036 127 -001 -036 038 956 09042000 1220080 0984491 -002 4806 0959285 -004 -036 127 -002 -037 033 990 10042000 1180450 0967519 -003 4761 0990513 -001 -036 127 -004 -040 039 1029 11042000 1181020 1000483 000 4796 1007394 001 -036 127 000 -035 036 1065 12042000 1215120 1028873 003 4800 1000834 000 -036 127 004 -032 032 1097 13042000 1198730 0986512 -001 4800 1000000 000 -036 127 -002 -037 037 1134 16042000 1156640 0964888 -004 4779 0995667 -000 -036 127 -005 -040 040 1174 17042000 1124800 0972472 -003 4353 0910780 -009 -036 127 -004 -039 030 1203 18042000 1128930 1003672 000 4397 1010108 001 -036 127 000 -035 036 1239 19042000 1119740 0991860 -001 4378 0995633 -000 -036 127 -001 -037 036 1275 20042000 1083240 0967403 -003 4205 0960526 -004 -036 127 -004 -040 036 1311 23042000 1049820 0969148 -003 4061 0965753 -003 -036 127 -004 -039 036 1347 24042000 1042840 0993351 -001 4257 1048266 005 -036 127 -001 -036 041 1388 26042000 1011554 0969999 -003 4469 1049803 005 -036 127 -004 -039 044 1432 27042000 1119630 1106842 010 4613 1032223 003 -036 127 013 -023 026 1458

Page 146

Ameryah Cement Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 05042000 1239300 8213 09042000 1220080 0984491 -002 7803 0950079 -005 -043 105 -002 -045 039 10042000 1180450 0967519 -003 7803 1000000 000 -043 105 -003 -046 046 086 11042000 1181020 1000483 000 7803 1000000 000 -043 105 000 -043 043 129 12042000 1215120 1028873 003 7803 1000000 000 -043 105 003 -040 040 169 13042000 1198730 0986512 -001 7803 1000000 000 -043 105 -001 -044 044 213 16042000 1156640 0964888 -004 7803 1000000 000 -043 105 -004 -047 047 260 17042000 1124800 0972472 -003 7803 1000000 000 -043 105 -003 -046 046 306 18042000 1128930 1003672 000 7803 1000000 000 -043 105 000 -043 043 348 19042000 1119740 0991860 -001 7803 1000000 000 -043 105 -001 -044 044 392 20042000 1083240 0967403 -003 7803 1000000 000 -043 105 -003 -046 046 439 23042000 1049820 0969148 -003 7803 1000000 000 -043 105 -003 -046 046 485 24042000 1042840 0993351 -001 7803 1000000 000 -043 105 -001 -044 044 529 26042000 1011554 0969999 -003 7803 1000000 000 -043 105 -003 -046 046 575 27042000 1119630 1106842 010 7803 1000000 000 -043 105 011 -032 032 607 02052000 1110810 0992122 -001 7803 1000000 000 -043 105 -001 -044 044 651 03052000 1081230 0973371 -003 7803 1000000 000 -043 105 -003 -046 046 697 04052000 1105850 1022770 002 7803 1000000 000 -043 105 002 -041 041 737 07052000 1087730 0983614 -002 7803 1000000 000 -043 105 -002 -045 045 782 08052000 1104760 1015656 002 7803 1000000 000 -043 105 002 -041 041 823 09052000 1125200 1018502 002 7803 1000000 000 -043 105 002 -041 041 864

Page 147

10052000 1136130 1009714 001 7803 1000000 000 -043 105 001 -042 042 906 11052000 1139120 1002632 000 7803 1000000 000 -043 105 000 -043 043 949 14052000 1161700 1019822 002 7803 1000000 000 -043 105 002 -041 041 990 15052000 1179430 1015262 002 7803 1000000 000 -043 105 002 -041 041 1031 16052000 1203490 1020400 002 7803 1000000 000 -043 105 002 -041 041 1072 17052000 1207650 1003457 000 7803 1000000 000 -043 105 000 -043 043 1115 18052000 1170140 0968940 -003 7803 1000000 000 -043 105 -003 -046 046 1161 21052000 1144730 0978285 -002 7803 1000000 000 -043 105 -002 -045 045 1206 22052000 1127050 0984555 -002 7803 1000000 000 -043 105 -002 -045 045 1251 23052000 1137800 1009538 001 7803 1000000 000 -043 105 001 -042 042 1293 24052000 1105280 0971419 -003 7803 1000000 000 -043 105 -003 -046 046 1339 25052000 1079810 0976956 -002 7803 1000000 000 -043 105 -002 -045 045 1384 28052000 1096220 1015197 002 7803 1000000 000 -043 105 002 -041 041 1426 29052000 1120420 1022076 002 7803 1000000 000 -043 105 002 -041 041 1466 30052000 1094380 0976759 -002 7803 1000000 000 -043 105 -002 -045 045 1512 31052000 1091100 0997003 -000 7803 1000000 000 -043 105 -000 -043 043 1555 01062000 1084760 0994189 -001 7803 1000000 000 -043 105 -001 -044 044 1599 04062000 1055620 0973137 -003 7803 1000000 000 -043 105 -003 -046 046 1644 05062000 1053290 0997793 -000 7803 1000000 000 -043 105 -000 -043 043 1688 06062000 1033450 0981164 -002 7803 1000000 000 -043 105 -002 -045 045 1732 07062000 1019220 0986231 -001 7803 1000000 000 -043 105 -001 -044 044 1777

Page 148

Egyptian Financial and Industrial Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 11052000 1139120 3960 14052000 1161700 1019822 002 3905 0986111 -001 -126 086 002 -124 123 15052000 1179430 1015262 002 3975 1017926 002 -126 086 001 -125 126 249 16052000 1203490 1020400 002 3999 1006038 001 -126 086 002 -124 125 374 17052000 1207650 1003457 000 3921 0980495 -002 -126 086 000 -126 124 498 18052000 1170140 0968940 -003 3897 0993879 -001 -126 086 -003 -129 128 626 21052000 1144730 0978285 -002 3842 0985887 -001 -126 086 -002 -128 126 752 22052000 1127050 0984555 -002 3964 1031754 003 -126 086 -001 -127 130 882 23052000 1137800 1009538 001 4000 1009082 001 -126 086 001 -125 126 1008 24052000 1105280 0971419 -003 3860 0965000 -004 -126 086 -002 -128 125 1133 25052000 1079810 0976956 -002 3853 0998187 -000 -126 086 -002 -128 128 1261 28052000 1096220 1015197 002 4023 1044121 004 -126 086 001 -125 129 1390 29052000 1120420 1022076 002 4109 1021377 002 -126 086 002 -124 126 1516 30052000 1094380 0976759 -002 3911 0951813 -005 -126 086 -002 -128 123 1639 31052000 1091100 0997003 -000 3950 1009972 001 -126 086 -000 -126 127 1766 01062000 1084760 0994189 -001 3949 0999747 -000 -126 086 -001 -126 126 1892 04062000 1055620 0973137 -003 3810 0964801 -004 -126 086 -002 -128 125 2017 05062000 1053290 0997793 -000 4021 1055381 005 -126 086 -000 -126 131 2148 06062000 1033450 0981164 -002 3919 0974633 -003 -126 086 -002 -128 125 2273 07062000 1019220 0986231 -001 3846 0981373 -002 -126 086 -001 -127 125 2398 08062000 1015120 0995977 -000 4002 1040562 004 -126 086 -000 -126 130 2529

Page 149

11062000 989079 0974347 -003 4094 1022989 002 -126 086 -002 -128 130 2659 12062000 974139 0984895 -002 3890 0950171 -005 -126 086 -001 -127 122 2781 13062000 1001770 1028365 003 3922 1008226 001 -126 086 002 -123 124 2905 14062000 1001480 0999711 -000 3777 0963029 -004 -126 086 -000 -126 122 3028 18062000 975257 0973816 -003 3777 1000000 000 -126 086 -002 -128 128 3156 19062000 951281 0975416 -002 3528 0934075 -007 -126 086 -002 -128 121 3277 20062000 924905 0972273 -003 3362 0952948 -005 -126 086 -002 -128 123 3400 21062000 932278 1007972 001 3194 0950030 -005 -126 086 001 -125 120 3521 22062000 916437 0983008 -002 3035 0950219 -005 -126 086 -001 -127 122 3643 25062000 887397 0968312 -003 2885 0950577 -005 -126 086 -003 -129 124 3766 26062000 861150 0970422 -003 2753 0954246 -005 -126 086 -003 -128 124 3890 27062000 864892 1004345 000 2655 0964402 -004 -126 086 000 -126 122 4012 28062000 897903 1038168 004 2716 1022976 002 -126 086 003 -123 125 4137 29062000 899917 1002243 000 2850 1049337 005 -126 086 000 -126 131 4267 02072000 925746 1028702 003 2985 1047368 005 -126 086 002 -123 128 4396 03072000 925263 0999478 -000 2838 0950754 -005 -126 086 -000 -126 121 4516 04072000 901986 0974843 -003 2787 0982030 -002 -126 086 -002 -128 126 4643 05072000 931992 1033267 003 2883 1034446 003 -126 086 003 -123 126 4769 06072000 939109 1007636 001 2887 1001387 000 -126 086 001 -125 125 4895 09072000 954862 1016774 002 2750 0952546 -005 -126 086 001 -124 120 5014 10072000 952481 0997506 -000 2855 1038182 004 -126 086 -000 -126 130 5144

Page 150

Abu Keir For Fertilisers Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 13092000 820460 3114 14092000 811616 0989221 -001 3114 1000000 000 -094 047 -001 -095 095 17092000 800136 0985855 -001 3139 1008028 001 -094 047 -001 -095 096 191 18092000 785147 0981267 -002 3149 1003186 000 -094 047 -001 -095 096 287 19092000 781014 0994736 -001 3126 0992696 -001 -094 047 -000 -095 094 381 20092000 769681 0985489 -001 3128 1000640 000 -094 047 -001 -095 095 476 21092000 777843 1010604 001 3185 1018223 002 -094 047 001 -094 096 572 24092000 773441 0994341 -001 3109 0976138 -002 -094 047 -000 -095 092 664 25092000 776658 1004159 000 3114 1001608 000 -094 047 000 -094 094 759 26092000 769503 0990787 -001 3102 0996146 -000 -094 047 -000 -095 095 853 27092000 765212 0994424 -001 3178 1024500 002 -094 047 -000 -095 097 950 28092000 747666 0977070 -002 3143 0988987 -001 -094 047 -001 -096 094 1045 01102000 723766 0968034 -003 3031 0964365 -004 -094 047 -002 -096 092 1137 02102000 736337 1017369 002 3007 0992082 -001 -094 047 001 -094 093 1230 03102000 717831 0974867 -003 3000 0997672 -000 -094 047 -001 -096 095 1326 04102000 698780 0973460 -003 3007 1002333 000 -094 047 -001 -096 096 1422 08102000 673198 0963390 -004 2935 0976056 -002 -094 047 -002 -096 094 1515 09102000 669556 0994590 -001 2892 0985349 -001 -094 047 -000 -095 093 1609 10102000 652161 0974020 -003 2863 0989972 -001 -094 047 -001 -096 095 1703 11102000 629197 0964788 -004 2811 0981837 -002 -094 047 -002 -096 094 1798 12102000 607631 0965725 -003 2822 1003913 000 -094 047 -002 -096 097 1894

Page 151

15102000 619357 1019298 002 2948 1044649 004 -094 047 001 -094 098 1992 16102000 646053 1043103 004 3093 1049186 005 -094 047 002 -092 097 2090 17102000 668052 1034051 003 3183 1029098 003 -094 047 002 -093 096 2185 18102000 688105 1030017 003 3199 1005027 001 -094 047 001 -093 094 2279 19102000 688893 1001145 000 3186 0995936 -000 -094 047 000 -094 094 2373 22102000 719462 1044374 004 3196 1003139 000 -094 047 002 -092 093 2466 23102000 723338 1005387 001 3044 0952441 -005 -094 047 000 -094 089 2555 24102000 702403 0971058 -003 2929 0962221 -004 -094 047 -001 -096 092 2647 25102000 725191 1032443 003 2695 0920109 -008 -094 047 002 -093 085 2732 26102000 730437 1007234 001 2675 0992579 -001 -094 047 000 -094 093 2825 29102000 726703 0994888 -001 2713 1014206 001 -094 047 -000 -095 096 2921 30102000 714909 0983771 -002 2700 0995208 -000 -094 047 -001 -095 095 3016 31102000 733186 1025565 003 2734 1012593 001 -094 047 001 -093 095 3111 01112000 742977 1013354 001 2742 1002926 000 -094 047 001 -094 094 3205 02112000 747364 1005905 001 2749 1002553 000 -094 047 000 -094 094 3299 05112000 760243 1017233 002 2628 0955984 -005 -094 047 001 -094 089 3388 06112000 761956 1002253 000 2505 0953196 -005 -094 047 000 -094 090 3478 07112000 757468 0994110 -001 2630 1049900 005 -094 047 -000 -095 100 3578 08112000 762190 1006234 001 2749 1045247 004 -094 047 000 -094 099 3676 09112000 773445 1014767 001 2751 1000728 000 -094 047 001 -094 094 3770 12112000 807548 1044092 004 2835 1030534 003 -094 047 002 -092 095 3866

Page 152

Helwan Portland Cement Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 26032000 1243700 4298 27032000 1247010 1002661 000 4293 0998837 -000 -056 085 000 -056 056 28032000 1262200 1012181 001 4144 0965292 -004 -056 085 001 -055 052 108 29032000 1260000 0998257 -000 4132 0997104 -000 -056 085 -000 -057 056 164 30032000 1251400 0993175 -001 4187 1013311 001 -056 085 -001 -057 058 223 02042000 1252220 1000655 000 4076 0973489 -003 -056 085 000 -056 054 276 03042000 1259850 1006093 001 4217 1034593 003 -056 085 001 -056 059 336 04042000 1248840 0991261 -001 4201 0996206 -000 -056 085 -001 -057 057 392 05042000 1239300 0992361 -001 4165 0991431 -001 -056 085 -001 -057 056 449 09042000 1220080 0984491 -002 414 0993998 -001 -056 085 -001 -058 057 506 10042000 1180450 0967519 -003 4036 0974879 -003 -056 085 -003 -059 057 562 11042000 1181020 1000483 000 4142 1026264 003 -056 085 000 -056 059 621 12042000 1215120 1028873 003 422 1018831 002 -056 085 002 -054 056 677 13042000 1198730 0986512 -001 4198 0994787 -001 -056 085 -001 -058 057 734 16042000 1156640 0964888 -004 4095 0975465 -002 -056 085 -003 -059 057 791 17042000 1124800 0972472 -003 408 0996337 -000 -056 085 -002 -059 058 850 18042000 1128930 1003672 000 409 1002451 000 -056 085 000 -056 056 906 19042000 1119740 0991860 -001 4082 0998044 -000 -056 085 -001 -057 057 963 20042000 1083240 0967403 -003 4081 0999755 -000 -056 085 -003 -059 059 1022 23042000 1049820 0969148 -003 405 0992404 -001 -056 085 -003 -059 058 1081 24042000 1042840 0993351 -001 4185 1033333 003 -056 085 -001 -057 060 1141

Page 153

26042000 1011554 0969999 -003 4264 1018877 002 -056 085 -003 -059 061 1202 27042000 1119630 1106842 010 4246 0995779 -000 -056 085 009 -048 047 1249 02052000 1110810 0992122 -001 3692 0869524 -014 -056 085 -001 -057 043 1292 03052000 1081230 0973371 -003 3656 0990249 -001 -056 085 -002 -059 058 1350 04052000 1105850 1022770 002 3686 1008206 001 -056 085 002 -055 055 1405 07052000 1087730 0983614 -002 3718 1008681 001 -056 085 -001 -058 059 1464 08052000 1104760 1015656 002 3875 1042227 004 -056 085 001 -055 059 1523 09052000 1125200 1018502 002 4038 1042065 004 -056 085 002 -055 059 1582 10052000 1136130 1009714 001 3867 0957652 -004 -056 085 001 -056 051 1634 11052000 1139120 1002632 000 3805 0983967 -002 -056 085 000 -056 055 1688 14052000 1161700 1019822 002 3818 1003417 000 -056 085 002 -055 055 1743 15052000 1179430 1015262 002 3887 1018072 002 -056 085 001 -055 057 1800 16052000 1203490 1020400 002 3937 1012863 001 -056 085 002 -055 056 1856 17052000 1207650 1003457 000 3859 0980188 -002 -056 085 000 -056 054 1910 18052000 1170140 0968940 -003 3807 0986525 -001 -056 085 -003 -059 058 196821052000 1144730 0978285 -002 3805 0999475 -000 -056 085 -002 -058 058 2026 22052000 1127050 0984555 -002 3764 0989225 -001 -056 085 -001 -058 057 2083 23052000 1137800 1009538 001 3749 0996015 -000 -056 085 001 -056 055 2138 24052000 1105280 0971419 -003 3672 0979461 -002 -056 085 -002 -059 057 2195 25052000 1079810 0976956 -002 3633 0989379 -001 -056 085 -002 -058 057 2252 28052000 1096220 1015197 002 3623 0997247 -000 -056 085 001 -055 055 2307

Page 154

Torah Portland Cement Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 20082000 869132 4441 21082000 852890 0981312 -002 4335 0976132 -002 -006 107 -002 -008 006 22082000 836269 0980512 -002 4119 0950173 -005 -006 107 -002 -008 003 009 23082000 850672 1017223 002 4128 1002185 000 -006 107 002 -004 005 013 24082000 832698 0978871 -002 4115 0996851 -000 -006 107 -002 -008 008 021 27082000 836762 1004881 000 4161 1011179 001 -006 107 001 -006 007 028 28082000 832011 0994322 -001 4235 1017784 002 -006 107 -001 -007 008 037 29082000 822734 0988850 -001 4145 0978749 -002 -006 107 -001 -007 005 042 30082000 802537 0975451 -002 4156 1002654 000 -006 107 -003 -009 009 051 31082000 816798 1017770 002 4297 1033927 003 -006 107 002 -004 008 058 03092000 812893 0995219 -000 4344 1010938 001 -006 107 -001 -007 008 066 04092000 819306 1007889 001 4349 1001151 000 -006 107 001 -005 005 071 05092000 831599 1015004 001 4492 1032881 003 -006 107 002 -005 008 079 06092000 835104 1004215 000 4503 1002449 000 -006 107 000 -006 006 085 07092000 845660 1012640 001 4509 1001332 000 -006 107 001 -005 005 090 10092000 835500 0987986 -001 4309 0955644 -005 -006 107 -001 -007 003 093 11092000 823263 0985354 -001 4309 1000000 000 -006 107 -002 -008 008 101 12092000 837424 1017201 002 4325 1003713 000 -006 107 002 -004 005 105 13092000 820460 0979743 -002 4397 1016647 002 -006 107 -002 -008 010 115 14092000 811616 0989221 -001 4399 1000455 000 -006 107 -001 -007 007 122 17092000 800136 0985855 -001 4392 0998409 -000 -006 107 -002 -008 007 130

Page 155

18092000 785147 0981267 -002 4272 0972678 -003 -006 107 -002 -008 005 135 19092000 781014 0994736 -001 42 0983146 -002 -006 107 -001 -007 005 140 20092000 769681 0985489 -001 4166 0991905 -001 -006 107 -002 -008 007 147 21092000 777843 1010604 001 36 0864138 -015 -006 107 001 -005 -010 138 24092000 773441 0994341 -001 3569 0991389 -001 -006 107 -001 -007 006 143 25092000 776658 1004159 000 3625 1015691 002 -006 107 000 -006 007 151 26092000 769503 0990787 -001 3559 0981793 -002 -006 107 -001 -007 005 156 27092000 765212 0994424 -001 3467 0974150 -003 -006 107 -001 -007 004 160 28092000 747666 0977070 -002 345 0995097 -000 -006 107 -002 -009 008 168 01102000 723766 0968034 -003 345 1000000 000 -006 107 -003 -010 010 178 02102000 736337 1017369 002 3432 0994783 -001 -006 107 002 -004 004 181 03102000 717831 0974867 -003 3305 0962995 -004 -006 107 -003 -009 005 186 04102000 698780 0973460 -003 3449 1043570 004 -006 107 -003 -009 013 200 08102000 673198 0963390 -004 3449 1000000 000 -006 107 -004 -010 010 210 09102000 669556 0994590 -001 3354 0972456 -003 -006 107 -001 -007 004 214 10102000 652161 0974020 -003 3302 0984496 -002 -006 107 -003 -009 007 221 11102000 629197 0964788 -004 335 1014537 001 -006 107 -004 -010 011 232 12102000 607631 0965725 -003 3297 0984179 -002 -006 107 -004 -010 008 241 15102000 619357 1019298 002 3256 0987564 -001 -006 107 002 -004 003 244 16102000 646053 1043103 004 3248 0997543 -000 -006 107 005 -002 001 245 17102000 668052 1034051 003 3228 0993842 -001 -006 107 004 -003 002 247

Page 156

Nasr City for Housing and Development Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 21092000 777843 2026 -115 075 24092000 773441 0994341 -001 1999 0986673 -001 -115 075 -000 -115 114 25092000 776658 1004159 000 2080 1040520 004 -115 075 000 -115 119 233 26092000 769503 0990787 -001 2183 1049519 005 -115 075 -001 -116 120 353 27092000 765212 0994424 -001 2092 0958314 -004 -115 075 -000 -115 111 464 28092000 747666 0977070 -002 1996 0954111 -005 -115 075 -002 -117 112 576 01102000 723766 0968034 -003 1975 0989479 -001 -115 075 -002 -117 116 692 02102000 736337 1017369 002 1927 0975696 -002 -115 075 001 -114 111 804 03102000 717831 0974867 -003 1856 0963155 -004 -115 075 -002 -117 113 917 04102000 698780 0973460 -003 1888 1017241 002 -115 075 -002 -117 119 1035 08102000 673198 0963390 -004 1825 0966631 -003 -115 075 -003 -118 114 1150 09102000 669556 0994590 -001 1761 0964932 -004 -115 075 -000 -115 112 1261 10102000 652161 0974020 -003 1674 0950596 -005 -115 075 -002 -117 112 1373 11102000 629197 0964788 -004 1604 0958184 -004 -115 075 -003 -118 113 1486 12102000 607631 0965725 -003 1527 0951995 -005 -115 075 -003 -118 113 1599 15102000 619357 1019298 002 1597 1045842 004 -115 075 001 -113 118 1717 16102000 646053 1043103 004 1676 1049468 005 -115 075 003 -112 117 1834 17102000 668052 1034051 003 1758 1048926 005 -115 075 003 -112 117 1951 18102000 688105 1030017 003 1839 1046075 005 -115 075 002 -113 117 2068 19102000 688893 1001145 000 1906 1036433 004 -115 075 000 -115 118 2186 22102000 719462 1044374 004 2000 1049318 005 -115 075 003 -112 116 2303

Page 157

23102000 723338 1005387 001 1926 0963000 -004 -115 075 000 -115 111 2414 24102000 702403 0971058 -003 1830 0950156 -005 -115 075 -002 -117 112 2526 25102000 725191 1032443 003 1535 0838798 -018 -115 075 002 -113 095 2621 26102000 730437 1007234 001 1610 1048860 005 -115 075 001 -114 119 2740 29102000 726703 0994888 -001 1690 1049689 005 -115 075 -000 -115 120 2860 30102000 714909 0983771 -002 1774 1049704 005 -115 075 -001 -116 121 2981 31102000 733186 1025565 003 1855 1045660 004 -115 075 002 -113 118 3099 01112000 742977 1013354 001 1934 1042588 004 -115 075 001 -114 118 3217 02112000 747364 1005905 001 1982 1024819 002 -115 075 000 -114 117 3334 05112000 760243 1017233 002 2080 1049445 005 -115 075 001 -114 118 3452 06112000 761956 1002253 000 2176 1046154 005 -115 075 000 -115 119 3571 07112000 757468 0994110 -001 2278 1046875 005 -115 075 -000 -115 120 3691 08112000 762190 1006234 001 2381 1045215 004 -115 075 000 -114 119 3810 09112000 773445 1014767 001 2498 1049139 005 -115 075 001 -114 119 3929 12112000 807548 1044092 004 2617 1047638 005 -115 075 003 -112 116 4045 13112000 828930 1026478 003 2747 1049675 005 -115 075 002 -113 118 4163 14112000 817709 0986463 -001 2674 0973426 -003 -115 075 -001 -116 113 4276 15112000 845954 1034542 003 2689 1005610 001 -115 075 003 -112 113 4389 16112000 872700 1031616 003 2810 1044998 004 -115 075 002 -113 117 4506 19112000 845917 0969310 -003 2678 0953025 -005 -115 075 -002 -117 112 4619 20112000 838561 0991304 -001 2545 0950336 -005 -115 075 -001 -116 110 4729

Page 158

Paints and Chemical Industries (PACHIN) Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 04102000 698780 2750 08102000 673198 0963390 -004 2690 0978182 -002 -071 078 -003 -074 072 09102000 669556 0994590 -001 2700 1003717 000 -071 078 -000 -071 072 143 10102000 652161 0974020 -003 2647 0980370 -002 -071 078 -002 -073 071 214 11102000 629197 0964788 -004 2515 0950132 -005 -071 078 -003 -074 069 283 12102000 607631 0965725 -003 2390 0950298 -005 -071 078 -003 -074 069 351 15102000 619357 1019298 002 2481 1038075 004 -071 078 001 -069 073 425 16102000 646053 1043103 004 2489 1003225 000 -071 078 003 -068 068 493 17102000 668052 1034051 003 2483 0997589 -000 -071 078 003 -068 068 561 18102000 688105 1030017 003 2402 0967378 -003 -071 078 002 -069 065 626 19102000 688893 1001145 000 2301 0957952 -004 -071 078 000 -071 067 693 22102000 719462 1044374 004 2414 1049109 005 -071 078 003 -068 072 765 23102000 723338 1005387 001 2305 0954847 -005 -071 078 000 -071 066 831 24102000 702403 0971058 -003 2197 0953145 -005 -071 078 -002 -073 068 899 25102000 725191 1032443 003 2303 1048248 005 -071 078 002 -068 073 972 26102000 730437 1007234 001 2417 1049501 005 -071 078 001 -070 075 1048 29102000 726703 0994888 -001 2519 1042201 004 -071 078 -000 -071 075 1123 30102000 714909 0983771 -002 2396 0951171 -005 -071 078 -001 -072 067 1190 31102000 733186 1025565 003 2428 1013356 001 -071 078 002 -069 070 1261 01112000 742977 1013354 001 2346 0966227 -003 -071 078 001 -070 066 1327 02112000 747364 1005905 001 2304 0982097 -002 -071 078 000 -070 069 1396

Page 159

05112000 760243 1017233 002 2412 1046875 005 -071 078 001 -070 074 1470 06112000 761956 1002253 000 2416 1001658 000 -071 078 000 -071 071 1541 07112000 757468 0994110 -001 2315 0958195 -004 -071 078 -000 -071 067 1608 08112000 762190 1006234 001 2301 0993952 -001 -071 078 000 -070 070 1678 09112000 773445 1014767 001 2303 1000869 000 -071 078 001 -070 070 1748 12112000 807548 1044092 004 2412 1047330 005 -071 078 003 -068 072 1820 13112000 828930 1026478 003 2399 0994610 -001 -071 078 002 -069 068 1888 14112000 817709 0986463 -001 2296 0957065 -004 -071 078 -001 -072 068 1956 15112000 845954 1034542 003 2395 1043118 004 -071 078 003 -068 073 2029 16112000 872700 1031616 003 2453 1024217 002 -071 078 002 -069 071 2099 19112000 845917 0969310 -003 2396 0976763 -002 -071 078 -002 -073 071 2170 20112000 838561 0991304 -001 2322 0969115 -003 -071 078 -001 -072 068 2239 21112000 800223 0954281 -005 2255 0971146 -003 -071 078 -004 -075 072 2311 22112000 778413 0972745 -003 2361 1047007 005 -071 078 -002 -073 078 2388 23112000 799245 1026762 003 2340 0991105 -001 -071 078 002 -069 068 2456 26112000 823981 1030949 003 2353 1005556 001 -071 078 002 -069 069 2525 27112000 816509 0990932 -001 2310 0981725 -002 -071 078 -001 -072 070 2595 28112000 793731 0972103 -003 2210 0956710 -004 -071 078 -002 -073 069 2664 29112000 790196 0995546 -000 2253 1019457 002 -071 078 -000 -071 073 2737 30112000 796977 1008581 001 2299 1020417 002 -071 078 001 -070 072 2809 03122000 772668 0969498 -003 2299 1000000 000 -071 078 -002 -073 073 2883

Page 160

Upper Egypt Flour Mills Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 21092000 777843 2130 24092000 773441 0994341 -001 2073 0973239 -003 -075 087 -000 -076 073 25092000 776658 1004159 000 2056 0991799 -001 -075 087 000 -075 074 147 26092000 769503 0990787 -001 2051 0997568 -000 -075 087 -001 -076 076 223 27092000 765212 0994424 -001 2064 1006338 001 -075 087 -000 -076 076 299 28092000 747666 0977070 -002 2019 0978198 -002 -075 087 -002 -077 075 374 01102000 723766 0968034 -003 1995 0988113 -001 -075 087 -003 -078 077 451 02102000 736337 1017369 002 2055 1030075 003 -075 087 001 -074 077 528 03102000 717831 0974867 -003 2023 0984428 -002 -075 087 -002 -077 076 603 04102000 698780 0973460 -003 2010 0993574 -001 -075 087 -002 -078 077 680 08102000 673198 0963390 -004 2010 1000000 000 -075 087 -003 -078 078 759 09102000 669556 0994590 -001 1973 0981592 -002 -075 087 -000 -076 074 833 10102000 652161 0974020 -003 1909 0967562 -003 -075 087 -002 -077 074 907 11102000 629197 0964788 -004 1871 0980094 -002 -075 087 -003 -078 076 983 12102000 607631 0965725 -003 1850 0988776 -001 -075 087 -003 -078 077 1060 15102000 619357 1019298 002 1851 1000541 000 -075 087 002 -074 074 1134 16102000 646053 1043103 004 1942 1049163 005 -075 087 004 -072 076 1210 17102000 668052 1034051 003 2039 1049949 005 -075 087 003 -072 077 1287 18102000 688105 1030017 003 2126 1042668 004 -075 087 003 -073 077 1364 19102000 688893 1001145 000 2179 1024929 002 -075 087 000 -075 078 1442 22102000 719462 1044374 004 2118 0972006 -003 -075 087 004 -071 069 1510

Page 161

23102000 723338 1005387 001 2222 1049103 005 -075 087 000 -075 080 1590 24102000 702403 0971058 -003 2187 0984248 -002 -075 087 -003 -078 076 1666 25102000 725191 1032443 003 2142 0979424 -002 -075 087 003 -072 070 1736 26102000 730437 1007234 001 2160 1008403 001 -075 087 001 -075 075 1812 29102000 726703 0994888 -001 2190 1013889 001 -075 087 -000 -076 077 1889 30102000 714909 0983771 -002 2178 0994521 -001 -075 087 -001 -077 076 1965 31102000 733186 1025565 003 1774 0814509 -021 -075 087 002 -073 052 2017 01112000 742977 1013354 001 1826 1029312 003 -075 087 001 -074 077 2094 02112000 747364 1005905 001 1776 0972618 -003 -075 087 001 -075 072 2166 05112000 760243 1017233 002 1822 1025901 003 -075 087 001 -074 076 2242 06112000 761956 1002253 000 1840 1009879 001 -075 087 000 -075 076 2318 07112000 757468 0994110 -001 1790 0972826 -003 -075 087 -001 -076 073 2391 08112000 762190 1006234 001 1777 0992737 -001 -075 087 001 -075 074 2465 09112000 773445 1014767 001 1811 1019133 002 -075 087 001 -074 076 2541 12112000 807548 1044092 004 1815 1002209 000 -075 087 004 -071 072 2613 13112000 828930 1026478 003 1838 1012672 001 -075 087 002 -073 074 2687 14112000 817709 0986463 -001 1803 0980958 -002 -075 087 -001 -076 074 2761 15112000 845954 1034542 003 1788 0991681 -001 -075 087 003 -072 071 2833 16112000 872700 1031616 003 1807 1010626 001 -075 087 003 -072 074 2906 19112000 845917 0969310 -003 1799 0995573 -000 -075 087 -003 -078 077 2984 20112000 838561 0991304 -001 1766 0981656 -002 -075 087 -001 -076 074 3058

Page 162

Commercial International Bank (CIB) Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 11032001 675900 3598 12032001 668606 0989208 -001 3600 1000556 000 -006 145 -002 -008 008 14032001 643440 0962360 -004 3514 0976111 -002 -006 145 -006 -012 009 017 15032001 634936 0986784 -001 3520 1001707 000 -006 145 -002 -008 008 025 18032001 628225 0989430 -001 3455 0981534 -002 -006 145 -002 -008 006 031 19032001 624649 0994308 -001 3350 0969609 -003 -006 145 -001 -007 004 035 20032001 641923 1027654 003 3355 1001493 000 -006 145 004 -002 002 037 21032001 627624 0977725 -002 3412 1016990 002 -006 145 -003 -009 011 048 22032001 616127 0981682 -002 3428 1004689 000 -006 145 -003 -009 009 058 25032001 624609 1013767 001 3399 0991540 -001 -006 145 002 -004 003 061 27032001 619112 0991199 -001 3403 1001177 000 -006 145 -001 -007 008 069 28032001 606407 0979479 -002 3402 0999706 -000 -006 145 -003 -009 009 078 29032001 591655 0975673 -002 3399 0999118 -000 -006 145 -004 -010 010 087 01042001 574960 0971783 -003 3350 0985584 -001 -006 145 -004 -010 009 096 02042001 580434 1009521 001 3277 0978209 -002 -006 145 001 -005 003 099 03042001 595163 1025376 003 3304 1008239 001 -006 145 004 -002 003 102 04042001 604910 1016377 002 3406 1030872 003 -006 145 002 -004 007 109 05042001 601771 0994811 -001 3414 1002349 000 -006 145 -001 -007 007 116 08042001 613483 1019463 002 3389 0992677 -001 -006 145 003 -003 003 119 09042001 615266 1002906 000 3415 1007672 001 -006 145 000 -006 006 125 10042001 609238 0990203 -001 3459 1012884 001 -006 145 -001 -008 009 134

Page 163

11042001 628748 1032024 003 3466 1002024 000 -006 145 005 -002 002 136 12042001 629302 1000881 000 3617 1043566 004 -006 145 000 -006 010 146 17042001 609225 0968096 -003 3644 1007465 001 -006 145 -005 -011 012 157 18042001 597402 0980593 -002 3541 0971734 -003 -006 145 -003 -009 006 164 19042001 610423 1021796 002 3494 0986727 -001 -006 145 003 -003 002 165 22042001 615551 1008401 001 3596 1029193 003 -006 145 001 -005 008 173 23042001 626452 1017709 002 3650 1015017 001 -006 145 003 -004 005 178 24042001 624156 0996335 -000 3686 1009863 001 -006 145 -001 -007 008 186 26042001 617783 0989789 -001 3705 1005155 001 -006 145 -001 -008 008 194 29042001 612699 0991771 -001 3773 1018354 002 -006 145 -001 -007 009 203 30042001 612714 1000024 000 3771 0999470 -000 -006 145 000 -006 006 209 02052001 627421 1024003 002 3739 0991514 -001 -006 145 003 -003 002 211 03052001 634110 1010661 001 3454 0923776 -008 -006 145 002 -005 -003 208 06052001 636990 1004542 000 3457 1000869 000 -006 145 001 -005 006 213 07052001 649636 1019853 002 3414 0987561 -001 -006 145 003 -003 002 215 08052001 652206 1003956 000 3456 1012302 001 -006 145 001 -006 007 222 09052001 642720 0985456 -001 3502 1013310 001 -006 145 -002 -008 010 232 10052001 648901 1009617 001 3494 0997716 -000 -006 145 001 -005 005 236 13052001 666997 1027887 003 3516 1006297 001 -006 145 004 -002 003 239 14052001 664617 0996432 -000 3558 1011945 001 -006 145 -001 -007 008 247 15052001 656225 0987373 -001 3542 0995503 -000 -006 145 -002 -008 008 254

Page 164

Misr International Bank (MIBANK) Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 26022001 655096 3038 27022001 675048 1030457 003 3043 1001844 000 -036 127 004 -032 032 28022001 667608 0988979 -001 2962 0973186 -003 -036 127 -001 -037 034 066 01032001 672488 1007310 001 2973 1003782 000 -036 127 001 -035 035 101 07032001 691184 1027801 003 3058 1028525 003 -036 127 003 -032 035 136 08032001 687929 0995291 -000 3013 0985348 -001 -036 127 -001 -036 035 171 11032001 675900 0982514 -002 2906 0964684 -004 -036 127 -002 -038 034 205 12032001 668606 0989208 -001 2834 0974952 -003 -036 127 -001 -037 034 239 14032001 643440 0962360 -004 2811 0992095 -001 -036 127 -005 -040 040 279 15032001 634936 0986784 -001 2813 1000569 000 -036 127 -002 -037 037 316 18032001 628225 0989430 -001 2799 0995165 -000 -036 127 -001 -037 036 352 19032001 624649 0994308 -001 2670 0953701 -005 -036 127 -001 -036 031 384 20032001 641923 1027654 003 2688 1006892 001 -036 127 003 -032 033 416 21032001 627624 0977725 -002 2726 1013988 001 -036 127 -003 -038 040 456 22032001 616127 0981682 -002 2736 1003816 000 -036 127 -002 -038 038 494 25032001 624609 1013767 001 2725 0995906 -000 -036 127 002 -034 033 528 27032001 619112 0991199 -001 2800 1027598 003 -036 127 -001 -037 039 567 28032001 606407 0979479 -002 2774 0990857 -001 -036 127 -003 -038 037 604 29032001 591655 0975673 -002 2791 1006055 001 -036 127 -003 -039 039 644 01042001 574960 0971783 -003 2799 1002866 000 -036 127 -004 -039 039 683 02042001 580434 1009521 001 2730 0975136 -003 -036 127 001 -034 032 715

Page 165

03042001 595163 1025376 003 2738 1003224 000 -036 127 003 -032 033 748 04042001 604910 1016377 002 2870 1047911 005 -036 127 002 -033 038 786 05042001 601771 0994811 -001 2900 1010594 001 -036 127 -001 -036 037 823 08042001 613483 1019463 002 2834 0977379 -002 -036 127 002 -033 031 854 09042001 615266 1002906 000 2862 1009596 001 -036 127 000 -035 036 890 10042001 609238 0990203 -001 2888 1009226 001 -036 127 -001 -037 038 927 11042001 628748 1032024 003 2863 0991413 -001 -036 127 004 -032 031 958 12042001 629302 1000881 000 3005 1049455 005 -036 127 000 -035 040 998 17042001 609225 0968096 -003 3013 1002662 000 -036 127 -004 -040 040 1038 18042001 597402 0980593 -002 2966 0984334 -002 -036 127 -002 -038 036 1075 19042001 610423 1021796 002 2890 0974373 -003 -036 127 003 -033 030 1105 22042001 615551 1008401 001 2938 1016888 002 -036 127 001 -034 036 1141 23042001 626452 1017709 002 2807 0955350 -005 -036 127 002 -033 029 117024042001 624156 0996335 -000 2911 1037048 004 -036 127 -000 -036 040 1209 26042001 617783 0989789 -001 2973 1021160 002 -036 127 -001 -037 039 1248 29042001 612699 0991771 -001 2914 0980086 -002 -036 127 -001 -037 035 1283 30042001 612714 1000024 000 2822 0968699 -003 -036 127 000 -036 032 1315 02052001 627421 1024003 002 2801 0992347 -001 -036 127 003 -032 032 1347 03052001 634110 1010661 001 2886 1030277 003 -036 127 001 -034 037 1384 06052001 636990 1004542 000 2890 1001663 000 -036 127 001 -035 035 1419 07052001 649636 1019853 002 2909 1006366 001 -036 127 002 -033 034 1453

Page 166

Ameryah Cement Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative

rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return

08022001 747680 2900 11022001 733914 0981588 -002 2761 0952069 -005 -043 105 -002 -045 040 12022001 733028 0998793 -000 2743 0993481 -001 -043 105 -000 -043 042 082 13022001 726574 0991195 -001 2743 1000000 000 -043 105 -001 -044 044 126 14022001 726733 1000219 000 2867 1045206 004 -043 105 000 -043 047 174 15022001 716466 0985872 -001 2825 0985351 -001 -043 105 -001 -044 043 217 18022001 703762 0982269 -002 2949 1043894 004 -043 105 -002 -045 049 266 19022001 704431 1000951 000 2850 0966429 -003 -043 105 000 -043 039 305 20022001 720800 1023237 002 2870 1007018 001 -043 105 002 -041 041 347 22022001 696200 0965871 -003 2900 1010453 001 -043 105 -004 -047 048 394 25022001 670991 0963791 -004 2900 1000000 000 -043 105 -004 -047 047 441 26022001 655096 0976311 -002 2900 1000000 000 -043 105 -003 -045 045 486 27022001 675048 1030457 003 2900 1000000 000 -043 105 003 -040 040 526 28022001 667608 0988979 -001 3025 1043103 004 -043 105 -001 -044 048 575 01032001 672488 1007310 001 2995 0990083 -001 -043 105 001 -042 041 616 07032001 691184 1027801 003 3003 1002671 000 -043 105 003 -040 040 656 08032001 687929 0995291 -000 2907 0968032 -003 -043 105 -000 -043 040 696 11032001 675900 0982514 -002 3001 1032336 003 -043 105 -002 -045 048 744 12032001 668606 0989208 -001 3011 1003332 000 -043 105 -001 -044 044 789 14032001 643440 0962360 -004 3161 1049817 005 -043 105 -004 -047 052 841 15032001 634936 0986784 -001 3315 1048719 005 -043 105 -001 -044 049 890 18032001 628225 0989430 -001 3263 0984314 -002 -043 105 -001 -044 042 932 19032001 624649 0994308 -001 3263 1000000 000 -043 105 -001 -044 044 976 20032001 641923 1027654 003 2525 0773828 -026 -043 105 003 -040 014 990

Page 167

21032001 627624 0977725 -002 2452 0971089 -003 -043 105 -002 -045 042 1033 22032001 616127 0981682 -002 2500 1019576 002 -043 105 -002 -045 047 1080 25032001 624609 1013767 001 2500 1000000 000 -043 105 001 -042 042 1121 27032001 619112 0991199 -001 2516 1006400 001 -043 105 -001 -044 045 1166 28032001 606407 0979479 -002 2516 1000000 000 -043 105 -002 -045 045 1211 29032001 591655 0975673 -002 2527 1004372 000 -043 105 -003 -046 046 1257 01042001 574960 0971783 -003 2441 0965968 -003 -043 105 -003 -046 043 1299 02042001 580434 1009521 001 2415 0989349 -001 -043 105 001 -042 041 1340 03042001 595163 1025376 003 2415 1000000 000 -043 105 003 -040 040 1380 04042001 604910 1016377 002 2409 0997516 -000 -043 105 002 -041 041 1421 05042001 601771 0994811 -001 2415 1002491 000 -043 105 -001 -044 044 1465 08042001 613483 1019463 002 2481 1027329 003 -043 105 002 -041 044 1509 09042001 615266 1002906 000 2500 1007658 001 -043 105 000 -043 043 1552 10042001 609238 0990203 -001 2417 0966800 -003 -043 105 -001 -044 041 1593 11042001 628748 1032024 003 2500 1034340 003 -043 105 003 -040 043 1636 12042001 629302 1000881 000 2467 0986800 -001 -043 105 000 -043 042 1677 17042001 609225 0968096 -003 2467 1000000 000 -043 105 -003 -046 046 1724 18042001 597402 0980593 -002 2467 1000000 000 -043 105 -002 -045 045 1769

Page 168

Torah Portland Cement Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 15022001 716466 3234 -006 107 18022001 703762 0982269 -002 3174 0981447 -002 -006 107 -002 -008 006 19022001 704431 1000951 000 3160 0995589 -000 -006 107 000 -006 006 012 20022001 720800 1023237 002 3287 1040190 004 -006 107 002 -004 008 019 22022001 696200 0965871 -003 3199 0973228 -003 -006 107 -004 -010 007 026 25022001 670991 0963791 -004 3196 0999062 -000 -006 107 -004 -010 010 036 26022001 655096 0976311 -002 3156 0987484 -001 -006 107 -003 -009 007 044 27022001 675048 1030457 003 3127 0990811 -001 -006 107 003 -003 002 046 28022001 667608 0988979 -001 3190 1020147 002 -006 107 -001 -007 009 055 01032001 672488 1007310 001 3192 1000627 000 -006 107 001 -005 005 060 07032001 691184 1027801 003 3166 0991855 -001 -006 107 003 -003 002 063 08032001 687929 0995291 -000 3166 1000000 000 -006 107 -001 -007 007 069 11032001 675900 0982514 -002 3166 1000000 000 -006 107 -002 -008 008 077 12032001 668606 0989208 -001 3166 1000000 000 -006 107 -001 -007 007 085 14032001 643440 0962360 -004 3148 0994315 -001 -006 107 -004 -010 010 094 15032001 634936 0986784 -001 3112 0988564 -001 -006 107 -001 -008 006 101 18032001 628225 0989430 -001 3096 0994859 -001 -006 107 -001 -007 007 107 19032001 624649 0994308 -001 3054 0986434 -001 -006 107 -001 -007 005 113 20032001 641923 1027654 003 3000 0982318 -002 -006 107 003 -003 001 114 21032001 627624 0977725 -002 3000 1000000 000 -006 107 -002 -009 009 123 22032001 616127 0981682 -002 2912 0970667 -003 -006 107 -002 -008 005 128

Page 169

25032001 624609 1013767 001 2890 0992445 -001 -006 107 001 -005 004 132 27032001 619112 0991199 -001 3031 1048789 005 -006 107 -001 -007 012 144 28032001 606407 0979479 -002 3021 0996701 -000 -006 107 -002 -008 008 152 29032001 591655 0975673 -002 2999 0992718 -001 -006 107 -003 -009 008 160 01042001 574960 0971783 -003 3000 1000333 000 -006 107 -003 -009 009 169 02042001 580434 1009521 001 2967 0989000 -001 -006 107 001 -005 004 173 03042001 595163 1025376 003 2967 1000000 000 -006 107 003 -003 003 176 04042001 604910 1016377 002 2906 0979441 -002 -006 107 002 -004 002 179 05042001 601771 0994811 -001 2884 0992429 -001 -006 107 -001 -007 006 184 08042001 613483 1019463 002 2735 0948336 -005 -006 107 002 -004 -001 183 09042001 615266 1002906 000 2607 0953199 -005 -006 107 000 -006 001 184 10042001 609238 0990203 -001 2600 0997315 -000 -006 107 -001 -007 007 191 11042001 628748 1032024 003 2600 1000000 000 -006 107 003 -003 003 194 12042001 629302 1000881 000 2657 1021923 002 -006 107 000 -006 008 202 17042001 609225 0968096 -003 2590 0974784 -003 -006 107 -003 -010 007 209 18042001 597402 0980593 -002 2638 1018533 002 -006 107 -002 -008 010 219 19042001 610423 1021796 002 2696 1021986 002 -006 107 002 -004 006 225 22042001 615551 1008401 001 2613 0969214 -003 -006 107 001 -005 002 227 23042001 626452 1017709 002 2673 1022962 002 -006 107 002 -004 007 234 24042001 624156 0996335 -000 2567 0960344 -004 -006 107 -000 -007 002 236 26042001 617783 0989789 -001 2567 1000000 000 -006 107 -001 -007 007 243

Page 170

Nasr City for Housing and Development Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 27092001 561925 2109 30092001 564278 1004187 000 2104 0997629 -000 -115 075 000 -115 114 01102001 568252 1007043 001 2118 1006654 001 -115 075 001 -114 115 229 02102001 555684 0977883 -002 2075 0979698 -002 -115 075 -002 -117 115 344 03102001 549459 0988798 -001 2080 1002410 000 -115 075 -001 -116 116 460 04102001 544680 0991302 -001 2034 0977885 -002 -115 075 -001 -116 113 573 07102001 544675 0999991 -000 2050 1007866 001 -115 075 -000 -115 116 689 08102001 543049 0997015 -000 2046 0998049 -000 -115 075 -000 -115 115 804 09102001 545728 1004933 000 2106 1029326 003 -115 075 000 -115 117 921 10102001 549824 1007506 001 2055 0975783 -002 -115 075 001 -114 112 1033 11102001 554529 1008557 001 2051 0998054 -000 -115 075 001 -114 114 1147 14102001 563161 1015566 002 2111 1029254 003 -115 075 001 -114 117 1264 15102001 563789 1001115 000 2084 0987210 -001 -115 075 000 -115 114 1378 16102001 560209 0993650 -001 2104 1009597 001 -115 075 -000 -115 116 1494 17102001 573477 1023684 002 2113 1004278 000 -115 075 002 -113 114 1608 18102001 579797 1011020 001 2142 1013725 001 -115 075 001 -114 115 1723 21102001 583382 1006183 001 2129 0993931 -001 -115 075 000 -114 114 1837 22102001 585868 1004261 000 2095 0984030 -002 -115 075 000 -115 113 1950 23102001 584346 0997402 -000 2084 0994749 -001 -115 075 -000 -115 115 2064 24102001 580869 0994050 -001 2065 0990883 -001 -115 075 -000 -115 114 2179 25102001 571335 0983587 -002 2070 1002421 000 -115 075 -001 -116 116 2295

Page 171

28102001 560295 0980677 -002 2047 0988889 -001 -115 075 -001 -116 115 2411 29102001 558792 0997317 -000 2026 0989741 -001 -115 075 -000 -115 114 2525 30102001 563118 1007742 001 2025 0999506 -000 -115 075 001 -114 114 2639 31102001 557753 0990473 -001 2001 0988148 -001 -115 075 -001 -116 114 2753 01112001 554861 0994815 -001 2036 1017491 002 -115 075 -000 -115 117 2870 04112001 562024 1012910 001 2064 1013752 001 -115 075 001 -114 115 2986 05112001 565106 1005484 001 2100 1017442 002 -115 075 000 -115 116 3102 06112001 564130 0998273 -000 2091 0995714 -000 -115 075 -000 -115 115 3217 07112001 558639 0990266 -001 2051 0980870 -002 -115 075 -001 -116 114 3330 08112001 558192 0999200 -000 2050 0999512 -000 -115 075 -000 -115 115 3445 11112001 556063 0996186 -000 1958 0955122 -005 -115 075 -000 -115 111 3556 12112001 552223 0993094 -001 1895 0967824 -003 -115 075 -001 -115 112 3668 13112001 546427 0989504 -001 1896 1000528 000 -115 075 -001 -116 116 3784 14112001 541547 0991069 -001 1835 0967827 -003 -115 075 -001 -116 112 3896 15112001 533398 0984952 -002 1751 0954223 -005 -115 075 -001 -116 111 4008 18112001 524993 0984243 -002 1753 1001142 000 -115 075 -001 -116 116 4124 19112001 523018 0996238 -000 1783 1017114 002 -115 075 -000 -115 117 4241 20112001 520627 0995428 -000 1770 0992709 -001 -115 075 -000 -115 115 4355 21112001 510062 0979707 -002 1784 1007910 001 -115 075 -002 -116 117 4472 22112001 508562 0997059 -000 1792 1004484 000 -115 075 -000 -115 116 4588 25112001 508087 0999066 -000 1783 0994978 -001 -115 075 -000 -115 114 4703

Page 172

Suez Cement Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 16052001 655120 3535 17052001 659723 1007026 001 3554 1005375 001 -020 126 001 -019 019 20052001 656059 0994446 -001 3456 0972425 -003 -020 126 -001 -020 017 037 21052001 651237 0992650 -001 3462 1001736 000 -020 126 -001 -020 021 057 22052001 655995 1007306 001 3531 1019931 002 -020 126 001 -019 021 078 23052001 656965 1001479 000 3532 1000283 000 -020 126 000 -019 019 097 24052001 665419 1012868 001 3595 1017837 002 -020 126 002 -018 020 117 27052001 670868 1008189 001 3676 1022531 002 -020 126 001 -018 021 138 28052001 678608 1011537 001 3670 0998368 -000 -020 126 001 -018 018 155 29052001 668826 0985585 -001 3630 0989101 -001 -020 126 -002 -021 020 176 30052001 662111 0989960 -001 3617 0996419 -000 -020 126 -001 -021 020 196 31052001 653740 0987357 -001 3660 1011888 001 -020 126 -002 -021 022 218 03062001 634276 0970227 -003 3576 0977049 -002 -020 126 -004 -023 021 239 05062001 627793 0989779 -001 3596 1005593 001 -020 126 -001 -021 021 261 06062001 623888 0993780 -001 3568 0992214 -001 -020 126 -001 -020 020 280 07062001 629223 1008551 001 3582 1003924 000 -020 126 001 -018 019 299 10062001 632250 1004811 000 3761 1049972 005 -020 126 001 -019 024 323 11062001 629970 0996394 -000 3891 1034565 003 -020 126 -000 -020 023 346 12062001 632227 1003583 000 3789 0973786 -003 -020 126 000 -019 016 363 13062001 628592 0994250 -001 3814 1006598 001 -020 126 -001 -020 021 384 14062001 630035 1002296 000 3889 1019664 002 -020 126 000 -019 021 405

Page 173

17062001 621647 0986686 -001 3692 0949344 -005 -020 126 -002 -021 016 421 18062001 620202 0997676 -000 3671 0994312 -001 -020 126 -000 -020 019 440 19062001 610903 0985006 -002 3596 0979570 -002 -020 126 -002 -021 019 459 20062001 607444 0994338 -001 3627 1008621 001 -020 126 -001 -020 021 481 21062001 613967 1010738 001 3661 1009374 001 -020 126 001 -018 019 500 24062001 609920 0993408 -001 3672 1003005 000 -020 126 -001 -020 021 520 25062001 608366 0997452 -000 3694 1005991 001 -020 126 -000 -020 020 541 26062001 600648 0987314 -001 3610 0977260 -002 -020 126 -002 -021 019 560 27062001 593325 0987808 -001 3595 0995845 -000 -020 126 -002 -021 021 580 28062001 596953 1006115 001 3590 0998609 -000 -020 126 001 -019 019 599 02072001 609759 1021452 002 3627 1010306 001 -020 126 003 -017 018 617 03072001 619411 1015829 002 3611 0995589 -000 -020 126 002 -018 017 634 04072001 623719 1006955 001 3584 0992523 -001 -020 126 001 -019 018 652 05072001 620332 0994570 -001 3604 1005580 001 -020 126 -001 -020 021 672 08072001 622701 1003819 000 3641 1010266 001 -020 126 000 -019 020 692 09072001 624279 1002534 000 3654 1003570 000 -020 126 000 -019 020 712 10072001 615867 0986525 -001 3604 0986316 -001 -020 126 -002 -021 020 732 11072001 607357 0986182 -001 3587 0995283 -000 -020 126 -002 -021 021 753 12072001 609565 1003635 000 3579 0997770 -000 -020 126 000 -019 019 771 15072001 596585 0978706 -002 3519 0983236 -002 -020 126 -003 -022 021 792 16072001 579782 0971835 -003 3452 0980961 -002 -020 126 -004 -023 021 813

Page 174

Egyptian Financial and Industrial Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 14052001 664617 2188 -126 086 15052001 656225 0987373 -001 2297 1049817 005 -126 086 -001 -127 132 16052001 655120 0998316 -000 2206 0960383 -004 -126 086 -000 -126 122 254 17052001 659723 1007026 001 2199 0996827 -000 -126 086 001 -125 125 379 20052001 656059 0994446 -001 2188 0994998 -001 -126 086 -000 -126 126 505 21052001 651237 0992650 -001 2166 0989945 -001 -126 086 -001 -127 126 630 22052001 655995 1007306 001 2195 1013389 001 -126 086 001 -125 127 757 23052001 656965 1001479 000 2111 0961731 -004 -126 086 000 -126 122 879 24052001 665419 1012868 001 2210 1046897 005 -126 086 001 -125 129 1008 27052001 670868 1008189 001 2238 1012670 001 -126 086 001 -125 126 1134 28052001 678608 1011537 001 2272 1015192 002 -126 086 001 -125 126 1261 29052001 668826 0985585 -001 2253 0991637 -001 -126 086 -001 -127 126 1387 30052001 662111 0989960 -001 2220 0985353 -001 -126 086 -001 -127 125 1512 31052001 653740 0987357 -001 2253 1014865 001 -126 086 -001 -127 128 1641 03062001 634276 0970227 -003 2251 0999112 -000 -126 086 -003 -128 128 1769 05062001 627793 0989779 -001 2251 1000000 000 -126 086 -001 -127 127 1896 06062001 623888 0993780 -001 2315 1028432 003 -126 086 -001 -126 129 2025 07062001 629223 1008551 001 2306 0996112 -000 -126 086 001 -125 125 2150 10062001 632250 1004811 000 2257 0978751 -002 -126 086 000 -125 123 2273 11062001 629970 0996394 -000 2335 1034559 003 -126 086 -000 -126 130 2403 12062001 632227 1003583 000 2367 1013704 001 -126 086 000 -126 127 2530

Page 175

13062001 628592 0994250 -001 2335 0986481 -001 -126 086 -000 -126 125 2655 14062001 630035 1002296 000 2297 0983726 -002 -126 086 000 -126 124 2779 17062001 621647 0986686 -001 2386 1038746 004 -126 086 -001 -127 131 2910 18062001 620202 0997676 -000 2441 1023051 002 -126 086 -000 -126 128 3038 19062001 610903 0985006 -002 2416 0989758 -001 -126 086 -001 -127 126 3164 20062001 607444 0994338 -001 2311 0956540 -004 -126 086 -000 -126 122 3286 21062001 613967 1010738 001 2250 0973605 -003 -126 086 001 -125 122 3409 24062001 609920 0993408 -001 2331 1036000 004 -126 086 -001 -126 130 3538 25062001 608366 0997452 -000 2304 0988417 -001 -126 086 -000 -126 125 3663 26062001 600648 0987314 -001 1995 0865885 -014 -126 086 -001 -127 113 3776 27062001 593325 0987808 -001 1930 0967419 -003 -126 086 -001 -127 124 3900 28062001 596953 1006115 001 1975 1023316 002 -126 086 001 -125 128 4027 02072001 609759 1021452 002 1923 0973671 -003 -126 086 002 -124 121 4149 03072001 619411 1015829 002 1923 1000000 000 -126 086 001 -125 125 4273 04072001 623719 1006955 001 2001 1040562 004 -126 086 001 -125 129 4403 05072001 620332 0994570 -001 2067 1032984 003 -126 086 -000 -126 130 4532 08072001 622701 1003819 000 2075 1003870 000 -126 086 000 -126 126 4658 09072001 624279 1002534 000 2081 1002892 000 -126 086 000 -126 126 4784 10072001 615867 0986525 -001 2159 1037482 004 -126 086 -001 -127 131 4915 11072001 607357 0986182 -001 2078 0962483 -004 -126 086 -001 -127 123 5038 12072001 609565 1003635 000 2151 1035130 003 -126 086 000 -126 129 5167

Page 176

Abu Keir for Fertilisers Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 23092001 597012 2759 24092001 588809 0986260 -001 2759 1000000 000 -094 047 -001 -095 095 25092001 581727 0987972 -001 2760 1000362 000 -094 047 -001 -095 095 190 26092001 570192 0980171 -002 2734 0990580 -001 -094 047 -001 -095 094 285 27092001 561925 0985501 -001 2744 1003658 000 -094 047 -001 -095 096 380 30092001 564278 1004187 000 2790 1016764 002 -094 047 000 -094 096 476 01102001 568252 1007043 001 2837 1016846 002 -094 047 000 -094 096 572 02102001 555684 0977883 -002 2830 0997533 -000 -094 047 -001 -096 095 667 03102001 549459 0988798 -001 2821 0996820 -000 -094 047 -001 -095 095 762 04102001 544680 0991302 -001 2800 0992556 -001 -094 047 -000 -095 094 856 07102001 544675 0999991 -000 2800 1000000 000 -094 047 -000 -094 094 951 08102001 543049 0997015 -000 2822 1007857 001 -094 047 -000 -095 095 1046 09102001 545728 1004933 000 2815 0997519 -000 -094 047 000 -094 094 1140 10102001 549824 1007506 001 2834 1006750 001 -094 047 000 -094 095 1235 11102001 554529 1008557 001 2834 1000000 000 -094 047 000 -094 094 1329 14102001 563161 1015566 002 2828 0997883 -000 -094 047 001 -094 094 1423 15102001 563789 1001115 000 2825 0998939 -000 -094 047 000 -094 094 1517 16102001 560209 0993650 -001 2822 0998938 -000 -094 047 -000 -095 095 1612 17102001 573477 1023684 002 2832 1003544 000 -094 047 001 -093 094 1705 18102001 579797 1011020 001 2820 0995763 -000 -094 047 001 -094 094 1799 21102001 583382 1006183 001 2838 1006383 001 -094 047 000 -094 095 1894

Page 177

22102001 585868 1004261 000 2801 0986963 -001 -094 047 000 -094 093 1987 23102001 584346 0997402 -000 2812 1003927 000 -094 047 -000 -095 095 2082 24102001 580869 0994050 -001 2823 1003912 000 -094 047 -000 -095 095 2177 25102001 571335 0983587 -002 2824 1000354 000 -094 047 -001 -095 095 2272 28102001 560295 0980677 -002 2806 0993626 -001 -094 047 -001 -095 095 2367 29102001 558792 0997317 -000 2498 0890235 -012 -094 047 -000 -095 083 2450 30102001 563118 1007742 001 2482 0993595 -001 -094 047 000 -094 093 2544 31102001 557753 0990473 -001 2444 0984690 -002 -094 047 -000 -095 093 2637 01112001 554861 0994815 -001 2455 1004501 000 -094 047 -000 -095 095 2732 04112001 562024 1012910 001 2488 1013442 001 -094 047 001 -094 095 2827 05112001 565106 1005484 001 2492 1001608 000 -094 047 000 -094 094 2922 06112001 564130 0998273 -000 2481 0995586 -000 -094 047 -000 -095 094 3016 07112001 558639 0990266 -001 2496 1006046 001 -094 047 -000 -095 096 3111 08112001 558192 0999200 -000 2470 0989583 -001 -094 047 -000 -095 093 3205 11112001 556063 0996186 -000 2488 1007287 001 -094 047 -000 -095 095 3300 12112001 552223 0993094 -001 2498 1004019 000 -094 047 -000 -095 095 3396 13112001 546427 0989504 -001 2495 0998799 -000 -094 047 -001 -095 095 3490 14112001 541547 0991069 -001 2488 0997194 -000 -094 047 -000 -095 095 3585 15112001 533398 0984952 -002 2498 1004019 000 -094 047 -001 -095 096 3681 18112001 524993 0984243 -002 2460 0984788 -002 -094 047 -001 -095 094 3774 19112001 523018 0996238 -000 2460 1000000 000 -094 047 -000 -095 095 3869

Page 179

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 = [(T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX)] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2] (511)

middot Jensen (Alpha) = arp ndash [arf + βp(arM - arf)] (512)

middot Sharpe = (arp - arf) σp (513)

middot Treynor = (arp - arf) βp (514)

middot Tracking Error = αp σep (515)

The following are the detailed calculations of the various performance measures for

the funds analysed

Page 180

Market Portfolio

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -2630 881 -3511 123271 123271 123271 1999 4250 905 3345 4250 905 3345 111890 111890 111890 2000 -4119 909 -5028 -4119 909 -5028 252808 252808 252808 2001 -3120 906 -4026 -3120 906 -4026 162087 162087 162087

Sum -9220 -9220 650056 650056 650056

Mean -1405 900

Standard Deviation 3820

Beta 100 Jensen (Alpha) 000 Std Dev Of Rndm Error Term 000 Sharpe -060 Treynor -2305 Tracking Error 000

Page 181

Fund No 1

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1630 881 -2511 123271 63051 88161 1999 4250 905 3345 1200 905 295 111890 870 9868 2000 -4119 909 -5028 -1144 909 -2053 252808 42148 103225 2001 -3120 906 -4026 -1750 906 -2656 162087 70543 106931

Sum -9220 -6925 650056 176613 308184

Mean -831 900

Standard Deviation 1379

Beta 034 Jensen (Alpha) -949 Std Dev Of Rndm Error Term 560 Sharpe -126 Treynor -5099 Tracking Error -169

Page 182

Fund No 2

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1660 881 -2541 123271 64567 89215 1999 4250 905 3345 1590 905 685 111890 4692 22913 2000 -4119 909 -5028 -1307 909 -2216 252808 49107 111420 2001 -3120 906 -4026 -520 906 -1426 162087 20335 57411

Sum -9220 -5498 650056 138700 280959

Mean -474 900

Standard Deviation 1456

Beta 035 Jensen (Alpha) -562 Std Dev Of Rndm Error Term 662 Sharpe -094 Treynor -3899 Tracking Error -085

Page 183

Fund No 3

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1490 881 -2371 123271 56216 83246 1999 4250 905 3345 1350 905 445 111890 1980 14885 2000 -4119 909 -5028 -1289 909 -2198 252808 48312 110515 2001 -3120 906 -4026 -1310 906 -2216 162087 49107 89216

Sum -9220 -6340 650056 155615 297863

Mean -685 900

Standard Deviation 1359

Beta 035 Jensen (Alpha) -786 Std Dev Of Rndm Error Term 354 Sharpe -117 Treynor -4571 Tracking Error -222

Page 184

Fund No 4

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1770 881 -2651 123271 70278 93077 1999 4250 905 3345 1100 905 195 111890 380 6523 2000 -4119 909 -5028 -1438 909 -2347 252808 55084 118007 2001 -3120 906 -4026 -1690 906 -2596 162087 67392 104515

Sum -9220 -7399 650056 193135 322121

Mean -950 900

Standard Deviation 1374

Beta 035 Jensen (Alpha) -1051 Std Dev Of Rndm Error Term 434 Sharpe -135 Treynor -5339 Tracking Error -242

Page 185

Fund No 5

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1680 881 -2561 123271 65587 89917 1999 4250 905 3345 1230 905 325 111890 1056 10871 2000 -4119 909 -5028 -1078 909 -1987 252808 39482 99906 2001 -3120 906 -4026 -1410 906 -2316 162087 53639 93242

Sum -9220 -6539 650056 159764 293936

Mean -735 900

Standard Deviation 1333

Beta 033 Jensen (Alpha) -880 Std Dev Of Rndm Error Term 547 Sharpe -123 Treynor -4994 Tracking Error -161

Page 186

Fund No 6

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1480 881 -2361 123271 55743 82895 1999 4250 905 3345 1140 905 235 111890 552 7861 2000 -4119 909 -5028 -1083 909 -1992 252808 39681 100158 2001 -3120 906 -4026 -1240 906 -2146 162087 46053 86398

Sum -9220 -6264 650056 142029 277311

Mean -666 900

Standard Deviation 1215

Beta 030 Jensen (Alpha) -866 Std Dev Of Rndm Error Term 421 Sharpe -129 Treynor -5155 Tracking Error -205

Page 187

Fund No 7

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1151 881 -2032 123271 41290 71344 1999 4250 905 3345 306 905 -599 111890 3588 -20037 2000 -4119 909 -5028 -1174 909 -2083 252808 43389 104733 2001 -3120 906 -4026 -1312 906 -2218 162087 49195 89297

Sum -9220 -6932 650056 137462 245337

Mean -833 900

Standard Deviation 762

Beta 020 Jensen (Alpha) -1282 Std Dev Of Rndm Error Term 173 Sharpe -227 Treynor -8863 Tracking Error -739

Page 188

Fund No 8

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -279 881 -1160 123271 13456 40728 1999 4250 905 3345 751 905 -154 111890 237 -5151 2000 -4119 909 -5028 -803 909 -1712 252808 29309 86079 2001 -3120 906 -4026 -960 906 -1866 162087 34820 75125

Sum -9220 -4892 650056 77822 196781

Mean -323 900

Standard Deviation 773

Beta 019 Jensen (Alpha) -780 Std Dev Of Rndm Error Term 305 Sharpe -158 Treynor -6369 Tracking Error -256

Page 189

References

1 Bekaert G and Harvey C R ldquoTime-Varying World Market Integrationrdquo Journal

of Finance Vol 50 no 2 (June 1995) pp 403-444

2 Bekaert G and Harvey C R ldquoEmerging Equity Market Volatilityrdquo Journal of

Financial Economics Vol 43 no 1 (1997) pp 29-77

3 Bekaert G Erb C B Harvey C R and Viscanta T E ldquoDistributional

Characteristics of Emerging Market Returns and Asset

Allocationrdquo Journal of Portfolio Management Vol 24

no 2 (Winter 1998) pp 102-116

4 Bodie Z Kane A and Marcus A ldquoInvestmentsrdquo 4th ed McGraw Hell 2001

5 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (May 2002)

6 Cairo and Alexandria Stock Exchanges ldquoFact Bookrdquo 2001

7 Cairo and Alexandria Stock Exchanges ldquoStatistical Highlightsrdquo 2001

8 Claessens S ldquoAssessing Investment Potential and Security Designrdquo Conference

on Portfolio Investment in Developing Countries The

World Bank 1993

9 Conrad J and Kaul G ldquoTime Variation in Expected Returnsrdquo Journal of

Business Vol 61 no 4 (October 1998) pp 409-425

in (Bodie et al 2001)

10 Egyptian Financial Group (EFG-Hermes) ldquoEgypt Country Reportrdquo (May 2000)

11 Fama E F ldquoEfficient Capital Markets A Review of Theory and Empirical

Workrdquo Journal of Finance Vol 25 no 2 (May 1970) pp

383-417

12 Fama E F Fisher L Jensen M and Roll R ldquoThe Adjustment of Stock prices

Page 190

to New Informationrdquo International Economic Review

Vol 10 no 1 (February 1969) pp 1-21 in (Fama

1970)

13 Fama E F and French K R Permanent and Temporary Components of Stock

pricesrdquo Journal of Political Economy Vol 96 (April

1988) pp 24-73 in Bodie et al (2001)

14 Fama E F ldquoEfficient Capital Markets IIrdquo Journal of Finance Vol 46 no 5

(December 1991) pp 1575-1617

15 Fama E F ldquoMarket Efficiency Long-Term Returns and Behavioural Financerdquo

Journal of Financial Economics Vol 49 (September

1998) pp 283-306

16 Harvey C R ldquoThe Risk Exposure of Emerging Equity Marketsrdquo Conference on

Portfolio Investment in Developing Countries The World

Bank 1993

17 HC Brokerage ldquoEgypt Equity Researchrdquo 2001

18 Howell M J Cleassens S and Gooptu S ldquoInvesting in Emerging Marketsrdquo

Euromoney Books in association with the World Bank 1994

19 HSBC Investment Bank-Egypt ldquoTreasury and Capital Markets A Guide to

Egyptrdquo 2001

20 Jensen M C ldquoThe Performance of Mutual Funds in The Period 1945-1964rdquo

Journal of Finance Vol 23 no 2 (May 1968) pp 389-416

21 Kendall M G ldquoThe Ananlysis of Economic Time Series Part I Pricesrdquo Journal

of Royal Statistical Society 96 (Part 1 1953) pp 11-

25 in (Fama 1970 pp 390) and (Leroy 1989 pp

1587-1588)

Page 191

22 Law No 951992 ldquoCapital Market Lawrdquo

23 Law No 1591981 ldquoCompanies Lawrdquo

24 Law No 2031991 ldquoInvestment Lawrdquo

25 LeRoy S F ldquoEfficient Capital Markets and Martingalesrdquo Journal of Economic

Literature Vol 27 no 4 (December 1989) pp 1583-1621

26 Lewellen J and Shanken J ldquoLearning Asset Pricing Tests and Market

efficiencyrdquo Journal of Finance Vol 57 no 3 (June

2002) pp 1113-1144

27 Masters S J ldquoEmerging Markets Managing the Impact of High Costsrdquo Journal

of Portfolio Management Vol 28 no 3 (Spring 2002) pp

96-101

28 Mecagni M and Sourial M S ldquoThe Egyptian Stock Market Efficiency Tests

and Volatility Effectsrdquo International Monetary Fund

Working Paper 9948 (April 1999)

29 Odier P Solnik B and Zucchinetti S ldquoGlobal Optimisation for Swiss Pension

Fundsrdquo Finazmarkt und Portfolio Management (June

1995) in (Solnik 2000) pp 263

30 Poterba J and Summers L ldquoMean Reversion in Stock Prices Evidence and

Implicationsrdquo Journal of Financial Economics Vol 22

(October 1988) pp 27-59 in (Bodie et al 2001) pp

345

31 Saunders A and Walter I ldquoAre Emerging Market Equities a Separate Asset

Classrdquo Journal of Portfolio Management Vol 28 no

3 (Spring 2002) pp 102-114

32 Sharpe W F ldquoMutual Fund Performancerdquo Journal of Business Vol 39 no 1

Page 192

(January 1966) pp 119-138

33 Sharpe W F Alexander G J and Bailey J V ldquoInvestmentsrdquo 6th ed Prentice

Hall Inc 1999

34 Solnik B ldquoInternational Investmentsrdquo 4th ed Addison Wesley 2000

35 Stevenson S ldquoEmerging Markets Downside Risk and The Asset Allocation

Decisionrdquo Emerging Markets Review Vol 2 no 1

(March 2001) pp 50-66

36 Treynor J L ldquoHow to Rate Management of Investment Fundsrdquo Harvard

Business Review Vol 43 no 1 (JanuaryFebruary 1965) pp

63-75

37 Treynor J L and Black F ldquoHow to Use Security Analysis to Improve Portfolio

Selectionrdquo Journal of Business Vol 46 no 1

(January 1973) pp 66-86

38 Williamson J ldquoIssues Posed by Portfolio Investment in Developing Countriesrdquo

Conference on Portfolio Investment in Developing

Countries The World Bank 1993

Electronic References

1 Cairo and Alexandria Stock Exchanges ldquoTrade Historyrdquo [Online]

httpwwwegyptsecomtradehistoryasp

2 DATASTREAM [Online]

3 Law No 81997 ldquoInvestment Lawrdquo (August 2002) [Online]

httpwwweconomygovegenglishdownloadtocdownloadstm

4 Law No 932000 ldquoCentral Securities Depository and Registry Lawrdquo (August

Page 193

2002) [Online]

httpwwweconomygovegarabicdownloadtocdownloadstm

5 REUTERS [Online]

Bibliography

1 Black F ldquoNoiserdquo Journal of Finance Vol 41 no 3 (July 1986) pp 529-543

2 Cairo and Alexandria Stock Exchanges ldquoStock Guiderdquo 2001

3 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (November 2000)

4 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (December 2001)

5Cothren R ldquoOn The Impossibility of Informationally Efficient Markets

Commentrdquo American Economic Review Vol 72 no

4 (September 1982) pp 873-874

6 Elton E J Gruber M J Das S and Hlavka M ldquoEfficiency with Costly

Information A Reinterpretation of Evidence from

Managed Portfoliosrdquo Review of Financial Studies

Vol 6 no 1 (1993) pp 1-22

7 Grossman S J and Stiglitz J E ldquoOn The Impossibility of Informationally

Efficient Marketsrdquo American Economic Review Vol

70 no 3 (June 1980) pp 393-408

8 Grossman S J and Stiglitz J E ldquoOn The Impossibility of Informationally

Efficient Markets Replyrdquo American Economic

Review Vol 72 no 4 (September 1982) pp 875

Page 194

9 HSBC Investment Bank-Egypt ldquoEgypt Equities Researchrdquo (20012002)

10 Malkiel B G ldquoReturns From Investing in Equity Mutual Funds 1971-1991rdquo

Journal of Finance Vol 50 (June 1995) pp 549-572

11 Ministry of Foreign Trade ldquo Monthly Economic Digestrdquo (May 2002)

12 Prime Funds ldquoAnnual Reviewrdquo (1997 1998 1999 2000 and 2001)

13 Prime Group ldquoBlue Book Guide to Egyptian Securitiesrdquo (1998 1999 2000 and

2001)

14 Sharpe W F ldquoCapital Asset Prices A Theory of Market Equilibrium Under

Conditions of Riskrdquo Journal of Finance Vol 19 no

3 (September 1964) pp 425-442

Electronic

1 Cairo and Alexandria Stock Exchanges ldquoCASE 50 Index Rulesrdquo [Online]

httpwwwegyptsecomcase50_ivasp

2 Egyptian Financial Group (EFG-Hermes) ldquoFundsrdquo (September 2002) [Online]

httpwwwefg-hermescomegdocsmarketfundsasp

3 Egyptian Financial Group (EFG-Hermes) ldquoFunds Reportsrdquo (July 2002)

[Online]

httpwwwefg-hermescomegdocsmarketfunds_reportsasp

Page 4

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

11 Aims and Objectives

Under the Efficient Markets Hypothesis stock prices are assumed to ldquoFully Reflectrdquo 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

Page 5

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 20002001 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

12 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

Page 6

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 20002001

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

Page 7

Chapter 2 Literature Review

21 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

bull A country with low or middle income using the World Bankrsquos

Classification

bull 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 (21) below depicts the results of the study

Page 8

Graph 21 Efficient Frontier with Emerging Markets

Source Odier Solnik and Zucchinetti ldquoGlobal Optimisation for Swiss Pension fundsrdquo 1995 in Solnik ldquoInvestmentsrdquo 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 115 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 investorrsquos 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

Page 9

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 countriesrsquo 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

Page 10

bull More diversified sources of external finance

bull Greater risk bearing by private investors through equity investment

compared to the case of bank lending in the 1970s

bull Reduced cost of capital

bull 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

bull Favourable interest and equity return differentials with industrial countries

bull Risk Diversification due to low correlation of stock returns in

developing countries with returns in industrial countries

bull The inefficiency of Emerging markets which makes returns predictable

bull 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

Page 11

protection inefficient country funds and limited number of internationally listed

securities

Williamson (1993) discusses the issue of better fund management under the private-

to-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 sellersrsquo 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 ldquoIndiscriminate Capital

Flowsrdquo 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

Page 12

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 Williamsonrsquos 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 countryrsquos market or

securities

Claessens (1993) also discusses the concept of marketsrsquo 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

Page 13

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 ldquoShifting Industrial

Structuresrdquo which suggests changes in risk sensitivities over time

Page 14

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 marketsrsquo returns

alter over time

Table (21) shows summary statistical data for 23 Developed and 15 Emerging

Markets over the period 1988-1997 on a monthly basis

Table 21 Summary Statistics for Emerging and Developed Markets

Page 15

Table 21 Continued

Source Stevenson S ldquoEmerging Markets Downside Risk and The Asset Allocation Decisionrdquo

The data is based on IFC indices for the Emerging markets and MSCI indices for the

Developed markets

Table 21 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 ndash0233 for Japan and 15037 for Netherlands and the Returns for

Emerging markets that vary between ndash07979 for Korea and 24731 for

Argentina

Page 16

Variance figures also show greater variation with Developed markets varying between

118745 for USA and 599113 for Hong Kong and developing markets varying

between 213601 for Jordan and 4490278 for Argentina

More interestingly when considering the degree of skewness and kurtosis most

Emerging marketsrsquo returns display significant results indicating non-normality in the

distribution of returns

For example Nigeria shows significant values of kurtosis and skewness of 31931 and

ndash34479 respectively compared to 04818 and ndash02368 for USA

The Jarque-Bera (JB) statistics show similar results confirming the departure of Risk-

Return 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 ndash

such as custody legal and accounting costs ndash 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

Page 17

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 ndash 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 22)

Page 18

Table 22 Correlations in Returns between Emerging and Developed Markets

Source Saunders and Walter ldquoAre Emerging Market Equities a Separate Asset Classrdquo 2002

They conclude that the traditional consideration of emerging marketsrsquo stocks as being

a separate asset class and therefore allocation of funds among countriesrsquo indices will

no longer be sufficient to generate diversification benefits

Instead they confirm Masterrsquos 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

Page 19

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

22 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)

ldquoThe literature is now so large that a full review is impossiblerdquo

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 ldquoRandom Walkrdquo that is stock returns tend to be

independent of past returns (Fama 1970)

The first impression of Kendallrsquos conclusion is that markets are irrational and tend to

act with no sense of direction

Page 20

Later research clarified that Kendallrsquos conclusion in fact reflects the rational nature

of the market

Fama (1970) defines an Efficient Market as one where information is ldquoFully

Reflectedrdquo 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 ldquoFully Reflectrdquo 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

bull Weak-form efficient where the prices reflect all available information

about past prices

bull Semi-strong-form efficient where the prices reflect all publicly

available information including earnings companiesrsquo performance

etc

bull 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 securitiesrsquo prices

follow a random walk and suggests that they tend to follow a ldquoSubmartingalerdquo

Page 21

That is instead of the restrictive assumption that securities prices and returns are

serially independent and identically distributed he assumes that prices follow a

ldquoRandom Walk with a Driftrdquo 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 ldquoBuy-and-Holdrdquo strategy

Subsequent research found relatively supporting evidence to Famarsquos 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 pricesrsquo returns show negative long-term serial correlations suggesting

that stock prices might overreact to relevant news in whatrsquos came to be known as the

ldquoFads Hypothesisrdquo (Bodie Kane and Marcus 2001)

Also Leroy (1989) challenged Famarsquos argument (1970) that when prices follow a

submartingale no strategy can outperform a ldquoBuy-and-Holdrdquo 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 ldquoBuy-and-Holdrdquo strategy

Page 22

Second that the Capital Asset Pricing Model (CAPM) implies that in equilibrium

asset returns will not necessarily follow a submartingale That is a stockrsquos returns

might negatively co-varies with the market strong enough that it would be included in

a risk averse investorrsquos 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

ldquoRisk Neutralityrdquo and that investors will rush to buysell 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 ldquoJoint Hypothesisrdquo 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

Page 23

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 ldquoParameter Uncertaintyrdquo 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 mean-

reversion process)

Something they comment which data generating process can predict before hands

Page 24

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 23 below shows the main results of the study

Table 23 Unconditional Distribution Statistics for the Egyptian Stock Exchange Daily Stock Returns

Page 25

Source Mecagni and Sourial ldquoThe Egyptian Stock Market Efficiency Tests and Volatility Effectsrdquo 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

Page 26

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

Page 27

Chapter 3 General Preview

31 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 19901991 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 951992 The law provided great momentum to the market and the

market capitalisation increased dramatically as the reform and privatisation

progressed

Table (31) provides main market indicators for the Egyptian Stock Market for the

period 1991 ndash June 2001

Page 28

Table 31 Main Market Indicators for the period 1991 ndash June 2001

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

From the table it can be seen that the market capitalisation increased form LE88

billion in 1991 to LE 1197 billion in 2000 and was slightly reduced to LE1103

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 (31) and (32) which correspond to lines 3 and 6 of Table (31) respectively

Page 29

Graph 31 Total Volume of Traded Securities Graph 32 Total Value Traded of Securities (Million) Jan 1991 ndash Jun 2001 (Million) Jan 1991 ndash June 2001

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

The Egyptian Stock Market is well regulated however therersquos 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 (32) below shows that as at 30 June 2001 8226 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 30

Table 32 Liquidity of the 30 Most Heavily Traded Stocks in Terms of Value Traded (Jan 2001 ndash 30 June 2001)

Source Cairo and Alexandria Stock Exchanges Statistical Highlights 2001

311 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 31

The Capital Market Law (Law 951992)

Replacing Law 1611957 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 932000)

This laws aims to provide the legal framework for the Central Depository in Egypt

The law identifies shareholdersrsquo 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 32

The law also introduced the legal recognition of the concept of ldquoNominee Tradingrdquo

and the Depositoryrsquos obligation to establish and control a ldquoGuarantee Fundrdquo which

ensures the settlement of trades on time to achieve smooth market operation

The Companies Law (Law 1591981)

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 2031991)

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 self-

run 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 governmentrsquos share of ownership in a company drops to less than

51 the regulation of the company passes from law 203 to law 159

Page 33

The Investment Law (Law 81997)

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

312 The Exchange

Egyptrsquos 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 34

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 951992) 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 35

313 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 36

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 LE300 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 ndash PIPO) (Prime Asset Management Index ndash PAMI)

and (Prime General Index ndash 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 Corporationrsquos Global and Investable indices

Page 37

(IFCG and IFCI) in 1996 Egypt was added to the Morgan Stanley index on a stand-

alone 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 028 212 and 014 respectively (CASEFB 2001)

314 Key Economic Sectors

Egyptrsquos 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 (33) below depicts the main economic indicators for Egypt for the period 1997

till 2000

Table 33 Main Economic Indicators 1997 - 2000

Source HSBC Investment Bank ndash Egypt ldquoTreasury and Capital Markets A Guide to Egyptrdquo 2001

Page 38

Table (33) shows GDP growth rate of 51 in 19992000 down from 61 in

19981999 due to the economic slowdown which was a reflection of the global

economic conditions

Egyptrsquos inflation rate has also declined from 38 in 19981999 to 28 in 19992000

with an average rate below 4 for the entire period from 1997 ndash 2000

Foreign Reserves have declined from US$ 203 billion in 19971998 to US$ 147

billion in 19992000 due to the governmentrsquos managed float foreign exchange policy

However the level of reserves remains healthy covering approximately 9 months of

imports

Exports increased by 42 in 19992000 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 39

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 statersquos 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 40

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

Egyptrsquos 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 governmentrsquos 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 55 million

arrivals and revenues which increased by 33 to US$ 47 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

109 This was in direct relation to an average growth in GDP of 5 per annum and

an average growth in construction industry of 25 per annum (HC 2001)

Page 41

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 (34) below shows the current market share of three of the largest cement

producers in Egypt as of 2001

Table 34 Market Share of the Three Largest Cement Producers in Egypt (2001)

Source HC Brokerage ldquoEgypt Equity Researchrdquo 2001

As a result capacity additions rose by 102 in 2000 and by 287 in 2001 This

increase in capacity coupled with the economic slowdown and stagnation in

construction industry in 20002001 resulted in supply exceeding demand for the first

time in 20012002 (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 42

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 25 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 43

while consumption is around 20 million tons with the surplus being exported

Approximately 79 of Egyptrsquos 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 Egyptrsquos 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)

315 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 44

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 LE 15 million However the more recently introduced Capital

Adequacy requirements mandate that new brokerage firms must have a minimum

Authorised Capital of LE 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)

316 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 45

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 LE 179 billion in June 2001 as compared to LE 1103

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 46

32 Market Performance

Market analysis for the period 1996 till 1st quarter 2000 is based on the analysis included in ldquoEFG-Hermes Country Report May 2000rdquo Additional analysis for the period 2nd quarter 2000 till 2001 is based on the analysis included in ldquoCairo and Alexandria Stock Exchanges Fact Book 2001rdquo Performance analysis is based on the performance of the Hermes Financial Index for the period 1996-2001

Despite the fact that the Capital Market Law (Law 951992) gave the regulatory

power to reform the Stock Market in Egypt it wasnrsquot until 1996 when ldquoNasr City for

Housing and Development Companyrdquo offered the first majority privatisation stake in

accordance with the aims and objectives of the Privatisation Law (Law 2031991)

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 33)

Graph 33 Overall Market Performance (1996 ndash 1998)

Source EFG-Hermes ldquoEgypt Country Reportrdquo 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 47

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 ldquoValue

Stocksrdquo to new-economy ldquoGrowth Stocksrdquo 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 34)

Graph 34 Private versus Public Sector Share Performance 1998

Source EFG-Hermes ldquoEgypt Country Reportrdquo 2000

In early 1999 the market started rising once again This was mainly attributed to the

initial public offering of ldquoMobinilrdquo the first in telecommunication sector which

marked the market shift towards more sophistication in trading decisions with

Mobinilrsquos share price ending 1999 with 660 increase

Page 48

In the mean time a liquidity squeeze became apparent amid concerns about the

governmentrsquos management of the economy and its commitment to the privatisation

programme This drove the market down for the most of 1999 (Graph 35)

Graph 35 Market Performance (1998-1999)

Source EFG-Hermes ldquoEgypt Country Reportrdquo 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 36)

Page 49

Graph 36 Market Performance (2000 ndash 2001)

0

2000

4000

6000

8000

10000

12000

14000

16000

020

120

00

020

220

00

020

320

00

020

420

00

020

520

00

020

620

00

020

720

00

020

820

00

020

920

00

021

020

00

021

120

00

021

220

00

020

120

01

020

220

01

020

320

01

020

420

01

020

520

01

020

620

01

020

720

01

020

820

01

020

920

01

021

020

01

021

120

01

021

220

01

HFI

Source REUTERS EFG-Hermes

The general downturn continued during the rest of 2000 and throughout 2001 with the

market being down by 596 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 50

Chapter 4 Market Efficiency

41 Methodology

411 Event studies

The approach adopted in testing for market efficiency within the Egyptian Stock

market is ldquoEvent Studiesrdquo 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 ldquoSemi-strong efficientrdquo 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 ldquoSemi-

strong inefficientrdquo market

The tests were conducted using an Ordinary Least Squares regression model (OLS) to

identify the stockrsquos Expected Normal Returns and hence any deviation of Actual

Returns from Expected returns in the form of Unexpected Abnormal Returns

Page 51

Mathematically the returns of a security can be represented by the following formula

ri = αi + βirM + ei (41)

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 irsquos abnormal returns

From equation (41) the abnormal returns of a security can be found be rewriting the

equation to be

ei = ri ndash (αi + βirM) (42)

Equation (42) 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

bull using Cumulative Abnormal Returns (CAR) to measure abnormal

returns surrounding the event examined instead of the Buy-and-Hold

Average Returns (BHAR) method

bull returns were measured over short horizons to provide better results

under the assumption of securities returns being normally distributed

Page 52

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)

412 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 41 shows the values of Standard Deviation Skewness and Kutosis for the

index returns for the periods 19961997 19981999 and 20002001

Page 53

Table 41 Key Statistics for the Hermes Financial Index 1996-2001

Date Index Value Change Index Returns Date Index Value Change Index Returns Date Index Value Change Index Returns 1996-19971 1998-1999 2000-2001 (Vt Vt-1) ln (Vt Vt-1) (Vt Vt-1) ln (Vt Vt-1) (Vt Vt-1) ln (Vt Vt-1)

10111996 867670 28121997 1226070 26121999 1215240 17111996 882871 1017519 174 04011998 1240540 1011802 117 02012000 1302750 1072010 695 24111996 945531 1070973 686 11011998 1222730 0985643 -145 09012000 1360710 1044491 435 01121996 996570 1053979 526 18011998 1206630 0986833 -133 16012000 1383930 1017065 169 08121996 1016080 1019577 194 25011998 1187560 0984196 -159 23012000 1457730 1053326 520 15121996 1039650 1023197 229 01021998 1161970 0978452 -218 30012000 1399530 0960075 -407 22121996 1024630 0985553 -146 08021998 1152100 0991506 -085 06022000 1378850 0985224 -149 29121996 1025110 1000468 005 15021998 1148570 0996936 -031 13022000 1408260 1021329 211 05011997 1131130 1103423 984 22021998 1154110 1004823 048 20022000 1369110 0972200 -282 12011997 1184190 1046909 458 01031998 1152270 0998406 -016 27022000 1249590 0912702 -913 19011997 1178430 0995136 -049 08031998 1171950 1017079 169 05032000 1263010 1010740 107 26011997 1258880 1068269 660 15031998 1177260 1004531 045 12032000 1278610 1012351 123 02021997 1357460 1078308 754 22031998 1188570 1009607 096 19032000 1262590 0987471 -126 09021997 1484800 1093808 897 29031998 1200260 1009835 098 26032000 1233620 0977055 -232 16021997 1531050 1031149 307 05041998 1197600 0997784 -022 02042000 1251400 1014413 143 23021997 1613500 1053852 525 12041998 1198900 1001086 011 09042000 1239300 0990331 -097 02031997 1556100 0964425 -362 19041998 1195490 0997156 -028 16042000 1198730 0967264 -333 09031997 1558050 1001253 013 26041998 1182420 0989067 -110 23042000 1083240 0903656 -1013 16031997 1552380 0996361 -036 03051998 1176960 0995382 -046 30042000 1119630 1033594 330 23031997 1468520 0945980 -555 10051998 1159590 0985242 -149 07052000 1105850 0987692 -124 30031997 1465020 0997617 -024 17051998 1129560 0974103 -262 14052000 1139120 1030085 296 06041997 1479870 1010136 101 24051998 1112340 0984755 -154 21052000 1170140 1027232 269 13041997 1486590 1004541 045 31051998 1073430 0965020 -356 28052000 1079810 0922804 -803 20041997 1476740 0993374 -066 07061998 1045480 0973962 -264 04062000 1084760 1004584 046

Page 54

27041997 1506070 1019861 197 14061998 1066480 1020086 199 11062000 1015120 0935801 -664 04051997 1464590 0972458 -279 21061998 1032170 0967829 -327 18062000 1001480 0986563 -135 11051997 1436900 0981094 -191 28061998 1030030 0997927 -021 25062000 916437 0915083 -887 18051997 1375190 0957053 -439 05071998 1002040 0972826 -276 02072000 899917 0981974 -182 25051997 1388860 1009940 099 12071998 982199 0980199 -200 09072000 939109 1043551 426 01061997 1322860 0952479 -487 19071998 970995 0988593 -115 16072000 925956 0985994 -141 08061997 1363670 1030850 304 26071998 995234 1024963 247 23072000 865117 0934296 -680 15061997 1347130 0987871 -122 02081998 1010220 1015058 149 30072000 817732 0945227 -563 22061997 1334000 0990253 -098 09081998 986274 0976296 -240 06082000 789054 0964930 -357 29061997 1311840 0983388 -168 16081998 966470 0979920 -203 13082000 756887 0959233 -416 06071997 1323390 1008804 088 23081998 934316 0966730 -338 20082000 834110 1102027 972 13071997 1309910 0989814 -102 30081998 901108 0964457 -362 27082000 832698 0998307 -017 20071997 1290000 0984800 -153 06091998 949019 1053169 518 03092000 816798 0980905 -193 27071997 1260250 0976938 -233 13091998 950397 1001452 015 10092000 845660 1035336 347 03081997 1262230 1001571 016 20091998 953342 1003099 031 17092000 811616 0959743 -411 10081997 1256470 0995437 -046 27091998 956663 1003484 035 24092000 777843 0958388 -425 17081997 1258060 1001265 013 04101998 958912 1002351 023 01102000 747666 0961204 -396 24081997 1303680 1036262 356 11101998 943251 0983668 -165 08102000 698780 0934615 -676 31081997 1353230 1038008 373 18101998 943963 1000755 008 15102000 607631 0869560 -1398 07091997 1366730 1009976 099 25101998 934640 0990124 -099 22102000 688893 1133736 1255 14091997 1396460 1021753 215 01111998 918468 0982697 -175 29102000 730437 1060305 586 21091997 1404870 1006022 060 08111998 913223 0994289 -057 05112000 747364 1023174 229 28091997 1399450 0996142 -039 15111998 917822 1005036 050 12112000 773445 1034897 343 05101997 1398330 0999200 -008 22111998 917160 0999279 -007 19112000 872700 1128328 1207 12101997 1387030 0991919 -081 29111998 906802 0988706 -114 26112000 799245 0915830 -879 19101997 1362190 0982091 -181 06121998 902621 0995389 -046 03122000 796977 0997162 -028 26101997 1364920 1002004 020 13121998 889094 0985014 -151 10122000 790233 0991538 -085 02111997 1348240 0987780 -123 20121998 902575 1015163 150 17122000 787365 0996371 -036 09111997 1333460 0989038 -110 27121998 906891 1004782 048 24122000 756623 0960956 -398 16111997 1299370 0974435 -259 03011999 914183 1008041 080 31122000 753795 0996262 -037

Page 55

23111997 1253930 0965029 -356 10011999 983873 1076232 735 07012001 757822 1005342 053 30111997 1260160 1004968 050 17011999 989959 1006186 062 14012001 752417 0992868 -072 07121997 1202660 0954371 -467 24011999 1016140 1026447 261 21012001 722711 0960519 -403 14121997 1218480 1013154 131 31011999 1105790 1088226 845 28012001 755868 1045879 449 21121997 1214730 0996922 -031 07021999 1094590 0989871 -102 04022001 769449 1017967 178 28121997 1226070 1009335 093 14021999 1053620 0962570 -381 11022001 747680 0971708 -287

21021999 1071770 1017226 171 18022001 716466 0958252 -426 28021999 1055100 0984446 -157 25022001 696200 0971714 -287 07031999 1039860 0985556 -145 04032001 672488 0965941 -347 14031999 1041200 1001289 013 11032001 687929 1022961 227 21031999 1027650 0986986 -131 18032001 634936 0922967 -802 28031999 1031360 1003610 036 25032001 616127 0970377 -301 04041999 1034930 1003461 035 01042001 591655 0960281 -405 11041999 1024940 0990347 -097 08042001 601771 1017098 170 18041999 1026450 1001473 015 15042001 629302 1045750 447 25041999 1038240 1011486 114 22042001 610423 0970000 -305 02051999 1014430 0977067 -232 29042001 617783 1012057 120 09051999 1027240 1012628 125 06052001 634110 1026428 261 16051999 1015400 0988474 -116 13052001 648901 1023326 231 23051999 1012050 0996701 -033 20052001 659723 1016677 165 30051999 986598 0974851 -255 27052001 665419 1008634 086 06061999 977053 0990325 -097 03062001 653740 0982449 -177 13061999 1007370 1031029 306 10062001 629223 0962497 -382 20061999 989166 0981929 -182 17062001 630035 1001290 013 27061999 1026150 1037389 367 24062001 613967 0974497 -258 04071999 995282 0969919 -305 01072001 596953 0972288 -281 11071999 995600 1000320 003 08072001 620332 1039164 384 18071999 1012170 1016643 165 15072001 609565 0982643 -175 25071999 981962 0970155 -303 22072001 554710 0910010 -943 01081999 971997 0989852 -102 29072001 550917 0993162 -069

Page 56

08081999 953229 0980691 -195 05082001 528555 0959409 -414 15081999 935049 0980928 -193 12082001 553572 1047331 462 22081999 944102 1009682 096 19082001 561918 1015077 150 29081999 935339 0990718 -093 26082001 564762 1005061 050 05091999 928650 0992849 -072 02092001 595784 1054929 535 12091999 923843 0994824 -052 09092001 642737 1078809 759 19091999 936583 1013790 137 16092001 626337 0974484 -258 26091999 963355 1028585 282 23092001 614817 0981607 -186 03101999 964466 1001153 012 30092001 561925 0913971 -900 10101999 1008430 1045584 446 07102001 544680 0969311 -312 17101999 1067340 1058418 568 14102001 554529 1018082 179 24101999 1019230 0954925 -461 21102001 579797 1045567 446 31101999 1038280 1018691 185 28102001 571335 0985405 -147 07111999 1047550 1008928 089 04112001 554861 0971166 -293 14111999 1071510 1022872 226 11112001 558192 1006003 060 21111999 1077140 1005254 052 18112001 533398 0955582 -454 28111999 1104220 1025141 248 25112001 508562 0953438 -477 05121999 1152250 1043497 426 02122001 519633 1021769 215 12121999 1338690 1161805 1500 09122001 516432 0993840 -062 19121999 1235780 0923126 -800 16122001 534209 1034423 338 26121999 1215240 0983379 -168 23122001 531180 0994330 -057 30122001 526241 0990702 -093 Std Dev 326 280 456 Skewness 080 181 011 Kurtosis 084 829 079 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 57

The table shows that Standard Deviation has decreased from 326 for the period

19961997 to 28 for the period 19981999 indicating a mild volatility during the

second period

Skewness and kurtosis coefficients have increased during the period 19981999

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 19981999 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) (43)

ri = ln (Pt Pt-1) (44)

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 andor

acquisition data were available for the period analysed (Note that the most actively

traded 30 securities accounted for 8226 of market liquidity as of June 2001 which

Page 58

makes the number of securities analysed a fair representation of the market under the

information constraint)

42 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 ldquoLarge Capitalisation-Valuerdquo stocks to avoid

anomalies associated with ldquoSmall Capitalisation-Growthrdquo stocks which are

characterised by the lack of accurate information and analysis and by infrequent

trading within the Egyptian market

Table 42 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 59

Table 42 Summary Statistics of Stocks Analysed

Company Beta Alpha Std Dev Of Rdm Std Error of Std Error of Correlation Coefficient of Coefficient of Error Term Beta Alpha Coefficient Determination Nondetermination Banking

Commercial International Bank (CIB) 145 -006 312 0062 0174 080 063 037 Egyptian American Bank (EAB) 118 -040 338 0065 0181 070 049 051 Misr International Bank (MIBANK) 127 -036 314 0062 0174 075 057 043 Cement Ameryah Cement 105 -043 358 0067 0187 064 041 059 Helwan Portland Cement 085 -056 326 0064 0178 060 035 065 Suez Cement 126 -020 271 0058 0162 080 063 037 Torah Portland Cement 107 -006 377 0068 0191 063 039 061 Food and Beverages Upper Egypt Flour Mills 087 -075 491 0078 0218 045 020 080 Housing Nasr City for Housing and Development 075 -115 444 0074 0208 043 018 082 Chemicals Abu Keir for Fertilisers 047 -094 389 0070 0194 033 011 089 Egyptian Financial and Industrial 086 -126 286 0060 0167 065 042 058 Paints and Chemical Industries 078 -071 410 0071 0200 047 022 078

Page 60

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

43 Findings

Appendix C provides the detailed calculations of Abnormal Returns for the securities

analysed around the announcement dates of the various events tested

431 Takeovers

Efficiency tests related to Acquisition events included the acquisition announcements

for two companies in the cement sector during 2001 namely the acquisition of

9469 of Helwan Portland Cement shares by the Arab Swiss Engineering Company

(ASEC) and 3465 of Suez Cement shares by Ciments Francais (Cairo and

Alexandria Stock Exchanges Monthly Bulletin May 2002)

Tables (43) and (44) and Graphs (41) and (42) show the following

Despite fluctuating around 040 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 61

Table 43 Average Abnormal Returns Takeovers Table 44 Cumulative Abnormal Returns Takeovers 2001 2001

Day Helwan Portland Suez Cement AAR ()

-18 055 018 036 -17 056 019 038 -16 057 022 039 -15 059 023 041 -14 059 018 038 -13 059 017 038 -12 055 016 036 -11 061 017 039 -10 059 020 040 -9 055 022 038 -8 053 022 037 -7 057 019 038 -6 057 019 038 -5 056 019 038 -4 056 023 039 -3 059 022 041 -2 061 020 041 -1 059 017 038 0 054 020 037 1 060 020 040 2 060 019 040 3 059 018 038 4 062 024 043 5 063 025 044 6 050 020 035 7 051 014 033 8 060 019 039 9 061 018 039

10 068 016 042 11 058 016 037 12 058 026 042 13 054 020 037 14 057 019 038 15 059 020 040 16 057 021 039 17 057 015 036 18 058 019 039 19 058 022 040 20 051 019 035 21 056 019 038

DayHelwan Portland Suez Cement Avg CAR

-18 112 038 075 -17 167 057 112 -16 225 079 152 -15 284 102 193 -14 343 120 231 -13 402 137 269 -12 457 153 305 -11 518 170 344 -10 577 190 384 -9 632 213 422 -8 685 234 460 -7 743 253 498 -6 800 272 536 -5 857 291 574 -4 913 314 613 -3 972 335 654 -2 1034 356 695 -1 1092 373 733 0 1146 393 769 1 1206 413 809 2 1266 432 849 3 1325 449 887 4 1387 474 931 5 1450 498 974 6 1500 519 1010 7 1552 533 1042 8 1611 551 1081 9 1672 569 1120

10 1740 585 1163 11 1799 602 1200 12 1856 627 1242 13 1910 648 1279 14 1967 666 1317 15 2026 687 1356 16 2084 708 1396 17 2141 723 1432 18 2199 742 1470 19 2257 764 1510 20 2308 783 1545 21 2364 802 1583

Page 62

Graph 41 Average Abnormal Returns surrounding Takeovers in 2001

Average Abnormal Returns Takeovers (2001)

000

005

010

015

020

025

030

035

040

045

050

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Graph 42 Cumulative Abnormal Returns surrounding Takeovers in 2001

Average Cumulative Abnormal Returns Takveovers (2001)

000

200

400

600

800

1000

1200

1400

1600

1800

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Slow Adjustment

Information Leakage

Page 63

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 securitiesrsquo prices to

their new fair values and therefore caused the increasing cumulative abnormal

returns after the announcement date

432 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 (45) (46) (47) and (48) and figure (41) 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 (050 in 2000

and 025 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 64

Table 45 Average Abnormal Returns Dividend Increase 2000 Day CIB EAB MIBANK Ameryah Egy FinampInd Abu Keir Fert AAR ()

-18 -139 042 035 046 126 096 034 -17 -344 043 038 043 125 096 000 -16 -403 040 034 040 124 094 -012 -15 192 037 036 044 128 095 089 -14 -277 040 037 047 126 096 011-13 -267 039 036 046 130 092 013 -12 134 040 035 043 126 094 079 -11 -060 038 034 044 125 095 046 -10 -448 040 036 046 128 097 -017 -9 -199 042 036 046 129 094 025 -8 426 041 031 044 126 092 127 -7 419 043 034 046 123 093 126 -6 328 040 036 032 127 095 110 -5 -388 037 036 044 126 096 -008 -4 -069 043 033 046 125 094 045 -3 014 039 035 041 131 093 059 -2 -128 041 037 045 125 095 036 -1 -017 040 037 041 125 094 054 0 -092 041 037 041 130 097 042 1 -105 039 034 042 130 098 040 2 172 043 034 043 122 097 085 3 248 042 036 041 124 096 098 4 333 037 037 041 122 094 111 5 156 043 035 041 128 094 083 6 -298 040 035 043 121 093 006 7 285 043 038 046 123 089 104 8 -024 042 033 045 120 092 052 9 225 031 039 045 122 085 091

10 -056 042 036 042 124 093 047 11 041 039 032 046 124 096 063 12 -240 038 037 045 122 095 016 13 -082 048 040 041 125 095 045 14 205 032 030 041 131 094 089 15 058 039 036 045 128 094 067 16 144 040 036 043 121 089 079 17 -358 039 036 044 126 090 -004 18 -010 041 036 046 126 100 057 19 307 039 041 043 125 099 109 20 -975 039 044 045 120 094 -105 21 -187 038 026 044 130 095 024

Page 65

Table 46 Average Abnormal Returns Dividend Increase 2001

Day CIB MIBANK Ameryah AAR ()

-18 009 034 042 029 -17 008 035 044 029 -16 006 035 047 029 -15 004 035 043 027 -14 002 034 049 029 -13 011 034 039 028 -12 009 040 041 030 -11 003 037 048 029 -10 008 036 047 030 -9 009 031 045 029 -8 010 033 040 027 -7 009 040 048 032 -6 003 038 041 027 -5 003 033 040 026 -4 007 039 040 029 -3 007 037 048 031 -2 003 039 044 029 -1 006 039 052 033 0 009 032 049 030 1 002 033 042 026 2 010 038 044 031 3 012 037 014 021 4 006 031 042 026 5 002 036 047 028 6 008 038 042 029 7 005 031 045 027 8 008 040 045 031 9 008 040 046 031

10 009 036 043 029 11 006 030 041 026 12 002 036 040 026 13 -003 029 041 022 14 006 040 044 030 15 002 039 044 028 16 007 035 043 028 17 010 032 041 028 18 005 032 043 026 19 003 037 042 027 20 008 035 046 030 21 008 034 045 029

Page 66

Table 47 Cumulative Abnormal Returns Dividend Increase 2000 Day CIB EAB MIBANK Ameryah Egy FinampInd Abu Keir Fert Avg CAR ()

-18 -271 083 070 086 249 191 068 -17 -614 126 108 129 374 287 068 -16 -1018 166 142 169 498 381 056 -15 -826 202 178 213 626 476 145 -14 -1103 242 215 260 752 572 156 -13 -1370 281 251 306 882 664 169 -12 -1235 321 286 348 1008 759 248 -11 -1296 359 321 392 1133 853 294 -10 -1744 399 357 439 1261 950 277 -9 -1943 441 393 485 1390 1045 302 -8 -1517 482 424 529 1516 1137 428 -7 -1098 525 458 575 1639 1230 555 -6 -770 564 494 607 1766 1326 665 -5 -1157 601 530 651 1892 1422 656 -4 -1227 645 563 697 2017 1515 702 -3 -1213 684 598 737 2148 1609 760 -2 -1341 725 634 782 2273 1703 796 -1 -1358 765 671 823 2398 1798 850 0 -1450 806 708 864 2529 1894 892 1 -1555 845 742 906 2659 1992 932 2 -1383 888 776 949 2781 2090 1017 3 -1135 929 811 990 2905 2185 1114 4 -802 966 848 1031 3028 2279 1225 5 -646 1009 883 1072 3156 2373 1308 6 -945 1049 918 1115 3277 2466 1313 7 -660 1092 956 1161 3400 2555 1417 8 -683 1134 990 1206 3521 2647 1469 9 -458 1165 1029 1251 3643 2732 1560

10 -514 1206 1065 1293 3766 2825 1607 11 -472 1245 1097 1339 3890 2921 1670 12 -712 1283 1134 1384 4012 3016 1686 13 -794 1331 1174 1426 4137 3111 1731 14 -589 1364 1203 1466 4267 3205 1819 15 -530 1403 1239 1512 4396 3299 1886 16 -386 1443 1275 1555 4516 3388 1965 17 -744 1482 1311 1599 4643 3478 1961 18 -754 1523 1347 1644 4769 3578 2018 19 -446 1562 1388 1688 4895 3676 2127 20 -1421 1601 1432 1732 5014 3770 2022 21 -1608 1639 1458 1777 5144 3866 2046

Page 67

Table 48 Cumulative Abnormal Returns Dividend Increase 2001

Day CIB MIBANK Ameryah Avg CAR ()

-18 017 066 082 055 -17 025 101 126 084 -16 031 136 174 114 -15 035 171 217 141 -14 037 205 266 169 -13 048 239 305 198 -12 058 279 347 228 -11 061 316 394 257 -10 069 352 441 287 -9 078 384 486 316 -8 087 416 526 343 -7 096 456 575 376 -6 099 494 616 403 -5 102 528 656 429 -4 109 567 696 457 -3 116 604 744 488 -2 119 644 789 517 -1 125 683 841 550 0 134 715 890 580 1 136 748 932 605 2 146 786 976 636 3 157 823 990 657 4 164 854 1033 683 5 165 890 1080 712 6 173 927 1121 741 7 178 958 1166 767 8 186 998 1211 798 9 194 1038 1257 830

10 203 1075 1299 859 11 209 1105 1340 885 12 211 1141 1380 911 13 208 1170 1421 933 14 213 1209 1465 963 15 215 1248 1509 991 16 222 1283 1552 1019 17 232 1315 1593 1047 18 236 1347 1636 1073 19 239 1384 1677 1100 20 247 1419 1724 1130 21 254 1453 1769 1159

Page 68

Figure 41 Abnormal Returns surrounding Dividend Increase (2000-2001)

Average Abnormal Returns Dividend Increase (2000)

-150

-100

-050

000

050

100

150

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Abnormal Returns Dividend Increase (2001)

000

005

010

015

020

025

030

035

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Cumulative Abnormal Returns Dividend Increase ( 2000)

000

500

1000

1500

2000

2500

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement date

AC

AR

()

Information Leakage

Slow Adjustment

Average Cumulative Abnormal Returns Dividend Increase (2001)

000

200

400

600

800

1000

1200

1400

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Page 70

433 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 (49) (410) (411) and (412) and figure (42) 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 (064 in 2000 and 0725 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 71

Table 49 Average Abnormal Returns Dividend Decrease 2000 Day Helwan Cement Torah Port Nasr City Paints amp Chem Upper Egypt F Mills AAR ()

-18 052 003 119 072 074 064-17 056 005 120 071 076 066-16 058 008 111 069 076 064-15 054 007 112 069 075 063-14 059 008 116 073 077 067-13 057 005 111 068 077 064-12 056 009 113 068 076 064-11 057 008 119 065 077 065-10 057 008 114 067 078 065-9 059 005 112 072 074 064-8 056 008 112 066 074 063-7 057 006 113 068 076 064-6 057 005 113 073 077 065-5 058 003 118 075 074 066-4 056 008 117 075 076 066-3 057 005 117 067 077 065-2 059 010 117 070 077 067-1 058 007 118 066 078 0660 060 007 116 069 069 0641 061 005 111 074 080 0662 047 005 112 071 076 0623 043 007 095 067 070 0564 058 -010 119 070 075 0635 055 006 120 070 077 0666 059 007 121 072 076 0677 059 005 118 068 052 0618 059 004 118 068 077 0659 051 008 117 073 072 064

10 055 010 118 071 076 06611 055 004 119 071 076 06512 057 005 120 068 073 06513 056 013 119 072 074 06714 054 010 119 078 076 06715 058 004 116 068 072 06416 058 007 118 069 074 06517 057 011 113 070 074 06518 055 008 113 069 071 06319 057 003 117 073 074 06520 057 001 112 072 077 06421 055 002 110 073 074 063

Page 72

Table 410 Average Abnormal Returns Dividend Decrease 2001 Day Torah Port Nasr City Suez Cement Egy FinampInd Abu Keir Fert AAR ()

-18 006 115 017 122 095 071 -17 008 115 021 125 094 072 -16 007 116 021 126 096 073 -15 010 113 019 126 096 073 -14 007 116 020 127 096 073 -13 002 115 021 122 095 071 -12 009 117 018 129 095 074 -11 005 112 020 126 094 072 -10 002 114 020 126 094 072 -9 007 117 022 126 095 073 -8 008 114 021 125 094 072 -7 007 116 021 128 095 074 -6 010 114 020 128 094 073 -5 006 115 019 127 094 072 -4 007 114 024 129 094 074 -3 005 113 023 125 095 072 -2 001 115 016 123 094 070 -1 009 114 021 130 094 073 0 005 116 021 127 095 073 1 004 115 016 125 093 071 2 012 114 019 124 095 073 3 008 114 019 131 095 074 4 008 114 021 128 095 073 5 009 117 019 126 095 073 6 004 115 021 122 083 069 7 003 116 020 122 093 071 8 002 115 019 130 093 072 9 006 114 021 125 095 072

10 -001 115 019 113 095 068 11 001 111 018 124 094 070 12 007 112 017 128 094 072 13 003 116 018 121 096 071 14 008 112 021 125 093 072 15 007 111 020 129 095 073 16 010 116 020 130 095 074 17 006 117 020 126 095 073 18 002 115 021 126 095 072 19 007 117 019 131 096 074 20 002 116 021 123 094 071 21 007 114 021 129 095 073

Page 73

Table 411 Cumulative Abnormal Returns Dividend Decrease 2000 Day Helwan Cement Torah Port Nasr City Paints amp Chem Upper Egypt F Mills Avg CAR ()

-18 108 009 233 143 147 128-17 164 013 353 214 223 194-16 223 021 464 283 299 258-15 276 028 576 351 374 321-14 336 037 692 425 451 388-13 392 042 804 493 528 452-12 449 051 917 561 603 516-11 506 058 1035 626 680 581-10 562 066 1150 693 759 646-9 621 071 1261 765 833 710-8 677 079 1373 831 907 773-7 734 085 1486 899 983 838-6 791 090 1599 972 1060 903-5 850 093 1717 1048 1134 968-4 906 101 1834 1123 1210 1035-3 963 105 1951 1190 1287 1099-2 1022 115 2068 1261 1364 1166-1 1081 122 2186 1327 1442 12320 1141 130 2303 1396 1510 12961 1202 135 2414 1470 1590 13622 1249 140 2526 1541 1666 14243 1292 147 2621 1608 1736 14814 1350 138 2740 1678 1812 15435 1405 143 2860 1748 1889 16096 1464 151 2981 1820 1965 16767 1523 156 3099 1888 2017 17378 1582 160 3217 1956 2094 18029 1634 168 3334 2029 2166 1866

10 1688 178 3452 2099 2242 193211 1743 181 3571 2170 2318 199712 1800 186 3691 2239 2391 206213 1856 200 3810 2311 2465 212814 1910 210 3929 2388 2541 219615 1968 214 4045 2456 2613 225916 2026 221 4163 2525 2687 232517 2083 232 4276 2595 2761 239018 2138 241 4389 2664 2833 245319 2195 244 4506 2737 2906 251820 2252 245 4619 2809 2984 258221 2307 247 4729 2883 3058 2645

Page 74

Table 412 Cumulative Abnormal Returns Dividend Decrease 2001 Day Torah Port Nasr City Suez Cement Egy FinampInd Abu Keir Fert Avg CAR ()

-18 012 229 037 254 190 144 -17 019 344 057 379 285 217 -16 026 460 078 505 380 290 -15 036 573 097 630 476 363 -14 044 689 117 757 572 436 -13 046 804 138 879 667 507 -12 055 921 155 1008 762 580 -11 060 1033 176 1134 856 652 -10 063 1147 196 1261 951 724 -9 069 1264 218 1387 1046 797 -8 077 1378 239 1512 1140 869 -7 085 1494 261 1641 1235 943 -6 094 1608 280 1769 1329 1016 -5 101 1723 299 1896 1423 1088 -4 107 1837 323 2025 1517 1162 -3 113 1950 346 2150 1612 1234 -2 114 2064 363 2273 1705 1304 -1 123 2179 384 2403 1799 1377 0 128 2295 405 2530 1894 1450 1 132 2411 421 2655 1987 1521 2 144 2525 440 2779 2082 1594 3 152 2639 459 2910 2177 1667 4 160 2753 481 3038 2272 1741 5 169 2870 500 3164 2367 1814 6 173 2986 520 3286 2450 1883 7 176 3102 541 3409 2544 1954 8 179 3217 560 3538 2637 2026 9 184 3330 580 3663 2732 2098

10 183 3445 599 3776 2827 2166 11 184 3556 617 3900 2922 2236 12 191 3668 634 4027 3016 2307 13 194 3784 652 4149 3111 2378 14 202 3896 672 4273 3205 2450 15 209 4008 692 4403 3300 2522 16 219 4124 712 4532 3396 2597 17 225 4241 732 4658 3490 2669 18 227 4355 753 4784 3585 2741 19 234 4472 771 4915 3681 2815 20 236 4588 792 5038 3774 2886 21 243 4703 813 5167 3869 2959

Page 75

Figure 42 Abnormal Returns surrounding Dividend Decrease (2000-2001)

Average Abnormal Returns Dividend Decrease (2000)

054

056

058

060

062

064

066

068

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Abnormal Returns Dividend Decrease (2001)

067

068

069

070

071

072

073

074

075

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Cumulative Abnormal Returns Dividend Decrease (2000)

000

500

1000

1500

2000

2500

3000

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Average Cumulative Abnormal Returns Dividend Decrease (2001)

000

500

1000

1500

2000

2500

3000

3500

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Page 76

44 Conclusion

From the above an overall conclusion can be drawn that the Egyptian stock market

showed a clear departure from the ldquoSemi-strong efficientrdquo market hypothesis in the

period 20002001 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 77

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 ldquoFree Handrdquo 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

51 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 78

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 ndash [arf + βp(arM - arf)]

(51)

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

Treynorrsquos 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 (52)

Hence it can be seen that the higher the value of Treynorrsquos 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 Treynorrsquos coefficient will be confined to evaluating funds

performance relative to the benchmark

Page 79

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 (53)

Where (arp - arf) is the average excess return and σp is the total volatility of the fund

Similar to Treynorrsquos coefficient the higher the value of the Sharpe ratio is the better

the performance of the fund will be However therersquos a fundamental difference

between Sharpe ratio and both Treynorrsquos coefficient and Jensenrsquos alpha in that in

Sharpersquos 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 Treynorrsquos or Jensenrsquos might

rank inferior under Sharpersquos due to high Unique Risk thatrsquos not accounted for by the

other two measures

However if a fund shows poor performance under both Jensenrsquos and Treynorrsquos it

should follow logically that it would also show poor performance under Sharpersquos

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 (54)

Page 80

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

52 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

53 Findings

Appendix D shows the detailed calculations of the different performance measures

Page 81

Table (51) and Graphs (51) and (52) 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 ndash562

for Fund No 2 to -1282 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 ndash739) 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 82

Table 51 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 -1405 -831 -474 -685 -950 -735 -666 -833 -323 Standard Deviation 3820 1379 1456 1359 1374 1333 1215 762 773 Std Dev Of Rndm Error Term 000 560 662 354 434 547 421 173 305 Beta 100 034 035 035 035 033 030 020 019 Jensen (Alpha) 000 -949 -562 -786 -1051 -880 -866 -1282 -780 Sharpe -060 -126 -094 -117 -135 -123 -129 -227 -158 Treynor -2305 -5099 -3899 -4571 -5339 -4994 -5155 -8863 -6369 Tracking Error 000 -169 -085 -222 -242 -161 -205 -739 -256

Page 84

Graph 51 Egyptian Mutual Funds Performance Evaluation Using the Ex Post Securities Market Line (1998-2001)

-2000

-1500

-1000

-500

000

500

1000

1500

000 020 040 060 080 100 120

βp

arp

Market Portfolio

Fund No 1

Fund No 2

Fund No 3

Fund No 4

Fund No 5

Fund No 6

Fund No 7

Fund No 8

Ex Post SML

Graph 52 Egyptian Mutual Funds Performance Evaluation Using the Ex Post Capital Market Line (1998-2001)

-2000

-1500

-1000

-500

000

500

1000

1500

000 500 1000 1500 2000 2500 3000 3500 4000 4500

σp

arp

Market Portfolio

Fund No 1

Fund No 2

Fund No 3

Fund No 4

Fund No 5

Fund No 6

Fund No 7

Fund No 8

Ex Post CML

Page 85

For Treynor (Reward-to-Volatility) and despite that the benchmark showed a

negative value of ndash2305 all funds showed greater negative values ranging from

ndash3899 for Fund No 2 to ndash8863 for Fund No 7

This can be seen from Graph (51) 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 ndash094 for Fund No 2 to ndash227 for Fund No 7

This can also be seen from Graph (52) 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

54 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 86

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 87

Chapter 6 Conclusions and Recommendations

61 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 20002001

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 88

62 Findings and Conclusions

621 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 maximumminimum 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 89

622 Mutual Funds Performance

CAPM based performance evaluation measures (Jensenrsquos 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 risk-

adjusted 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 90

63 Limitations

631 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 8226 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 91

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

632 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 92

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)

64 Recommendations

Based on the above findings a number of recommendations can be made These are

bull 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 andor the means to enact them in a

more effective manner should be considered

bull 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 93

bull 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

65 Suggestions for Further Research

The course of this study has outlined a number of areas that could be explored by

further research These include

bull the need to evaluate mutual funds performance more comprehensively

when more and sufficient data become available

bull 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 94

bull 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

bull 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 95

Appendix A

Current Listing Requirements

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

Page 96

Proposed Listing Requirements

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

Page 97

Appendix B

The calculations of the various risk measures for each security analysed were based

on the following

bull the benchmark used for measuring securitiesrsquo sensitivities against is the

Herms Financial Index (HFI)

bull 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

bull calculations were based on 104 weekly observations of index values

and securities prices starting from 2nd of January 1998 until 24th

December 1999

bull 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) (411)

ri = ln (Pt Pt-1) (412)

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 98

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 = [(T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX)] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2] (413)

Alpha = [sumsumsumsumYT] ndash [Beta (sumsumsumsumXT)] (414)

Standard Deviation of Random Error Term (Residual Volatility)

= [sumsumsumsumY2 ndash (Alpha sumsumsumsumY) ndash (Beta sumsumsumsumXY)] [T ndash 2]12 (415)

Standard Error of Beta

= Residual Volatility sumsumsumsumX2 ndash [(sumsumsumsumX)2 T]12 (416)

Standard Error of Alpha

= Residual Volatility T ndash [(sumsumsumsumX)2 sumsumsumsumX2]12 (417)

Correlation Coefficient

= (T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX) (418)

[(T sumsumsumsumY2) ndash (sumsumsumsumY)2] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2]12

Coefficient of Determination (R2)

= (Correlation Coefficient)2 (419)

Coefficient of Nondetermination

= 1 ndash Coefficient of Determination (4110)

The following are the detailed calculations of the various risk measures for the

securities analysed

Page 99

Commercial International Bank CIB

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5298 09011998 1222730 0985643 -145 5193 0980181 -200 209 401 289 16011998 1206630 0986833 -133 5170 0995571 -044 176 020 059 23011998 1187560 0984196 -159 5147 0995551 -045 254 020 071 30011998 1161970 0978452 -218 4748 0922479 -807 475 6511 1758 06021998 1152100 0991506 -085 4810 1013058 130 073 168 -111 13021998 1148570 0996936 -031 4581 0952391 -488 009 2379 150 20021998 1154110 1004823 048 4429 0966819 -337 023 1139 -162 27021998 1152270 0998406 -016 4395 0992323 -077 003 059 012 06031998 1171950 1017079 169 4487 1020933 207 287 429 351 13031998 1177260 1004531 045 4492 1001114 011 020 001 005 20031998 1188570 1009607 096 4678 1041407 406 091 1646 388 27031998 1200260 1009835 098 4735 1012185 121 096 147 119 03041998 1197600 0997784 -022 4840 1022175 219 005 481 -049 10041998 1198900 1001086 011 4793 0990289 -098 001 095 -011 17041998 1195490 0997156 -028 4814 1004381 044 008 019 -012 24041998 1182420 0989067 -110 4488 0932281 -701 121 4917 771 01051998 1176960 0995382 -046 4512 1005348 053 021 028 -025 08051998 1159590 0985242 -149 4117 0912456 -916 221 8393 1362 15051998 1129560 0974103 -262 3965 0963080 -376 688 1415 987 22051998 1112340 0984755 -154 4043 1019672 195 236 380 -299 29051998 1073430 0965020 -356 3984 0985407 -147 1268 216 523 05061998 1045480 0973962 -264 3946 0990462 -096 696 092 253 12061998 1066480 1020086 199 4040 1023822 235 396 554 468 19061998 1032170 0967829 -327 3815 0944307 -573 1069 3284 1874 26061998 1030030 0997927 -021 3903 1023067 228 004 520 -047 03071998 1002040 0972826 -276 3769 0965667 -349 759 1221 962 10071998 982199 0980199 -200 3740 0992306 -077 400 060 154 17071998 970995 0988593 -115 3749 1002406 024 132 006 -028 24071998 995234 1024963 247 3752 1000800 008 608 001 020 31071998 1010220 1015058 149 3729 0993870 -061 223 038 -092 07081998 986274 0976296 -240 3397 0910968 -932 575 8695 2237 14081998 966470 0979920 -203 3271 0962908 -378 411 1429 767 21081998 934316 0966730 -338 2978 0910425 -938 1145 8807 3175 28081998 901108 0964457 -362 2668 0895903 -1099 1310 12083 3978 04091998 949019 1053169 518 3026 1134183 1259 2684 15854 6523 11091998 950397 1001452 015 3201 1057832 562 002 3161 082 18091998 953342 1003099 031 3277 1023743 235 010 551 073 25091998 956663 1003484 035 3202 0977113 -232 012 536 -081 02101998 958912 1002351 023 3188 0995628 -044 006 019 -010 09101998 943251 0983668 -165 3049 0956399 -446 271 1987 734 16101998 943963 1000755 008 2887 0946868 -546 001 2981 -041 23101998 934640 0990124 -099 2891 1001386 014 099 002 -014

Page 100

30101998 918468 0982697 -175 2765 0956416 -446 305 1986 778 06111998 913223 0994289 -057 2872 1038698 380 033 1442 -217 13111998 917822 1005036 050 2823 0982939 -172 025 296 -086 20111998 917160 0999279 -007 2807 0994332 -057 001 032 004 27111998 906802 0988706 -114 2742 0976844 -234 129 549 266 04121998 902621 0995389 -046 2663 0971189 -292 021 855 135 11121998 889094 0985014 -151 2538 0953060 -481 228 2311 726 18121998 902575 1015163 150 2637 1039007 383 226 1464 576 25121998 906891 1004782 048 2608 0989003 -111 023 122 -053 01011999 914183 1008041 080 2698 1034509 339 064 1151 272 08011999 983873 1076232 735 3158 1170497 1574 5397 24784 11566 15011999 989959 1006186 062 3167 1002850 028 038 008 018 22011999 1016140 1026447 261 3257 1028418 280 681 785 731 29011999 1105790 1088226 845 3663 1124655 1175 7149 13801 9932 05021999 1094590 0989871 -102 3736 1019929 197 104 389 -201 12021999 1053620 0962570 -381 3717 0994914 -051 1455 026 195 19021999 1071770 1017226 171 3874 1042238 414 292 1712 707 26021999 1055100 0984446 -157 3736 0964378 -363 246 1316 569 05031999 1039860 0985556 -145 3502 0937366 -647 212 4184 941 12031999 1041200 1001289 013 3492 0997144 -029 002 008 -004 19031999 1027650 0986986 -131 3498 1001718 017 172 003 -022 26031999 1031360 1003610 036 3472 0992567 -075 013 056 -027 02041999 1034930 1003461 035 3520 1013825 137 012 189 047 09041999 1024940 0990347 -097 3480 0988636 -114 094 131 111 16041999 1026450 1001473 015 3543 1018103 179 002 322 026 23041999 1038240 1011486 114 3483 0983065 -171 130 292 -195 30041999 1014430 0977067 -232 3397 0975309 -250 538 625 580 07051999 1027240 1012628 125 3458 1017957 178 157 317 223 14051999 1015400 0988474 -116 3425 0990457 -096 134 092 111 21051999 1012050 0996701 -033 3322 0969927 -305 011 932 101 28051999 986598 0974851 -255 3179 0956954 -440 649 1936 1121 04061999 977053 0990325 -097 3074 0966971 -336 095 1128 327 11061999 1007370 1031029 306 3207 1043266 424 934 1794 1294 18061999 989166 0981929 -182 3155 0983785 -163 333 267 298 25061999 1026150 1037389 367 3135 0993661 -064 1347 040 -233 02071999 995282 0969919 -305 3079 0982137 -180 933 325 551 09071999 995600 1000320 003 3063 0994804 -052 000 027 -002 16071999 1012170 1016643 165 3083 1006530 065 272 042 107 23071999 981962 0970155 -303 3050 0989296 -108 918 116 326 30071999 971997 0989852 -102 3077 1008852 088 104 078 -090 06081999 953229 0980691 -195 3023 0982450 -177 380 313 345 13081999 935049 0980928 -193 2900 0959312 -415 371 1725 800 20081999 944102 1009682 096 3001 1034828 342 093 1172 330 27081999 935339 0990718 -093 2944 0981006 -192 087 368 179 03091999 928650 0992849 -072 2929 0994905 -051 052 026 037 10091999 923843 0994824 -052 2924 0998293 -017 027 003 009 17091999 936583 1013790 137 3071 1050274 491 188 2406 672 24091999 963355 1028585 282 3284 1069359 671 794 4497 1890 01101999 964466 1001153 012 3257 0991778 -083 001 068 -010 08101999 1008430 1045584 446 3662 1124348 1172 1987 13737 5224 15101999 1067340 1058418 568 4053 1106772 1014 3223 10292 5760

Page 101

22101999 1019230 0954925 -461 3643 0898840 -1066 2127 11374 4919 29101999 1038280 1018691 185 4123 1131760 1238 343 15320 2292 05111999 1047550 1008928 089 4100 0994422 -056 079 031 -050 12111999 1071510 1022872 226 4256 1038049 373 511 1394 844 19111999 1077140 1005254 052 4181 0982378 -178 027 316 -093 26111999 1104220 1025141 248 4357 1042095 412 617 1700 1024 03121999 1152250 1043497 426 4228 0970392 -301 1813 903 -1280 10121999 1338690 1161805 1500 5110 1208609 1895 22492 35899 28416 17121999 1235780 0923126 -800 4657 0911350 -928 6398 8617 7425 24121999 1215240 0983379 -168 4827 1036504 359 281 1285 -601 Sum -206 -931 80467 268123 116803 Beta 145 Alpha -006 Std Dev Of Rndm Error Term 312 Std Error of Beta 0062 Std Error of Alpha 0174 Correlation Coefficient 080 Coefficient of Determination 063 Coefficient of Nondetermination 037

Page 102

Egyptian American Bank

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8758 09011998 1222730 0985643 -145 8687 0991893 -081 209 066 118 16011998 1206630 0986833 -133 8226 0946932 -545 176 2973 723 23011998 1187560 0984196 -159 8172 0993435 -066 254 043 105 30011998 1161970 0978452 -218 7600 0930005 -726 475 5266 1581 06021998 1152100 0991506 -085 7837 1031184 307 073 943 -262 13021998 1148570 0996936 -031 7832 0999362 -006 009 000 002 20021998 1154110 1004823 048 7602 0970633 -298 023 888 -143 27021998 1152270 0998406 -016 7262 0955275 -458 003 2094 073 06031998 1171950 1017079 169 7629 1050537 493 287 2431 835 13031998 1177260 1004531 045 7657 1003670 037 020 013 017 20031998 1188570 1009607 096 7577 0989552 -105 091 110 -100 27031998 1200260 1009835 098 7707 1017157 170 096 289 166 03041998 1197600 0997784 -022 7738 1004022 040 005 016 -009 10041998 1198900 1001086 011 7793 1007108 071 001 050 008 17041998 1195490 0997156 -028 7580 0972668 -277 008 768 079 24041998 1182420 0989067 -110 7381 0973747 -266 121 708 292 01051998 1176960 0995382 -046 7249 0982116 -180 021 326 084 08051998 1159590 0985242 -149 6909 0953097 -480 221 2308 714 15051998 1129560 0974103 -262 6391 0925025 -779 688 6074 2045 22051998 1112340 0984755 -154 6352 0993898 -061 236 037 094 29051998 1073430 0965020 -356 6059 0953873 -472 1268 2230 1682 05061998 1045480 0973962 -264 5669 0935633 -665 696 4427 1755 12061998 1066480 1020086 199 5825 1027518 271 396 737 540 19061998 1032170 0967829 -327 5318 0912961 -911 1069 8292 2978 26061998 1030030 0997927 -021 5588 1050771 495 004 2453 -103 03071998 1002040 0972826 -276 5203 0931102 -714 759 5096 1967 10071998 982199 0980199 -200 4992 0959446 -414 400 1714 828 17071998 970995 0988593 -115 4802 0961939 -388 132 1506 445 24071998 995234 1024963 247 5012 1043732 428 608 1832 1055 31071998 1010220 1015058 149 5044 1006385 064 223 041 095 07081998 986274 0976296 -240 4756 0942902 -588 575 3457 1410 14081998 966470 0979920 -203 4594 0965938 -347 411 1201 703 21081998 934316 0966730 -338 4267 0928820 -738 1145 5452 2498 28081998 901108 0964457 -362 4157 0974221 -261 1310 682 945 04091998 949019 1053169 518 4729 1137599 1289 2684 16620 6679 11091998 950397 1001452 015 4734 1001057 011 002 001 002 18091998 953342 1003099 031 5211 1100760 960 010 9216 297 25091998 956663 1003484 035 5167 0991556 -085 012 072 -029 02101998 958912 1002351 023 5554 1074898 722 006 5217 170 09101998 943251 0983668 -165 5232 0942024 -597 271 3567 983 16101998 943963 1000755 008 5072 0969419 -311 001 965 -023 23101998 934640 0990124 -099 5344 1053628 522 099 2729 -519

Page 103

30101998 918468 0982697 -175 5273 0986714 -134 305 179 233 06111998 913223 0994289 -057 5201 0986346 -137 033 189 079 13111998 917822 1005036 050 5157 0991540 -085 025 072 -043 20111998 917160 0999279 -007 5163 1001163 012 001 001 -001 27111998 906802 0988706 -114 4696 0909549 -948 129 8988 1077 04121998 902621 0995389 -046 4659 0992121 -079 021 063 037 11121998 889094 0985014 -151 4811 1032625 321 228 1031 -485 18121998 902575 1015163 150 4810 0999792 -002 226 000 -003 25121998 906891 1004782 048 4724 0982121 -180 023 325 -086 01011999 914183 1008041 080 4896 1036410 358 064 1279 286 08011999 983873 1076232 735 5416 1106209 1009 5397 10189 7416 15011999 989959 1006186 062 5600 1033973 334 038 1116 206 22011999 1016140 1026447 261 5725 1022321 221 681 487 576 29011999 1105790 1088226 845 6017 1051004 497 7149 2475 4206 05021999 1094590 0989871 -102 5639 0937178 -649 104 4210 661 12021999 1053620 0962570 -381 5360 0950523 -507 1455 2575 1936 19021999 1071770 1017226 171 5354 0998881 -011 292 001 -019 26021999 1055100 0984446 -157 5263 0983003 -171 246 294 269 05031999 1039860 0985556 -145 5198 0987650 -124 212 154 181 12031999 1041200 1001289 013 4865 0935937 -662 002 4383 -085 19031999 1027650 0986986 -131 4716 0969373 -311 172 968 407 26031999 1031360 1003610 036 4851 1028626 282 013 797 102 02041999 1034930 1003461 035 4904 1010926 109 012 118 038 09041999 1024940 0990347 -097 5023 1024266 240 094 575 -233 16041999 1026450 1001473 015 5093 1013936 138 002 192 020 23041999 1038240 1011486 114 5046 0990772 -093 130 086 -106 30041999 1014430 0977067 -232 4872 0965517 -351 538 1231 814 07051999 1027240 1012628 125 4700 0964696 -359 157 1292 -451 14051999 1015400 0988474 -116 4896 1041702 409 134 1669 -474 21051999 1012050 0996701 -033 4891 0998979 -010 011 001 003 28051999 986598 0974851 -255 4709 0962789 -379 649 1438 966 04061999 977053 0990325 -097 4618 0980675 -195 095 381 190 11061999 1007370 1031029 306 4655 1008012 080 934 064 244 18061999 989166 0981929 -182 4600 0988185 -119 333 141 217 25061999 1026150 1037389 367 4518 0982174 -180 1347 324 -660 02071999 995282 0969919 -305 4497 0995352 -047 933 022 142 09071999 995600 1000320 003 4552 1012230 122 000 148 004 16071999 1012170 1016643 165 4535 0996265 -037 272 014 -062 23071999 981962 0970155 -303 4231 0932966 -694 918 4815 2102 30071999 971997 0989852 -102 4481 1059088 574 104 3296 -586 06081999 953229 0980691 -195 4253 0949119 -522 380 2727 1018 13081999 935049 0980928 -193 4405 1035739 351 371 1233 -676 20081999 944102 1009682 096 4423 1004086 041 093 017 039 27081999 935339 0990718 -093 4461 1008591 086 087 073 -080 03091999 928650 0992849 -072 4429 0992827 -072 052 052 052 10091999 923843 0994824 -052 4428 0999774 -002 027 000 001 17091999 936583 1013790 137 4611 1041328 405 188 1640 555 24091999 963355 1028585 282 4706 1020603 204 794 416 575 01101999 964466 1001153 012 4699 0998513 -015 001 002 -002 08101999 1008430 1045584 446 4903 1043413 425 1987 1806 1894 15101999 1067340 1058418 568 5191 1058740 571 3223 3258 3241

Page 104

22101999 1019230 0954925 -461 5130 0988249 -118 2127 140 545 29101999 1038280 1018691 185 5257 1024756 245 343 598 453 05111999 1047550 1008928 089 5302 1008560 085 079 073 076 12111999 1071510 1022872 226 5506 1038476 378 511 1425 854 19111999 1077140 1005254 052 5638 1023974 237 027 561 124 26111999 1104220 1025141 248 5487 0973217 -271 617 737 -674 03121999 1152250 1043497 426 5650 1029707 293 1813 857 1246 10121999 1338690 1161805 1500 6555 1160177 1486 22492 22074 22282 17121999 1235780 0923126 -800 5479 0835850 -1793 6398 32150 14343 24121999 1215240 0983379 -168 5680 1036686 360 281 1298 -604 Sum -206 -4330 80467 229628 95158 Beta 118 Alpha -040 Std Dev Of Rndm Error Term 338 Std Error of Beta 0065 Std Error of Alpha 0181 Correlation Coefficient 070 Coefficient of Determination 049 Coefficient of Nondetermination 051

Page 105

Misr International Bank MIBANK

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8144 09011998 1222730 0985643 -145 8192 1005894 059 209 035 -085 16011998 1206630 0986833 -133 8160 0996094 -039 176 015 052 23011998 1187560 0984196 -159 8098 0992451 -076 254 057 121 30011998 1161970 0978452 -218 7510 0927294 -755 475 5698 1644 06021998 1152100 0991506 -085 7295 0971450 -290 073 839 247 13021998 1148570 0996936 -031 7266 0996052 -040 009 016 012 20021998 1154110 1004823 048 6954 0957063 -439 023 1926 -211 27021998 1152270 0998406 -016 7089 1019326 191 003 366 -031 06031998 1171950 1017079 169 7269 1025392 251 287 629 425 13031998 1177260 1004531 045 7412 1019701 195 020 381 088 20031998 1188570 1009607 096 7509 1013060 130 091 168 124 27031998 1200260 1009835 098 7518 1001278 013 096 002 013 03041998 1197600 0997784 -022 7488 0995957 -041 005 016 009 10041998 1198900 1001086 011 7290 0973611 -267 001 715 -029 17041998 1195490 0997156 -028 7290 0999890 -001 008 000 000 24041998 1182420 0989067 -110 7189 0986172 -139 121 194 153 01051998 1176960 0995382 -046 7018 0976296 -240 021 575 111 08051998 1159590 0985242 -149 7055 1005243 052 221 027 -078 15051998 1129560 0974103 -262 6667 0945005 -566 688 3200 1484 22051998 1112340 0984755 -154 6737 1010439 104 236 108 -160 29051998 1073430 0965020 -356 6599 0979575 -206 1268 426 735 05061998 1045480 0973962 -264 6499 0984847 -153 696 233 403 12061998 1066480 1020086 199 6568 1010586 105 396 111 209 19061998 1032170 0967829 -327 6309 0960536 -403 1069 1621 1317 26061998 1030030 0997927 -021 6514 1032463 319 004 1021 -066 03071998 1002040 0972826 -276 6399 0982437 -177 759 314 488 10071998 982199 0980199 -200 6400 1000125 001 400 000 -003 17071998 970995 0988593 -115 6265 0978875 -214 132 456 245 24071998 995234 1024963 247 6454 1030264 298 608 889 735 31071998 1010220 1015058 149 6398 0991200 -088 223 078 -132 07081998 986274 0976296 -240 6122 0956859 -441 575 1945 1058 14081998 966470 0979920 -203 5966 0974647 -257 411 659 521 21081998 934316 0966730 -338 5863 0982703 -174 1145 304 590 28081998 901108 0964457 -362 5337 0910220 -941 1310 8849 3404 04091998 949019 1053169 518 5714 1070604 682 2684 4654 3534 11091998 950397 1001452 015 5832 1020722 205 002 421 030 18091998 953342 1003099 031 5818 0997531 -025 010 006 -008 25091998 956663 1003484 035 5775 0992712 -073 012 054 -025 02101998 958912 1002351 023 5759 0997230 -028 006 008 -007 09101998 943251 0983668 -165 5699 0989582 -105 271 110 172 16101998 943963 1000755 008 5687 0997894 -021 001 004 -002 23101998 934640 0990124 -099 5688 1000141 001 099 000 -001

Page 106

30101998 918468 0982697 -175 5290 0930098 -725 305 5251 1265 06111998 913223 0994289 -057 5203 0983517 -166 033 276 095 13111998 917822 1005036 050 5273 1013376 133 025 177 067 20111998 917160 0999279 -007 5192 0984676 -154 001 238 011 27111998 906802 0988706 -114 4970 0957165 -438 129 1917 497 04121998 902621 0995389 -046 4986 1003381 034 021 011 -016 11121998 889094 0985014 -151 5023 1007380 074 228 054 -111 18121998 902575 1015163 150 5288 1052715 514 226 2639 773 25121998 906891 1004782 048 5147 0973374 -270 023 728 -129 01011999 914183 1008041 080 5290 1027666 273 064 745 219 08011999 983873 1076232 735 6134 1159710 1482 5397 21954 10885 15011999 989959 1006186 062 6274 1022692 224 038 503 138 22011999 1016140 1026447 261 6548 1043739 428 681 1833 1117 29011999 1105790 1088226 845 7800 1191203 1750 7149 30612 14793 05021999 1094590 0989871 -102 8082 1036205 356 104 1265 -362 12021999 1053620 0962570 -381 6850 0847570 -1654 1455 27351 6309 19021999 1071770 1017226 171 7518 1097513 930 292 8658 1589 26021999 1055100 0984446 -157 7440 0989572 -105 246 110 164 05031999 1039860 0985556 -145 6931 0931613 -708 212 5018 1031 12031999 1041200 1001289 013 7196 1038204 375 002 1406 048 19031999 1027650 0986986 -131 7160 0994997 -050 172 025 066 26031999 1031360 1003610 036 7028 0981564 -186 013 346 -067 02041999 1034930 1003461 035 7114 1012180 121 012 147 042 09041999 1024940 0990347 -097 6950 0976946 -233 094 544 226 16041999 1026450 1001473 015 6654 0957408 -435 002 1895 -064 23041999 1038240 1011486 114 6683 1004449 044 130 020 051 30041999 1014430 0977067 -232 6389 0955949 -451 538 2030 1045 07051999 1027240 1012628 125 6351 0994115 -059 157 035 -074 14051999 1015400 0988474 -116 6366 1002393 024 134 006 -028 21051999 1012050 0996701 -033 6245 0980900 -193 011 372 064 28051999 986598 0974851 -255 6060 0970407 -300 649 902 765 04061999 977053 0990325 -097 5868 0968317 -322 095 1037 313 11061999 1007370 1031029 306 6034 1028221 278 934 775 850 18061999 989166 0981929 -182 5860 0971228 -292 333 852 532 25061999 1026150 1037389 367 5683 0969829 -306 1347 939 -1125 02071999 995282 0969919 -305 5428 0955096 -459 933 2111 1403 09071999 995600 1000320 003 5444 1002948 029 000 009 001 16071999 1012170 1016643 165 5430 0997355 -026 272 007 -044 23071999 981962 0970155 -303 5494 1011935 119 918 141 -359 30071999 971997 0989852 -102 5121 0932003 -704 104 4959 718 06081999 953229 0980691 -195 5026 0981409 -188 380 352 366 13081999 935049 0980928 -193 4848 0964661 -360 371 1294 693 20081999 944102 1009682 096 4853 1000990 010 093 001 010 27081999 935339 0990718 -093 4714 0971480 -289 087 837 270 03091999 928650 0992849 -072 4716 1000339 003 052 000 -002 10091999 923843 0994824 -052 4538 0962341 -384 027 1474 199 17091999 936583 1013790 137 4640 1022387 221 188 490 303 24091999 963355 1028585 282 4789 1032069 316 794 996 890 01101999 964466 1001153 012 4726 0986803 -133 001 176 -015 08101999 1008430 1045584 446 5332 1128322 1207 1987 14576 5382 15101999 1067340 1058418 568 5929 1111928 1061 3223 11256 6024

Page 107

22101999 1019230 0954925 -461 5517 0930509 -720 2127 5187 3322 29101999 1038280 1018691 185 5853 1060905 591 343 3495 1095 05111999 1047550 1008928 089 5904 1008748 087 079 076 077 12111999 1071510 1022872 226 5775 0978184 -221 511 487 -499 19111999 1077140 1005254 052 5759 0997230 -028 027 008 -015 26111999 1104220 1025141 248 5605 0973191 -272 617 738 -675 03121999 1152250 1043497 426 5650 1008136 081 1813 066 345 10121999 1338690 1161805 1500 6254 1106754 1014 22492 10288 15212 17121999 1235780 0923126 -800 5560 0889088 -1176 6398 13820 9403 24121999 1215240 0983379 -168 5503 0989784 -103 281 105 172 Sum -206 -3920 80467 230750 102346 Beta 127 Alpha -036 Std Dev Of Rndm Error Term 314 Std Error of Beta 0062 Std Error of Alpha 0174 Correlation Coefficient 075 Coefficient of Determination 057 Coefficient of Nondetermination 043

Page 108

Ameryah Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1)

02011998 1240540 7942 09011998 1222730 0985643 -145 7630 0960715 -401 209 1606 580 16011998 1206630 0986833 -133 7402 0970118 -303 176 920 402 23011998 1187560 0984196 -159 7427 1003377 034 254 011 -054 30011998 1161970 0978452 -218 7342 0988555 -115 475 132 251 06021998 1152100 0991506 -085 7184 0978480 -218 073 473 186 13021998 1148570 0996936 -031 7221 1005150 051 009 026 -016 20021998 1154110 1004823 048 7154 0990722 -093 023 087 -045 27021998 1152270 0998406 -016 7102 0992731 -073 003 053 012 06031998 1171950 1017079 169 7195 1013095 130 287 169 220 13031998 1177260 1004531 045 7099 0986657 -134 020 180 -061 20031998 1188570 1009607 096 7033 0990703 -093 091 087 -089 27031998 1200260 1009835 098 7053 1002844 028 096 008 028 03041998 1197600 0997784 -022 6796 0963562 -371 005 1378 082 10041998 1198900 1001086 011 6980 1027075 267 001 714 029 17041998 1195490 0997156 -028 6800 0974212 -261 008 683 074 24041998 1182420 0989067 -110 6772 0995882 -041 121 017 045 01051998 1176960 0995382 -046 6603 0975044 -253 021 639 117 08051998 1159590 0985242 -149 6644 1006209 062 221 038 -092 15051998 1129560 0974103 -262 6036 0908489 -960 688 9211 2518 22051998 1112340 0984755 -154 5908 0978794 -214 236 459 329 29051998 1073430 0965020 -356 5899 0998477 -015 1268 002 054 05061998 1045480 0973962 -264 5903 1000678 007 696 000 -018 12061998 1066480 1020086 199 6341 1074200 716 396 5123 1423 19061998 1032170 0967829 -327 5661 0892761 -1134 1069 12868 3709 26061998 1030030 0997927 -021 5875 1037803 371 004 1377 -077 03071998 1002040 0972826 -276 5707 0971404 -290 759 842 799 10071998 982199 0980199 -200 5640 0988260 -118 400 139 236 17071998 970995 0988593 -115 5441 0964716 -359 132 1290 412 24071998 995234 1024963 247 5734 1053850 525 608 2751 1293 31071998 1010220 1015058 149 5517 0962156 -386 223 1488 -577 07081998 986274 0976296 -240 5370 0973355 -270 575 729 648 14081998 966470 0979920 -203 5365 0999069 -009 411 001 019 21081998 934316 0966730 -338 5148 0959553 -413 1145 1705 1397 28081998 901108 0964457 -362 5057 0982323 -178 1310 318 645 04091998 949019 1053169 518 5693 1125766 1185 2684 14034 6137 11091998 950397 1001452 015 5622 0987529 -125 002 157 -018 18091998 953342 1003099 031 5844 1039488 387 010 1500 120 25091998 956663 1003484 035 5819 0995722 -043 012 018 -015 02101998 958912 1002351 023 5757 0989345 -107 006 115 -025 09101998 943251 0983668 -165 5709 0991662 -084 271 070 138 16101998 943963 1000755 008 5062 0886670 -1203 001 14468 -091 23101998 934640 0990124 -099 5109 1009285 092 099 085 -092

Page 109

30101998 918468 0982697 -175 5045 0987473 -126 305 159 220 06111998 913223 0994289 -057 5066 1004163 042 033 017 -024 13111998 917822 1005036 050 5141 1014805 147 025 216 074 20111998 917160 0999279 -007 5079 0987940 -121 001 147 009 27111998 906802 0988706 -114 5038 0991928 -081 129 066 092 04121998 902621 0995389 -046 5093 1010917 109 021 118 -050 11121998 889094 0985014 -151 5084 0998233 -018 228 003 027 18121998 902575 1015163 150 5088 1000787 008 226 001 012 25121998 906891 1004782 048 5069 0996266 -037 023 014 -018 01011999 914183 1008041 080 5095 1005129 051 064 026 041 08011999 983873 1076232 735 5674 1113641 1076 5397 11585 7907 15011999 989959 1006186 062 6026 1062037 602 038 3623 371 22011999 1016140 1026447 261 6488 1076668 739 681 5457 1928 29011999 1105790 1088226 845 7109 1095715 914 7149 8355 7728 05021999 1094590 0989871 -102 6429 0904347 -1005 104 10109 1024 12021999 1053620 0962570 -381 6441 1001867 019 1455 003 -071 19021999 1071770 1017226 171 6268 0973141 -272 292 741 -465 26021999 1055100 0984446 -157 6180 0985960 -141 246 200 222 05031999 1039860 0985556 -145 5756 0931392 -711 212 5052 1034 12031999 1041200 1001289 013 5791 1006081 061 002 037 008 19031999 1027650 0986986 -131 5533 0955448 -456 172 2077 597 26031999 1031360 1003610 036 5719 1033616 331 013 1093 119 02041999 1034930 1003461 035 5928 1036545 359 012 1288 124 09041999 1024940 0990347 -097 6142 1036100 355 094 1258 -344 16041999 1026450 1001473 015 5845 0951644 -496 002 2457 -073 23041999 1038240 1011486 114 5749 0983576 -166 130 274 -189 30041999 1014430 0977067 -232 5767 1003131 031 538 010 -073 07051999 1027240 1012628 125 5558 0963759 -369 157 1363 -463 14051999 1015400 0988474 -116 5698 1025189 249 134 619 -288 21051999 1012050 0996701 -033 5666 0994384 -056 011 032 019 28051999 986598 0974851 -255 5494 0969643 -308 649 950 785 04061999 977053 0990325 -097 5384 0979978 -202 095 409 197 11061999 1007370 1031029 306 5271 0979012 -212 934 450 -648 18061999 989166 0981929 -182 5423 1028837 284 333 808 -518 25061999 1026150 1037389 367 5553 1023972 237 1347 561 870 02071999 995282 0969919 -305 5490 0988655 -114 933 130 348 09071999 995600 1000320 003 5222 0951184 -500 000 2505 -016 16071999 1012170 1016643 165 5090 0974722 -256 272 655 -423 23071999 981962 0970155 -303 4992 0980747 -194 918 378 589 30071999 971997 0989852 -102 4900 0981571 -186 104 346 190 06081999 953229 0980691 -195 4528 0924082 -790 380 6234 1539 13081999 935049 0980928 -193 4505 0994920 -051 371 026 098 20081999 944102 1009682 096 4628 1027303 269 093 726 260 27081999 935339 0990718 -093 4611 0996327 -037 087 014 034 03091999 928650 0992849 -072 4556 0988072 -120 052 144 086 10091999 923843 0994824 -052 4651 1020852 206 027 426 -107 17091999 936583 1013790 137 4450 0956783 -442 188 1952 -605 24091999 963355 1028585 282 4477 1006067 060 794 037 170 01101999 964466 1001153 012 4451 0994193 -058 001 034 -007 08101999 1008430 1045584 446 4708 1057740 561 1987 3151 2502 15101999 1067340 1058418 568 5075 1077952 751 3223 5635 4262

Page 110

22101999 1019230 0954925 -461 4646 0915468 -883 2127 7800 4074 29101999 1038280 1018691 185 4762 1024968 247 343 608 457 05111999 1047550 1008928 089 4486 0942041 -597 079 3565 -531 12111999 1071510 1022872 226 4825 1075568 728 511 5307 1647 19111999 1077140 1005254 052 4741 0982591 -176 027 308 -092 26111999 1104220 1025141 248 4814 1015398 153 617 233 379 03121999 1152250 1043497 426 4750 0986705 -134 1813 179 -570 10121999 1338690 1161805 1500 5374 1131368 1234 22492 15234 18511 17121999 1235780 0923126 -800 4618 0859323 -1516 6398 22986 12127 24121999 1215240 0983379 -168 4993 1081204 781 281 6096 -1309

Sum -206 -4641 80467 220262 84434 Beta 105 Alpha -043 Std Dev Of Rndm Error Term 358 Std Error of Beta 0067 Std Error of Alpha 0187 Correlation Coefficient 064 Coefficient of Determination 041 Coefficient of Nondetermination 059

Page 111

Helwan Portland

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 6794 09011998 1222730 0985643 -145 6738 0991757 -083 209 069 120 16011998 1206630 0986833 -133 6678 0991095 -089 176 080 119 23011998 1187560 0984196 -159 6700 1003294 033 254 011 -052 30011998 1161970 0978452 -218 6736 1005373 054 475 029 -117 06021998 1152100 0991506 -085 6599 0979662 -205 073 422 175 13021998 1148570 0996936 -031 6663 1009698 097 009 093 -030 20021998 1154110 1004823 048 6605 0991295 -087 023 076 -042 27021998 1152270 0998406 -016 6625 1003028 030 003 009 -005 06031998 1171950 1017079 169 6795 1025660 253 287 642 429 13031998 1177260 1004531 045 7038 1035762 351 020 1235 159 20031998 1188570 1009607 096 7142 1014777 147 091 215 140 27031998 1200260 1009835 098 7289 1020582 204 096 415 199 03041998 1197600 0997784 -022 7191 0986555 -135 005 183 030 10041998 1198900 1001086 011 7298 1014880 148 001 218 016 17041998 1195490 0997156 -028 7326 1003837 038 008 015 -011 24041998 1182420 0989067 -110 7283 0994130 -059 121 035 065 01051998 1176960 0995382 -046 7338 1007552 075 021 057 -035 08051998 1159590 0985242 -149 7244 0987190 -129 221 166 192 15051998 1129560 0974103 -262 7136 0985091 -150 688 226 394 22051998 1112340 0984755 -154 7084 0992713 -073 236 053 112 29051998 1073430 0965020 -356 5748 0811406 -2090 1268 43675 7441 05061998 1045480 0973962 -264 5690 0989910 -101 696 103 268 12061998 1066480 1020086 199 5691 1000176 002 396 000 003 19061998 1032170 0967829 -327 5310 0933052 -693 1069 4802 2266 26061998 1030030 0997927 -021 5128 0965725 -349 004 1216 072 03071998 1002040 0972826 -276 5076 0989860 -102 759 104 281 10071998 982199 0980199 -200 5064 0997636 -024 400 006 047 17071998 970995 0988593 -115 4900 0967615 -329 132 1084 378 24071998 995234 1024963 247 5232 1067755 656 608 4298 1616 31071998 1010220 1015058 149 5317 1016246 161 223 260 241 07081998 986274 0976296 -240 5163 0971036 -294 575 864 705 14081998 966470 0979920 -203 5010 0970366 -301 411 905 610 21081998 934316 0966730 -338 4911 0980240 -200 1145 398 675 28081998 901108 0964457 -362 4880 0993688 -063 1310 040 229 04091998 949019 1053169 518 5239 1073566 710 2684 5039 3677 11091998 950397 1001452 015 5258 1003627 036 002 013 005 18091998 953342 1003099 031 5202 0989350 -107 010 115 -033 25091998 956663 1003484 035 5194 0998462 -015 012 002 -005 02101998 958912 1002351 023 5095 0980940 -192 006 370 -045 09101998 943251 0983668 -165 4961 0973700 -267 271 710 439 16101998 943963 1000755 008 5001 1008063 080 001 064 006 23101998 934640 0990124 -099 5006 1001000 010 099 001 -010

Page 112

30101998 918468 0982697 -175 4827 0964243 -364 305 1326 636 06111998 913223 0994289 -057 4853 1005386 054 033 029 -031 13111998 917822 1005036 050 4943 1018545 184 025 338 092 20111998 917160 0999279 -007 4951 1001618 016 001 003 -001 27111998 906802 0988706 -114 4851 0979802 -204 129 416 232 04121998 902621 0995389 -046 4836 0996908 -031 021 010 014 11121998 889094 0985014 -151 4779 0988213 -119 228 141 179 18121998 902575 1015163 150 4803 1005022 050 226 025 075 25121998 906891 1004782 048 4818 1003123 031 023 010 015 01011999 914183 1008041 080 4823 1001038 010 064 001 008 08011999 983873 1076232 735 5453 1130624 1228 5397 15072 9019 15011999 989959 1006186 062 5624 1031359 309 038 953 190 22011999 1016140 1026447 261 5778 1027383 270 681 730 705 29011999 1105790 1088226 845 6642 1149533 1394 7149 19420 11782 05021999 1094590 0989871 -102 6304 0949112 -522 104 2728 532 12021999 1053620 0962570 -381 6355 1008090 081 1455 065 -307 19021999 1071770 1017226 171 6423 1010700 106 292 113 182 26021999 1055100 0984446 -157 6319 0983808 -163 246 266 256 05031999 1039860 0985556 -145 6159 0974680 -256 212 658 373 12031999 1041200 1001289 013 6081 0987336 -127 002 162 -016 19031999 1027650 0986986 -131 5959 0979938 -203 172 411 265 26031999 1031360 1003610 036 6047 1014768 147 013 215 053 02041999 1034930 1003461 035 6037 0998346 -017 012 003 -006 09041999 1024940 0990347 -097 6042 1000828 008 094 001 -008 16041999 1026450 1001473 015 6034 0998676 -013 002 002 -002 23041999 1038240 1011486 114 6082 1007955 079 130 063 090 30041999 1014430 0977067 -232 5916 0972706 -277 538 766 642 07051999 1027240 1012628 125 5243 0886241 -1208 157 14585 -1515 14051999 1015400 0988474 -116 5174 0986840 -132 134 176 154 21051999 1012050 0996701 -033 5148 0994975 -050 011 025 017 28051999 986598 0974851 -255 4951 0961733 -390 649 1522 994 04061999 977053 0990325 -097 4901 0989901 -102 095 103 099 11061999 1007370 1031029 306 5002 1020608 204 934 416 623 18061999 989166 0981929 -182 4900 0979608 -206 333 424 376 25061999 1026150 1037389 367 4738 0966939 -336 1347 1130 -1234 02071999 995282 0969919 -305 4663 0984171 -160 933 255 487 09071999 995600 1000320 003 4509 0966974 -336 000 1128 -011 16071999 1012170 1016643 165 4371 0969395 -311 272 966 -513 23071999 981962 0970155 -303 4098 0937543 -645 918 4159 1954 30071999 971997 0989852 -102 4109 1002684 027 104 007 -027 06081999 953229 0980691 -195 4005 0974690 -256 380 657 500 13081999 935049 0980928 -193 3845 0960050 -408 371 1662 785 20081999 944102 1009682 096 3963 1030689 302 093 914 291 27081999 935339 0990718 -093 3893 0982337 -178 087 318 166 03091999 928650 0992849 -072 3891 0999486 -005 052 000 004 10091999 923843 0994824 -052 3789 0973786 -266 027 706 138 17091999 936583 1013790 137 3763 0993138 -069 188 047 -094 24091999 963355 1028585 282 3753 0997343 -027 794 007 -075 01101999 964466 1001153 012 3711 0988809 -113 001 127 -013 08101999 1008430 1045584 446 3922 1056858 553 1987 3058 2465 15101999 1067340 1058418 568 4279 1091025 871 3223 7589 4946

Page 113

22101999 1019230 0954925 -461 3898 0910961 -933 2127 8697 4301 29101999 1038280 1018691 185 3904 1001539 015 343 002 028 05111999 1047550 1008928 089 3796 0972336 -281 079 787 -249 12111999 1071510 1022872 226 3961 1043467 425 511 1810 962 19111999 1077140 1005254 052 3784 0955314 -457 027 2090 -240 26111999 1104220 1025141 248 3784 1000000 000 617 000 000 03121999 1152250 1043497 426 3832 1012685 126 1813 159 537 10121999 1338690 1161805 1500 3911 1020616 204 22492 416 3060 17121999 1235780 0923126 -800 3701 0946305 -552 6398 3046 4415 24121999 1215240 0983379 -168 3733 1008646 086 281 074 -144 Sum -206 -5988 80467 169307 68883 Beta 085 Alpha -056 Std Dev Of Rndm Error Term 326 Std Error of Beta 0064 Std Error of Alpha 0178 Correlation Coefficient 060 Coefficient of Determination 035 Coefficient of Nondetermination 065

Page 114

Suez Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 6281 09011998 1222730 0985643 -145 6182 0984224 -159 209 253 230 16011998 1206630 0986833 -133 6105 0987500 -126 176 158 167 23011998 1187560 0984196 -159 6165 1009978 099 254 099 -158 30011998 1161970 0978452 -218 6047 0980832 -194 475 375 422 06021998 1152100 0991506 -085 6091 1007215 072 073 052 -061 13021998 1148570 0996936 -031 6229 1022686 224 009 503 -069 20021998 1154110 1004823 048 6444 1034443 339 023 1147 163 27021998 1152270 0998406 -016 6285 0975452 -249 003 618 040 06031998 1171950 1017079 169 6262 0996239 -038 287 014 -064 13031998 1177260 1004531 045 6445 1029182 288 020 827 130 20031998 1188570 1009607 096 6408 0994358 -057 091 032 -054 27031998 1200260 1009835 098 6630 1034614 340 096 1158 333 03041998 1197600 0997784 -022 6625 0999315 -007 005 000 002 10041998 1198900 1001086 011 6546 0988063 -120 001 144 -013 17041998 1195490 0997156 -028 6600 1008192 082 008 067 -023 24041998 1182420 0989067 -110 6565 0994767 -052 121 028 058 01051998 1176960 0995382 -046 6430 0979368 -208 021 435 096 08051998 1159590 0985242 -149 6389 0993638 -064 221 041 095 15051998 1129560 0974103 -262 6295 0985203 -149 688 222 391 22051998 1112340 0984755 -154 6343 1007654 076 236 058 -117 29051998 1073430 0965020 -356 6223 0981081 -191 1268 365 680 05061998 1045480 0973962 -264 6076 0976480 -238 696 567 628 12061998 1066480 1020086 199 6265 1031119 306 396 939 609 19061998 1032170 0967829 -327 5945 0948926 -524 1069 2748 1714 26061998 1030030 0997927 -021 5723 0962538 -382 004 1458 079 03071998 1002040 0972826 -276 5667 0990311 -097 759 095 268 10071998 982199 0980199 -200 5719 1009144 091 400 083 -182 17071998 970995 0988593 -115 5637 0985694 -144 132 208 165 24071998 995234 1024963 247 5716 1014030 139 608 194 344 31071998 1010220 1015058 149 5908 1033556 330 223 1089 493 07081998 986274 0976296 -240 5341 0903984 -1009 575 10190 2422 14081998 966470 0979920 -203 5001 0936340 -658 411 4327 1334 21081998 934316 0966730 -338 4818 0963463 -372 1145 1385 1259 28081998 901108 0964457 -362 4399 0913019 -910 1310 8281 3293 04091998 949019 1053169 518 4926 1119859 1132 2684 12815 5864 11091998 950397 1001452 015 4822 0978777 -215 002 460 -031 18091998 953342 1003099 031 4828 1001321 013 010 002 004 25091998 956663 1003484 035 4907 1016381 162 012 264 057 02101998 958912 1002351 023 4828 0983883 -162 006 264 -038 09101998 943251 0983668 -165 4774 0988702 -114 271 129 187 16101998 943963 1000755 008 4824 1010474 104 001 109 008 23101998 934640 0990124 -099 4885 1012627 125 099 157 -125

Page 115

30101998 918468 0982697 -175 4795 0981575 -186 305 346 325 06111998 913223 0994289 -057 4775 0995829 -042 033 017 024 13111998 917822 1005036 050 4811 1007615 076 025 058 038 20111998 917160 0999279 -007 4732 0983560 -166 001 275 012 27111998 906802 0988706 -114 4677 0988474 -116 129 134 132 04121998 902621 0995389 -046 4619 0987561 -125 021 157 058 11121998 889094 0985014 -151 4367 0945483 -561 228 3143 846 18121998 902575 1015163 150 4596 1052456 511 226 2614 769 25121998 906891 1004782 048 4605 1001978 020 023 004 009 01011999 914183 1008041 080 4655 1010659 106 064 112 085 08011999 983873 1076232 735 4995 1073047 705 5397 4971 5180 15011999 989959 1006186 062 4876 0976338 -239 038 573 -148 22011999 1016140 1026447 261 5126 1051268 500 681 2500 1305 29011999 1105790 1088226 845 6034 1176981 1630 7149 26554 13777 05021999 1094590 0989871 -102 5763 0955100 -459 104 2110 468 12021999 1053620 0962570 -381 5725 0993375 -066 1455 044 254 19021999 1071770 1017226 171 5715 0998412 -016 292 003 -027 26021999 1055100 0984446 -157 5588 0977732 -225 246 507 353 05031999 1039860 0985556 -145 5282 0945175 -564 212 3179 820 12031999 1041200 1001289 013 5364 1015491 154 002 236 020 19031999 1027650 0986986 -131 5218 0972882 -275 172 756 360 26031999 1031360 1003610 036 5188 0994251 -058 013 033 -021 02041999 1034930 1003461 035 5175 0997371 -026 012 007 -009 09041999 1024940 0990347 -097 5296 1023542 233 094 541 -226 16041999 1026450 1001473 015 5403 1020082 199 002 395 029 23041999 1038240 1011486 114 5538 1025073 248 130 613 283 30041999 1014430 0977067 -232 5345 0965035 -356 538 1267 826 07051999 1027240 1012628 125 4872 0911549 -926 157 8577 -1162 14051999 1015400 0988474 -116 4795 0984139 -160 134 256 185 21051999 1012050 0996701 -033 4788 0998673 -013 011 002 004 28051999 986598 0974851 -255 4597 0960129 -407 649 1655 1036 04061999 977053 0990325 -097 4459 0969943 -305 095 931 297 11061999 1007370 1031029 306 4551 1020589 204 934 415 623 18061999 989166 0981929 -182 4465 0981223 -190 333 359 346 25061999 1026150 1037389 367 4415 0988803 -113 1347 127 -413 02071999 995282 0969919 -305 4390 0994236 -058 933 033 177 09071999 995600 1000320 003 4541 1034374 338 000 1142 011 16071999 1012170 1016643 165 4731 1041842 410 272 1680 677 23071999 981962 0970155 -303 4431 0936587 -655 918 4292 1985 30071999 971997 0989852 -102 4508 1017441 173 104 299 -176 06081999 953229 0980691 -195 4393 0974389 -259 380 673 506 13081999 935049 0980928 -193 4378 0996690 -033 371 011 064 20081999 944102 1009682 096 4499 1027616 272 093 742 262 27081999 935339 0990718 -093 4428 0984239 -159 087 252 148 03091999 928650 0992849 -072 4394 0992198 -078 052 061 056 10091999 923843 0994824 -052 4399 1001243 012 027 002 -006 17091999 936583 1013790 137 4572 1039263 385 188 1483 527 24091999 963355 1028585 282 4614 1009147 091 794 083 257 01101999 964466 1001153 012 4598 0996651 -034 001 011 -004 08101999 1008430 1045584 446 4954 1077302 745 1987 5544 3319 15101999 1067340 1058418 568 5351 1080198 771 3223 5951 4380

Page 116

22101999 1019230 0954925 -461 4855 0907324 -973 2127 9459 4486 29101999 1038280 1018691 185 5099 1050257 490 343 2404 908 05111999 1047550 1008928 089 4932 0967248 -333 079 1109 -296 12111999 1071510 1022872 226 5022 1018248 181 511 327 409 19111999 1077140 1005254 052 5045 1004580 046 027 021 024 26111999 1104220 1025141 248 5039 0998811 -012 617 001 -030 03121999 1152250 1043497 426 5001 0992459 -076 1813 057 -322 10121999 1338690 1161805 1500 5898 1179364 1650 22492 27217 24742 17121999 1235780 0923126 -800 5044 0855205 -1564 6398 24465 12511 24121999 1215240 0983379 -168 5005 0992268 -078 281 060 130 Sum -206 -2271 80467 203211 101802 Beta 126 Alpha -020 Std Dev Of Rndm Error Term 271 Std Error of Beta 0058 Std Error of Alpha 0162 Correlation Coefficient 080 Coefficient of Determination 063 Coefficient of Nondetermination 037

Page 117

Tora Portland Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 7721 09011998 1222730 0985643 -145 7484 0969304 -312 209 972 451 16011998 1206630 0986833 -133 7332 0979690 -205 176 421 272 23011998 1187560 0984196 -159 7241 0987589 -125 254 156 199 30011998 1161970 0978452 -218 6892 0951802 -494 475 2440 1076 06021998 1152100 0991506 -085 6911 1002757 028 073 008 -023 13021998 1148570 0996936 -031 6628 0959051 -418 009 1748 128 20021998 1154110 1004823 048 6496 0980084 -201 023 405 -097 27021998 1152270 0998406 -016 6547 1007851 078 003 061 -012 06031998 1171950 1017079 169 6915 1056209 547 287 2991 926 13031998 1177260 1004531 045 6900 0997831 -022 020 005 -010 20031998 1188570 1009607 096 7245 1050000 488 091 2380 466 27031998 1200260 1009835 098 7362 1016149 160 096 257 157 03041998 1197600 0997784 -022 7424 1008422 084 005 070 -019 10041998 1198900 1001086 011 7369 0992592 -074 001 055 -008 17041998 1195490 0997156 -028 7439 1009499 095 008 089 -027 24041998 1182420 0989067 -110 7370 0990725 -093 121 087 102 01051998 1176960 0995382 -046 7190 0975577 -247 021 611 114 08051998 1159590 0985242 -149 6998 0973296 -271 221 733 402 15051998 1129560 0974103 -262 6701 0957559 -434 688 1881 1138 22051998 1112340 0984755 -154 6773 1010745 107 236 114 -164 29051998 1073430 0965020 -356 6524 0963236 -375 1268 1403 1334 05061998 1045480 0973962 -264 6652 1019620 194 696 378 -513 12061998 1066480 1020086 199 6450 0969633 -308 396 951 -613 19061998 1032170 0967829 -327 6015 0932558 -698 1069 4875 2283 26061998 1030030 0997927 -021 6099 1013965 139 004 192 -029 03071998 1002040 0972826 -276 5719 0937695 -643 759 4138 1772 10071998 982199 0980199 -200 5452 0953314 -478 400 2286 956 17071998 970995 0988593 -115 5518 1012106 120 132 145 -138 24071998 995234 1024963 247 6339 1148786 1387 608 19239 3420 31071998 1010220 1015058 149 6348 1001420 014 223 002 021 07081998 986274 0976296 -240 6187 0974638 -257 575 660 616 14081998 966470 0979920 -203 5842 0944238 -574 411 3292 1164 21081998 934316 0966730 -338 5852 1001712 017 1145 003 -058 28081998 901108 0964457 -362 5794 0990089 -100 1310 099 360 04091998 949019 1053169 518 6237 1076458 737 2684 5428 3817 11091998 950397 1001452 015 6181 0991021 -090 002 081 -013 18091998 953342 1003099 031 6247 1010678 106 010 113 033 25091998 956663 1003484 035 6276 1004642 046 012 021 016 02101998 958912 1002351 023 6504 1036329 357 006 1273 084 09101998 943251 0983668 -165 6388 0982165 -180 271 324 296 16101998 943963 1000755 008 6449 1009549 095 001 090 007 23101998 934640 0990124 -099 6437 0998139 -019 099 003 018

Page 118

30101998 918468 0982697 -175 5477 0850862 -1615 305 26084 2819 06111998 913223 0994289 -057 5695 1039803 390 033 1523 -224 13111998 917822 1005036 050 5717 1003863 039 025 015 019 20111998 917160 0999279 -007 5780 1011020 110 001 120 -008 27111998 906802 0988706 -114 5800 1003460 035 129 012 -039 04121998 902621 0995389 -046 5758 0992759 -073 021 053 034 11121998 889094 0985014 -151 5686 0987496 -126 228 158 190 18121998 902575 1015163 150 5811 1021984 217 226 473 327 25121998 906891 1004782 048 5790 0996386 -036 023 013 -017 01011999 914183 1008041 080 5835 1007772 077 064 060 062 08011999 983873 1076232 735 6729 1153213 1426 5397 20321 10473 15011999 989959 1006186 062 7063 1049636 484 038 2347 299 22011999 1016140 1026447 261 7230 1023644 234 681 546 610 29011999 1105790 1088226 845 7810 1080221 772 7149 5955 6524 05021999 1094590 0989871 -102 7362 0942638 -591 104 3490 601 12021999 1053620 0962570 -381 7597 1031921 314 1455 987 -1199 19021999 1071770 1017226 171 7512 0988811 -113 292 127 -192 26021999 1055100 0984446 -157 7157 0952742 -484 246 2344 759 05031999 1039860 0985556 -145 7118 0994551 -055 212 030 079 12031999 1041200 1001289 013 6991 0982158 -180 002 324 -023 19031999 1027650 0986986 -131 6635 0949077 -523 172 2732 685 26031999 1031360 1003610 036 6775 1021100 209 013 436 075 02041999 1034930 1003461 035 7124 1051513 502 012 2523 174 09041999 1024940 0990347 -097 7022 0985682 -144 094 208 140 16041999 1026450 1001473 015 6905 0983338 -168 002 282 -025 23041999 1038240 1011486 114 7024 1017234 171 130 292 195 30041999 1014430 0977067 -232 6869 0977933 -223 538 498 518 07051999 1027240 1012628 125 6601 0960984 -398 157 1584 -499 14051999 1015400 0988474 -116 6800 1030147 297 134 882 -344 21051999 1012050 0996701 -033 6846 1006765 067 011 045 -022 28051999 986598 0974851 -255 6700 0978674 -216 649 465 549 04061999 977053 0990325 -097 6655 0993284 -067 095 045 066 11061999 1007370 1031029 306 6719 1009617 096 934 092 292 18061999 989166 0981929 -182 6501 0967555 -330 333 1088 601 25061999 1026150 1037389 367 6122 0941701 -601 1347 3608 -2205 02071999 995282 0969919 -305 6043 0987096 -130 933 169 397 09071999 995600 1000320 003 6193 1024822 245 000 601 008 16071999 1012170 1016643 165 6396 1032779 323 272 1040 532 23071999 981962 0970155 -303 6000 0938086 -639 918 4085 1937 30071999 971997 0989852 -102 5756 0959333 -415 104 1724 423 06081999 953229 0980691 -195 5655 0982453 -177 380 313 345 13081999 935049 0980928 -193 5907 1044562 436 371 1901 -840 20081999 944102 1009682 096 5900 0998815 -012 093 001 -011 27081999 935339 0990718 -093 5947 1007966 079 087 063 -074 03091999 928650 0992849 -072 5787 0973096 -273 052 744 196 10091999 923843 0994824 -052 6140 1060999 592 027 3506 -307 17091999 936583 1013790 137 5901 0961075 -397 188 1576 -544 24091999 963355 1028585 282 6103 1034231 337 794 1133 949 01101999 964466 1001153 012 6460 1058496 568 001 3232 066 08101999 1008430 1045584 446 6783 1050000 488 1987 2380 2175 15101999 1067340 1058418 568 7012 1033761 332 3223 1102 1885

Page 119

22101999 1019230 0954925 -461 6597 0940816 -610 2127 3722 2814 29101999 1038280 1018691 185 6777 1027285 269 343 725 498 05111999 1047550 1008928 089 6745 0995278 -047 079 022 -042 12111999 1071510 1022872 226 6076 0900815 -1045 511 10911 -2362 19111999 1077140 1005254 052 6329 1041639 408 027 1664 214 26111999 1104220 1025141 248 6453 1019592 194 617 376 482 03121999 1152250 1043497 426 6847 1061057 593 1813 3512 2523 10121999 1338690 1161805 1500 7898 1153498 1428 22492 20392 21416 17121999 1235780 0923126 -800 6702 0848569 -1642 6398 26963 13135 24121999 1215240 0983379 -168 7092 1058192 566 281 3199 -948 Sum -206 -850 80467 235301 86067 Beta 107 Alpha -006 Std Dev Of Rndm Error Term 377 Std Error of Beta 0068 Std Error of Alpha 0191 Correlation Coefficient 063 Coefficient of Determination 039 Coefficient of Nondetermination 061

Page 120

Upper Egypt Flour Mills

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5639 09011998 1222730 0985643 -145 5422 0961518 -392 209 1540 567 16011998 1206630 0986833 -133 4928 0908890 -955 176 9126 1266 23011998 1187560 0984196 -159 5053 1025365 250 254 627 -399 30011998 1161970 0978452 -218 5003 0990105 -099 475 099 217 06021998 1152100 0991506 -085 5096 1018589 184 073 339 -157 13021998 1148570 0996936 -031 5381 1055926 544 009 2961 -167 20021998 1154110 1004823 048 5859 1088831 851 023 7243 410 27021998 1152270 0998406 -016 5911 1008875 088 003 078 -014 06031998 1171950 1017079 169 6392 1081374 782 287 6120 1325 13031998 1177260 1004531 045 5999 0938517 -635 020 4026 -287 20031998 1188570 1009607 096 6168 1028171 278 091 772 266 27031998 1200260 1009835 098 6226 1009403 094 096 088 092 03041998 1197600 0997784 -022 6071 0975104 -252 005 636 056 10041998 1198900 1001086 011 6025 0992423 -076 001 058 -008 17041998 1195490 0997156 -028 6051 1004315 043 008 019 -012 24041998 1182420 0989067 -110 5819 0961659 -391 121 1528 430 01051998 1176960 0995382 -046 6052 1040041 393 021 1541 -182 08051998 1159590 0985242 -149 5933 0980337 -199 221 394 295 15051998 1129560 0974103 -262 5637 0950110 -512 688 2619 1343 22051998 1112340 0984755 -154 5238 0929218 -734 236 5389 1128 29051998 1073430 0965020 -356 4877 0931081 -714 1268 5099 2543 05061998 1045480 0973962 -264 4595 0942178 -596 696 3548 1571 12061998 1066480 1020086 199 4822 1049402 482 396 2325 959 19061998 1032170 0967829 -327 4818 0999170 -008 1069 001 027 26061998 1030030 0997927 -021 4795 0995226 -048 004 023 010 03071998 1002040 0972826 -276 4704 0981022 -192 759 367 528 10071998 982199 0980199 -200 4538 0964711 -359 400 1291 719 17071998 970995 0988593 -115 4544 1001322 013 132 002 -015 24071998 995234 1024963 247 4802 1056778 552 608 3050 1362 31071998 1010220 1015058 149 4983 1037693 370 223 1369 553 07081998 986274 0976296 -240 4698 0942806 -589 575 3469 1413 14081998 966470 0979920 -203 4825 1027033 267 411 711 -541 21081998 934316 0966730 -338 4695 0973057 -273 1145 746 924 28081998 901108 0964457 -362 4556 0970394 -301 1310 903 1088 04091998 949019 1053169 518 4795 1052458 511 2684 2614 2649 11091998 950397 1001452 015 4758 0992284 -077 002 060 -011 18091998 953342 1003099 031 4654 0978142 -221 010 488 -068 25091998 956663 1003484 035 4554 0978513 -217 012 472 -076 02101998 958912 1002351 023 4558 1000878 009 006 001 002 09101998 943251 0983668 -165 4223 0926503 -763 271 5828 1257 16101998 943963 1000755 008 4294 1016813 167 001 278 013 23101998 934640 0990124 -099 3931 0915463 -883 099 7801 877

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30101998 918468 0982697 -175 3658 0930552 -720 305 5181 1256 06111998 913223 0994289 -057 3086 0843630 -1700 033 28914 974 13111998 917822 1005036 050 3419 1107907 1025 025 10501 515 20111998 917160 0999279 -007 3452 1009652 096 001 092 -007 27111998 906802 0988706 -114 3318 0961182 -396 129 1567 450 04121998 902621 0995389 -046 3434 1034961 344 021 1181 -159 11121998 889094 0985014 -151 3437 1000874 009 228 001 -013 18121998 902575 1015163 150 3427 0997090 -029 226 008 -044 25121998 906891 1004782 048 36 1050481 492 023 2425 235 01011999 914183 1008041 080 3632 1008889 088 064 078 071 08011999 983873 1076232 735 4372 1203744 1854 5397 34387 13623 15011999 989959 1006186 062 4225 0966377 -342 038 1170 -211 22011999 1016140 1026447 261 4397 1040710 399 681 1592 1042 29011999 1105790 1088226 845 4738 1077553 747 7149 5579 6315 05021999 1094590 0989871 -102 4727 0997678 -023 104 005 024 12021999 1053620 0962570 -381 4519 0955997 -450 1455 2025 1717 19021999 1071770 1017226 171 4765 1054437 530 292 2810 905 26021999 1055100 0984446 -157 4714 0989297 -108 246 116 169 05031999 1039860 0985556 -145 4612 0978362 -219 212 479 318 12031999 1041200 1001289 013 4423 0959020 -418 002 1751 -054 19031999 1027650 0986986 -131 4462 1008818 088 172 077 -115 26031999 1031360 1003610 036 4586 1027790 274 013 751 099 02041999 1034930 1003461 035 4396 0958570 -423 012 1790 -146 09041999 1024940 0990347 -097 4152 0944495 -571 094 3261 554 16041999 1026450 1001473 015 3972 0956647 -443 002 1964 -065 23041999 1038240 1011486 114 3902 0982377 -178 130 316 -203 30041999 1014430 0977067 -232 3653 0936187 -659 538 4348 1530 07051999 1027240 1012628 125 3754 1027649 273 157 744 342 14051999 1015400 0988474 -116 3486 0928609 -741 134 5486 859 21051999 1012050 0996701 -033 3339 0957831 -431 011 1856 142 28051999 986598 0974851 -255 3213 0962264 -385 649 1480 980 04061999 977053 0990325 -097 3207 0998133 -019 095 003 018 11061999 1007370 1031029 306 3423 1067353 652 934 4249 1992 18061999 989166 0981929 -182 3325 0971370 -290 333 844 530 25061999 1026150 1037389 367 2992 0899850 -1055 1347 11136 -3874 02071999 995282 0969919 -305 3089 1032420 319 933 1018 -974 09071999 995600 1000320 003 2968 0960829 -400 000 1597 -013 16071999 1012170 1016643 165 3195 1076482 737 272 5432 1216 23071999 981962 0970155 -303 315 0985915 -142 918 201 430 30071999 971997 0989852 -102 3035 0963492 -372 104 1383 379 06081999 953229 0980691 -195 2889 0951895 -493 380 2431 961 13081999 935049 0980928 -193 2757 0954309 -468 371 2187 901 20081999 944102 1009682 096 2792 1012695 126 093 159 122 27081999 935339 0990718 -093 2859 1023997 237 087 562 -221 03091999 928650 0992849 -072 282 0986359 -137 052 189 099 10091999 923843 0994824 -052 3108 1102128 972 027 9456 -505 17091999 936583 1013790 137 3008 0967825 -327 188 1070 -448 24091999 963355 1028585 282 3016 1002660 027 794 007 075 01101999 964466 1001153 012 3017 1000332 003 001 000 000 08101999 1008430 1045584 446 3245 1075572 729 1987 5307 3247 15101999 1067340 1058418 568 3413 1051772 505 3223 2548 2866

Page 122

22101999 1019230 0954925 -461 3195 0936127 -660 2127 4357 3044 29101999 1038280 1018691 185 3256 1019092 189 343 358 350 05111999 1047550 1008928 089 2663 0817875 -2010 079 40420 -1787 12111999 1071510 1022872 226 2813 1056327 548 511 3003 1239 19111999 1077140 1005254 052 2776 0986847 -132 027 175 -069 26111999 1104220 1025141 248 2755 0992435 -076 617 058 -189 03121999 1152250 1043497 426 273 0990926 -091 1813 083 -388 10121999 1338690 1161805 1500 2777 1017216 171 22492 291 2560 17121999 1235780 0923126 -800 2606 0938423 -636 6398 4039 5084 24121999 1215240 0983379 -168 2553 0979662 -205 281 422 344 Sum -206 -7924 80467 310570 70040 Beta 087 Alpha -075 Std Dev Of Rndm Error Term 491 Std Error of Beta 0078 Std Error of Alpha 0218 Correlation Coefficient 045 Coefficient of Determination 020 Coefficient of Nondetermination 080

Page 123

Nasr City for Housing and Development

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 10973 09011998 1222730 0985643 -145 10724 0977262 -230 209 529 333 16011998 1206630 0986833 -133 10722 0999860 -001 176 000 002 23011998 1187560 0984196 -159 10612 0989741 -103 254 106 164 30011998 1161970 0978452 -218 10569 0995901 -041 475 017 089 06021998 1152100 0991506 -085 10372 0981360 -188 073 354 161 13021998 1148570 0996936 -031 10075 0971412 -290 009 841 089 20021998 1154110 1004823 048 9827 0975385 -249 023 621 -120 27021998 1152270 0998406 -016 10000 1017605 175 003 305 -028 06031998 1171950 1017079 169 10182 1018200 180 287 325 305 13031998 1177260 1004531 045 10080 0989933 -101 020 102 -046 20031998 1188570 1009607 096 10299 1021777 215 091 464 206 27031998 1200260 1009835 098 10688 1037722 370 096 1371 362 03041998 1197600 0997784 -022 10585 0990409 -096 005 093 021 10041998 1198900 1001086 011 10642 1005385 054 001 029 006 17041998 1195490 0997156 -028 10648 1000564 006 008 000 -002 24041998 1182420 0989067 -110 10613 0996713 -033 121 011 036 01051998 1176960 0995382 -046 10470 0986479 -136 021 185 063 08051998 1159590 0985242 -149 10393 0992645 -074 221 054 110 15051998 1129560 0974103 -262 10092 0971037 -294 688 864 771 22051998 1112340 0984755 -154 9631 0954368 -467 236 2181 718 29051998 1073430 0965020 -356 9625 0999377 -006 1268 000 022 05061998 1045480 0973962 -264 9140 0949558 -518 696 2679 1366 12061998 1066480 1020086 199 9153 1001422 014 396 002 028 19061998 1032170 0967829 -327 8790 0960393 -404 1069 1633 1321 26061998 1030030 0997927 -021 8353 0950284 -510 004 2600 106 03071998 1002040 0972826 -276 8133 0973662 -267 759 712 735 10071998 982199 0980199 -200 7391 0908705 -957 400 9165 1915 17071998 970995 0988593 -115 6762 0914958 -889 132 7899 1020 24071998 995234 1024963 247 7760 1147516 1376 608 18934 3393 31071998 1010220 1015058 149 8084 1041820 410 223 1678 612 07081998 986274 0976296 -240 7844 0970250 -302 575 912 725 14081998 966470 0979920 -203 7377 0940524 -613 411 3760 1244 21081998 934316 0966730 -338 7071 0958520 -424 1145 1795 1433 28081998 901108 0964457 -362 6804 0962169 -386 1310 1487 1396 04091998 949019 1053169 518 7267 1068127 659 2684 4344 3414 11091998 950397 1001452 015 7367 1013761 137 002 187 020 18091998 953342 1003099 031 7295 0990227 -098 010 096 -030 25091998 956663 1003484 035 7445 1020493 203 012 412 071 02101998 958912 1002351 023 7439 0999261 -007 006 001 -002 09101998 943251 0983668 -165 7179 0964982 -356 271 1271 587 16101998 943963 1000755 008 6238 0868914 -1405 001 19743 -106 23101998 934640 0990124 -099 6142 0984689 -154 099 238 153

Page 124

30101998 918468 0982697 -175 5338 0869098 -1403 305 19684 2449 06111998 913223 0994289 -057 5694 1066692 646 033 4168 -370 13111998 917822 1005036 050 5300 0930717 -718 025 5155 -361 20111998 917160 0999279 -007 5102 0962732 -380 001 1442 027 27111998 906802 0988706 -114 5148 1009016 090 129 081 -102 04121998 902621 0995389 -046 5135 0997378 -026 021 007 012 11121998 889094 0985014 -151 5151 1003214 032 228 010 -048 18121998 902575 1015163 150 5143 0998350 -017 226 003 -025 25121998 906891 1004782 048 5115 0994555 -055 023 030 -026 01011999 914183 1008041 080 5153 1007430 074 064 055 059 08011999 983873 1076232 735 5576 1082193 790 5397 6239 5803 15011999 989959 1006186 062 5613 1006546 065 038 043 040 22011999 1016140 1026447 261 5728 1020579 204 681 415 532 29011999 1105790 1088226 845 6809 1188722 1729 7149 29887 14617 05021999 1094590 0989871 -102 6457 0948304 -531 104 2818 540 12021999 1053620 0962570 -381 5937 0919390 -840 1455 7064 3206 19021999 1071770 1017226 171 6268 1055757 543 292 2944 927 26021999 1055100 0984446 -157 6139 0979418 -208 246 433 326 05031999 1039860 0985556 -145 5772 0940295 -616 212 3790 896 12031999 1041200 1001289 013 5590 0968468 -320 002 1027 -041 19031999 1027650 0986986 -131 5457 0976208 -241 172 580 315 26031999 1031360 1003610 036 5352 0980667 -195 013 381 -070 02041999 1034930 1003461 035 5509 1029431 290 012 841 100 09041999 1024940 0990347 -097 5325 0966509 -341 094 1160 330 16041999 1026450 1001473 015 5518 1036248 356 002 1268 052 23041999 1038240 1011486 114 5388 0976439 -238 130 569 -272 30041999 1014430 0977067 -232 5212 0967332 -332 538 1103 771 07051999 1027240 1012628 125 4940 0947904 -535 157 2863 -671 14051999 1015400 0988474 -116 4499 0910628 -936 134 8765 1085 21051999 1012050 0996701 -033 4500 1000333 003 011 000 -001 28051999 986598 0974851 -255 4500 1000000 000 649 000 000 04061999 977053 0990325 -097 4333 0962889 -378 095 1430 368 11061999 1007370 1031029 306 4221 0974152 -262 934 686 -800 18061999 989166 0981929 -182 4025 0953566 -475 333 2261 867 25061999 1026150 1037389 367 3968 0985839 -143 1347 203 -524 02071999 995282 0969919 -305 3726 0939012 -629 933 3960 1922 09071999 995600 1000320 003 3789 1016908 168 000 281 005 16071999 1012170 1016643 165 3853 1016891 167 272 281 276 23071999 981962 0970155 -303 3912 1015313 152 918 231 -460 30071999 971997 0989852 -102 3837 0980828 -194 104 375 197 06081999 953229 0980691 -195 3903 1017201 171 380 291 -333 13081999 935049 0980928 -193 3854 0987446 -126 371 160 243 20081999 944102 1009682 096 3753 0973793 -266 093 705 -256 27081999 935339 0990718 -093 3598 0958700 -422 087 1779 393 03091999 928650 0992849 -072 3562 0989994 -101 052 101 072 10091999 923843 0994824 -052 3546 0995508 -045 027 020 023 17091999 936583 1013790 137 3765 1061760 599 188 3591 821 24091999 963355 1028585 282 3903 1036653 360 794 1296 1015 01101999 964466 1001153 012 3791 0971304 -291 001 848 -034 08101999 1008430 1045584 446 4114 1085202 818 1987 6686 3645 15101999 1067340 1058418 568 4367 1061497 597 3223 3562 3388

Page 125

22101999 1019230 0954925 -461 4218 0965880 -347 2127 1205 1601 29101999 1038280 1018691 185 3687 0874111 -1345 343 18103 -2492 05111999 1047550 1008928 089 3487 0945755 -558 079 3110 -496 12111999 1071510 1022872 226 3549 1017780 176 511 311 399 19111999 1077140 1005254 052 3567 1005072 051 027 026 027 26111999 1104220 1025141 248 3356 0940847 -610 617 3718 -1514 03121999 1152250 1043497 426 3546 1056615 551 1813 3033 2345 10121999 1338690 1161805 1500 3498 0986464 -136 22492 186 -2044 17121999 1235780 0923126 -800 3611 1032304 318 6398 1011 -2543 24121999 1215240 0983379 -168 3308 0916090 -876 281 7681 1469 Sum -206 -11991 80467 257954 60346 Beta 075 Alpha -115 Std Dev Of Rndm Error Term 444 Std Error of Beta 0074 Std Error of Alpha 0208 Correlation Coefficient 043 Coefficient of Determination 018 Coefficient of Nondetermination 082

Page 126

Abu Keir for Fertilisers

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8459 09011998 1222730 0985643 -145 8438 0997517 -025 209 006 036 16011998 1206630 0986833 -133 8022 0950699 -506 176 2556 670 23011998 1187560 0984196 -159 7874 0981551 -186 254 347 297 30011998 1161970 0978452 -218 783 0994412 -056 475 031 122 06021998 1152100 0991506 -085 774 0988506 -116 073 134 099 13021998 1148570 0996936 -031 7632 0986047 -141 009 197 043 20021998 1154110 1004823 048 7711 1010351 103 023 106 050 27021998 1152270 0998406 -016 7744 1004280 043 003 018 -007 06031998 1171950 1017079 169 7716 0996384 -036 287 013 -061 13031998 1177260 1004531 045 7685 0995982 -040 020 016 -018 20031998 1188570 1009607 096 7453 0969811 -307 091 940 -293 27031998 1200260 1009835 098 7287 0977727 -225 096 507 -220 03041998 1197600 0997784 -022 7419 1018114 180 005 322 -040 10041998 1198900 1001086 011 7419 1000000 000 001 000 000 17041998 1195490 0997156 -028 7402 0997709 -023 008 005 007 24041998 1182420 0989067 -110 7369 0995542 -045 121 020 049 01051998 1176960 0995382 -046 7358 0998507 -015 021 002 007 08051998 1159590 0985242 -149 733 0996195 -038 221 015 057 15051998 1129560 0974103 -262 7246 0988540 -115 688 133 302 22051998 1112340 0984755 -154 7037 0971157 -293 236 857 450 29051998 1073430 0965020 -356 6648 0944721 -569 1268 3234 2025 05061998 1045480 0973962 -264 6775 1019103 189 696 358 -499 12061998 1066480 1020086 199 7001 1033358 328 396 1077 653 19061998 1032170 0967829 -327 6614 0944722 -569 1069 3234 1859 26061998 1030030 0997927 -021 6678 1009676 096 004 093 -020 03071998 1002040 0972826 -276 6351 0951033 -502 759 2521 1383 10071998 982199 0980199 -200 6234 0981578 -186 400 346 372 17071998 970995 0988593 -115 6126 0982676 -175 132 305 200 24071998 995234 1024963 247 6178 1008488 085 608 071 208 31071998 1010220 1015058 149 6189 1001781 018 223 003 027 07081998 986274 0976296 -240 6026 0973663 -267 575 712 640 14081998 966470 0979920 -203 5796 0961832 -389 411 1514 789 21081998 934316 0966730 -338 5415 0934265 -680 1145 4623 2301 28081998 901108 0964457 -362 5395 0996307 -037 1310 014 134 04091998 949019 1053169 518 5648 1046895 458 2684 2100 2374 11091998 950397 1001452 015 5801 1027089 267 002 714 039 18091998 953342 1003099 031 5755 0992070 -080 010 063 -025 25091998 956663 1003484 035 5834 1013727 136 012 186 047 02101998 958912 1002351 023 598 1025026 247 006 611 058 09101998 943251 0983668 -165 6272 1048829 477 271 2273 -785 16101998 943963 1000755 008 6497 1035874 352 001 1242 027 23101998 934640 0990124 -099 5815 0895028 -1109 099 12299 1101

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30101998 918468 0982697 -175 6326 1087876 842 305 7094 -1470 06111998 913223 0994289 -057 6336 1001581 016 033 002 -009 13111998 917822 1005036 050 6338 1000316 003 025 000 002 20111998 917160 0999279 -007 6471 1020985 208 001 431 -015 27111998 906802 0988706 -114 6366 0983774 -164 129 268 186 04121998 902621 0995389 -046 6304 0990261 -098 021 096 045 11121998 889094 0985014 -151 6247 0990958 -091 228 083 137 18121998 902575 1015163 150 6103 0976949 -233 226 544 -351 25121998 906891 1004782 048 6092 0998198 -018 023 003 -009 01011999 914183 1008041 080 6117 1004104 041 064 017 033 08011999 983873 1076232 735 6219 1016675 165 5397 273 1215 15011999 989959 1006186 062 6122 0984403 -157 038 247 -097 22011999 1016140 1026447 261 606 0989873 -102 681 104 -266 29011999 1105790 1088226 845 6213 1025248 249 7149 622 2108 05021999 1094590 0989871 -102 6163 0991952 -081 104 065 082 12021999 1053620 0962570 -381 5805 0941911 -598 1455 3581 2283 19021999 1071770 1017226 171 5799 0998966 -010 292 001 -018 26021999 1055100 0984446 -157 5871 1012416 123 246 152 -193 05031999 1039860 0985556 -145 5798 0987566 -125 212 157 182 12031999 1041200 1001289 013 5796 0999655 -003 002 000 -000 19031999 1027650 0986986 -131 5793 0999482 -005 172 000 007 26031999 1031360 1003610 036 5818 1004316 043 013 019 016 02041999 1034930 1003461 035 575 0988312 -118 012 138 -041 09041999 1024940 0990347 -097 5542 0963826 -368 094 1358 357 16041999 1026450 1001473 015 5438 0981234 -189 002 359 -028 23041999 1038240 1011486 114 5387 0990622 -094 130 089 -108 30041999 1014430 0977067 -232 5017 0931316 -712 538 5063 1651 07051999 1027240 1012628 125 4687 0934224 -680 157 4629 -854 14051999 1015400 0988474 -116 4446 0948581 -528 134 2787 612 21051999 1012050 0996701 -033 4741 1066352 642 011 4127 -212 28051999 986598 0974851 -255 4599 0970049 -304 649 925 775 04061999 977053 0990325 -097 4223 0918243 -853 095 7275 829 11061999 1007370 1031029 306 4203 0995264 -047 934 023 -145 18061999 989166 0981929 -182 3721 0885320 -1218 333 14837 2221 25061999 1026150 1037389 367 4174 1121741 1149 1347 13198 4217 02071999 995282 0969919 -305 4198 1005750 057 933 033 -175 09071999 995600 1000320 003 4374 1041925 411 000 1687 013 16071999 1012170 1016643 165 4243 0970050 -304 272 925 -502 23071999 981962 0970155 -303 4127 0972661 -277 918 768 840 30071999 971997 0989852 -102 40 0969227 -313 104 977 319 06081999 953229 0980691 -195 3788 0947000 -545 380 2965 1062 13081999 935049 0980928 -193 3854 1017423 173 371 298 -333 20081999 944102 1009682 096 3981 1032953 324 093 1051 312 27081999 935339 0990718 -093 4149 1042200 413 087 1709 -385 03091999 928650 0992849 -072 415 1000241 002 052 000 -002 10091999 923843 0994824 -052 4138 0997108 -029 027 008 015 17091999 936583 1013790 137 3927 0949009 -523 188 2739 -717 24091999 963355 1028585 282 4096 1043035 421 794 1775 1188 01101999 964466 1001153 012 4043 0987061 -130 001 170 -015 08101999 1008430 1045584 446 4059 1003957 039 1987 016 176 15101999 1067340 1058418 568 4054 0998768 -012 3223 002 -070

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22101999 1019230 0954925 -461 3984 0982733 -174 2127 303 803 29101999 1038280 1018691 185 3268 0820281 -1981 343 39247 -3669 05111999 1047550 1008928 089 3201 0979498 -207 079 429 -184 12111999 1071510 1022872 226 3164 0988441 -116 511 135 -263 19111999 1077140 1005254 052 298 0941846 -599 027 3590 -314 26111999 1104220 1025141 248 2952 0990604 -094 617 089 -234 03121999 1152250 1043497 426 2998 1015583 155 1813 239 658 10121999 1338690 1161805 1500 326 1087392 838 22492 7019 12565 17121999 1235780 0923126 -800 3303 1013190 131 6398 172 -1048 24121999 1215240 0983379 -168 3165 0958220 -427 281 1821 715 Sum -206 -9831 80467 180553 38354 Beta 047 Alpha -094 Std Dev Of Rndm Error Term 389 Std Error of Beta 0070 Std Error of Alpha 0194 Correlation Coefficient 033 Coefficient of Determination 011 Coefficient of Nondetermination 089

Page 129

Egyptian Financial and Industrial

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 10251 09011998 1222730 0985643 -145 10199 0994879 -051 209 026 074 16011998 1206630 0986833 -133 10039 0984311 -158 176 250 210 23011998 1187560 0984196 -159 10021 0998257 -017 254 003 028 30011998 1161970 0978452 -218 9630 0960982 -398 475 1584 867 06021998 1152100 0991506 -085 9051 0939875 -620 073 3845 529 13021998 1148570 0996936 -031 8848 0977572 -227 009 515 070 20021998 1154110 1004823 048 8823 0997175 -028 023 008 -014 27021998 1152270 0998406 -016 8847 1002720 027 003 007 -004 06031998 1171950 1017079 169 8405 0950040 -513 287 2627 -868 13031998 1177260 1004531 045 8903 1059191 575 020 3307 260 20031998 1188570 1009607 096 9174 1030497 300 091 902 287 27031998 1200260 1009835 098 9387 1023218 230 096 527 225 03041998 1197600 0997784 -022 9448 1006498 065 005 042 -014 10041998 1198900 1001086 011 9569 1012754 127 001 161 014 17041998 1195490 0997156 -028 9600 1003292 033 008 011 -009 24041998 1182420 0989067 -110 9581 0998021 -020 121 004 022 01051998 1176960 0995382 -046 9600 1001983 020 021 004 -009 08051998 1159590 0985242 -149 9449 0984271 -159 221 251 236 15051998 1129560 0974103 -262 9370 0991639 -084 688 070 220 22051998 1112340 0984755 -154 8661 0924333 -787 236 6191 1209 29051998 1073430 0965020 -356 8478 0978871 -214 1268 456 760 05061998 1045480 0973962 -264 8321 0981481 -187 696 349 493 12061998 1066480 1020086 199 8270 0993871 -061 396 038 -122 19061998 1032170 0967829 -327 7944 0960580 -402 1069 1617 1315 26061998 1030030 0997927 -021 7651 0963117 -376 004 1412 078 03071998 1002040 0972826 -276 7211 0942491 -592 759 3508 1632 10071998 982199 0980199 -200 6744 0935238 -670 400 4483 1339 17071998 970995 0988593 -115 6608 0979834 -204 132 415 234 24071998 995234 1024963 247 6082 0920400 -829 608 6880 -2045 31071998 1010220 1015058 149 6169 1014305 142 223 202 212 07081998 986274 0976296 -240 5979 0969201 -313 575 979 750 14081998 966470 0979920 -203 6034 1009199 092 411 084 -186 21081998 934316 0966730 -338 5803 0961717 -390 1145 1524 1321 28081998 901108 0964457 -362 5608 0966397 -342 1310 1168 1237 04091998 949019 1053169 518 5944 1059914 582 2684 3386 3014 11091998 950397 1001452 015 5724 0962988 -377 002 1422 -055 18091998 953342 1003099 031 5754 1005241 052 010 027 016 25091998 956663 1003484 035 5906 1026416 261 012 680 091 02101998 958912 1002351 023 6025 1020149 199 006 398 047 09101998 943251 0983668 -165 5959 0989046 -110 271 121 181 16101998 943963 1000755 008 5913 0992281 -077 001 060 -006 23101998 934640 0990124 -099 5860 0991037 -090 099 081 089

Page 130

30101998 918468 0982697 -175 5867 1001195 012 305 001 -021 06111998 913223 0994289 -057 5824 0992671 -074 033 054 042 13111998 917822 1005036 050 5777 0991930 -081 025 066 -041 20111998 917160 0999279 -007 5775 0999654 -003 001 000 000 27111998 906802 0988706 -114 5766 0998442 -016 129 002 018 04121998 902621 0995389 -046 5767 1000173 002 021 000 -001 11121998 889094 0985014 -151 5724 0992544 -075 228 056 113 18121998 902575 1015163 150 5676 0991614 -084 226 071 -127 25121998 906891 1004782 048 5625 0991015 -090 023 081 -043 01011999 914183 1008041 080 5627 1000356 004 064 000 003 08011999 983873 1076232 735 5876 1044251 433 5397 1875 3181 15011999 989959 1006186 062 5944 1011572 115 038 132 071 22011999 1016140 1026447 261 6172 1038358 376 681 1417 983 29011999 1105790 1088226 845 6828 1106286 1010 7149 10203 8540 05021999 1094590 0989871 -102 6460 0946104 -554 104 3069 564 12021999 1053620 0962570 -381 6061 0938235 -638 1455 4065 2432 19021999 1071770 1017226 171 6023 0993730 -063 292 040 -107 26021999 1055100 0984446 -157 5949 0987714 -124 246 153 194 05031999 1039860 0985556 -145 5656 0950748 -505 212 2551 735 12031999 1041200 1001289 013 5642 0997525 -025 002 006 -003 19031999 1027650 0986986 -131 5620 0996101 -039 172 015 051 26031999 1031360 1003610 036 5488 0976512 -238 013 565 -086 02041999 1034930 1003461 035 5568 1014577 145 012 209 050 09041999 1024940 0990347 -097 5498 0987428 -127 094 160 123 16041999 1026450 1001473 015 5354 0973809 -265 002 704 -039 23041999 1038240 1011486 114 5442 1016436 163 130 266 186 30041999 1014430 0977067 -232 5266 0967659 -329 538 1081 763 07051999 1027240 1012628 125 5229 0992974 -071 157 050 -088 14051999 1015400 0988474 -116 5022 0960413 -404 134 1631 468 21051999 1012050 0996701 -033 5134 1022302 221 011 487 -073 28051999 986598 0974851 -255 4781 0931243 -712 649 5074 1814 04061999 977053 0990325 -097 4664 0975528 -248 095 614 241 11061999 1007370 1031029 306 4637 0994211 -058 934 034 -177 18061999 989166 0981929 -182 4442 0957947 -430 333 1846 783 25061999 1026150 1037389 367 4289 0965556 -351 1347 1229 -1287 02071999 995282 0969919 -305 4239 0988342 -117 933 138 358 09071999 995600 1000320 003 4152 0979476 -207 000 430 -007 16071999 1012170 1016643 165 3782 0910886 -933 272 8712 -1541 23071999 981962 0970155 -303 3657 0966949 -336 918 1130 1018 30071999 971997 0989852 -102 3748 1024884 246 104 604 -251 06081999 953229 0980691 -195 3672 0979723 -205 380 420 399 13081999 935049 0980928 -193 3575 0973584 -268 371 717 516 20081999 944102 1009682 096 3472 0971189 -292 093 855 -282 27081999 935339 0990718 -093 3472 1000000 000 087 000 000 03091999 928650 0992849 -072 3320 0956221 -448 052 2004 321 10091999 923843 0994824 -052 3207 0965964 -346 027 1199 180 17091999 936583 1013790 137 3166 0987215 -129 188 166 -176 24091999 963355 1028585 282 3189 1007265 072 794 052 204 01101999 964466 1001153 012 3150 0987770 -123 001 151 -014 08101999 1008430 1045584 446 3336 1059048 574 1987 3291 2557 15101999 1067340 1058418 568 3445 1032674 322 3223 1034 1825

Page 131

22101999 1019230 0954925 -461 3200 0928882 -738 2127 5442 3403 29101999 1038280 1018691 185 3210 1003125 031 343 010 058 05111999 1047550 1008928 089 2864 0892212 -1141 079 13008 -1014 12111999 1071510 1022872 226 2820 0984637 -155 511 240 -350 19111999 1077140 1005254 052 2828 1002837 028 027 008 015 26111999 1104220 1025141 248 2758 0975248 -251 617 628 -622 03121999 1152250 1043497 426 2796 1013778 137 1813 187 583 10121999 1338690 1161805 1500 3185 1139127 1303 22492 16968 19536 17121999 1235780 0923126 -800 2840 0891680 -1146 6398 13144 9171 24121999 1215240 0983379 -168 2754 0969718 -307 281 946 515 Sum -206 -13143 80467 158917 69392 Beta 086 Alpha -126 Std Dev Of Rndm Error Term 286 Std Error of Beta 0060 Std Error of Alpha 0167 Correlation Coefficient 065 Coefficient of Determination 042 Coefficient of Nondetermination 058

Page 132

Paints and Chemical Industries (PACHIN)

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5386 09011998 1222730 0985643 -145 5201 0965649 -350 209 1222 505 16011998 1206630 0986833 -133 5121 0984617 -155 176 240 205 23011998 1187560 0984196 -159 4640 0906162 -985 254 9710 1570 30011998 1161970 0978452 -218 4846 1044289 433 475 1878 -944 06021998 1152100 0991506 -085 4850 1000929 009 073 001 -008 13021998 1148570 0996936 -031 5240 1080412 773 009 5982 -237 20021998 1154110 1004823 048 5664 1080821 777 023 6040 374 27021998 1152270 0998406 -016 5648 0997263 -027 003 008 004 06031998 1171950 1017079 169 5709 1010800 107 287 115 182 13031998 1177260 1004531 045 5779 1012261 122 020 149 055 20031998 1188570 1009607 096 5835 1009690 096 091 093 092 27031998 1200260 1009835 098 5800 0994002 -060 096 036 -059 03041998 1197600 0997784 -022 5792 0998621 -014 005 002 003 10041998 1198900 1001086 011 5752 0993094 -069 001 048 -008 17041998 1195490 0997156 -028 5745 0998696 -013 008 002 004 24041998 1182420 0989067 -110 5743 0999652 -003 121 000 004 01051998 1176960 0995382 -046 5613 0977362 -229 021 524 106 08051998 1159590 0985242 -149 5750 1024410 241 221 582 -359 15051998 1129560 0974103 -262 5637 0980433 -198 688 390 518 22051998 1112340 0984755 -154 5338 0946869 -546 236 2981 839 29051998 1073430 0965020 -356 4772 0893958 -1121 1268 12566 3991 05061998 1045480 0973962 -264 4966 1040763 400 696 1596 -1054 12061998 1066480 1020086 199 5150 1037052 364 396 1324 724 19061998 1032170 0967829 -327 5184 1006602 066 1069 043 -215 26061998 1030030 0997927 -021 5013 0966917 -336 004 1132 070 03071998 1002040 0972826 -276 4836 0964688 -360 759 1292 990 10071998 982199 0980199 -200 4713 0974563 -258 400 664 515 17071998 970995 0988593 -115 4750 1007851 078 132 061 -090 24071998 995234 1024963 247 4797 1009896 098 608 097 243 31071998 1010220 1015058 149 4789 0998332 -017 223 003 -025 07081998 986274 0976296 -240 4700 0981414 -188 575 352 450 14081998 966470 0979920 -203 4355 0926588 -762 411 5814 1547 21081998 934316 0966730 -338 4041 0927891 -748 1145 5601 2532 28081998 901108 0964457 -362 3685 0912016 -921 1310 8482 3333 04091998 949019 1053169 518 3935 1067843 656 2684 4309 3400 11091998 950397 1001452 015 4291 1090343 865 002 7481 125 18091998 953342 1003099 031 4428 1031931 314 010 988 097 25091998 956663 1003484 035 4673 1055449 540 012 2912 188 02101998 958912 1002351 023 4670 0999251 -007 006 001 -002 09101998 943251 0983668 -165 4599 0984902 -152 271 231 251 16101998 943963 1000755 008 4513 0981300 -189 001 356 -014 23101998 934640 0990124 -099 4718 1045314 443 099 1964 -440

Page 133

30101998 918468 0982697 -175 4937 1046423 454 305 2059 -792 06111998 913223 0994289 -057 4450 0901448 -1038 033 10765 594 13111998 917822 1005036 050 4574 1027865 275 025 755 138 20111998 917160 0999279 -007 4286 0937035 -650 001 4229 047 27111998 906802 0988706 -114 4153 0968969 -315 129 994 358 04121998 902621 0995389 -046 3887 0935950 -662 021 4382 306 11121998 889094 0985014 -151 3465 0891433 -1149 228 13208 1735 18121998 902575 1015163 150 3490 1007215 072 226 052 108 25121998 906891 1004782 048 3468 0993696 -063 023 040 -030 01011999 914183 1008041 080 3500 1009227 092 064 084 074 08011999 983873 1076232 735 3962 1131857 1239 5397 15341 9099 15011999 989959 1006186 062 4063 1025495 252 038 634 155 22011999 1016140 1026447 261 4358 1072615 701 681 4914 1830 29011999 1105790 1088226 845 4246 0974412 -259 7149 672 -2192 05021999 1094590 0989871 -102 4203 0989873 -102 104 104 104 12021999 1053620 0962570 -381 3905 0928979 -737 1455 5427 2810 19021999 1071770 1017226 171 4049 1036881 362 292 1312 619 26021999 1055100 0984446 -157 3900 0963196 -375 246 1406 588 05031999 1039860 0985556 -145 3709 0951019 -502 212 2522 731 12031999 1041200 1001289 013 3733 1006606 066 002 043 008 19031999 1027650 0986986 -131 3665 0981784 -184 172 338 241 26031999 1031360 1003610 036 3548 0967940 -326 013 1062 -117 02041999 1034930 1003461 035 3564 1004651 046 012 022 016 09041999 1024940 0990347 -097 3503 0982884 -173 094 298 167 16041999 1026450 1001473 015 3772 1076649 739 002 5454 109 23041999 1038240 1011486 114 3711 0983826 -163 130 266 -186 30041999 1014430 0977067 -232 3649 0983291 -169 538 284 391 07051999 1027240 1012628 125 3593 0984651 -155 157 239 -194 14051999 1015400 0988474 -116 3508 0976479 -238 134 567 276 21051999 1012050 0996701 -033 3650 1040336 395 011 1564 -131 28051999 986598 0974851 -255 3487 0955336 -457 649 2088 1164 04061999 977053 0990325 -097 3513 1007601 076 095 057 -074 11061999 1007370 1031029 306 3597 1023769 235 934 552 718 18061999 989166 0981929 -182 3477 0966634 -339 333 1152 619 25061999 1026150 1037389 367 3375 0970804 -296 1347 878 -1088 02071999 995282 0969919 -305 3498 1036296 357 933 1271 -1089 09071999 995600 1000320 003 3487 0996998 -030 000 009 -001 16071999 1012170 1016643 165 3505 1005019 050 272 025 083 23071999 981962 0970155 -303 3446 0983307 -168 918 283 510 30071999 971997 0989852 -102 3359 0974753 -256 104 654 261 06081999 953229 0980691 -195 3162 0941203 -606 380 3672 1181 13081999 935049 0980928 -193 3022 0955717 -453 371 2051 872 20081999 944102 1009682 096 3149 1042032 412 093 1695 397 27081999 935339 0990718 -093 3109 0987454 -126 087 159 118 03091999 928650 0992849 -072 3072 0988099 -120 052 143 086 10091999 923843 0994824 -052 3065 0997559 -024 027 006 013 17091999 936583 1013790 137 3150 1027900 275 188 757 377 24091999 963355 1028585 282 3164 1004444 044 794 020 125 01101999 964466 1001153 012 3163 0999526 -005 001 000 -001 08101999 1008430 1045584 446 3317 1048854 477 1987 2275 2126 15101999 1067340 1058418 568 3392 1022460 222 3223 493 1261

Page 134

22101999 1019230 0954925 -461 3127 0922011 -812 2127 6593 3745 29101999 1038280 1018691 185 3162 1011193 111 343 124 206 05111999 1047550 1008928 089 3249 1027514 271 079 737 241 12111999 1071510 1022872 226 3235 0995537 -045 511 020 -101 19111999 1077140 1005254 052 2841 0878343 -1297 027 16827 -680 26111999 1104220 1025141 248 2755 0969553 -309 617 956 -768 03121999 1152250 1043497 426 2684 0974406 -259 1813 672 -1104 10121999 1338690 1161805 1500 2853 1062779 609 22492 3707 9132 17121999 1235780 0923126 -800 2592 0908501 -960 6398 9208 7676 24121999 1215240 0983379 -168 2553 0984951 -152 281 230 254 Sum -206 -7466 80467 223623 62586 Beta 078 Alpha -071 Std Dev Of Rndm Error Term 410 Std Error of Beta 0071 Std Error of Alpha 0200 Correlation Coefficient 047 Coefficient of Determination 022 Coefficient of Nondetermination 078

Page 135

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) (421)

ri = ln (Pt Pt-1) (422)

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 136

Helwan Portland Cement - Takeover

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 05082001 524103 2743 06082001 538487 1027445 003 2817 1026978 003 -056 085 002 -054 057 07082001 545306 1012663 001 2801 0994320 -001 -056 085 001 -055 055 112 08082001 545779 1000867 000 2787 0995002 -001 -056 085 000 -056 056 167 09082001 553572 1014279 001 2842 1019734 002 -056 085 001 -055 057 225 12082001 562356 1015868 002 2970 1045039 004 -056 085 001 -055 059 284 13082001 577288 1026553 003 3107 1046128 005 -056 085 002 -054 059 343 14082001 589018 1020319 002 3254 1047313 005 -056 085 002 -055 059 402 15082001 569431 0966746 -003 3109 0955439 -005 -056 085 -003 -059 055 457 16082001 561918 0986806 -001 3226 1037633 004 -056 085 -001 -058 061 518 19082001 574654 1022665 002 3380 1047737 005 -056 085 002 -055 059 577 20082001 574422 0999596 -000 3318 0981657 -002 -056 085 -000 -056 055 632 21082001 563572 0981111 -002 3170 0955395 -005 -056 085 -002 -058 053 685 22082001 557923 0989976 -001 3175 1001577 000 -056 085 -001 -057 057 743 23082001 564762 1012258 001 3241 1020787 002 -056 085 001 -055 057 800 26082001 562188 0995442 -000 3222 0994138 -001 -056 085 -000 -057 056 857 27082001 566747 1008109 001 3239 1005276 001 -056 085 001 -056 056 913 28082001 578448 1020646 002 3398 1049089 005 -056 085 002 -055 059 972 29082001 577700 0998707 -000 3561 1047969 005 -056 085 -000 -057 061 1034 30082001 595784 1031303 003 3739 1049986 005 -056 085 003 -054 059 1092 02092001 615099 1032419 003 3739 1000000 000 -056 085 003 -054 054 1146 03092001 623383 1013468 001 3926 1050013 005 -056 085 001 -055 060 1206 04092001 631607 1013193 001 4122 1049924 005 -056 085 001 -055 060 1266

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05092001 647104 1024536 002 4328 1049976 005 -056 085 002 -054 059 1325 06092001 642737 0993251 -001 4544 1049908 005 -056 085 -001 -057 062 1387 09092001 632584 0984203 -002 4770 1049736 005 -056 085 -001 -058 063 1450 10092001 640695 1012822 001 4541 0951992 -005 -056 085 001 -055 050 1500 11092001 646508 1009073 001 4344 0956617 -004 -056 085 001 -056 051 1552 12092001 622690 0963159 -004 4344 1000000 000 -056 085 -003 -060 060 1611 13092001 626337 1005857 001 4561 1049954 005 -056 085 000 -056 061 1672 16092001 624189 0996571 -000 5110 1120368 011 -056 085 -000 -057 068 1740 17092001 609400 0976307 -002 5110 1000000 000 -056 085 -002 -058 058 1799 18092001 601322 0986744 -001 5110 1000000 000 -056 085 -001 -058 058 1856 19092001 620730 1032276 003 5110 1000000 000 -056 085 003 -054 054 1910 20092001 614817 0990474 -001 5110 1000000 000 -056 085 -001 -057 057 1967 23092001 597012 0971040 -003 5110 1000000 000 -056 085 -003 -059 059 2026 24092001 588809 0986260 -001 5103 0998630 -000 -056 085 -001 -058 057 2084 25092001 581727 0987972 -001 5103 1000000 000 -056 085 -001 -057 057 2141 26092001 570192 0980171 -002 5103 1000000 000 -056 085 -002 -058 058 2199 27092001 561925 0985501 -001 5103 1000000 000 -056 085 -001 -058 058 2257 30092001 564278 1004187 000 4848 0950029 -005 -056 085 000 -056 051 2308 01102001 568252 1007043 001 4848 1000000 000 -056 085 001 -056 056 2364

Page 138

Suez Cement - Takeover

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 22082001 557923 3272 23082001 564762 1012258 001 3323 1015587 002 -020 126 002 -018 020 26082001 562188 0995442 -000 3257 0980138 -002 -020 126 -001 -020 018 038 27082001 566747 1008109 001 3287 1009211 001 -020 126 001 -018 019 057 28082001 578448 1020646 002 3451 1049894 005 -020 126 003 -017 022 079 29082001 577700 0998707 -000 3569 1034193 003 -020 126 -000 -020 023 102 30082001 595784 1031303 003 3662 1026058 003 -020 126 004 -016 018 120 02092001 615099 1032419 003 3708 1012561 001 -020 126 004 -015 017 137 03092001 623383 1013468 001 3654 0985437 -001 -020 126 002 -018 016 153 04092001 631607 1013193 001 3635 0994800 -001 -020 126 002 -018 017 170 05092001 647104 1024536 002 3765 1035763 004 -020 126 003 -016 020 190 06092001 642737 0993251 -001 3829 1016999 002 -020 126 -001 -020 022 213 09092001 632584 0984203 -002 3828 0999739 -000 -020 126 -002 -022 022 234 10092001 640695 1012822 001 3866 1009927 001 -020 126 002 -018 019 253 11092001 646508 1009073 001 3891 1006467 001 -020 126 001 -018 019 272 12092001 622690 0963159 -004 3700 0950912 -005 -020 126 -005 -024 019 291 13092001 626337 1005857 001 3849 1040270 004 -020 126 001 -019 023 314 16092001 624189 0996571 -000 3911 1016108 002 -020 126 -000 -020 022 335 17092001 609400 0976307 -002 3828 0978778 -002 -020 126 -003 -023 020 356 18092001 601322 0986744 -001 3675 0960031 -004 -020 126 -002 -021 017 373 19092001 620730 1032276 003 3829 1041905 004 -020 126 004 -015 020 393

Page 139

20092001 614817 0990474 -001 3801 0992687 -001 -020 126 -001 -021 020 413 23092001 597012 0971040 -003 3654 0961326 -004 -020 126 -004 -023 019 432 24092001 588809 0986260 -001 3523 0964149 -004 -020 126 -002 -021 018 449 25092001 581727 0987972 -001 3641 1033494 003 -020 126 -002 -021 024 474 26092001 570192 0980171 -002 3733 1025268 002 -020 126 -003 -022 025 498 27092001 561925 0985501 -001 3697 0990356 -001 -020 126 -002 -021 020 519 30092001 564278 1004187 000 3512 0949959 -005 -020 126 001 -019 014 533 01102001 568252 1007043 001 3512 1000000 000 -020 126 001 -019 019 551 02102001 555684 0977883 -002 3347 0953018 -005 -020 126 -003 -022 018 569 03102001 549459 0988798 -001 3201 0956379 -004 -020 126 -001 -021 016 585 04102001 544680 0991302 -001 3069 0958763 -004 -020 126 -001 -021 016 602 07102001 544675 0999991 -000 3266 1064190 006 -020 126 -000 -020 026 627 08102001 543049 0997015 -000 3276 1003062 000 -020 126 -000 -020 020 648 09102001 545728 1004933 000 3270 0998168 -000 -020 126 001 -019 019 666 10102001 549824 1007506 001 3330 1018349 002 -020 126 001 -019 020 687 11102001 554529 1008557 001 3419 1026727 003 -020 126 001 -018 021 708 14102001 563161 1015566 002 3330 0973969 -003 -020 126 002 -018 015 723 15102001 563789 1001115 000 3322 0997598 -000 -020 126 000 -019 019 742 16102001 560209 0993650 -001 3383 1018362 002 -020 126 -001 -020 022 764 17102001 573477 1023684 002 3463 1023648 002 -020 126 003 -017 019 783 18102001 579797 1011020 001 3510 1013572 001 -020 126 001 -018 019 802

Page 140

Commercial International Bank (CIB) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 20022000 1347460 4428 21022000 1343130 0996787 -032 4347 0981707 -185 -006 145 -047 -053 -132 22022000 1315370 0979332 -002 4283 0985277 -148 -006 145 -003 -009 -139 -271 23022000 1297370 0986316 -001 4135 0965445 -352 -006 145 -002 -008 -344 -614 24022000 1249590 0963172 -004 3967 0959371 -415 -006 145 -005 -012 -403 -1018 27022000 1284540 1027969 003 4043 1019158 190 -006 145 004 -002 192 -826 28022000 1302870 1014270 001 3931 0972298 -281 -006 145 002 -004 -277 -1103 29022000 1276950 0980105 -002 3824 0972780 -276 -006 145 -003 -009 -267 -1370 01032000 1271220 0995513 -000 3873 1012814 127 -006 145 -001 -007 134 -1235 02032000 1263010 0993542 -001 3847 0993287 -067 -006 145 -001 -007 -060 -1296 05032000 1234900 0977744 -002 3675 0955290 -457 -006 145 -003 -009 -448 -1744 06032000 1228550 0994858 -001 3600 0979592 -206 -006 145 -001 -007 -199 -1943 07032000 1265480 1030060 003 3756 1043333 424 -006 145 004 -002 426 -1517 08032000 1280930 1012209 001 3915 1042332 415 -006 145 002 -004 419 -1098 09032000 1278610 0998189 -000 4043 1032695 322 -006 145 -000 -006 328 -770 12032000 1236490 0967058 -003 3885 0960920 -399 -006 145 -005 -011 -388 -1157 13032000 1260850 1019701 002 3857 0992793 -072 -006 145 003 -003 -069 -1227 14032000 1262590 1001380 000 3860 1000778 008 -006 145 000 -006 014 -1213 19032000 1253290 0992634 -001 3808 0986528 -136 -006 145 -001 -007 -128 -1341 20032000 1246240 0994375 -001 3799 0997637 -024 -006 145 -001 -007 -017 -1358 21032000 1251680 1004365 000 3762 0990261 -098 -006 145 001 -006 -092 -1450

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22032000 1240940 0991420 -001 3720 0988836 -112 -006 145 -001 -007 -105 -1555 23032000 1233620 0994101 -001 3782 1016667 165 -006 145 -001 -007 172 -1383 26032000 1243700 1008171 001 3875 1024590 243 -006 145 001 -005 248 -1135 27032000 1247010 1002661 000 4004 1033290 327 -006 145 000 -006 333 -802 28032000 1262200 1012181 001 4065 1015235 151 -006 145 002 -004 156 -646 29032000 1260000 0998257 -000 3943 0969988 -305 -006 145 -000 -006 -298 -945 30032000 1251400 0993175 -001 4054 1028151 278 -006 145 -001 -007 285 -660 02042000 1252220 1000655 000 4042 0997040 -030 -006 145 000 -006 -024 -683 03042000 1259850 1006093 001 4132 1022266 220 -006 145 001 -005 225 -458 04042000 1248840 0991261 -001 4106 0993708 -063 -006 145 -001 -007 -056 -514 05042000 1239300 0992361 -001 4120 1003410 034 -006 145 -001 -007 041 -472 09042000 1220080 0984491 -002 4019 0975485 -248 -006 145 -002 -008 -240 -712 10042000 1180450 0967519 -003 3982 0990794 -092 -006 145 -005 -011 -082 -794 11042000 1181020 1000483 000 4062 1020090 199 -006 145 000 -006 205 -589 12042000 1215120 1028873 003 4085 1005662 056 -006 145 004 -002 058 -530 13042000 1198730 0986512 -001 4141 1013709 136 -006 145 -002 -008 144 -386 16042000 1156640 0964888 -004 3991 0963777 -369 -006 145 -005 -011 -358 -744 17042000 1124800 0972472 -003 3983 0997995 -020 -006 145 -004 -010 -010 -754 18042000 1128930 1003672 000 4105 1030630 302 -006 145 001 -006 307 -446 19042000 1119740 0991860 -001 3721 0906456 -982 -006 145 -001 -007 -975 -1421 20042000 1083240 0967403 -003 3648 0980382 -198 -006 145 -005 -011 -187 -1608

Page 142

Egyptian American Bank (EAB) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 06032000 1228550 3600 07032000 1265480 1030060 003 3756 1043333 004 -040 118 003 -036 040 08032000 1280930 1012209 001 3915 1042332 004 -040 118 001 -038 042 083 09032000 1278610 0998189 -000 4043 1032695 003 -040 118 -000 -040 043 126 12032000 1236490 0967058 -003 3885 0960920 -004 -040 118 -004 -044 040 166 13032000 1260850 1019701 002 3857 0992793 -001 -040 118 002 -037 037 202 14032000 1262590 1001380 000 3860 1000778 000 -040 118 000 -040 040 242 19032000 1253290 0992634 -001 3808 0986528 -001 -040 118 -001 -041 039 281 20032000 1246240 0994375 -001 3799 0997637 -000 -040 118 -001 -040 040 321 21032000 1251680 1004365 000 3762 0990261 -001 -040 118 001 -039 038 359 22032000 1240940 0991420 -001 3720 0988836 -001 -040 118 -001 -041 040 399 23032000 1233620 0994101 -001 3782 1016667 002 -040 118 -001 -040 042 441 26032000 1243700 1008171 001 3875 1024590 002 -040 118 001 -039 041 48227032000 1247010 1002661 000 4004 1033290 003 -040 118 000 -039 043 525 28032000 1262200 1012181 001 4065 1015235 002 -040 118 001 -038 040 564 29032000 1260000 0998257 -000 3943 0969988 -003 -040 118 -000 -040 037 601 30032000 1251400 0993175 -001 4054 1028151 003 -040 118 -001 -040 043 645 02042000 1252220 1000655 000 4042 0997040 -000 -040 118 000 -040 039 684 03042000 1259850 1006093 001 4132 1022266 002 -040 118 001 -039 041 725 04042000 1248840 0991261 -001 4106 0993708 -001 -040 118 -001 -041 040 765 05042000 1239300 0992361 -001 4120 1003410 000 -040 118 -001 -041 041 806

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09042000 1220080 0984491 -002 4019 0975485 -002 -040 118 -002 -042 039 845 10042000 1180450 0967519 -003 3982 0990794 -001 -040 118 -004 -044 043 888 11042000 1181020 1000483 000 4062 1020090 002 -040 118 000 -040 042 929 12042000 1215120 1028873 003 4085 1005662 001 -040 118 003 -036 037 966 13042000 1198730 0986512 -001 4141 1013709 001 -040 118 -002 -041 043 1009 16042000 1156640 0964888 -004 3991 0963777 -004 -040 118 -004 -044 040 1049 17042000 1124800 0972472 -003 3983 0997995 -000 -040 118 -003 -043 043 1092 18042000 1128930 1003672 000 4105 1030630 003 -040 118 000 -039 042 1134 19042000 1119740 0991860 -001 3721 0906456 -010 -040 118 -001 -041 031 1165 20042000 1083240 0967403 -003 3648 0980382 -002 -040 118 -004 -044 042 1206 23042000 1049820 0969148 -003 3489 0956414 -004 -040 118 -004 -043 039 1245 24042000 1042840 0993351 -001 3396 0973345 -003 -040 118 -001 -040 038 1283 26042000 1011554 0969999 -003 3563 1049176 005 -040 118 -004 -043 048 1331 27042000 1119630 1106842 010 3738 1049116 005 -040 118 012 -028 032 1364 02052000 1110810 0992122 -001 3682 0985019 -002 -040 118 -001 -041 039 1403 03052000 1081230 0973371 -003 3585 0973656 -003 -040 118 -003 -043 040 1443 04052000 1105850 1022770 002 3656 1019805 002 -040 118 003 -037 039 1482 07052000 1087730 0983614 -002 3646 0997265 -000 -040 118 -002 -042 041 1523 08052000 1104760 1015656 002 3671 1006857 001 -040 118 002 -038 039 1562 09052000 1125200 1018502 002 3734 1017162 002 -040 118 002 -038 039 1601 10052000 1136130 1009714 001 3707 0992769 -001 -040 118 001 -039 038 1639

Page 144

Misr International Bank (MIBANK) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 24022000 1249590 5186 27022000 1284540 1027969 003 5323 1026535 003 -036 127 004 -032 035 28022000 1302870 1014270 001 5391 1012774 001 -036 127 002 -034 035 070 29022000 1276950 0980105 -002 5395 1000742 000 -036 127 -003 -038 038 108 01032000 1271220 0995513 -000 5310 0984134 -002 -036 127 -001 -036 034 142 02032000 1263010 0993542 -001 5283 0995028 -000 -036 127 -001 -036 036 178 05032000 1234900 0977744 -002 5201 0984403 -002 -036 127 -003 -038 037 215 06032000 1228550 0994858 -001 5198 0999539 -000 -036 127 -001 -036 036 251 07032000 1265480 1030060 003 5389 1036627 004 -036 127 004 -032 035 286 08032000 1280930 1012209 001 5412 1004305 000 -036 127 002 -034 034 321 09032000 1278610 0998189 -000 5416 1000739 000 -036 127 -000 -036 036 357 12032000 1236490 0967058 -003 5218 0963516 -004 -036 127 -004 -040 036 393 13032000 1260850 1019701 002 5118 0980684 -002 -036 127 002 -033 031 424 14032000 1262590 1001380 000 5049 0986556 -001 -036 127 000 -035 034 458 19032000 1253290 0992634 -001 5047 0999683 -000 -036 127 -001 -036 036 494 20032000 1246240 0994375 -001 5035 0997622 -000 -036 127 -001 -036 036 530 21032000 1251680 1004365 000 4920 0977121 -002 -036 127 001 -035 033 563 22032000 1240940 0991420 -001 4838 0983252 -002 -036 127 -001 -037 035 598 23032000 1233620 0994101 -001 4860 1004630 000 -036 127 -001 -036 037 634 26032000 1243700 1008171 001 4974 1023539 002 -036 127 001 -034 037 671 27032000 1247010 1002661 000 5052 1015600 002 -036 127 000 -035 037 708

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28032000 1262200 1012181 001 5054 1000475 000 -036 127 002 -034 034 742 29032000 1260000 0998257 -000 4951 0979582 -002 -036 127 -000 -036 034 776 30032000 1251400 0993175 -001 4923 0994345 -001 -036 127 -001 -036 036 811 02042000 1252220 1000655 000 4993 1014137 001 -036 127 000 -035 037 848 03042000 1259850 1006093 001 4995 1000481 000 -036 127 001 -035 035 883 04042000 1248840 0991261 -001 4938 0988469 -001 -036 127 -001 -037 035 918 05042000 1239300 0992361 -001 5010 1014744 001 -036 127 -001 -036 038 956 09042000 1220080 0984491 -002 4806 0959285 -004 -036 127 -002 -037 033 990 10042000 1180450 0967519 -003 4761 0990513 -001 -036 127 -004 -040 039 1029 11042000 1181020 1000483 000 4796 1007394 001 -036 127 000 -035 036 1065 12042000 1215120 1028873 003 4800 1000834 000 -036 127 004 -032 032 1097 13042000 1198730 0986512 -001 4800 1000000 000 -036 127 -002 -037 037 1134 16042000 1156640 0964888 -004 4779 0995667 -000 -036 127 -005 -040 040 1174 17042000 1124800 0972472 -003 4353 0910780 -009 -036 127 -004 -039 030 1203 18042000 1128930 1003672 000 4397 1010108 001 -036 127 000 -035 036 1239 19042000 1119740 0991860 -001 4378 0995633 -000 -036 127 -001 -037 036 1275 20042000 1083240 0967403 -003 4205 0960526 -004 -036 127 -004 -040 036 1311 23042000 1049820 0969148 -003 4061 0965753 -003 -036 127 -004 -039 036 1347 24042000 1042840 0993351 -001 4257 1048266 005 -036 127 -001 -036 041 1388 26042000 1011554 0969999 -003 4469 1049803 005 -036 127 -004 -039 044 1432 27042000 1119630 1106842 010 4613 1032223 003 -036 127 013 -023 026 1458

Page 146

Ameryah Cement Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 05042000 1239300 8213 09042000 1220080 0984491 -002 7803 0950079 -005 -043 105 -002 -045 039 10042000 1180450 0967519 -003 7803 1000000 000 -043 105 -003 -046 046 086 11042000 1181020 1000483 000 7803 1000000 000 -043 105 000 -043 043 129 12042000 1215120 1028873 003 7803 1000000 000 -043 105 003 -040 040 169 13042000 1198730 0986512 -001 7803 1000000 000 -043 105 -001 -044 044 213 16042000 1156640 0964888 -004 7803 1000000 000 -043 105 -004 -047 047 260 17042000 1124800 0972472 -003 7803 1000000 000 -043 105 -003 -046 046 306 18042000 1128930 1003672 000 7803 1000000 000 -043 105 000 -043 043 348 19042000 1119740 0991860 -001 7803 1000000 000 -043 105 -001 -044 044 392 20042000 1083240 0967403 -003 7803 1000000 000 -043 105 -003 -046 046 439 23042000 1049820 0969148 -003 7803 1000000 000 -043 105 -003 -046 046 485 24042000 1042840 0993351 -001 7803 1000000 000 -043 105 -001 -044 044 529 26042000 1011554 0969999 -003 7803 1000000 000 -043 105 -003 -046 046 575 27042000 1119630 1106842 010 7803 1000000 000 -043 105 011 -032 032 607 02052000 1110810 0992122 -001 7803 1000000 000 -043 105 -001 -044 044 651 03052000 1081230 0973371 -003 7803 1000000 000 -043 105 -003 -046 046 697 04052000 1105850 1022770 002 7803 1000000 000 -043 105 002 -041 041 737 07052000 1087730 0983614 -002 7803 1000000 000 -043 105 -002 -045 045 782 08052000 1104760 1015656 002 7803 1000000 000 -043 105 002 -041 041 823 09052000 1125200 1018502 002 7803 1000000 000 -043 105 002 -041 041 864

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10052000 1136130 1009714 001 7803 1000000 000 -043 105 001 -042 042 906 11052000 1139120 1002632 000 7803 1000000 000 -043 105 000 -043 043 949 14052000 1161700 1019822 002 7803 1000000 000 -043 105 002 -041 041 990 15052000 1179430 1015262 002 7803 1000000 000 -043 105 002 -041 041 1031 16052000 1203490 1020400 002 7803 1000000 000 -043 105 002 -041 041 1072 17052000 1207650 1003457 000 7803 1000000 000 -043 105 000 -043 043 1115 18052000 1170140 0968940 -003 7803 1000000 000 -043 105 -003 -046 046 1161 21052000 1144730 0978285 -002 7803 1000000 000 -043 105 -002 -045 045 1206 22052000 1127050 0984555 -002 7803 1000000 000 -043 105 -002 -045 045 1251 23052000 1137800 1009538 001 7803 1000000 000 -043 105 001 -042 042 1293 24052000 1105280 0971419 -003 7803 1000000 000 -043 105 -003 -046 046 1339 25052000 1079810 0976956 -002 7803 1000000 000 -043 105 -002 -045 045 1384 28052000 1096220 1015197 002 7803 1000000 000 -043 105 002 -041 041 1426 29052000 1120420 1022076 002 7803 1000000 000 -043 105 002 -041 041 1466 30052000 1094380 0976759 -002 7803 1000000 000 -043 105 -002 -045 045 1512 31052000 1091100 0997003 -000 7803 1000000 000 -043 105 -000 -043 043 1555 01062000 1084760 0994189 -001 7803 1000000 000 -043 105 -001 -044 044 1599 04062000 1055620 0973137 -003 7803 1000000 000 -043 105 -003 -046 046 1644 05062000 1053290 0997793 -000 7803 1000000 000 -043 105 -000 -043 043 1688 06062000 1033450 0981164 -002 7803 1000000 000 -043 105 -002 -045 045 1732 07062000 1019220 0986231 -001 7803 1000000 000 -043 105 -001 -044 044 1777

Page 148

Egyptian Financial and Industrial Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 11052000 1139120 3960 14052000 1161700 1019822 002 3905 0986111 -001 -126 086 002 -124 123 15052000 1179430 1015262 002 3975 1017926 002 -126 086 001 -125 126 249 16052000 1203490 1020400 002 3999 1006038 001 -126 086 002 -124 125 374 17052000 1207650 1003457 000 3921 0980495 -002 -126 086 000 -126 124 498 18052000 1170140 0968940 -003 3897 0993879 -001 -126 086 -003 -129 128 626 21052000 1144730 0978285 -002 3842 0985887 -001 -126 086 -002 -128 126 752 22052000 1127050 0984555 -002 3964 1031754 003 -126 086 -001 -127 130 882 23052000 1137800 1009538 001 4000 1009082 001 -126 086 001 -125 126 1008 24052000 1105280 0971419 -003 3860 0965000 -004 -126 086 -002 -128 125 1133 25052000 1079810 0976956 -002 3853 0998187 -000 -126 086 -002 -128 128 1261 28052000 1096220 1015197 002 4023 1044121 004 -126 086 001 -125 129 1390 29052000 1120420 1022076 002 4109 1021377 002 -126 086 002 -124 126 1516 30052000 1094380 0976759 -002 3911 0951813 -005 -126 086 -002 -128 123 1639 31052000 1091100 0997003 -000 3950 1009972 001 -126 086 -000 -126 127 1766 01062000 1084760 0994189 -001 3949 0999747 -000 -126 086 -001 -126 126 1892 04062000 1055620 0973137 -003 3810 0964801 -004 -126 086 -002 -128 125 2017 05062000 1053290 0997793 -000 4021 1055381 005 -126 086 -000 -126 131 2148 06062000 1033450 0981164 -002 3919 0974633 -003 -126 086 -002 -128 125 2273 07062000 1019220 0986231 -001 3846 0981373 -002 -126 086 -001 -127 125 2398 08062000 1015120 0995977 -000 4002 1040562 004 -126 086 -000 -126 130 2529

Page 149

11062000 989079 0974347 -003 4094 1022989 002 -126 086 -002 -128 130 2659 12062000 974139 0984895 -002 3890 0950171 -005 -126 086 -001 -127 122 2781 13062000 1001770 1028365 003 3922 1008226 001 -126 086 002 -123 124 2905 14062000 1001480 0999711 -000 3777 0963029 -004 -126 086 -000 -126 122 3028 18062000 975257 0973816 -003 3777 1000000 000 -126 086 -002 -128 128 3156 19062000 951281 0975416 -002 3528 0934075 -007 -126 086 -002 -128 121 3277 20062000 924905 0972273 -003 3362 0952948 -005 -126 086 -002 -128 123 3400 21062000 932278 1007972 001 3194 0950030 -005 -126 086 001 -125 120 3521 22062000 916437 0983008 -002 3035 0950219 -005 -126 086 -001 -127 122 3643 25062000 887397 0968312 -003 2885 0950577 -005 -126 086 -003 -129 124 3766 26062000 861150 0970422 -003 2753 0954246 -005 -126 086 -003 -128 124 3890 27062000 864892 1004345 000 2655 0964402 -004 -126 086 000 -126 122 4012 28062000 897903 1038168 004 2716 1022976 002 -126 086 003 -123 125 4137 29062000 899917 1002243 000 2850 1049337 005 -126 086 000 -126 131 4267 02072000 925746 1028702 003 2985 1047368 005 -126 086 002 -123 128 4396 03072000 925263 0999478 -000 2838 0950754 -005 -126 086 -000 -126 121 4516 04072000 901986 0974843 -003 2787 0982030 -002 -126 086 -002 -128 126 4643 05072000 931992 1033267 003 2883 1034446 003 -126 086 003 -123 126 4769 06072000 939109 1007636 001 2887 1001387 000 -126 086 001 -125 125 4895 09072000 954862 1016774 002 2750 0952546 -005 -126 086 001 -124 120 5014 10072000 952481 0997506 -000 2855 1038182 004 -126 086 -000 -126 130 5144

Page 150

Abu Keir For Fertilisers Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 13092000 820460 3114 14092000 811616 0989221 -001 3114 1000000 000 -094 047 -001 -095 095 17092000 800136 0985855 -001 3139 1008028 001 -094 047 -001 -095 096 191 18092000 785147 0981267 -002 3149 1003186 000 -094 047 -001 -095 096 287 19092000 781014 0994736 -001 3126 0992696 -001 -094 047 -000 -095 094 381 20092000 769681 0985489 -001 3128 1000640 000 -094 047 -001 -095 095 476 21092000 777843 1010604 001 3185 1018223 002 -094 047 001 -094 096 572 24092000 773441 0994341 -001 3109 0976138 -002 -094 047 -000 -095 092 664 25092000 776658 1004159 000 3114 1001608 000 -094 047 000 -094 094 759 26092000 769503 0990787 -001 3102 0996146 -000 -094 047 -000 -095 095 853 27092000 765212 0994424 -001 3178 1024500 002 -094 047 -000 -095 097 950 28092000 747666 0977070 -002 3143 0988987 -001 -094 047 -001 -096 094 1045 01102000 723766 0968034 -003 3031 0964365 -004 -094 047 -002 -096 092 1137 02102000 736337 1017369 002 3007 0992082 -001 -094 047 001 -094 093 1230 03102000 717831 0974867 -003 3000 0997672 -000 -094 047 -001 -096 095 1326 04102000 698780 0973460 -003 3007 1002333 000 -094 047 -001 -096 096 1422 08102000 673198 0963390 -004 2935 0976056 -002 -094 047 -002 -096 094 1515 09102000 669556 0994590 -001 2892 0985349 -001 -094 047 -000 -095 093 1609 10102000 652161 0974020 -003 2863 0989972 -001 -094 047 -001 -096 095 1703 11102000 629197 0964788 -004 2811 0981837 -002 -094 047 -002 -096 094 1798 12102000 607631 0965725 -003 2822 1003913 000 -094 047 -002 -096 097 1894

Page 151

15102000 619357 1019298 002 2948 1044649 004 -094 047 001 -094 098 1992 16102000 646053 1043103 004 3093 1049186 005 -094 047 002 -092 097 2090 17102000 668052 1034051 003 3183 1029098 003 -094 047 002 -093 096 2185 18102000 688105 1030017 003 3199 1005027 001 -094 047 001 -093 094 2279 19102000 688893 1001145 000 3186 0995936 -000 -094 047 000 -094 094 2373 22102000 719462 1044374 004 3196 1003139 000 -094 047 002 -092 093 2466 23102000 723338 1005387 001 3044 0952441 -005 -094 047 000 -094 089 2555 24102000 702403 0971058 -003 2929 0962221 -004 -094 047 -001 -096 092 2647 25102000 725191 1032443 003 2695 0920109 -008 -094 047 002 -093 085 2732 26102000 730437 1007234 001 2675 0992579 -001 -094 047 000 -094 093 2825 29102000 726703 0994888 -001 2713 1014206 001 -094 047 -000 -095 096 2921 30102000 714909 0983771 -002 2700 0995208 -000 -094 047 -001 -095 095 3016 31102000 733186 1025565 003 2734 1012593 001 -094 047 001 -093 095 3111 01112000 742977 1013354 001 2742 1002926 000 -094 047 001 -094 094 3205 02112000 747364 1005905 001 2749 1002553 000 -094 047 000 -094 094 3299 05112000 760243 1017233 002 2628 0955984 -005 -094 047 001 -094 089 3388 06112000 761956 1002253 000 2505 0953196 -005 -094 047 000 -094 090 3478 07112000 757468 0994110 -001 2630 1049900 005 -094 047 -000 -095 100 3578 08112000 762190 1006234 001 2749 1045247 004 -094 047 000 -094 099 3676 09112000 773445 1014767 001 2751 1000728 000 -094 047 001 -094 094 3770 12112000 807548 1044092 004 2835 1030534 003 -094 047 002 -092 095 3866

Page 152

Helwan Portland Cement Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 26032000 1243700 4298 27032000 1247010 1002661 000 4293 0998837 -000 -056 085 000 -056 056 28032000 1262200 1012181 001 4144 0965292 -004 -056 085 001 -055 052 108 29032000 1260000 0998257 -000 4132 0997104 -000 -056 085 -000 -057 056 164 30032000 1251400 0993175 -001 4187 1013311 001 -056 085 -001 -057 058 223 02042000 1252220 1000655 000 4076 0973489 -003 -056 085 000 -056 054 276 03042000 1259850 1006093 001 4217 1034593 003 -056 085 001 -056 059 336 04042000 1248840 0991261 -001 4201 0996206 -000 -056 085 -001 -057 057 392 05042000 1239300 0992361 -001 4165 0991431 -001 -056 085 -001 -057 056 449 09042000 1220080 0984491 -002 414 0993998 -001 -056 085 -001 -058 057 506 10042000 1180450 0967519 -003 4036 0974879 -003 -056 085 -003 -059 057 562 11042000 1181020 1000483 000 4142 1026264 003 -056 085 000 -056 059 621 12042000 1215120 1028873 003 422 1018831 002 -056 085 002 -054 056 677 13042000 1198730 0986512 -001 4198 0994787 -001 -056 085 -001 -058 057 734 16042000 1156640 0964888 -004 4095 0975465 -002 -056 085 -003 -059 057 791 17042000 1124800 0972472 -003 408 0996337 -000 -056 085 -002 -059 058 850 18042000 1128930 1003672 000 409 1002451 000 -056 085 000 -056 056 906 19042000 1119740 0991860 -001 4082 0998044 -000 -056 085 -001 -057 057 963 20042000 1083240 0967403 -003 4081 0999755 -000 -056 085 -003 -059 059 1022 23042000 1049820 0969148 -003 405 0992404 -001 -056 085 -003 -059 058 1081 24042000 1042840 0993351 -001 4185 1033333 003 -056 085 -001 -057 060 1141

Page 153

26042000 1011554 0969999 -003 4264 1018877 002 -056 085 -003 -059 061 1202 27042000 1119630 1106842 010 4246 0995779 -000 -056 085 009 -048 047 1249 02052000 1110810 0992122 -001 3692 0869524 -014 -056 085 -001 -057 043 1292 03052000 1081230 0973371 -003 3656 0990249 -001 -056 085 -002 -059 058 1350 04052000 1105850 1022770 002 3686 1008206 001 -056 085 002 -055 055 1405 07052000 1087730 0983614 -002 3718 1008681 001 -056 085 -001 -058 059 1464 08052000 1104760 1015656 002 3875 1042227 004 -056 085 001 -055 059 1523 09052000 1125200 1018502 002 4038 1042065 004 -056 085 002 -055 059 1582 10052000 1136130 1009714 001 3867 0957652 -004 -056 085 001 -056 051 1634 11052000 1139120 1002632 000 3805 0983967 -002 -056 085 000 -056 055 1688 14052000 1161700 1019822 002 3818 1003417 000 -056 085 002 -055 055 1743 15052000 1179430 1015262 002 3887 1018072 002 -056 085 001 -055 057 1800 16052000 1203490 1020400 002 3937 1012863 001 -056 085 002 -055 056 1856 17052000 1207650 1003457 000 3859 0980188 -002 -056 085 000 -056 054 1910 18052000 1170140 0968940 -003 3807 0986525 -001 -056 085 -003 -059 058 196821052000 1144730 0978285 -002 3805 0999475 -000 -056 085 -002 -058 058 2026 22052000 1127050 0984555 -002 3764 0989225 -001 -056 085 -001 -058 057 2083 23052000 1137800 1009538 001 3749 0996015 -000 -056 085 001 -056 055 2138 24052000 1105280 0971419 -003 3672 0979461 -002 -056 085 -002 -059 057 2195 25052000 1079810 0976956 -002 3633 0989379 -001 -056 085 -002 -058 057 2252 28052000 1096220 1015197 002 3623 0997247 -000 -056 085 001 -055 055 2307

Page 154

Torah Portland Cement Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 20082000 869132 4441 21082000 852890 0981312 -002 4335 0976132 -002 -006 107 -002 -008 006 22082000 836269 0980512 -002 4119 0950173 -005 -006 107 -002 -008 003 009 23082000 850672 1017223 002 4128 1002185 000 -006 107 002 -004 005 013 24082000 832698 0978871 -002 4115 0996851 -000 -006 107 -002 -008 008 021 27082000 836762 1004881 000 4161 1011179 001 -006 107 001 -006 007 028 28082000 832011 0994322 -001 4235 1017784 002 -006 107 -001 -007 008 037 29082000 822734 0988850 -001 4145 0978749 -002 -006 107 -001 -007 005 042 30082000 802537 0975451 -002 4156 1002654 000 -006 107 -003 -009 009 051 31082000 816798 1017770 002 4297 1033927 003 -006 107 002 -004 008 058 03092000 812893 0995219 -000 4344 1010938 001 -006 107 -001 -007 008 066 04092000 819306 1007889 001 4349 1001151 000 -006 107 001 -005 005 071 05092000 831599 1015004 001 4492 1032881 003 -006 107 002 -005 008 079 06092000 835104 1004215 000 4503 1002449 000 -006 107 000 -006 006 085 07092000 845660 1012640 001 4509 1001332 000 -006 107 001 -005 005 090 10092000 835500 0987986 -001 4309 0955644 -005 -006 107 -001 -007 003 093 11092000 823263 0985354 -001 4309 1000000 000 -006 107 -002 -008 008 101 12092000 837424 1017201 002 4325 1003713 000 -006 107 002 -004 005 105 13092000 820460 0979743 -002 4397 1016647 002 -006 107 -002 -008 010 115 14092000 811616 0989221 -001 4399 1000455 000 -006 107 -001 -007 007 122 17092000 800136 0985855 -001 4392 0998409 -000 -006 107 -002 -008 007 130

Page 155

18092000 785147 0981267 -002 4272 0972678 -003 -006 107 -002 -008 005 135 19092000 781014 0994736 -001 42 0983146 -002 -006 107 -001 -007 005 140 20092000 769681 0985489 -001 4166 0991905 -001 -006 107 -002 -008 007 147 21092000 777843 1010604 001 36 0864138 -015 -006 107 001 -005 -010 138 24092000 773441 0994341 -001 3569 0991389 -001 -006 107 -001 -007 006 143 25092000 776658 1004159 000 3625 1015691 002 -006 107 000 -006 007 151 26092000 769503 0990787 -001 3559 0981793 -002 -006 107 -001 -007 005 156 27092000 765212 0994424 -001 3467 0974150 -003 -006 107 -001 -007 004 160 28092000 747666 0977070 -002 345 0995097 -000 -006 107 -002 -009 008 168 01102000 723766 0968034 -003 345 1000000 000 -006 107 -003 -010 010 178 02102000 736337 1017369 002 3432 0994783 -001 -006 107 002 -004 004 181 03102000 717831 0974867 -003 3305 0962995 -004 -006 107 -003 -009 005 186 04102000 698780 0973460 -003 3449 1043570 004 -006 107 -003 -009 013 200 08102000 673198 0963390 -004 3449 1000000 000 -006 107 -004 -010 010 210 09102000 669556 0994590 -001 3354 0972456 -003 -006 107 -001 -007 004 214 10102000 652161 0974020 -003 3302 0984496 -002 -006 107 -003 -009 007 221 11102000 629197 0964788 -004 335 1014537 001 -006 107 -004 -010 011 232 12102000 607631 0965725 -003 3297 0984179 -002 -006 107 -004 -010 008 241 15102000 619357 1019298 002 3256 0987564 -001 -006 107 002 -004 003 244 16102000 646053 1043103 004 3248 0997543 -000 -006 107 005 -002 001 245 17102000 668052 1034051 003 3228 0993842 -001 -006 107 004 -003 002 247

Page 156

Nasr City for Housing and Development Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 21092000 777843 2026 -115 075 24092000 773441 0994341 -001 1999 0986673 -001 -115 075 -000 -115 114 25092000 776658 1004159 000 2080 1040520 004 -115 075 000 -115 119 233 26092000 769503 0990787 -001 2183 1049519 005 -115 075 -001 -116 120 353 27092000 765212 0994424 -001 2092 0958314 -004 -115 075 -000 -115 111 464 28092000 747666 0977070 -002 1996 0954111 -005 -115 075 -002 -117 112 576 01102000 723766 0968034 -003 1975 0989479 -001 -115 075 -002 -117 116 692 02102000 736337 1017369 002 1927 0975696 -002 -115 075 001 -114 111 804 03102000 717831 0974867 -003 1856 0963155 -004 -115 075 -002 -117 113 917 04102000 698780 0973460 -003 1888 1017241 002 -115 075 -002 -117 119 1035 08102000 673198 0963390 -004 1825 0966631 -003 -115 075 -003 -118 114 1150 09102000 669556 0994590 -001 1761 0964932 -004 -115 075 -000 -115 112 1261 10102000 652161 0974020 -003 1674 0950596 -005 -115 075 -002 -117 112 1373 11102000 629197 0964788 -004 1604 0958184 -004 -115 075 -003 -118 113 1486 12102000 607631 0965725 -003 1527 0951995 -005 -115 075 -003 -118 113 1599 15102000 619357 1019298 002 1597 1045842 004 -115 075 001 -113 118 1717 16102000 646053 1043103 004 1676 1049468 005 -115 075 003 -112 117 1834 17102000 668052 1034051 003 1758 1048926 005 -115 075 003 -112 117 1951 18102000 688105 1030017 003 1839 1046075 005 -115 075 002 -113 117 2068 19102000 688893 1001145 000 1906 1036433 004 -115 075 000 -115 118 2186 22102000 719462 1044374 004 2000 1049318 005 -115 075 003 -112 116 2303

Page 157

23102000 723338 1005387 001 1926 0963000 -004 -115 075 000 -115 111 2414 24102000 702403 0971058 -003 1830 0950156 -005 -115 075 -002 -117 112 2526 25102000 725191 1032443 003 1535 0838798 -018 -115 075 002 -113 095 2621 26102000 730437 1007234 001 1610 1048860 005 -115 075 001 -114 119 2740 29102000 726703 0994888 -001 1690 1049689 005 -115 075 -000 -115 120 2860 30102000 714909 0983771 -002 1774 1049704 005 -115 075 -001 -116 121 2981 31102000 733186 1025565 003 1855 1045660 004 -115 075 002 -113 118 3099 01112000 742977 1013354 001 1934 1042588 004 -115 075 001 -114 118 3217 02112000 747364 1005905 001 1982 1024819 002 -115 075 000 -114 117 3334 05112000 760243 1017233 002 2080 1049445 005 -115 075 001 -114 118 3452 06112000 761956 1002253 000 2176 1046154 005 -115 075 000 -115 119 3571 07112000 757468 0994110 -001 2278 1046875 005 -115 075 -000 -115 120 3691 08112000 762190 1006234 001 2381 1045215 004 -115 075 000 -114 119 3810 09112000 773445 1014767 001 2498 1049139 005 -115 075 001 -114 119 3929 12112000 807548 1044092 004 2617 1047638 005 -115 075 003 -112 116 4045 13112000 828930 1026478 003 2747 1049675 005 -115 075 002 -113 118 4163 14112000 817709 0986463 -001 2674 0973426 -003 -115 075 -001 -116 113 4276 15112000 845954 1034542 003 2689 1005610 001 -115 075 003 -112 113 4389 16112000 872700 1031616 003 2810 1044998 004 -115 075 002 -113 117 4506 19112000 845917 0969310 -003 2678 0953025 -005 -115 075 -002 -117 112 4619 20112000 838561 0991304 -001 2545 0950336 -005 -115 075 -001 -116 110 4729

Page 158

Paints and Chemical Industries (PACHIN) Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 04102000 698780 2750 08102000 673198 0963390 -004 2690 0978182 -002 -071 078 -003 -074 072 09102000 669556 0994590 -001 2700 1003717 000 -071 078 -000 -071 072 143 10102000 652161 0974020 -003 2647 0980370 -002 -071 078 -002 -073 071 214 11102000 629197 0964788 -004 2515 0950132 -005 -071 078 -003 -074 069 283 12102000 607631 0965725 -003 2390 0950298 -005 -071 078 -003 -074 069 351 15102000 619357 1019298 002 2481 1038075 004 -071 078 001 -069 073 425 16102000 646053 1043103 004 2489 1003225 000 -071 078 003 -068 068 493 17102000 668052 1034051 003 2483 0997589 -000 -071 078 003 -068 068 561 18102000 688105 1030017 003 2402 0967378 -003 -071 078 002 -069 065 626 19102000 688893 1001145 000 2301 0957952 -004 -071 078 000 -071 067 693 22102000 719462 1044374 004 2414 1049109 005 -071 078 003 -068 072 765 23102000 723338 1005387 001 2305 0954847 -005 -071 078 000 -071 066 831 24102000 702403 0971058 -003 2197 0953145 -005 -071 078 -002 -073 068 899 25102000 725191 1032443 003 2303 1048248 005 -071 078 002 -068 073 972 26102000 730437 1007234 001 2417 1049501 005 -071 078 001 -070 075 1048 29102000 726703 0994888 -001 2519 1042201 004 -071 078 -000 -071 075 1123 30102000 714909 0983771 -002 2396 0951171 -005 -071 078 -001 -072 067 1190 31102000 733186 1025565 003 2428 1013356 001 -071 078 002 -069 070 1261 01112000 742977 1013354 001 2346 0966227 -003 -071 078 001 -070 066 1327 02112000 747364 1005905 001 2304 0982097 -002 -071 078 000 -070 069 1396

Page 159

05112000 760243 1017233 002 2412 1046875 005 -071 078 001 -070 074 1470 06112000 761956 1002253 000 2416 1001658 000 -071 078 000 -071 071 1541 07112000 757468 0994110 -001 2315 0958195 -004 -071 078 -000 -071 067 1608 08112000 762190 1006234 001 2301 0993952 -001 -071 078 000 -070 070 1678 09112000 773445 1014767 001 2303 1000869 000 -071 078 001 -070 070 1748 12112000 807548 1044092 004 2412 1047330 005 -071 078 003 -068 072 1820 13112000 828930 1026478 003 2399 0994610 -001 -071 078 002 -069 068 1888 14112000 817709 0986463 -001 2296 0957065 -004 -071 078 -001 -072 068 1956 15112000 845954 1034542 003 2395 1043118 004 -071 078 003 -068 073 2029 16112000 872700 1031616 003 2453 1024217 002 -071 078 002 -069 071 2099 19112000 845917 0969310 -003 2396 0976763 -002 -071 078 -002 -073 071 2170 20112000 838561 0991304 -001 2322 0969115 -003 -071 078 -001 -072 068 2239 21112000 800223 0954281 -005 2255 0971146 -003 -071 078 -004 -075 072 2311 22112000 778413 0972745 -003 2361 1047007 005 -071 078 -002 -073 078 2388 23112000 799245 1026762 003 2340 0991105 -001 -071 078 002 -069 068 2456 26112000 823981 1030949 003 2353 1005556 001 -071 078 002 -069 069 2525 27112000 816509 0990932 -001 2310 0981725 -002 -071 078 -001 -072 070 2595 28112000 793731 0972103 -003 2210 0956710 -004 -071 078 -002 -073 069 2664 29112000 790196 0995546 -000 2253 1019457 002 -071 078 -000 -071 073 2737 30112000 796977 1008581 001 2299 1020417 002 -071 078 001 -070 072 2809 03122000 772668 0969498 -003 2299 1000000 000 -071 078 -002 -073 073 2883

Page 160

Upper Egypt Flour Mills Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 21092000 777843 2130 24092000 773441 0994341 -001 2073 0973239 -003 -075 087 -000 -076 073 25092000 776658 1004159 000 2056 0991799 -001 -075 087 000 -075 074 147 26092000 769503 0990787 -001 2051 0997568 -000 -075 087 -001 -076 076 223 27092000 765212 0994424 -001 2064 1006338 001 -075 087 -000 -076 076 299 28092000 747666 0977070 -002 2019 0978198 -002 -075 087 -002 -077 075 374 01102000 723766 0968034 -003 1995 0988113 -001 -075 087 -003 -078 077 451 02102000 736337 1017369 002 2055 1030075 003 -075 087 001 -074 077 528 03102000 717831 0974867 -003 2023 0984428 -002 -075 087 -002 -077 076 603 04102000 698780 0973460 -003 2010 0993574 -001 -075 087 -002 -078 077 680 08102000 673198 0963390 -004 2010 1000000 000 -075 087 -003 -078 078 759 09102000 669556 0994590 -001 1973 0981592 -002 -075 087 -000 -076 074 833 10102000 652161 0974020 -003 1909 0967562 -003 -075 087 -002 -077 074 907 11102000 629197 0964788 -004 1871 0980094 -002 -075 087 -003 -078 076 983 12102000 607631 0965725 -003 1850 0988776 -001 -075 087 -003 -078 077 1060 15102000 619357 1019298 002 1851 1000541 000 -075 087 002 -074 074 1134 16102000 646053 1043103 004 1942 1049163 005 -075 087 004 -072 076 1210 17102000 668052 1034051 003 2039 1049949 005 -075 087 003 -072 077 1287 18102000 688105 1030017 003 2126 1042668 004 -075 087 003 -073 077 1364 19102000 688893 1001145 000 2179 1024929 002 -075 087 000 -075 078 1442 22102000 719462 1044374 004 2118 0972006 -003 -075 087 004 -071 069 1510

Page 161

23102000 723338 1005387 001 2222 1049103 005 -075 087 000 -075 080 1590 24102000 702403 0971058 -003 2187 0984248 -002 -075 087 -003 -078 076 1666 25102000 725191 1032443 003 2142 0979424 -002 -075 087 003 -072 070 1736 26102000 730437 1007234 001 2160 1008403 001 -075 087 001 -075 075 1812 29102000 726703 0994888 -001 2190 1013889 001 -075 087 -000 -076 077 1889 30102000 714909 0983771 -002 2178 0994521 -001 -075 087 -001 -077 076 1965 31102000 733186 1025565 003 1774 0814509 -021 -075 087 002 -073 052 2017 01112000 742977 1013354 001 1826 1029312 003 -075 087 001 -074 077 2094 02112000 747364 1005905 001 1776 0972618 -003 -075 087 001 -075 072 2166 05112000 760243 1017233 002 1822 1025901 003 -075 087 001 -074 076 2242 06112000 761956 1002253 000 1840 1009879 001 -075 087 000 -075 076 2318 07112000 757468 0994110 -001 1790 0972826 -003 -075 087 -001 -076 073 2391 08112000 762190 1006234 001 1777 0992737 -001 -075 087 001 -075 074 2465 09112000 773445 1014767 001 1811 1019133 002 -075 087 001 -074 076 2541 12112000 807548 1044092 004 1815 1002209 000 -075 087 004 -071 072 2613 13112000 828930 1026478 003 1838 1012672 001 -075 087 002 -073 074 2687 14112000 817709 0986463 -001 1803 0980958 -002 -075 087 -001 -076 074 2761 15112000 845954 1034542 003 1788 0991681 -001 -075 087 003 -072 071 2833 16112000 872700 1031616 003 1807 1010626 001 -075 087 003 -072 074 2906 19112000 845917 0969310 -003 1799 0995573 -000 -075 087 -003 -078 077 2984 20112000 838561 0991304 -001 1766 0981656 -002 -075 087 -001 -076 074 3058

Page 162

Commercial International Bank (CIB) Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 11032001 675900 3598 12032001 668606 0989208 -001 3600 1000556 000 -006 145 -002 -008 008 14032001 643440 0962360 -004 3514 0976111 -002 -006 145 -006 -012 009 017 15032001 634936 0986784 -001 3520 1001707 000 -006 145 -002 -008 008 025 18032001 628225 0989430 -001 3455 0981534 -002 -006 145 -002 -008 006 031 19032001 624649 0994308 -001 3350 0969609 -003 -006 145 -001 -007 004 035 20032001 641923 1027654 003 3355 1001493 000 -006 145 004 -002 002 037 21032001 627624 0977725 -002 3412 1016990 002 -006 145 -003 -009 011 048 22032001 616127 0981682 -002 3428 1004689 000 -006 145 -003 -009 009 058 25032001 624609 1013767 001 3399 0991540 -001 -006 145 002 -004 003 061 27032001 619112 0991199 -001 3403 1001177 000 -006 145 -001 -007 008 069 28032001 606407 0979479 -002 3402 0999706 -000 -006 145 -003 -009 009 078 29032001 591655 0975673 -002 3399 0999118 -000 -006 145 -004 -010 010 087 01042001 574960 0971783 -003 3350 0985584 -001 -006 145 -004 -010 009 096 02042001 580434 1009521 001 3277 0978209 -002 -006 145 001 -005 003 099 03042001 595163 1025376 003 3304 1008239 001 -006 145 004 -002 003 102 04042001 604910 1016377 002 3406 1030872 003 -006 145 002 -004 007 109 05042001 601771 0994811 -001 3414 1002349 000 -006 145 -001 -007 007 116 08042001 613483 1019463 002 3389 0992677 -001 -006 145 003 -003 003 119 09042001 615266 1002906 000 3415 1007672 001 -006 145 000 -006 006 125 10042001 609238 0990203 -001 3459 1012884 001 -006 145 -001 -008 009 134

Page 163

11042001 628748 1032024 003 3466 1002024 000 -006 145 005 -002 002 136 12042001 629302 1000881 000 3617 1043566 004 -006 145 000 -006 010 146 17042001 609225 0968096 -003 3644 1007465 001 -006 145 -005 -011 012 157 18042001 597402 0980593 -002 3541 0971734 -003 -006 145 -003 -009 006 164 19042001 610423 1021796 002 3494 0986727 -001 -006 145 003 -003 002 165 22042001 615551 1008401 001 3596 1029193 003 -006 145 001 -005 008 173 23042001 626452 1017709 002 3650 1015017 001 -006 145 003 -004 005 178 24042001 624156 0996335 -000 3686 1009863 001 -006 145 -001 -007 008 186 26042001 617783 0989789 -001 3705 1005155 001 -006 145 -001 -008 008 194 29042001 612699 0991771 -001 3773 1018354 002 -006 145 -001 -007 009 203 30042001 612714 1000024 000 3771 0999470 -000 -006 145 000 -006 006 209 02052001 627421 1024003 002 3739 0991514 -001 -006 145 003 -003 002 211 03052001 634110 1010661 001 3454 0923776 -008 -006 145 002 -005 -003 208 06052001 636990 1004542 000 3457 1000869 000 -006 145 001 -005 006 213 07052001 649636 1019853 002 3414 0987561 -001 -006 145 003 -003 002 215 08052001 652206 1003956 000 3456 1012302 001 -006 145 001 -006 007 222 09052001 642720 0985456 -001 3502 1013310 001 -006 145 -002 -008 010 232 10052001 648901 1009617 001 3494 0997716 -000 -006 145 001 -005 005 236 13052001 666997 1027887 003 3516 1006297 001 -006 145 004 -002 003 239 14052001 664617 0996432 -000 3558 1011945 001 -006 145 -001 -007 008 247 15052001 656225 0987373 -001 3542 0995503 -000 -006 145 -002 -008 008 254

Page 164

Misr International Bank (MIBANK) Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 26022001 655096 3038 27022001 675048 1030457 003 3043 1001844 000 -036 127 004 -032 032 28022001 667608 0988979 -001 2962 0973186 -003 -036 127 -001 -037 034 066 01032001 672488 1007310 001 2973 1003782 000 -036 127 001 -035 035 101 07032001 691184 1027801 003 3058 1028525 003 -036 127 003 -032 035 136 08032001 687929 0995291 -000 3013 0985348 -001 -036 127 -001 -036 035 171 11032001 675900 0982514 -002 2906 0964684 -004 -036 127 -002 -038 034 205 12032001 668606 0989208 -001 2834 0974952 -003 -036 127 -001 -037 034 239 14032001 643440 0962360 -004 2811 0992095 -001 -036 127 -005 -040 040 279 15032001 634936 0986784 -001 2813 1000569 000 -036 127 -002 -037 037 316 18032001 628225 0989430 -001 2799 0995165 -000 -036 127 -001 -037 036 352 19032001 624649 0994308 -001 2670 0953701 -005 -036 127 -001 -036 031 384 20032001 641923 1027654 003 2688 1006892 001 -036 127 003 -032 033 416 21032001 627624 0977725 -002 2726 1013988 001 -036 127 -003 -038 040 456 22032001 616127 0981682 -002 2736 1003816 000 -036 127 -002 -038 038 494 25032001 624609 1013767 001 2725 0995906 -000 -036 127 002 -034 033 528 27032001 619112 0991199 -001 2800 1027598 003 -036 127 -001 -037 039 567 28032001 606407 0979479 -002 2774 0990857 -001 -036 127 -003 -038 037 604 29032001 591655 0975673 -002 2791 1006055 001 -036 127 -003 -039 039 644 01042001 574960 0971783 -003 2799 1002866 000 -036 127 -004 -039 039 683 02042001 580434 1009521 001 2730 0975136 -003 -036 127 001 -034 032 715

Page 165

03042001 595163 1025376 003 2738 1003224 000 -036 127 003 -032 033 748 04042001 604910 1016377 002 2870 1047911 005 -036 127 002 -033 038 786 05042001 601771 0994811 -001 2900 1010594 001 -036 127 -001 -036 037 823 08042001 613483 1019463 002 2834 0977379 -002 -036 127 002 -033 031 854 09042001 615266 1002906 000 2862 1009596 001 -036 127 000 -035 036 890 10042001 609238 0990203 -001 2888 1009226 001 -036 127 -001 -037 038 927 11042001 628748 1032024 003 2863 0991413 -001 -036 127 004 -032 031 958 12042001 629302 1000881 000 3005 1049455 005 -036 127 000 -035 040 998 17042001 609225 0968096 -003 3013 1002662 000 -036 127 -004 -040 040 1038 18042001 597402 0980593 -002 2966 0984334 -002 -036 127 -002 -038 036 1075 19042001 610423 1021796 002 2890 0974373 -003 -036 127 003 -033 030 1105 22042001 615551 1008401 001 2938 1016888 002 -036 127 001 -034 036 1141 23042001 626452 1017709 002 2807 0955350 -005 -036 127 002 -033 029 117024042001 624156 0996335 -000 2911 1037048 004 -036 127 -000 -036 040 1209 26042001 617783 0989789 -001 2973 1021160 002 -036 127 -001 -037 039 1248 29042001 612699 0991771 -001 2914 0980086 -002 -036 127 -001 -037 035 1283 30042001 612714 1000024 000 2822 0968699 -003 -036 127 000 -036 032 1315 02052001 627421 1024003 002 2801 0992347 -001 -036 127 003 -032 032 1347 03052001 634110 1010661 001 2886 1030277 003 -036 127 001 -034 037 1384 06052001 636990 1004542 000 2890 1001663 000 -036 127 001 -035 035 1419 07052001 649636 1019853 002 2909 1006366 001 -036 127 002 -033 034 1453

Page 166

Ameryah Cement Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative

rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return

08022001 747680 2900 11022001 733914 0981588 -002 2761 0952069 -005 -043 105 -002 -045 040 12022001 733028 0998793 -000 2743 0993481 -001 -043 105 -000 -043 042 082 13022001 726574 0991195 -001 2743 1000000 000 -043 105 -001 -044 044 126 14022001 726733 1000219 000 2867 1045206 004 -043 105 000 -043 047 174 15022001 716466 0985872 -001 2825 0985351 -001 -043 105 -001 -044 043 217 18022001 703762 0982269 -002 2949 1043894 004 -043 105 -002 -045 049 266 19022001 704431 1000951 000 2850 0966429 -003 -043 105 000 -043 039 305 20022001 720800 1023237 002 2870 1007018 001 -043 105 002 -041 041 347 22022001 696200 0965871 -003 2900 1010453 001 -043 105 -004 -047 048 394 25022001 670991 0963791 -004 2900 1000000 000 -043 105 -004 -047 047 441 26022001 655096 0976311 -002 2900 1000000 000 -043 105 -003 -045 045 486 27022001 675048 1030457 003 2900 1000000 000 -043 105 003 -040 040 526 28022001 667608 0988979 -001 3025 1043103 004 -043 105 -001 -044 048 575 01032001 672488 1007310 001 2995 0990083 -001 -043 105 001 -042 041 616 07032001 691184 1027801 003 3003 1002671 000 -043 105 003 -040 040 656 08032001 687929 0995291 -000 2907 0968032 -003 -043 105 -000 -043 040 696 11032001 675900 0982514 -002 3001 1032336 003 -043 105 -002 -045 048 744 12032001 668606 0989208 -001 3011 1003332 000 -043 105 -001 -044 044 789 14032001 643440 0962360 -004 3161 1049817 005 -043 105 -004 -047 052 841 15032001 634936 0986784 -001 3315 1048719 005 -043 105 -001 -044 049 890 18032001 628225 0989430 -001 3263 0984314 -002 -043 105 -001 -044 042 932 19032001 624649 0994308 -001 3263 1000000 000 -043 105 -001 -044 044 976 20032001 641923 1027654 003 2525 0773828 -026 -043 105 003 -040 014 990

Page 167

21032001 627624 0977725 -002 2452 0971089 -003 -043 105 -002 -045 042 1033 22032001 616127 0981682 -002 2500 1019576 002 -043 105 -002 -045 047 1080 25032001 624609 1013767 001 2500 1000000 000 -043 105 001 -042 042 1121 27032001 619112 0991199 -001 2516 1006400 001 -043 105 -001 -044 045 1166 28032001 606407 0979479 -002 2516 1000000 000 -043 105 -002 -045 045 1211 29032001 591655 0975673 -002 2527 1004372 000 -043 105 -003 -046 046 1257 01042001 574960 0971783 -003 2441 0965968 -003 -043 105 -003 -046 043 1299 02042001 580434 1009521 001 2415 0989349 -001 -043 105 001 -042 041 1340 03042001 595163 1025376 003 2415 1000000 000 -043 105 003 -040 040 1380 04042001 604910 1016377 002 2409 0997516 -000 -043 105 002 -041 041 1421 05042001 601771 0994811 -001 2415 1002491 000 -043 105 -001 -044 044 1465 08042001 613483 1019463 002 2481 1027329 003 -043 105 002 -041 044 1509 09042001 615266 1002906 000 2500 1007658 001 -043 105 000 -043 043 1552 10042001 609238 0990203 -001 2417 0966800 -003 -043 105 -001 -044 041 1593 11042001 628748 1032024 003 2500 1034340 003 -043 105 003 -040 043 1636 12042001 629302 1000881 000 2467 0986800 -001 -043 105 000 -043 042 1677 17042001 609225 0968096 -003 2467 1000000 000 -043 105 -003 -046 046 1724 18042001 597402 0980593 -002 2467 1000000 000 -043 105 -002 -045 045 1769

Page 168

Torah Portland Cement Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 15022001 716466 3234 -006 107 18022001 703762 0982269 -002 3174 0981447 -002 -006 107 -002 -008 006 19022001 704431 1000951 000 3160 0995589 -000 -006 107 000 -006 006 012 20022001 720800 1023237 002 3287 1040190 004 -006 107 002 -004 008 019 22022001 696200 0965871 -003 3199 0973228 -003 -006 107 -004 -010 007 026 25022001 670991 0963791 -004 3196 0999062 -000 -006 107 -004 -010 010 036 26022001 655096 0976311 -002 3156 0987484 -001 -006 107 -003 -009 007 044 27022001 675048 1030457 003 3127 0990811 -001 -006 107 003 -003 002 046 28022001 667608 0988979 -001 3190 1020147 002 -006 107 -001 -007 009 055 01032001 672488 1007310 001 3192 1000627 000 -006 107 001 -005 005 060 07032001 691184 1027801 003 3166 0991855 -001 -006 107 003 -003 002 063 08032001 687929 0995291 -000 3166 1000000 000 -006 107 -001 -007 007 069 11032001 675900 0982514 -002 3166 1000000 000 -006 107 -002 -008 008 077 12032001 668606 0989208 -001 3166 1000000 000 -006 107 -001 -007 007 085 14032001 643440 0962360 -004 3148 0994315 -001 -006 107 -004 -010 010 094 15032001 634936 0986784 -001 3112 0988564 -001 -006 107 -001 -008 006 101 18032001 628225 0989430 -001 3096 0994859 -001 -006 107 -001 -007 007 107 19032001 624649 0994308 -001 3054 0986434 -001 -006 107 -001 -007 005 113 20032001 641923 1027654 003 3000 0982318 -002 -006 107 003 -003 001 114 21032001 627624 0977725 -002 3000 1000000 000 -006 107 -002 -009 009 123 22032001 616127 0981682 -002 2912 0970667 -003 -006 107 -002 -008 005 128

Page 169

25032001 624609 1013767 001 2890 0992445 -001 -006 107 001 -005 004 132 27032001 619112 0991199 -001 3031 1048789 005 -006 107 -001 -007 012 144 28032001 606407 0979479 -002 3021 0996701 -000 -006 107 -002 -008 008 152 29032001 591655 0975673 -002 2999 0992718 -001 -006 107 -003 -009 008 160 01042001 574960 0971783 -003 3000 1000333 000 -006 107 -003 -009 009 169 02042001 580434 1009521 001 2967 0989000 -001 -006 107 001 -005 004 173 03042001 595163 1025376 003 2967 1000000 000 -006 107 003 -003 003 176 04042001 604910 1016377 002 2906 0979441 -002 -006 107 002 -004 002 179 05042001 601771 0994811 -001 2884 0992429 -001 -006 107 -001 -007 006 184 08042001 613483 1019463 002 2735 0948336 -005 -006 107 002 -004 -001 183 09042001 615266 1002906 000 2607 0953199 -005 -006 107 000 -006 001 184 10042001 609238 0990203 -001 2600 0997315 -000 -006 107 -001 -007 007 191 11042001 628748 1032024 003 2600 1000000 000 -006 107 003 -003 003 194 12042001 629302 1000881 000 2657 1021923 002 -006 107 000 -006 008 202 17042001 609225 0968096 -003 2590 0974784 -003 -006 107 -003 -010 007 209 18042001 597402 0980593 -002 2638 1018533 002 -006 107 -002 -008 010 219 19042001 610423 1021796 002 2696 1021986 002 -006 107 002 -004 006 225 22042001 615551 1008401 001 2613 0969214 -003 -006 107 001 -005 002 227 23042001 626452 1017709 002 2673 1022962 002 -006 107 002 -004 007 234 24042001 624156 0996335 -000 2567 0960344 -004 -006 107 -000 -007 002 236 26042001 617783 0989789 -001 2567 1000000 000 -006 107 -001 -007 007 243

Page 170

Nasr City for Housing and Development Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 27092001 561925 2109 30092001 564278 1004187 000 2104 0997629 -000 -115 075 000 -115 114 01102001 568252 1007043 001 2118 1006654 001 -115 075 001 -114 115 229 02102001 555684 0977883 -002 2075 0979698 -002 -115 075 -002 -117 115 344 03102001 549459 0988798 -001 2080 1002410 000 -115 075 -001 -116 116 460 04102001 544680 0991302 -001 2034 0977885 -002 -115 075 -001 -116 113 573 07102001 544675 0999991 -000 2050 1007866 001 -115 075 -000 -115 116 689 08102001 543049 0997015 -000 2046 0998049 -000 -115 075 -000 -115 115 804 09102001 545728 1004933 000 2106 1029326 003 -115 075 000 -115 117 921 10102001 549824 1007506 001 2055 0975783 -002 -115 075 001 -114 112 1033 11102001 554529 1008557 001 2051 0998054 -000 -115 075 001 -114 114 1147 14102001 563161 1015566 002 2111 1029254 003 -115 075 001 -114 117 1264 15102001 563789 1001115 000 2084 0987210 -001 -115 075 000 -115 114 1378 16102001 560209 0993650 -001 2104 1009597 001 -115 075 -000 -115 116 1494 17102001 573477 1023684 002 2113 1004278 000 -115 075 002 -113 114 1608 18102001 579797 1011020 001 2142 1013725 001 -115 075 001 -114 115 1723 21102001 583382 1006183 001 2129 0993931 -001 -115 075 000 -114 114 1837 22102001 585868 1004261 000 2095 0984030 -002 -115 075 000 -115 113 1950 23102001 584346 0997402 -000 2084 0994749 -001 -115 075 -000 -115 115 2064 24102001 580869 0994050 -001 2065 0990883 -001 -115 075 -000 -115 114 2179 25102001 571335 0983587 -002 2070 1002421 000 -115 075 -001 -116 116 2295

Page 171

28102001 560295 0980677 -002 2047 0988889 -001 -115 075 -001 -116 115 2411 29102001 558792 0997317 -000 2026 0989741 -001 -115 075 -000 -115 114 2525 30102001 563118 1007742 001 2025 0999506 -000 -115 075 001 -114 114 2639 31102001 557753 0990473 -001 2001 0988148 -001 -115 075 -001 -116 114 2753 01112001 554861 0994815 -001 2036 1017491 002 -115 075 -000 -115 117 2870 04112001 562024 1012910 001 2064 1013752 001 -115 075 001 -114 115 2986 05112001 565106 1005484 001 2100 1017442 002 -115 075 000 -115 116 3102 06112001 564130 0998273 -000 2091 0995714 -000 -115 075 -000 -115 115 3217 07112001 558639 0990266 -001 2051 0980870 -002 -115 075 -001 -116 114 3330 08112001 558192 0999200 -000 2050 0999512 -000 -115 075 -000 -115 115 3445 11112001 556063 0996186 -000 1958 0955122 -005 -115 075 -000 -115 111 3556 12112001 552223 0993094 -001 1895 0967824 -003 -115 075 -001 -115 112 3668 13112001 546427 0989504 -001 1896 1000528 000 -115 075 -001 -116 116 3784 14112001 541547 0991069 -001 1835 0967827 -003 -115 075 -001 -116 112 3896 15112001 533398 0984952 -002 1751 0954223 -005 -115 075 -001 -116 111 4008 18112001 524993 0984243 -002 1753 1001142 000 -115 075 -001 -116 116 4124 19112001 523018 0996238 -000 1783 1017114 002 -115 075 -000 -115 117 4241 20112001 520627 0995428 -000 1770 0992709 -001 -115 075 -000 -115 115 4355 21112001 510062 0979707 -002 1784 1007910 001 -115 075 -002 -116 117 4472 22112001 508562 0997059 -000 1792 1004484 000 -115 075 -000 -115 116 4588 25112001 508087 0999066 -000 1783 0994978 -001 -115 075 -000 -115 114 4703

Page 172

Suez Cement Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 16052001 655120 3535 17052001 659723 1007026 001 3554 1005375 001 -020 126 001 -019 019 20052001 656059 0994446 -001 3456 0972425 -003 -020 126 -001 -020 017 037 21052001 651237 0992650 -001 3462 1001736 000 -020 126 -001 -020 021 057 22052001 655995 1007306 001 3531 1019931 002 -020 126 001 -019 021 078 23052001 656965 1001479 000 3532 1000283 000 -020 126 000 -019 019 097 24052001 665419 1012868 001 3595 1017837 002 -020 126 002 -018 020 117 27052001 670868 1008189 001 3676 1022531 002 -020 126 001 -018 021 138 28052001 678608 1011537 001 3670 0998368 -000 -020 126 001 -018 018 155 29052001 668826 0985585 -001 3630 0989101 -001 -020 126 -002 -021 020 176 30052001 662111 0989960 -001 3617 0996419 -000 -020 126 -001 -021 020 196 31052001 653740 0987357 -001 3660 1011888 001 -020 126 -002 -021 022 218 03062001 634276 0970227 -003 3576 0977049 -002 -020 126 -004 -023 021 239 05062001 627793 0989779 -001 3596 1005593 001 -020 126 -001 -021 021 261 06062001 623888 0993780 -001 3568 0992214 -001 -020 126 -001 -020 020 280 07062001 629223 1008551 001 3582 1003924 000 -020 126 001 -018 019 299 10062001 632250 1004811 000 3761 1049972 005 -020 126 001 -019 024 323 11062001 629970 0996394 -000 3891 1034565 003 -020 126 -000 -020 023 346 12062001 632227 1003583 000 3789 0973786 -003 -020 126 000 -019 016 363 13062001 628592 0994250 -001 3814 1006598 001 -020 126 -001 -020 021 384 14062001 630035 1002296 000 3889 1019664 002 -020 126 000 -019 021 405

Page 173

17062001 621647 0986686 -001 3692 0949344 -005 -020 126 -002 -021 016 421 18062001 620202 0997676 -000 3671 0994312 -001 -020 126 -000 -020 019 440 19062001 610903 0985006 -002 3596 0979570 -002 -020 126 -002 -021 019 459 20062001 607444 0994338 -001 3627 1008621 001 -020 126 -001 -020 021 481 21062001 613967 1010738 001 3661 1009374 001 -020 126 001 -018 019 500 24062001 609920 0993408 -001 3672 1003005 000 -020 126 -001 -020 021 520 25062001 608366 0997452 -000 3694 1005991 001 -020 126 -000 -020 020 541 26062001 600648 0987314 -001 3610 0977260 -002 -020 126 -002 -021 019 560 27062001 593325 0987808 -001 3595 0995845 -000 -020 126 -002 -021 021 580 28062001 596953 1006115 001 3590 0998609 -000 -020 126 001 -019 019 599 02072001 609759 1021452 002 3627 1010306 001 -020 126 003 -017 018 617 03072001 619411 1015829 002 3611 0995589 -000 -020 126 002 -018 017 634 04072001 623719 1006955 001 3584 0992523 -001 -020 126 001 -019 018 652 05072001 620332 0994570 -001 3604 1005580 001 -020 126 -001 -020 021 672 08072001 622701 1003819 000 3641 1010266 001 -020 126 000 -019 020 692 09072001 624279 1002534 000 3654 1003570 000 -020 126 000 -019 020 712 10072001 615867 0986525 -001 3604 0986316 -001 -020 126 -002 -021 020 732 11072001 607357 0986182 -001 3587 0995283 -000 -020 126 -002 -021 021 753 12072001 609565 1003635 000 3579 0997770 -000 -020 126 000 -019 019 771 15072001 596585 0978706 -002 3519 0983236 -002 -020 126 -003 -022 021 792 16072001 579782 0971835 -003 3452 0980961 -002 -020 126 -004 -023 021 813

Page 174

Egyptian Financial and Industrial Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 14052001 664617 2188 -126 086 15052001 656225 0987373 -001 2297 1049817 005 -126 086 -001 -127 132 16052001 655120 0998316 -000 2206 0960383 -004 -126 086 -000 -126 122 254 17052001 659723 1007026 001 2199 0996827 -000 -126 086 001 -125 125 379 20052001 656059 0994446 -001 2188 0994998 -001 -126 086 -000 -126 126 505 21052001 651237 0992650 -001 2166 0989945 -001 -126 086 -001 -127 126 630 22052001 655995 1007306 001 2195 1013389 001 -126 086 001 -125 127 757 23052001 656965 1001479 000 2111 0961731 -004 -126 086 000 -126 122 879 24052001 665419 1012868 001 2210 1046897 005 -126 086 001 -125 129 1008 27052001 670868 1008189 001 2238 1012670 001 -126 086 001 -125 126 1134 28052001 678608 1011537 001 2272 1015192 002 -126 086 001 -125 126 1261 29052001 668826 0985585 -001 2253 0991637 -001 -126 086 -001 -127 126 1387 30052001 662111 0989960 -001 2220 0985353 -001 -126 086 -001 -127 125 1512 31052001 653740 0987357 -001 2253 1014865 001 -126 086 -001 -127 128 1641 03062001 634276 0970227 -003 2251 0999112 -000 -126 086 -003 -128 128 1769 05062001 627793 0989779 -001 2251 1000000 000 -126 086 -001 -127 127 1896 06062001 623888 0993780 -001 2315 1028432 003 -126 086 -001 -126 129 2025 07062001 629223 1008551 001 2306 0996112 -000 -126 086 001 -125 125 2150 10062001 632250 1004811 000 2257 0978751 -002 -126 086 000 -125 123 2273 11062001 629970 0996394 -000 2335 1034559 003 -126 086 -000 -126 130 2403 12062001 632227 1003583 000 2367 1013704 001 -126 086 000 -126 127 2530

Page 175

13062001 628592 0994250 -001 2335 0986481 -001 -126 086 -000 -126 125 2655 14062001 630035 1002296 000 2297 0983726 -002 -126 086 000 -126 124 2779 17062001 621647 0986686 -001 2386 1038746 004 -126 086 -001 -127 131 2910 18062001 620202 0997676 -000 2441 1023051 002 -126 086 -000 -126 128 3038 19062001 610903 0985006 -002 2416 0989758 -001 -126 086 -001 -127 126 3164 20062001 607444 0994338 -001 2311 0956540 -004 -126 086 -000 -126 122 3286 21062001 613967 1010738 001 2250 0973605 -003 -126 086 001 -125 122 3409 24062001 609920 0993408 -001 2331 1036000 004 -126 086 -001 -126 130 3538 25062001 608366 0997452 -000 2304 0988417 -001 -126 086 -000 -126 125 3663 26062001 600648 0987314 -001 1995 0865885 -014 -126 086 -001 -127 113 3776 27062001 593325 0987808 -001 1930 0967419 -003 -126 086 -001 -127 124 3900 28062001 596953 1006115 001 1975 1023316 002 -126 086 001 -125 128 4027 02072001 609759 1021452 002 1923 0973671 -003 -126 086 002 -124 121 4149 03072001 619411 1015829 002 1923 1000000 000 -126 086 001 -125 125 4273 04072001 623719 1006955 001 2001 1040562 004 -126 086 001 -125 129 4403 05072001 620332 0994570 -001 2067 1032984 003 -126 086 -000 -126 130 4532 08072001 622701 1003819 000 2075 1003870 000 -126 086 000 -126 126 4658 09072001 624279 1002534 000 2081 1002892 000 -126 086 000 -126 126 4784 10072001 615867 0986525 -001 2159 1037482 004 -126 086 -001 -127 131 4915 11072001 607357 0986182 -001 2078 0962483 -004 -126 086 -001 -127 123 5038 12072001 609565 1003635 000 2151 1035130 003 -126 086 000 -126 129 5167

Page 176

Abu Keir for Fertilisers Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 23092001 597012 2759 24092001 588809 0986260 -001 2759 1000000 000 -094 047 -001 -095 095 25092001 581727 0987972 -001 2760 1000362 000 -094 047 -001 -095 095 190 26092001 570192 0980171 -002 2734 0990580 -001 -094 047 -001 -095 094 285 27092001 561925 0985501 -001 2744 1003658 000 -094 047 -001 -095 096 380 30092001 564278 1004187 000 2790 1016764 002 -094 047 000 -094 096 476 01102001 568252 1007043 001 2837 1016846 002 -094 047 000 -094 096 572 02102001 555684 0977883 -002 2830 0997533 -000 -094 047 -001 -096 095 667 03102001 549459 0988798 -001 2821 0996820 -000 -094 047 -001 -095 095 762 04102001 544680 0991302 -001 2800 0992556 -001 -094 047 -000 -095 094 856 07102001 544675 0999991 -000 2800 1000000 000 -094 047 -000 -094 094 951 08102001 543049 0997015 -000 2822 1007857 001 -094 047 -000 -095 095 1046 09102001 545728 1004933 000 2815 0997519 -000 -094 047 000 -094 094 1140 10102001 549824 1007506 001 2834 1006750 001 -094 047 000 -094 095 1235 11102001 554529 1008557 001 2834 1000000 000 -094 047 000 -094 094 1329 14102001 563161 1015566 002 2828 0997883 -000 -094 047 001 -094 094 1423 15102001 563789 1001115 000 2825 0998939 -000 -094 047 000 -094 094 1517 16102001 560209 0993650 -001 2822 0998938 -000 -094 047 -000 -095 095 1612 17102001 573477 1023684 002 2832 1003544 000 -094 047 001 -093 094 1705 18102001 579797 1011020 001 2820 0995763 -000 -094 047 001 -094 094 1799 21102001 583382 1006183 001 2838 1006383 001 -094 047 000 -094 095 1894

Page 177

22102001 585868 1004261 000 2801 0986963 -001 -094 047 000 -094 093 1987 23102001 584346 0997402 -000 2812 1003927 000 -094 047 -000 -095 095 2082 24102001 580869 0994050 -001 2823 1003912 000 -094 047 -000 -095 095 2177 25102001 571335 0983587 -002 2824 1000354 000 -094 047 -001 -095 095 2272 28102001 560295 0980677 -002 2806 0993626 -001 -094 047 -001 -095 095 2367 29102001 558792 0997317 -000 2498 0890235 -012 -094 047 -000 -095 083 2450 30102001 563118 1007742 001 2482 0993595 -001 -094 047 000 -094 093 2544 31102001 557753 0990473 -001 2444 0984690 -002 -094 047 -000 -095 093 2637 01112001 554861 0994815 -001 2455 1004501 000 -094 047 -000 -095 095 2732 04112001 562024 1012910 001 2488 1013442 001 -094 047 001 -094 095 2827 05112001 565106 1005484 001 2492 1001608 000 -094 047 000 -094 094 2922 06112001 564130 0998273 -000 2481 0995586 -000 -094 047 -000 -095 094 3016 07112001 558639 0990266 -001 2496 1006046 001 -094 047 -000 -095 096 3111 08112001 558192 0999200 -000 2470 0989583 -001 -094 047 -000 -095 093 3205 11112001 556063 0996186 -000 2488 1007287 001 -094 047 -000 -095 095 3300 12112001 552223 0993094 -001 2498 1004019 000 -094 047 -000 -095 095 3396 13112001 546427 0989504 -001 2495 0998799 -000 -094 047 -001 -095 095 3490 14112001 541547 0991069 -001 2488 0997194 -000 -094 047 -000 -095 095 3585 15112001 533398 0984952 -002 2498 1004019 000 -094 047 -001 -095 096 3681 18112001 524993 0984243 -002 2460 0984788 -002 -094 047 -001 -095 094 3774 19112001 523018 0996238 -000 2460 1000000 000 -094 047 -000 -095 095 3869

Page 179

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 = [(T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX)] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2] (511)

middot Jensen (Alpha) = arp ndash [arf + βp(arM - arf)] (512)

middot Sharpe = (arp - arf) σp (513)

middot Treynor = (arp - arf) βp (514)

middot Tracking Error = αp σep (515)

The following are the detailed calculations of the various performance measures for

the funds analysed

Page 180

Market Portfolio

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -2630 881 -3511 123271 123271 123271 1999 4250 905 3345 4250 905 3345 111890 111890 111890 2000 -4119 909 -5028 -4119 909 -5028 252808 252808 252808 2001 -3120 906 -4026 -3120 906 -4026 162087 162087 162087

Sum -9220 -9220 650056 650056 650056

Mean -1405 900

Standard Deviation 3820

Beta 100 Jensen (Alpha) 000 Std Dev Of Rndm Error Term 000 Sharpe -060 Treynor -2305 Tracking Error 000

Page 181

Fund No 1

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1630 881 -2511 123271 63051 88161 1999 4250 905 3345 1200 905 295 111890 870 9868 2000 -4119 909 -5028 -1144 909 -2053 252808 42148 103225 2001 -3120 906 -4026 -1750 906 -2656 162087 70543 106931

Sum -9220 -6925 650056 176613 308184

Mean -831 900

Standard Deviation 1379

Beta 034 Jensen (Alpha) -949 Std Dev Of Rndm Error Term 560 Sharpe -126 Treynor -5099 Tracking Error -169

Page 182

Fund No 2

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1660 881 -2541 123271 64567 89215 1999 4250 905 3345 1590 905 685 111890 4692 22913 2000 -4119 909 -5028 -1307 909 -2216 252808 49107 111420 2001 -3120 906 -4026 -520 906 -1426 162087 20335 57411

Sum -9220 -5498 650056 138700 280959

Mean -474 900

Standard Deviation 1456

Beta 035 Jensen (Alpha) -562 Std Dev Of Rndm Error Term 662 Sharpe -094 Treynor -3899 Tracking Error -085

Page 183

Fund No 3

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1490 881 -2371 123271 56216 83246 1999 4250 905 3345 1350 905 445 111890 1980 14885 2000 -4119 909 -5028 -1289 909 -2198 252808 48312 110515 2001 -3120 906 -4026 -1310 906 -2216 162087 49107 89216

Sum -9220 -6340 650056 155615 297863

Mean -685 900

Standard Deviation 1359

Beta 035 Jensen (Alpha) -786 Std Dev Of Rndm Error Term 354 Sharpe -117 Treynor -4571 Tracking Error -222

Page 184

Fund No 4

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1770 881 -2651 123271 70278 93077 1999 4250 905 3345 1100 905 195 111890 380 6523 2000 -4119 909 -5028 -1438 909 -2347 252808 55084 118007 2001 -3120 906 -4026 -1690 906 -2596 162087 67392 104515

Sum -9220 -7399 650056 193135 322121

Mean -950 900

Standard Deviation 1374

Beta 035 Jensen (Alpha) -1051 Std Dev Of Rndm Error Term 434 Sharpe -135 Treynor -5339 Tracking Error -242

Page 185

Fund No 5

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1680 881 -2561 123271 65587 89917 1999 4250 905 3345 1230 905 325 111890 1056 10871 2000 -4119 909 -5028 -1078 909 -1987 252808 39482 99906 2001 -3120 906 -4026 -1410 906 -2316 162087 53639 93242

Sum -9220 -6539 650056 159764 293936

Mean -735 900

Standard Deviation 1333

Beta 033 Jensen (Alpha) -880 Std Dev Of Rndm Error Term 547 Sharpe -123 Treynor -4994 Tracking Error -161

Page 186

Fund No 6

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1480 881 -2361 123271 55743 82895 1999 4250 905 3345 1140 905 235 111890 552 7861 2000 -4119 909 -5028 -1083 909 -1992 252808 39681 100158 2001 -3120 906 -4026 -1240 906 -2146 162087 46053 86398

Sum -9220 -6264 650056 142029 277311

Mean -666 900

Standard Deviation 1215

Beta 030 Jensen (Alpha) -866 Std Dev Of Rndm Error Term 421 Sharpe -129 Treynor -5155 Tracking Error -205

Page 187

Fund No 7

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1151 881 -2032 123271 41290 71344 1999 4250 905 3345 306 905 -599 111890 3588 -20037 2000 -4119 909 -5028 -1174 909 -2083 252808 43389 104733 2001 -3120 906 -4026 -1312 906 -2218 162087 49195 89297

Sum -9220 -6932 650056 137462 245337

Mean -833 900

Standard Deviation 762

Beta 020 Jensen (Alpha) -1282 Std Dev Of Rndm Error Term 173 Sharpe -227 Treynor -8863 Tracking Error -739

Page 188

Fund No 8

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -279 881 -1160 123271 13456 40728 1999 4250 905 3345 751 905 -154 111890 237 -5151 2000 -4119 909 -5028 -803 909 -1712 252808 29309 86079 2001 -3120 906 -4026 -960 906 -1866 162087 34820 75125

Sum -9220 -4892 650056 77822 196781

Mean -323 900

Standard Deviation 773

Beta 019 Jensen (Alpha) -780 Std Dev Of Rndm Error Term 305 Sharpe -158 Treynor -6369 Tracking Error -256

Page 189

References

1 Bekaert G and Harvey C R ldquoTime-Varying World Market Integrationrdquo Journal

of Finance Vol 50 no 2 (June 1995) pp 403-444

2 Bekaert G and Harvey C R ldquoEmerging Equity Market Volatilityrdquo Journal of

Financial Economics Vol 43 no 1 (1997) pp 29-77

3 Bekaert G Erb C B Harvey C R and Viscanta T E ldquoDistributional

Characteristics of Emerging Market Returns and Asset

Allocationrdquo Journal of Portfolio Management Vol 24

no 2 (Winter 1998) pp 102-116

4 Bodie Z Kane A and Marcus A ldquoInvestmentsrdquo 4th ed McGraw Hell 2001

5 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (May 2002)

6 Cairo and Alexandria Stock Exchanges ldquoFact Bookrdquo 2001

7 Cairo and Alexandria Stock Exchanges ldquoStatistical Highlightsrdquo 2001

8 Claessens S ldquoAssessing Investment Potential and Security Designrdquo Conference

on Portfolio Investment in Developing Countries The

World Bank 1993

9 Conrad J and Kaul G ldquoTime Variation in Expected Returnsrdquo Journal of

Business Vol 61 no 4 (October 1998) pp 409-425

in (Bodie et al 2001)

10 Egyptian Financial Group (EFG-Hermes) ldquoEgypt Country Reportrdquo (May 2000)

11 Fama E F ldquoEfficient Capital Markets A Review of Theory and Empirical

Workrdquo Journal of Finance Vol 25 no 2 (May 1970) pp

383-417

12 Fama E F Fisher L Jensen M and Roll R ldquoThe Adjustment of Stock prices

Page 190

to New Informationrdquo International Economic Review

Vol 10 no 1 (February 1969) pp 1-21 in (Fama

1970)

13 Fama E F and French K R Permanent and Temporary Components of Stock

pricesrdquo Journal of Political Economy Vol 96 (April

1988) pp 24-73 in Bodie et al (2001)

14 Fama E F ldquoEfficient Capital Markets IIrdquo Journal of Finance Vol 46 no 5

(December 1991) pp 1575-1617

15 Fama E F ldquoMarket Efficiency Long-Term Returns and Behavioural Financerdquo

Journal of Financial Economics Vol 49 (September

1998) pp 283-306

16 Harvey C R ldquoThe Risk Exposure of Emerging Equity Marketsrdquo Conference on

Portfolio Investment in Developing Countries The World

Bank 1993

17 HC Brokerage ldquoEgypt Equity Researchrdquo 2001

18 Howell M J Cleassens S and Gooptu S ldquoInvesting in Emerging Marketsrdquo

Euromoney Books in association with the World Bank 1994

19 HSBC Investment Bank-Egypt ldquoTreasury and Capital Markets A Guide to

Egyptrdquo 2001

20 Jensen M C ldquoThe Performance of Mutual Funds in The Period 1945-1964rdquo

Journal of Finance Vol 23 no 2 (May 1968) pp 389-416

21 Kendall M G ldquoThe Ananlysis of Economic Time Series Part I Pricesrdquo Journal

of Royal Statistical Society 96 (Part 1 1953) pp 11-

25 in (Fama 1970 pp 390) and (Leroy 1989 pp

1587-1588)

Page 191

22 Law No 951992 ldquoCapital Market Lawrdquo

23 Law No 1591981 ldquoCompanies Lawrdquo

24 Law No 2031991 ldquoInvestment Lawrdquo

25 LeRoy S F ldquoEfficient Capital Markets and Martingalesrdquo Journal of Economic

Literature Vol 27 no 4 (December 1989) pp 1583-1621

26 Lewellen J and Shanken J ldquoLearning Asset Pricing Tests and Market

efficiencyrdquo Journal of Finance Vol 57 no 3 (June

2002) pp 1113-1144

27 Masters S J ldquoEmerging Markets Managing the Impact of High Costsrdquo Journal

of Portfolio Management Vol 28 no 3 (Spring 2002) pp

96-101

28 Mecagni M and Sourial M S ldquoThe Egyptian Stock Market Efficiency Tests

and Volatility Effectsrdquo International Monetary Fund

Working Paper 9948 (April 1999)

29 Odier P Solnik B and Zucchinetti S ldquoGlobal Optimisation for Swiss Pension

Fundsrdquo Finazmarkt und Portfolio Management (June

1995) in (Solnik 2000) pp 263

30 Poterba J and Summers L ldquoMean Reversion in Stock Prices Evidence and

Implicationsrdquo Journal of Financial Economics Vol 22

(October 1988) pp 27-59 in (Bodie et al 2001) pp

345

31 Saunders A and Walter I ldquoAre Emerging Market Equities a Separate Asset

Classrdquo Journal of Portfolio Management Vol 28 no

3 (Spring 2002) pp 102-114

32 Sharpe W F ldquoMutual Fund Performancerdquo Journal of Business Vol 39 no 1

Page 192

(January 1966) pp 119-138

33 Sharpe W F Alexander G J and Bailey J V ldquoInvestmentsrdquo 6th ed Prentice

Hall Inc 1999

34 Solnik B ldquoInternational Investmentsrdquo 4th ed Addison Wesley 2000

35 Stevenson S ldquoEmerging Markets Downside Risk and The Asset Allocation

Decisionrdquo Emerging Markets Review Vol 2 no 1

(March 2001) pp 50-66

36 Treynor J L ldquoHow to Rate Management of Investment Fundsrdquo Harvard

Business Review Vol 43 no 1 (JanuaryFebruary 1965) pp

63-75

37 Treynor J L and Black F ldquoHow to Use Security Analysis to Improve Portfolio

Selectionrdquo Journal of Business Vol 46 no 1

(January 1973) pp 66-86

38 Williamson J ldquoIssues Posed by Portfolio Investment in Developing Countriesrdquo

Conference on Portfolio Investment in Developing

Countries The World Bank 1993

Electronic References

1 Cairo and Alexandria Stock Exchanges ldquoTrade Historyrdquo [Online]

httpwwwegyptsecomtradehistoryasp

2 DATASTREAM [Online]

3 Law No 81997 ldquoInvestment Lawrdquo (August 2002) [Online]

httpwwweconomygovegenglishdownloadtocdownloadstm

4 Law No 932000 ldquoCentral Securities Depository and Registry Lawrdquo (August

Page 193

2002) [Online]

httpwwweconomygovegarabicdownloadtocdownloadstm

5 REUTERS [Online]

Bibliography

1 Black F ldquoNoiserdquo Journal of Finance Vol 41 no 3 (July 1986) pp 529-543

2 Cairo and Alexandria Stock Exchanges ldquoStock Guiderdquo 2001

3 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (November 2000)

4 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (December 2001)

5Cothren R ldquoOn The Impossibility of Informationally Efficient Markets

Commentrdquo American Economic Review Vol 72 no

4 (September 1982) pp 873-874

6 Elton E J Gruber M J Das S and Hlavka M ldquoEfficiency with Costly

Information A Reinterpretation of Evidence from

Managed Portfoliosrdquo Review of Financial Studies

Vol 6 no 1 (1993) pp 1-22

7 Grossman S J and Stiglitz J E ldquoOn The Impossibility of Informationally

Efficient Marketsrdquo American Economic Review Vol

70 no 3 (June 1980) pp 393-408

8 Grossman S J and Stiglitz J E ldquoOn The Impossibility of Informationally

Efficient Markets Replyrdquo American Economic

Review Vol 72 no 4 (September 1982) pp 875

Page 194

9 HSBC Investment Bank-Egypt ldquoEgypt Equities Researchrdquo (20012002)

10 Malkiel B G ldquoReturns From Investing in Equity Mutual Funds 1971-1991rdquo

Journal of Finance Vol 50 (June 1995) pp 549-572

11 Ministry of Foreign Trade ldquo Monthly Economic Digestrdquo (May 2002)

12 Prime Funds ldquoAnnual Reviewrdquo (1997 1998 1999 2000 and 2001)

13 Prime Group ldquoBlue Book Guide to Egyptian Securitiesrdquo (1998 1999 2000 and

2001)

14 Sharpe W F ldquoCapital Asset Prices A Theory of Market Equilibrium Under

Conditions of Riskrdquo Journal of Finance Vol 19 no

3 (September 1964) pp 425-442

Electronic

1 Cairo and Alexandria Stock Exchanges ldquoCASE 50 Index Rulesrdquo [Online]

httpwwwegyptsecomcase50_ivasp

2 Egyptian Financial Group (EFG-Hermes) ldquoFundsrdquo (September 2002) [Online]

httpwwwefg-hermescomegdocsmarketfundsasp

3 Egyptian Financial Group (EFG-Hermes) ldquoFunds Reportsrdquo (July 2002)

[Online]

httpwwwefg-hermescomegdocsmarketfunds_reportsasp

Page 5

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 20002001 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

12 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

Page 6

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 20002001

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

Page 7

Chapter 2 Literature Review

21 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

bull A country with low or middle income using the World Bankrsquos

Classification

bull 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 (21) below depicts the results of the study

Page 8

Graph 21 Efficient Frontier with Emerging Markets

Source Odier Solnik and Zucchinetti ldquoGlobal Optimisation for Swiss Pension fundsrdquo 1995 in Solnik ldquoInvestmentsrdquo 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 115 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 investorrsquos 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

Page 9

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 countriesrsquo 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

Page 10

bull More diversified sources of external finance

bull Greater risk bearing by private investors through equity investment

compared to the case of bank lending in the 1970s

bull Reduced cost of capital

bull 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

bull Favourable interest and equity return differentials with industrial countries

bull Risk Diversification due to low correlation of stock returns in

developing countries with returns in industrial countries

bull The inefficiency of Emerging markets which makes returns predictable

bull 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

Page 11

protection inefficient country funds and limited number of internationally listed

securities

Williamson (1993) discusses the issue of better fund management under the private-

to-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 sellersrsquo 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 ldquoIndiscriminate Capital

Flowsrdquo 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

Page 12

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 Williamsonrsquos 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 countryrsquos market or

securities

Claessens (1993) also discusses the concept of marketsrsquo 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

Page 13

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 ldquoShifting Industrial

Structuresrdquo which suggests changes in risk sensitivities over time

Page 14

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 marketsrsquo returns

alter over time

Table (21) shows summary statistical data for 23 Developed and 15 Emerging

Markets over the period 1988-1997 on a monthly basis

Table 21 Summary Statistics for Emerging and Developed Markets

Page 15

Table 21 Continued

Source Stevenson S ldquoEmerging Markets Downside Risk and The Asset Allocation Decisionrdquo

The data is based on IFC indices for the Emerging markets and MSCI indices for the

Developed markets

Table 21 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 ndash0233 for Japan and 15037 for Netherlands and the Returns for

Emerging markets that vary between ndash07979 for Korea and 24731 for

Argentina

Page 16

Variance figures also show greater variation with Developed markets varying between

118745 for USA and 599113 for Hong Kong and developing markets varying

between 213601 for Jordan and 4490278 for Argentina

More interestingly when considering the degree of skewness and kurtosis most

Emerging marketsrsquo returns display significant results indicating non-normality in the

distribution of returns

For example Nigeria shows significant values of kurtosis and skewness of 31931 and

ndash34479 respectively compared to 04818 and ndash02368 for USA

The Jarque-Bera (JB) statistics show similar results confirming the departure of Risk-

Return 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 ndash

such as custody legal and accounting costs ndash 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

Page 17

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 ndash 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 22)

Page 18

Table 22 Correlations in Returns between Emerging and Developed Markets

Source Saunders and Walter ldquoAre Emerging Market Equities a Separate Asset Classrdquo 2002

They conclude that the traditional consideration of emerging marketsrsquo stocks as being

a separate asset class and therefore allocation of funds among countriesrsquo indices will

no longer be sufficient to generate diversification benefits

Instead they confirm Masterrsquos 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

Page 19

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

22 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)

ldquoThe literature is now so large that a full review is impossiblerdquo

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 ldquoRandom Walkrdquo that is stock returns tend to be

independent of past returns (Fama 1970)

The first impression of Kendallrsquos conclusion is that markets are irrational and tend to

act with no sense of direction

Page 20

Later research clarified that Kendallrsquos conclusion in fact reflects the rational nature

of the market

Fama (1970) defines an Efficient Market as one where information is ldquoFully

Reflectedrdquo 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 ldquoFully Reflectrdquo 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

bull Weak-form efficient where the prices reflect all available information

about past prices

bull Semi-strong-form efficient where the prices reflect all publicly

available information including earnings companiesrsquo performance

etc

bull 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 securitiesrsquo prices

follow a random walk and suggests that they tend to follow a ldquoSubmartingalerdquo

Page 21

That is instead of the restrictive assumption that securities prices and returns are

serially independent and identically distributed he assumes that prices follow a

ldquoRandom Walk with a Driftrdquo 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 ldquoBuy-and-Holdrdquo strategy

Subsequent research found relatively supporting evidence to Famarsquos 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 pricesrsquo returns show negative long-term serial correlations suggesting

that stock prices might overreact to relevant news in whatrsquos came to be known as the

ldquoFads Hypothesisrdquo (Bodie Kane and Marcus 2001)

Also Leroy (1989) challenged Famarsquos argument (1970) that when prices follow a

submartingale no strategy can outperform a ldquoBuy-and-Holdrdquo 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 ldquoBuy-and-Holdrdquo strategy

Page 22

Second that the Capital Asset Pricing Model (CAPM) implies that in equilibrium

asset returns will not necessarily follow a submartingale That is a stockrsquos returns

might negatively co-varies with the market strong enough that it would be included in

a risk averse investorrsquos 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

ldquoRisk Neutralityrdquo and that investors will rush to buysell 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 ldquoJoint Hypothesisrdquo 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

Page 23

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 ldquoParameter Uncertaintyrdquo 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 mean-

reversion process)

Something they comment which data generating process can predict before hands

Page 24

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 23 below shows the main results of the study

Table 23 Unconditional Distribution Statistics for the Egyptian Stock Exchange Daily Stock Returns

Page 25

Source Mecagni and Sourial ldquoThe Egyptian Stock Market Efficiency Tests and Volatility Effectsrdquo 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

Page 26

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

Page 27

Chapter 3 General Preview

31 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 19901991 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 951992 The law provided great momentum to the market and the

market capitalisation increased dramatically as the reform and privatisation

progressed

Table (31) provides main market indicators for the Egyptian Stock Market for the

period 1991 ndash June 2001

Page 28

Table 31 Main Market Indicators for the period 1991 ndash June 2001

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

From the table it can be seen that the market capitalisation increased form LE88

billion in 1991 to LE 1197 billion in 2000 and was slightly reduced to LE1103

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 (31) and (32) which correspond to lines 3 and 6 of Table (31) respectively

Page 29

Graph 31 Total Volume of Traded Securities Graph 32 Total Value Traded of Securities (Million) Jan 1991 ndash Jun 2001 (Million) Jan 1991 ndash June 2001

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

The Egyptian Stock Market is well regulated however therersquos 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 (32) below shows that as at 30 June 2001 8226 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 30

Table 32 Liquidity of the 30 Most Heavily Traded Stocks in Terms of Value Traded (Jan 2001 ndash 30 June 2001)

Source Cairo and Alexandria Stock Exchanges Statistical Highlights 2001

311 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 31

The Capital Market Law (Law 951992)

Replacing Law 1611957 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 932000)

This laws aims to provide the legal framework for the Central Depository in Egypt

The law identifies shareholdersrsquo 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 32

The law also introduced the legal recognition of the concept of ldquoNominee Tradingrdquo

and the Depositoryrsquos obligation to establish and control a ldquoGuarantee Fundrdquo which

ensures the settlement of trades on time to achieve smooth market operation

The Companies Law (Law 1591981)

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 2031991)

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 self-

run 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 governmentrsquos share of ownership in a company drops to less than

51 the regulation of the company passes from law 203 to law 159

Page 33

The Investment Law (Law 81997)

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

312 The Exchange

Egyptrsquos 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 34

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 951992) 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 35

313 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 36

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 LE300 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 ndash PIPO) (Prime Asset Management Index ndash PAMI)

and (Prime General Index ndash 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 Corporationrsquos Global and Investable indices

Page 37

(IFCG and IFCI) in 1996 Egypt was added to the Morgan Stanley index on a stand-

alone 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 028 212 and 014 respectively (CASEFB 2001)

314 Key Economic Sectors

Egyptrsquos 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 (33) below depicts the main economic indicators for Egypt for the period 1997

till 2000

Table 33 Main Economic Indicators 1997 - 2000

Source HSBC Investment Bank ndash Egypt ldquoTreasury and Capital Markets A Guide to Egyptrdquo 2001

Page 38

Table (33) shows GDP growth rate of 51 in 19992000 down from 61 in

19981999 due to the economic slowdown which was a reflection of the global

economic conditions

Egyptrsquos inflation rate has also declined from 38 in 19981999 to 28 in 19992000

with an average rate below 4 for the entire period from 1997 ndash 2000

Foreign Reserves have declined from US$ 203 billion in 19971998 to US$ 147

billion in 19992000 due to the governmentrsquos managed float foreign exchange policy

However the level of reserves remains healthy covering approximately 9 months of

imports

Exports increased by 42 in 19992000 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 39

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 statersquos 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 40

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

Egyptrsquos 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 governmentrsquos 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 55 million

arrivals and revenues which increased by 33 to US$ 47 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

109 This was in direct relation to an average growth in GDP of 5 per annum and

an average growth in construction industry of 25 per annum (HC 2001)

Page 41

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 (34) below shows the current market share of three of the largest cement

producers in Egypt as of 2001

Table 34 Market Share of the Three Largest Cement Producers in Egypt (2001)

Source HC Brokerage ldquoEgypt Equity Researchrdquo 2001

As a result capacity additions rose by 102 in 2000 and by 287 in 2001 This

increase in capacity coupled with the economic slowdown and stagnation in

construction industry in 20002001 resulted in supply exceeding demand for the first

time in 20012002 (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 42

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 25 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 43

while consumption is around 20 million tons with the surplus being exported

Approximately 79 of Egyptrsquos 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 Egyptrsquos 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)

315 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 44

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 LE 15 million However the more recently introduced Capital

Adequacy requirements mandate that new brokerage firms must have a minimum

Authorised Capital of LE 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)

316 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 45

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 LE 179 billion in June 2001 as compared to LE 1103

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 46

32 Market Performance

Market analysis for the period 1996 till 1st quarter 2000 is based on the analysis included in ldquoEFG-Hermes Country Report May 2000rdquo Additional analysis for the period 2nd quarter 2000 till 2001 is based on the analysis included in ldquoCairo and Alexandria Stock Exchanges Fact Book 2001rdquo Performance analysis is based on the performance of the Hermes Financial Index for the period 1996-2001

Despite the fact that the Capital Market Law (Law 951992) gave the regulatory

power to reform the Stock Market in Egypt it wasnrsquot until 1996 when ldquoNasr City for

Housing and Development Companyrdquo offered the first majority privatisation stake in

accordance with the aims and objectives of the Privatisation Law (Law 2031991)

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 33)

Graph 33 Overall Market Performance (1996 ndash 1998)

Source EFG-Hermes ldquoEgypt Country Reportrdquo 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 47

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 ldquoValue

Stocksrdquo to new-economy ldquoGrowth Stocksrdquo 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 34)

Graph 34 Private versus Public Sector Share Performance 1998

Source EFG-Hermes ldquoEgypt Country Reportrdquo 2000

In early 1999 the market started rising once again This was mainly attributed to the

initial public offering of ldquoMobinilrdquo the first in telecommunication sector which

marked the market shift towards more sophistication in trading decisions with

Mobinilrsquos share price ending 1999 with 660 increase

Page 48

In the mean time a liquidity squeeze became apparent amid concerns about the

governmentrsquos management of the economy and its commitment to the privatisation

programme This drove the market down for the most of 1999 (Graph 35)

Graph 35 Market Performance (1998-1999)

Source EFG-Hermes ldquoEgypt Country Reportrdquo 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 36)

Page 49

Graph 36 Market Performance (2000 ndash 2001)

0

2000

4000

6000

8000

10000

12000

14000

16000

020

120

00

020

220

00

020

320

00

020

420

00

020

520

00

020

620

00

020

720

00

020

820

00

020

920

00

021

020

00

021

120

00

021

220

00

020

120

01

020

220

01

020

320

01

020

420

01

020

520

01

020

620

01

020

720

01

020

820

01

020

920

01

021

020

01

021

120

01

021

220

01

HFI

Source REUTERS EFG-Hermes

The general downturn continued during the rest of 2000 and throughout 2001 with the

market being down by 596 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 50

Chapter 4 Market Efficiency

41 Methodology

411 Event studies

The approach adopted in testing for market efficiency within the Egyptian Stock

market is ldquoEvent Studiesrdquo 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 ldquoSemi-strong efficientrdquo 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 ldquoSemi-

strong inefficientrdquo market

The tests were conducted using an Ordinary Least Squares regression model (OLS) to

identify the stockrsquos Expected Normal Returns and hence any deviation of Actual

Returns from Expected returns in the form of Unexpected Abnormal Returns

Page 51

Mathematically the returns of a security can be represented by the following formula

ri = αi + βirM + ei (41)

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 irsquos abnormal returns

From equation (41) the abnormal returns of a security can be found be rewriting the

equation to be

ei = ri ndash (αi + βirM) (42)

Equation (42) 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

bull using Cumulative Abnormal Returns (CAR) to measure abnormal

returns surrounding the event examined instead of the Buy-and-Hold

Average Returns (BHAR) method

bull returns were measured over short horizons to provide better results

under the assumption of securities returns being normally distributed

Page 52

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)

412 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 41 shows the values of Standard Deviation Skewness and Kutosis for the

index returns for the periods 19961997 19981999 and 20002001

Page 53

Table 41 Key Statistics for the Hermes Financial Index 1996-2001

Date Index Value Change Index Returns Date Index Value Change Index Returns Date Index Value Change Index Returns 1996-19971 1998-1999 2000-2001 (Vt Vt-1) ln (Vt Vt-1) (Vt Vt-1) ln (Vt Vt-1) (Vt Vt-1) ln (Vt Vt-1)

10111996 867670 28121997 1226070 26121999 1215240 17111996 882871 1017519 174 04011998 1240540 1011802 117 02012000 1302750 1072010 695 24111996 945531 1070973 686 11011998 1222730 0985643 -145 09012000 1360710 1044491 435 01121996 996570 1053979 526 18011998 1206630 0986833 -133 16012000 1383930 1017065 169 08121996 1016080 1019577 194 25011998 1187560 0984196 -159 23012000 1457730 1053326 520 15121996 1039650 1023197 229 01021998 1161970 0978452 -218 30012000 1399530 0960075 -407 22121996 1024630 0985553 -146 08021998 1152100 0991506 -085 06022000 1378850 0985224 -149 29121996 1025110 1000468 005 15021998 1148570 0996936 -031 13022000 1408260 1021329 211 05011997 1131130 1103423 984 22021998 1154110 1004823 048 20022000 1369110 0972200 -282 12011997 1184190 1046909 458 01031998 1152270 0998406 -016 27022000 1249590 0912702 -913 19011997 1178430 0995136 -049 08031998 1171950 1017079 169 05032000 1263010 1010740 107 26011997 1258880 1068269 660 15031998 1177260 1004531 045 12032000 1278610 1012351 123 02021997 1357460 1078308 754 22031998 1188570 1009607 096 19032000 1262590 0987471 -126 09021997 1484800 1093808 897 29031998 1200260 1009835 098 26032000 1233620 0977055 -232 16021997 1531050 1031149 307 05041998 1197600 0997784 -022 02042000 1251400 1014413 143 23021997 1613500 1053852 525 12041998 1198900 1001086 011 09042000 1239300 0990331 -097 02031997 1556100 0964425 -362 19041998 1195490 0997156 -028 16042000 1198730 0967264 -333 09031997 1558050 1001253 013 26041998 1182420 0989067 -110 23042000 1083240 0903656 -1013 16031997 1552380 0996361 -036 03051998 1176960 0995382 -046 30042000 1119630 1033594 330 23031997 1468520 0945980 -555 10051998 1159590 0985242 -149 07052000 1105850 0987692 -124 30031997 1465020 0997617 -024 17051998 1129560 0974103 -262 14052000 1139120 1030085 296 06041997 1479870 1010136 101 24051998 1112340 0984755 -154 21052000 1170140 1027232 269 13041997 1486590 1004541 045 31051998 1073430 0965020 -356 28052000 1079810 0922804 -803 20041997 1476740 0993374 -066 07061998 1045480 0973962 -264 04062000 1084760 1004584 046

Page 54

27041997 1506070 1019861 197 14061998 1066480 1020086 199 11062000 1015120 0935801 -664 04051997 1464590 0972458 -279 21061998 1032170 0967829 -327 18062000 1001480 0986563 -135 11051997 1436900 0981094 -191 28061998 1030030 0997927 -021 25062000 916437 0915083 -887 18051997 1375190 0957053 -439 05071998 1002040 0972826 -276 02072000 899917 0981974 -182 25051997 1388860 1009940 099 12071998 982199 0980199 -200 09072000 939109 1043551 426 01061997 1322860 0952479 -487 19071998 970995 0988593 -115 16072000 925956 0985994 -141 08061997 1363670 1030850 304 26071998 995234 1024963 247 23072000 865117 0934296 -680 15061997 1347130 0987871 -122 02081998 1010220 1015058 149 30072000 817732 0945227 -563 22061997 1334000 0990253 -098 09081998 986274 0976296 -240 06082000 789054 0964930 -357 29061997 1311840 0983388 -168 16081998 966470 0979920 -203 13082000 756887 0959233 -416 06071997 1323390 1008804 088 23081998 934316 0966730 -338 20082000 834110 1102027 972 13071997 1309910 0989814 -102 30081998 901108 0964457 -362 27082000 832698 0998307 -017 20071997 1290000 0984800 -153 06091998 949019 1053169 518 03092000 816798 0980905 -193 27071997 1260250 0976938 -233 13091998 950397 1001452 015 10092000 845660 1035336 347 03081997 1262230 1001571 016 20091998 953342 1003099 031 17092000 811616 0959743 -411 10081997 1256470 0995437 -046 27091998 956663 1003484 035 24092000 777843 0958388 -425 17081997 1258060 1001265 013 04101998 958912 1002351 023 01102000 747666 0961204 -396 24081997 1303680 1036262 356 11101998 943251 0983668 -165 08102000 698780 0934615 -676 31081997 1353230 1038008 373 18101998 943963 1000755 008 15102000 607631 0869560 -1398 07091997 1366730 1009976 099 25101998 934640 0990124 -099 22102000 688893 1133736 1255 14091997 1396460 1021753 215 01111998 918468 0982697 -175 29102000 730437 1060305 586 21091997 1404870 1006022 060 08111998 913223 0994289 -057 05112000 747364 1023174 229 28091997 1399450 0996142 -039 15111998 917822 1005036 050 12112000 773445 1034897 343 05101997 1398330 0999200 -008 22111998 917160 0999279 -007 19112000 872700 1128328 1207 12101997 1387030 0991919 -081 29111998 906802 0988706 -114 26112000 799245 0915830 -879 19101997 1362190 0982091 -181 06121998 902621 0995389 -046 03122000 796977 0997162 -028 26101997 1364920 1002004 020 13121998 889094 0985014 -151 10122000 790233 0991538 -085 02111997 1348240 0987780 -123 20121998 902575 1015163 150 17122000 787365 0996371 -036 09111997 1333460 0989038 -110 27121998 906891 1004782 048 24122000 756623 0960956 -398 16111997 1299370 0974435 -259 03011999 914183 1008041 080 31122000 753795 0996262 -037

Page 55

23111997 1253930 0965029 -356 10011999 983873 1076232 735 07012001 757822 1005342 053 30111997 1260160 1004968 050 17011999 989959 1006186 062 14012001 752417 0992868 -072 07121997 1202660 0954371 -467 24011999 1016140 1026447 261 21012001 722711 0960519 -403 14121997 1218480 1013154 131 31011999 1105790 1088226 845 28012001 755868 1045879 449 21121997 1214730 0996922 -031 07021999 1094590 0989871 -102 04022001 769449 1017967 178 28121997 1226070 1009335 093 14021999 1053620 0962570 -381 11022001 747680 0971708 -287

21021999 1071770 1017226 171 18022001 716466 0958252 -426 28021999 1055100 0984446 -157 25022001 696200 0971714 -287 07031999 1039860 0985556 -145 04032001 672488 0965941 -347 14031999 1041200 1001289 013 11032001 687929 1022961 227 21031999 1027650 0986986 -131 18032001 634936 0922967 -802 28031999 1031360 1003610 036 25032001 616127 0970377 -301 04041999 1034930 1003461 035 01042001 591655 0960281 -405 11041999 1024940 0990347 -097 08042001 601771 1017098 170 18041999 1026450 1001473 015 15042001 629302 1045750 447 25041999 1038240 1011486 114 22042001 610423 0970000 -305 02051999 1014430 0977067 -232 29042001 617783 1012057 120 09051999 1027240 1012628 125 06052001 634110 1026428 261 16051999 1015400 0988474 -116 13052001 648901 1023326 231 23051999 1012050 0996701 -033 20052001 659723 1016677 165 30051999 986598 0974851 -255 27052001 665419 1008634 086 06061999 977053 0990325 -097 03062001 653740 0982449 -177 13061999 1007370 1031029 306 10062001 629223 0962497 -382 20061999 989166 0981929 -182 17062001 630035 1001290 013 27061999 1026150 1037389 367 24062001 613967 0974497 -258 04071999 995282 0969919 -305 01072001 596953 0972288 -281 11071999 995600 1000320 003 08072001 620332 1039164 384 18071999 1012170 1016643 165 15072001 609565 0982643 -175 25071999 981962 0970155 -303 22072001 554710 0910010 -943 01081999 971997 0989852 -102 29072001 550917 0993162 -069

Page 56

08081999 953229 0980691 -195 05082001 528555 0959409 -414 15081999 935049 0980928 -193 12082001 553572 1047331 462 22081999 944102 1009682 096 19082001 561918 1015077 150 29081999 935339 0990718 -093 26082001 564762 1005061 050 05091999 928650 0992849 -072 02092001 595784 1054929 535 12091999 923843 0994824 -052 09092001 642737 1078809 759 19091999 936583 1013790 137 16092001 626337 0974484 -258 26091999 963355 1028585 282 23092001 614817 0981607 -186 03101999 964466 1001153 012 30092001 561925 0913971 -900 10101999 1008430 1045584 446 07102001 544680 0969311 -312 17101999 1067340 1058418 568 14102001 554529 1018082 179 24101999 1019230 0954925 -461 21102001 579797 1045567 446 31101999 1038280 1018691 185 28102001 571335 0985405 -147 07111999 1047550 1008928 089 04112001 554861 0971166 -293 14111999 1071510 1022872 226 11112001 558192 1006003 060 21111999 1077140 1005254 052 18112001 533398 0955582 -454 28111999 1104220 1025141 248 25112001 508562 0953438 -477 05121999 1152250 1043497 426 02122001 519633 1021769 215 12121999 1338690 1161805 1500 09122001 516432 0993840 -062 19121999 1235780 0923126 -800 16122001 534209 1034423 338 26121999 1215240 0983379 -168 23122001 531180 0994330 -057 30122001 526241 0990702 -093 Std Dev 326 280 456 Skewness 080 181 011 Kurtosis 084 829 079 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 57

The table shows that Standard Deviation has decreased from 326 for the period

19961997 to 28 for the period 19981999 indicating a mild volatility during the

second period

Skewness and kurtosis coefficients have increased during the period 19981999

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 19981999 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) (43)

ri = ln (Pt Pt-1) (44)

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 andor

acquisition data were available for the period analysed (Note that the most actively

traded 30 securities accounted for 8226 of market liquidity as of June 2001 which

Page 58

makes the number of securities analysed a fair representation of the market under the

information constraint)

42 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 ldquoLarge Capitalisation-Valuerdquo stocks to avoid

anomalies associated with ldquoSmall Capitalisation-Growthrdquo stocks which are

characterised by the lack of accurate information and analysis and by infrequent

trading within the Egyptian market

Table 42 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 59

Table 42 Summary Statistics of Stocks Analysed

Company Beta Alpha Std Dev Of Rdm Std Error of Std Error of Correlation Coefficient of Coefficient of Error Term Beta Alpha Coefficient Determination Nondetermination Banking

Commercial International Bank (CIB) 145 -006 312 0062 0174 080 063 037 Egyptian American Bank (EAB) 118 -040 338 0065 0181 070 049 051 Misr International Bank (MIBANK) 127 -036 314 0062 0174 075 057 043 Cement Ameryah Cement 105 -043 358 0067 0187 064 041 059 Helwan Portland Cement 085 -056 326 0064 0178 060 035 065 Suez Cement 126 -020 271 0058 0162 080 063 037 Torah Portland Cement 107 -006 377 0068 0191 063 039 061 Food and Beverages Upper Egypt Flour Mills 087 -075 491 0078 0218 045 020 080 Housing Nasr City for Housing and Development 075 -115 444 0074 0208 043 018 082 Chemicals Abu Keir for Fertilisers 047 -094 389 0070 0194 033 011 089 Egyptian Financial and Industrial 086 -126 286 0060 0167 065 042 058 Paints and Chemical Industries 078 -071 410 0071 0200 047 022 078

Page 60

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

43 Findings

Appendix C provides the detailed calculations of Abnormal Returns for the securities

analysed around the announcement dates of the various events tested

431 Takeovers

Efficiency tests related to Acquisition events included the acquisition announcements

for two companies in the cement sector during 2001 namely the acquisition of

9469 of Helwan Portland Cement shares by the Arab Swiss Engineering Company

(ASEC) and 3465 of Suez Cement shares by Ciments Francais (Cairo and

Alexandria Stock Exchanges Monthly Bulletin May 2002)

Tables (43) and (44) and Graphs (41) and (42) show the following

Despite fluctuating around 040 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 61

Table 43 Average Abnormal Returns Takeovers Table 44 Cumulative Abnormal Returns Takeovers 2001 2001

Day Helwan Portland Suez Cement AAR ()

-18 055 018 036 -17 056 019 038 -16 057 022 039 -15 059 023 041 -14 059 018 038 -13 059 017 038 -12 055 016 036 -11 061 017 039 -10 059 020 040 -9 055 022 038 -8 053 022 037 -7 057 019 038 -6 057 019 038 -5 056 019 038 -4 056 023 039 -3 059 022 041 -2 061 020 041 -1 059 017 038 0 054 020 037 1 060 020 040 2 060 019 040 3 059 018 038 4 062 024 043 5 063 025 044 6 050 020 035 7 051 014 033 8 060 019 039 9 061 018 039

10 068 016 042 11 058 016 037 12 058 026 042 13 054 020 037 14 057 019 038 15 059 020 040 16 057 021 039 17 057 015 036 18 058 019 039 19 058 022 040 20 051 019 035 21 056 019 038

DayHelwan Portland Suez Cement Avg CAR

-18 112 038 075 -17 167 057 112 -16 225 079 152 -15 284 102 193 -14 343 120 231 -13 402 137 269 -12 457 153 305 -11 518 170 344 -10 577 190 384 -9 632 213 422 -8 685 234 460 -7 743 253 498 -6 800 272 536 -5 857 291 574 -4 913 314 613 -3 972 335 654 -2 1034 356 695 -1 1092 373 733 0 1146 393 769 1 1206 413 809 2 1266 432 849 3 1325 449 887 4 1387 474 931 5 1450 498 974 6 1500 519 1010 7 1552 533 1042 8 1611 551 1081 9 1672 569 1120

10 1740 585 1163 11 1799 602 1200 12 1856 627 1242 13 1910 648 1279 14 1967 666 1317 15 2026 687 1356 16 2084 708 1396 17 2141 723 1432 18 2199 742 1470 19 2257 764 1510 20 2308 783 1545 21 2364 802 1583

Page 62

Graph 41 Average Abnormal Returns surrounding Takeovers in 2001

Average Abnormal Returns Takeovers (2001)

000

005

010

015

020

025

030

035

040

045

050

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Graph 42 Cumulative Abnormal Returns surrounding Takeovers in 2001

Average Cumulative Abnormal Returns Takveovers (2001)

000

200

400

600

800

1000

1200

1400

1600

1800

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Slow Adjustment

Information Leakage

Page 63

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 securitiesrsquo prices to

their new fair values and therefore caused the increasing cumulative abnormal

returns after the announcement date

432 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 (45) (46) (47) and (48) and figure (41) 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 (050 in 2000

and 025 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 64

Table 45 Average Abnormal Returns Dividend Increase 2000 Day CIB EAB MIBANK Ameryah Egy FinampInd Abu Keir Fert AAR ()

-18 -139 042 035 046 126 096 034 -17 -344 043 038 043 125 096 000 -16 -403 040 034 040 124 094 -012 -15 192 037 036 044 128 095 089 -14 -277 040 037 047 126 096 011-13 -267 039 036 046 130 092 013 -12 134 040 035 043 126 094 079 -11 -060 038 034 044 125 095 046 -10 -448 040 036 046 128 097 -017 -9 -199 042 036 046 129 094 025 -8 426 041 031 044 126 092 127 -7 419 043 034 046 123 093 126 -6 328 040 036 032 127 095 110 -5 -388 037 036 044 126 096 -008 -4 -069 043 033 046 125 094 045 -3 014 039 035 041 131 093 059 -2 -128 041 037 045 125 095 036 -1 -017 040 037 041 125 094 054 0 -092 041 037 041 130 097 042 1 -105 039 034 042 130 098 040 2 172 043 034 043 122 097 085 3 248 042 036 041 124 096 098 4 333 037 037 041 122 094 111 5 156 043 035 041 128 094 083 6 -298 040 035 043 121 093 006 7 285 043 038 046 123 089 104 8 -024 042 033 045 120 092 052 9 225 031 039 045 122 085 091

10 -056 042 036 042 124 093 047 11 041 039 032 046 124 096 063 12 -240 038 037 045 122 095 016 13 -082 048 040 041 125 095 045 14 205 032 030 041 131 094 089 15 058 039 036 045 128 094 067 16 144 040 036 043 121 089 079 17 -358 039 036 044 126 090 -004 18 -010 041 036 046 126 100 057 19 307 039 041 043 125 099 109 20 -975 039 044 045 120 094 -105 21 -187 038 026 044 130 095 024

Page 65

Table 46 Average Abnormal Returns Dividend Increase 2001

Day CIB MIBANK Ameryah AAR ()

-18 009 034 042 029 -17 008 035 044 029 -16 006 035 047 029 -15 004 035 043 027 -14 002 034 049 029 -13 011 034 039 028 -12 009 040 041 030 -11 003 037 048 029 -10 008 036 047 030 -9 009 031 045 029 -8 010 033 040 027 -7 009 040 048 032 -6 003 038 041 027 -5 003 033 040 026 -4 007 039 040 029 -3 007 037 048 031 -2 003 039 044 029 -1 006 039 052 033 0 009 032 049 030 1 002 033 042 026 2 010 038 044 031 3 012 037 014 021 4 006 031 042 026 5 002 036 047 028 6 008 038 042 029 7 005 031 045 027 8 008 040 045 031 9 008 040 046 031

10 009 036 043 029 11 006 030 041 026 12 002 036 040 026 13 -003 029 041 022 14 006 040 044 030 15 002 039 044 028 16 007 035 043 028 17 010 032 041 028 18 005 032 043 026 19 003 037 042 027 20 008 035 046 030 21 008 034 045 029

Page 66

Table 47 Cumulative Abnormal Returns Dividend Increase 2000 Day CIB EAB MIBANK Ameryah Egy FinampInd Abu Keir Fert Avg CAR ()

-18 -271 083 070 086 249 191 068 -17 -614 126 108 129 374 287 068 -16 -1018 166 142 169 498 381 056 -15 -826 202 178 213 626 476 145 -14 -1103 242 215 260 752 572 156 -13 -1370 281 251 306 882 664 169 -12 -1235 321 286 348 1008 759 248 -11 -1296 359 321 392 1133 853 294 -10 -1744 399 357 439 1261 950 277 -9 -1943 441 393 485 1390 1045 302 -8 -1517 482 424 529 1516 1137 428 -7 -1098 525 458 575 1639 1230 555 -6 -770 564 494 607 1766 1326 665 -5 -1157 601 530 651 1892 1422 656 -4 -1227 645 563 697 2017 1515 702 -3 -1213 684 598 737 2148 1609 760 -2 -1341 725 634 782 2273 1703 796 -1 -1358 765 671 823 2398 1798 850 0 -1450 806 708 864 2529 1894 892 1 -1555 845 742 906 2659 1992 932 2 -1383 888 776 949 2781 2090 1017 3 -1135 929 811 990 2905 2185 1114 4 -802 966 848 1031 3028 2279 1225 5 -646 1009 883 1072 3156 2373 1308 6 -945 1049 918 1115 3277 2466 1313 7 -660 1092 956 1161 3400 2555 1417 8 -683 1134 990 1206 3521 2647 1469 9 -458 1165 1029 1251 3643 2732 1560

10 -514 1206 1065 1293 3766 2825 1607 11 -472 1245 1097 1339 3890 2921 1670 12 -712 1283 1134 1384 4012 3016 1686 13 -794 1331 1174 1426 4137 3111 1731 14 -589 1364 1203 1466 4267 3205 1819 15 -530 1403 1239 1512 4396 3299 1886 16 -386 1443 1275 1555 4516 3388 1965 17 -744 1482 1311 1599 4643 3478 1961 18 -754 1523 1347 1644 4769 3578 2018 19 -446 1562 1388 1688 4895 3676 2127 20 -1421 1601 1432 1732 5014 3770 2022 21 -1608 1639 1458 1777 5144 3866 2046

Page 67

Table 48 Cumulative Abnormal Returns Dividend Increase 2001

Day CIB MIBANK Ameryah Avg CAR ()

-18 017 066 082 055 -17 025 101 126 084 -16 031 136 174 114 -15 035 171 217 141 -14 037 205 266 169 -13 048 239 305 198 -12 058 279 347 228 -11 061 316 394 257 -10 069 352 441 287 -9 078 384 486 316 -8 087 416 526 343 -7 096 456 575 376 -6 099 494 616 403 -5 102 528 656 429 -4 109 567 696 457 -3 116 604 744 488 -2 119 644 789 517 -1 125 683 841 550 0 134 715 890 580 1 136 748 932 605 2 146 786 976 636 3 157 823 990 657 4 164 854 1033 683 5 165 890 1080 712 6 173 927 1121 741 7 178 958 1166 767 8 186 998 1211 798 9 194 1038 1257 830

10 203 1075 1299 859 11 209 1105 1340 885 12 211 1141 1380 911 13 208 1170 1421 933 14 213 1209 1465 963 15 215 1248 1509 991 16 222 1283 1552 1019 17 232 1315 1593 1047 18 236 1347 1636 1073 19 239 1384 1677 1100 20 247 1419 1724 1130 21 254 1453 1769 1159

Page 68

Figure 41 Abnormal Returns surrounding Dividend Increase (2000-2001)

Average Abnormal Returns Dividend Increase (2000)

-150

-100

-050

000

050

100

150

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Abnormal Returns Dividend Increase (2001)

000

005

010

015

020

025

030

035

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Cumulative Abnormal Returns Dividend Increase ( 2000)

000

500

1000

1500

2000

2500

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement date

AC

AR

()

Information Leakage

Slow Adjustment

Average Cumulative Abnormal Returns Dividend Increase (2001)

000

200

400

600

800

1000

1200

1400

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Page 70

433 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 (49) (410) (411) and (412) and figure (42) 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 (064 in 2000 and 0725 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 71

Table 49 Average Abnormal Returns Dividend Decrease 2000 Day Helwan Cement Torah Port Nasr City Paints amp Chem Upper Egypt F Mills AAR ()

-18 052 003 119 072 074 064-17 056 005 120 071 076 066-16 058 008 111 069 076 064-15 054 007 112 069 075 063-14 059 008 116 073 077 067-13 057 005 111 068 077 064-12 056 009 113 068 076 064-11 057 008 119 065 077 065-10 057 008 114 067 078 065-9 059 005 112 072 074 064-8 056 008 112 066 074 063-7 057 006 113 068 076 064-6 057 005 113 073 077 065-5 058 003 118 075 074 066-4 056 008 117 075 076 066-3 057 005 117 067 077 065-2 059 010 117 070 077 067-1 058 007 118 066 078 0660 060 007 116 069 069 0641 061 005 111 074 080 0662 047 005 112 071 076 0623 043 007 095 067 070 0564 058 -010 119 070 075 0635 055 006 120 070 077 0666 059 007 121 072 076 0677 059 005 118 068 052 0618 059 004 118 068 077 0659 051 008 117 073 072 064

10 055 010 118 071 076 06611 055 004 119 071 076 06512 057 005 120 068 073 06513 056 013 119 072 074 06714 054 010 119 078 076 06715 058 004 116 068 072 06416 058 007 118 069 074 06517 057 011 113 070 074 06518 055 008 113 069 071 06319 057 003 117 073 074 06520 057 001 112 072 077 06421 055 002 110 073 074 063

Page 72

Table 410 Average Abnormal Returns Dividend Decrease 2001 Day Torah Port Nasr City Suez Cement Egy FinampInd Abu Keir Fert AAR ()

-18 006 115 017 122 095 071 -17 008 115 021 125 094 072 -16 007 116 021 126 096 073 -15 010 113 019 126 096 073 -14 007 116 020 127 096 073 -13 002 115 021 122 095 071 -12 009 117 018 129 095 074 -11 005 112 020 126 094 072 -10 002 114 020 126 094 072 -9 007 117 022 126 095 073 -8 008 114 021 125 094 072 -7 007 116 021 128 095 074 -6 010 114 020 128 094 073 -5 006 115 019 127 094 072 -4 007 114 024 129 094 074 -3 005 113 023 125 095 072 -2 001 115 016 123 094 070 -1 009 114 021 130 094 073 0 005 116 021 127 095 073 1 004 115 016 125 093 071 2 012 114 019 124 095 073 3 008 114 019 131 095 074 4 008 114 021 128 095 073 5 009 117 019 126 095 073 6 004 115 021 122 083 069 7 003 116 020 122 093 071 8 002 115 019 130 093 072 9 006 114 021 125 095 072

10 -001 115 019 113 095 068 11 001 111 018 124 094 070 12 007 112 017 128 094 072 13 003 116 018 121 096 071 14 008 112 021 125 093 072 15 007 111 020 129 095 073 16 010 116 020 130 095 074 17 006 117 020 126 095 073 18 002 115 021 126 095 072 19 007 117 019 131 096 074 20 002 116 021 123 094 071 21 007 114 021 129 095 073

Page 73

Table 411 Cumulative Abnormal Returns Dividend Decrease 2000 Day Helwan Cement Torah Port Nasr City Paints amp Chem Upper Egypt F Mills Avg CAR ()

-18 108 009 233 143 147 128-17 164 013 353 214 223 194-16 223 021 464 283 299 258-15 276 028 576 351 374 321-14 336 037 692 425 451 388-13 392 042 804 493 528 452-12 449 051 917 561 603 516-11 506 058 1035 626 680 581-10 562 066 1150 693 759 646-9 621 071 1261 765 833 710-8 677 079 1373 831 907 773-7 734 085 1486 899 983 838-6 791 090 1599 972 1060 903-5 850 093 1717 1048 1134 968-4 906 101 1834 1123 1210 1035-3 963 105 1951 1190 1287 1099-2 1022 115 2068 1261 1364 1166-1 1081 122 2186 1327 1442 12320 1141 130 2303 1396 1510 12961 1202 135 2414 1470 1590 13622 1249 140 2526 1541 1666 14243 1292 147 2621 1608 1736 14814 1350 138 2740 1678 1812 15435 1405 143 2860 1748 1889 16096 1464 151 2981 1820 1965 16767 1523 156 3099 1888 2017 17378 1582 160 3217 1956 2094 18029 1634 168 3334 2029 2166 1866

10 1688 178 3452 2099 2242 193211 1743 181 3571 2170 2318 199712 1800 186 3691 2239 2391 206213 1856 200 3810 2311 2465 212814 1910 210 3929 2388 2541 219615 1968 214 4045 2456 2613 225916 2026 221 4163 2525 2687 232517 2083 232 4276 2595 2761 239018 2138 241 4389 2664 2833 245319 2195 244 4506 2737 2906 251820 2252 245 4619 2809 2984 258221 2307 247 4729 2883 3058 2645

Page 74

Table 412 Cumulative Abnormal Returns Dividend Decrease 2001 Day Torah Port Nasr City Suez Cement Egy FinampInd Abu Keir Fert Avg CAR ()

-18 012 229 037 254 190 144 -17 019 344 057 379 285 217 -16 026 460 078 505 380 290 -15 036 573 097 630 476 363 -14 044 689 117 757 572 436 -13 046 804 138 879 667 507 -12 055 921 155 1008 762 580 -11 060 1033 176 1134 856 652 -10 063 1147 196 1261 951 724 -9 069 1264 218 1387 1046 797 -8 077 1378 239 1512 1140 869 -7 085 1494 261 1641 1235 943 -6 094 1608 280 1769 1329 1016 -5 101 1723 299 1896 1423 1088 -4 107 1837 323 2025 1517 1162 -3 113 1950 346 2150 1612 1234 -2 114 2064 363 2273 1705 1304 -1 123 2179 384 2403 1799 1377 0 128 2295 405 2530 1894 1450 1 132 2411 421 2655 1987 1521 2 144 2525 440 2779 2082 1594 3 152 2639 459 2910 2177 1667 4 160 2753 481 3038 2272 1741 5 169 2870 500 3164 2367 1814 6 173 2986 520 3286 2450 1883 7 176 3102 541 3409 2544 1954 8 179 3217 560 3538 2637 2026 9 184 3330 580 3663 2732 2098

10 183 3445 599 3776 2827 2166 11 184 3556 617 3900 2922 2236 12 191 3668 634 4027 3016 2307 13 194 3784 652 4149 3111 2378 14 202 3896 672 4273 3205 2450 15 209 4008 692 4403 3300 2522 16 219 4124 712 4532 3396 2597 17 225 4241 732 4658 3490 2669 18 227 4355 753 4784 3585 2741 19 234 4472 771 4915 3681 2815 20 236 4588 792 5038 3774 2886 21 243 4703 813 5167 3869 2959

Page 75

Figure 42 Abnormal Returns surrounding Dividend Decrease (2000-2001)

Average Abnormal Returns Dividend Decrease (2000)

054

056

058

060

062

064

066

068

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Abnormal Returns Dividend Decrease (2001)

067

068

069

070

071

072

073

074

075

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Cumulative Abnormal Returns Dividend Decrease (2000)

000

500

1000

1500

2000

2500

3000

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Average Cumulative Abnormal Returns Dividend Decrease (2001)

000

500

1000

1500

2000

2500

3000

3500

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Page 76

44 Conclusion

From the above an overall conclusion can be drawn that the Egyptian stock market

showed a clear departure from the ldquoSemi-strong efficientrdquo market hypothesis in the

period 20002001 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 77

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 ldquoFree Handrdquo 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

51 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 78

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 ndash [arf + βp(arM - arf)]

(51)

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

Treynorrsquos 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 (52)

Hence it can be seen that the higher the value of Treynorrsquos 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 Treynorrsquos coefficient will be confined to evaluating funds

performance relative to the benchmark

Page 79

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 (53)

Where (arp - arf) is the average excess return and σp is the total volatility of the fund

Similar to Treynorrsquos coefficient the higher the value of the Sharpe ratio is the better

the performance of the fund will be However therersquos a fundamental difference

between Sharpe ratio and both Treynorrsquos coefficient and Jensenrsquos alpha in that in

Sharpersquos 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 Treynorrsquos or Jensenrsquos might

rank inferior under Sharpersquos due to high Unique Risk thatrsquos not accounted for by the

other two measures

However if a fund shows poor performance under both Jensenrsquos and Treynorrsquos it

should follow logically that it would also show poor performance under Sharpersquos

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 (54)

Page 80

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

52 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

53 Findings

Appendix D shows the detailed calculations of the different performance measures

Page 81

Table (51) and Graphs (51) and (52) 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 ndash562

for Fund No 2 to -1282 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 ndash739) 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 82

Table 51 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 -1405 -831 -474 -685 -950 -735 -666 -833 -323 Standard Deviation 3820 1379 1456 1359 1374 1333 1215 762 773 Std Dev Of Rndm Error Term 000 560 662 354 434 547 421 173 305 Beta 100 034 035 035 035 033 030 020 019 Jensen (Alpha) 000 -949 -562 -786 -1051 -880 -866 -1282 -780 Sharpe -060 -126 -094 -117 -135 -123 -129 -227 -158 Treynor -2305 -5099 -3899 -4571 -5339 -4994 -5155 -8863 -6369 Tracking Error 000 -169 -085 -222 -242 -161 -205 -739 -256

Page 84

Graph 51 Egyptian Mutual Funds Performance Evaluation Using the Ex Post Securities Market Line (1998-2001)

-2000

-1500

-1000

-500

000

500

1000

1500

000 020 040 060 080 100 120

βp

arp

Market Portfolio

Fund No 1

Fund No 2

Fund No 3

Fund No 4

Fund No 5

Fund No 6

Fund No 7

Fund No 8

Ex Post SML

Graph 52 Egyptian Mutual Funds Performance Evaluation Using the Ex Post Capital Market Line (1998-2001)

-2000

-1500

-1000

-500

000

500

1000

1500

000 500 1000 1500 2000 2500 3000 3500 4000 4500

σp

arp

Market Portfolio

Fund No 1

Fund No 2

Fund No 3

Fund No 4

Fund No 5

Fund No 6

Fund No 7

Fund No 8

Ex Post CML

Page 85

For Treynor (Reward-to-Volatility) and despite that the benchmark showed a

negative value of ndash2305 all funds showed greater negative values ranging from

ndash3899 for Fund No 2 to ndash8863 for Fund No 7

This can be seen from Graph (51) 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 ndash094 for Fund No 2 to ndash227 for Fund No 7

This can also be seen from Graph (52) 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

54 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 86

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 87

Chapter 6 Conclusions and Recommendations

61 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 20002001

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 88

62 Findings and Conclusions

621 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 maximumminimum 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 89

622 Mutual Funds Performance

CAPM based performance evaluation measures (Jensenrsquos 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 risk-

adjusted 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 90

63 Limitations

631 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 8226 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 91

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

632 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 92

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)

64 Recommendations

Based on the above findings a number of recommendations can be made These are

bull 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 andor the means to enact them in a

more effective manner should be considered

bull 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 93

bull 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

65 Suggestions for Further Research

The course of this study has outlined a number of areas that could be explored by

further research These include

bull the need to evaluate mutual funds performance more comprehensively

when more and sufficient data become available

bull 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 94

bull 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

bull 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 95

Appendix A

Current Listing Requirements

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

Page 96

Proposed Listing Requirements

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

Page 97

Appendix B

The calculations of the various risk measures for each security analysed were based

on the following

bull the benchmark used for measuring securitiesrsquo sensitivities against is the

Herms Financial Index (HFI)

bull 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

bull calculations were based on 104 weekly observations of index values

and securities prices starting from 2nd of January 1998 until 24th

December 1999

bull 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) (411)

ri = ln (Pt Pt-1) (412)

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 98

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 = [(T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX)] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2] (413)

Alpha = [sumsumsumsumYT] ndash [Beta (sumsumsumsumXT)] (414)

Standard Deviation of Random Error Term (Residual Volatility)

= [sumsumsumsumY2 ndash (Alpha sumsumsumsumY) ndash (Beta sumsumsumsumXY)] [T ndash 2]12 (415)

Standard Error of Beta

= Residual Volatility sumsumsumsumX2 ndash [(sumsumsumsumX)2 T]12 (416)

Standard Error of Alpha

= Residual Volatility T ndash [(sumsumsumsumX)2 sumsumsumsumX2]12 (417)

Correlation Coefficient

= (T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX) (418)

[(T sumsumsumsumY2) ndash (sumsumsumsumY)2] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2]12

Coefficient of Determination (R2)

= (Correlation Coefficient)2 (419)

Coefficient of Nondetermination

= 1 ndash Coefficient of Determination (4110)

The following are the detailed calculations of the various risk measures for the

securities analysed

Page 99

Commercial International Bank CIB

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5298 09011998 1222730 0985643 -145 5193 0980181 -200 209 401 289 16011998 1206630 0986833 -133 5170 0995571 -044 176 020 059 23011998 1187560 0984196 -159 5147 0995551 -045 254 020 071 30011998 1161970 0978452 -218 4748 0922479 -807 475 6511 1758 06021998 1152100 0991506 -085 4810 1013058 130 073 168 -111 13021998 1148570 0996936 -031 4581 0952391 -488 009 2379 150 20021998 1154110 1004823 048 4429 0966819 -337 023 1139 -162 27021998 1152270 0998406 -016 4395 0992323 -077 003 059 012 06031998 1171950 1017079 169 4487 1020933 207 287 429 351 13031998 1177260 1004531 045 4492 1001114 011 020 001 005 20031998 1188570 1009607 096 4678 1041407 406 091 1646 388 27031998 1200260 1009835 098 4735 1012185 121 096 147 119 03041998 1197600 0997784 -022 4840 1022175 219 005 481 -049 10041998 1198900 1001086 011 4793 0990289 -098 001 095 -011 17041998 1195490 0997156 -028 4814 1004381 044 008 019 -012 24041998 1182420 0989067 -110 4488 0932281 -701 121 4917 771 01051998 1176960 0995382 -046 4512 1005348 053 021 028 -025 08051998 1159590 0985242 -149 4117 0912456 -916 221 8393 1362 15051998 1129560 0974103 -262 3965 0963080 -376 688 1415 987 22051998 1112340 0984755 -154 4043 1019672 195 236 380 -299 29051998 1073430 0965020 -356 3984 0985407 -147 1268 216 523 05061998 1045480 0973962 -264 3946 0990462 -096 696 092 253 12061998 1066480 1020086 199 4040 1023822 235 396 554 468 19061998 1032170 0967829 -327 3815 0944307 -573 1069 3284 1874 26061998 1030030 0997927 -021 3903 1023067 228 004 520 -047 03071998 1002040 0972826 -276 3769 0965667 -349 759 1221 962 10071998 982199 0980199 -200 3740 0992306 -077 400 060 154 17071998 970995 0988593 -115 3749 1002406 024 132 006 -028 24071998 995234 1024963 247 3752 1000800 008 608 001 020 31071998 1010220 1015058 149 3729 0993870 -061 223 038 -092 07081998 986274 0976296 -240 3397 0910968 -932 575 8695 2237 14081998 966470 0979920 -203 3271 0962908 -378 411 1429 767 21081998 934316 0966730 -338 2978 0910425 -938 1145 8807 3175 28081998 901108 0964457 -362 2668 0895903 -1099 1310 12083 3978 04091998 949019 1053169 518 3026 1134183 1259 2684 15854 6523 11091998 950397 1001452 015 3201 1057832 562 002 3161 082 18091998 953342 1003099 031 3277 1023743 235 010 551 073 25091998 956663 1003484 035 3202 0977113 -232 012 536 -081 02101998 958912 1002351 023 3188 0995628 -044 006 019 -010 09101998 943251 0983668 -165 3049 0956399 -446 271 1987 734 16101998 943963 1000755 008 2887 0946868 -546 001 2981 -041 23101998 934640 0990124 -099 2891 1001386 014 099 002 -014

Page 100

30101998 918468 0982697 -175 2765 0956416 -446 305 1986 778 06111998 913223 0994289 -057 2872 1038698 380 033 1442 -217 13111998 917822 1005036 050 2823 0982939 -172 025 296 -086 20111998 917160 0999279 -007 2807 0994332 -057 001 032 004 27111998 906802 0988706 -114 2742 0976844 -234 129 549 266 04121998 902621 0995389 -046 2663 0971189 -292 021 855 135 11121998 889094 0985014 -151 2538 0953060 -481 228 2311 726 18121998 902575 1015163 150 2637 1039007 383 226 1464 576 25121998 906891 1004782 048 2608 0989003 -111 023 122 -053 01011999 914183 1008041 080 2698 1034509 339 064 1151 272 08011999 983873 1076232 735 3158 1170497 1574 5397 24784 11566 15011999 989959 1006186 062 3167 1002850 028 038 008 018 22011999 1016140 1026447 261 3257 1028418 280 681 785 731 29011999 1105790 1088226 845 3663 1124655 1175 7149 13801 9932 05021999 1094590 0989871 -102 3736 1019929 197 104 389 -201 12021999 1053620 0962570 -381 3717 0994914 -051 1455 026 195 19021999 1071770 1017226 171 3874 1042238 414 292 1712 707 26021999 1055100 0984446 -157 3736 0964378 -363 246 1316 569 05031999 1039860 0985556 -145 3502 0937366 -647 212 4184 941 12031999 1041200 1001289 013 3492 0997144 -029 002 008 -004 19031999 1027650 0986986 -131 3498 1001718 017 172 003 -022 26031999 1031360 1003610 036 3472 0992567 -075 013 056 -027 02041999 1034930 1003461 035 3520 1013825 137 012 189 047 09041999 1024940 0990347 -097 3480 0988636 -114 094 131 111 16041999 1026450 1001473 015 3543 1018103 179 002 322 026 23041999 1038240 1011486 114 3483 0983065 -171 130 292 -195 30041999 1014430 0977067 -232 3397 0975309 -250 538 625 580 07051999 1027240 1012628 125 3458 1017957 178 157 317 223 14051999 1015400 0988474 -116 3425 0990457 -096 134 092 111 21051999 1012050 0996701 -033 3322 0969927 -305 011 932 101 28051999 986598 0974851 -255 3179 0956954 -440 649 1936 1121 04061999 977053 0990325 -097 3074 0966971 -336 095 1128 327 11061999 1007370 1031029 306 3207 1043266 424 934 1794 1294 18061999 989166 0981929 -182 3155 0983785 -163 333 267 298 25061999 1026150 1037389 367 3135 0993661 -064 1347 040 -233 02071999 995282 0969919 -305 3079 0982137 -180 933 325 551 09071999 995600 1000320 003 3063 0994804 -052 000 027 -002 16071999 1012170 1016643 165 3083 1006530 065 272 042 107 23071999 981962 0970155 -303 3050 0989296 -108 918 116 326 30071999 971997 0989852 -102 3077 1008852 088 104 078 -090 06081999 953229 0980691 -195 3023 0982450 -177 380 313 345 13081999 935049 0980928 -193 2900 0959312 -415 371 1725 800 20081999 944102 1009682 096 3001 1034828 342 093 1172 330 27081999 935339 0990718 -093 2944 0981006 -192 087 368 179 03091999 928650 0992849 -072 2929 0994905 -051 052 026 037 10091999 923843 0994824 -052 2924 0998293 -017 027 003 009 17091999 936583 1013790 137 3071 1050274 491 188 2406 672 24091999 963355 1028585 282 3284 1069359 671 794 4497 1890 01101999 964466 1001153 012 3257 0991778 -083 001 068 -010 08101999 1008430 1045584 446 3662 1124348 1172 1987 13737 5224 15101999 1067340 1058418 568 4053 1106772 1014 3223 10292 5760

Page 101

22101999 1019230 0954925 -461 3643 0898840 -1066 2127 11374 4919 29101999 1038280 1018691 185 4123 1131760 1238 343 15320 2292 05111999 1047550 1008928 089 4100 0994422 -056 079 031 -050 12111999 1071510 1022872 226 4256 1038049 373 511 1394 844 19111999 1077140 1005254 052 4181 0982378 -178 027 316 -093 26111999 1104220 1025141 248 4357 1042095 412 617 1700 1024 03121999 1152250 1043497 426 4228 0970392 -301 1813 903 -1280 10121999 1338690 1161805 1500 5110 1208609 1895 22492 35899 28416 17121999 1235780 0923126 -800 4657 0911350 -928 6398 8617 7425 24121999 1215240 0983379 -168 4827 1036504 359 281 1285 -601 Sum -206 -931 80467 268123 116803 Beta 145 Alpha -006 Std Dev Of Rndm Error Term 312 Std Error of Beta 0062 Std Error of Alpha 0174 Correlation Coefficient 080 Coefficient of Determination 063 Coefficient of Nondetermination 037

Page 102

Egyptian American Bank

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8758 09011998 1222730 0985643 -145 8687 0991893 -081 209 066 118 16011998 1206630 0986833 -133 8226 0946932 -545 176 2973 723 23011998 1187560 0984196 -159 8172 0993435 -066 254 043 105 30011998 1161970 0978452 -218 7600 0930005 -726 475 5266 1581 06021998 1152100 0991506 -085 7837 1031184 307 073 943 -262 13021998 1148570 0996936 -031 7832 0999362 -006 009 000 002 20021998 1154110 1004823 048 7602 0970633 -298 023 888 -143 27021998 1152270 0998406 -016 7262 0955275 -458 003 2094 073 06031998 1171950 1017079 169 7629 1050537 493 287 2431 835 13031998 1177260 1004531 045 7657 1003670 037 020 013 017 20031998 1188570 1009607 096 7577 0989552 -105 091 110 -100 27031998 1200260 1009835 098 7707 1017157 170 096 289 166 03041998 1197600 0997784 -022 7738 1004022 040 005 016 -009 10041998 1198900 1001086 011 7793 1007108 071 001 050 008 17041998 1195490 0997156 -028 7580 0972668 -277 008 768 079 24041998 1182420 0989067 -110 7381 0973747 -266 121 708 292 01051998 1176960 0995382 -046 7249 0982116 -180 021 326 084 08051998 1159590 0985242 -149 6909 0953097 -480 221 2308 714 15051998 1129560 0974103 -262 6391 0925025 -779 688 6074 2045 22051998 1112340 0984755 -154 6352 0993898 -061 236 037 094 29051998 1073430 0965020 -356 6059 0953873 -472 1268 2230 1682 05061998 1045480 0973962 -264 5669 0935633 -665 696 4427 1755 12061998 1066480 1020086 199 5825 1027518 271 396 737 540 19061998 1032170 0967829 -327 5318 0912961 -911 1069 8292 2978 26061998 1030030 0997927 -021 5588 1050771 495 004 2453 -103 03071998 1002040 0972826 -276 5203 0931102 -714 759 5096 1967 10071998 982199 0980199 -200 4992 0959446 -414 400 1714 828 17071998 970995 0988593 -115 4802 0961939 -388 132 1506 445 24071998 995234 1024963 247 5012 1043732 428 608 1832 1055 31071998 1010220 1015058 149 5044 1006385 064 223 041 095 07081998 986274 0976296 -240 4756 0942902 -588 575 3457 1410 14081998 966470 0979920 -203 4594 0965938 -347 411 1201 703 21081998 934316 0966730 -338 4267 0928820 -738 1145 5452 2498 28081998 901108 0964457 -362 4157 0974221 -261 1310 682 945 04091998 949019 1053169 518 4729 1137599 1289 2684 16620 6679 11091998 950397 1001452 015 4734 1001057 011 002 001 002 18091998 953342 1003099 031 5211 1100760 960 010 9216 297 25091998 956663 1003484 035 5167 0991556 -085 012 072 -029 02101998 958912 1002351 023 5554 1074898 722 006 5217 170 09101998 943251 0983668 -165 5232 0942024 -597 271 3567 983 16101998 943963 1000755 008 5072 0969419 -311 001 965 -023 23101998 934640 0990124 -099 5344 1053628 522 099 2729 -519

Page 103

30101998 918468 0982697 -175 5273 0986714 -134 305 179 233 06111998 913223 0994289 -057 5201 0986346 -137 033 189 079 13111998 917822 1005036 050 5157 0991540 -085 025 072 -043 20111998 917160 0999279 -007 5163 1001163 012 001 001 -001 27111998 906802 0988706 -114 4696 0909549 -948 129 8988 1077 04121998 902621 0995389 -046 4659 0992121 -079 021 063 037 11121998 889094 0985014 -151 4811 1032625 321 228 1031 -485 18121998 902575 1015163 150 4810 0999792 -002 226 000 -003 25121998 906891 1004782 048 4724 0982121 -180 023 325 -086 01011999 914183 1008041 080 4896 1036410 358 064 1279 286 08011999 983873 1076232 735 5416 1106209 1009 5397 10189 7416 15011999 989959 1006186 062 5600 1033973 334 038 1116 206 22011999 1016140 1026447 261 5725 1022321 221 681 487 576 29011999 1105790 1088226 845 6017 1051004 497 7149 2475 4206 05021999 1094590 0989871 -102 5639 0937178 -649 104 4210 661 12021999 1053620 0962570 -381 5360 0950523 -507 1455 2575 1936 19021999 1071770 1017226 171 5354 0998881 -011 292 001 -019 26021999 1055100 0984446 -157 5263 0983003 -171 246 294 269 05031999 1039860 0985556 -145 5198 0987650 -124 212 154 181 12031999 1041200 1001289 013 4865 0935937 -662 002 4383 -085 19031999 1027650 0986986 -131 4716 0969373 -311 172 968 407 26031999 1031360 1003610 036 4851 1028626 282 013 797 102 02041999 1034930 1003461 035 4904 1010926 109 012 118 038 09041999 1024940 0990347 -097 5023 1024266 240 094 575 -233 16041999 1026450 1001473 015 5093 1013936 138 002 192 020 23041999 1038240 1011486 114 5046 0990772 -093 130 086 -106 30041999 1014430 0977067 -232 4872 0965517 -351 538 1231 814 07051999 1027240 1012628 125 4700 0964696 -359 157 1292 -451 14051999 1015400 0988474 -116 4896 1041702 409 134 1669 -474 21051999 1012050 0996701 -033 4891 0998979 -010 011 001 003 28051999 986598 0974851 -255 4709 0962789 -379 649 1438 966 04061999 977053 0990325 -097 4618 0980675 -195 095 381 190 11061999 1007370 1031029 306 4655 1008012 080 934 064 244 18061999 989166 0981929 -182 4600 0988185 -119 333 141 217 25061999 1026150 1037389 367 4518 0982174 -180 1347 324 -660 02071999 995282 0969919 -305 4497 0995352 -047 933 022 142 09071999 995600 1000320 003 4552 1012230 122 000 148 004 16071999 1012170 1016643 165 4535 0996265 -037 272 014 -062 23071999 981962 0970155 -303 4231 0932966 -694 918 4815 2102 30071999 971997 0989852 -102 4481 1059088 574 104 3296 -586 06081999 953229 0980691 -195 4253 0949119 -522 380 2727 1018 13081999 935049 0980928 -193 4405 1035739 351 371 1233 -676 20081999 944102 1009682 096 4423 1004086 041 093 017 039 27081999 935339 0990718 -093 4461 1008591 086 087 073 -080 03091999 928650 0992849 -072 4429 0992827 -072 052 052 052 10091999 923843 0994824 -052 4428 0999774 -002 027 000 001 17091999 936583 1013790 137 4611 1041328 405 188 1640 555 24091999 963355 1028585 282 4706 1020603 204 794 416 575 01101999 964466 1001153 012 4699 0998513 -015 001 002 -002 08101999 1008430 1045584 446 4903 1043413 425 1987 1806 1894 15101999 1067340 1058418 568 5191 1058740 571 3223 3258 3241

Page 104

22101999 1019230 0954925 -461 5130 0988249 -118 2127 140 545 29101999 1038280 1018691 185 5257 1024756 245 343 598 453 05111999 1047550 1008928 089 5302 1008560 085 079 073 076 12111999 1071510 1022872 226 5506 1038476 378 511 1425 854 19111999 1077140 1005254 052 5638 1023974 237 027 561 124 26111999 1104220 1025141 248 5487 0973217 -271 617 737 -674 03121999 1152250 1043497 426 5650 1029707 293 1813 857 1246 10121999 1338690 1161805 1500 6555 1160177 1486 22492 22074 22282 17121999 1235780 0923126 -800 5479 0835850 -1793 6398 32150 14343 24121999 1215240 0983379 -168 5680 1036686 360 281 1298 -604 Sum -206 -4330 80467 229628 95158 Beta 118 Alpha -040 Std Dev Of Rndm Error Term 338 Std Error of Beta 0065 Std Error of Alpha 0181 Correlation Coefficient 070 Coefficient of Determination 049 Coefficient of Nondetermination 051

Page 105

Misr International Bank MIBANK

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8144 09011998 1222730 0985643 -145 8192 1005894 059 209 035 -085 16011998 1206630 0986833 -133 8160 0996094 -039 176 015 052 23011998 1187560 0984196 -159 8098 0992451 -076 254 057 121 30011998 1161970 0978452 -218 7510 0927294 -755 475 5698 1644 06021998 1152100 0991506 -085 7295 0971450 -290 073 839 247 13021998 1148570 0996936 -031 7266 0996052 -040 009 016 012 20021998 1154110 1004823 048 6954 0957063 -439 023 1926 -211 27021998 1152270 0998406 -016 7089 1019326 191 003 366 -031 06031998 1171950 1017079 169 7269 1025392 251 287 629 425 13031998 1177260 1004531 045 7412 1019701 195 020 381 088 20031998 1188570 1009607 096 7509 1013060 130 091 168 124 27031998 1200260 1009835 098 7518 1001278 013 096 002 013 03041998 1197600 0997784 -022 7488 0995957 -041 005 016 009 10041998 1198900 1001086 011 7290 0973611 -267 001 715 -029 17041998 1195490 0997156 -028 7290 0999890 -001 008 000 000 24041998 1182420 0989067 -110 7189 0986172 -139 121 194 153 01051998 1176960 0995382 -046 7018 0976296 -240 021 575 111 08051998 1159590 0985242 -149 7055 1005243 052 221 027 -078 15051998 1129560 0974103 -262 6667 0945005 -566 688 3200 1484 22051998 1112340 0984755 -154 6737 1010439 104 236 108 -160 29051998 1073430 0965020 -356 6599 0979575 -206 1268 426 735 05061998 1045480 0973962 -264 6499 0984847 -153 696 233 403 12061998 1066480 1020086 199 6568 1010586 105 396 111 209 19061998 1032170 0967829 -327 6309 0960536 -403 1069 1621 1317 26061998 1030030 0997927 -021 6514 1032463 319 004 1021 -066 03071998 1002040 0972826 -276 6399 0982437 -177 759 314 488 10071998 982199 0980199 -200 6400 1000125 001 400 000 -003 17071998 970995 0988593 -115 6265 0978875 -214 132 456 245 24071998 995234 1024963 247 6454 1030264 298 608 889 735 31071998 1010220 1015058 149 6398 0991200 -088 223 078 -132 07081998 986274 0976296 -240 6122 0956859 -441 575 1945 1058 14081998 966470 0979920 -203 5966 0974647 -257 411 659 521 21081998 934316 0966730 -338 5863 0982703 -174 1145 304 590 28081998 901108 0964457 -362 5337 0910220 -941 1310 8849 3404 04091998 949019 1053169 518 5714 1070604 682 2684 4654 3534 11091998 950397 1001452 015 5832 1020722 205 002 421 030 18091998 953342 1003099 031 5818 0997531 -025 010 006 -008 25091998 956663 1003484 035 5775 0992712 -073 012 054 -025 02101998 958912 1002351 023 5759 0997230 -028 006 008 -007 09101998 943251 0983668 -165 5699 0989582 -105 271 110 172 16101998 943963 1000755 008 5687 0997894 -021 001 004 -002 23101998 934640 0990124 -099 5688 1000141 001 099 000 -001

Page 106

30101998 918468 0982697 -175 5290 0930098 -725 305 5251 1265 06111998 913223 0994289 -057 5203 0983517 -166 033 276 095 13111998 917822 1005036 050 5273 1013376 133 025 177 067 20111998 917160 0999279 -007 5192 0984676 -154 001 238 011 27111998 906802 0988706 -114 4970 0957165 -438 129 1917 497 04121998 902621 0995389 -046 4986 1003381 034 021 011 -016 11121998 889094 0985014 -151 5023 1007380 074 228 054 -111 18121998 902575 1015163 150 5288 1052715 514 226 2639 773 25121998 906891 1004782 048 5147 0973374 -270 023 728 -129 01011999 914183 1008041 080 5290 1027666 273 064 745 219 08011999 983873 1076232 735 6134 1159710 1482 5397 21954 10885 15011999 989959 1006186 062 6274 1022692 224 038 503 138 22011999 1016140 1026447 261 6548 1043739 428 681 1833 1117 29011999 1105790 1088226 845 7800 1191203 1750 7149 30612 14793 05021999 1094590 0989871 -102 8082 1036205 356 104 1265 -362 12021999 1053620 0962570 -381 6850 0847570 -1654 1455 27351 6309 19021999 1071770 1017226 171 7518 1097513 930 292 8658 1589 26021999 1055100 0984446 -157 7440 0989572 -105 246 110 164 05031999 1039860 0985556 -145 6931 0931613 -708 212 5018 1031 12031999 1041200 1001289 013 7196 1038204 375 002 1406 048 19031999 1027650 0986986 -131 7160 0994997 -050 172 025 066 26031999 1031360 1003610 036 7028 0981564 -186 013 346 -067 02041999 1034930 1003461 035 7114 1012180 121 012 147 042 09041999 1024940 0990347 -097 6950 0976946 -233 094 544 226 16041999 1026450 1001473 015 6654 0957408 -435 002 1895 -064 23041999 1038240 1011486 114 6683 1004449 044 130 020 051 30041999 1014430 0977067 -232 6389 0955949 -451 538 2030 1045 07051999 1027240 1012628 125 6351 0994115 -059 157 035 -074 14051999 1015400 0988474 -116 6366 1002393 024 134 006 -028 21051999 1012050 0996701 -033 6245 0980900 -193 011 372 064 28051999 986598 0974851 -255 6060 0970407 -300 649 902 765 04061999 977053 0990325 -097 5868 0968317 -322 095 1037 313 11061999 1007370 1031029 306 6034 1028221 278 934 775 850 18061999 989166 0981929 -182 5860 0971228 -292 333 852 532 25061999 1026150 1037389 367 5683 0969829 -306 1347 939 -1125 02071999 995282 0969919 -305 5428 0955096 -459 933 2111 1403 09071999 995600 1000320 003 5444 1002948 029 000 009 001 16071999 1012170 1016643 165 5430 0997355 -026 272 007 -044 23071999 981962 0970155 -303 5494 1011935 119 918 141 -359 30071999 971997 0989852 -102 5121 0932003 -704 104 4959 718 06081999 953229 0980691 -195 5026 0981409 -188 380 352 366 13081999 935049 0980928 -193 4848 0964661 -360 371 1294 693 20081999 944102 1009682 096 4853 1000990 010 093 001 010 27081999 935339 0990718 -093 4714 0971480 -289 087 837 270 03091999 928650 0992849 -072 4716 1000339 003 052 000 -002 10091999 923843 0994824 -052 4538 0962341 -384 027 1474 199 17091999 936583 1013790 137 4640 1022387 221 188 490 303 24091999 963355 1028585 282 4789 1032069 316 794 996 890 01101999 964466 1001153 012 4726 0986803 -133 001 176 -015 08101999 1008430 1045584 446 5332 1128322 1207 1987 14576 5382 15101999 1067340 1058418 568 5929 1111928 1061 3223 11256 6024

Page 107

22101999 1019230 0954925 -461 5517 0930509 -720 2127 5187 3322 29101999 1038280 1018691 185 5853 1060905 591 343 3495 1095 05111999 1047550 1008928 089 5904 1008748 087 079 076 077 12111999 1071510 1022872 226 5775 0978184 -221 511 487 -499 19111999 1077140 1005254 052 5759 0997230 -028 027 008 -015 26111999 1104220 1025141 248 5605 0973191 -272 617 738 -675 03121999 1152250 1043497 426 5650 1008136 081 1813 066 345 10121999 1338690 1161805 1500 6254 1106754 1014 22492 10288 15212 17121999 1235780 0923126 -800 5560 0889088 -1176 6398 13820 9403 24121999 1215240 0983379 -168 5503 0989784 -103 281 105 172 Sum -206 -3920 80467 230750 102346 Beta 127 Alpha -036 Std Dev Of Rndm Error Term 314 Std Error of Beta 0062 Std Error of Alpha 0174 Correlation Coefficient 075 Coefficient of Determination 057 Coefficient of Nondetermination 043

Page 108

Ameryah Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1)

02011998 1240540 7942 09011998 1222730 0985643 -145 7630 0960715 -401 209 1606 580 16011998 1206630 0986833 -133 7402 0970118 -303 176 920 402 23011998 1187560 0984196 -159 7427 1003377 034 254 011 -054 30011998 1161970 0978452 -218 7342 0988555 -115 475 132 251 06021998 1152100 0991506 -085 7184 0978480 -218 073 473 186 13021998 1148570 0996936 -031 7221 1005150 051 009 026 -016 20021998 1154110 1004823 048 7154 0990722 -093 023 087 -045 27021998 1152270 0998406 -016 7102 0992731 -073 003 053 012 06031998 1171950 1017079 169 7195 1013095 130 287 169 220 13031998 1177260 1004531 045 7099 0986657 -134 020 180 -061 20031998 1188570 1009607 096 7033 0990703 -093 091 087 -089 27031998 1200260 1009835 098 7053 1002844 028 096 008 028 03041998 1197600 0997784 -022 6796 0963562 -371 005 1378 082 10041998 1198900 1001086 011 6980 1027075 267 001 714 029 17041998 1195490 0997156 -028 6800 0974212 -261 008 683 074 24041998 1182420 0989067 -110 6772 0995882 -041 121 017 045 01051998 1176960 0995382 -046 6603 0975044 -253 021 639 117 08051998 1159590 0985242 -149 6644 1006209 062 221 038 -092 15051998 1129560 0974103 -262 6036 0908489 -960 688 9211 2518 22051998 1112340 0984755 -154 5908 0978794 -214 236 459 329 29051998 1073430 0965020 -356 5899 0998477 -015 1268 002 054 05061998 1045480 0973962 -264 5903 1000678 007 696 000 -018 12061998 1066480 1020086 199 6341 1074200 716 396 5123 1423 19061998 1032170 0967829 -327 5661 0892761 -1134 1069 12868 3709 26061998 1030030 0997927 -021 5875 1037803 371 004 1377 -077 03071998 1002040 0972826 -276 5707 0971404 -290 759 842 799 10071998 982199 0980199 -200 5640 0988260 -118 400 139 236 17071998 970995 0988593 -115 5441 0964716 -359 132 1290 412 24071998 995234 1024963 247 5734 1053850 525 608 2751 1293 31071998 1010220 1015058 149 5517 0962156 -386 223 1488 -577 07081998 986274 0976296 -240 5370 0973355 -270 575 729 648 14081998 966470 0979920 -203 5365 0999069 -009 411 001 019 21081998 934316 0966730 -338 5148 0959553 -413 1145 1705 1397 28081998 901108 0964457 -362 5057 0982323 -178 1310 318 645 04091998 949019 1053169 518 5693 1125766 1185 2684 14034 6137 11091998 950397 1001452 015 5622 0987529 -125 002 157 -018 18091998 953342 1003099 031 5844 1039488 387 010 1500 120 25091998 956663 1003484 035 5819 0995722 -043 012 018 -015 02101998 958912 1002351 023 5757 0989345 -107 006 115 -025 09101998 943251 0983668 -165 5709 0991662 -084 271 070 138 16101998 943963 1000755 008 5062 0886670 -1203 001 14468 -091 23101998 934640 0990124 -099 5109 1009285 092 099 085 -092

Page 109

30101998 918468 0982697 -175 5045 0987473 -126 305 159 220 06111998 913223 0994289 -057 5066 1004163 042 033 017 -024 13111998 917822 1005036 050 5141 1014805 147 025 216 074 20111998 917160 0999279 -007 5079 0987940 -121 001 147 009 27111998 906802 0988706 -114 5038 0991928 -081 129 066 092 04121998 902621 0995389 -046 5093 1010917 109 021 118 -050 11121998 889094 0985014 -151 5084 0998233 -018 228 003 027 18121998 902575 1015163 150 5088 1000787 008 226 001 012 25121998 906891 1004782 048 5069 0996266 -037 023 014 -018 01011999 914183 1008041 080 5095 1005129 051 064 026 041 08011999 983873 1076232 735 5674 1113641 1076 5397 11585 7907 15011999 989959 1006186 062 6026 1062037 602 038 3623 371 22011999 1016140 1026447 261 6488 1076668 739 681 5457 1928 29011999 1105790 1088226 845 7109 1095715 914 7149 8355 7728 05021999 1094590 0989871 -102 6429 0904347 -1005 104 10109 1024 12021999 1053620 0962570 -381 6441 1001867 019 1455 003 -071 19021999 1071770 1017226 171 6268 0973141 -272 292 741 -465 26021999 1055100 0984446 -157 6180 0985960 -141 246 200 222 05031999 1039860 0985556 -145 5756 0931392 -711 212 5052 1034 12031999 1041200 1001289 013 5791 1006081 061 002 037 008 19031999 1027650 0986986 -131 5533 0955448 -456 172 2077 597 26031999 1031360 1003610 036 5719 1033616 331 013 1093 119 02041999 1034930 1003461 035 5928 1036545 359 012 1288 124 09041999 1024940 0990347 -097 6142 1036100 355 094 1258 -344 16041999 1026450 1001473 015 5845 0951644 -496 002 2457 -073 23041999 1038240 1011486 114 5749 0983576 -166 130 274 -189 30041999 1014430 0977067 -232 5767 1003131 031 538 010 -073 07051999 1027240 1012628 125 5558 0963759 -369 157 1363 -463 14051999 1015400 0988474 -116 5698 1025189 249 134 619 -288 21051999 1012050 0996701 -033 5666 0994384 -056 011 032 019 28051999 986598 0974851 -255 5494 0969643 -308 649 950 785 04061999 977053 0990325 -097 5384 0979978 -202 095 409 197 11061999 1007370 1031029 306 5271 0979012 -212 934 450 -648 18061999 989166 0981929 -182 5423 1028837 284 333 808 -518 25061999 1026150 1037389 367 5553 1023972 237 1347 561 870 02071999 995282 0969919 -305 5490 0988655 -114 933 130 348 09071999 995600 1000320 003 5222 0951184 -500 000 2505 -016 16071999 1012170 1016643 165 5090 0974722 -256 272 655 -423 23071999 981962 0970155 -303 4992 0980747 -194 918 378 589 30071999 971997 0989852 -102 4900 0981571 -186 104 346 190 06081999 953229 0980691 -195 4528 0924082 -790 380 6234 1539 13081999 935049 0980928 -193 4505 0994920 -051 371 026 098 20081999 944102 1009682 096 4628 1027303 269 093 726 260 27081999 935339 0990718 -093 4611 0996327 -037 087 014 034 03091999 928650 0992849 -072 4556 0988072 -120 052 144 086 10091999 923843 0994824 -052 4651 1020852 206 027 426 -107 17091999 936583 1013790 137 4450 0956783 -442 188 1952 -605 24091999 963355 1028585 282 4477 1006067 060 794 037 170 01101999 964466 1001153 012 4451 0994193 -058 001 034 -007 08101999 1008430 1045584 446 4708 1057740 561 1987 3151 2502 15101999 1067340 1058418 568 5075 1077952 751 3223 5635 4262

Page 110

22101999 1019230 0954925 -461 4646 0915468 -883 2127 7800 4074 29101999 1038280 1018691 185 4762 1024968 247 343 608 457 05111999 1047550 1008928 089 4486 0942041 -597 079 3565 -531 12111999 1071510 1022872 226 4825 1075568 728 511 5307 1647 19111999 1077140 1005254 052 4741 0982591 -176 027 308 -092 26111999 1104220 1025141 248 4814 1015398 153 617 233 379 03121999 1152250 1043497 426 4750 0986705 -134 1813 179 -570 10121999 1338690 1161805 1500 5374 1131368 1234 22492 15234 18511 17121999 1235780 0923126 -800 4618 0859323 -1516 6398 22986 12127 24121999 1215240 0983379 -168 4993 1081204 781 281 6096 -1309

Sum -206 -4641 80467 220262 84434 Beta 105 Alpha -043 Std Dev Of Rndm Error Term 358 Std Error of Beta 0067 Std Error of Alpha 0187 Correlation Coefficient 064 Coefficient of Determination 041 Coefficient of Nondetermination 059

Page 111

Helwan Portland

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 6794 09011998 1222730 0985643 -145 6738 0991757 -083 209 069 120 16011998 1206630 0986833 -133 6678 0991095 -089 176 080 119 23011998 1187560 0984196 -159 6700 1003294 033 254 011 -052 30011998 1161970 0978452 -218 6736 1005373 054 475 029 -117 06021998 1152100 0991506 -085 6599 0979662 -205 073 422 175 13021998 1148570 0996936 -031 6663 1009698 097 009 093 -030 20021998 1154110 1004823 048 6605 0991295 -087 023 076 -042 27021998 1152270 0998406 -016 6625 1003028 030 003 009 -005 06031998 1171950 1017079 169 6795 1025660 253 287 642 429 13031998 1177260 1004531 045 7038 1035762 351 020 1235 159 20031998 1188570 1009607 096 7142 1014777 147 091 215 140 27031998 1200260 1009835 098 7289 1020582 204 096 415 199 03041998 1197600 0997784 -022 7191 0986555 -135 005 183 030 10041998 1198900 1001086 011 7298 1014880 148 001 218 016 17041998 1195490 0997156 -028 7326 1003837 038 008 015 -011 24041998 1182420 0989067 -110 7283 0994130 -059 121 035 065 01051998 1176960 0995382 -046 7338 1007552 075 021 057 -035 08051998 1159590 0985242 -149 7244 0987190 -129 221 166 192 15051998 1129560 0974103 -262 7136 0985091 -150 688 226 394 22051998 1112340 0984755 -154 7084 0992713 -073 236 053 112 29051998 1073430 0965020 -356 5748 0811406 -2090 1268 43675 7441 05061998 1045480 0973962 -264 5690 0989910 -101 696 103 268 12061998 1066480 1020086 199 5691 1000176 002 396 000 003 19061998 1032170 0967829 -327 5310 0933052 -693 1069 4802 2266 26061998 1030030 0997927 -021 5128 0965725 -349 004 1216 072 03071998 1002040 0972826 -276 5076 0989860 -102 759 104 281 10071998 982199 0980199 -200 5064 0997636 -024 400 006 047 17071998 970995 0988593 -115 4900 0967615 -329 132 1084 378 24071998 995234 1024963 247 5232 1067755 656 608 4298 1616 31071998 1010220 1015058 149 5317 1016246 161 223 260 241 07081998 986274 0976296 -240 5163 0971036 -294 575 864 705 14081998 966470 0979920 -203 5010 0970366 -301 411 905 610 21081998 934316 0966730 -338 4911 0980240 -200 1145 398 675 28081998 901108 0964457 -362 4880 0993688 -063 1310 040 229 04091998 949019 1053169 518 5239 1073566 710 2684 5039 3677 11091998 950397 1001452 015 5258 1003627 036 002 013 005 18091998 953342 1003099 031 5202 0989350 -107 010 115 -033 25091998 956663 1003484 035 5194 0998462 -015 012 002 -005 02101998 958912 1002351 023 5095 0980940 -192 006 370 -045 09101998 943251 0983668 -165 4961 0973700 -267 271 710 439 16101998 943963 1000755 008 5001 1008063 080 001 064 006 23101998 934640 0990124 -099 5006 1001000 010 099 001 -010

Page 112

30101998 918468 0982697 -175 4827 0964243 -364 305 1326 636 06111998 913223 0994289 -057 4853 1005386 054 033 029 -031 13111998 917822 1005036 050 4943 1018545 184 025 338 092 20111998 917160 0999279 -007 4951 1001618 016 001 003 -001 27111998 906802 0988706 -114 4851 0979802 -204 129 416 232 04121998 902621 0995389 -046 4836 0996908 -031 021 010 014 11121998 889094 0985014 -151 4779 0988213 -119 228 141 179 18121998 902575 1015163 150 4803 1005022 050 226 025 075 25121998 906891 1004782 048 4818 1003123 031 023 010 015 01011999 914183 1008041 080 4823 1001038 010 064 001 008 08011999 983873 1076232 735 5453 1130624 1228 5397 15072 9019 15011999 989959 1006186 062 5624 1031359 309 038 953 190 22011999 1016140 1026447 261 5778 1027383 270 681 730 705 29011999 1105790 1088226 845 6642 1149533 1394 7149 19420 11782 05021999 1094590 0989871 -102 6304 0949112 -522 104 2728 532 12021999 1053620 0962570 -381 6355 1008090 081 1455 065 -307 19021999 1071770 1017226 171 6423 1010700 106 292 113 182 26021999 1055100 0984446 -157 6319 0983808 -163 246 266 256 05031999 1039860 0985556 -145 6159 0974680 -256 212 658 373 12031999 1041200 1001289 013 6081 0987336 -127 002 162 -016 19031999 1027650 0986986 -131 5959 0979938 -203 172 411 265 26031999 1031360 1003610 036 6047 1014768 147 013 215 053 02041999 1034930 1003461 035 6037 0998346 -017 012 003 -006 09041999 1024940 0990347 -097 6042 1000828 008 094 001 -008 16041999 1026450 1001473 015 6034 0998676 -013 002 002 -002 23041999 1038240 1011486 114 6082 1007955 079 130 063 090 30041999 1014430 0977067 -232 5916 0972706 -277 538 766 642 07051999 1027240 1012628 125 5243 0886241 -1208 157 14585 -1515 14051999 1015400 0988474 -116 5174 0986840 -132 134 176 154 21051999 1012050 0996701 -033 5148 0994975 -050 011 025 017 28051999 986598 0974851 -255 4951 0961733 -390 649 1522 994 04061999 977053 0990325 -097 4901 0989901 -102 095 103 099 11061999 1007370 1031029 306 5002 1020608 204 934 416 623 18061999 989166 0981929 -182 4900 0979608 -206 333 424 376 25061999 1026150 1037389 367 4738 0966939 -336 1347 1130 -1234 02071999 995282 0969919 -305 4663 0984171 -160 933 255 487 09071999 995600 1000320 003 4509 0966974 -336 000 1128 -011 16071999 1012170 1016643 165 4371 0969395 -311 272 966 -513 23071999 981962 0970155 -303 4098 0937543 -645 918 4159 1954 30071999 971997 0989852 -102 4109 1002684 027 104 007 -027 06081999 953229 0980691 -195 4005 0974690 -256 380 657 500 13081999 935049 0980928 -193 3845 0960050 -408 371 1662 785 20081999 944102 1009682 096 3963 1030689 302 093 914 291 27081999 935339 0990718 -093 3893 0982337 -178 087 318 166 03091999 928650 0992849 -072 3891 0999486 -005 052 000 004 10091999 923843 0994824 -052 3789 0973786 -266 027 706 138 17091999 936583 1013790 137 3763 0993138 -069 188 047 -094 24091999 963355 1028585 282 3753 0997343 -027 794 007 -075 01101999 964466 1001153 012 3711 0988809 -113 001 127 -013 08101999 1008430 1045584 446 3922 1056858 553 1987 3058 2465 15101999 1067340 1058418 568 4279 1091025 871 3223 7589 4946

Page 113

22101999 1019230 0954925 -461 3898 0910961 -933 2127 8697 4301 29101999 1038280 1018691 185 3904 1001539 015 343 002 028 05111999 1047550 1008928 089 3796 0972336 -281 079 787 -249 12111999 1071510 1022872 226 3961 1043467 425 511 1810 962 19111999 1077140 1005254 052 3784 0955314 -457 027 2090 -240 26111999 1104220 1025141 248 3784 1000000 000 617 000 000 03121999 1152250 1043497 426 3832 1012685 126 1813 159 537 10121999 1338690 1161805 1500 3911 1020616 204 22492 416 3060 17121999 1235780 0923126 -800 3701 0946305 -552 6398 3046 4415 24121999 1215240 0983379 -168 3733 1008646 086 281 074 -144 Sum -206 -5988 80467 169307 68883 Beta 085 Alpha -056 Std Dev Of Rndm Error Term 326 Std Error of Beta 0064 Std Error of Alpha 0178 Correlation Coefficient 060 Coefficient of Determination 035 Coefficient of Nondetermination 065

Page 114

Suez Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 6281 09011998 1222730 0985643 -145 6182 0984224 -159 209 253 230 16011998 1206630 0986833 -133 6105 0987500 -126 176 158 167 23011998 1187560 0984196 -159 6165 1009978 099 254 099 -158 30011998 1161970 0978452 -218 6047 0980832 -194 475 375 422 06021998 1152100 0991506 -085 6091 1007215 072 073 052 -061 13021998 1148570 0996936 -031 6229 1022686 224 009 503 -069 20021998 1154110 1004823 048 6444 1034443 339 023 1147 163 27021998 1152270 0998406 -016 6285 0975452 -249 003 618 040 06031998 1171950 1017079 169 6262 0996239 -038 287 014 -064 13031998 1177260 1004531 045 6445 1029182 288 020 827 130 20031998 1188570 1009607 096 6408 0994358 -057 091 032 -054 27031998 1200260 1009835 098 6630 1034614 340 096 1158 333 03041998 1197600 0997784 -022 6625 0999315 -007 005 000 002 10041998 1198900 1001086 011 6546 0988063 -120 001 144 -013 17041998 1195490 0997156 -028 6600 1008192 082 008 067 -023 24041998 1182420 0989067 -110 6565 0994767 -052 121 028 058 01051998 1176960 0995382 -046 6430 0979368 -208 021 435 096 08051998 1159590 0985242 -149 6389 0993638 -064 221 041 095 15051998 1129560 0974103 -262 6295 0985203 -149 688 222 391 22051998 1112340 0984755 -154 6343 1007654 076 236 058 -117 29051998 1073430 0965020 -356 6223 0981081 -191 1268 365 680 05061998 1045480 0973962 -264 6076 0976480 -238 696 567 628 12061998 1066480 1020086 199 6265 1031119 306 396 939 609 19061998 1032170 0967829 -327 5945 0948926 -524 1069 2748 1714 26061998 1030030 0997927 -021 5723 0962538 -382 004 1458 079 03071998 1002040 0972826 -276 5667 0990311 -097 759 095 268 10071998 982199 0980199 -200 5719 1009144 091 400 083 -182 17071998 970995 0988593 -115 5637 0985694 -144 132 208 165 24071998 995234 1024963 247 5716 1014030 139 608 194 344 31071998 1010220 1015058 149 5908 1033556 330 223 1089 493 07081998 986274 0976296 -240 5341 0903984 -1009 575 10190 2422 14081998 966470 0979920 -203 5001 0936340 -658 411 4327 1334 21081998 934316 0966730 -338 4818 0963463 -372 1145 1385 1259 28081998 901108 0964457 -362 4399 0913019 -910 1310 8281 3293 04091998 949019 1053169 518 4926 1119859 1132 2684 12815 5864 11091998 950397 1001452 015 4822 0978777 -215 002 460 -031 18091998 953342 1003099 031 4828 1001321 013 010 002 004 25091998 956663 1003484 035 4907 1016381 162 012 264 057 02101998 958912 1002351 023 4828 0983883 -162 006 264 -038 09101998 943251 0983668 -165 4774 0988702 -114 271 129 187 16101998 943963 1000755 008 4824 1010474 104 001 109 008 23101998 934640 0990124 -099 4885 1012627 125 099 157 -125

Page 115

30101998 918468 0982697 -175 4795 0981575 -186 305 346 325 06111998 913223 0994289 -057 4775 0995829 -042 033 017 024 13111998 917822 1005036 050 4811 1007615 076 025 058 038 20111998 917160 0999279 -007 4732 0983560 -166 001 275 012 27111998 906802 0988706 -114 4677 0988474 -116 129 134 132 04121998 902621 0995389 -046 4619 0987561 -125 021 157 058 11121998 889094 0985014 -151 4367 0945483 -561 228 3143 846 18121998 902575 1015163 150 4596 1052456 511 226 2614 769 25121998 906891 1004782 048 4605 1001978 020 023 004 009 01011999 914183 1008041 080 4655 1010659 106 064 112 085 08011999 983873 1076232 735 4995 1073047 705 5397 4971 5180 15011999 989959 1006186 062 4876 0976338 -239 038 573 -148 22011999 1016140 1026447 261 5126 1051268 500 681 2500 1305 29011999 1105790 1088226 845 6034 1176981 1630 7149 26554 13777 05021999 1094590 0989871 -102 5763 0955100 -459 104 2110 468 12021999 1053620 0962570 -381 5725 0993375 -066 1455 044 254 19021999 1071770 1017226 171 5715 0998412 -016 292 003 -027 26021999 1055100 0984446 -157 5588 0977732 -225 246 507 353 05031999 1039860 0985556 -145 5282 0945175 -564 212 3179 820 12031999 1041200 1001289 013 5364 1015491 154 002 236 020 19031999 1027650 0986986 -131 5218 0972882 -275 172 756 360 26031999 1031360 1003610 036 5188 0994251 -058 013 033 -021 02041999 1034930 1003461 035 5175 0997371 -026 012 007 -009 09041999 1024940 0990347 -097 5296 1023542 233 094 541 -226 16041999 1026450 1001473 015 5403 1020082 199 002 395 029 23041999 1038240 1011486 114 5538 1025073 248 130 613 283 30041999 1014430 0977067 -232 5345 0965035 -356 538 1267 826 07051999 1027240 1012628 125 4872 0911549 -926 157 8577 -1162 14051999 1015400 0988474 -116 4795 0984139 -160 134 256 185 21051999 1012050 0996701 -033 4788 0998673 -013 011 002 004 28051999 986598 0974851 -255 4597 0960129 -407 649 1655 1036 04061999 977053 0990325 -097 4459 0969943 -305 095 931 297 11061999 1007370 1031029 306 4551 1020589 204 934 415 623 18061999 989166 0981929 -182 4465 0981223 -190 333 359 346 25061999 1026150 1037389 367 4415 0988803 -113 1347 127 -413 02071999 995282 0969919 -305 4390 0994236 -058 933 033 177 09071999 995600 1000320 003 4541 1034374 338 000 1142 011 16071999 1012170 1016643 165 4731 1041842 410 272 1680 677 23071999 981962 0970155 -303 4431 0936587 -655 918 4292 1985 30071999 971997 0989852 -102 4508 1017441 173 104 299 -176 06081999 953229 0980691 -195 4393 0974389 -259 380 673 506 13081999 935049 0980928 -193 4378 0996690 -033 371 011 064 20081999 944102 1009682 096 4499 1027616 272 093 742 262 27081999 935339 0990718 -093 4428 0984239 -159 087 252 148 03091999 928650 0992849 -072 4394 0992198 -078 052 061 056 10091999 923843 0994824 -052 4399 1001243 012 027 002 -006 17091999 936583 1013790 137 4572 1039263 385 188 1483 527 24091999 963355 1028585 282 4614 1009147 091 794 083 257 01101999 964466 1001153 012 4598 0996651 -034 001 011 -004 08101999 1008430 1045584 446 4954 1077302 745 1987 5544 3319 15101999 1067340 1058418 568 5351 1080198 771 3223 5951 4380

Page 116

22101999 1019230 0954925 -461 4855 0907324 -973 2127 9459 4486 29101999 1038280 1018691 185 5099 1050257 490 343 2404 908 05111999 1047550 1008928 089 4932 0967248 -333 079 1109 -296 12111999 1071510 1022872 226 5022 1018248 181 511 327 409 19111999 1077140 1005254 052 5045 1004580 046 027 021 024 26111999 1104220 1025141 248 5039 0998811 -012 617 001 -030 03121999 1152250 1043497 426 5001 0992459 -076 1813 057 -322 10121999 1338690 1161805 1500 5898 1179364 1650 22492 27217 24742 17121999 1235780 0923126 -800 5044 0855205 -1564 6398 24465 12511 24121999 1215240 0983379 -168 5005 0992268 -078 281 060 130 Sum -206 -2271 80467 203211 101802 Beta 126 Alpha -020 Std Dev Of Rndm Error Term 271 Std Error of Beta 0058 Std Error of Alpha 0162 Correlation Coefficient 080 Coefficient of Determination 063 Coefficient of Nondetermination 037

Page 117

Tora Portland Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 7721 09011998 1222730 0985643 -145 7484 0969304 -312 209 972 451 16011998 1206630 0986833 -133 7332 0979690 -205 176 421 272 23011998 1187560 0984196 -159 7241 0987589 -125 254 156 199 30011998 1161970 0978452 -218 6892 0951802 -494 475 2440 1076 06021998 1152100 0991506 -085 6911 1002757 028 073 008 -023 13021998 1148570 0996936 -031 6628 0959051 -418 009 1748 128 20021998 1154110 1004823 048 6496 0980084 -201 023 405 -097 27021998 1152270 0998406 -016 6547 1007851 078 003 061 -012 06031998 1171950 1017079 169 6915 1056209 547 287 2991 926 13031998 1177260 1004531 045 6900 0997831 -022 020 005 -010 20031998 1188570 1009607 096 7245 1050000 488 091 2380 466 27031998 1200260 1009835 098 7362 1016149 160 096 257 157 03041998 1197600 0997784 -022 7424 1008422 084 005 070 -019 10041998 1198900 1001086 011 7369 0992592 -074 001 055 -008 17041998 1195490 0997156 -028 7439 1009499 095 008 089 -027 24041998 1182420 0989067 -110 7370 0990725 -093 121 087 102 01051998 1176960 0995382 -046 7190 0975577 -247 021 611 114 08051998 1159590 0985242 -149 6998 0973296 -271 221 733 402 15051998 1129560 0974103 -262 6701 0957559 -434 688 1881 1138 22051998 1112340 0984755 -154 6773 1010745 107 236 114 -164 29051998 1073430 0965020 -356 6524 0963236 -375 1268 1403 1334 05061998 1045480 0973962 -264 6652 1019620 194 696 378 -513 12061998 1066480 1020086 199 6450 0969633 -308 396 951 -613 19061998 1032170 0967829 -327 6015 0932558 -698 1069 4875 2283 26061998 1030030 0997927 -021 6099 1013965 139 004 192 -029 03071998 1002040 0972826 -276 5719 0937695 -643 759 4138 1772 10071998 982199 0980199 -200 5452 0953314 -478 400 2286 956 17071998 970995 0988593 -115 5518 1012106 120 132 145 -138 24071998 995234 1024963 247 6339 1148786 1387 608 19239 3420 31071998 1010220 1015058 149 6348 1001420 014 223 002 021 07081998 986274 0976296 -240 6187 0974638 -257 575 660 616 14081998 966470 0979920 -203 5842 0944238 -574 411 3292 1164 21081998 934316 0966730 -338 5852 1001712 017 1145 003 -058 28081998 901108 0964457 -362 5794 0990089 -100 1310 099 360 04091998 949019 1053169 518 6237 1076458 737 2684 5428 3817 11091998 950397 1001452 015 6181 0991021 -090 002 081 -013 18091998 953342 1003099 031 6247 1010678 106 010 113 033 25091998 956663 1003484 035 6276 1004642 046 012 021 016 02101998 958912 1002351 023 6504 1036329 357 006 1273 084 09101998 943251 0983668 -165 6388 0982165 -180 271 324 296 16101998 943963 1000755 008 6449 1009549 095 001 090 007 23101998 934640 0990124 -099 6437 0998139 -019 099 003 018

Page 118

30101998 918468 0982697 -175 5477 0850862 -1615 305 26084 2819 06111998 913223 0994289 -057 5695 1039803 390 033 1523 -224 13111998 917822 1005036 050 5717 1003863 039 025 015 019 20111998 917160 0999279 -007 5780 1011020 110 001 120 -008 27111998 906802 0988706 -114 5800 1003460 035 129 012 -039 04121998 902621 0995389 -046 5758 0992759 -073 021 053 034 11121998 889094 0985014 -151 5686 0987496 -126 228 158 190 18121998 902575 1015163 150 5811 1021984 217 226 473 327 25121998 906891 1004782 048 5790 0996386 -036 023 013 -017 01011999 914183 1008041 080 5835 1007772 077 064 060 062 08011999 983873 1076232 735 6729 1153213 1426 5397 20321 10473 15011999 989959 1006186 062 7063 1049636 484 038 2347 299 22011999 1016140 1026447 261 7230 1023644 234 681 546 610 29011999 1105790 1088226 845 7810 1080221 772 7149 5955 6524 05021999 1094590 0989871 -102 7362 0942638 -591 104 3490 601 12021999 1053620 0962570 -381 7597 1031921 314 1455 987 -1199 19021999 1071770 1017226 171 7512 0988811 -113 292 127 -192 26021999 1055100 0984446 -157 7157 0952742 -484 246 2344 759 05031999 1039860 0985556 -145 7118 0994551 -055 212 030 079 12031999 1041200 1001289 013 6991 0982158 -180 002 324 -023 19031999 1027650 0986986 -131 6635 0949077 -523 172 2732 685 26031999 1031360 1003610 036 6775 1021100 209 013 436 075 02041999 1034930 1003461 035 7124 1051513 502 012 2523 174 09041999 1024940 0990347 -097 7022 0985682 -144 094 208 140 16041999 1026450 1001473 015 6905 0983338 -168 002 282 -025 23041999 1038240 1011486 114 7024 1017234 171 130 292 195 30041999 1014430 0977067 -232 6869 0977933 -223 538 498 518 07051999 1027240 1012628 125 6601 0960984 -398 157 1584 -499 14051999 1015400 0988474 -116 6800 1030147 297 134 882 -344 21051999 1012050 0996701 -033 6846 1006765 067 011 045 -022 28051999 986598 0974851 -255 6700 0978674 -216 649 465 549 04061999 977053 0990325 -097 6655 0993284 -067 095 045 066 11061999 1007370 1031029 306 6719 1009617 096 934 092 292 18061999 989166 0981929 -182 6501 0967555 -330 333 1088 601 25061999 1026150 1037389 367 6122 0941701 -601 1347 3608 -2205 02071999 995282 0969919 -305 6043 0987096 -130 933 169 397 09071999 995600 1000320 003 6193 1024822 245 000 601 008 16071999 1012170 1016643 165 6396 1032779 323 272 1040 532 23071999 981962 0970155 -303 6000 0938086 -639 918 4085 1937 30071999 971997 0989852 -102 5756 0959333 -415 104 1724 423 06081999 953229 0980691 -195 5655 0982453 -177 380 313 345 13081999 935049 0980928 -193 5907 1044562 436 371 1901 -840 20081999 944102 1009682 096 5900 0998815 -012 093 001 -011 27081999 935339 0990718 -093 5947 1007966 079 087 063 -074 03091999 928650 0992849 -072 5787 0973096 -273 052 744 196 10091999 923843 0994824 -052 6140 1060999 592 027 3506 -307 17091999 936583 1013790 137 5901 0961075 -397 188 1576 -544 24091999 963355 1028585 282 6103 1034231 337 794 1133 949 01101999 964466 1001153 012 6460 1058496 568 001 3232 066 08101999 1008430 1045584 446 6783 1050000 488 1987 2380 2175 15101999 1067340 1058418 568 7012 1033761 332 3223 1102 1885

Page 119

22101999 1019230 0954925 -461 6597 0940816 -610 2127 3722 2814 29101999 1038280 1018691 185 6777 1027285 269 343 725 498 05111999 1047550 1008928 089 6745 0995278 -047 079 022 -042 12111999 1071510 1022872 226 6076 0900815 -1045 511 10911 -2362 19111999 1077140 1005254 052 6329 1041639 408 027 1664 214 26111999 1104220 1025141 248 6453 1019592 194 617 376 482 03121999 1152250 1043497 426 6847 1061057 593 1813 3512 2523 10121999 1338690 1161805 1500 7898 1153498 1428 22492 20392 21416 17121999 1235780 0923126 -800 6702 0848569 -1642 6398 26963 13135 24121999 1215240 0983379 -168 7092 1058192 566 281 3199 -948 Sum -206 -850 80467 235301 86067 Beta 107 Alpha -006 Std Dev Of Rndm Error Term 377 Std Error of Beta 0068 Std Error of Alpha 0191 Correlation Coefficient 063 Coefficient of Determination 039 Coefficient of Nondetermination 061

Page 120

Upper Egypt Flour Mills

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5639 09011998 1222730 0985643 -145 5422 0961518 -392 209 1540 567 16011998 1206630 0986833 -133 4928 0908890 -955 176 9126 1266 23011998 1187560 0984196 -159 5053 1025365 250 254 627 -399 30011998 1161970 0978452 -218 5003 0990105 -099 475 099 217 06021998 1152100 0991506 -085 5096 1018589 184 073 339 -157 13021998 1148570 0996936 -031 5381 1055926 544 009 2961 -167 20021998 1154110 1004823 048 5859 1088831 851 023 7243 410 27021998 1152270 0998406 -016 5911 1008875 088 003 078 -014 06031998 1171950 1017079 169 6392 1081374 782 287 6120 1325 13031998 1177260 1004531 045 5999 0938517 -635 020 4026 -287 20031998 1188570 1009607 096 6168 1028171 278 091 772 266 27031998 1200260 1009835 098 6226 1009403 094 096 088 092 03041998 1197600 0997784 -022 6071 0975104 -252 005 636 056 10041998 1198900 1001086 011 6025 0992423 -076 001 058 -008 17041998 1195490 0997156 -028 6051 1004315 043 008 019 -012 24041998 1182420 0989067 -110 5819 0961659 -391 121 1528 430 01051998 1176960 0995382 -046 6052 1040041 393 021 1541 -182 08051998 1159590 0985242 -149 5933 0980337 -199 221 394 295 15051998 1129560 0974103 -262 5637 0950110 -512 688 2619 1343 22051998 1112340 0984755 -154 5238 0929218 -734 236 5389 1128 29051998 1073430 0965020 -356 4877 0931081 -714 1268 5099 2543 05061998 1045480 0973962 -264 4595 0942178 -596 696 3548 1571 12061998 1066480 1020086 199 4822 1049402 482 396 2325 959 19061998 1032170 0967829 -327 4818 0999170 -008 1069 001 027 26061998 1030030 0997927 -021 4795 0995226 -048 004 023 010 03071998 1002040 0972826 -276 4704 0981022 -192 759 367 528 10071998 982199 0980199 -200 4538 0964711 -359 400 1291 719 17071998 970995 0988593 -115 4544 1001322 013 132 002 -015 24071998 995234 1024963 247 4802 1056778 552 608 3050 1362 31071998 1010220 1015058 149 4983 1037693 370 223 1369 553 07081998 986274 0976296 -240 4698 0942806 -589 575 3469 1413 14081998 966470 0979920 -203 4825 1027033 267 411 711 -541 21081998 934316 0966730 -338 4695 0973057 -273 1145 746 924 28081998 901108 0964457 -362 4556 0970394 -301 1310 903 1088 04091998 949019 1053169 518 4795 1052458 511 2684 2614 2649 11091998 950397 1001452 015 4758 0992284 -077 002 060 -011 18091998 953342 1003099 031 4654 0978142 -221 010 488 -068 25091998 956663 1003484 035 4554 0978513 -217 012 472 -076 02101998 958912 1002351 023 4558 1000878 009 006 001 002 09101998 943251 0983668 -165 4223 0926503 -763 271 5828 1257 16101998 943963 1000755 008 4294 1016813 167 001 278 013 23101998 934640 0990124 -099 3931 0915463 -883 099 7801 877

Page 121

30101998 918468 0982697 -175 3658 0930552 -720 305 5181 1256 06111998 913223 0994289 -057 3086 0843630 -1700 033 28914 974 13111998 917822 1005036 050 3419 1107907 1025 025 10501 515 20111998 917160 0999279 -007 3452 1009652 096 001 092 -007 27111998 906802 0988706 -114 3318 0961182 -396 129 1567 450 04121998 902621 0995389 -046 3434 1034961 344 021 1181 -159 11121998 889094 0985014 -151 3437 1000874 009 228 001 -013 18121998 902575 1015163 150 3427 0997090 -029 226 008 -044 25121998 906891 1004782 048 36 1050481 492 023 2425 235 01011999 914183 1008041 080 3632 1008889 088 064 078 071 08011999 983873 1076232 735 4372 1203744 1854 5397 34387 13623 15011999 989959 1006186 062 4225 0966377 -342 038 1170 -211 22011999 1016140 1026447 261 4397 1040710 399 681 1592 1042 29011999 1105790 1088226 845 4738 1077553 747 7149 5579 6315 05021999 1094590 0989871 -102 4727 0997678 -023 104 005 024 12021999 1053620 0962570 -381 4519 0955997 -450 1455 2025 1717 19021999 1071770 1017226 171 4765 1054437 530 292 2810 905 26021999 1055100 0984446 -157 4714 0989297 -108 246 116 169 05031999 1039860 0985556 -145 4612 0978362 -219 212 479 318 12031999 1041200 1001289 013 4423 0959020 -418 002 1751 -054 19031999 1027650 0986986 -131 4462 1008818 088 172 077 -115 26031999 1031360 1003610 036 4586 1027790 274 013 751 099 02041999 1034930 1003461 035 4396 0958570 -423 012 1790 -146 09041999 1024940 0990347 -097 4152 0944495 -571 094 3261 554 16041999 1026450 1001473 015 3972 0956647 -443 002 1964 -065 23041999 1038240 1011486 114 3902 0982377 -178 130 316 -203 30041999 1014430 0977067 -232 3653 0936187 -659 538 4348 1530 07051999 1027240 1012628 125 3754 1027649 273 157 744 342 14051999 1015400 0988474 -116 3486 0928609 -741 134 5486 859 21051999 1012050 0996701 -033 3339 0957831 -431 011 1856 142 28051999 986598 0974851 -255 3213 0962264 -385 649 1480 980 04061999 977053 0990325 -097 3207 0998133 -019 095 003 018 11061999 1007370 1031029 306 3423 1067353 652 934 4249 1992 18061999 989166 0981929 -182 3325 0971370 -290 333 844 530 25061999 1026150 1037389 367 2992 0899850 -1055 1347 11136 -3874 02071999 995282 0969919 -305 3089 1032420 319 933 1018 -974 09071999 995600 1000320 003 2968 0960829 -400 000 1597 -013 16071999 1012170 1016643 165 3195 1076482 737 272 5432 1216 23071999 981962 0970155 -303 315 0985915 -142 918 201 430 30071999 971997 0989852 -102 3035 0963492 -372 104 1383 379 06081999 953229 0980691 -195 2889 0951895 -493 380 2431 961 13081999 935049 0980928 -193 2757 0954309 -468 371 2187 901 20081999 944102 1009682 096 2792 1012695 126 093 159 122 27081999 935339 0990718 -093 2859 1023997 237 087 562 -221 03091999 928650 0992849 -072 282 0986359 -137 052 189 099 10091999 923843 0994824 -052 3108 1102128 972 027 9456 -505 17091999 936583 1013790 137 3008 0967825 -327 188 1070 -448 24091999 963355 1028585 282 3016 1002660 027 794 007 075 01101999 964466 1001153 012 3017 1000332 003 001 000 000 08101999 1008430 1045584 446 3245 1075572 729 1987 5307 3247 15101999 1067340 1058418 568 3413 1051772 505 3223 2548 2866

Page 122

22101999 1019230 0954925 -461 3195 0936127 -660 2127 4357 3044 29101999 1038280 1018691 185 3256 1019092 189 343 358 350 05111999 1047550 1008928 089 2663 0817875 -2010 079 40420 -1787 12111999 1071510 1022872 226 2813 1056327 548 511 3003 1239 19111999 1077140 1005254 052 2776 0986847 -132 027 175 -069 26111999 1104220 1025141 248 2755 0992435 -076 617 058 -189 03121999 1152250 1043497 426 273 0990926 -091 1813 083 -388 10121999 1338690 1161805 1500 2777 1017216 171 22492 291 2560 17121999 1235780 0923126 -800 2606 0938423 -636 6398 4039 5084 24121999 1215240 0983379 -168 2553 0979662 -205 281 422 344 Sum -206 -7924 80467 310570 70040 Beta 087 Alpha -075 Std Dev Of Rndm Error Term 491 Std Error of Beta 0078 Std Error of Alpha 0218 Correlation Coefficient 045 Coefficient of Determination 020 Coefficient of Nondetermination 080

Page 123

Nasr City for Housing and Development

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 10973 09011998 1222730 0985643 -145 10724 0977262 -230 209 529 333 16011998 1206630 0986833 -133 10722 0999860 -001 176 000 002 23011998 1187560 0984196 -159 10612 0989741 -103 254 106 164 30011998 1161970 0978452 -218 10569 0995901 -041 475 017 089 06021998 1152100 0991506 -085 10372 0981360 -188 073 354 161 13021998 1148570 0996936 -031 10075 0971412 -290 009 841 089 20021998 1154110 1004823 048 9827 0975385 -249 023 621 -120 27021998 1152270 0998406 -016 10000 1017605 175 003 305 -028 06031998 1171950 1017079 169 10182 1018200 180 287 325 305 13031998 1177260 1004531 045 10080 0989933 -101 020 102 -046 20031998 1188570 1009607 096 10299 1021777 215 091 464 206 27031998 1200260 1009835 098 10688 1037722 370 096 1371 362 03041998 1197600 0997784 -022 10585 0990409 -096 005 093 021 10041998 1198900 1001086 011 10642 1005385 054 001 029 006 17041998 1195490 0997156 -028 10648 1000564 006 008 000 -002 24041998 1182420 0989067 -110 10613 0996713 -033 121 011 036 01051998 1176960 0995382 -046 10470 0986479 -136 021 185 063 08051998 1159590 0985242 -149 10393 0992645 -074 221 054 110 15051998 1129560 0974103 -262 10092 0971037 -294 688 864 771 22051998 1112340 0984755 -154 9631 0954368 -467 236 2181 718 29051998 1073430 0965020 -356 9625 0999377 -006 1268 000 022 05061998 1045480 0973962 -264 9140 0949558 -518 696 2679 1366 12061998 1066480 1020086 199 9153 1001422 014 396 002 028 19061998 1032170 0967829 -327 8790 0960393 -404 1069 1633 1321 26061998 1030030 0997927 -021 8353 0950284 -510 004 2600 106 03071998 1002040 0972826 -276 8133 0973662 -267 759 712 735 10071998 982199 0980199 -200 7391 0908705 -957 400 9165 1915 17071998 970995 0988593 -115 6762 0914958 -889 132 7899 1020 24071998 995234 1024963 247 7760 1147516 1376 608 18934 3393 31071998 1010220 1015058 149 8084 1041820 410 223 1678 612 07081998 986274 0976296 -240 7844 0970250 -302 575 912 725 14081998 966470 0979920 -203 7377 0940524 -613 411 3760 1244 21081998 934316 0966730 -338 7071 0958520 -424 1145 1795 1433 28081998 901108 0964457 -362 6804 0962169 -386 1310 1487 1396 04091998 949019 1053169 518 7267 1068127 659 2684 4344 3414 11091998 950397 1001452 015 7367 1013761 137 002 187 020 18091998 953342 1003099 031 7295 0990227 -098 010 096 -030 25091998 956663 1003484 035 7445 1020493 203 012 412 071 02101998 958912 1002351 023 7439 0999261 -007 006 001 -002 09101998 943251 0983668 -165 7179 0964982 -356 271 1271 587 16101998 943963 1000755 008 6238 0868914 -1405 001 19743 -106 23101998 934640 0990124 -099 6142 0984689 -154 099 238 153

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30101998 918468 0982697 -175 5338 0869098 -1403 305 19684 2449 06111998 913223 0994289 -057 5694 1066692 646 033 4168 -370 13111998 917822 1005036 050 5300 0930717 -718 025 5155 -361 20111998 917160 0999279 -007 5102 0962732 -380 001 1442 027 27111998 906802 0988706 -114 5148 1009016 090 129 081 -102 04121998 902621 0995389 -046 5135 0997378 -026 021 007 012 11121998 889094 0985014 -151 5151 1003214 032 228 010 -048 18121998 902575 1015163 150 5143 0998350 -017 226 003 -025 25121998 906891 1004782 048 5115 0994555 -055 023 030 -026 01011999 914183 1008041 080 5153 1007430 074 064 055 059 08011999 983873 1076232 735 5576 1082193 790 5397 6239 5803 15011999 989959 1006186 062 5613 1006546 065 038 043 040 22011999 1016140 1026447 261 5728 1020579 204 681 415 532 29011999 1105790 1088226 845 6809 1188722 1729 7149 29887 14617 05021999 1094590 0989871 -102 6457 0948304 -531 104 2818 540 12021999 1053620 0962570 -381 5937 0919390 -840 1455 7064 3206 19021999 1071770 1017226 171 6268 1055757 543 292 2944 927 26021999 1055100 0984446 -157 6139 0979418 -208 246 433 326 05031999 1039860 0985556 -145 5772 0940295 -616 212 3790 896 12031999 1041200 1001289 013 5590 0968468 -320 002 1027 -041 19031999 1027650 0986986 -131 5457 0976208 -241 172 580 315 26031999 1031360 1003610 036 5352 0980667 -195 013 381 -070 02041999 1034930 1003461 035 5509 1029431 290 012 841 100 09041999 1024940 0990347 -097 5325 0966509 -341 094 1160 330 16041999 1026450 1001473 015 5518 1036248 356 002 1268 052 23041999 1038240 1011486 114 5388 0976439 -238 130 569 -272 30041999 1014430 0977067 -232 5212 0967332 -332 538 1103 771 07051999 1027240 1012628 125 4940 0947904 -535 157 2863 -671 14051999 1015400 0988474 -116 4499 0910628 -936 134 8765 1085 21051999 1012050 0996701 -033 4500 1000333 003 011 000 -001 28051999 986598 0974851 -255 4500 1000000 000 649 000 000 04061999 977053 0990325 -097 4333 0962889 -378 095 1430 368 11061999 1007370 1031029 306 4221 0974152 -262 934 686 -800 18061999 989166 0981929 -182 4025 0953566 -475 333 2261 867 25061999 1026150 1037389 367 3968 0985839 -143 1347 203 -524 02071999 995282 0969919 -305 3726 0939012 -629 933 3960 1922 09071999 995600 1000320 003 3789 1016908 168 000 281 005 16071999 1012170 1016643 165 3853 1016891 167 272 281 276 23071999 981962 0970155 -303 3912 1015313 152 918 231 -460 30071999 971997 0989852 -102 3837 0980828 -194 104 375 197 06081999 953229 0980691 -195 3903 1017201 171 380 291 -333 13081999 935049 0980928 -193 3854 0987446 -126 371 160 243 20081999 944102 1009682 096 3753 0973793 -266 093 705 -256 27081999 935339 0990718 -093 3598 0958700 -422 087 1779 393 03091999 928650 0992849 -072 3562 0989994 -101 052 101 072 10091999 923843 0994824 -052 3546 0995508 -045 027 020 023 17091999 936583 1013790 137 3765 1061760 599 188 3591 821 24091999 963355 1028585 282 3903 1036653 360 794 1296 1015 01101999 964466 1001153 012 3791 0971304 -291 001 848 -034 08101999 1008430 1045584 446 4114 1085202 818 1987 6686 3645 15101999 1067340 1058418 568 4367 1061497 597 3223 3562 3388

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22101999 1019230 0954925 -461 4218 0965880 -347 2127 1205 1601 29101999 1038280 1018691 185 3687 0874111 -1345 343 18103 -2492 05111999 1047550 1008928 089 3487 0945755 -558 079 3110 -496 12111999 1071510 1022872 226 3549 1017780 176 511 311 399 19111999 1077140 1005254 052 3567 1005072 051 027 026 027 26111999 1104220 1025141 248 3356 0940847 -610 617 3718 -1514 03121999 1152250 1043497 426 3546 1056615 551 1813 3033 2345 10121999 1338690 1161805 1500 3498 0986464 -136 22492 186 -2044 17121999 1235780 0923126 -800 3611 1032304 318 6398 1011 -2543 24121999 1215240 0983379 -168 3308 0916090 -876 281 7681 1469 Sum -206 -11991 80467 257954 60346 Beta 075 Alpha -115 Std Dev Of Rndm Error Term 444 Std Error of Beta 0074 Std Error of Alpha 0208 Correlation Coefficient 043 Coefficient of Determination 018 Coefficient of Nondetermination 082

Page 126

Abu Keir for Fertilisers

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8459 09011998 1222730 0985643 -145 8438 0997517 -025 209 006 036 16011998 1206630 0986833 -133 8022 0950699 -506 176 2556 670 23011998 1187560 0984196 -159 7874 0981551 -186 254 347 297 30011998 1161970 0978452 -218 783 0994412 -056 475 031 122 06021998 1152100 0991506 -085 774 0988506 -116 073 134 099 13021998 1148570 0996936 -031 7632 0986047 -141 009 197 043 20021998 1154110 1004823 048 7711 1010351 103 023 106 050 27021998 1152270 0998406 -016 7744 1004280 043 003 018 -007 06031998 1171950 1017079 169 7716 0996384 -036 287 013 -061 13031998 1177260 1004531 045 7685 0995982 -040 020 016 -018 20031998 1188570 1009607 096 7453 0969811 -307 091 940 -293 27031998 1200260 1009835 098 7287 0977727 -225 096 507 -220 03041998 1197600 0997784 -022 7419 1018114 180 005 322 -040 10041998 1198900 1001086 011 7419 1000000 000 001 000 000 17041998 1195490 0997156 -028 7402 0997709 -023 008 005 007 24041998 1182420 0989067 -110 7369 0995542 -045 121 020 049 01051998 1176960 0995382 -046 7358 0998507 -015 021 002 007 08051998 1159590 0985242 -149 733 0996195 -038 221 015 057 15051998 1129560 0974103 -262 7246 0988540 -115 688 133 302 22051998 1112340 0984755 -154 7037 0971157 -293 236 857 450 29051998 1073430 0965020 -356 6648 0944721 -569 1268 3234 2025 05061998 1045480 0973962 -264 6775 1019103 189 696 358 -499 12061998 1066480 1020086 199 7001 1033358 328 396 1077 653 19061998 1032170 0967829 -327 6614 0944722 -569 1069 3234 1859 26061998 1030030 0997927 -021 6678 1009676 096 004 093 -020 03071998 1002040 0972826 -276 6351 0951033 -502 759 2521 1383 10071998 982199 0980199 -200 6234 0981578 -186 400 346 372 17071998 970995 0988593 -115 6126 0982676 -175 132 305 200 24071998 995234 1024963 247 6178 1008488 085 608 071 208 31071998 1010220 1015058 149 6189 1001781 018 223 003 027 07081998 986274 0976296 -240 6026 0973663 -267 575 712 640 14081998 966470 0979920 -203 5796 0961832 -389 411 1514 789 21081998 934316 0966730 -338 5415 0934265 -680 1145 4623 2301 28081998 901108 0964457 -362 5395 0996307 -037 1310 014 134 04091998 949019 1053169 518 5648 1046895 458 2684 2100 2374 11091998 950397 1001452 015 5801 1027089 267 002 714 039 18091998 953342 1003099 031 5755 0992070 -080 010 063 -025 25091998 956663 1003484 035 5834 1013727 136 012 186 047 02101998 958912 1002351 023 598 1025026 247 006 611 058 09101998 943251 0983668 -165 6272 1048829 477 271 2273 -785 16101998 943963 1000755 008 6497 1035874 352 001 1242 027 23101998 934640 0990124 -099 5815 0895028 -1109 099 12299 1101

Page 127

30101998 918468 0982697 -175 6326 1087876 842 305 7094 -1470 06111998 913223 0994289 -057 6336 1001581 016 033 002 -009 13111998 917822 1005036 050 6338 1000316 003 025 000 002 20111998 917160 0999279 -007 6471 1020985 208 001 431 -015 27111998 906802 0988706 -114 6366 0983774 -164 129 268 186 04121998 902621 0995389 -046 6304 0990261 -098 021 096 045 11121998 889094 0985014 -151 6247 0990958 -091 228 083 137 18121998 902575 1015163 150 6103 0976949 -233 226 544 -351 25121998 906891 1004782 048 6092 0998198 -018 023 003 -009 01011999 914183 1008041 080 6117 1004104 041 064 017 033 08011999 983873 1076232 735 6219 1016675 165 5397 273 1215 15011999 989959 1006186 062 6122 0984403 -157 038 247 -097 22011999 1016140 1026447 261 606 0989873 -102 681 104 -266 29011999 1105790 1088226 845 6213 1025248 249 7149 622 2108 05021999 1094590 0989871 -102 6163 0991952 -081 104 065 082 12021999 1053620 0962570 -381 5805 0941911 -598 1455 3581 2283 19021999 1071770 1017226 171 5799 0998966 -010 292 001 -018 26021999 1055100 0984446 -157 5871 1012416 123 246 152 -193 05031999 1039860 0985556 -145 5798 0987566 -125 212 157 182 12031999 1041200 1001289 013 5796 0999655 -003 002 000 -000 19031999 1027650 0986986 -131 5793 0999482 -005 172 000 007 26031999 1031360 1003610 036 5818 1004316 043 013 019 016 02041999 1034930 1003461 035 575 0988312 -118 012 138 -041 09041999 1024940 0990347 -097 5542 0963826 -368 094 1358 357 16041999 1026450 1001473 015 5438 0981234 -189 002 359 -028 23041999 1038240 1011486 114 5387 0990622 -094 130 089 -108 30041999 1014430 0977067 -232 5017 0931316 -712 538 5063 1651 07051999 1027240 1012628 125 4687 0934224 -680 157 4629 -854 14051999 1015400 0988474 -116 4446 0948581 -528 134 2787 612 21051999 1012050 0996701 -033 4741 1066352 642 011 4127 -212 28051999 986598 0974851 -255 4599 0970049 -304 649 925 775 04061999 977053 0990325 -097 4223 0918243 -853 095 7275 829 11061999 1007370 1031029 306 4203 0995264 -047 934 023 -145 18061999 989166 0981929 -182 3721 0885320 -1218 333 14837 2221 25061999 1026150 1037389 367 4174 1121741 1149 1347 13198 4217 02071999 995282 0969919 -305 4198 1005750 057 933 033 -175 09071999 995600 1000320 003 4374 1041925 411 000 1687 013 16071999 1012170 1016643 165 4243 0970050 -304 272 925 -502 23071999 981962 0970155 -303 4127 0972661 -277 918 768 840 30071999 971997 0989852 -102 40 0969227 -313 104 977 319 06081999 953229 0980691 -195 3788 0947000 -545 380 2965 1062 13081999 935049 0980928 -193 3854 1017423 173 371 298 -333 20081999 944102 1009682 096 3981 1032953 324 093 1051 312 27081999 935339 0990718 -093 4149 1042200 413 087 1709 -385 03091999 928650 0992849 -072 415 1000241 002 052 000 -002 10091999 923843 0994824 -052 4138 0997108 -029 027 008 015 17091999 936583 1013790 137 3927 0949009 -523 188 2739 -717 24091999 963355 1028585 282 4096 1043035 421 794 1775 1188 01101999 964466 1001153 012 4043 0987061 -130 001 170 -015 08101999 1008430 1045584 446 4059 1003957 039 1987 016 176 15101999 1067340 1058418 568 4054 0998768 -012 3223 002 -070

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22101999 1019230 0954925 -461 3984 0982733 -174 2127 303 803 29101999 1038280 1018691 185 3268 0820281 -1981 343 39247 -3669 05111999 1047550 1008928 089 3201 0979498 -207 079 429 -184 12111999 1071510 1022872 226 3164 0988441 -116 511 135 -263 19111999 1077140 1005254 052 298 0941846 -599 027 3590 -314 26111999 1104220 1025141 248 2952 0990604 -094 617 089 -234 03121999 1152250 1043497 426 2998 1015583 155 1813 239 658 10121999 1338690 1161805 1500 326 1087392 838 22492 7019 12565 17121999 1235780 0923126 -800 3303 1013190 131 6398 172 -1048 24121999 1215240 0983379 -168 3165 0958220 -427 281 1821 715 Sum -206 -9831 80467 180553 38354 Beta 047 Alpha -094 Std Dev Of Rndm Error Term 389 Std Error of Beta 0070 Std Error of Alpha 0194 Correlation Coefficient 033 Coefficient of Determination 011 Coefficient of Nondetermination 089

Page 129

Egyptian Financial and Industrial

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 10251 09011998 1222730 0985643 -145 10199 0994879 -051 209 026 074 16011998 1206630 0986833 -133 10039 0984311 -158 176 250 210 23011998 1187560 0984196 -159 10021 0998257 -017 254 003 028 30011998 1161970 0978452 -218 9630 0960982 -398 475 1584 867 06021998 1152100 0991506 -085 9051 0939875 -620 073 3845 529 13021998 1148570 0996936 -031 8848 0977572 -227 009 515 070 20021998 1154110 1004823 048 8823 0997175 -028 023 008 -014 27021998 1152270 0998406 -016 8847 1002720 027 003 007 -004 06031998 1171950 1017079 169 8405 0950040 -513 287 2627 -868 13031998 1177260 1004531 045 8903 1059191 575 020 3307 260 20031998 1188570 1009607 096 9174 1030497 300 091 902 287 27031998 1200260 1009835 098 9387 1023218 230 096 527 225 03041998 1197600 0997784 -022 9448 1006498 065 005 042 -014 10041998 1198900 1001086 011 9569 1012754 127 001 161 014 17041998 1195490 0997156 -028 9600 1003292 033 008 011 -009 24041998 1182420 0989067 -110 9581 0998021 -020 121 004 022 01051998 1176960 0995382 -046 9600 1001983 020 021 004 -009 08051998 1159590 0985242 -149 9449 0984271 -159 221 251 236 15051998 1129560 0974103 -262 9370 0991639 -084 688 070 220 22051998 1112340 0984755 -154 8661 0924333 -787 236 6191 1209 29051998 1073430 0965020 -356 8478 0978871 -214 1268 456 760 05061998 1045480 0973962 -264 8321 0981481 -187 696 349 493 12061998 1066480 1020086 199 8270 0993871 -061 396 038 -122 19061998 1032170 0967829 -327 7944 0960580 -402 1069 1617 1315 26061998 1030030 0997927 -021 7651 0963117 -376 004 1412 078 03071998 1002040 0972826 -276 7211 0942491 -592 759 3508 1632 10071998 982199 0980199 -200 6744 0935238 -670 400 4483 1339 17071998 970995 0988593 -115 6608 0979834 -204 132 415 234 24071998 995234 1024963 247 6082 0920400 -829 608 6880 -2045 31071998 1010220 1015058 149 6169 1014305 142 223 202 212 07081998 986274 0976296 -240 5979 0969201 -313 575 979 750 14081998 966470 0979920 -203 6034 1009199 092 411 084 -186 21081998 934316 0966730 -338 5803 0961717 -390 1145 1524 1321 28081998 901108 0964457 -362 5608 0966397 -342 1310 1168 1237 04091998 949019 1053169 518 5944 1059914 582 2684 3386 3014 11091998 950397 1001452 015 5724 0962988 -377 002 1422 -055 18091998 953342 1003099 031 5754 1005241 052 010 027 016 25091998 956663 1003484 035 5906 1026416 261 012 680 091 02101998 958912 1002351 023 6025 1020149 199 006 398 047 09101998 943251 0983668 -165 5959 0989046 -110 271 121 181 16101998 943963 1000755 008 5913 0992281 -077 001 060 -006 23101998 934640 0990124 -099 5860 0991037 -090 099 081 089

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30101998 918468 0982697 -175 5867 1001195 012 305 001 -021 06111998 913223 0994289 -057 5824 0992671 -074 033 054 042 13111998 917822 1005036 050 5777 0991930 -081 025 066 -041 20111998 917160 0999279 -007 5775 0999654 -003 001 000 000 27111998 906802 0988706 -114 5766 0998442 -016 129 002 018 04121998 902621 0995389 -046 5767 1000173 002 021 000 -001 11121998 889094 0985014 -151 5724 0992544 -075 228 056 113 18121998 902575 1015163 150 5676 0991614 -084 226 071 -127 25121998 906891 1004782 048 5625 0991015 -090 023 081 -043 01011999 914183 1008041 080 5627 1000356 004 064 000 003 08011999 983873 1076232 735 5876 1044251 433 5397 1875 3181 15011999 989959 1006186 062 5944 1011572 115 038 132 071 22011999 1016140 1026447 261 6172 1038358 376 681 1417 983 29011999 1105790 1088226 845 6828 1106286 1010 7149 10203 8540 05021999 1094590 0989871 -102 6460 0946104 -554 104 3069 564 12021999 1053620 0962570 -381 6061 0938235 -638 1455 4065 2432 19021999 1071770 1017226 171 6023 0993730 -063 292 040 -107 26021999 1055100 0984446 -157 5949 0987714 -124 246 153 194 05031999 1039860 0985556 -145 5656 0950748 -505 212 2551 735 12031999 1041200 1001289 013 5642 0997525 -025 002 006 -003 19031999 1027650 0986986 -131 5620 0996101 -039 172 015 051 26031999 1031360 1003610 036 5488 0976512 -238 013 565 -086 02041999 1034930 1003461 035 5568 1014577 145 012 209 050 09041999 1024940 0990347 -097 5498 0987428 -127 094 160 123 16041999 1026450 1001473 015 5354 0973809 -265 002 704 -039 23041999 1038240 1011486 114 5442 1016436 163 130 266 186 30041999 1014430 0977067 -232 5266 0967659 -329 538 1081 763 07051999 1027240 1012628 125 5229 0992974 -071 157 050 -088 14051999 1015400 0988474 -116 5022 0960413 -404 134 1631 468 21051999 1012050 0996701 -033 5134 1022302 221 011 487 -073 28051999 986598 0974851 -255 4781 0931243 -712 649 5074 1814 04061999 977053 0990325 -097 4664 0975528 -248 095 614 241 11061999 1007370 1031029 306 4637 0994211 -058 934 034 -177 18061999 989166 0981929 -182 4442 0957947 -430 333 1846 783 25061999 1026150 1037389 367 4289 0965556 -351 1347 1229 -1287 02071999 995282 0969919 -305 4239 0988342 -117 933 138 358 09071999 995600 1000320 003 4152 0979476 -207 000 430 -007 16071999 1012170 1016643 165 3782 0910886 -933 272 8712 -1541 23071999 981962 0970155 -303 3657 0966949 -336 918 1130 1018 30071999 971997 0989852 -102 3748 1024884 246 104 604 -251 06081999 953229 0980691 -195 3672 0979723 -205 380 420 399 13081999 935049 0980928 -193 3575 0973584 -268 371 717 516 20081999 944102 1009682 096 3472 0971189 -292 093 855 -282 27081999 935339 0990718 -093 3472 1000000 000 087 000 000 03091999 928650 0992849 -072 3320 0956221 -448 052 2004 321 10091999 923843 0994824 -052 3207 0965964 -346 027 1199 180 17091999 936583 1013790 137 3166 0987215 -129 188 166 -176 24091999 963355 1028585 282 3189 1007265 072 794 052 204 01101999 964466 1001153 012 3150 0987770 -123 001 151 -014 08101999 1008430 1045584 446 3336 1059048 574 1987 3291 2557 15101999 1067340 1058418 568 3445 1032674 322 3223 1034 1825

Page 131

22101999 1019230 0954925 -461 3200 0928882 -738 2127 5442 3403 29101999 1038280 1018691 185 3210 1003125 031 343 010 058 05111999 1047550 1008928 089 2864 0892212 -1141 079 13008 -1014 12111999 1071510 1022872 226 2820 0984637 -155 511 240 -350 19111999 1077140 1005254 052 2828 1002837 028 027 008 015 26111999 1104220 1025141 248 2758 0975248 -251 617 628 -622 03121999 1152250 1043497 426 2796 1013778 137 1813 187 583 10121999 1338690 1161805 1500 3185 1139127 1303 22492 16968 19536 17121999 1235780 0923126 -800 2840 0891680 -1146 6398 13144 9171 24121999 1215240 0983379 -168 2754 0969718 -307 281 946 515 Sum -206 -13143 80467 158917 69392 Beta 086 Alpha -126 Std Dev Of Rndm Error Term 286 Std Error of Beta 0060 Std Error of Alpha 0167 Correlation Coefficient 065 Coefficient of Determination 042 Coefficient of Nondetermination 058

Page 132

Paints and Chemical Industries (PACHIN)

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5386 09011998 1222730 0985643 -145 5201 0965649 -350 209 1222 505 16011998 1206630 0986833 -133 5121 0984617 -155 176 240 205 23011998 1187560 0984196 -159 4640 0906162 -985 254 9710 1570 30011998 1161970 0978452 -218 4846 1044289 433 475 1878 -944 06021998 1152100 0991506 -085 4850 1000929 009 073 001 -008 13021998 1148570 0996936 -031 5240 1080412 773 009 5982 -237 20021998 1154110 1004823 048 5664 1080821 777 023 6040 374 27021998 1152270 0998406 -016 5648 0997263 -027 003 008 004 06031998 1171950 1017079 169 5709 1010800 107 287 115 182 13031998 1177260 1004531 045 5779 1012261 122 020 149 055 20031998 1188570 1009607 096 5835 1009690 096 091 093 092 27031998 1200260 1009835 098 5800 0994002 -060 096 036 -059 03041998 1197600 0997784 -022 5792 0998621 -014 005 002 003 10041998 1198900 1001086 011 5752 0993094 -069 001 048 -008 17041998 1195490 0997156 -028 5745 0998696 -013 008 002 004 24041998 1182420 0989067 -110 5743 0999652 -003 121 000 004 01051998 1176960 0995382 -046 5613 0977362 -229 021 524 106 08051998 1159590 0985242 -149 5750 1024410 241 221 582 -359 15051998 1129560 0974103 -262 5637 0980433 -198 688 390 518 22051998 1112340 0984755 -154 5338 0946869 -546 236 2981 839 29051998 1073430 0965020 -356 4772 0893958 -1121 1268 12566 3991 05061998 1045480 0973962 -264 4966 1040763 400 696 1596 -1054 12061998 1066480 1020086 199 5150 1037052 364 396 1324 724 19061998 1032170 0967829 -327 5184 1006602 066 1069 043 -215 26061998 1030030 0997927 -021 5013 0966917 -336 004 1132 070 03071998 1002040 0972826 -276 4836 0964688 -360 759 1292 990 10071998 982199 0980199 -200 4713 0974563 -258 400 664 515 17071998 970995 0988593 -115 4750 1007851 078 132 061 -090 24071998 995234 1024963 247 4797 1009896 098 608 097 243 31071998 1010220 1015058 149 4789 0998332 -017 223 003 -025 07081998 986274 0976296 -240 4700 0981414 -188 575 352 450 14081998 966470 0979920 -203 4355 0926588 -762 411 5814 1547 21081998 934316 0966730 -338 4041 0927891 -748 1145 5601 2532 28081998 901108 0964457 -362 3685 0912016 -921 1310 8482 3333 04091998 949019 1053169 518 3935 1067843 656 2684 4309 3400 11091998 950397 1001452 015 4291 1090343 865 002 7481 125 18091998 953342 1003099 031 4428 1031931 314 010 988 097 25091998 956663 1003484 035 4673 1055449 540 012 2912 188 02101998 958912 1002351 023 4670 0999251 -007 006 001 -002 09101998 943251 0983668 -165 4599 0984902 -152 271 231 251 16101998 943963 1000755 008 4513 0981300 -189 001 356 -014 23101998 934640 0990124 -099 4718 1045314 443 099 1964 -440

Page 133

30101998 918468 0982697 -175 4937 1046423 454 305 2059 -792 06111998 913223 0994289 -057 4450 0901448 -1038 033 10765 594 13111998 917822 1005036 050 4574 1027865 275 025 755 138 20111998 917160 0999279 -007 4286 0937035 -650 001 4229 047 27111998 906802 0988706 -114 4153 0968969 -315 129 994 358 04121998 902621 0995389 -046 3887 0935950 -662 021 4382 306 11121998 889094 0985014 -151 3465 0891433 -1149 228 13208 1735 18121998 902575 1015163 150 3490 1007215 072 226 052 108 25121998 906891 1004782 048 3468 0993696 -063 023 040 -030 01011999 914183 1008041 080 3500 1009227 092 064 084 074 08011999 983873 1076232 735 3962 1131857 1239 5397 15341 9099 15011999 989959 1006186 062 4063 1025495 252 038 634 155 22011999 1016140 1026447 261 4358 1072615 701 681 4914 1830 29011999 1105790 1088226 845 4246 0974412 -259 7149 672 -2192 05021999 1094590 0989871 -102 4203 0989873 -102 104 104 104 12021999 1053620 0962570 -381 3905 0928979 -737 1455 5427 2810 19021999 1071770 1017226 171 4049 1036881 362 292 1312 619 26021999 1055100 0984446 -157 3900 0963196 -375 246 1406 588 05031999 1039860 0985556 -145 3709 0951019 -502 212 2522 731 12031999 1041200 1001289 013 3733 1006606 066 002 043 008 19031999 1027650 0986986 -131 3665 0981784 -184 172 338 241 26031999 1031360 1003610 036 3548 0967940 -326 013 1062 -117 02041999 1034930 1003461 035 3564 1004651 046 012 022 016 09041999 1024940 0990347 -097 3503 0982884 -173 094 298 167 16041999 1026450 1001473 015 3772 1076649 739 002 5454 109 23041999 1038240 1011486 114 3711 0983826 -163 130 266 -186 30041999 1014430 0977067 -232 3649 0983291 -169 538 284 391 07051999 1027240 1012628 125 3593 0984651 -155 157 239 -194 14051999 1015400 0988474 -116 3508 0976479 -238 134 567 276 21051999 1012050 0996701 -033 3650 1040336 395 011 1564 -131 28051999 986598 0974851 -255 3487 0955336 -457 649 2088 1164 04061999 977053 0990325 -097 3513 1007601 076 095 057 -074 11061999 1007370 1031029 306 3597 1023769 235 934 552 718 18061999 989166 0981929 -182 3477 0966634 -339 333 1152 619 25061999 1026150 1037389 367 3375 0970804 -296 1347 878 -1088 02071999 995282 0969919 -305 3498 1036296 357 933 1271 -1089 09071999 995600 1000320 003 3487 0996998 -030 000 009 -001 16071999 1012170 1016643 165 3505 1005019 050 272 025 083 23071999 981962 0970155 -303 3446 0983307 -168 918 283 510 30071999 971997 0989852 -102 3359 0974753 -256 104 654 261 06081999 953229 0980691 -195 3162 0941203 -606 380 3672 1181 13081999 935049 0980928 -193 3022 0955717 -453 371 2051 872 20081999 944102 1009682 096 3149 1042032 412 093 1695 397 27081999 935339 0990718 -093 3109 0987454 -126 087 159 118 03091999 928650 0992849 -072 3072 0988099 -120 052 143 086 10091999 923843 0994824 -052 3065 0997559 -024 027 006 013 17091999 936583 1013790 137 3150 1027900 275 188 757 377 24091999 963355 1028585 282 3164 1004444 044 794 020 125 01101999 964466 1001153 012 3163 0999526 -005 001 000 -001 08101999 1008430 1045584 446 3317 1048854 477 1987 2275 2126 15101999 1067340 1058418 568 3392 1022460 222 3223 493 1261

Page 134

22101999 1019230 0954925 -461 3127 0922011 -812 2127 6593 3745 29101999 1038280 1018691 185 3162 1011193 111 343 124 206 05111999 1047550 1008928 089 3249 1027514 271 079 737 241 12111999 1071510 1022872 226 3235 0995537 -045 511 020 -101 19111999 1077140 1005254 052 2841 0878343 -1297 027 16827 -680 26111999 1104220 1025141 248 2755 0969553 -309 617 956 -768 03121999 1152250 1043497 426 2684 0974406 -259 1813 672 -1104 10121999 1338690 1161805 1500 2853 1062779 609 22492 3707 9132 17121999 1235780 0923126 -800 2592 0908501 -960 6398 9208 7676 24121999 1215240 0983379 -168 2553 0984951 -152 281 230 254 Sum -206 -7466 80467 223623 62586 Beta 078 Alpha -071 Std Dev Of Rndm Error Term 410 Std Error of Beta 0071 Std Error of Alpha 0200 Correlation Coefficient 047 Coefficient of Determination 022 Coefficient of Nondetermination 078

Page 135

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) (421)

ri = ln (Pt Pt-1) (422)

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 136

Helwan Portland Cement - Takeover

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 05082001 524103 2743 06082001 538487 1027445 003 2817 1026978 003 -056 085 002 -054 057 07082001 545306 1012663 001 2801 0994320 -001 -056 085 001 -055 055 112 08082001 545779 1000867 000 2787 0995002 -001 -056 085 000 -056 056 167 09082001 553572 1014279 001 2842 1019734 002 -056 085 001 -055 057 225 12082001 562356 1015868 002 2970 1045039 004 -056 085 001 -055 059 284 13082001 577288 1026553 003 3107 1046128 005 -056 085 002 -054 059 343 14082001 589018 1020319 002 3254 1047313 005 -056 085 002 -055 059 402 15082001 569431 0966746 -003 3109 0955439 -005 -056 085 -003 -059 055 457 16082001 561918 0986806 -001 3226 1037633 004 -056 085 -001 -058 061 518 19082001 574654 1022665 002 3380 1047737 005 -056 085 002 -055 059 577 20082001 574422 0999596 -000 3318 0981657 -002 -056 085 -000 -056 055 632 21082001 563572 0981111 -002 3170 0955395 -005 -056 085 -002 -058 053 685 22082001 557923 0989976 -001 3175 1001577 000 -056 085 -001 -057 057 743 23082001 564762 1012258 001 3241 1020787 002 -056 085 001 -055 057 800 26082001 562188 0995442 -000 3222 0994138 -001 -056 085 -000 -057 056 857 27082001 566747 1008109 001 3239 1005276 001 -056 085 001 -056 056 913 28082001 578448 1020646 002 3398 1049089 005 -056 085 002 -055 059 972 29082001 577700 0998707 -000 3561 1047969 005 -056 085 -000 -057 061 1034 30082001 595784 1031303 003 3739 1049986 005 -056 085 003 -054 059 1092 02092001 615099 1032419 003 3739 1000000 000 -056 085 003 -054 054 1146 03092001 623383 1013468 001 3926 1050013 005 -056 085 001 -055 060 1206 04092001 631607 1013193 001 4122 1049924 005 -056 085 001 -055 060 1266

Page 137

05092001 647104 1024536 002 4328 1049976 005 -056 085 002 -054 059 1325 06092001 642737 0993251 -001 4544 1049908 005 -056 085 -001 -057 062 1387 09092001 632584 0984203 -002 4770 1049736 005 -056 085 -001 -058 063 1450 10092001 640695 1012822 001 4541 0951992 -005 -056 085 001 -055 050 1500 11092001 646508 1009073 001 4344 0956617 -004 -056 085 001 -056 051 1552 12092001 622690 0963159 -004 4344 1000000 000 -056 085 -003 -060 060 1611 13092001 626337 1005857 001 4561 1049954 005 -056 085 000 -056 061 1672 16092001 624189 0996571 -000 5110 1120368 011 -056 085 -000 -057 068 1740 17092001 609400 0976307 -002 5110 1000000 000 -056 085 -002 -058 058 1799 18092001 601322 0986744 -001 5110 1000000 000 -056 085 -001 -058 058 1856 19092001 620730 1032276 003 5110 1000000 000 -056 085 003 -054 054 1910 20092001 614817 0990474 -001 5110 1000000 000 -056 085 -001 -057 057 1967 23092001 597012 0971040 -003 5110 1000000 000 -056 085 -003 -059 059 2026 24092001 588809 0986260 -001 5103 0998630 -000 -056 085 -001 -058 057 2084 25092001 581727 0987972 -001 5103 1000000 000 -056 085 -001 -057 057 2141 26092001 570192 0980171 -002 5103 1000000 000 -056 085 -002 -058 058 2199 27092001 561925 0985501 -001 5103 1000000 000 -056 085 -001 -058 058 2257 30092001 564278 1004187 000 4848 0950029 -005 -056 085 000 -056 051 2308 01102001 568252 1007043 001 4848 1000000 000 -056 085 001 -056 056 2364

Page 138

Suez Cement - Takeover

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 22082001 557923 3272 23082001 564762 1012258 001 3323 1015587 002 -020 126 002 -018 020 26082001 562188 0995442 -000 3257 0980138 -002 -020 126 -001 -020 018 038 27082001 566747 1008109 001 3287 1009211 001 -020 126 001 -018 019 057 28082001 578448 1020646 002 3451 1049894 005 -020 126 003 -017 022 079 29082001 577700 0998707 -000 3569 1034193 003 -020 126 -000 -020 023 102 30082001 595784 1031303 003 3662 1026058 003 -020 126 004 -016 018 120 02092001 615099 1032419 003 3708 1012561 001 -020 126 004 -015 017 137 03092001 623383 1013468 001 3654 0985437 -001 -020 126 002 -018 016 153 04092001 631607 1013193 001 3635 0994800 -001 -020 126 002 -018 017 170 05092001 647104 1024536 002 3765 1035763 004 -020 126 003 -016 020 190 06092001 642737 0993251 -001 3829 1016999 002 -020 126 -001 -020 022 213 09092001 632584 0984203 -002 3828 0999739 -000 -020 126 -002 -022 022 234 10092001 640695 1012822 001 3866 1009927 001 -020 126 002 -018 019 253 11092001 646508 1009073 001 3891 1006467 001 -020 126 001 -018 019 272 12092001 622690 0963159 -004 3700 0950912 -005 -020 126 -005 -024 019 291 13092001 626337 1005857 001 3849 1040270 004 -020 126 001 -019 023 314 16092001 624189 0996571 -000 3911 1016108 002 -020 126 -000 -020 022 335 17092001 609400 0976307 -002 3828 0978778 -002 -020 126 -003 -023 020 356 18092001 601322 0986744 -001 3675 0960031 -004 -020 126 -002 -021 017 373 19092001 620730 1032276 003 3829 1041905 004 -020 126 004 -015 020 393

Page 139

20092001 614817 0990474 -001 3801 0992687 -001 -020 126 -001 -021 020 413 23092001 597012 0971040 -003 3654 0961326 -004 -020 126 -004 -023 019 432 24092001 588809 0986260 -001 3523 0964149 -004 -020 126 -002 -021 018 449 25092001 581727 0987972 -001 3641 1033494 003 -020 126 -002 -021 024 474 26092001 570192 0980171 -002 3733 1025268 002 -020 126 -003 -022 025 498 27092001 561925 0985501 -001 3697 0990356 -001 -020 126 -002 -021 020 519 30092001 564278 1004187 000 3512 0949959 -005 -020 126 001 -019 014 533 01102001 568252 1007043 001 3512 1000000 000 -020 126 001 -019 019 551 02102001 555684 0977883 -002 3347 0953018 -005 -020 126 -003 -022 018 569 03102001 549459 0988798 -001 3201 0956379 -004 -020 126 -001 -021 016 585 04102001 544680 0991302 -001 3069 0958763 -004 -020 126 -001 -021 016 602 07102001 544675 0999991 -000 3266 1064190 006 -020 126 -000 -020 026 627 08102001 543049 0997015 -000 3276 1003062 000 -020 126 -000 -020 020 648 09102001 545728 1004933 000 3270 0998168 -000 -020 126 001 -019 019 666 10102001 549824 1007506 001 3330 1018349 002 -020 126 001 -019 020 687 11102001 554529 1008557 001 3419 1026727 003 -020 126 001 -018 021 708 14102001 563161 1015566 002 3330 0973969 -003 -020 126 002 -018 015 723 15102001 563789 1001115 000 3322 0997598 -000 -020 126 000 -019 019 742 16102001 560209 0993650 -001 3383 1018362 002 -020 126 -001 -020 022 764 17102001 573477 1023684 002 3463 1023648 002 -020 126 003 -017 019 783 18102001 579797 1011020 001 3510 1013572 001 -020 126 001 -018 019 802

Page 140

Commercial International Bank (CIB) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 20022000 1347460 4428 21022000 1343130 0996787 -032 4347 0981707 -185 -006 145 -047 -053 -132 22022000 1315370 0979332 -002 4283 0985277 -148 -006 145 -003 -009 -139 -271 23022000 1297370 0986316 -001 4135 0965445 -352 -006 145 -002 -008 -344 -614 24022000 1249590 0963172 -004 3967 0959371 -415 -006 145 -005 -012 -403 -1018 27022000 1284540 1027969 003 4043 1019158 190 -006 145 004 -002 192 -826 28022000 1302870 1014270 001 3931 0972298 -281 -006 145 002 -004 -277 -1103 29022000 1276950 0980105 -002 3824 0972780 -276 -006 145 -003 -009 -267 -1370 01032000 1271220 0995513 -000 3873 1012814 127 -006 145 -001 -007 134 -1235 02032000 1263010 0993542 -001 3847 0993287 -067 -006 145 -001 -007 -060 -1296 05032000 1234900 0977744 -002 3675 0955290 -457 -006 145 -003 -009 -448 -1744 06032000 1228550 0994858 -001 3600 0979592 -206 -006 145 -001 -007 -199 -1943 07032000 1265480 1030060 003 3756 1043333 424 -006 145 004 -002 426 -1517 08032000 1280930 1012209 001 3915 1042332 415 -006 145 002 -004 419 -1098 09032000 1278610 0998189 -000 4043 1032695 322 -006 145 -000 -006 328 -770 12032000 1236490 0967058 -003 3885 0960920 -399 -006 145 -005 -011 -388 -1157 13032000 1260850 1019701 002 3857 0992793 -072 -006 145 003 -003 -069 -1227 14032000 1262590 1001380 000 3860 1000778 008 -006 145 000 -006 014 -1213 19032000 1253290 0992634 -001 3808 0986528 -136 -006 145 -001 -007 -128 -1341 20032000 1246240 0994375 -001 3799 0997637 -024 -006 145 -001 -007 -017 -1358 21032000 1251680 1004365 000 3762 0990261 -098 -006 145 001 -006 -092 -1450

Page 141

22032000 1240940 0991420 -001 3720 0988836 -112 -006 145 -001 -007 -105 -1555 23032000 1233620 0994101 -001 3782 1016667 165 -006 145 -001 -007 172 -1383 26032000 1243700 1008171 001 3875 1024590 243 -006 145 001 -005 248 -1135 27032000 1247010 1002661 000 4004 1033290 327 -006 145 000 -006 333 -802 28032000 1262200 1012181 001 4065 1015235 151 -006 145 002 -004 156 -646 29032000 1260000 0998257 -000 3943 0969988 -305 -006 145 -000 -006 -298 -945 30032000 1251400 0993175 -001 4054 1028151 278 -006 145 -001 -007 285 -660 02042000 1252220 1000655 000 4042 0997040 -030 -006 145 000 -006 -024 -683 03042000 1259850 1006093 001 4132 1022266 220 -006 145 001 -005 225 -458 04042000 1248840 0991261 -001 4106 0993708 -063 -006 145 -001 -007 -056 -514 05042000 1239300 0992361 -001 4120 1003410 034 -006 145 -001 -007 041 -472 09042000 1220080 0984491 -002 4019 0975485 -248 -006 145 -002 -008 -240 -712 10042000 1180450 0967519 -003 3982 0990794 -092 -006 145 -005 -011 -082 -794 11042000 1181020 1000483 000 4062 1020090 199 -006 145 000 -006 205 -589 12042000 1215120 1028873 003 4085 1005662 056 -006 145 004 -002 058 -530 13042000 1198730 0986512 -001 4141 1013709 136 -006 145 -002 -008 144 -386 16042000 1156640 0964888 -004 3991 0963777 -369 -006 145 -005 -011 -358 -744 17042000 1124800 0972472 -003 3983 0997995 -020 -006 145 -004 -010 -010 -754 18042000 1128930 1003672 000 4105 1030630 302 -006 145 001 -006 307 -446 19042000 1119740 0991860 -001 3721 0906456 -982 -006 145 -001 -007 -975 -1421 20042000 1083240 0967403 -003 3648 0980382 -198 -006 145 -005 -011 -187 -1608

Page 142

Egyptian American Bank (EAB) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 06032000 1228550 3600 07032000 1265480 1030060 003 3756 1043333 004 -040 118 003 -036 040 08032000 1280930 1012209 001 3915 1042332 004 -040 118 001 -038 042 083 09032000 1278610 0998189 -000 4043 1032695 003 -040 118 -000 -040 043 126 12032000 1236490 0967058 -003 3885 0960920 -004 -040 118 -004 -044 040 166 13032000 1260850 1019701 002 3857 0992793 -001 -040 118 002 -037 037 202 14032000 1262590 1001380 000 3860 1000778 000 -040 118 000 -040 040 242 19032000 1253290 0992634 -001 3808 0986528 -001 -040 118 -001 -041 039 281 20032000 1246240 0994375 -001 3799 0997637 -000 -040 118 -001 -040 040 321 21032000 1251680 1004365 000 3762 0990261 -001 -040 118 001 -039 038 359 22032000 1240940 0991420 -001 3720 0988836 -001 -040 118 -001 -041 040 399 23032000 1233620 0994101 -001 3782 1016667 002 -040 118 -001 -040 042 441 26032000 1243700 1008171 001 3875 1024590 002 -040 118 001 -039 041 48227032000 1247010 1002661 000 4004 1033290 003 -040 118 000 -039 043 525 28032000 1262200 1012181 001 4065 1015235 002 -040 118 001 -038 040 564 29032000 1260000 0998257 -000 3943 0969988 -003 -040 118 -000 -040 037 601 30032000 1251400 0993175 -001 4054 1028151 003 -040 118 -001 -040 043 645 02042000 1252220 1000655 000 4042 0997040 -000 -040 118 000 -040 039 684 03042000 1259850 1006093 001 4132 1022266 002 -040 118 001 -039 041 725 04042000 1248840 0991261 -001 4106 0993708 -001 -040 118 -001 -041 040 765 05042000 1239300 0992361 -001 4120 1003410 000 -040 118 -001 -041 041 806

Page 143

09042000 1220080 0984491 -002 4019 0975485 -002 -040 118 -002 -042 039 845 10042000 1180450 0967519 -003 3982 0990794 -001 -040 118 -004 -044 043 888 11042000 1181020 1000483 000 4062 1020090 002 -040 118 000 -040 042 929 12042000 1215120 1028873 003 4085 1005662 001 -040 118 003 -036 037 966 13042000 1198730 0986512 -001 4141 1013709 001 -040 118 -002 -041 043 1009 16042000 1156640 0964888 -004 3991 0963777 -004 -040 118 -004 -044 040 1049 17042000 1124800 0972472 -003 3983 0997995 -000 -040 118 -003 -043 043 1092 18042000 1128930 1003672 000 4105 1030630 003 -040 118 000 -039 042 1134 19042000 1119740 0991860 -001 3721 0906456 -010 -040 118 -001 -041 031 1165 20042000 1083240 0967403 -003 3648 0980382 -002 -040 118 -004 -044 042 1206 23042000 1049820 0969148 -003 3489 0956414 -004 -040 118 -004 -043 039 1245 24042000 1042840 0993351 -001 3396 0973345 -003 -040 118 -001 -040 038 1283 26042000 1011554 0969999 -003 3563 1049176 005 -040 118 -004 -043 048 1331 27042000 1119630 1106842 010 3738 1049116 005 -040 118 012 -028 032 1364 02052000 1110810 0992122 -001 3682 0985019 -002 -040 118 -001 -041 039 1403 03052000 1081230 0973371 -003 3585 0973656 -003 -040 118 -003 -043 040 1443 04052000 1105850 1022770 002 3656 1019805 002 -040 118 003 -037 039 1482 07052000 1087730 0983614 -002 3646 0997265 -000 -040 118 -002 -042 041 1523 08052000 1104760 1015656 002 3671 1006857 001 -040 118 002 -038 039 1562 09052000 1125200 1018502 002 3734 1017162 002 -040 118 002 -038 039 1601 10052000 1136130 1009714 001 3707 0992769 -001 -040 118 001 -039 038 1639

Page 144

Misr International Bank (MIBANK) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 24022000 1249590 5186 27022000 1284540 1027969 003 5323 1026535 003 -036 127 004 -032 035 28022000 1302870 1014270 001 5391 1012774 001 -036 127 002 -034 035 070 29022000 1276950 0980105 -002 5395 1000742 000 -036 127 -003 -038 038 108 01032000 1271220 0995513 -000 5310 0984134 -002 -036 127 -001 -036 034 142 02032000 1263010 0993542 -001 5283 0995028 -000 -036 127 -001 -036 036 178 05032000 1234900 0977744 -002 5201 0984403 -002 -036 127 -003 -038 037 215 06032000 1228550 0994858 -001 5198 0999539 -000 -036 127 -001 -036 036 251 07032000 1265480 1030060 003 5389 1036627 004 -036 127 004 -032 035 286 08032000 1280930 1012209 001 5412 1004305 000 -036 127 002 -034 034 321 09032000 1278610 0998189 -000 5416 1000739 000 -036 127 -000 -036 036 357 12032000 1236490 0967058 -003 5218 0963516 -004 -036 127 -004 -040 036 393 13032000 1260850 1019701 002 5118 0980684 -002 -036 127 002 -033 031 424 14032000 1262590 1001380 000 5049 0986556 -001 -036 127 000 -035 034 458 19032000 1253290 0992634 -001 5047 0999683 -000 -036 127 -001 -036 036 494 20032000 1246240 0994375 -001 5035 0997622 -000 -036 127 -001 -036 036 530 21032000 1251680 1004365 000 4920 0977121 -002 -036 127 001 -035 033 563 22032000 1240940 0991420 -001 4838 0983252 -002 -036 127 -001 -037 035 598 23032000 1233620 0994101 -001 4860 1004630 000 -036 127 -001 -036 037 634 26032000 1243700 1008171 001 4974 1023539 002 -036 127 001 -034 037 671 27032000 1247010 1002661 000 5052 1015600 002 -036 127 000 -035 037 708

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28032000 1262200 1012181 001 5054 1000475 000 -036 127 002 -034 034 742 29032000 1260000 0998257 -000 4951 0979582 -002 -036 127 -000 -036 034 776 30032000 1251400 0993175 -001 4923 0994345 -001 -036 127 -001 -036 036 811 02042000 1252220 1000655 000 4993 1014137 001 -036 127 000 -035 037 848 03042000 1259850 1006093 001 4995 1000481 000 -036 127 001 -035 035 883 04042000 1248840 0991261 -001 4938 0988469 -001 -036 127 -001 -037 035 918 05042000 1239300 0992361 -001 5010 1014744 001 -036 127 -001 -036 038 956 09042000 1220080 0984491 -002 4806 0959285 -004 -036 127 -002 -037 033 990 10042000 1180450 0967519 -003 4761 0990513 -001 -036 127 -004 -040 039 1029 11042000 1181020 1000483 000 4796 1007394 001 -036 127 000 -035 036 1065 12042000 1215120 1028873 003 4800 1000834 000 -036 127 004 -032 032 1097 13042000 1198730 0986512 -001 4800 1000000 000 -036 127 -002 -037 037 1134 16042000 1156640 0964888 -004 4779 0995667 -000 -036 127 -005 -040 040 1174 17042000 1124800 0972472 -003 4353 0910780 -009 -036 127 -004 -039 030 1203 18042000 1128930 1003672 000 4397 1010108 001 -036 127 000 -035 036 1239 19042000 1119740 0991860 -001 4378 0995633 -000 -036 127 -001 -037 036 1275 20042000 1083240 0967403 -003 4205 0960526 -004 -036 127 -004 -040 036 1311 23042000 1049820 0969148 -003 4061 0965753 -003 -036 127 -004 -039 036 1347 24042000 1042840 0993351 -001 4257 1048266 005 -036 127 -001 -036 041 1388 26042000 1011554 0969999 -003 4469 1049803 005 -036 127 -004 -039 044 1432 27042000 1119630 1106842 010 4613 1032223 003 -036 127 013 -023 026 1458

Page 146

Ameryah Cement Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 05042000 1239300 8213 09042000 1220080 0984491 -002 7803 0950079 -005 -043 105 -002 -045 039 10042000 1180450 0967519 -003 7803 1000000 000 -043 105 -003 -046 046 086 11042000 1181020 1000483 000 7803 1000000 000 -043 105 000 -043 043 129 12042000 1215120 1028873 003 7803 1000000 000 -043 105 003 -040 040 169 13042000 1198730 0986512 -001 7803 1000000 000 -043 105 -001 -044 044 213 16042000 1156640 0964888 -004 7803 1000000 000 -043 105 -004 -047 047 260 17042000 1124800 0972472 -003 7803 1000000 000 -043 105 -003 -046 046 306 18042000 1128930 1003672 000 7803 1000000 000 -043 105 000 -043 043 348 19042000 1119740 0991860 -001 7803 1000000 000 -043 105 -001 -044 044 392 20042000 1083240 0967403 -003 7803 1000000 000 -043 105 -003 -046 046 439 23042000 1049820 0969148 -003 7803 1000000 000 -043 105 -003 -046 046 485 24042000 1042840 0993351 -001 7803 1000000 000 -043 105 -001 -044 044 529 26042000 1011554 0969999 -003 7803 1000000 000 -043 105 -003 -046 046 575 27042000 1119630 1106842 010 7803 1000000 000 -043 105 011 -032 032 607 02052000 1110810 0992122 -001 7803 1000000 000 -043 105 -001 -044 044 651 03052000 1081230 0973371 -003 7803 1000000 000 -043 105 -003 -046 046 697 04052000 1105850 1022770 002 7803 1000000 000 -043 105 002 -041 041 737 07052000 1087730 0983614 -002 7803 1000000 000 -043 105 -002 -045 045 782 08052000 1104760 1015656 002 7803 1000000 000 -043 105 002 -041 041 823 09052000 1125200 1018502 002 7803 1000000 000 -043 105 002 -041 041 864

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10052000 1136130 1009714 001 7803 1000000 000 -043 105 001 -042 042 906 11052000 1139120 1002632 000 7803 1000000 000 -043 105 000 -043 043 949 14052000 1161700 1019822 002 7803 1000000 000 -043 105 002 -041 041 990 15052000 1179430 1015262 002 7803 1000000 000 -043 105 002 -041 041 1031 16052000 1203490 1020400 002 7803 1000000 000 -043 105 002 -041 041 1072 17052000 1207650 1003457 000 7803 1000000 000 -043 105 000 -043 043 1115 18052000 1170140 0968940 -003 7803 1000000 000 -043 105 -003 -046 046 1161 21052000 1144730 0978285 -002 7803 1000000 000 -043 105 -002 -045 045 1206 22052000 1127050 0984555 -002 7803 1000000 000 -043 105 -002 -045 045 1251 23052000 1137800 1009538 001 7803 1000000 000 -043 105 001 -042 042 1293 24052000 1105280 0971419 -003 7803 1000000 000 -043 105 -003 -046 046 1339 25052000 1079810 0976956 -002 7803 1000000 000 -043 105 -002 -045 045 1384 28052000 1096220 1015197 002 7803 1000000 000 -043 105 002 -041 041 1426 29052000 1120420 1022076 002 7803 1000000 000 -043 105 002 -041 041 1466 30052000 1094380 0976759 -002 7803 1000000 000 -043 105 -002 -045 045 1512 31052000 1091100 0997003 -000 7803 1000000 000 -043 105 -000 -043 043 1555 01062000 1084760 0994189 -001 7803 1000000 000 -043 105 -001 -044 044 1599 04062000 1055620 0973137 -003 7803 1000000 000 -043 105 -003 -046 046 1644 05062000 1053290 0997793 -000 7803 1000000 000 -043 105 -000 -043 043 1688 06062000 1033450 0981164 -002 7803 1000000 000 -043 105 -002 -045 045 1732 07062000 1019220 0986231 -001 7803 1000000 000 -043 105 -001 -044 044 1777

Page 148

Egyptian Financial and Industrial Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 11052000 1139120 3960 14052000 1161700 1019822 002 3905 0986111 -001 -126 086 002 -124 123 15052000 1179430 1015262 002 3975 1017926 002 -126 086 001 -125 126 249 16052000 1203490 1020400 002 3999 1006038 001 -126 086 002 -124 125 374 17052000 1207650 1003457 000 3921 0980495 -002 -126 086 000 -126 124 498 18052000 1170140 0968940 -003 3897 0993879 -001 -126 086 -003 -129 128 626 21052000 1144730 0978285 -002 3842 0985887 -001 -126 086 -002 -128 126 752 22052000 1127050 0984555 -002 3964 1031754 003 -126 086 -001 -127 130 882 23052000 1137800 1009538 001 4000 1009082 001 -126 086 001 -125 126 1008 24052000 1105280 0971419 -003 3860 0965000 -004 -126 086 -002 -128 125 1133 25052000 1079810 0976956 -002 3853 0998187 -000 -126 086 -002 -128 128 1261 28052000 1096220 1015197 002 4023 1044121 004 -126 086 001 -125 129 1390 29052000 1120420 1022076 002 4109 1021377 002 -126 086 002 -124 126 1516 30052000 1094380 0976759 -002 3911 0951813 -005 -126 086 -002 -128 123 1639 31052000 1091100 0997003 -000 3950 1009972 001 -126 086 -000 -126 127 1766 01062000 1084760 0994189 -001 3949 0999747 -000 -126 086 -001 -126 126 1892 04062000 1055620 0973137 -003 3810 0964801 -004 -126 086 -002 -128 125 2017 05062000 1053290 0997793 -000 4021 1055381 005 -126 086 -000 -126 131 2148 06062000 1033450 0981164 -002 3919 0974633 -003 -126 086 -002 -128 125 2273 07062000 1019220 0986231 -001 3846 0981373 -002 -126 086 -001 -127 125 2398 08062000 1015120 0995977 -000 4002 1040562 004 -126 086 -000 -126 130 2529

Page 149

11062000 989079 0974347 -003 4094 1022989 002 -126 086 -002 -128 130 2659 12062000 974139 0984895 -002 3890 0950171 -005 -126 086 -001 -127 122 2781 13062000 1001770 1028365 003 3922 1008226 001 -126 086 002 -123 124 2905 14062000 1001480 0999711 -000 3777 0963029 -004 -126 086 -000 -126 122 3028 18062000 975257 0973816 -003 3777 1000000 000 -126 086 -002 -128 128 3156 19062000 951281 0975416 -002 3528 0934075 -007 -126 086 -002 -128 121 3277 20062000 924905 0972273 -003 3362 0952948 -005 -126 086 -002 -128 123 3400 21062000 932278 1007972 001 3194 0950030 -005 -126 086 001 -125 120 3521 22062000 916437 0983008 -002 3035 0950219 -005 -126 086 -001 -127 122 3643 25062000 887397 0968312 -003 2885 0950577 -005 -126 086 -003 -129 124 3766 26062000 861150 0970422 -003 2753 0954246 -005 -126 086 -003 -128 124 3890 27062000 864892 1004345 000 2655 0964402 -004 -126 086 000 -126 122 4012 28062000 897903 1038168 004 2716 1022976 002 -126 086 003 -123 125 4137 29062000 899917 1002243 000 2850 1049337 005 -126 086 000 -126 131 4267 02072000 925746 1028702 003 2985 1047368 005 -126 086 002 -123 128 4396 03072000 925263 0999478 -000 2838 0950754 -005 -126 086 -000 -126 121 4516 04072000 901986 0974843 -003 2787 0982030 -002 -126 086 -002 -128 126 4643 05072000 931992 1033267 003 2883 1034446 003 -126 086 003 -123 126 4769 06072000 939109 1007636 001 2887 1001387 000 -126 086 001 -125 125 4895 09072000 954862 1016774 002 2750 0952546 -005 -126 086 001 -124 120 5014 10072000 952481 0997506 -000 2855 1038182 004 -126 086 -000 -126 130 5144

Page 150

Abu Keir For Fertilisers Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 13092000 820460 3114 14092000 811616 0989221 -001 3114 1000000 000 -094 047 -001 -095 095 17092000 800136 0985855 -001 3139 1008028 001 -094 047 -001 -095 096 191 18092000 785147 0981267 -002 3149 1003186 000 -094 047 -001 -095 096 287 19092000 781014 0994736 -001 3126 0992696 -001 -094 047 -000 -095 094 381 20092000 769681 0985489 -001 3128 1000640 000 -094 047 -001 -095 095 476 21092000 777843 1010604 001 3185 1018223 002 -094 047 001 -094 096 572 24092000 773441 0994341 -001 3109 0976138 -002 -094 047 -000 -095 092 664 25092000 776658 1004159 000 3114 1001608 000 -094 047 000 -094 094 759 26092000 769503 0990787 -001 3102 0996146 -000 -094 047 -000 -095 095 853 27092000 765212 0994424 -001 3178 1024500 002 -094 047 -000 -095 097 950 28092000 747666 0977070 -002 3143 0988987 -001 -094 047 -001 -096 094 1045 01102000 723766 0968034 -003 3031 0964365 -004 -094 047 -002 -096 092 1137 02102000 736337 1017369 002 3007 0992082 -001 -094 047 001 -094 093 1230 03102000 717831 0974867 -003 3000 0997672 -000 -094 047 -001 -096 095 1326 04102000 698780 0973460 -003 3007 1002333 000 -094 047 -001 -096 096 1422 08102000 673198 0963390 -004 2935 0976056 -002 -094 047 -002 -096 094 1515 09102000 669556 0994590 -001 2892 0985349 -001 -094 047 -000 -095 093 1609 10102000 652161 0974020 -003 2863 0989972 -001 -094 047 -001 -096 095 1703 11102000 629197 0964788 -004 2811 0981837 -002 -094 047 -002 -096 094 1798 12102000 607631 0965725 -003 2822 1003913 000 -094 047 -002 -096 097 1894

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15102000 619357 1019298 002 2948 1044649 004 -094 047 001 -094 098 1992 16102000 646053 1043103 004 3093 1049186 005 -094 047 002 -092 097 2090 17102000 668052 1034051 003 3183 1029098 003 -094 047 002 -093 096 2185 18102000 688105 1030017 003 3199 1005027 001 -094 047 001 -093 094 2279 19102000 688893 1001145 000 3186 0995936 -000 -094 047 000 -094 094 2373 22102000 719462 1044374 004 3196 1003139 000 -094 047 002 -092 093 2466 23102000 723338 1005387 001 3044 0952441 -005 -094 047 000 -094 089 2555 24102000 702403 0971058 -003 2929 0962221 -004 -094 047 -001 -096 092 2647 25102000 725191 1032443 003 2695 0920109 -008 -094 047 002 -093 085 2732 26102000 730437 1007234 001 2675 0992579 -001 -094 047 000 -094 093 2825 29102000 726703 0994888 -001 2713 1014206 001 -094 047 -000 -095 096 2921 30102000 714909 0983771 -002 2700 0995208 -000 -094 047 -001 -095 095 3016 31102000 733186 1025565 003 2734 1012593 001 -094 047 001 -093 095 3111 01112000 742977 1013354 001 2742 1002926 000 -094 047 001 -094 094 3205 02112000 747364 1005905 001 2749 1002553 000 -094 047 000 -094 094 3299 05112000 760243 1017233 002 2628 0955984 -005 -094 047 001 -094 089 3388 06112000 761956 1002253 000 2505 0953196 -005 -094 047 000 -094 090 3478 07112000 757468 0994110 -001 2630 1049900 005 -094 047 -000 -095 100 3578 08112000 762190 1006234 001 2749 1045247 004 -094 047 000 -094 099 3676 09112000 773445 1014767 001 2751 1000728 000 -094 047 001 -094 094 3770 12112000 807548 1044092 004 2835 1030534 003 -094 047 002 -092 095 3866

Page 152

Helwan Portland Cement Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 26032000 1243700 4298 27032000 1247010 1002661 000 4293 0998837 -000 -056 085 000 -056 056 28032000 1262200 1012181 001 4144 0965292 -004 -056 085 001 -055 052 108 29032000 1260000 0998257 -000 4132 0997104 -000 -056 085 -000 -057 056 164 30032000 1251400 0993175 -001 4187 1013311 001 -056 085 -001 -057 058 223 02042000 1252220 1000655 000 4076 0973489 -003 -056 085 000 -056 054 276 03042000 1259850 1006093 001 4217 1034593 003 -056 085 001 -056 059 336 04042000 1248840 0991261 -001 4201 0996206 -000 -056 085 -001 -057 057 392 05042000 1239300 0992361 -001 4165 0991431 -001 -056 085 -001 -057 056 449 09042000 1220080 0984491 -002 414 0993998 -001 -056 085 -001 -058 057 506 10042000 1180450 0967519 -003 4036 0974879 -003 -056 085 -003 -059 057 562 11042000 1181020 1000483 000 4142 1026264 003 -056 085 000 -056 059 621 12042000 1215120 1028873 003 422 1018831 002 -056 085 002 -054 056 677 13042000 1198730 0986512 -001 4198 0994787 -001 -056 085 -001 -058 057 734 16042000 1156640 0964888 -004 4095 0975465 -002 -056 085 -003 -059 057 791 17042000 1124800 0972472 -003 408 0996337 -000 -056 085 -002 -059 058 850 18042000 1128930 1003672 000 409 1002451 000 -056 085 000 -056 056 906 19042000 1119740 0991860 -001 4082 0998044 -000 -056 085 -001 -057 057 963 20042000 1083240 0967403 -003 4081 0999755 -000 -056 085 -003 -059 059 1022 23042000 1049820 0969148 -003 405 0992404 -001 -056 085 -003 -059 058 1081 24042000 1042840 0993351 -001 4185 1033333 003 -056 085 -001 -057 060 1141

Page 153

26042000 1011554 0969999 -003 4264 1018877 002 -056 085 -003 -059 061 1202 27042000 1119630 1106842 010 4246 0995779 -000 -056 085 009 -048 047 1249 02052000 1110810 0992122 -001 3692 0869524 -014 -056 085 -001 -057 043 1292 03052000 1081230 0973371 -003 3656 0990249 -001 -056 085 -002 -059 058 1350 04052000 1105850 1022770 002 3686 1008206 001 -056 085 002 -055 055 1405 07052000 1087730 0983614 -002 3718 1008681 001 -056 085 -001 -058 059 1464 08052000 1104760 1015656 002 3875 1042227 004 -056 085 001 -055 059 1523 09052000 1125200 1018502 002 4038 1042065 004 -056 085 002 -055 059 1582 10052000 1136130 1009714 001 3867 0957652 -004 -056 085 001 -056 051 1634 11052000 1139120 1002632 000 3805 0983967 -002 -056 085 000 -056 055 1688 14052000 1161700 1019822 002 3818 1003417 000 -056 085 002 -055 055 1743 15052000 1179430 1015262 002 3887 1018072 002 -056 085 001 -055 057 1800 16052000 1203490 1020400 002 3937 1012863 001 -056 085 002 -055 056 1856 17052000 1207650 1003457 000 3859 0980188 -002 -056 085 000 -056 054 1910 18052000 1170140 0968940 -003 3807 0986525 -001 -056 085 -003 -059 058 196821052000 1144730 0978285 -002 3805 0999475 -000 -056 085 -002 -058 058 2026 22052000 1127050 0984555 -002 3764 0989225 -001 -056 085 -001 -058 057 2083 23052000 1137800 1009538 001 3749 0996015 -000 -056 085 001 -056 055 2138 24052000 1105280 0971419 -003 3672 0979461 -002 -056 085 -002 -059 057 2195 25052000 1079810 0976956 -002 3633 0989379 -001 -056 085 -002 -058 057 2252 28052000 1096220 1015197 002 3623 0997247 -000 -056 085 001 -055 055 2307

Page 154

Torah Portland Cement Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 20082000 869132 4441 21082000 852890 0981312 -002 4335 0976132 -002 -006 107 -002 -008 006 22082000 836269 0980512 -002 4119 0950173 -005 -006 107 -002 -008 003 009 23082000 850672 1017223 002 4128 1002185 000 -006 107 002 -004 005 013 24082000 832698 0978871 -002 4115 0996851 -000 -006 107 -002 -008 008 021 27082000 836762 1004881 000 4161 1011179 001 -006 107 001 -006 007 028 28082000 832011 0994322 -001 4235 1017784 002 -006 107 -001 -007 008 037 29082000 822734 0988850 -001 4145 0978749 -002 -006 107 -001 -007 005 042 30082000 802537 0975451 -002 4156 1002654 000 -006 107 -003 -009 009 051 31082000 816798 1017770 002 4297 1033927 003 -006 107 002 -004 008 058 03092000 812893 0995219 -000 4344 1010938 001 -006 107 -001 -007 008 066 04092000 819306 1007889 001 4349 1001151 000 -006 107 001 -005 005 071 05092000 831599 1015004 001 4492 1032881 003 -006 107 002 -005 008 079 06092000 835104 1004215 000 4503 1002449 000 -006 107 000 -006 006 085 07092000 845660 1012640 001 4509 1001332 000 -006 107 001 -005 005 090 10092000 835500 0987986 -001 4309 0955644 -005 -006 107 -001 -007 003 093 11092000 823263 0985354 -001 4309 1000000 000 -006 107 -002 -008 008 101 12092000 837424 1017201 002 4325 1003713 000 -006 107 002 -004 005 105 13092000 820460 0979743 -002 4397 1016647 002 -006 107 -002 -008 010 115 14092000 811616 0989221 -001 4399 1000455 000 -006 107 -001 -007 007 122 17092000 800136 0985855 -001 4392 0998409 -000 -006 107 -002 -008 007 130

Page 155

18092000 785147 0981267 -002 4272 0972678 -003 -006 107 -002 -008 005 135 19092000 781014 0994736 -001 42 0983146 -002 -006 107 -001 -007 005 140 20092000 769681 0985489 -001 4166 0991905 -001 -006 107 -002 -008 007 147 21092000 777843 1010604 001 36 0864138 -015 -006 107 001 -005 -010 138 24092000 773441 0994341 -001 3569 0991389 -001 -006 107 -001 -007 006 143 25092000 776658 1004159 000 3625 1015691 002 -006 107 000 -006 007 151 26092000 769503 0990787 -001 3559 0981793 -002 -006 107 -001 -007 005 156 27092000 765212 0994424 -001 3467 0974150 -003 -006 107 -001 -007 004 160 28092000 747666 0977070 -002 345 0995097 -000 -006 107 -002 -009 008 168 01102000 723766 0968034 -003 345 1000000 000 -006 107 -003 -010 010 178 02102000 736337 1017369 002 3432 0994783 -001 -006 107 002 -004 004 181 03102000 717831 0974867 -003 3305 0962995 -004 -006 107 -003 -009 005 186 04102000 698780 0973460 -003 3449 1043570 004 -006 107 -003 -009 013 200 08102000 673198 0963390 -004 3449 1000000 000 -006 107 -004 -010 010 210 09102000 669556 0994590 -001 3354 0972456 -003 -006 107 -001 -007 004 214 10102000 652161 0974020 -003 3302 0984496 -002 -006 107 -003 -009 007 221 11102000 629197 0964788 -004 335 1014537 001 -006 107 -004 -010 011 232 12102000 607631 0965725 -003 3297 0984179 -002 -006 107 -004 -010 008 241 15102000 619357 1019298 002 3256 0987564 -001 -006 107 002 -004 003 244 16102000 646053 1043103 004 3248 0997543 -000 -006 107 005 -002 001 245 17102000 668052 1034051 003 3228 0993842 -001 -006 107 004 -003 002 247

Page 156

Nasr City for Housing and Development Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 21092000 777843 2026 -115 075 24092000 773441 0994341 -001 1999 0986673 -001 -115 075 -000 -115 114 25092000 776658 1004159 000 2080 1040520 004 -115 075 000 -115 119 233 26092000 769503 0990787 -001 2183 1049519 005 -115 075 -001 -116 120 353 27092000 765212 0994424 -001 2092 0958314 -004 -115 075 -000 -115 111 464 28092000 747666 0977070 -002 1996 0954111 -005 -115 075 -002 -117 112 576 01102000 723766 0968034 -003 1975 0989479 -001 -115 075 -002 -117 116 692 02102000 736337 1017369 002 1927 0975696 -002 -115 075 001 -114 111 804 03102000 717831 0974867 -003 1856 0963155 -004 -115 075 -002 -117 113 917 04102000 698780 0973460 -003 1888 1017241 002 -115 075 -002 -117 119 1035 08102000 673198 0963390 -004 1825 0966631 -003 -115 075 -003 -118 114 1150 09102000 669556 0994590 -001 1761 0964932 -004 -115 075 -000 -115 112 1261 10102000 652161 0974020 -003 1674 0950596 -005 -115 075 -002 -117 112 1373 11102000 629197 0964788 -004 1604 0958184 -004 -115 075 -003 -118 113 1486 12102000 607631 0965725 -003 1527 0951995 -005 -115 075 -003 -118 113 1599 15102000 619357 1019298 002 1597 1045842 004 -115 075 001 -113 118 1717 16102000 646053 1043103 004 1676 1049468 005 -115 075 003 -112 117 1834 17102000 668052 1034051 003 1758 1048926 005 -115 075 003 -112 117 1951 18102000 688105 1030017 003 1839 1046075 005 -115 075 002 -113 117 2068 19102000 688893 1001145 000 1906 1036433 004 -115 075 000 -115 118 2186 22102000 719462 1044374 004 2000 1049318 005 -115 075 003 -112 116 2303

Page 157

23102000 723338 1005387 001 1926 0963000 -004 -115 075 000 -115 111 2414 24102000 702403 0971058 -003 1830 0950156 -005 -115 075 -002 -117 112 2526 25102000 725191 1032443 003 1535 0838798 -018 -115 075 002 -113 095 2621 26102000 730437 1007234 001 1610 1048860 005 -115 075 001 -114 119 2740 29102000 726703 0994888 -001 1690 1049689 005 -115 075 -000 -115 120 2860 30102000 714909 0983771 -002 1774 1049704 005 -115 075 -001 -116 121 2981 31102000 733186 1025565 003 1855 1045660 004 -115 075 002 -113 118 3099 01112000 742977 1013354 001 1934 1042588 004 -115 075 001 -114 118 3217 02112000 747364 1005905 001 1982 1024819 002 -115 075 000 -114 117 3334 05112000 760243 1017233 002 2080 1049445 005 -115 075 001 -114 118 3452 06112000 761956 1002253 000 2176 1046154 005 -115 075 000 -115 119 3571 07112000 757468 0994110 -001 2278 1046875 005 -115 075 -000 -115 120 3691 08112000 762190 1006234 001 2381 1045215 004 -115 075 000 -114 119 3810 09112000 773445 1014767 001 2498 1049139 005 -115 075 001 -114 119 3929 12112000 807548 1044092 004 2617 1047638 005 -115 075 003 -112 116 4045 13112000 828930 1026478 003 2747 1049675 005 -115 075 002 -113 118 4163 14112000 817709 0986463 -001 2674 0973426 -003 -115 075 -001 -116 113 4276 15112000 845954 1034542 003 2689 1005610 001 -115 075 003 -112 113 4389 16112000 872700 1031616 003 2810 1044998 004 -115 075 002 -113 117 4506 19112000 845917 0969310 -003 2678 0953025 -005 -115 075 -002 -117 112 4619 20112000 838561 0991304 -001 2545 0950336 -005 -115 075 -001 -116 110 4729

Page 158

Paints and Chemical Industries (PACHIN) Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 04102000 698780 2750 08102000 673198 0963390 -004 2690 0978182 -002 -071 078 -003 -074 072 09102000 669556 0994590 -001 2700 1003717 000 -071 078 -000 -071 072 143 10102000 652161 0974020 -003 2647 0980370 -002 -071 078 -002 -073 071 214 11102000 629197 0964788 -004 2515 0950132 -005 -071 078 -003 -074 069 283 12102000 607631 0965725 -003 2390 0950298 -005 -071 078 -003 -074 069 351 15102000 619357 1019298 002 2481 1038075 004 -071 078 001 -069 073 425 16102000 646053 1043103 004 2489 1003225 000 -071 078 003 -068 068 493 17102000 668052 1034051 003 2483 0997589 -000 -071 078 003 -068 068 561 18102000 688105 1030017 003 2402 0967378 -003 -071 078 002 -069 065 626 19102000 688893 1001145 000 2301 0957952 -004 -071 078 000 -071 067 693 22102000 719462 1044374 004 2414 1049109 005 -071 078 003 -068 072 765 23102000 723338 1005387 001 2305 0954847 -005 -071 078 000 -071 066 831 24102000 702403 0971058 -003 2197 0953145 -005 -071 078 -002 -073 068 899 25102000 725191 1032443 003 2303 1048248 005 -071 078 002 -068 073 972 26102000 730437 1007234 001 2417 1049501 005 -071 078 001 -070 075 1048 29102000 726703 0994888 -001 2519 1042201 004 -071 078 -000 -071 075 1123 30102000 714909 0983771 -002 2396 0951171 -005 -071 078 -001 -072 067 1190 31102000 733186 1025565 003 2428 1013356 001 -071 078 002 -069 070 1261 01112000 742977 1013354 001 2346 0966227 -003 -071 078 001 -070 066 1327 02112000 747364 1005905 001 2304 0982097 -002 -071 078 000 -070 069 1396

Page 159

05112000 760243 1017233 002 2412 1046875 005 -071 078 001 -070 074 1470 06112000 761956 1002253 000 2416 1001658 000 -071 078 000 -071 071 1541 07112000 757468 0994110 -001 2315 0958195 -004 -071 078 -000 -071 067 1608 08112000 762190 1006234 001 2301 0993952 -001 -071 078 000 -070 070 1678 09112000 773445 1014767 001 2303 1000869 000 -071 078 001 -070 070 1748 12112000 807548 1044092 004 2412 1047330 005 -071 078 003 -068 072 1820 13112000 828930 1026478 003 2399 0994610 -001 -071 078 002 -069 068 1888 14112000 817709 0986463 -001 2296 0957065 -004 -071 078 -001 -072 068 1956 15112000 845954 1034542 003 2395 1043118 004 -071 078 003 -068 073 2029 16112000 872700 1031616 003 2453 1024217 002 -071 078 002 -069 071 2099 19112000 845917 0969310 -003 2396 0976763 -002 -071 078 -002 -073 071 2170 20112000 838561 0991304 -001 2322 0969115 -003 -071 078 -001 -072 068 2239 21112000 800223 0954281 -005 2255 0971146 -003 -071 078 -004 -075 072 2311 22112000 778413 0972745 -003 2361 1047007 005 -071 078 -002 -073 078 2388 23112000 799245 1026762 003 2340 0991105 -001 -071 078 002 -069 068 2456 26112000 823981 1030949 003 2353 1005556 001 -071 078 002 -069 069 2525 27112000 816509 0990932 -001 2310 0981725 -002 -071 078 -001 -072 070 2595 28112000 793731 0972103 -003 2210 0956710 -004 -071 078 -002 -073 069 2664 29112000 790196 0995546 -000 2253 1019457 002 -071 078 -000 -071 073 2737 30112000 796977 1008581 001 2299 1020417 002 -071 078 001 -070 072 2809 03122000 772668 0969498 -003 2299 1000000 000 -071 078 -002 -073 073 2883

Page 160

Upper Egypt Flour Mills Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 21092000 777843 2130 24092000 773441 0994341 -001 2073 0973239 -003 -075 087 -000 -076 073 25092000 776658 1004159 000 2056 0991799 -001 -075 087 000 -075 074 147 26092000 769503 0990787 -001 2051 0997568 -000 -075 087 -001 -076 076 223 27092000 765212 0994424 -001 2064 1006338 001 -075 087 -000 -076 076 299 28092000 747666 0977070 -002 2019 0978198 -002 -075 087 -002 -077 075 374 01102000 723766 0968034 -003 1995 0988113 -001 -075 087 -003 -078 077 451 02102000 736337 1017369 002 2055 1030075 003 -075 087 001 -074 077 528 03102000 717831 0974867 -003 2023 0984428 -002 -075 087 -002 -077 076 603 04102000 698780 0973460 -003 2010 0993574 -001 -075 087 -002 -078 077 680 08102000 673198 0963390 -004 2010 1000000 000 -075 087 -003 -078 078 759 09102000 669556 0994590 -001 1973 0981592 -002 -075 087 -000 -076 074 833 10102000 652161 0974020 -003 1909 0967562 -003 -075 087 -002 -077 074 907 11102000 629197 0964788 -004 1871 0980094 -002 -075 087 -003 -078 076 983 12102000 607631 0965725 -003 1850 0988776 -001 -075 087 -003 -078 077 1060 15102000 619357 1019298 002 1851 1000541 000 -075 087 002 -074 074 1134 16102000 646053 1043103 004 1942 1049163 005 -075 087 004 -072 076 1210 17102000 668052 1034051 003 2039 1049949 005 -075 087 003 -072 077 1287 18102000 688105 1030017 003 2126 1042668 004 -075 087 003 -073 077 1364 19102000 688893 1001145 000 2179 1024929 002 -075 087 000 -075 078 1442 22102000 719462 1044374 004 2118 0972006 -003 -075 087 004 -071 069 1510

Page 161

23102000 723338 1005387 001 2222 1049103 005 -075 087 000 -075 080 1590 24102000 702403 0971058 -003 2187 0984248 -002 -075 087 -003 -078 076 1666 25102000 725191 1032443 003 2142 0979424 -002 -075 087 003 -072 070 1736 26102000 730437 1007234 001 2160 1008403 001 -075 087 001 -075 075 1812 29102000 726703 0994888 -001 2190 1013889 001 -075 087 -000 -076 077 1889 30102000 714909 0983771 -002 2178 0994521 -001 -075 087 -001 -077 076 1965 31102000 733186 1025565 003 1774 0814509 -021 -075 087 002 -073 052 2017 01112000 742977 1013354 001 1826 1029312 003 -075 087 001 -074 077 2094 02112000 747364 1005905 001 1776 0972618 -003 -075 087 001 -075 072 2166 05112000 760243 1017233 002 1822 1025901 003 -075 087 001 -074 076 2242 06112000 761956 1002253 000 1840 1009879 001 -075 087 000 -075 076 2318 07112000 757468 0994110 -001 1790 0972826 -003 -075 087 -001 -076 073 2391 08112000 762190 1006234 001 1777 0992737 -001 -075 087 001 -075 074 2465 09112000 773445 1014767 001 1811 1019133 002 -075 087 001 -074 076 2541 12112000 807548 1044092 004 1815 1002209 000 -075 087 004 -071 072 2613 13112000 828930 1026478 003 1838 1012672 001 -075 087 002 -073 074 2687 14112000 817709 0986463 -001 1803 0980958 -002 -075 087 -001 -076 074 2761 15112000 845954 1034542 003 1788 0991681 -001 -075 087 003 -072 071 2833 16112000 872700 1031616 003 1807 1010626 001 -075 087 003 -072 074 2906 19112000 845917 0969310 -003 1799 0995573 -000 -075 087 -003 -078 077 2984 20112000 838561 0991304 -001 1766 0981656 -002 -075 087 -001 -076 074 3058

Page 162

Commercial International Bank (CIB) Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 11032001 675900 3598 12032001 668606 0989208 -001 3600 1000556 000 -006 145 -002 -008 008 14032001 643440 0962360 -004 3514 0976111 -002 -006 145 -006 -012 009 017 15032001 634936 0986784 -001 3520 1001707 000 -006 145 -002 -008 008 025 18032001 628225 0989430 -001 3455 0981534 -002 -006 145 -002 -008 006 031 19032001 624649 0994308 -001 3350 0969609 -003 -006 145 -001 -007 004 035 20032001 641923 1027654 003 3355 1001493 000 -006 145 004 -002 002 037 21032001 627624 0977725 -002 3412 1016990 002 -006 145 -003 -009 011 048 22032001 616127 0981682 -002 3428 1004689 000 -006 145 -003 -009 009 058 25032001 624609 1013767 001 3399 0991540 -001 -006 145 002 -004 003 061 27032001 619112 0991199 -001 3403 1001177 000 -006 145 -001 -007 008 069 28032001 606407 0979479 -002 3402 0999706 -000 -006 145 -003 -009 009 078 29032001 591655 0975673 -002 3399 0999118 -000 -006 145 -004 -010 010 087 01042001 574960 0971783 -003 3350 0985584 -001 -006 145 -004 -010 009 096 02042001 580434 1009521 001 3277 0978209 -002 -006 145 001 -005 003 099 03042001 595163 1025376 003 3304 1008239 001 -006 145 004 -002 003 102 04042001 604910 1016377 002 3406 1030872 003 -006 145 002 -004 007 109 05042001 601771 0994811 -001 3414 1002349 000 -006 145 -001 -007 007 116 08042001 613483 1019463 002 3389 0992677 -001 -006 145 003 -003 003 119 09042001 615266 1002906 000 3415 1007672 001 -006 145 000 -006 006 125 10042001 609238 0990203 -001 3459 1012884 001 -006 145 -001 -008 009 134

Page 163

11042001 628748 1032024 003 3466 1002024 000 -006 145 005 -002 002 136 12042001 629302 1000881 000 3617 1043566 004 -006 145 000 -006 010 146 17042001 609225 0968096 -003 3644 1007465 001 -006 145 -005 -011 012 157 18042001 597402 0980593 -002 3541 0971734 -003 -006 145 -003 -009 006 164 19042001 610423 1021796 002 3494 0986727 -001 -006 145 003 -003 002 165 22042001 615551 1008401 001 3596 1029193 003 -006 145 001 -005 008 173 23042001 626452 1017709 002 3650 1015017 001 -006 145 003 -004 005 178 24042001 624156 0996335 -000 3686 1009863 001 -006 145 -001 -007 008 186 26042001 617783 0989789 -001 3705 1005155 001 -006 145 -001 -008 008 194 29042001 612699 0991771 -001 3773 1018354 002 -006 145 -001 -007 009 203 30042001 612714 1000024 000 3771 0999470 -000 -006 145 000 -006 006 209 02052001 627421 1024003 002 3739 0991514 -001 -006 145 003 -003 002 211 03052001 634110 1010661 001 3454 0923776 -008 -006 145 002 -005 -003 208 06052001 636990 1004542 000 3457 1000869 000 -006 145 001 -005 006 213 07052001 649636 1019853 002 3414 0987561 -001 -006 145 003 -003 002 215 08052001 652206 1003956 000 3456 1012302 001 -006 145 001 -006 007 222 09052001 642720 0985456 -001 3502 1013310 001 -006 145 -002 -008 010 232 10052001 648901 1009617 001 3494 0997716 -000 -006 145 001 -005 005 236 13052001 666997 1027887 003 3516 1006297 001 -006 145 004 -002 003 239 14052001 664617 0996432 -000 3558 1011945 001 -006 145 -001 -007 008 247 15052001 656225 0987373 -001 3542 0995503 -000 -006 145 -002 -008 008 254

Page 164

Misr International Bank (MIBANK) Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 26022001 655096 3038 27022001 675048 1030457 003 3043 1001844 000 -036 127 004 -032 032 28022001 667608 0988979 -001 2962 0973186 -003 -036 127 -001 -037 034 066 01032001 672488 1007310 001 2973 1003782 000 -036 127 001 -035 035 101 07032001 691184 1027801 003 3058 1028525 003 -036 127 003 -032 035 136 08032001 687929 0995291 -000 3013 0985348 -001 -036 127 -001 -036 035 171 11032001 675900 0982514 -002 2906 0964684 -004 -036 127 -002 -038 034 205 12032001 668606 0989208 -001 2834 0974952 -003 -036 127 -001 -037 034 239 14032001 643440 0962360 -004 2811 0992095 -001 -036 127 -005 -040 040 279 15032001 634936 0986784 -001 2813 1000569 000 -036 127 -002 -037 037 316 18032001 628225 0989430 -001 2799 0995165 -000 -036 127 -001 -037 036 352 19032001 624649 0994308 -001 2670 0953701 -005 -036 127 -001 -036 031 384 20032001 641923 1027654 003 2688 1006892 001 -036 127 003 -032 033 416 21032001 627624 0977725 -002 2726 1013988 001 -036 127 -003 -038 040 456 22032001 616127 0981682 -002 2736 1003816 000 -036 127 -002 -038 038 494 25032001 624609 1013767 001 2725 0995906 -000 -036 127 002 -034 033 528 27032001 619112 0991199 -001 2800 1027598 003 -036 127 -001 -037 039 567 28032001 606407 0979479 -002 2774 0990857 -001 -036 127 -003 -038 037 604 29032001 591655 0975673 -002 2791 1006055 001 -036 127 -003 -039 039 644 01042001 574960 0971783 -003 2799 1002866 000 -036 127 -004 -039 039 683 02042001 580434 1009521 001 2730 0975136 -003 -036 127 001 -034 032 715

Page 165

03042001 595163 1025376 003 2738 1003224 000 -036 127 003 -032 033 748 04042001 604910 1016377 002 2870 1047911 005 -036 127 002 -033 038 786 05042001 601771 0994811 -001 2900 1010594 001 -036 127 -001 -036 037 823 08042001 613483 1019463 002 2834 0977379 -002 -036 127 002 -033 031 854 09042001 615266 1002906 000 2862 1009596 001 -036 127 000 -035 036 890 10042001 609238 0990203 -001 2888 1009226 001 -036 127 -001 -037 038 927 11042001 628748 1032024 003 2863 0991413 -001 -036 127 004 -032 031 958 12042001 629302 1000881 000 3005 1049455 005 -036 127 000 -035 040 998 17042001 609225 0968096 -003 3013 1002662 000 -036 127 -004 -040 040 1038 18042001 597402 0980593 -002 2966 0984334 -002 -036 127 -002 -038 036 1075 19042001 610423 1021796 002 2890 0974373 -003 -036 127 003 -033 030 1105 22042001 615551 1008401 001 2938 1016888 002 -036 127 001 -034 036 1141 23042001 626452 1017709 002 2807 0955350 -005 -036 127 002 -033 029 117024042001 624156 0996335 -000 2911 1037048 004 -036 127 -000 -036 040 1209 26042001 617783 0989789 -001 2973 1021160 002 -036 127 -001 -037 039 1248 29042001 612699 0991771 -001 2914 0980086 -002 -036 127 -001 -037 035 1283 30042001 612714 1000024 000 2822 0968699 -003 -036 127 000 -036 032 1315 02052001 627421 1024003 002 2801 0992347 -001 -036 127 003 -032 032 1347 03052001 634110 1010661 001 2886 1030277 003 -036 127 001 -034 037 1384 06052001 636990 1004542 000 2890 1001663 000 -036 127 001 -035 035 1419 07052001 649636 1019853 002 2909 1006366 001 -036 127 002 -033 034 1453

Page 166

Ameryah Cement Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative

rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return

08022001 747680 2900 11022001 733914 0981588 -002 2761 0952069 -005 -043 105 -002 -045 040 12022001 733028 0998793 -000 2743 0993481 -001 -043 105 -000 -043 042 082 13022001 726574 0991195 -001 2743 1000000 000 -043 105 -001 -044 044 126 14022001 726733 1000219 000 2867 1045206 004 -043 105 000 -043 047 174 15022001 716466 0985872 -001 2825 0985351 -001 -043 105 -001 -044 043 217 18022001 703762 0982269 -002 2949 1043894 004 -043 105 -002 -045 049 266 19022001 704431 1000951 000 2850 0966429 -003 -043 105 000 -043 039 305 20022001 720800 1023237 002 2870 1007018 001 -043 105 002 -041 041 347 22022001 696200 0965871 -003 2900 1010453 001 -043 105 -004 -047 048 394 25022001 670991 0963791 -004 2900 1000000 000 -043 105 -004 -047 047 441 26022001 655096 0976311 -002 2900 1000000 000 -043 105 -003 -045 045 486 27022001 675048 1030457 003 2900 1000000 000 -043 105 003 -040 040 526 28022001 667608 0988979 -001 3025 1043103 004 -043 105 -001 -044 048 575 01032001 672488 1007310 001 2995 0990083 -001 -043 105 001 -042 041 616 07032001 691184 1027801 003 3003 1002671 000 -043 105 003 -040 040 656 08032001 687929 0995291 -000 2907 0968032 -003 -043 105 -000 -043 040 696 11032001 675900 0982514 -002 3001 1032336 003 -043 105 -002 -045 048 744 12032001 668606 0989208 -001 3011 1003332 000 -043 105 -001 -044 044 789 14032001 643440 0962360 -004 3161 1049817 005 -043 105 -004 -047 052 841 15032001 634936 0986784 -001 3315 1048719 005 -043 105 -001 -044 049 890 18032001 628225 0989430 -001 3263 0984314 -002 -043 105 -001 -044 042 932 19032001 624649 0994308 -001 3263 1000000 000 -043 105 -001 -044 044 976 20032001 641923 1027654 003 2525 0773828 -026 -043 105 003 -040 014 990

Page 167

21032001 627624 0977725 -002 2452 0971089 -003 -043 105 -002 -045 042 1033 22032001 616127 0981682 -002 2500 1019576 002 -043 105 -002 -045 047 1080 25032001 624609 1013767 001 2500 1000000 000 -043 105 001 -042 042 1121 27032001 619112 0991199 -001 2516 1006400 001 -043 105 -001 -044 045 1166 28032001 606407 0979479 -002 2516 1000000 000 -043 105 -002 -045 045 1211 29032001 591655 0975673 -002 2527 1004372 000 -043 105 -003 -046 046 1257 01042001 574960 0971783 -003 2441 0965968 -003 -043 105 -003 -046 043 1299 02042001 580434 1009521 001 2415 0989349 -001 -043 105 001 -042 041 1340 03042001 595163 1025376 003 2415 1000000 000 -043 105 003 -040 040 1380 04042001 604910 1016377 002 2409 0997516 -000 -043 105 002 -041 041 1421 05042001 601771 0994811 -001 2415 1002491 000 -043 105 -001 -044 044 1465 08042001 613483 1019463 002 2481 1027329 003 -043 105 002 -041 044 1509 09042001 615266 1002906 000 2500 1007658 001 -043 105 000 -043 043 1552 10042001 609238 0990203 -001 2417 0966800 -003 -043 105 -001 -044 041 1593 11042001 628748 1032024 003 2500 1034340 003 -043 105 003 -040 043 1636 12042001 629302 1000881 000 2467 0986800 -001 -043 105 000 -043 042 1677 17042001 609225 0968096 -003 2467 1000000 000 -043 105 -003 -046 046 1724 18042001 597402 0980593 -002 2467 1000000 000 -043 105 -002 -045 045 1769

Page 168

Torah Portland Cement Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 15022001 716466 3234 -006 107 18022001 703762 0982269 -002 3174 0981447 -002 -006 107 -002 -008 006 19022001 704431 1000951 000 3160 0995589 -000 -006 107 000 -006 006 012 20022001 720800 1023237 002 3287 1040190 004 -006 107 002 -004 008 019 22022001 696200 0965871 -003 3199 0973228 -003 -006 107 -004 -010 007 026 25022001 670991 0963791 -004 3196 0999062 -000 -006 107 -004 -010 010 036 26022001 655096 0976311 -002 3156 0987484 -001 -006 107 -003 -009 007 044 27022001 675048 1030457 003 3127 0990811 -001 -006 107 003 -003 002 046 28022001 667608 0988979 -001 3190 1020147 002 -006 107 -001 -007 009 055 01032001 672488 1007310 001 3192 1000627 000 -006 107 001 -005 005 060 07032001 691184 1027801 003 3166 0991855 -001 -006 107 003 -003 002 063 08032001 687929 0995291 -000 3166 1000000 000 -006 107 -001 -007 007 069 11032001 675900 0982514 -002 3166 1000000 000 -006 107 -002 -008 008 077 12032001 668606 0989208 -001 3166 1000000 000 -006 107 -001 -007 007 085 14032001 643440 0962360 -004 3148 0994315 -001 -006 107 -004 -010 010 094 15032001 634936 0986784 -001 3112 0988564 -001 -006 107 -001 -008 006 101 18032001 628225 0989430 -001 3096 0994859 -001 -006 107 -001 -007 007 107 19032001 624649 0994308 -001 3054 0986434 -001 -006 107 -001 -007 005 113 20032001 641923 1027654 003 3000 0982318 -002 -006 107 003 -003 001 114 21032001 627624 0977725 -002 3000 1000000 000 -006 107 -002 -009 009 123 22032001 616127 0981682 -002 2912 0970667 -003 -006 107 -002 -008 005 128

Page 169

25032001 624609 1013767 001 2890 0992445 -001 -006 107 001 -005 004 132 27032001 619112 0991199 -001 3031 1048789 005 -006 107 -001 -007 012 144 28032001 606407 0979479 -002 3021 0996701 -000 -006 107 -002 -008 008 152 29032001 591655 0975673 -002 2999 0992718 -001 -006 107 -003 -009 008 160 01042001 574960 0971783 -003 3000 1000333 000 -006 107 -003 -009 009 169 02042001 580434 1009521 001 2967 0989000 -001 -006 107 001 -005 004 173 03042001 595163 1025376 003 2967 1000000 000 -006 107 003 -003 003 176 04042001 604910 1016377 002 2906 0979441 -002 -006 107 002 -004 002 179 05042001 601771 0994811 -001 2884 0992429 -001 -006 107 -001 -007 006 184 08042001 613483 1019463 002 2735 0948336 -005 -006 107 002 -004 -001 183 09042001 615266 1002906 000 2607 0953199 -005 -006 107 000 -006 001 184 10042001 609238 0990203 -001 2600 0997315 -000 -006 107 -001 -007 007 191 11042001 628748 1032024 003 2600 1000000 000 -006 107 003 -003 003 194 12042001 629302 1000881 000 2657 1021923 002 -006 107 000 -006 008 202 17042001 609225 0968096 -003 2590 0974784 -003 -006 107 -003 -010 007 209 18042001 597402 0980593 -002 2638 1018533 002 -006 107 -002 -008 010 219 19042001 610423 1021796 002 2696 1021986 002 -006 107 002 -004 006 225 22042001 615551 1008401 001 2613 0969214 -003 -006 107 001 -005 002 227 23042001 626452 1017709 002 2673 1022962 002 -006 107 002 -004 007 234 24042001 624156 0996335 -000 2567 0960344 -004 -006 107 -000 -007 002 236 26042001 617783 0989789 -001 2567 1000000 000 -006 107 -001 -007 007 243

Page 170

Nasr City for Housing and Development Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 27092001 561925 2109 30092001 564278 1004187 000 2104 0997629 -000 -115 075 000 -115 114 01102001 568252 1007043 001 2118 1006654 001 -115 075 001 -114 115 229 02102001 555684 0977883 -002 2075 0979698 -002 -115 075 -002 -117 115 344 03102001 549459 0988798 -001 2080 1002410 000 -115 075 -001 -116 116 460 04102001 544680 0991302 -001 2034 0977885 -002 -115 075 -001 -116 113 573 07102001 544675 0999991 -000 2050 1007866 001 -115 075 -000 -115 116 689 08102001 543049 0997015 -000 2046 0998049 -000 -115 075 -000 -115 115 804 09102001 545728 1004933 000 2106 1029326 003 -115 075 000 -115 117 921 10102001 549824 1007506 001 2055 0975783 -002 -115 075 001 -114 112 1033 11102001 554529 1008557 001 2051 0998054 -000 -115 075 001 -114 114 1147 14102001 563161 1015566 002 2111 1029254 003 -115 075 001 -114 117 1264 15102001 563789 1001115 000 2084 0987210 -001 -115 075 000 -115 114 1378 16102001 560209 0993650 -001 2104 1009597 001 -115 075 -000 -115 116 1494 17102001 573477 1023684 002 2113 1004278 000 -115 075 002 -113 114 1608 18102001 579797 1011020 001 2142 1013725 001 -115 075 001 -114 115 1723 21102001 583382 1006183 001 2129 0993931 -001 -115 075 000 -114 114 1837 22102001 585868 1004261 000 2095 0984030 -002 -115 075 000 -115 113 1950 23102001 584346 0997402 -000 2084 0994749 -001 -115 075 -000 -115 115 2064 24102001 580869 0994050 -001 2065 0990883 -001 -115 075 -000 -115 114 2179 25102001 571335 0983587 -002 2070 1002421 000 -115 075 -001 -116 116 2295

Page 171

28102001 560295 0980677 -002 2047 0988889 -001 -115 075 -001 -116 115 2411 29102001 558792 0997317 -000 2026 0989741 -001 -115 075 -000 -115 114 2525 30102001 563118 1007742 001 2025 0999506 -000 -115 075 001 -114 114 2639 31102001 557753 0990473 -001 2001 0988148 -001 -115 075 -001 -116 114 2753 01112001 554861 0994815 -001 2036 1017491 002 -115 075 -000 -115 117 2870 04112001 562024 1012910 001 2064 1013752 001 -115 075 001 -114 115 2986 05112001 565106 1005484 001 2100 1017442 002 -115 075 000 -115 116 3102 06112001 564130 0998273 -000 2091 0995714 -000 -115 075 -000 -115 115 3217 07112001 558639 0990266 -001 2051 0980870 -002 -115 075 -001 -116 114 3330 08112001 558192 0999200 -000 2050 0999512 -000 -115 075 -000 -115 115 3445 11112001 556063 0996186 -000 1958 0955122 -005 -115 075 -000 -115 111 3556 12112001 552223 0993094 -001 1895 0967824 -003 -115 075 -001 -115 112 3668 13112001 546427 0989504 -001 1896 1000528 000 -115 075 -001 -116 116 3784 14112001 541547 0991069 -001 1835 0967827 -003 -115 075 -001 -116 112 3896 15112001 533398 0984952 -002 1751 0954223 -005 -115 075 -001 -116 111 4008 18112001 524993 0984243 -002 1753 1001142 000 -115 075 -001 -116 116 4124 19112001 523018 0996238 -000 1783 1017114 002 -115 075 -000 -115 117 4241 20112001 520627 0995428 -000 1770 0992709 -001 -115 075 -000 -115 115 4355 21112001 510062 0979707 -002 1784 1007910 001 -115 075 -002 -116 117 4472 22112001 508562 0997059 -000 1792 1004484 000 -115 075 -000 -115 116 4588 25112001 508087 0999066 -000 1783 0994978 -001 -115 075 -000 -115 114 4703

Page 172

Suez Cement Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 16052001 655120 3535 17052001 659723 1007026 001 3554 1005375 001 -020 126 001 -019 019 20052001 656059 0994446 -001 3456 0972425 -003 -020 126 -001 -020 017 037 21052001 651237 0992650 -001 3462 1001736 000 -020 126 -001 -020 021 057 22052001 655995 1007306 001 3531 1019931 002 -020 126 001 -019 021 078 23052001 656965 1001479 000 3532 1000283 000 -020 126 000 -019 019 097 24052001 665419 1012868 001 3595 1017837 002 -020 126 002 -018 020 117 27052001 670868 1008189 001 3676 1022531 002 -020 126 001 -018 021 138 28052001 678608 1011537 001 3670 0998368 -000 -020 126 001 -018 018 155 29052001 668826 0985585 -001 3630 0989101 -001 -020 126 -002 -021 020 176 30052001 662111 0989960 -001 3617 0996419 -000 -020 126 -001 -021 020 196 31052001 653740 0987357 -001 3660 1011888 001 -020 126 -002 -021 022 218 03062001 634276 0970227 -003 3576 0977049 -002 -020 126 -004 -023 021 239 05062001 627793 0989779 -001 3596 1005593 001 -020 126 -001 -021 021 261 06062001 623888 0993780 -001 3568 0992214 -001 -020 126 -001 -020 020 280 07062001 629223 1008551 001 3582 1003924 000 -020 126 001 -018 019 299 10062001 632250 1004811 000 3761 1049972 005 -020 126 001 -019 024 323 11062001 629970 0996394 -000 3891 1034565 003 -020 126 -000 -020 023 346 12062001 632227 1003583 000 3789 0973786 -003 -020 126 000 -019 016 363 13062001 628592 0994250 -001 3814 1006598 001 -020 126 -001 -020 021 384 14062001 630035 1002296 000 3889 1019664 002 -020 126 000 -019 021 405

Page 173

17062001 621647 0986686 -001 3692 0949344 -005 -020 126 -002 -021 016 421 18062001 620202 0997676 -000 3671 0994312 -001 -020 126 -000 -020 019 440 19062001 610903 0985006 -002 3596 0979570 -002 -020 126 -002 -021 019 459 20062001 607444 0994338 -001 3627 1008621 001 -020 126 -001 -020 021 481 21062001 613967 1010738 001 3661 1009374 001 -020 126 001 -018 019 500 24062001 609920 0993408 -001 3672 1003005 000 -020 126 -001 -020 021 520 25062001 608366 0997452 -000 3694 1005991 001 -020 126 -000 -020 020 541 26062001 600648 0987314 -001 3610 0977260 -002 -020 126 -002 -021 019 560 27062001 593325 0987808 -001 3595 0995845 -000 -020 126 -002 -021 021 580 28062001 596953 1006115 001 3590 0998609 -000 -020 126 001 -019 019 599 02072001 609759 1021452 002 3627 1010306 001 -020 126 003 -017 018 617 03072001 619411 1015829 002 3611 0995589 -000 -020 126 002 -018 017 634 04072001 623719 1006955 001 3584 0992523 -001 -020 126 001 -019 018 652 05072001 620332 0994570 -001 3604 1005580 001 -020 126 -001 -020 021 672 08072001 622701 1003819 000 3641 1010266 001 -020 126 000 -019 020 692 09072001 624279 1002534 000 3654 1003570 000 -020 126 000 -019 020 712 10072001 615867 0986525 -001 3604 0986316 -001 -020 126 -002 -021 020 732 11072001 607357 0986182 -001 3587 0995283 -000 -020 126 -002 -021 021 753 12072001 609565 1003635 000 3579 0997770 -000 -020 126 000 -019 019 771 15072001 596585 0978706 -002 3519 0983236 -002 -020 126 -003 -022 021 792 16072001 579782 0971835 -003 3452 0980961 -002 -020 126 -004 -023 021 813

Page 174

Egyptian Financial and Industrial Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 14052001 664617 2188 -126 086 15052001 656225 0987373 -001 2297 1049817 005 -126 086 -001 -127 132 16052001 655120 0998316 -000 2206 0960383 -004 -126 086 -000 -126 122 254 17052001 659723 1007026 001 2199 0996827 -000 -126 086 001 -125 125 379 20052001 656059 0994446 -001 2188 0994998 -001 -126 086 -000 -126 126 505 21052001 651237 0992650 -001 2166 0989945 -001 -126 086 -001 -127 126 630 22052001 655995 1007306 001 2195 1013389 001 -126 086 001 -125 127 757 23052001 656965 1001479 000 2111 0961731 -004 -126 086 000 -126 122 879 24052001 665419 1012868 001 2210 1046897 005 -126 086 001 -125 129 1008 27052001 670868 1008189 001 2238 1012670 001 -126 086 001 -125 126 1134 28052001 678608 1011537 001 2272 1015192 002 -126 086 001 -125 126 1261 29052001 668826 0985585 -001 2253 0991637 -001 -126 086 -001 -127 126 1387 30052001 662111 0989960 -001 2220 0985353 -001 -126 086 -001 -127 125 1512 31052001 653740 0987357 -001 2253 1014865 001 -126 086 -001 -127 128 1641 03062001 634276 0970227 -003 2251 0999112 -000 -126 086 -003 -128 128 1769 05062001 627793 0989779 -001 2251 1000000 000 -126 086 -001 -127 127 1896 06062001 623888 0993780 -001 2315 1028432 003 -126 086 -001 -126 129 2025 07062001 629223 1008551 001 2306 0996112 -000 -126 086 001 -125 125 2150 10062001 632250 1004811 000 2257 0978751 -002 -126 086 000 -125 123 2273 11062001 629970 0996394 -000 2335 1034559 003 -126 086 -000 -126 130 2403 12062001 632227 1003583 000 2367 1013704 001 -126 086 000 -126 127 2530

Page 175

13062001 628592 0994250 -001 2335 0986481 -001 -126 086 -000 -126 125 2655 14062001 630035 1002296 000 2297 0983726 -002 -126 086 000 -126 124 2779 17062001 621647 0986686 -001 2386 1038746 004 -126 086 -001 -127 131 2910 18062001 620202 0997676 -000 2441 1023051 002 -126 086 -000 -126 128 3038 19062001 610903 0985006 -002 2416 0989758 -001 -126 086 -001 -127 126 3164 20062001 607444 0994338 -001 2311 0956540 -004 -126 086 -000 -126 122 3286 21062001 613967 1010738 001 2250 0973605 -003 -126 086 001 -125 122 3409 24062001 609920 0993408 -001 2331 1036000 004 -126 086 -001 -126 130 3538 25062001 608366 0997452 -000 2304 0988417 -001 -126 086 -000 -126 125 3663 26062001 600648 0987314 -001 1995 0865885 -014 -126 086 -001 -127 113 3776 27062001 593325 0987808 -001 1930 0967419 -003 -126 086 -001 -127 124 3900 28062001 596953 1006115 001 1975 1023316 002 -126 086 001 -125 128 4027 02072001 609759 1021452 002 1923 0973671 -003 -126 086 002 -124 121 4149 03072001 619411 1015829 002 1923 1000000 000 -126 086 001 -125 125 4273 04072001 623719 1006955 001 2001 1040562 004 -126 086 001 -125 129 4403 05072001 620332 0994570 -001 2067 1032984 003 -126 086 -000 -126 130 4532 08072001 622701 1003819 000 2075 1003870 000 -126 086 000 -126 126 4658 09072001 624279 1002534 000 2081 1002892 000 -126 086 000 -126 126 4784 10072001 615867 0986525 -001 2159 1037482 004 -126 086 -001 -127 131 4915 11072001 607357 0986182 -001 2078 0962483 -004 -126 086 -001 -127 123 5038 12072001 609565 1003635 000 2151 1035130 003 -126 086 000 -126 129 5167

Page 176

Abu Keir for Fertilisers Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 23092001 597012 2759 24092001 588809 0986260 -001 2759 1000000 000 -094 047 -001 -095 095 25092001 581727 0987972 -001 2760 1000362 000 -094 047 -001 -095 095 190 26092001 570192 0980171 -002 2734 0990580 -001 -094 047 -001 -095 094 285 27092001 561925 0985501 -001 2744 1003658 000 -094 047 -001 -095 096 380 30092001 564278 1004187 000 2790 1016764 002 -094 047 000 -094 096 476 01102001 568252 1007043 001 2837 1016846 002 -094 047 000 -094 096 572 02102001 555684 0977883 -002 2830 0997533 -000 -094 047 -001 -096 095 667 03102001 549459 0988798 -001 2821 0996820 -000 -094 047 -001 -095 095 762 04102001 544680 0991302 -001 2800 0992556 -001 -094 047 -000 -095 094 856 07102001 544675 0999991 -000 2800 1000000 000 -094 047 -000 -094 094 951 08102001 543049 0997015 -000 2822 1007857 001 -094 047 -000 -095 095 1046 09102001 545728 1004933 000 2815 0997519 -000 -094 047 000 -094 094 1140 10102001 549824 1007506 001 2834 1006750 001 -094 047 000 -094 095 1235 11102001 554529 1008557 001 2834 1000000 000 -094 047 000 -094 094 1329 14102001 563161 1015566 002 2828 0997883 -000 -094 047 001 -094 094 1423 15102001 563789 1001115 000 2825 0998939 -000 -094 047 000 -094 094 1517 16102001 560209 0993650 -001 2822 0998938 -000 -094 047 -000 -095 095 1612 17102001 573477 1023684 002 2832 1003544 000 -094 047 001 -093 094 1705 18102001 579797 1011020 001 2820 0995763 -000 -094 047 001 -094 094 1799 21102001 583382 1006183 001 2838 1006383 001 -094 047 000 -094 095 1894

Page 177

22102001 585868 1004261 000 2801 0986963 -001 -094 047 000 -094 093 1987 23102001 584346 0997402 -000 2812 1003927 000 -094 047 -000 -095 095 2082 24102001 580869 0994050 -001 2823 1003912 000 -094 047 -000 -095 095 2177 25102001 571335 0983587 -002 2824 1000354 000 -094 047 -001 -095 095 2272 28102001 560295 0980677 -002 2806 0993626 -001 -094 047 -001 -095 095 2367 29102001 558792 0997317 -000 2498 0890235 -012 -094 047 -000 -095 083 2450 30102001 563118 1007742 001 2482 0993595 -001 -094 047 000 -094 093 2544 31102001 557753 0990473 -001 2444 0984690 -002 -094 047 -000 -095 093 2637 01112001 554861 0994815 -001 2455 1004501 000 -094 047 -000 -095 095 2732 04112001 562024 1012910 001 2488 1013442 001 -094 047 001 -094 095 2827 05112001 565106 1005484 001 2492 1001608 000 -094 047 000 -094 094 2922 06112001 564130 0998273 -000 2481 0995586 -000 -094 047 -000 -095 094 3016 07112001 558639 0990266 -001 2496 1006046 001 -094 047 -000 -095 096 3111 08112001 558192 0999200 -000 2470 0989583 -001 -094 047 -000 -095 093 3205 11112001 556063 0996186 -000 2488 1007287 001 -094 047 -000 -095 095 3300 12112001 552223 0993094 -001 2498 1004019 000 -094 047 -000 -095 095 3396 13112001 546427 0989504 -001 2495 0998799 -000 -094 047 -001 -095 095 3490 14112001 541547 0991069 -001 2488 0997194 -000 -094 047 -000 -095 095 3585 15112001 533398 0984952 -002 2498 1004019 000 -094 047 -001 -095 096 3681 18112001 524993 0984243 -002 2460 0984788 -002 -094 047 -001 -095 094 3774 19112001 523018 0996238 -000 2460 1000000 000 -094 047 -000 -095 095 3869

Page 179

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 = [(T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX)] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2] (511)

middot Jensen (Alpha) = arp ndash [arf + βp(arM - arf)] (512)

middot Sharpe = (arp - arf) σp (513)

middot Treynor = (arp - arf) βp (514)

middot Tracking Error = αp σep (515)

The following are the detailed calculations of the various performance measures for

the funds analysed

Page 180

Market Portfolio

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -2630 881 -3511 123271 123271 123271 1999 4250 905 3345 4250 905 3345 111890 111890 111890 2000 -4119 909 -5028 -4119 909 -5028 252808 252808 252808 2001 -3120 906 -4026 -3120 906 -4026 162087 162087 162087

Sum -9220 -9220 650056 650056 650056

Mean -1405 900

Standard Deviation 3820

Beta 100 Jensen (Alpha) 000 Std Dev Of Rndm Error Term 000 Sharpe -060 Treynor -2305 Tracking Error 000

Page 181

Fund No 1

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1630 881 -2511 123271 63051 88161 1999 4250 905 3345 1200 905 295 111890 870 9868 2000 -4119 909 -5028 -1144 909 -2053 252808 42148 103225 2001 -3120 906 -4026 -1750 906 -2656 162087 70543 106931

Sum -9220 -6925 650056 176613 308184

Mean -831 900

Standard Deviation 1379

Beta 034 Jensen (Alpha) -949 Std Dev Of Rndm Error Term 560 Sharpe -126 Treynor -5099 Tracking Error -169

Page 182

Fund No 2

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1660 881 -2541 123271 64567 89215 1999 4250 905 3345 1590 905 685 111890 4692 22913 2000 -4119 909 -5028 -1307 909 -2216 252808 49107 111420 2001 -3120 906 -4026 -520 906 -1426 162087 20335 57411

Sum -9220 -5498 650056 138700 280959

Mean -474 900

Standard Deviation 1456

Beta 035 Jensen (Alpha) -562 Std Dev Of Rndm Error Term 662 Sharpe -094 Treynor -3899 Tracking Error -085

Page 183

Fund No 3

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1490 881 -2371 123271 56216 83246 1999 4250 905 3345 1350 905 445 111890 1980 14885 2000 -4119 909 -5028 -1289 909 -2198 252808 48312 110515 2001 -3120 906 -4026 -1310 906 -2216 162087 49107 89216

Sum -9220 -6340 650056 155615 297863

Mean -685 900

Standard Deviation 1359

Beta 035 Jensen (Alpha) -786 Std Dev Of Rndm Error Term 354 Sharpe -117 Treynor -4571 Tracking Error -222

Page 184

Fund No 4

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1770 881 -2651 123271 70278 93077 1999 4250 905 3345 1100 905 195 111890 380 6523 2000 -4119 909 -5028 -1438 909 -2347 252808 55084 118007 2001 -3120 906 -4026 -1690 906 -2596 162087 67392 104515

Sum -9220 -7399 650056 193135 322121

Mean -950 900

Standard Deviation 1374

Beta 035 Jensen (Alpha) -1051 Std Dev Of Rndm Error Term 434 Sharpe -135 Treynor -5339 Tracking Error -242

Page 185

Fund No 5

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1680 881 -2561 123271 65587 89917 1999 4250 905 3345 1230 905 325 111890 1056 10871 2000 -4119 909 -5028 -1078 909 -1987 252808 39482 99906 2001 -3120 906 -4026 -1410 906 -2316 162087 53639 93242

Sum -9220 -6539 650056 159764 293936

Mean -735 900

Standard Deviation 1333

Beta 033 Jensen (Alpha) -880 Std Dev Of Rndm Error Term 547 Sharpe -123 Treynor -4994 Tracking Error -161

Page 186

Fund No 6

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1480 881 -2361 123271 55743 82895 1999 4250 905 3345 1140 905 235 111890 552 7861 2000 -4119 909 -5028 -1083 909 -1992 252808 39681 100158 2001 -3120 906 -4026 -1240 906 -2146 162087 46053 86398

Sum -9220 -6264 650056 142029 277311

Mean -666 900

Standard Deviation 1215

Beta 030 Jensen (Alpha) -866 Std Dev Of Rndm Error Term 421 Sharpe -129 Treynor -5155 Tracking Error -205

Page 187

Fund No 7

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1151 881 -2032 123271 41290 71344 1999 4250 905 3345 306 905 -599 111890 3588 -20037 2000 -4119 909 -5028 -1174 909 -2083 252808 43389 104733 2001 -3120 906 -4026 -1312 906 -2218 162087 49195 89297

Sum -9220 -6932 650056 137462 245337

Mean -833 900

Standard Deviation 762

Beta 020 Jensen (Alpha) -1282 Std Dev Of Rndm Error Term 173 Sharpe -227 Treynor -8863 Tracking Error -739

Page 188

Fund No 8

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -279 881 -1160 123271 13456 40728 1999 4250 905 3345 751 905 -154 111890 237 -5151 2000 -4119 909 -5028 -803 909 -1712 252808 29309 86079 2001 -3120 906 -4026 -960 906 -1866 162087 34820 75125

Sum -9220 -4892 650056 77822 196781

Mean -323 900

Standard Deviation 773

Beta 019 Jensen (Alpha) -780 Std Dev Of Rndm Error Term 305 Sharpe -158 Treynor -6369 Tracking Error -256

Page 189

References

1 Bekaert G and Harvey C R ldquoTime-Varying World Market Integrationrdquo Journal

of Finance Vol 50 no 2 (June 1995) pp 403-444

2 Bekaert G and Harvey C R ldquoEmerging Equity Market Volatilityrdquo Journal of

Financial Economics Vol 43 no 1 (1997) pp 29-77

3 Bekaert G Erb C B Harvey C R and Viscanta T E ldquoDistributional

Characteristics of Emerging Market Returns and Asset

Allocationrdquo Journal of Portfolio Management Vol 24

no 2 (Winter 1998) pp 102-116

4 Bodie Z Kane A and Marcus A ldquoInvestmentsrdquo 4th ed McGraw Hell 2001

5 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (May 2002)

6 Cairo and Alexandria Stock Exchanges ldquoFact Bookrdquo 2001

7 Cairo and Alexandria Stock Exchanges ldquoStatistical Highlightsrdquo 2001

8 Claessens S ldquoAssessing Investment Potential and Security Designrdquo Conference

on Portfolio Investment in Developing Countries The

World Bank 1993

9 Conrad J and Kaul G ldquoTime Variation in Expected Returnsrdquo Journal of

Business Vol 61 no 4 (October 1998) pp 409-425

in (Bodie et al 2001)

10 Egyptian Financial Group (EFG-Hermes) ldquoEgypt Country Reportrdquo (May 2000)

11 Fama E F ldquoEfficient Capital Markets A Review of Theory and Empirical

Workrdquo Journal of Finance Vol 25 no 2 (May 1970) pp

383-417

12 Fama E F Fisher L Jensen M and Roll R ldquoThe Adjustment of Stock prices

Page 190

to New Informationrdquo International Economic Review

Vol 10 no 1 (February 1969) pp 1-21 in (Fama

1970)

13 Fama E F and French K R Permanent and Temporary Components of Stock

pricesrdquo Journal of Political Economy Vol 96 (April

1988) pp 24-73 in Bodie et al (2001)

14 Fama E F ldquoEfficient Capital Markets IIrdquo Journal of Finance Vol 46 no 5

(December 1991) pp 1575-1617

15 Fama E F ldquoMarket Efficiency Long-Term Returns and Behavioural Financerdquo

Journal of Financial Economics Vol 49 (September

1998) pp 283-306

16 Harvey C R ldquoThe Risk Exposure of Emerging Equity Marketsrdquo Conference on

Portfolio Investment in Developing Countries The World

Bank 1993

17 HC Brokerage ldquoEgypt Equity Researchrdquo 2001

18 Howell M J Cleassens S and Gooptu S ldquoInvesting in Emerging Marketsrdquo

Euromoney Books in association with the World Bank 1994

19 HSBC Investment Bank-Egypt ldquoTreasury and Capital Markets A Guide to

Egyptrdquo 2001

20 Jensen M C ldquoThe Performance of Mutual Funds in The Period 1945-1964rdquo

Journal of Finance Vol 23 no 2 (May 1968) pp 389-416

21 Kendall M G ldquoThe Ananlysis of Economic Time Series Part I Pricesrdquo Journal

of Royal Statistical Society 96 (Part 1 1953) pp 11-

25 in (Fama 1970 pp 390) and (Leroy 1989 pp

1587-1588)

Page 191

22 Law No 951992 ldquoCapital Market Lawrdquo

23 Law No 1591981 ldquoCompanies Lawrdquo

24 Law No 2031991 ldquoInvestment Lawrdquo

25 LeRoy S F ldquoEfficient Capital Markets and Martingalesrdquo Journal of Economic

Literature Vol 27 no 4 (December 1989) pp 1583-1621

26 Lewellen J and Shanken J ldquoLearning Asset Pricing Tests and Market

efficiencyrdquo Journal of Finance Vol 57 no 3 (June

2002) pp 1113-1144

27 Masters S J ldquoEmerging Markets Managing the Impact of High Costsrdquo Journal

of Portfolio Management Vol 28 no 3 (Spring 2002) pp

96-101

28 Mecagni M and Sourial M S ldquoThe Egyptian Stock Market Efficiency Tests

and Volatility Effectsrdquo International Monetary Fund

Working Paper 9948 (April 1999)

29 Odier P Solnik B and Zucchinetti S ldquoGlobal Optimisation for Swiss Pension

Fundsrdquo Finazmarkt und Portfolio Management (June

1995) in (Solnik 2000) pp 263

30 Poterba J and Summers L ldquoMean Reversion in Stock Prices Evidence and

Implicationsrdquo Journal of Financial Economics Vol 22

(October 1988) pp 27-59 in (Bodie et al 2001) pp

345

31 Saunders A and Walter I ldquoAre Emerging Market Equities a Separate Asset

Classrdquo Journal of Portfolio Management Vol 28 no

3 (Spring 2002) pp 102-114

32 Sharpe W F ldquoMutual Fund Performancerdquo Journal of Business Vol 39 no 1

Page 192

(January 1966) pp 119-138

33 Sharpe W F Alexander G J and Bailey J V ldquoInvestmentsrdquo 6th ed Prentice

Hall Inc 1999

34 Solnik B ldquoInternational Investmentsrdquo 4th ed Addison Wesley 2000

35 Stevenson S ldquoEmerging Markets Downside Risk and The Asset Allocation

Decisionrdquo Emerging Markets Review Vol 2 no 1

(March 2001) pp 50-66

36 Treynor J L ldquoHow to Rate Management of Investment Fundsrdquo Harvard

Business Review Vol 43 no 1 (JanuaryFebruary 1965) pp

63-75

37 Treynor J L and Black F ldquoHow to Use Security Analysis to Improve Portfolio

Selectionrdquo Journal of Business Vol 46 no 1

(January 1973) pp 66-86

38 Williamson J ldquoIssues Posed by Portfolio Investment in Developing Countriesrdquo

Conference on Portfolio Investment in Developing

Countries The World Bank 1993

Electronic References

1 Cairo and Alexandria Stock Exchanges ldquoTrade Historyrdquo [Online]

httpwwwegyptsecomtradehistoryasp

2 DATASTREAM [Online]

3 Law No 81997 ldquoInvestment Lawrdquo (August 2002) [Online]

httpwwweconomygovegenglishdownloadtocdownloadstm

4 Law No 932000 ldquoCentral Securities Depository and Registry Lawrdquo (August

Page 193

2002) [Online]

httpwwweconomygovegarabicdownloadtocdownloadstm

5 REUTERS [Online]

Bibliography

1 Black F ldquoNoiserdquo Journal of Finance Vol 41 no 3 (July 1986) pp 529-543

2 Cairo and Alexandria Stock Exchanges ldquoStock Guiderdquo 2001

3 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (November 2000)

4 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (December 2001)

5Cothren R ldquoOn The Impossibility of Informationally Efficient Markets

Commentrdquo American Economic Review Vol 72 no

4 (September 1982) pp 873-874

6 Elton E J Gruber M J Das S and Hlavka M ldquoEfficiency with Costly

Information A Reinterpretation of Evidence from

Managed Portfoliosrdquo Review of Financial Studies

Vol 6 no 1 (1993) pp 1-22

7 Grossman S J and Stiglitz J E ldquoOn The Impossibility of Informationally

Efficient Marketsrdquo American Economic Review Vol

70 no 3 (June 1980) pp 393-408

8 Grossman S J and Stiglitz J E ldquoOn The Impossibility of Informationally

Efficient Markets Replyrdquo American Economic

Review Vol 72 no 4 (September 1982) pp 875

Page 194

9 HSBC Investment Bank-Egypt ldquoEgypt Equities Researchrdquo (20012002)

10 Malkiel B G ldquoReturns From Investing in Equity Mutual Funds 1971-1991rdquo

Journal of Finance Vol 50 (June 1995) pp 549-572

11 Ministry of Foreign Trade ldquo Monthly Economic Digestrdquo (May 2002)

12 Prime Funds ldquoAnnual Reviewrdquo (1997 1998 1999 2000 and 2001)

13 Prime Group ldquoBlue Book Guide to Egyptian Securitiesrdquo (1998 1999 2000 and

2001)

14 Sharpe W F ldquoCapital Asset Prices A Theory of Market Equilibrium Under

Conditions of Riskrdquo Journal of Finance Vol 19 no

3 (September 1964) pp 425-442

Electronic

1 Cairo and Alexandria Stock Exchanges ldquoCASE 50 Index Rulesrdquo [Online]

httpwwwegyptsecomcase50_ivasp

2 Egyptian Financial Group (EFG-Hermes) ldquoFundsrdquo (September 2002) [Online]

httpwwwefg-hermescomegdocsmarketfundsasp

3 Egyptian Financial Group (EFG-Hermes) ldquoFunds Reportsrdquo (July 2002)

[Online]

httpwwwefg-hermescomegdocsmarketfunds_reportsasp

Page 6

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 20002001

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

Page 7

Chapter 2 Literature Review

21 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

bull A country with low or middle income using the World Bankrsquos

Classification

bull 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 (21) below depicts the results of the study

Page 8

Graph 21 Efficient Frontier with Emerging Markets

Source Odier Solnik and Zucchinetti ldquoGlobal Optimisation for Swiss Pension fundsrdquo 1995 in Solnik ldquoInvestmentsrdquo 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 115 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 investorrsquos 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

Page 9

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 countriesrsquo 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

Page 10

bull More diversified sources of external finance

bull Greater risk bearing by private investors through equity investment

compared to the case of bank lending in the 1970s

bull Reduced cost of capital

bull 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

bull Favourable interest and equity return differentials with industrial countries

bull Risk Diversification due to low correlation of stock returns in

developing countries with returns in industrial countries

bull The inefficiency of Emerging markets which makes returns predictable

bull 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

Page 11

protection inefficient country funds and limited number of internationally listed

securities

Williamson (1993) discusses the issue of better fund management under the private-

to-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 sellersrsquo 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 ldquoIndiscriminate Capital

Flowsrdquo 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

Page 12

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 Williamsonrsquos 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 countryrsquos market or

securities

Claessens (1993) also discusses the concept of marketsrsquo 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

Page 13

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 ldquoShifting Industrial

Structuresrdquo which suggests changes in risk sensitivities over time

Page 14

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 marketsrsquo returns

alter over time

Table (21) shows summary statistical data for 23 Developed and 15 Emerging

Markets over the period 1988-1997 on a monthly basis

Table 21 Summary Statistics for Emerging and Developed Markets

Page 15

Table 21 Continued

Source Stevenson S ldquoEmerging Markets Downside Risk and The Asset Allocation Decisionrdquo

The data is based on IFC indices for the Emerging markets and MSCI indices for the

Developed markets

Table 21 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 ndash0233 for Japan and 15037 for Netherlands and the Returns for

Emerging markets that vary between ndash07979 for Korea and 24731 for

Argentina

Page 16

Variance figures also show greater variation with Developed markets varying between

118745 for USA and 599113 for Hong Kong and developing markets varying

between 213601 for Jordan and 4490278 for Argentina

More interestingly when considering the degree of skewness and kurtosis most

Emerging marketsrsquo returns display significant results indicating non-normality in the

distribution of returns

For example Nigeria shows significant values of kurtosis and skewness of 31931 and

ndash34479 respectively compared to 04818 and ndash02368 for USA

The Jarque-Bera (JB) statistics show similar results confirming the departure of Risk-

Return 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 ndash

such as custody legal and accounting costs ndash 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

Page 17

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 ndash 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 22)

Page 18

Table 22 Correlations in Returns between Emerging and Developed Markets

Source Saunders and Walter ldquoAre Emerging Market Equities a Separate Asset Classrdquo 2002

They conclude that the traditional consideration of emerging marketsrsquo stocks as being

a separate asset class and therefore allocation of funds among countriesrsquo indices will

no longer be sufficient to generate diversification benefits

Instead they confirm Masterrsquos 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

Page 19

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

22 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)

ldquoThe literature is now so large that a full review is impossiblerdquo

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 ldquoRandom Walkrdquo that is stock returns tend to be

independent of past returns (Fama 1970)

The first impression of Kendallrsquos conclusion is that markets are irrational and tend to

act with no sense of direction

Page 20

Later research clarified that Kendallrsquos conclusion in fact reflects the rational nature

of the market

Fama (1970) defines an Efficient Market as one where information is ldquoFully

Reflectedrdquo 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 ldquoFully Reflectrdquo 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

bull Weak-form efficient where the prices reflect all available information

about past prices

bull Semi-strong-form efficient where the prices reflect all publicly

available information including earnings companiesrsquo performance

etc

bull 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 securitiesrsquo prices

follow a random walk and suggests that they tend to follow a ldquoSubmartingalerdquo

Page 21

That is instead of the restrictive assumption that securities prices and returns are

serially independent and identically distributed he assumes that prices follow a

ldquoRandom Walk with a Driftrdquo 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 ldquoBuy-and-Holdrdquo strategy

Subsequent research found relatively supporting evidence to Famarsquos 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 pricesrsquo returns show negative long-term serial correlations suggesting

that stock prices might overreact to relevant news in whatrsquos came to be known as the

ldquoFads Hypothesisrdquo (Bodie Kane and Marcus 2001)

Also Leroy (1989) challenged Famarsquos argument (1970) that when prices follow a

submartingale no strategy can outperform a ldquoBuy-and-Holdrdquo 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 ldquoBuy-and-Holdrdquo strategy

Page 22

Second that the Capital Asset Pricing Model (CAPM) implies that in equilibrium

asset returns will not necessarily follow a submartingale That is a stockrsquos returns

might negatively co-varies with the market strong enough that it would be included in

a risk averse investorrsquos 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

ldquoRisk Neutralityrdquo and that investors will rush to buysell 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 ldquoJoint Hypothesisrdquo 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

Page 23

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 ldquoParameter Uncertaintyrdquo 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 mean-

reversion process)

Something they comment which data generating process can predict before hands

Page 24

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 23 below shows the main results of the study

Table 23 Unconditional Distribution Statistics for the Egyptian Stock Exchange Daily Stock Returns

Page 25

Source Mecagni and Sourial ldquoThe Egyptian Stock Market Efficiency Tests and Volatility Effectsrdquo 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

Page 26

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

Page 27

Chapter 3 General Preview

31 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 19901991 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 951992 The law provided great momentum to the market and the

market capitalisation increased dramatically as the reform and privatisation

progressed

Table (31) provides main market indicators for the Egyptian Stock Market for the

period 1991 ndash June 2001

Page 28

Table 31 Main Market Indicators for the period 1991 ndash June 2001

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

From the table it can be seen that the market capitalisation increased form LE88

billion in 1991 to LE 1197 billion in 2000 and was slightly reduced to LE1103

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 (31) and (32) which correspond to lines 3 and 6 of Table (31) respectively

Page 29

Graph 31 Total Volume of Traded Securities Graph 32 Total Value Traded of Securities (Million) Jan 1991 ndash Jun 2001 (Million) Jan 1991 ndash June 2001

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

The Egyptian Stock Market is well regulated however therersquos 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 (32) below shows that as at 30 June 2001 8226 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 30

Table 32 Liquidity of the 30 Most Heavily Traded Stocks in Terms of Value Traded (Jan 2001 ndash 30 June 2001)

Source Cairo and Alexandria Stock Exchanges Statistical Highlights 2001

311 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 31

The Capital Market Law (Law 951992)

Replacing Law 1611957 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 932000)

This laws aims to provide the legal framework for the Central Depository in Egypt

The law identifies shareholdersrsquo 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 32

The law also introduced the legal recognition of the concept of ldquoNominee Tradingrdquo

and the Depositoryrsquos obligation to establish and control a ldquoGuarantee Fundrdquo which

ensures the settlement of trades on time to achieve smooth market operation

The Companies Law (Law 1591981)

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 2031991)

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 self-

run 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 governmentrsquos share of ownership in a company drops to less than

51 the regulation of the company passes from law 203 to law 159

Page 33

The Investment Law (Law 81997)

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

312 The Exchange

Egyptrsquos 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 34

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 951992) 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 35

313 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 36

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 LE300 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 ndash PIPO) (Prime Asset Management Index ndash PAMI)

and (Prime General Index ndash 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 Corporationrsquos Global and Investable indices

Page 37

(IFCG and IFCI) in 1996 Egypt was added to the Morgan Stanley index on a stand-

alone 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 028 212 and 014 respectively (CASEFB 2001)

314 Key Economic Sectors

Egyptrsquos 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 (33) below depicts the main economic indicators for Egypt for the period 1997

till 2000

Table 33 Main Economic Indicators 1997 - 2000

Source HSBC Investment Bank ndash Egypt ldquoTreasury and Capital Markets A Guide to Egyptrdquo 2001

Page 38

Table (33) shows GDP growth rate of 51 in 19992000 down from 61 in

19981999 due to the economic slowdown which was a reflection of the global

economic conditions

Egyptrsquos inflation rate has also declined from 38 in 19981999 to 28 in 19992000

with an average rate below 4 for the entire period from 1997 ndash 2000

Foreign Reserves have declined from US$ 203 billion in 19971998 to US$ 147

billion in 19992000 due to the governmentrsquos managed float foreign exchange policy

However the level of reserves remains healthy covering approximately 9 months of

imports

Exports increased by 42 in 19992000 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 39

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 statersquos 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 40

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

Egyptrsquos 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 governmentrsquos 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 55 million

arrivals and revenues which increased by 33 to US$ 47 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

109 This was in direct relation to an average growth in GDP of 5 per annum and

an average growth in construction industry of 25 per annum (HC 2001)

Page 41

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 (34) below shows the current market share of three of the largest cement

producers in Egypt as of 2001

Table 34 Market Share of the Three Largest Cement Producers in Egypt (2001)

Source HC Brokerage ldquoEgypt Equity Researchrdquo 2001

As a result capacity additions rose by 102 in 2000 and by 287 in 2001 This

increase in capacity coupled with the economic slowdown and stagnation in

construction industry in 20002001 resulted in supply exceeding demand for the first

time in 20012002 (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 42

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 25 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 43

while consumption is around 20 million tons with the surplus being exported

Approximately 79 of Egyptrsquos 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 Egyptrsquos 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)

315 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 44

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 LE 15 million However the more recently introduced Capital

Adequacy requirements mandate that new brokerage firms must have a minimum

Authorised Capital of LE 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)

316 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 45

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 LE 179 billion in June 2001 as compared to LE 1103

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 46

32 Market Performance

Market analysis for the period 1996 till 1st quarter 2000 is based on the analysis included in ldquoEFG-Hermes Country Report May 2000rdquo Additional analysis for the period 2nd quarter 2000 till 2001 is based on the analysis included in ldquoCairo and Alexandria Stock Exchanges Fact Book 2001rdquo Performance analysis is based on the performance of the Hermes Financial Index for the period 1996-2001

Despite the fact that the Capital Market Law (Law 951992) gave the regulatory

power to reform the Stock Market in Egypt it wasnrsquot until 1996 when ldquoNasr City for

Housing and Development Companyrdquo offered the first majority privatisation stake in

accordance with the aims and objectives of the Privatisation Law (Law 2031991)

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 33)

Graph 33 Overall Market Performance (1996 ndash 1998)

Source EFG-Hermes ldquoEgypt Country Reportrdquo 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 47

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 ldquoValue

Stocksrdquo to new-economy ldquoGrowth Stocksrdquo 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 34)

Graph 34 Private versus Public Sector Share Performance 1998

Source EFG-Hermes ldquoEgypt Country Reportrdquo 2000

In early 1999 the market started rising once again This was mainly attributed to the

initial public offering of ldquoMobinilrdquo the first in telecommunication sector which

marked the market shift towards more sophistication in trading decisions with

Mobinilrsquos share price ending 1999 with 660 increase

Page 48

In the mean time a liquidity squeeze became apparent amid concerns about the

governmentrsquos management of the economy and its commitment to the privatisation

programme This drove the market down for the most of 1999 (Graph 35)

Graph 35 Market Performance (1998-1999)

Source EFG-Hermes ldquoEgypt Country Reportrdquo 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 36)

Page 49

Graph 36 Market Performance (2000 ndash 2001)

0

2000

4000

6000

8000

10000

12000

14000

16000

020

120

00

020

220

00

020

320

00

020

420

00

020

520

00

020

620

00

020

720

00

020

820

00

020

920

00

021

020

00

021

120

00

021

220

00

020

120

01

020

220

01

020

320

01

020

420

01

020

520

01

020

620

01

020

720

01

020

820

01

020

920

01

021

020

01

021

120

01

021

220

01

HFI

Source REUTERS EFG-Hermes

The general downturn continued during the rest of 2000 and throughout 2001 with the

market being down by 596 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 50

Chapter 4 Market Efficiency

41 Methodology

411 Event studies

The approach adopted in testing for market efficiency within the Egyptian Stock

market is ldquoEvent Studiesrdquo 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 ldquoSemi-strong efficientrdquo 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 ldquoSemi-

strong inefficientrdquo market

The tests were conducted using an Ordinary Least Squares regression model (OLS) to

identify the stockrsquos Expected Normal Returns and hence any deviation of Actual

Returns from Expected returns in the form of Unexpected Abnormal Returns

Page 51

Mathematically the returns of a security can be represented by the following formula

ri = αi + βirM + ei (41)

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 irsquos abnormal returns

From equation (41) the abnormal returns of a security can be found be rewriting the

equation to be

ei = ri ndash (αi + βirM) (42)

Equation (42) 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

bull using Cumulative Abnormal Returns (CAR) to measure abnormal

returns surrounding the event examined instead of the Buy-and-Hold

Average Returns (BHAR) method

bull returns were measured over short horizons to provide better results

under the assumption of securities returns being normally distributed

Page 52

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)

412 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 41 shows the values of Standard Deviation Skewness and Kutosis for the

index returns for the periods 19961997 19981999 and 20002001

Page 53

Table 41 Key Statistics for the Hermes Financial Index 1996-2001

Date Index Value Change Index Returns Date Index Value Change Index Returns Date Index Value Change Index Returns 1996-19971 1998-1999 2000-2001 (Vt Vt-1) ln (Vt Vt-1) (Vt Vt-1) ln (Vt Vt-1) (Vt Vt-1) ln (Vt Vt-1)

10111996 867670 28121997 1226070 26121999 1215240 17111996 882871 1017519 174 04011998 1240540 1011802 117 02012000 1302750 1072010 695 24111996 945531 1070973 686 11011998 1222730 0985643 -145 09012000 1360710 1044491 435 01121996 996570 1053979 526 18011998 1206630 0986833 -133 16012000 1383930 1017065 169 08121996 1016080 1019577 194 25011998 1187560 0984196 -159 23012000 1457730 1053326 520 15121996 1039650 1023197 229 01021998 1161970 0978452 -218 30012000 1399530 0960075 -407 22121996 1024630 0985553 -146 08021998 1152100 0991506 -085 06022000 1378850 0985224 -149 29121996 1025110 1000468 005 15021998 1148570 0996936 -031 13022000 1408260 1021329 211 05011997 1131130 1103423 984 22021998 1154110 1004823 048 20022000 1369110 0972200 -282 12011997 1184190 1046909 458 01031998 1152270 0998406 -016 27022000 1249590 0912702 -913 19011997 1178430 0995136 -049 08031998 1171950 1017079 169 05032000 1263010 1010740 107 26011997 1258880 1068269 660 15031998 1177260 1004531 045 12032000 1278610 1012351 123 02021997 1357460 1078308 754 22031998 1188570 1009607 096 19032000 1262590 0987471 -126 09021997 1484800 1093808 897 29031998 1200260 1009835 098 26032000 1233620 0977055 -232 16021997 1531050 1031149 307 05041998 1197600 0997784 -022 02042000 1251400 1014413 143 23021997 1613500 1053852 525 12041998 1198900 1001086 011 09042000 1239300 0990331 -097 02031997 1556100 0964425 -362 19041998 1195490 0997156 -028 16042000 1198730 0967264 -333 09031997 1558050 1001253 013 26041998 1182420 0989067 -110 23042000 1083240 0903656 -1013 16031997 1552380 0996361 -036 03051998 1176960 0995382 -046 30042000 1119630 1033594 330 23031997 1468520 0945980 -555 10051998 1159590 0985242 -149 07052000 1105850 0987692 -124 30031997 1465020 0997617 -024 17051998 1129560 0974103 -262 14052000 1139120 1030085 296 06041997 1479870 1010136 101 24051998 1112340 0984755 -154 21052000 1170140 1027232 269 13041997 1486590 1004541 045 31051998 1073430 0965020 -356 28052000 1079810 0922804 -803 20041997 1476740 0993374 -066 07061998 1045480 0973962 -264 04062000 1084760 1004584 046

Page 54

27041997 1506070 1019861 197 14061998 1066480 1020086 199 11062000 1015120 0935801 -664 04051997 1464590 0972458 -279 21061998 1032170 0967829 -327 18062000 1001480 0986563 -135 11051997 1436900 0981094 -191 28061998 1030030 0997927 -021 25062000 916437 0915083 -887 18051997 1375190 0957053 -439 05071998 1002040 0972826 -276 02072000 899917 0981974 -182 25051997 1388860 1009940 099 12071998 982199 0980199 -200 09072000 939109 1043551 426 01061997 1322860 0952479 -487 19071998 970995 0988593 -115 16072000 925956 0985994 -141 08061997 1363670 1030850 304 26071998 995234 1024963 247 23072000 865117 0934296 -680 15061997 1347130 0987871 -122 02081998 1010220 1015058 149 30072000 817732 0945227 -563 22061997 1334000 0990253 -098 09081998 986274 0976296 -240 06082000 789054 0964930 -357 29061997 1311840 0983388 -168 16081998 966470 0979920 -203 13082000 756887 0959233 -416 06071997 1323390 1008804 088 23081998 934316 0966730 -338 20082000 834110 1102027 972 13071997 1309910 0989814 -102 30081998 901108 0964457 -362 27082000 832698 0998307 -017 20071997 1290000 0984800 -153 06091998 949019 1053169 518 03092000 816798 0980905 -193 27071997 1260250 0976938 -233 13091998 950397 1001452 015 10092000 845660 1035336 347 03081997 1262230 1001571 016 20091998 953342 1003099 031 17092000 811616 0959743 -411 10081997 1256470 0995437 -046 27091998 956663 1003484 035 24092000 777843 0958388 -425 17081997 1258060 1001265 013 04101998 958912 1002351 023 01102000 747666 0961204 -396 24081997 1303680 1036262 356 11101998 943251 0983668 -165 08102000 698780 0934615 -676 31081997 1353230 1038008 373 18101998 943963 1000755 008 15102000 607631 0869560 -1398 07091997 1366730 1009976 099 25101998 934640 0990124 -099 22102000 688893 1133736 1255 14091997 1396460 1021753 215 01111998 918468 0982697 -175 29102000 730437 1060305 586 21091997 1404870 1006022 060 08111998 913223 0994289 -057 05112000 747364 1023174 229 28091997 1399450 0996142 -039 15111998 917822 1005036 050 12112000 773445 1034897 343 05101997 1398330 0999200 -008 22111998 917160 0999279 -007 19112000 872700 1128328 1207 12101997 1387030 0991919 -081 29111998 906802 0988706 -114 26112000 799245 0915830 -879 19101997 1362190 0982091 -181 06121998 902621 0995389 -046 03122000 796977 0997162 -028 26101997 1364920 1002004 020 13121998 889094 0985014 -151 10122000 790233 0991538 -085 02111997 1348240 0987780 -123 20121998 902575 1015163 150 17122000 787365 0996371 -036 09111997 1333460 0989038 -110 27121998 906891 1004782 048 24122000 756623 0960956 -398 16111997 1299370 0974435 -259 03011999 914183 1008041 080 31122000 753795 0996262 -037

Page 55

23111997 1253930 0965029 -356 10011999 983873 1076232 735 07012001 757822 1005342 053 30111997 1260160 1004968 050 17011999 989959 1006186 062 14012001 752417 0992868 -072 07121997 1202660 0954371 -467 24011999 1016140 1026447 261 21012001 722711 0960519 -403 14121997 1218480 1013154 131 31011999 1105790 1088226 845 28012001 755868 1045879 449 21121997 1214730 0996922 -031 07021999 1094590 0989871 -102 04022001 769449 1017967 178 28121997 1226070 1009335 093 14021999 1053620 0962570 -381 11022001 747680 0971708 -287

21021999 1071770 1017226 171 18022001 716466 0958252 -426 28021999 1055100 0984446 -157 25022001 696200 0971714 -287 07031999 1039860 0985556 -145 04032001 672488 0965941 -347 14031999 1041200 1001289 013 11032001 687929 1022961 227 21031999 1027650 0986986 -131 18032001 634936 0922967 -802 28031999 1031360 1003610 036 25032001 616127 0970377 -301 04041999 1034930 1003461 035 01042001 591655 0960281 -405 11041999 1024940 0990347 -097 08042001 601771 1017098 170 18041999 1026450 1001473 015 15042001 629302 1045750 447 25041999 1038240 1011486 114 22042001 610423 0970000 -305 02051999 1014430 0977067 -232 29042001 617783 1012057 120 09051999 1027240 1012628 125 06052001 634110 1026428 261 16051999 1015400 0988474 -116 13052001 648901 1023326 231 23051999 1012050 0996701 -033 20052001 659723 1016677 165 30051999 986598 0974851 -255 27052001 665419 1008634 086 06061999 977053 0990325 -097 03062001 653740 0982449 -177 13061999 1007370 1031029 306 10062001 629223 0962497 -382 20061999 989166 0981929 -182 17062001 630035 1001290 013 27061999 1026150 1037389 367 24062001 613967 0974497 -258 04071999 995282 0969919 -305 01072001 596953 0972288 -281 11071999 995600 1000320 003 08072001 620332 1039164 384 18071999 1012170 1016643 165 15072001 609565 0982643 -175 25071999 981962 0970155 -303 22072001 554710 0910010 -943 01081999 971997 0989852 -102 29072001 550917 0993162 -069

Page 56

08081999 953229 0980691 -195 05082001 528555 0959409 -414 15081999 935049 0980928 -193 12082001 553572 1047331 462 22081999 944102 1009682 096 19082001 561918 1015077 150 29081999 935339 0990718 -093 26082001 564762 1005061 050 05091999 928650 0992849 -072 02092001 595784 1054929 535 12091999 923843 0994824 -052 09092001 642737 1078809 759 19091999 936583 1013790 137 16092001 626337 0974484 -258 26091999 963355 1028585 282 23092001 614817 0981607 -186 03101999 964466 1001153 012 30092001 561925 0913971 -900 10101999 1008430 1045584 446 07102001 544680 0969311 -312 17101999 1067340 1058418 568 14102001 554529 1018082 179 24101999 1019230 0954925 -461 21102001 579797 1045567 446 31101999 1038280 1018691 185 28102001 571335 0985405 -147 07111999 1047550 1008928 089 04112001 554861 0971166 -293 14111999 1071510 1022872 226 11112001 558192 1006003 060 21111999 1077140 1005254 052 18112001 533398 0955582 -454 28111999 1104220 1025141 248 25112001 508562 0953438 -477 05121999 1152250 1043497 426 02122001 519633 1021769 215 12121999 1338690 1161805 1500 09122001 516432 0993840 -062 19121999 1235780 0923126 -800 16122001 534209 1034423 338 26121999 1215240 0983379 -168 23122001 531180 0994330 -057 30122001 526241 0990702 -093 Std Dev 326 280 456 Skewness 080 181 011 Kurtosis 084 829 079 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 57

The table shows that Standard Deviation has decreased from 326 for the period

19961997 to 28 for the period 19981999 indicating a mild volatility during the

second period

Skewness and kurtosis coefficients have increased during the period 19981999

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 19981999 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) (43)

ri = ln (Pt Pt-1) (44)

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 andor

acquisition data were available for the period analysed (Note that the most actively

traded 30 securities accounted for 8226 of market liquidity as of June 2001 which

Page 58

makes the number of securities analysed a fair representation of the market under the

information constraint)

42 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 ldquoLarge Capitalisation-Valuerdquo stocks to avoid

anomalies associated with ldquoSmall Capitalisation-Growthrdquo stocks which are

characterised by the lack of accurate information and analysis and by infrequent

trading within the Egyptian market

Table 42 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 59

Table 42 Summary Statistics of Stocks Analysed

Company Beta Alpha Std Dev Of Rdm Std Error of Std Error of Correlation Coefficient of Coefficient of Error Term Beta Alpha Coefficient Determination Nondetermination Banking

Commercial International Bank (CIB) 145 -006 312 0062 0174 080 063 037 Egyptian American Bank (EAB) 118 -040 338 0065 0181 070 049 051 Misr International Bank (MIBANK) 127 -036 314 0062 0174 075 057 043 Cement Ameryah Cement 105 -043 358 0067 0187 064 041 059 Helwan Portland Cement 085 -056 326 0064 0178 060 035 065 Suez Cement 126 -020 271 0058 0162 080 063 037 Torah Portland Cement 107 -006 377 0068 0191 063 039 061 Food and Beverages Upper Egypt Flour Mills 087 -075 491 0078 0218 045 020 080 Housing Nasr City for Housing and Development 075 -115 444 0074 0208 043 018 082 Chemicals Abu Keir for Fertilisers 047 -094 389 0070 0194 033 011 089 Egyptian Financial and Industrial 086 -126 286 0060 0167 065 042 058 Paints and Chemical Industries 078 -071 410 0071 0200 047 022 078

Page 60

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

43 Findings

Appendix C provides the detailed calculations of Abnormal Returns for the securities

analysed around the announcement dates of the various events tested

431 Takeovers

Efficiency tests related to Acquisition events included the acquisition announcements

for two companies in the cement sector during 2001 namely the acquisition of

9469 of Helwan Portland Cement shares by the Arab Swiss Engineering Company

(ASEC) and 3465 of Suez Cement shares by Ciments Francais (Cairo and

Alexandria Stock Exchanges Monthly Bulletin May 2002)

Tables (43) and (44) and Graphs (41) and (42) show the following

Despite fluctuating around 040 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 61

Table 43 Average Abnormal Returns Takeovers Table 44 Cumulative Abnormal Returns Takeovers 2001 2001

Day Helwan Portland Suez Cement AAR ()

-18 055 018 036 -17 056 019 038 -16 057 022 039 -15 059 023 041 -14 059 018 038 -13 059 017 038 -12 055 016 036 -11 061 017 039 -10 059 020 040 -9 055 022 038 -8 053 022 037 -7 057 019 038 -6 057 019 038 -5 056 019 038 -4 056 023 039 -3 059 022 041 -2 061 020 041 -1 059 017 038 0 054 020 037 1 060 020 040 2 060 019 040 3 059 018 038 4 062 024 043 5 063 025 044 6 050 020 035 7 051 014 033 8 060 019 039 9 061 018 039

10 068 016 042 11 058 016 037 12 058 026 042 13 054 020 037 14 057 019 038 15 059 020 040 16 057 021 039 17 057 015 036 18 058 019 039 19 058 022 040 20 051 019 035 21 056 019 038

DayHelwan Portland Suez Cement Avg CAR

-18 112 038 075 -17 167 057 112 -16 225 079 152 -15 284 102 193 -14 343 120 231 -13 402 137 269 -12 457 153 305 -11 518 170 344 -10 577 190 384 -9 632 213 422 -8 685 234 460 -7 743 253 498 -6 800 272 536 -5 857 291 574 -4 913 314 613 -3 972 335 654 -2 1034 356 695 -1 1092 373 733 0 1146 393 769 1 1206 413 809 2 1266 432 849 3 1325 449 887 4 1387 474 931 5 1450 498 974 6 1500 519 1010 7 1552 533 1042 8 1611 551 1081 9 1672 569 1120

10 1740 585 1163 11 1799 602 1200 12 1856 627 1242 13 1910 648 1279 14 1967 666 1317 15 2026 687 1356 16 2084 708 1396 17 2141 723 1432 18 2199 742 1470 19 2257 764 1510 20 2308 783 1545 21 2364 802 1583

Page 62

Graph 41 Average Abnormal Returns surrounding Takeovers in 2001

Average Abnormal Returns Takeovers (2001)

000

005

010

015

020

025

030

035

040

045

050

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Graph 42 Cumulative Abnormal Returns surrounding Takeovers in 2001

Average Cumulative Abnormal Returns Takveovers (2001)

000

200

400

600

800

1000

1200

1400

1600

1800

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Slow Adjustment

Information Leakage

Page 63

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 securitiesrsquo prices to

their new fair values and therefore caused the increasing cumulative abnormal

returns after the announcement date

432 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 (45) (46) (47) and (48) and figure (41) 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 (050 in 2000

and 025 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 64

Table 45 Average Abnormal Returns Dividend Increase 2000 Day CIB EAB MIBANK Ameryah Egy FinampInd Abu Keir Fert AAR ()

-18 -139 042 035 046 126 096 034 -17 -344 043 038 043 125 096 000 -16 -403 040 034 040 124 094 -012 -15 192 037 036 044 128 095 089 -14 -277 040 037 047 126 096 011-13 -267 039 036 046 130 092 013 -12 134 040 035 043 126 094 079 -11 -060 038 034 044 125 095 046 -10 -448 040 036 046 128 097 -017 -9 -199 042 036 046 129 094 025 -8 426 041 031 044 126 092 127 -7 419 043 034 046 123 093 126 -6 328 040 036 032 127 095 110 -5 -388 037 036 044 126 096 -008 -4 -069 043 033 046 125 094 045 -3 014 039 035 041 131 093 059 -2 -128 041 037 045 125 095 036 -1 -017 040 037 041 125 094 054 0 -092 041 037 041 130 097 042 1 -105 039 034 042 130 098 040 2 172 043 034 043 122 097 085 3 248 042 036 041 124 096 098 4 333 037 037 041 122 094 111 5 156 043 035 041 128 094 083 6 -298 040 035 043 121 093 006 7 285 043 038 046 123 089 104 8 -024 042 033 045 120 092 052 9 225 031 039 045 122 085 091

10 -056 042 036 042 124 093 047 11 041 039 032 046 124 096 063 12 -240 038 037 045 122 095 016 13 -082 048 040 041 125 095 045 14 205 032 030 041 131 094 089 15 058 039 036 045 128 094 067 16 144 040 036 043 121 089 079 17 -358 039 036 044 126 090 -004 18 -010 041 036 046 126 100 057 19 307 039 041 043 125 099 109 20 -975 039 044 045 120 094 -105 21 -187 038 026 044 130 095 024

Page 65

Table 46 Average Abnormal Returns Dividend Increase 2001

Day CIB MIBANK Ameryah AAR ()

-18 009 034 042 029 -17 008 035 044 029 -16 006 035 047 029 -15 004 035 043 027 -14 002 034 049 029 -13 011 034 039 028 -12 009 040 041 030 -11 003 037 048 029 -10 008 036 047 030 -9 009 031 045 029 -8 010 033 040 027 -7 009 040 048 032 -6 003 038 041 027 -5 003 033 040 026 -4 007 039 040 029 -3 007 037 048 031 -2 003 039 044 029 -1 006 039 052 033 0 009 032 049 030 1 002 033 042 026 2 010 038 044 031 3 012 037 014 021 4 006 031 042 026 5 002 036 047 028 6 008 038 042 029 7 005 031 045 027 8 008 040 045 031 9 008 040 046 031

10 009 036 043 029 11 006 030 041 026 12 002 036 040 026 13 -003 029 041 022 14 006 040 044 030 15 002 039 044 028 16 007 035 043 028 17 010 032 041 028 18 005 032 043 026 19 003 037 042 027 20 008 035 046 030 21 008 034 045 029

Page 66

Table 47 Cumulative Abnormal Returns Dividend Increase 2000 Day CIB EAB MIBANK Ameryah Egy FinampInd Abu Keir Fert Avg CAR ()

-18 -271 083 070 086 249 191 068 -17 -614 126 108 129 374 287 068 -16 -1018 166 142 169 498 381 056 -15 -826 202 178 213 626 476 145 -14 -1103 242 215 260 752 572 156 -13 -1370 281 251 306 882 664 169 -12 -1235 321 286 348 1008 759 248 -11 -1296 359 321 392 1133 853 294 -10 -1744 399 357 439 1261 950 277 -9 -1943 441 393 485 1390 1045 302 -8 -1517 482 424 529 1516 1137 428 -7 -1098 525 458 575 1639 1230 555 -6 -770 564 494 607 1766 1326 665 -5 -1157 601 530 651 1892 1422 656 -4 -1227 645 563 697 2017 1515 702 -3 -1213 684 598 737 2148 1609 760 -2 -1341 725 634 782 2273 1703 796 -1 -1358 765 671 823 2398 1798 850 0 -1450 806 708 864 2529 1894 892 1 -1555 845 742 906 2659 1992 932 2 -1383 888 776 949 2781 2090 1017 3 -1135 929 811 990 2905 2185 1114 4 -802 966 848 1031 3028 2279 1225 5 -646 1009 883 1072 3156 2373 1308 6 -945 1049 918 1115 3277 2466 1313 7 -660 1092 956 1161 3400 2555 1417 8 -683 1134 990 1206 3521 2647 1469 9 -458 1165 1029 1251 3643 2732 1560

10 -514 1206 1065 1293 3766 2825 1607 11 -472 1245 1097 1339 3890 2921 1670 12 -712 1283 1134 1384 4012 3016 1686 13 -794 1331 1174 1426 4137 3111 1731 14 -589 1364 1203 1466 4267 3205 1819 15 -530 1403 1239 1512 4396 3299 1886 16 -386 1443 1275 1555 4516 3388 1965 17 -744 1482 1311 1599 4643 3478 1961 18 -754 1523 1347 1644 4769 3578 2018 19 -446 1562 1388 1688 4895 3676 2127 20 -1421 1601 1432 1732 5014 3770 2022 21 -1608 1639 1458 1777 5144 3866 2046

Page 67

Table 48 Cumulative Abnormal Returns Dividend Increase 2001

Day CIB MIBANK Ameryah Avg CAR ()

-18 017 066 082 055 -17 025 101 126 084 -16 031 136 174 114 -15 035 171 217 141 -14 037 205 266 169 -13 048 239 305 198 -12 058 279 347 228 -11 061 316 394 257 -10 069 352 441 287 -9 078 384 486 316 -8 087 416 526 343 -7 096 456 575 376 -6 099 494 616 403 -5 102 528 656 429 -4 109 567 696 457 -3 116 604 744 488 -2 119 644 789 517 -1 125 683 841 550 0 134 715 890 580 1 136 748 932 605 2 146 786 976 636 3 157 823 990 657 4 164 854 1033 683 5 165 890 1080 712 6 173 927 1121 741 7 178 958 1166 767 8 186 998 1211 798 9 194 1038 1257 830

10 203 1075 1299 859 11 209 1105 1340 885 12 211 1141 1380 911 13 208 1170 1421 933 14 213 1209 1465 963 15 215 1248 1509 991 16 222 1283 1552 1019 17 232 1315 1593 1047 18 236 1347 1636 1073 19 239 1384 1677 1100 20 247 1419 1724 1130 21 254 1453 1769 1159

Page 68

Figure 41 Abnormal Returns surrounding Dividend Increase (2000-2001)

Average Abnormal Returns Dividend Increase (2000)

-150

-100

-050

000

050

100

150

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Abnormal Returns Dividend Increase (2001)

000

005

010

015

020

025

030

035

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Cumulative Abnormal Returns Dividend Increase ( 2000)

000

500

1000

1500

2000

2500

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement date

AC

AR

()

Information Leakage

Slow Adjustment

Average Cumulative Abnormal Returns Dividend Increase (2001)

000

200

400

600

800

1000

1200

1400

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Page 70

433 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 (49) (410) (411) and (412) and figure (42) 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 (064 in 2000 and 0725 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 71

Table 49 Average Abnormal Returns Dividend Decrease 2000 Day Helwan Cement Torah Port Nasr City Paints amp Chem Upper Egypt F Mills AAR ()

-18 052 003 119 072 074 064-17 056 005 120 071 076 066-16 058 008 111 069 076 064-15 054 007 112 069 075 063-14 059 008 116 073 077 067-13 057 005 111 068 077 064-12 056 009 113 068 076 064-11 057 008 119 065 077 065-10 057 008 114 067 078 065-9 059 005 112 072 074 064-8 056 008 112 066 074 063-7 057 006 113 068 076 064-6 057 005 113 073 077 065-5 058 003 118 075 074 066-4 056 008 117 075 076 066-3 057 005 117 067 077 065-2 059 010 117 070 077 067-1 058 007 118 066 078 0660 060 007 116 069 069 0641 061 005 111 074 080 0662 047 005 112 071 076 0623 043 007 095 067 070 0564 058 -010 119 070 075 0635 055 006 120 070 077 0666 059 007 121 072 076 0677 059 005 118 068 052 0618 059 004 118 068 077 0659 051 008 117 073 072 064

10 055 010 118 071 076 06611 055 004 119 071 076 06512 057 005 120 068 073 06513 056 013 119 072 074 06714 054 010 119 078 076 06715 058 004 116 068 072 06416 058 007 118 069 074 06517 057 011 113 070 074 06518 055 008 113 069 071 06319 057 003 117 073 074 06520 057 001 112 072 077 06421 055 002 110 073 074 063

Page 72

Table 410 Average Abnormal Returns Dividend Decrease 2001 Day Torah Port Nasr City Suez Cement Egy FinampInd Abu Keir Fert AAR ()

-18 006 115 017 122 095 071 -17 008 115 021 125 094 072 -16 007 116 021 126 096 073 -15 010 113 019 126 096 073 -14 007 116 020 127 096 073 -13 002 115 021 122 095 071 -12 009 117 018 129 095 074 -11 005 112 020 126 094 072 -10 002 114 020 126 094 072 -9 007 117 022 126 095 073 -8 008 114 021 125 094 072 -7 007 116 021 128 095 074 -6 010 114 020 128 094 073 -5 006 115 019 127 094 072 -4 007 114 024 129 094 074 -3 005 113 023 125 095 072 -2 001 115 016 123 094 070 -1 009 114 021 130 094 073 0 005 116 021 127 095 073 1 004 115 016 125 093 071 2 012 114 019 124 095 073 3 008 114 019 131 095 074 4 008 114 021 128 095 073 5 009 117 019 126 095 073 6 004 115 021 122 083 069 7 003 116 020 122 093 071 8 002 115 019 130 093 072 9 006 114 021 125 095 072

10 -001 115 019 113 095 068 11 001 111 018 124 094 070 12 007 112 017 128 094 072 13 003 116 018 121 096 071 14 008 112 021 125 093 072 15 007 111 020 129 095 073 16 010 116 020 130 095 074 17 006 117 020 126 095 073 18 002 115 021 126 095 072 19 007 117 019 131 096 074 20 002 116 021 123 094 071 21 007 114 021 129 095 073

Page 73

Table 411 Cumulative Abnormal Returns Dividend Decrease 2000 Day Helwan Cement Torah Port Nasr City Paints amp Chem Upper Egypt F Mills Avg CAR ()

-18 108 009 233 143 147 128-17 164 013 353 214 223 194-16 223 021 464 283 299 258-15 276 028 576 351 374 321-14 336 037 692 425 451 388-13 392 042 804 493 528 452-12 449 051 917 561 603 516-11 506 058 1035 626 680 581-10 562 066 1150 693 759 646-9 621 071 1261 765 833 710-8 677 079 1373 831 907 773-7 734 085 1486 899 983 838-6 791 090 1599 972 1060 903-5 850 093 1717 1048 1134 968-4 906 101 1834 1123 1210 1035-3 963 105 1951 1190 1287 1099-2 1022 115 2068 1261 1364 1166-1 1081 122 2186 1327 1442 12320 1141 130 2303 1396 1510 12961 1202 135 2414 1470 1590 13622 1249 140 2526 1541 1666 14243 1292 147 2621 1608 1736 14814 1350 138 2740 1678 1812 15435 1405 143 2860 1748 1889 16096 1464 151 2981 1820 1965 16767 1523 156 3099 1888 2017 17378 1582 160 3217 1956 2094 18029 1634 168 3334 2029 2166 1866

10 1688 178 3452 2099 2242 193211 1743 181 3571 2170 2318 199712 1800 186 3691 2239 2391 206213 1856 200 3810 2311 2465 212814 1910 210 3929 2388 2541 219615 1968 214 4045 2456 2613 225916 2026 221 4163 2525 2687 232517 2083 232 4276 2595 2761 239018 2138 241 4389 2664 2833 245319 2195 244 4506 2737 2906 251820 2252 245 4619 2809 2984 258221 2307 247 4729 2883 3058 2645

Page 74

Table 412 Cumulative Abnormal Returns Dividend Decrease 2001 Day Torah Port Nasr City Suez Cement Egy FinampInd Abu Keir Fert Avg CAR ()

-18 012 229 037 254 190 144 -17 019 344 057 379 285 217 -16 026 460 078 505 380 290 -15 036 573 097 630 476 363 -14 044 689 117 757 572 436 -13 046 804 138 879 667 507 -12 055 921 155 1008 762 580 -11 060 1033 176 1134 856 652 -10 063 1147 196 1261 951 724 -9 069 1264 218 1387 1046 797 -8 077 1378 239 1512 1140 869 -7 085 1494 261 1641 1235 943 -6 094 1608 280 1769 1329 1016 -5 101 1723 299 1896 1423 1088 -4 107 1837 323 2025 1517 1162 -3 113 1950 346 2150 1612 1234 -2 114 2064 363 2273 1705 1304 -1 123 2179 384 2403 1799 1377 0 128 2295 405 2530 1894 1450 1 132 2411 421 2655 1987 1521 2 144 2525 440 2779 2082 1594 3 152 2639 459 2910 2177 1667 4 160 2753 481 3038 2272 1741 5 169 2870 500 3164 2367 1814 6 173 2986 520 3286 2450 1883 7 176 3102 541 3409 2544 1954 8 179 3217 560 3538 2637 2026 9 184 3330 580 3663 2732 2098

10 183 3445 599 3776 2827 2166 11 184 3556 617 3900 2922 2236 12 191 3668 634 4027 3016 2307 13 194 3784 652 4149 3111 2378 14 202 3896 672 4273 3205 2450 15 209 4008 692 4403 3300 2522 16 219 4124 712 4532 3396 2597 17 225 4241 732 4658 3490 2669 18 227 4355 753 4784 3585 2741 19 234 4472 771 4915 3681 2815 20 236 4588 792 5038 3774 2886 21 243 4703 813 5167 3869 2959

Page 75

Figure 42 Abnormal Returns surrounding Dividend Decrease (2000-2001)

Average Abnormal Returns Dividend Decrease (2000)

054

056

058

060

062

064

066

068

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Abnormal Returns Dividend Decrease (2001)

067

068

069

070

071

072

073

074

075

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Cumulative Abnormal Returns Dividend Decrease (2000)

000

500

1000

1500

2000

2500

3000

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Average Cumulative Abnormal Returns Dividend Decrease (2001)

000

500

1000

1500

2000

2500

3000

3500

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Page 76

44 Conclusion

From the above an overall conclusion can be drawn that the Egyptian stock market

showed a clear departure from the ldquoSemi-strong efficientrdquo market hypothesis in the

period 20002001 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 77

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 ldquoFree Handrdquo 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

51 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 78

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 ndash [arf + βp(arM - arf)]

(51)

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

Treynorrsquos 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 (52)

Hence it can be seen that the higher the value of Treynorrsquos 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 Treynorrsquos coefficient will be confined to evaluating funds

performance relative to the benchmark

Page 79

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 (53)

Where (arp - arf) is the average excess return and σp is the total volatility of the fund

Similar to Treynorrsquos coefficient the higher the value of the Sharpe ratio is the better

the performance of the fund will be However therersquos a fundamental difference

between Sharpe ratio and both Treynorrsquos coefficient and Jensenrsquos alpha in that in

Sharpersquos 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 Treynorrsquos or Jensenrsquos might

rank inferior under Sharpersquos due to high Unique Risk thatrsquos not accounted for by the

other two measures

However if a fund shows poor performance under both Jensenrsquos and Treynorrsquos it

should follow logically that it would also show poor performance under Sharpersquos

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 (54)

Page 80

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

52 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

53 Findings

Appendix D shows the detailed calculations of the different performance measures

Page 81

Table (51) and Graphs (51) and (52) 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 ndash562

for Fund No 2 to -1282 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 ndash739) 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 82

Table 51 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 -1405 -831 -474 -685 -950 -735 -666 -833 -323 Standard Deviation 3820 1379 1456 1359 1374 1333 1215 762 773 Std Dev Of Rndm Error Term 000 560 662 354 434 547 421 173 305 Beta 100 034 035 035 035 033 030 020 019 Jensen (Alpha) 000 -949 -562 -786 -1051 -880 -866 -1282 -780 Sharpe -060 -126 -094 -117 -135 -123 -129 -227 -158 Treynor -2305 -5099 -3899 -4571 -5339 -4994 -5155 -8863 -6369 Tracking Error 000 -169 -085 -222 -242 -161 -205 -739 -256

Page 84

Graph 51 Egyptian Mutual Funds Performance Evaluation Using the Ex Post Securities Market Line (1998-2001)

-2000

-1500

-1000

-500

000

500

1000

1500

000 020 040 060 080 100 120

βp

arp

Market Portfolio

Fund No 1

Fund No 2

Fund No 3

Fund No 4

Fund No 5

Fund No 6

Fund No 7

Fund No 8

Ex Post SML

Graph 52 Egyptian Mutual Funds Performance Evaluation Using the Ex Post Capital Market Line (1998-2001)

-2000

-1500

-1000

-500

000

500

1000

1500

000 500 1000 1500 2000 2500 3000 3500 4000 4500

σp

arp

Market Portfolio

Fund No 1

Fund No 2

Fund No 3

Fund No 4

Fund No 5

Fund No 6

Fund No 7

Fund No 8

Ex Post CML

Page 85

For Treynor (Reward-to-Volatility) and despite that the benchmark showed a

negative value of ndash2305 all funds showed greater negative values ranging from

ndash3899 for Fund No 2 to ndash8863 for Fund No 7

This can be seen from Graph (51) 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 ndash094 for Fund No 2 to ndash227 for Fund No 7

This can also be seen from Graph (52) 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

54 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 86

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 87

Chapter 6 Conclusions and Recommendations

61 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 20002001

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 88

62 Findings and Conclusions

621 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 maximumminimum 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 89

622 Mutual Funds Performance

CAPM based performance evaluation measures (Jensenrsquos 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 risk-

adjusted 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 90

63 Limitations

631 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 8226 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 91

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

632 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 92

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)

64 Recommendations

Based on the above findings a number of recommendations can be made These are

bull 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 andor the means to enact them in a

more effective manner should be considered

bull 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 93

bull 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

65 Suggestions for Further Research

The course of this study has outlined a number of areas that could be explored by

further research These include

bull the need to evaluate mutual funds performance more comprehensively

when more and sufficient data become available

bull 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 94

bull 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

bull 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 95

Appendix A

Current Listing Requirements

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

Page 96

Proposed Listing Requirements

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

Page 97

Appendix B

The calculations of the various risk measures for each security analysed were based

on the following

bull the benchmark used for measuring securitiesrsquo sensitivities against is the

Herms Financial Index (HFI)

bull 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

bull calculations were based on 104 weekly observations of index values

and securities prices starting from 2nd of January 1998 until 24th

December 1999

bull 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) (411)

ri = ln (Pt Pt-1) (412)

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 98

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 = [(T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX)] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2] (413)

Alpha = [sumsumsumsumYT] ndash [Beta (sumsumsumsumXT)] (414)

Standard Deviation of Random Error Term (Residual Volatility)

= [sumsumsumsumY2 ndash (Alpha sumsumsumsumY) ndash (Beta sumsumsumsumXY)] [T ndash 2]12 (415)

Standard Error of Beta

= Residual Volatility sumsumsumsumX2 ndash [(sumsumsumsumX)2 T]12 (416)

Standard Error of Alpha

= Residual Volatility T ndash [(sumsumsumsumX)2 sumsumsumsumX2]12 (417)

Correlation Coefficient

= (T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX) (418)

[(T sumsumsumsumY2) ndash (sumsumsumsumY)2] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2]12

Coefficient of Determination (R2)

= (Correlation Coefficient)2 (419)

Coefficient of Nondetermination

= 1 ndash Coefficient of Determination (4110)

The following are the detailed calculations of the various risk measures for the

securities analysed

Page 99

Commercial International Bank CIB

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5298 09011998 1222730 0985643 -145 5193 0980181 -200 209 401 289 16011998 1206630 0986833 -133 5170 0995571 -044 176 020 059 23011998 1187560 0984196 -159 5147 0995551 -045 254 020 071 30011998 1161970 0978452 -218 4748 0922479 -807 475 6511 1758 06021998 1152100 0991506 -085 4810 1013058 130 073 168 -111 13021998 1148570 0996936 -031 4581 0952391 -488 009 2379 150 20021998 1154110 1004823 048 4429 0966819 -337 023 1139 -162 27021998 1152270 0998406 -016 4395 0992323 -077 003 059 012 06031998 1171950 1017079 169 4487 1020933 207 287 429 351 13031998 1177260 1004531 045 4492 1001114 011 020 001 005 20031998 1188570 1009607 096 4678 1041407 406 091 1646 388 27031998 1200260 1009835 098 4735 1012185 121 096 147 119 03041998 1197600 0997784 -022 4840 1022175 219 005 481 -049 10041998 1198900 1001086 011 4793 0990289 -098 001 095 -011 17041998 1195490 0997156 -028 4814 1004381 044 008 019 -012 24041998 1182420 0989067 -110 4488 0932281 -701 121 4917 771 01051998 1176960 0995382 -046 4512 1005348 053 021 028 -025 08051998 1159590 0985242 -149 4117 0912456 -916 221 8393 1362 15051998 1129560 0974103 -262 3965 0963080 -376 688 1415 987 22051998 1112340 0984755 -154 4043 1019672 195 236 380 -299 29051998 1073430 0965020 -356 3984 0985407 -147 1268 216 523 05061998 1045480 0973962 -264 3946 0990462 -096 696 092 253 12061998 1066480 1020086 199 4040 1023822 235 396 554 468 19061998 1032170 0967829 -327 3815 0944307 -573 1069 3284 1874 26061998 1030030 0997927 -021 3903 1023067 228 004 520 -047 03071998 1002040 0972826 -276 3769 0965667 -349 759 1221 962 10071998 982199 0980199 -200 3740 0992306 -077 400 060 154 17071998 970995 0988593 -115 3749 1002406 024 132 006 -028 24071998 995234 1024963 247 3752 1000800 008 608 001 020 31071998 1010220 1015058 149 3729 0993870 -061 223 038 -092 07081998 986274 0976296 -240 3397 0910968 -932 575 8695 2237 14081998 966470 0979920 -203 3271 0962908 -378 411 1429 767 21081998 934316 0966730 -338 2978 0910425 -938 1145 8807 3175 28081998 901108 0964457 -362 2668 0895903 -1099 1310 12083 3978 04091998 949019 1053169 518 3026 1134183 1259 2684 15854 6523 11091998 950397 1001452 015 3201 1057832 562 002 3161 082 18091998 953342 1003099 031 3277 1023743 235 010 551 073 25091998 956663 1003484 035 3202 0977113 -232 012 536 -081 02101998 958912 1002351 023 3188 0995628 -044 006 019 -010 09101998 943251 0983668 -165 3049 0956399 -446 271 1987 734 16101998 943963 1000755 008 2887 0946868 -546 001 2981 -041 23101998 934640 0990124 -099 2891 1001386 014 099 002 -014

Page 100

30101998 918468 0982697 -175 2765 0956416 -446 305 1986 778 06111998 913223 0994289 -057 2872 1038698 380 033 1442 -217 13111998 917822 1005036 050 2823 0982939 -172 025 296 -086 20111998 917160 0999279 -007 2807 0994332 -057 001 032 004 27111998 906802 0988706 -114 2742 0976844 -234 129 549 266 04121998 902621 0995389 -046 2663 0971189 -292 021 855 135 11121998 889094 0985014 -151 2538 0953060 -481 228 2311 726 18121998 902575 1015163 150 2637 1039007 383 226 1464 576 25121998 906891 1004782 048 2608 0989003 -111 023 122 -053 01011999 914183 1008041 080 2698 1034509 339 064 1151 272 08011999 983873 1076232 735 3158 1170497 1574 5397 24784 11566 15011999 989959 1006186 062 3167 1002850 028 038 008 018 22011999 1016140 1026447 261 3257 1028418 280 681 785 731 29011999 1105790 1088226 845 3663 1124655 1175 7149 13801 9932 05021999 1094590 0989871 -102 3736 1019929 197 104 389 -201 12021999 1053620 0962570 -381 3717 0994914 -051 1455 026 195 19021999 1071770 1017226 171 3874 1042238 414 292 1712 707 26021999 1055100 0984446 -157 3736 0964378 -363 246 1316 569 05031999 1039860 0985556 -145 3502 0937366 -647 212 4184 941 12031999 1041200 1001289 013 3492 0997144 -029 002 008 -004 19031999 1027650 0986986 -131 3498 1001718 017 172 003 -022 26031999 1031360 1003610 036 3472 0992567 -075 013 056 -027 02041999 1034930 1003461 035 3520 1013825 137 012 189 047 09041999 1024940 0990347 -097 3480 0988636 -114 094 131 111 16041999 1026450 1001473 015 3543 1018103 179 002 322 026 23041999 1038240 1011486 114 3483 0983065 -171 130 292 -195 30041999 1014430 0977067 -232 3397 0975309 -250 538 625 580 07051999 1027240 1012628 125 3458 1017957 178 157 317 223 14051999 1015400 0988474 -116 3425 0990457 -096 134 092 111 21051999 1012050 0996701 -033 3322 0969927 -305 011 932 101 28051999 986598 0974851 -255 3179 0956954 -440 649 1936 1121 04061999 977053 0990325 -097 3074 0966971 -336 095 1128 327 11061999 1007370 1031029 306 3207 1043266 424 934 1794 1294 18061999 989166 0981929 -182 3155 0983785 -163 333 267 298 25061999 1026150 1037389 367 3135 0993661 -064 1347 040 -233 02071999 995282 0969919 -305 3079 0982137 -180 933 325 551 09071999 995600 1000320 003 3063 0994804 -052 000 027 -002 16071999 1012170 1016643 165 3083 1006530 065 272 042 107 23071999 981962 0970155 -303 3050 0989296 -108 918 116 326 30071999 971997 0989852 -102 3077 1008852 088 104 078 -090 06081999 953229 0980691 -195 3023 0982450 -177 380 313 345 13081999 935049 0980928 -193 2900 0959312 -415 371 1725 800 20081999 944102 1009682 096 3001 1034828 342 093 1172 330 27081999 935339 0990718 -093 2944 0981006 -192 087 368 179 03091999 928650 0992849 -072 2929 0994905 -051 052 026 037 10091999 923843 0994824 -052 2924 0998293 -017 027 003 009 17091999 936583 1013790 137 3071 1050274 491 188 2406 672 24091999 963355 1028585 282 3284 1069359 671 794 4497 1890 01101999 964466 1001153 012 3257 0991778 -083 001 068 -010 08101999 1008430 1045584 446 3662 1124348 1172 1987 13737 5224 15101999 1067340 1058418 568 4053 1106772 1014 3223 10292 5760

Page 101

22101999 1019230 0954925 -461 3643 0898840 -1066 2127 11374 4919 29101999 1038280 1018691 185 4123 1131760 1238 343 15320 2292 05111999 1047550 1008928 089 4100 0994422 -056 079 031 -050 12111999 1071510 1022872 226 4256 1038049 373 511 1394 844 19111999 1077140 1005254 052 4181 0982378 -178 027 316 -093 26111999 1104220 1025141 248 4357 1042095 412 617 1700 1024 03121999 1152250 1043497 426 4228 0970392 -301 1813 903 -1280 10121999 1338690 1161805 1500 5110 1208609 1895 22492 35899 28416 17121999 1235780 0923126 -800 4657 0911350 -928 6398 8617 7425 24121999 1215240 0983379 -168 4827 1036504 359 281 1285 -601 Sum -206 -931 80467 268123 116803 Beta 145 Alpha -006 Std Dev Of Rndm Error Term 312 Std Error of Beta 0062 Std Error of Alpha 0174 Correlation Coefficient 080 Coefficient of Determination 063 Coefficient of Nondetermination 037

Page 102

Egyptian American Bank

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8758 09011998 1222730 0985643 -145 8687 0991893 -081 209 066 118 16011998 1206630 0986833 -133 8226 0946932 -545 176 2973 723 23011998 1187560 0984196 -159 8172 0993435 -066 254 043 105 30011998 1161970 0978452 -218 7600 0930005 -726 475 5266 1581 06021998 1152100 0991506 -085 7837 1031184 307 073 943 -262 13021998 1148570 0996936 -031 7832 0999362 -006 009 000 002 20021998 1154110 1004823 048 7602 0970633 -298 023 888 -143 27021998 1152270 0998406 -016 7262 0955275 -458 003 2094 073 06031998 1171950 1017079 169 7629 1050537 493 287 2431 835 13031998 1177260 1004531 045 7657 1003670 037 020 013 017 20031998 1188570 1009607 096 7577 0989552 -105 091 110 -100 27031998 1200260 1009835 098 7707 1017157 170 096 289 166 03041998 1197600 0997784 -022 7738 1004022 040 005 016 -009 10041998 1198900 1001086 011 7793 1007108 071 001 050 008 17041998 1195490 0997156 -028 7580 0972668 -277 008 768 079 24041998 1182420 0989067 -110 7381 0973747 -266 121 708 292 01051998 1176960 0995382 -046 7249 0982116 -180 021 326 084 08051998 1159590 0985242 -149 6909 0953097 -480 221 2308 714 15051998 1129560 0974103 -262 6391 0925025 -779 688 6074 2045 22051998 1112340 0984755 -154 6352 0993898 -061 236 037 094 29051998 1073430 0965020 -356 6059 0953873 -472 1268 2230 1682 05061998 1045480 0973962 -264 5669 0935633 -665 696 4427 1755 12061998 1066480 1020086 199 5825 1027518 271 396 737 540 19061998 1032170 0967829 -327 5318 0912961 -911 1069 8292 2978 26061998 1030030 0997927 -021 5588 1050771 495 004 2453 -103 03071998 1002040 0972826 -276 5203 0931102 -714 759 5096 1967 10071998 982199 0980199 -200 4992 0959446 -414 400 1714 828 17071998 970995 0988593 -115 4802 0961939 -388 132 1506 445 24071998 995234 1024963 247 5012 1043732 428 608 1832 1055 31071998 1010220 1015058 149 5044 1006385 064 223 041 095 07081998 986274 0976296 -240 4756 0942902 -588 575 3457 1410 14081998 966470 0979920 -203 4594 0965938 -347 411 1201 703 21081998 934316 0966730 -338 4267 0928820 -738 1145 5452 2498 28081998 901108 0964457 -362 4157 0974221 -261 1310 682 945 04091998 949019 1053169 518 4729 1137599 1289 2684 16620 6679 11091998 950397 1001452 015 4734 1001057 011 002 001 002 18091998 953342 1003099 031 5211 1100760 960 010 9216 297 25091998 956663 1003484 035 5167 0991556 -085 012 072 -029 02101998 958912 1002351 023 5554 1074898 722 006 5217 170 09101998 943251 0983668 -165 5232 0942024 -597 271 3567 983 16101998 943963 1000755 008 5072 0969419 -311 001 965 -023 23101998 934640 0990124 -099 5344 1053628 522 099 2729 -519

Page 103

30101998 918468 0982697 -175 5273 0986714 -134 305 179 233 06111998 913223 0994289 -057 5201 0986346 -137 033 189 079 13111998 917822 1005036 050 5157 0991540 -085 025 072 -043 20111998 917160 0999279 -007 5163 1001163 012 001 001 -001 27111998 906802 0988706 -114 4696 0909549 -948 129 8988 1077 04121998 902621 0995389 -046 4659 0992121 -079 021 063 037 11121998 889094 0985014 -151 4811 1032625 321 228 1031 -485 18121998 902575 1015163 150 4810 0999792 -002 226 000 -003 25121998 906891 1004782 048 4724 0982121 -180 023 325 -086 01011999 914183 1008041 080 4896 1036410 358 064 1279 286 08011999 983873 1076232 735 5416 1106209 1009 5397 10189 7416 15011999 989959 1006186 062 5600 1033973 334 038 1116 206 22011999 1016140 1026447 261 5725 1022321 221 681 487 576 29011999 1105790 1088226 845 6017 1051004 497 7149 2475 4206 05021999 1094590 0989871 -102 5639 0937178 -649 104 4210 661 12021999 1053620 0962570 -381 5360 0950523 -507 1455 2575 1936 19021999 1071770 1017226 171 5354 0998881 -011 292 001 -019 26021999 1055100 0984446 -157 5263 0983003 -171 246 294 269 05031999 1039860 0985556 -145 5198 0987650 -124 212 154 181 12031999 1041200 1001289 013 4865 0935937 -662 002 4383 -085 19031999 1027650 0986986 -131 4716 0969373 -311 172 968 407 26031999 1031360 1003610 036 4851 1028626 282 013 797 102 02041999 1034930 1003461 035 4904 1010926 109 012 118 038 09041999 1024940 0990347 -097 5023 1024266 240 094 575 -233 16041999 1026450 1001473 015 5093 1013936 138 002 192 020 23041999 1038240 1011486 114 5046 0990772 -093 130 086 -106 30041999 1014430 0977067 -232 4872 0965517 -351 538 1231 814 07051999 1027240 1012628 125 4700 0964696 -359 157 1292 -451 14051999 1015400 0988474 -116 4896 1041702 409 134 1669 -474 21051999 1012050 0996701 -033 4891 0998979 -010 011 001 003 28051999 986598 0974851 -255 4709 0962789 -379 649 1438 966 04061999 977053 0990325 -097 4618 0980675 -195 095 381 190 11061999 1007370 1031029 306 4655 1008012 080 934 064 244 18061999 989166 0981929 -182 4600 0988185 -119 333 141 217 25061999 1026150 1037389 367 4518 0982174 -180 1347 324 -660 02071999 995282 0969919 -305 4497 0995352 -047 933 022 142 09071999 995600 1000320 003 4552 1012230 122 000 148 004 16071999 1012170 1016643 165 4535 0996265 -037 272 014 -062 23071999 981962 0970155 -303 4231 0932966 -694 918 4815 2102 30071999 971997 0989852 -102 4481 1059088 574 104 3296 -586 06081999 953229 0980691 -195 4253 0949119 -522 380 2727 1018 13081999 935049 0980928 -193 4405 1035739 351 371 1233 -676 20081999 944102 1009682 096 4423 1004086 041 093 017 039 27081999 935339 0990718 -093 4461 1008591 086 087 073 -080 03091999 928650 0992849 -072 4429 0992827 -072 052 052 052 10091999 923843 0994824 -052 4428 0999774 -002 027 000 001 17091999 936583 1013790 137 4611 1041328 405 188 1640 555 24091999 963355 1028585 282 4706 1020603 204 794 416 575 01101999 964466 1001153 012 4699 0998513 -015 001 002 -002 08101999 1008430 1045584 446 4903 1043413 425 1987 1806 1894 15101999 1067340 1058418 568 5191 1058740 571 3223 3258 3241

Page 104

22101999 1019230 0954925 -461 5130 0988249 -118 2127 140 545 29101999 1038280 1018691 185 5257 1024756 245 343 598 453 05111999 1047550 1008928 089 5302 1008560 085 079 073 076 12111999 1071510 1022872 226 5506 1038476 378 511 1425 854 19111999 1077140 1005254 052 5638 1023974 237 027 561 124 26111999 1104220 1025141 248 5487 0973217 -271 617 737 -674 03121999 1152250 1043497 426 5650 1029707 293 1813 857 1246 10121999 1338690 1161805 1500 6555 1160177 1486 22492 22074 22282 17121999 1235780 0923126 -800 5479 0835850 -1793 6398 32150 14343 24121999 1215240 0983379 -168 5680 1036686 360 281 1298 -604 Sum -206 -4330 80467 229628 95158 Beta 118 Alpha -040 Std Dev Of Rndm Error Term 338 Std Error of Beta 0065 Std Error of Alpha 0181 Correlation Coefficient 070 Coefficient of Determination 049 Coefficient of Nondetermination 051

Page 105

Misr International Bank MIBANK

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8144 09011998 1222730 0985643 -145 8192 1005894 059 209 035 -085 16011998 1206630 0986833 -133 8160 0996094 -039 176 015 052 23011998 1187560 0984196 -159 8098 0992451 -076 254 057 121 30011998 1161970 0978452 -218 7510 0927294 -755 475 5698 1644 06021998 1152100 0991506 -085 7295 0971450 -290 073 839 247 13021998 1148570 0996936 -031 7266 0996052 -040 009 016 012 20021998 1154110 1004823 048 6954 0957063 -439 023 1926 -211 27021998 1152270 0998406 -016 7089 1019326 191 003 366 -031 06031998 1171950 1017079 169 7269 1025392 251 287 629 425 13031998 1177260 1004531 045 7412 1019701 195 020 381 088 20031998 1188570 1009607 096 7509 1013060 130 091 168 124 27031998 1200260 1009835 098 7518 1001278 013 096 002 013 03041998 1197600 0997784 -022 7488 0995957 -041 005 016 009 10041998 1198900 1001086 011 7290 0973611 -267 001 715 -029 17041998 1195490 0997156 -028 7290 0999890 -001 008 000 000 24041998 1182420 0989067 -110 7189 0986172 -139 121 194 153 01051998 1176960 0995382 -046 7018 0976296 -240 021 575 111 08051998 1159590 0985242 -149 7055 1005243 052 221 027 -078 15051998 1129560 0974103 -262 6667 0945005 -566 688 3200 1484 22051998 1112340 0984755 -154 6737 1010439 104 236 108 -160 29051998 1073430 0965020 -356 6599 0979575 -206 1268 426 735 05061998 1045480 0973962 -264 6499 0984847 -153 696 233 403 12061998 1066480 1020086 199 6568 1010586 105 396 111 209 19061998 1032170 0967829 -327 6309 0960536 -403 1069 1621 1317 26061998 1030030 0997927 -021 6514 1032463 319 004 1021 -066 03071998 1002040 0972826 -276 6399 0982437 -177 759 314 488 10071998 982199 0980199 -200 6400 1000125 001 400 000 -003 17071998 970995 0988593 -115 6265 0978875 -214 132 456 245 24071998 995234 1024963 247 6454 1030264 298 608 889 735 31071998 1010220 1015058 149 6398 0991200 -088 223 078 -132 07081998 986274 0976296 -240 6122 0956859 -441 575 1945 1058 14081998 966470 0979920 -203 5966 0974647 -257 411 659 521 21081998 934316 0966730 -338 5863 0982703 -174 1145 304 590 28081998 901108 0964457 -362 5337 0910220 -941 1310 8849 3404 04091998 949019 1053169 518 5714 1070604 682 2684 4654 3534 11091998 950397 1001452 015 5832 1020722 205 002 421 030 18091998 953342 1003099 031 5818 0997531 -025 010 006 -008 25091998 956663 1003484 035 5775 0992712 -073 012 054 -025 02101998 958912 1002351 023 5759 0997230 -028 006 008 -007 09101998 943251 0983668 -165 5699 0989582 -105 271 110 172 16101998 943963 1000755 008 5687 0997894 -021 001 004 -002 23101998 934640 0990124 -099 5688 1000141 001 099 000 -001

Page 106

30101998 918468 0982697 -175 5290 0930098 -725 305 5251 1265 06111998 913223 0994289 -057 5203 0983517 -166 033 276 095 13111998 917822 1005036 050 5273 1013376 133 025 177 067 20111998 917160 0999279 -007 5192 0984676 -154 001 238 011 27111998 906802 0988706 -114 4970 0957165 -438 129 1917 497 04121998 902621 0995389 -046 4986 1003381 034 021 011 -016 11121998 889094 0985014 -151 5023 1007380 074 228 054 -111 18121998 902575 1015163 150 5288 1052715 514 226 2639 773 25121998 906891 1004782 048 5147 0973374 -270 023 728 -129 01011999 914183 1008041 080 5290 1027666 273 064 745 219 08011999 983873 1076232 735 6134 1159710 1482 5397 21954 10885 15011999 989959 1006186 062 6274 1022692 224 038 503 138 22011999 1016140 1026447 261 6548 1043739 428 681 1833 1117 29011999 1105790 1088226 845 7800 1191203 1750 7149 30612 14793 05021999 1094590 0989871 -102 8082 1036205 356 104 1265 -362 12021999 1053620 0962570 -381 6850 0847570 -1654 1455 27351 6309 19021999 1071770 1017226 171 7518 1097513 930 292 8658 1589 26021999 1055100 0984446 -157 7440 0989572 -105 246 110 164 05031999 1039860 0985556 -145 6931 0931613 -708 212 5018 1031 12031999 1041200 1001289 013 7196 1038204 375 002 1406 048 19031999 1027650 0986986 -131 7160 0994997 -050 172 025 066 26031999 1031360 1003610 036 7028 0981564 -186 013 346 -067 02041999 1034930 1003461 035 7114 1012180 121 012 147 042 09041999 1024940 0990347 -097 6950 0976946 -233 094 544 226 16041999 1026450 1001473 015 6654 0957408 -435 002 1895 -064 23041999 1038240 1011486 114 6683 1004449 044 130 020 051 30041999 1014430 0977067 -232 6389 0955949 -451 538 2030 1045 07051999 1027240 1012628 125 6351 0994115 -059 157 035 -074 14051999 1015400 0988474 -116 6366 1002393 024 134 006 -028 21051999 1012050 0996701 -033 6245 0980900 -193 011 372 064 28051999 986598 0974851 -255 6060 0970407 -300 649 902 765 04061999 977053 0990325 -097 5868 0968317 -322 095 1037 313 11061999 1007370 1031029 306 6034 1028221 278 934 775 850 18061999 989166 0981929 -182 5860 0971228 -292 333 852 532 25061999 1026150 1037389 367 5683 0969829 -306 1347 939 -1125 02071999 995282 0969919 -305 5428 0955096 -459 933 2111 1403 09071999 995600 1000320 003 5444 1002948 029 000 009 001 16071999 1012170 1016643 165 5430 0997355 -026 272 007 -044 23071999 981962 0970155 -303 5494 1011935 119 918 141 -359 30071999 971997 0989852 -102 5121 0932003 -704 104 4959 718 06081999 953229 0980691 -195 5026 0981409 -188 380 352 366 13081999 935049 0980928 -193 4848 0964661 -360 371 1294 693 20081999 944102 1009682 096 4853 1000990 010 093 001 010 27081999 935339 0990718 -093 4714 0971480 -289 087 837 270 03091999 928650 0992849 -072 4716 1000339 003 052 000 -002 10091999 923843 0994824 -052 4538 0962341 -384 027 1474 199 17091999 936583 1013790 137 4640 1022387 221 188 490 303 24091999 963355 1028585 282 4789 1032069 316 794 996 890 01101999 964466 1001153 012 4726 0986803 -133 001 176 -015 08101999 1008430 1045584 446 5332 1128322 1207 1987 14576 5382 15101999 1067340 1058418 568 5929 1111928 1061 3223 11256 6024

Page 107

22101999 1019230 0954925 -461 5517 0930509 -720 2127 5187 3322 29101999 1038280 1018691 185 5853 1060905 591 343 3495 1095 05111999 1047550 1008928 089 5904 1008748 087 079 076 077 12111999 1071510 1022872 226 5775 0978184 -221 511 487 -499 19111999 1077140 1005254 052 5759 0997230 -028 027 008 -015 26111999 1104220 1025141 248 5605 0973191 -272 617 738 -675 03121999 1152250 1043497 426 5650 1008136 081 1813 066 345 10121999 1338690 1161805 1500 6254 1106754 1014 22492 10288 15212 17121999 1235780 0923126 -800 5560 0889088 -1176 6398 13820 9403 24121999 1215240 0983379 -168 5503 0989784 -103 281 105 172 Sum -206 -3920 80467 230750 102346 Beta 127 Alpha -036 Std Dev Of Rndm Error Term 314 Std Error of Beta 0062 Std Error of Alpha 0174 Correlation Coefficient 075 Coefficient of Determination 057 Coefficient of Nondetermination 043

Page 108

Ameryah Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1)

02011998 1240540 7942 09011998 1222730 0985643 -145 7630 0960715 -401 209 1606 580 16011998 1206630 0986833 -133 7402 0970118 -303 176 920 402 23011998 1187560 0984196 -159 7427 1003377 034 254 011 -054 30011998 1161970 0978452 -218 7342 0988555 -115 475 132 251 06021998 1152100 0991506 -085 7184 0978480 -218 073 473 186 13021998 1148570 0996936 -031 7221 1005150 051 009 026 -016 20021998 1154110 1004823 048 7154 0990722 -093 023 087 -045 27021998 1152270 0998406 -016 7102 0992731 -073 003 053 012 06031998 1171950 1017079 169 7195 1013095 130 287 169 220 13031998 1177260 1004531 045 7099 0986657 -134 020 180 -061 20031998 1188570 1009607 096 7033 0990703 -093 091 087 -089 27031998 1200260 1009835 098 7053 1002844 028 096 008 028 03041998 1197600 0997784 -022 6796 0963562 -371 005 1378 082 10041998 1198900 1001086 011 6980 1027075 267 001 714 029 17041998 1195490 0997156 -028 6800 0974212 -261 008 683 074 24041998 1182420 0989067 -110 6772 0995882 -041 121 017 045 01051998 1176960 0995382 -046 6603 0975044 -253 021 639 117 08051998 1159590 0985242 -149 6644 1006209 062 221 038 -092 15051998 1129560 0974103 -262 6036 0908489 -960 688 9211 2518 22051998 1112340 0984755 -154 5908 0978794 -214 236 459 329 29051998 1073430 0965020 -356 5899 0998477 -015 1268 002 054 05061998 1045480 0973962 -264 5903 1000678 007 696 000 -018 12061998 1066480 1020086 199 6341 1074200 716 396 5123 1423 19061998 1032170 0967829 -327 5661 0892761 -1134 1069 12868 3709 26061998 1030030 0997927 -021 5875 1037803 371 004 1377 -077 03071998 1002040 0972826 -276 5707 0971404 -290 759 842 799 10071998 982199 0980199 -200 5640 0988260 -118 400 139 236 17071998 970995 0988593 -115 5441 0964716 -359 132 1290 412 24071998 995234 1024963 247 5734 1053850 525 608 2751 1293 31071998 1010220 1015058 149 5517 0962156 -386 223 1488 -577 07081998 986274 0976296 -240 5370 0973355 -270 575 729 648 14081998 966470 0979920 -203 5365 0999069 -009 411 001 019 21081998 934316 0966730 -338 5148 0959553 -413 1145 1705 1397 28081998 901108 0964457 -362 5057 0982323 -178 1310 318 645 04091998 949019 1053169 518 5693 1125766 1185 2684 14034 6137 11091998 950397 1001452 015 5622 0987529 -125 002 157 -018 18091998 953342 1003099 031 5844 1039488 387 010 1500 120 25091998 956663 1003484 035 5819 0995722 -043 012 018 -015 02101998 958912 1002351 023 5757 0989345 -107 006 115 -025 09101998 943251 0983668 -165 5709 0991662 -084 271 070 138 16101998 943963 1000755 008 5062 0886670 -1203 001 14468 -091 23101998 934640 0990124 -099 5109 1009285 092 099 085 -092

Page 109

30101998 918468 0982697 -175 5045 0987473 -126 305 159 220 06111998 913223 0994289 -057 5066 1004163 042 033 017 -024 13111998 917822 1005036 050 5141 1014805 147 025 216 074 20111998 917160 0999279 -007 5079 0987940 -121 001 147 009 27111998 906802 0988706 -114 5038 0991928 -081 129 066 092 04121998 902621 0995389 -046 5093 1010917 109 021 118 -050 11121998 889094 0985014 -151 5084 0998233 -018 228 003 027 18121998 902575 1015163 150 5088 1000787 008 226 001 012 25121998 906891 1004782 048 5069 0996266 -037 023 014 -018 01011999 914183 1008041 080 5095 1005129 051 064 026 041 08011999 983873 1076232 735 5674 1113641 1076 5397 11585 7907 15011999 989959 1006186 062 6026 1062037 602 038 3623 371 22011999 1016140 1026447 261 6488 1076668 739 681 5457 1928 29011999 1105790 1088226 845 7109 1095715 914 7149 8355 7728 05021999 1094590 0989871 -102 6429 0904347 -1005 104 10109 1024 12021999 1053620 0962570 -381 6441 1001867 019 1455 003 -071 19021999 1071770 1017226 171 6268 0973141 -272 292 741 -465 26021999 1055100 0984446 -157 6180 0985960 -141 246 200 222 05031999 1039860 0985556 -145 5756 0931392 -711 212 5052 1034 12031999 1041200 1001289 013 5791 1006081 061 002 037 008 19031999 1027650 0986986 -131 5533 0955448 -456 172 2077 597 26031999 1031360 1003610 036 5719 1033616 331 013 1093 119 02041999 1034930 1003461 035 5928 1036545 359 012 1288 124 09041999 1024940 0990347 -097 6142 1036100 355 094 1258 -344 16041999 1026450 1001473 015 5845 0951644 -496 002 2457 -073 23041999 1038240 1011486 114 5749 0983576 -166 130 274 -189 30041999 1014430 0977067 -232 5767 1003131 031 538 010 -073 07051999 1027240 1012628 125 5558 0963759 -369 157 1363 -463 14051999 1015400 0988474 -116 5698 1025189 249 134 619 -288 21051999 1012050 0996701 -033 5666 0994384 -056 011 032 019 28051999 986598 0974851 -255 5494 0969643 -308 649 950 785 04061999 977053 0990325 -097 5384 0979978 -202 095 409 197 11061999 1007370 1031029 306 5271 0979012 -212 934 450 -648 18061999 989166 0981929 -182 5423 1028837 284 333 808 -518 25061999 1026150 1037389 367 5553 1023972 237 1347 561 870 02071999 995282 0969919 -305 5490 0988655 -114 933 130 348 09071999 995600 1000320 003 5222 0951184 -500 000 2505 -016 16071999 1012170 1016643 165 5090 0974722 -256 272 655 -423 23071999 981962 0970155 -303 4992 0980747 -194 918 378 589 30071999 971997 0989852 -102 4900 0981571 -186 104 346 190 06081999 953229 0980691 -195 4528 0924082 -790 380 6234 1539 13081999 935049 0980928 -193 4505 0994920 -051 371 026 098 20081999 944102 1009682 096 4628 1027303 269 093 726 260 27081999 935339 0990718 -093 4611 0996327 -037 087 014 034 03091999 928650 0992849 -072 4556 0988072 -120 052 144 086 10091999 923843 0994824 -052 4651 1020852 206 027 426 -107 17091999 936583 1013790 137 4450 0956783 -442 188 1952 -605 24091999 963355 1028585 282 4477 1006067 060 794 037 170 01101999 964466 1001153 012 4451 0994193 -058 001 034 -007 08101999 1008430 1045584 446 4708 1057740 561 1987 3151 2502 15101999 1067340 1058418 568 5075 1077952 751 3223 5635 4262

Page 110

22101999 1019230 0954925 -461 4646 0915468 -883 2127 7800 4074 29101999 1038280 1018691 185 4762 1024968 247 343 608 457 05111999 1047550 1008928 089 4486 0942041 -597 079 3565 -531 12111999 1071510 1022872 226 4825 1075568 728 511 5307 1647 19111999 1077140 1005254 052 4741 0982591 -176 027 308 -092 26111999 1104220 1025141 248 4814 1015398 153 617 233 379 03121999 1152250 1043497 426 4750 0986705 -134 1813 179 -570 10121999 1338690 1161805 1500 5374 1131368 1234 22492 15234 18511 17121999 1235780 0923126 -800 4618 0859323 -1516 6398 22986 12127 24121999 1215240 0983379 -168 4993 1081204 781 281 6096 -1309

Sum -206 -4641 80467 220262 84434 Beta 105 Alpha -043 Std Dev Of Rndm Error Term 358 Std Error of Beta 0067 Std Error of Alpha 0187 Correlation Coefficient 064 Coefficient of Determination 041 Coefficient of Nondetermination 059

Page 111

Helwan Portland

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 6794 09011998 1222730 0985643 -145 6738 0991757 -083 209 069 120 16011998 1206630 0986833 -133 6678 0991095 -089 176 080 119 23011998 1187560 0984196 -159 6700 1003294 033 254 011 -052 30011998 1161970 0978452 -218 6736 1005373 054 475 029 -117 06021998 1152100 0991506 -085 6599 0979662 -205 073 422 175 13021998 1148570 0996936 -031 6663 1009698 097 009 093 -030 20021998 1154110 1004823 048 6605 0991295 -087 023 076 -042 27021998 1152270 0998406 -016 6625 1003028 030 003 009 -005 06031998 1171950 1017079 169 6795 1025660 253 287 642 429 13031998 1177260 1004531 045 7038 1035762 351 020 1235 159 20031998 1188570 1009607 096 7142 1014777 147 091 215 140 27031998 1200260 1009835 098 7289 1020582 204 096 415 199 03041998 1197600 0997784 -022 7191 0986555 -135 005 183 030 10041998 1198900 1001086 011 7298 1014880 148 001 218 016 17041998 1195490 0997156 -028 7326 1003837 038 008 015 -011 24041998 1182420 0989067 -110 7283 0994130 -059 121 035 065 01051998 1176960 0995382 -046 7338 1007552 075 021 057 -035 08051998 1159590 0985242 -149 7244 0987190 -129 221 166 192 15051998 1129560 0974103 -262 7136 0985091 -150 688 226 394 22051998 1112340 0984755 -154 7084 0992713 -073 236 053 112 29051998 1073430 0965020 -356 5748 0811406 -2090 1268 43675 7441 05061998 1045480 0973962 -264 5690 0989910 -101 696 103 268 12061998 1066480 1020086 199 5691 1000176 002 396 000 003 19061998 1032170 0967829 -327 5310 0933052 -693 1069 4802 2266 26061998 1030030 0997927 -021 5128 0965725 -349 004 1216 072 03071998 1002040 0972826 -276 5076 0989860 -102 759 104 281 10071998 982199 0980199 -200 5064 0997636 -024 400 006 047 17071998 970995 0988593 -115 4900 0967615 -329 132 1084 378 24071998 995234 1024963 247 5232 1067755 656 608 4298 1616 31071998 1010220 1015058 149 5317 1016246 161 223 260 241 07081998 986274 0976296 -240 5163 0971036 -294 575 864 705 14081998 966470 0979920 -203 5010 0970366 -301 411 905 610 21081998 934316 0966730 -338 4911 0980240 -200 1145 398 675 28081998 901108 0964457 -362 4880 0993688 -063 1310 040 229 04091998 949019 1053169 518 5239 1073566 710 2684 5039 3677 11091998 950397 1001452 015 5258 1003627 036 002 013 005 18091998 953342 1003099 031 5202 0989350 -107 010 115 -033 25091998 956663 1003484 035 5194 0998462 -015 012 002 -005 02101998 958912 1002351 023 5095 0980940 -192 006 370 -045 09101998 943251 0983668 -165 4961 0973700 -267 271 710 439 16101998 943963 1000755 008 5001 1008063 080 001 064 006 23101998 934640 0990124 -099 5006 1001000 010 099 001 -010

Page 112

30101998 918468 0982697 -175 4827 0964243 -364 305 1326 636 06111998 913223 0994289 -057 4853 1005386 054 033 029 -031 13111998 917822 1005036 050 4943 1018545 184 025 338 092 20111998 917160 0999279 -007 4951 1001618 016 001 003 -001 27111998 906802 0988706 -114 4851 0979802 -204 129 416 232 04121998 902621 0995389 -046 4836 0996908 -031 021 010 014 11121998 889094 0985014 -151 4779 0988213 -119 228 141 179 18121998 902575 1015163 150 4803 1005022 050 226 025 075 25121998 906891 1004782 048 4818 1003123 031 023 010 015 01011999 914183 1008041 080 4823 1001038 010 064 001 008 08011999 983873 1076232 735 5453 1130624 1228 5397 15072 9019 15011999 989959 1006186 062 5624 1031359 309 038 953 190 22011999 1016140 1026447 261 5778 1027383 270 681 730 705 29011999 1105790 1088226 845 6642 1149533 1394 7149 19420 11782 05021999 1094590 0989871 -102 6304 0949112 -522 104 2728 532 12021999 1053620 0962570 -381 6355 1008090 081 1455 065 -307 19021999 1071770 1017226 171 6423 1010700 106 292 113 182 26021999 1055100 0984446 -157 6319 0983808 -163 246 266 256 05031999 1039860 0985556 -145 6159 0974680 -256 212 658 373 12031999 1041200 1001289 013 6081 0987336 -127 002 162 -016 19031999 1027650 0986986 -131 5959 0979938 -203 172 411 265 26031999 1031360 1003610 036 6047 1014768 147 013 215 053 02041999 1034930 1003461 035 6037 0998346 -017 012 003 -006 09041999 1024940 0990347 -097 6042 1000828 008 094 001 -008 16041999 1026450 1001473 015 6034 0998676 -013 002 002 -002 23041999 1038240 1011486 114 6082 1007955 079 130 063 090 30041999 1014430 0977067 -232 5916 0972706 -277 538 766 642 07051999 1027240 1012628 125 5243 0886241 -1208 157 14585 -1515 14051999 1015400 0988474 -116 5174 0986840 -132 134 176 154 21051999 1012050 0996701 -033 5148 0994975 -050 011 025 017 28051999 986598 0974851 -255 4951 0961733 -390 649 1522 994 04061999 977053 0990325 -097 4901 0989901 -102 095 103 099 11061999 1007370 1031029 306 5002 1020608 204 934 416 623 18061999 989166 0981929 -182 4900 0979608 -206 333 424 376 25061999 1026150 1037389 367 4738 0966939 -336 1347 1130 -1234 02071999 995282 0969919 -305 4663 0984171 -160 933 255 487 09071999 995600 1000320 003 4509 0966974 -336 000 1128 -011 16071999 1012170 1016643 165 4371 0969395 -311 272 966 -513 23071999 981962 0970155 -303 4098 0937543 -645 918 4159 1954 30071999 971997 0989852 -102 4109 1002684 027 104 007 -027 06081999 953229 0980691 -195 4005 0974690 -256 380 657 500 13081999 935049 0980928 -193 3845 0960050 -408 371 1662 785 20081999 944102 1009682 096 3963 1030689 302 093 914 291 27081999 935339 0990718 -093 3893 0982337 -178 087 318 166 03091999 928650 0992849 -072 3891 0999486 -005 052 000 004 10091999 923843 0994824 -052 3789 0973786 -266 027 706 138 17091999 936583 1013790 137 3763 0993138 -069 188 047 -094 24091999 963355 1028585 282 3753 0997343 -027 794 007 -075 01101999 964466 1001153 012 3711 0988809 -113 001 127 -013 08101999 1008430 1045584 446 3922 1056858 553 1987 3058 2465 15101999 1067340 1058418 568 4279 1091025 871 3223 7589 4946

Page 113

22101999 1019230 0954925 -461 3898 0910961 -933 2127 8697 4301 29101999 1038280 1018691 185 3904 1001539 015 343 002 028 05111999 1047550 1008928 089 3796 0972336 -281 079 787 -249 12111999 1071510 1022872 226 3961 1043467 425 511 1810 962 19111999 1077140 1005254 052 3784 0955314 -457 027 2090 -240 26111999 1104220 1025141 248 3784 1000000 000 617 000 000 03121999 1152250 1043497 426 3832 1012685 126 1813 159 537 10121999 1338690 1161805 1500 3911 1020616 204 22492 416 3060 17121999 1235780 0923126 -800 3701 0946305 -552 6398 3046 4415 24121999 1215240 0983379 -168 3733 1008646 086 281 074 -144 Sum -206 -5988 80467 169307 68883 Beta 085 Alpha -056 Std Dev Of Rndm Error Term 326 Std Error of Beta 0064 Std Error of Alpha 0178 Correlation Coefficient 060 Coefficient of Determination 035 Coefficient of Nondetermination 065

Page 114

Suez Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 6281 09011998 1222730 0985643 -145 6182 0984224 -159 209 253 230 16011998 1206630 0986833 -133 6105 0987500 -126 176 158 167 23011998 1187560 0984196 -159 6165 1009978 099 254 099 -158 30011998 1161970 0978452 -218 6047 0980832 -194 475 375 422 06021998 1152100 0991506 -085 6091 1007215 072 073 052 -061 13021998 1148570 0996936 -031 6229 1022686 224 009 503 -069 20021998 1154110 1004823 048 6444 1034443 339 023 1147 163 27021998 1152270 0998406 -016 6285 0975452 -249 003 618 040 06031998 1171950 1017079 169 6262 0996239 -038 287 014 -064 13031998 1177260 1004531 045 6445 1029182 288 020 827 130 20031998 1188570 1009607 096 6408 0994358 -057 091 032 -054 27031998 1200260 1009835 098 6630 1034614 340 096 1158 333 03041998 1197600 0997784 -022 6625 0999315 -007 005 000 002 10041998 1198900 1001086 011 6546 0988063 -120 001 144 -013 17041998 1195490 0997156 -028 6600 1008192 082 008 067 -023 24041998 1182420 0989067 -110 6565 0994767 -052 121 028 058 01051998 1176960 0995382 -046 6430 0979368 -208 021 435 096 08051998 1159590 0985242 -149 6389 0993638 -064 221 041 095 15051998 1129560 0974103 -262 6295 0985203 -149 688 222 391 22051998 1112340 0984755 -154 6343 1007654 076 236 058 -117 29051998 1073430 0965020 -356 6223 0981081 -191 1268 365 680 05061998 1045480 0973962 -264 6076 0976480 -238 696 567 628 12061998 1066480 1020086 199 6265 1031119 306 396 939 609 19061998 1032170 0967829 -327 5945 0948926 -524 1069 2748 1714 26061998 1030030 0997927 -021 5723 0962538 -382 004 1458 079 03071998 1002040 0972826 -276 5667 0990311 -097 759 095 268 10071998 982199 0980199 -200 5719 1009144 091 400 083 -182 17071998 970995 0988593 -115 5637 0985694 -144 132 208 165 24071998 995234 1024963 247 5716 1014030 139 608 194 344 31071998 1010220 1015058 149 5908 1033556 330 223 1089 493 07081998 986274 0976296 -240 5341 0903984 -1009 575 10190 2422 14081998 966470 0979920 -203 5001 0936340 -658 411 4327 1334 21081998 934316 0966730 -338 4818 0963463 -372 1145 1385 1259 28081998 901108 0964457 -362 4399 0913019 -910 1310 8281 3293 04091998 949019 1053169 518 4926 1119859 1132 2684 12815 5864 11091998 950397 1001452 015 4822 0978777 -215 002 460 -031 18091998 953342 1003099 031 4828 1001321 013 010 002 004 25091998 956663 1003484 035 4907 1016381 162 012 264 057 02101998 958912 1002351 023 4828 0983883 -162 006 264 -038 09101998 943251 0983668 -165 4774 0988702 -114 271 129 187 16101998 943963 1000755 008 4824 1010474 104 001 109 008 23101998 934640 0990124 -099 4885 1012627 125 099 157 -125

Page 115

30101998 918468 0982697 -175 4795 0981575 -186 305 346 325 06111998 913223 0994289 -057 4775 0995829 -042 033 017 024 13111998 917822 1005036 050 4811 1007615 076 025 058 038 20111998 917160 0999279 -007 4732 0983560 -166 001 275 012 27111998 906802 0988706 -114 4677 0988474 -116 129 134 132 04121998 902621 0995389 -046 4619 0987561 -125 021 157 058 11121998 889094 0985014 -151 4367 0945483 -561 228 3143 846 18121998 902575 1015163 150 4596 1052456 511 226 2614 769 25121998 906891 1004782 048 4605 1001978 020 023 004 009 01011999 914183 1008041 080 4655 1010659 106 064 112 085 08011999 983873 1076232 735 4995 1073047 705 5397 4971 5180 15011999 989959 1006186 062 4876 0976338 -239 038 573 -148 22011999 1016140 1026447 261 5126 1051268 500 681 2500 1305 29011999 1105790 1088226 845 6034 1176981 1630 7149 26554 13777 05021999 1094590 0989871 -102 5763 0955100 -459 104 2110 468 12021999 1053620 0962570 -381 5725 0993375 -066 1455 044 254 19021999 1071770 1017226 171 5715 0998412 -016 292 003 -027 26021999 1055100 0984446 -157 5588 0977732 -225 246 507 353 05031999 1039860 0985556 -145 5282 0945175 -564 212 3179 820 12031999 1041200 1001289 013 5364 1015491 154 002 236 020 19031999 1027650 0986986 -131 5218 0972882 -275 172 756 360 26031999 1031360 1003610 036 5188 0994251 -058 013 033 -021 02041999 1034930 1003461 035 5175 0997371 -026 012 007 -009 09041999 1024940 0990347 -097 5296 1023542 233 094 541 -226 16041999 1026450 1001473 015 5403 1020082 199 002 395 029 23041999 1038240 1011486 114 5538 1025073 248 130 613 283 30041999 1014430 0977067 -232 5345 0965035 -356 538 1267 826 07051999 1027240 1012628 125 4872 0911549 -926 157 8577 -1162 14051999 1015400 0988474 -116 4795 0984139 -160 134 256 185 21051999 1012050 0996701 -033 4788 0998673 -013 011 002 004 28051999 986598 0974851 -255 4597 0960129 -407 649 1655 1036 04061999 977053 0990325 -097 4459 0969943 -305 095 931 297 11061999 1007370 1031029 306 4551 1020589 204 934 415 623 18061999 989166 0981929 -182 4465 0981223 -190 333 359 346 25061999 1026150 1037389 367 4415 0988803 -113 1347 127 -413 02071999 995282 0969919 -305 4390 0994236 -058 933 033 177 09071999 995600 1000320 003 4541 1034374 338 000 1142 011 16071999 1012170 1016643 165 4731 1041842 410 272 1680 677 23071999 981962 0970155 -303 4431 0936587 -655 918 4292 1985 30071999 971997 0989852 -102 4508 1017441 173 104 299 -176 06081999 953229 0980691 -195 4393 0974389 -259 380 673 506 13081999 935049 0980928 -193 4378 0996690 -033 371 011 064 20081999 944102 1009682 096 4499 1027616 272 093 742 262 27081999 935339 0990718 -093 4428 0984239 -159 087 252 148 03091999 928650 0992849 -072 4394 0992198 -078 052 061 056 10091999 923843 0994824 -052 4399 1001243 012 027 002 -006 17091999 936583 1013790 137 4572 1039263 385 188 1483 527 24091999 963355 1028585 282 4614 1009147 091 794 083 257 01101999 964466 1001153 012 4598 0996651 -034 001 011 -004 08101999 1008430 1045584 446 4954 1077302 745 1987 5544 3319 15101999 1067340 1058418 568 5351 1080198 771 3223 5951 4380

Page 116

22101999 1019230 0954925 -461 4855 0907324 -973 2127 9459 4486 29101999 1038280 1018691 185 5099 1050257 490 343 2404 908 05111999 1047550 1008928 089 4932 0967248 -333 079 1109 -296 12111999 1071510 1022872 226 5022 1018248 181 511 327 409 19111999 1077140 1005254 052 5045 1004580 046 027 021 024 26111999 1104220 1025141 248 5039 0998811 -012 617 001 -030 03121999 1152250 1043497 426 5001 0992459 -076 1813 057 -322 10121999 1338690 1161805 1500 5898 1179364 1650 22492 27217 24742 17121999 1235780 0923126 -800 5044 0855205 -1564 6398 24465 12511 24121999 1215240 0983379 -168 5005 0992268 -078 281 060 130 Sum -206 -2271 80467 203211 101802 Beta 126 Alpha -020 Std Dev Of Rndm Error Term 271 Std Error of Beta 0058 Std Error of Alpha 0162 Correlation Coefficient 080 Coefficient of Determination 063 Coefficient of Nondetermination 037

Page 117

Tora Portland Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 7721 09011998 1222730 0985643 -145 7484 0969304 -312 209 972 451 16011998 1206630 0986833 -133 7332 0979690 -205 176 421 272 23011998 1187560 0984196 -159 7241 0987589 -125 254 156 199 30011998 1161970 0978452 -218 6892 0951802 -494 475 2440 1076 06021998 1152100 0991506 -085 6911 1002757 028 073 008 -023 13021998 1148570 0996936 -031 6628 0959051 -418 009 1748 128 20021998 1154110 1004823 048 6496 0980084 -201 023 405 -097 27021998 1152270 0998406 -016 6547 1007851 078 003 061 -012 06031998 1171950 1017079 169 6915 1056209 547 287 2991 926 13031998 1177260 1004531 045 6900 0997831 -022 020 005 -010 20031998 1188570 1009607 096 7245 1050000 488 091 2380 466 27031998 1200260 1009835 098 7362 1016149 160 096 257 157 03041998 1197600 0997784 -022 7424 1008422 084 005 070 -019 10041998 1198900 1001086 011 7369 0992592 -074 001 055 -008 17041998 1195490 0997156 -028 7439 1009499 095 008 089 -027 24041998 1182420 0989067 -110 7370 0990725 -093 121 087 102 01051998 1176960 0995382 -046 7190 0975577 -247 021 611 114 08051998 1159590 0985242 -149 6998 0973296 -271 221 733 402 15051998 1129560 0974103 -262 6701 0957559 -434 688 1881 1138 22051998 1112340 0984755 -154 6773 1010745 107 236 114 -164 29051998 1073430 0965020 -356 6524 0963236 -375 1268 1403 1334 05061998 1045480 0973962 -264 6652 1019620 194 696 378 -513 12061998 1066480 1020086 199 6450 0969633 -308 396 951 -613 19061998 1032170 0967829 -327 6015 0932558 -698 1069 4875 2283 26061998 1030030 0997927 -021 6099 1013965 139 004 192 -029 03071998 1002040 0972826 -276 5719 0937695 -643 759 4138 1772 10071998 982199 0980199 -200 5452 0953314 -478 400 2286 956 17071998 970995 0988593 -115 5518 1012106 120 132 145 -138 24071998 995234 1024963 247 6339 1148786 1387 608 19239 3420 31071998 1010220 1015058 149 6348 1001420 014 223 002 021 07081998 986274 0976296 -240 6187 0974638 -257 575 660 616 14081998 966470 0979920 -203 5842 0944238 -574 411 3292 1164 21081998 934316 0966730 -338 5852 1001712 017 1145 003 -058 28081998 901108 0964457 -362 5794 0990089 -100 1310 099 360 04091998 949019 1053169 518 6237 1076458 737 2684 5428 3817 11091998 950397 1001452 015 6181 0991021 -090 002 081 -013 18091998 953342 1003099 031 6247 1010678 106 010 113 033 25091998 956663 1003484 035 6276 1004642 046 012 021 016 02101998 958912 1002351 023 6504 1036329 357 006 1273 084 09101998 943251 0983668 -165 6388 0982165 -180 271 324 296 16101998 943963 1000755 008 6449 1009549 095 001 090 007 23101998 934640 0990124 -099 6437 0998139 -019 099 003 018

Page 118

30101998 918468 0982697 -175 5477 0850862 -1615 305 26084 2819 06111998 913223 0994289 -057 5695 1039803 390 033 1523 -224 13111998 917822 1005036 050 5717 1003863 039 025 015 019 20111998 917160 0999279 -007 5780 1011020 110 001 120 -008 27111998 906802 0988706 -114 5800 1003460 035 129 012 -039 04121998 902621 0995389 -046 5758 0992759 -073 021 053 034 11121998 889094 0985014 -151 5686 0987496 -126 228 158 190 18121998 902575 1015163 150 5811 1021984 217 226 473 327 25121998 906891 1004782 048 5790 0996386 -036 023 013 -017 01011999 914183 1008041 080 5835 1007772 077 064 060 062 08011999 983873 1076232 735 6729 1153213 1426 5397 20321 10473 15011999 989959 1006186 062 7063 1049636 484 038 2347 299 22011999 1016140 1026447 261 7230 1023644 234 681 546 610 29011999 1105790 1088226 845 7810 1080221 772 7149 5955 6524 05021999 1094590 0989871 -102 7362 0942638 -591 104 3490 601 12021999 1053620 0962570 -381 7597 1031921 314 1455 987 -1199 19021999 1071770 1017226 171 7512 0988811 -113 292 127 -192 26021999 1055100 0984446 -157 7157 0952742 -484 246 2344 759 05031999 1039860 0985556 -145 7118 0994551 -055 212 030 079 12031999 1041200 1001289 013 6991 0982158 -180 002 324 -023 19031999 1027650 0986986 -131 6635 0949077 -523 172 2732 685 26031999 1031360 1003610 036 6775 1021100 209 013 436 075 02041999 1034930 1003461 035 7124 1051513 502 012 2523 174 09041999 1024940 0990347 -097 7022 0985682 -144 094 208 140 16041999 1026450 1001473 015 6905 0983338 -168 002 282 -025 23041999 1038240 1011486 114 7024 1017234 171 130 292 195 30041999 1014430 0977067 -232 6869 0977933 -223 538 498 518 07051999 1027240 1012628 125 6601 0960984 -398 157 1584 -499 14051999 1015400 0988474 -116 6800 1030147 297 134 882 -344 21051999 1012050 0996701 -033 6846 1006765 067 011 045 -022 28051999 986598 0974851 -255 6700 0978674 -216 649 465 549 04061999 977053 0990325 -097 6655 0993284 -067 095 045 066 11061999 1007370 1031029 306 6719 1009617 096 934 092 292 18061999 989166 0981929 -182 6501 0967555 -330 333 1088 601 25061999 1026150 1037389 367 6122 0941701 -601 1347 3608 -2205 02071999 995282 0969919 -305 6043 0987096 -130 933 169 397 09071999 995600 1000320 003 6193 1024822 245 000 601 008 16071999 1012170 1016643 165 6396 1032779 323 272 1040 532 23071999 981962 0970155 -303 6000 0938086 -639 918 4085 1937 30071999 971997 0989852 -102 5756 0959333 -415 104 1724 423 06081999 953229 0980691 -195 5655 0982453 -177 380 313 345 13081999 935049 0980928 -193 5907 1044562 436 371 1901 -840 20081999 944102 1009682 096 5900 0998815 -012 093 001 -011 27081999 935339 0990718 -093 5947 1007966 079 087 063 -074 03091999 928650 0992849 -072 5787 0973096 -273 052 744 196 10091999 923843 0994824 -052 6140 1060999 592 027 3506 -307 17091999 936583 1013790 137 5901 0961075 -397 188 1576 -544 24091999 963355 1028585 282 6103 1034231 337 794 1133 949 01101999 964466 1001153 012 6460 1058496 568 001 3232 066 08101999 1008430 1045584 446 6783 1050000 488 1987 2380 2175 15101999 1067340 1058418 568 7012 1033761 332 3223 1102 1885

Page 119

22101999 1019230 0954925 -461 6597 0940816 -610 2127 3722 2814 29101999 1038280 1018691 185 6777 1027285 269 343 725 498 05111999 1047550 1008928 089 6745 0995278 -047 079 022 -042 12111999 1071510 1022872 226 6076 0900815 -1045 511 10911 -2362 19111999 1077140 1005254 052 6329 1041639 408 027 1664 214 26111999 1104220 1025141 248 6453 1019592 194 617 376 482 03121999 1152250 1043497 426 6847 1061057 593 1813 3512 2523 10121999 1338690 1161805 1500 7898 1153498 1428 22492 20392 21416 17121999 1235780 0923126 -800 6702 0848569 -1642 6398 26963 13135 24121999 1215240 0983379 -168 7092 1058192 566 281 3199 -948 Sum -206 -850 80467 235301 86067 Beta 107 Alpha -006 Std Dev Of Rndm Error Term 377 Std Error of Beta 0068 Std Error of Alpha 0191 Correlation Coefficient 063 Coefficient of Determination 039 Coefficient of Nondetermination 061

Page 120

Upper Egypt Flour Mills

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5639 09011998 1222730 0985643 -145 5422 0961518 -392 209 1540 567 16011998 1206630 0986833 -133 4928 0908890 -955 176 9126 1266 23011998 1187560 0984196 -159 5053 1025365 250 254 627 -399 30011998 1161970 0978452 -218 5003 0990105 -099 475 099 217 06021998 1152100 0991506 -085 5096 1018589 184 073 339 -157 13021998 1148570 0996936 -031 5381 1055926 544 009 2961 -167 20021998 1154110 1004823 048 5859 1088831 851 023 7243 410 27021998 1152270 0998406 -016 5911 1008875 088 003 078 -014 06031998 1171950 1017079 169 6392 1081374 782 287 6120 1325 13031998 1177260 1004531 045 5999 0938517 -635 020 4026 -287 20031998 1188570 1009607 096 6168 1028171 278 091 772 266 27031998 1200260 1009835 098 6226 1009403 094 096 088 092 03041998 1197600 0997784 -022 6071 0975104 -252 005 636 056 10041998 1198900 1001086 011 6025 0992423 -076 001 058 -008 17041998 1195490 0997156 -028 6051 1004315 043 008 019 -012 24041998 1182420 0989067 -110 5819 0961659 -391 121 1528 430 01051998 1176960 0995382 -046 6052 1040041 393 021 1541 -182 08051998 1159590 0985242 -149 5933 0980337 -199 221 394 295 15051998 1129560 0974103 -262 5637 0950110 -512 688 2619 1343 22051998 1112340 0984755 -154 5238 0929218 -734 236 5389 1128 29051998 1073430 0965020 -356 4877 0931081 -714 1268 5099 2543 05061998 1045480 0973962 -264 4595 0942178 -596 696 3548 1571 12061998 1066480 1020086 199 4822 1049402 482 396 2325 959 19061998 1032170 0967829 -327 4818 0999170 -008 1069 001 027 26061998 1030030 0997927 -021 4795 0995226 -048 004 023 010 03071998 1002040 0972826 -276 4704 0981022 -192 759 367 528 10071998 982199 0980199 -200 4538 0964711 -359 400 1291 719 17071998 970995 0988593 -115 4544 1001322 013 132 002 -015 24071998 995234 1024963 247 4802 1056778 552 608 3050 1362 31071998 1010220 1015058 149 4983 1037693 370 223 1369 553 07081998 986274 0976296 -240 4698 0942806 -589 575 3469 1413 14081998 966470 0979920 -203 4825 1027033 267 411 711 -541 21081998 934316 0966730 -338 4695 0973057 -273 1145 746 924 28081998 901108 0964457 -362 4556 0970394 -301 1310 903 1088 04091998 949019 1053169 518 4795 1052458 511 2684 2614 2649 11091998 950397 1001452 015 4758 0992284 -077 002 060 -011 18091998 953342 1003099 031 4654 0978142 -221 010 488 -068 25091998 956663 1003484 035 4554 0978513 -217 012 472 -076 02101998 958912 1002351 023 4558 1000878 009 006 001 002 09101998 943251 0983668 -165 4223 0926503 -763 271 5828 1257 16101998 943963 1000755 008 4294 1016813 167 001 278 013 23101998 934640 0990124 -099 3931 0915463 -883 099 7801 877

Page 121

30101998 918468 0982697 -175 3658 0930552 -720 305 5181 1256 06111998 913223 0994289 -057 3086 0843630 -1700 033 28914 974 13111998 917822 1005036 050 3419 1107907 1025 025 10501 515 20111998 917160 0999279 -007 3452 1009652 096 001 092 -007 27111998 906802 0988706 -114 3318 0961182 -396 129 1567 450 04121998 902621 0995389 -046 3434 1034961 344 021 1181 -159 11121998 889094 0985014 -151 3437 1000874 009 228 001 -013 18121998 902575 1015163 150 3427 0997090 -029 226 008 -044 25121998 906891 1004782 048 36 1050481 492 023 2425 235 01011999 914183 1008041 080 3632 1008889 088 064 078 071 08011999 983873 1076232 735 4372 1203744 1854 5397 34387 13623 15011999 989959 1006186 062 4225 0966377 -342 038 1170 -211 22011999 1016140 1026447 261 4397 1040710 399 681 1592 1042 29011999 1105790 1088226 845 4738 1077553 747 7149 5579 6315 05021999 1094590 0989871 -102 4727 0997678 -023 104 005 024 12021999 1053620 0962570 -381 4519 0955997 -450 1455 2025 1717 19021999 1071770 1017226 171 4765 1054437 530 292 2810 905 26021999 1055100 0984446 -157 4714 0989297 -108 246 116 169 05031999 1039860 0985556 -145 4612 0978362 -219 212 479 318 12031999 1041200 1001289 013 4423 0959020 -418 002 1751 -054 19031999 1027650 0986986 -131 4462 1008818 088 172 077 -115 26031999 1031360 1003610 036 4586 1027790 274 013 751 099 02041999 1034930 1003461 035 4396 0958570 -423 012 1790 -146 09041999 1024940 0990347 -097 4152 0944495 -571 094 3261 554 16041999 1026450 1001473 015 3972 0956647 -443 002 1964 -065 23041999 1038240 1011486 114 3902 0982377 -178 130 316 -203 30041999 1014430 0977067 -232 3653 0936187 -659 538 4348 1530 07051999 1027240 1012628 125 3754 1027649 273 157 744 342 14051999 1015400 0988474 -116 3486 0928609 -741 134 5486 859 21051999 1012050 0996701 -033 3339 0957831 -431 011 1856 142 28051999 986598 0974851 -255 3213 0962264 -385 649 1480 980 04061999 977053 0990325 -097 3207 0998133 -019 095 003 018 11061999 1007370 1031029 306 3423 1067353 652 934 4249 1992 18061999 989166 0981929 -182 3325 0971370 -290 333 844 530 25061999 1026150 1037389 367 2992 0899850 -1055 1347 11136 -3874 02071999 995282 0969919 -305 3089 1032420 319 933 1018 -974 09071999 995600 1000320 003 2968 0960829 -400 000 1597 -013 16071999 1012170 1016643 165 3195 1076482 737 272 5432 1216 23071999 981962 0970155 -303 315 0985915 -142 918 201 430 30071999 971997 0989852 -102 3035 0963492 -372 104 1383 379 06081999 953229 0980691 -195 2889 0951895 -493 380 2431 961 13081999 935049 0980928 -193 2757 0954309 -468 371 2187 901 20081999 944102 1009682 096 2792 1012695 126 093 159 122 27081999 935339 0990718 -093 2859 1023997 237 087 562 -221 03091999 928650 0992849 -072 282 0986359 -137 052 189 099 10091999 923843 0994824 -052 3108 1102128 972 027 9456 -505 17091999 936583 1013790 137 3008 0967825 -327 188 1070 -448 24091999 963355 1028585 282 3016 1002660 027 794 007 075 01101999 964466 1001153 012 3017 1000332 003 001 000 000 08101999 1008430 1045584 446 3245 1075572 729 1987 5307 3247 15101999 1067340 1058418 568 3413 1051772 505 3223 2548 2866

Page 122

22101999 1019230 0954925 -461 3195 0936127 -660 2127 4357 3044 29101999 1038280 1018691 185 3256 1019092 189 343 358 350 05111999 1047550 1008928 089 2663 0817875 -2010 079 40420 -1787 12111999 1071510 1022872 226 2813 1056327 548 511 3003 1239 19111999 1077140 1005254 052 2776 0986847 -132 027 175 -069 26111999 1104220 1025141 248 2755 0992435 -076 617 058 -189 03121999 1152250 1043497 426 273 0990926 -091 1813 083 -388 10121999 1338690 1161805 1500 2777 1017216 171 22492 291 2560 17121999 1235780 0923126 -800 2606 0938423 -636 6398 4039 5084 24121999 1215240 0983379 -168 2553 0979662 -205 281 422 344 Sum -206 -7924 80467 310570 70040 Beta 087 Alpha -075 Std Dev Of Rndm Error Term 491 Std Error of Beta 0078 Std Error of Alpha 0218 Correlation Coefficient 045 Coefficient of Determination 020 Coefficient of Nondetermination 080

Page 123

Nasr City for Housing and Development

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 10973 09011998 1222730 0985643 -145 10724 0977262 -230 209 529 333 16011998 1206630 0986833 -133 10722 0999860 -001 176 000 002 23011998 1187560 0984196 -159 10612 0989741 -103 254 106 164 30011998 1161970 0978452 -218 10569 0995901 -041 475 017 089 06021998 1152100 0991506 -085 10372 0981360 -188 073 354 161 13021998 1148570 0996936 -031 10075 0971412 -290 009 841 089 20021998 1154110 1004823 048 9827 0975385 -249 023 621 -120 27021998 1152270 0998406 -016 10000 1017605 175 003 305 -028 06031998 1171950 1017079 169 10182 1018200 180 287 325 305 13031998 1177260 1004531 045 10080 0989933 -101 020 102 -046 20031998 1188570 1009607 096 10299 1021777 215 091 464 206 27031998 1200260 1009835 098 10688 1037722 370 096 1371 362 03041998 1197600 0997784 -022 10585 0990409 -096 005 093 021 10041998 1198900 1001086 011 10642 1005385 054 001 029 006 17041998 1195490 0997156 -028 10648 1000564 006 008 000 -002 24041998 1182420 0989067 -110 10613 0996713 -033 121 011 036 01051998 1176960 0995382 -046 10470 0986479 -136 021 185 063 08051998 1159590 0985242 -149 10393 0992645 -074 221 054 110 15051998 1129560 0974103 -262 10092 0971037 -294 688 864 771 22051998 1112340 0984755 -154 9631 0954368 -467 236 2181 718 29051998 1073430 0965020 -356 9625 0999377 -006 1268 000 022 05061998 1045480 0973962 -264 9140 0949558 -518 696 2679 1366 12061998 1066480 1020086 199 9153 1001422 014 396 002 028 19061998 1032170 0967829 -327 8790 0960393 -404 1069 1633 1321 26061998 1030030 0997927 -021 8353 0950284 -510 004 2600 106 03071998 1002040 0972826 -276 8133 0973662 -267 759 712 735 10071998 982199 0980199 -200 7391 0908705 -957 400 9165 1915 17071998 970995 0988593 -115 6762 0914958 -889 132 7899 1020 24071998 995234 1024963 247 7760 1147516 1376 608 18934 3393 31071998 1010220 1015058 149 8084 1041820 410 223 1678 612 07081998 986274 0976296 -240 7844 0970250 -302 575 912 725 14081998 966470 0979920 -203 7377 0940524 -613 411 3760 1244 21081998 934316 0966730 -338 7071 0958520 -424 1145 1795 1433 28081998 901108 0964457 -362 6804 0962169 -386 1310 1487 1396 04091998 949019 1053169 518 7267 1068127 659 2684 4344 3414 11091998 950397 1001452 015 7367 1013761 137 002 187 020 18091998 953342 1003099 031 7295 0990227 -098 010 096 -030 25091998 956663 1003484 035 7445 1020493 203 012 412 071 02101998 958912 1002351 023 7439 0999261 -007 006 001 -002 09101998 943251 0983668 -165 7179 0964982 -356 271 1271 587 16101998 943963 1000755 008 6238 0868914 -1405 001 19743 -106 23101998 934640 0990124 -099 6142 0984689 -154 099 238 153

Page 124

30101998 918468 0982697 -175 5338 0869098 -1403 305 19684 2449 06111998 913223 0994289 -057 5694 1066692 646 033 4168 -370 13111998 917822 1005036 050 5300 0930717 -718 025 5155 -361 20111998 917160 0999279 -007 5102 0962732 -380 001 1442 027 27111998 906802 0988706 -114 5148 1009016 090 129 081 -102 04121998 902621 0995389 -046 5135 0997378 -026 021 007 012 11121998 889094 0985014 -151 5151 1003214 032 228 010 -048 18121998 902575 1015163 150 5143 0998350 -017 226 003 -025 25121998 906891 1004782 048 5115 0994555 -055 023 030 -026 01011999 914183 1008041 080 5153 1007430 074 064 055 059 08011999 983873 1076232 735 5576 1082193 790 5397 6239 5803 15011999 989959 1006186 062 5613 1006546 065 038 043 040 22011999 1016140 1026447 261 5728 1020579 204 681 415 532 29011999 1105790 1088226 845 6809 1188722 1729 7149 29887 14617 05021999 1094590 0989871 -102 6457 0948304 -531 104 2818 540 12021999 1053620 0962570 -381 5937 0919390 -840 1455 7064 3206 19021999 1071770 1017226 171 6268 1055757 543 292 2944 927 26021999 1055100 0984446 -157 6139 0979418 -208 246 433 326 05031999 1039860 0985556 -145 5772 0940295 -616 212 3790 896 12031999 1041200 1001289 013 5590 0968468 -320 002 1027 -041 19031999 1027650 0986986 -131 5457 0976208 -241 172 580 315 26031999 1031360 1003610 036 5352 0980667 -195 013 381 -070 02041999 1034930 1003461 035 5509 1029431 290 012 841 100 09041999 1024940 0990347 -097 5325 0966509 -341 094 1160 330 16041999 1026450 1001473 015 5518 1036248 356 002 1268 052 23041999 1038240 1011486 114 5388 0976439 -238 130 569 -272 30041999 1014430 0977067 -232 5212 0967332 -332 538 1103 771 07051999 1027240 1012628 125 4940 0947904 -535 157 2863 -671 14051999 1015400 0988474 -116 4499 0910628 -936 134 8765 1085 21051999 1012050 0996701 -033 4500 1000333 003 011 000 -001 28051999 986598 0974851 -255 4500 1000000 000 649 000 000 04061999 977053 0990325 -097 4333 0962889 -378 095 1430 368 11061999 1007370 1031029 306 4221 0974152 -262 934 686 -800 18061999 989166 0981929 -182 4025 0953566 -475 333 2261 867 25061999 1026150 1037389 367 3968 0985839 -143 1347 203 -524 02071999 995282 0969919 -305 3726 0939012 -629 933 3960 1922 09071999 995600 1000320 003 3789 1016908 168 000 281 005 16071999 1012170 1016643 165 3853 1016891 167 272 281 276 23071999 981962 0970155 -303 3912 1015313 152 918 231 -460 30071999 971997 0989852 -102 3837 0980828 -194 104 375 197 06081999 953229 0980691 -195 3903 1017201 171 380 291 -333 13081999 935049 0980928 -193 3854 0987446 -126 371 160 243 20081999 944102 1009682 096 3753 0973793 -266 093 705 -256 27081999 935339 0990718 -093 3598 0958700 -422 087 1779 393 03091999 928650 0992849 -072 3562 0989994 -101 052 101 072 10091999 923843 0994824 -052 3546 0995508 -045 027 020 023 17091999 936583 1013790 137 3765 1061760 599 188 3591 821 24091999 963355 1028585 282 3903 1036653 360 794 1296 1015 01101999 964466 1001153 012 3791 0971304 -291 001 848 -034 08101999 1008430 1045584 446 4114 1085202 818 1987 6686 3645 15101999 1067340 1058418 568 4367 1061497 597 3223 3562 3388

Page 125

22101999 1019230 0954925 -461 4218 0965880 -347 2127 1205 1601 29101999 1038280 1018691 185 3687 0874111 -1345 343 18103 -2492 05111999 1047550 1008928 089 3487 0945755 -558 079 3110 -496 12111999 1071510 1022872 226 3549 1017780 176 511 311 399 19111999 1077140 1005254 052 3567 1005072 051 027 026 027 26111999 1104220 1025141 248 3356 0940847 -610 617 3718 -1514 03121999 1152250 1043497 426 3546 1056615 551 1813 3033 2345 10121999 1338690 1161805 1500 3498 0986464 -136 22492 186 -2044 17121999 1235780 0923126 -800 3611 1032304 318 6398 1011 -2543 24121999 1215240 0983379 -168 3308 0916090 -876 281 7681 1469 Sum -206 -11991 80467 257954 60346 Beta 075 Alpha -115 Std Dev Of Rndm Error Term 444 Std Error of Beta 0074 Std Error of Alpha 0208 Correlation Coefficient 043 Coefficient of Determination 018 Coefficient of Nondetermination 082

Page 126

Abu Keir for Fertilisers

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8459 09011998 1222730 0985643 -145 8438 0997517 -025 209 006 036 16011998 1206630 0986833 -133 8022 0950699 -506 176 2556 670 23011998 1187560 0984196 -159 7874 0981551 -186 254 347 297 30011998 1161970 0978452 -218 783 0994412 -056 475 031 122 06021998 1152100 0991506 -085 774 0988506 -116 073 134 099 13021998 1148570 0996936 -031 7632 0986047 -141 009 197 043 20021998 1154110 1004823 048 7711 1010351 103 023 106 050 27021998 1152270 0998406 -016 7744 1004280 043 003 018 -007 06031998 1171950 1017079 169 7716 0996384 -036 287 013 -061 13031998 1177260 1004531 045 7685 0995982 -040 020 016 -018 20031998 1188570 1009607 096 7453 0969811 -307 091 940 -293 27031998 1200260 1009835 098 7287 0977727 -225 096 507 -220 03041998 1197600 0997784 -022 7419 1018114 180 005 322 -040 10041998 1198900 1001086 011 7419 1000000 000 001 000 000 17041998 1195490 0997156 -028 7402 0997709 -023 008 005 007 24041998 1182420 0989067 -110 7369 0995542 -045 121 020 049 01051998 1176960 0995382 -046 7358 0998507 -015 021 002 007 08051998 1159590 0985242 -149 733 0996195 -038 221 015 057 15051998 1129560 0974103 -262 7246 0988540 -115 688 133 302 22051998 1112340 0984755 -154 7037 0971157 -293 236 857 450 29051998 1073430 0965020 -356 6648 0944721 -569 1268 3234 2025 05061998 1045480 0973962 -264 6775 1019103 189 696 358 -499 12061998 1066480 1020086 199 7001 1033358 328 396 1077 653 19061998 1032170 0967829 -327 6614 0944722 -569 1069 3234 1859 26061998 1030030 0997927 -021 6678 1009676 096 004 093 -020 03071998 1002040 0972826 -276 6351 0951033 -502 759 2521 1383 10071998 982199 0980199 -200 6234 0981578 -186 400 346 372 17071998 970995 0988593 -115 6126 0982676 -175 132 305 200 24071998 995234 1024963 247 6178 1008488 085 608 071 208 31071998 1010220 1015058 149 6189 1001781 018 223 003 027 07081998 986274 0976296 -240 6026 0973663 -267 575 712 640 14081998 966470 0979920 -203 5796 0961832 -389 411 1514 789 21081998 934316 0966730 -338 5415 0934265 -680 1145 4623 2301 28081998 901108 0964457 -362 5395 0996307 -037 1310 014 134 04091998 949019 1053169 518 5648 1046895 458 2684 2100 2374 11091998 950397 1001452 015 5801 1027089 267 002 714 039 18091998 953342 1003099 031 5755 0992070 -080 010 063 -025 25091998 956663 1003484 035 5834 1013727 136 012 186 047 02101998 958912 1002351 023 598 1025026 247 006 611 058 09101998 943251 0983668 -165 6272 1048829 477 271 2273 -785 16101998 943963 1000755 008 6497 1035874 352 001 1242 027 23101998 934640 0990124 -099 5815 0895028 -1109 099 12299 1101

Page 127

30101998 918468 0982697 -175 6326 1087876 842 305 7094 -1470 06111998 913223 0994289 -057 6336 1001581 016 033 002 -009 13111998 917822 1005036 050 6338 1000316 003 025 000 002 20111998 917160 0999279 -007 6471 1020985 208 001 431 -015 27111998 906802 0988706 -114 6366 0983774 -164 129 268 186 04121998 902621 0995389 -046 6304 0990261 -098 021 096 045 11121998 889094 0985014 -151 6247 0990958 -091 228 083 137 18121998 902575 1015163 150 6103 0976949 -233 226 544 -351 25121998 906891 1004782 048 6092 0998198 -018 023 003 -009 01011999 914183 1008041 080 6117 1004104 041 064 017 033 08011999 983873 1076232 735 6219 1016675 165 5397 273 1215 15011999 989959 1006186 062 6122 0984403 -157 038 247 -097 22011999 1016140 1026447 261 606 0989873 -102 681 104 -266 29011999 1105790 1088226 845 6213 1025248 249 7149 622 2108 05021999 1094590 0989871 -102 6163 0991952 -081 104 065 082 12021999 1053620 0962570 -381 5805 0941911 -598 1455 3581 2283 19021999 1071770 1017226 171 5799 0998966 -010 292 001 -018 26021999 1055100 0984446 -157 5871 1012416 123 246 152 -193 05031999 1039860 0985556 -145 5798 0987566 -125 212 157 182 12031999 1041200 1001289 013 5796 0999655 -003 002 000 -000 19031999 1027650 0986986 -131 5793 0999482 -005 172 000 007 26031999 1031360 1003610 036 5818 1004316 043 013 019 016 02041999 1034930 1003461 035 575 0988312 -118 012 138 -041 09041999 1024940 0990347 -097 5542 0963826 -368 094 1358 357 16041999 1026450 1001473 015 5438 0981234 -189 002 359 -028 23041999 1038240 1011486 114 5387 0990622 -094 130 089 -108 30041999 1014430 0977067 -232 5017 0931316 -712 538 5063 1651 07051999 1027240 1012628 125 4687 0934224 -680 157 4629 -854 14051999 1015400 0988474 -116 4446 0948581 -528 134 2787 612 21051999 1012050 0996701 -033 4741 1066352 642 011 4127 -212 28051999 986598 0974851 -255 4599 0970049 -304 649 925 775 04061999 977053 0990325 -097 4223 0918243 -853 095 7275 829 11061999 1007370 1031029 306 4203 0995264 -047 934 023 -145 18061999 989166 0981929 -182 3721 0885320 -1218 333 14837 2221 25061999 1026150 1037389 367 4174 1121741 1149 1347 13198 4217 02071999 995282 0969919 -305 4198 1005750 057 933 033 -175 09071999 995600 1000320 003 4374 1041925 411 000 1687 013 16071999 1012170 1016643 165 4243 0970050 -304 272 925 -502 23071999 981962 0970155 -303 4127 0972661 -277 918 768 840 30071999 971997 0989852 -102 40 0969227 -313 104 977 319 06081999 953229 0980691 -195 3788 0947000 -545 380 2965 1062 13081999 935049 0980928 -193 3854 1017423 173 371 298 -333 20081999 944102 1009682 096 3981 1032953 324 093 1051 312 27081999 935339 0990718 -093 4149 1042200 413 087 1709 -385 03091999 928650 0992849 -072 415 1000241 002 052 000 -002 10091999 923843 0994824 -052 4138 0997108 -029 027 008 015 17091999 936583 1013790 137 3927 0949009 -523 188 2739 -717 24091999 963355 1028585 282 4096 1043035 421 794 1775 1188 01101999 964466 1001153 012 4043 0987061 -130 001 170 -015 08101999 1008430 1045584 446 4059 1003957 039 1987 016 176 15101999 1067340 1058418 568 4054 0998768 -012 3223 002 -070

Page 128

22101999 1019230 0954925 -461 3984 0982733 -174 2127 303 803 29101999 1038280 1018691 185 3268 0820281 -1981 343 39247 -3669 05111999 1047550 1008928 089 3201 0979498 -207 079 429 -184 12111999 1071510 1022872 226 3164 0988441 -116 511 135 -263 19111999 1077140 1005254 052 298 0941846 -599 027 3590 -314 26111999 1104220 1025141 248 2952 0990604 -094 617 089 -234 03121999 1152250 1043497 426 2998 1015583 155 1813 239 658 10121999 1338690 1161805 1500 326 1087392 838 22492 7019 12565 17121999 1235780 0923126 -800 3303 1013190 131 6398 172 -1048 24121999 1215240 0983379 -168 3165 0958220 -427 281 1821 715 Sum -206 -9831 80467 180553 38354 Beta 047 Alpha -094 Std Dev Of Rndm Error Term 389 Std Error of Beta 0070 Std Error of Alpha 0194 Correlation Coefficient 033 Coefficient of Determination 011 Coefficient of Nondetermination 089

Page 129

Egyptian Financial and Industrial

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 10251 09011998 1222730 0985643 -145 10199 0994879 -051 209 026 074 16011998 1206630 0986833 -133 10039 0984311 -158 176 250 210 23011998 1187560 0984196 -159 10021 0998257 -017 254 003 028 30011998 1161970 0978452 -218 9630 0960982 -398 475 1584 867 06021998 1152100 0991506 -085 9051 0939875 -620 073 3845 529 13021998 1148570 0996936 -031 8848 0977572 -227 009 515 070 20021998 1154110 1004823 048 8823 0997175 -028 023 008 -014 27021998 1152270 0998406 -016 8847 1002720 027 003 007 -004 06031998 1171950 1017079 169 8405 0950040 -513 287 2627 -868 13031998 1177260 1004531 045 8903 1059191 575 020 3307 260 20031998 1188570 1009607 096 9174 1030497 300 091 902 287 27031998 1200260 1009835 098 9387 1023218 230 096 527 225 03041998 1197600 0997784 -022 9448 1006498 065 005 042 -014 10041998 1198900 1001086 011 9569 1012754 127 001 161 014 17041998 1195490 0997156 -028 9600 1003292 033 008 011 -009 24041998 1182420 0989067 -110 9581 0998021 -020 121 004 022 01051998 1176960 0995382 -046 9600 1001983 020 021 004 -009 08051998 1159590 0985242 -149 9449 0984271 -159 221 251 236 15051998 1129560 0974103 -262 9370 0991639 -084 688 070 220 22051998 1112340 0984755 -154 8661 0924333 -787 236 6191 1209 29051998 1073430 0965020 -356 8478 0978871 -214 1268 456 760 05061998 1045480 0973962 -264 8321 0981481 -187 696 349 493 12061998 1066480 1020086 199 8270 0993871 -061 396 038 -122 19061998 1032170 0967829 -327 7944 0960580 -402 1069 1617 1315 26061998 1030030 0997927 -021 7651 0963117 -376 004 1412 078 03071998 1002040 0972826 -276 7211 0942491 -592 759 3508 1632 10071998 982199 0980199 -200 6744 0935238 -670 400 4483 1339 17071998 970995 0988593 -115 6608 0979834 -204 132 415 234 24071998 995234 1024963 247 6082 0920400 -829 608 6880 -2045 31071998 1010220 1015058 149 6169 1014305 142 223 202 212 07081998 986274 0976296 -240 5979 0969201 -313 575 979 750 14081998 966470 0979920 -203 6034 1009199 092 411 084 -186 21081998 934316 0966730 -338 5803 0961717 -390 1145 1524 1321 28081998 901108 0964457 -362 5608 0966397 -342 1310 1168 1237 04091998 949019 1053169 518 5944 1059914 582 2684 3386 3014 11091998 950397 1001452 015 5724 0962988 -377 002 1422 -055 18091998 953342 1003099 031 5754 1005241 052 010 027 016 25091998 956663 1003484 035 5906 1026416 261 012 680 091 02101998 958912 1002351 023 6025 1020149 199 006 398 047 09101998 943251 0983668 -165 5959 0989046 -110 271 121 181 16101998 943963 1000755 008 5913 0992281 -077 001 060 -006 23101998 934640 0990124 -099 5860 0991037 -090 099 081 089

Page 130

30101998 918468 0982697 -175 5867 1001195 012 305 001 -021 06111998 913223 0994289 -057 5824 0992671 -074 033 054 042 13111998 917822 1005036 050 5777 0991930 -081 025 066 -041 20111998 917160 0999279 -007 5775 0999654 -003 001 000 000 27111998 906802 0988706 -114 5766 0998442 -016 129 002 018 04121998 902621 0995389 -046 5767 1000173 002 021 000 -001 11121998 889094 0985014 -151 5724 0992544 -075 228 056 113 18121998 902575 1015163 150 5676 0991614 -084 226 071 -127 25121998 906891 1004782 048 5625 0991015 -090 023 081 -043 01011999 914183 1008041 080 5627 1000356 004 064 000 003 08011999 983873 1076232 735 5876 1044251 433 5397 1875 3181 15011999 989959 1006186 062 5944 1011572 115 038 132 071 22011999 1016140 1026447 261 6172 1038358 376 681 1417 983 29011999 1105790 1088226 845 6828 1106286 1010 7149 10203 8540 05021999 1094590 0989871 -102 6460 0946104 -554 104 3069 564 12021999 1053620 0962570 -381 6061 0938235 -638 1455 4065 2432 19021999 1071770 1017226 171 6023 0993730 -063 292 040 -107 26021999 1055100 0984446 -157 5949 0987714 -124 246 153 194 05031999 1039860 0985556 -145 5656 0950748 -505 212 2551 735 12031999 1041200 1001289 013 5642 0997525 -025 002 006 -003 19031999 1027650 0986986 -131 5620 0996101 -039 172 015 051 26031999 1031360 1003610 036 5488 0976512 -238 013 565 -086 02041999 1034930 1003461 035 5568 1014577 145 012 209 050 09041999 1024940 0990347 -097 5498 0987428 -127 094 160 123 16041999 1026450 1001473 015 5354 0973809 -265 002 704 -039 23041999 1038240 1011486 114 5442 1016436 163 130 266 186 30041999 1014430 0977067 -232 5266 0967659 -329 538 1081 763 07051999 1027240 1012628 125 5229 0992974 -071 157 050 -088 14051999 1015400 0988474 -116 5022 0960413 -404 134 1631 468 21051999 1012050 0996701 -033 5134 1022302 221 011 487 -073 28051999 986598 0974851 -255 4781 0931243 -712 649 5074 1814 04061999 977053 0990325 -097 4664 0975528 -248 095 614 241 11061999 1007370 1031029 306 4637 0994211 -058 934 034 -177 18061999 989166 0981929 -182 4442 0957947 -430 333 1846 783 25061999 1026150 1037389 367 4289 0965556 -351 1347 1229 -1287 02071999 995282 0969919 -305 4239 0988342 -117 933 138 358 09071999 995600 1000320 003 4152 0979476 -207 000 430 -007 16071999 1012170 1016643 165 3782 0910886 -933 272 8712 -1541 23071999 981962 0970155 -303 3657 0966949 -336 918 1130 1018 30071999 971997 0989852 -102 3748 1024884 246 104 604 -251 06081999 953229 0980691 -195 3672 0979723 -205 380 420 399 13081999 935049 0980928 -193 3575 0973584 -268 371 717 516 20081999 944102 1009682 096 3472 0971189 -292 093 855 -282 27081999 935339 0990718 -093 3472 1000000 000 087 000 000 03091999 928650 0992849 -072 3320 0956221 -448 052 2004 321 10091999 923843 0994824 -052 3207 0965964 -346 027 1199 180 17091999 936583 1013790 137 3166 0987215 -129 188 166 -176 24091999 963355 1028585 282 3189 1007265 072 794 052 204 01101999 964466 1001153 012 3150 0987770 -123 001 151 -014 08101999 1008430 1045584 446 3336 1059048 574 1987 3291 2557 15101999 1067340 1058418 568 3445 1032674 322 3223 1034 1825

Page 131

22101999 1019230 0954925 -461 3200 0928882 -738 2127 5442 3403 29101999 1038280 1018691 185 3210 1003125 031 343 010 058 05111999 1047550 1008928 089 2864 0892212 -1141 079 13008 -1014 12111999 1071510 1022872 226 2820 0984637 -155 511 240 -350 19111999 1077140 1005254 052 2828 1002837 028 027 008 015 26111999 1104220 1025141 248 2758 0975248 -251 617 628 -622 03121999 1152250 1043497 426 2796 1013778 137 1813 187 583 10121999 1338690 1161805 1500 3185 1139127 1303 22492 16968 19536 17121999 1235780 0923126 -800 2840 0891680 -1146 6398 13144 9171 24121999 1215240 0983379 -168 2754 0969718 -307 281 946 515 Sum -206 -13143 80467 158917 69392 Beta 086 Alpha -126 Std Dev Of Rndm Error Term 286 Std Error of Beta 0060 Std Error of Alpha 0167 Correlation Coefficient 065 Coefficient of Determination 042 Coefficient of Nondetermination 058

Page 132

Paints and Chemical Industries (PACHIN)

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5386 09011998 1222730 0985643 -145 5201 0965649 -350 209 1222 505 16011998 1206630 0986833 -133 5121 0984617 -155 176 240 205 23011998 1187560 0984196 -159 4640 0906162 -985 254 9710 1570 30011998 1161970 0978452 -218 4846 1044289 433 475 1878 -944 06021998 1152100 0991506 -085 4850 1000929 009 073 001 -008 13021998 1148570 0996936 -031 5240 1080412 773 009 5982 -237 20021998 1154110 1004823 048 5664 1080821 777 023 6040 374 27021998 1152270 0998406 -016 5648 0997263 -027 003 008 004 06031998 1171950 1017079 169 5709 1010800 107 287 115 182 13031998 1177260 1004531 045 5779 1012261 122 020 149 055 20031998 1188570 1009607 096 5835 1009690 096 091 093 092 27031998 1200260 1009835 098 5800 0994002 -060 096 036 -059 03041998 1197600 0997784 -022 5792 0998621 -014 005 002 003 10041998 1198900 1001086 011 5752 0993094 -069 001 048 -008 17041998 1195490 0997156 -028 5745 0998696 -013 008 002 004 24041998 1182420 0989067 -110 5743 0999652 -003 121 000 004 01051998 1176960 0995382 -046 5613 0977362 -229 021 524 106 08051998 1159590 0985242 -149 5750 1024410 241 221 582 -359 15051998 1129560 0974103 -262 5637 0980433 -198 688 390 518 22051998 1112340 0984755 -154 5338 0946869 -546 236 2981 839 29051998 1073430 0965020 -356 4772 0893958 -1121 1268 12566 3991 05061998 1045480 0973962 -264 4966 1040763 400 696 1596 -1054 12061998 1066480 1020086 199 5150 1037052 364 396 1324 724 19061998 1032170 0967829 -327 5184 1006602 066 1069 043 -215 26061998 1030030 0997927 -021 5013 0966917 -336 004 1132 070 03071998 1002040 0972826 -276 4836 0964688 -360 759 1292 990 10071998 982199 0980199 -200 4713 0974563 -258 400 664 515 17071998 970995 0988593 -115 4750 1007851 078 132 061 -090 24071998 995234 1024963 247 4797 1009896 098 608 097 243 31071998 1010220 1015058 149 4789 0998332 -017 223 003 -025 07081998 986274 0976296 -240 4700 0981414 -188 575 352 450 14081998 966470 0979920 -203 4355 0926588 -762 411 5814 1547 21081998 934316 0966730 -338 4041 0927891 -748 1145 5601 2532 28081998 901108 0964457 -362 3685 0912016 -921 1310 8482 3333 04091998 949019 1053169 518 3935 1067843 656 2684 4309 3400 11091998 950397 1001452 015 4291 1090343 865 002 7481 125 18091998 953342 1003099 031 4428 1031931 314 010 988 097 25091998 956663 1003484 035 4673 1055449 540 012 2912 188 02101998 958912 1002351 023 4670 0999251 -007 006 001 -002 09101998 943251 0983668 -165 4599 0984902 -152 271 231 251 16101998 943963 1000755 008 4513 0981300 -189 001 356 -014 23101998 934640 0990124 -099 4718 1045314 443 099 1964 -440

Page 133

30101998 918468 0982697 -175 4937 1046423 454 305 2059 -792 06111998 913223 0994289 -057 4450 0901448 -1038 033 10765 594 13111998 917822 1005036 050 4574 1027865 275 025 755 138 20111998 917160 0999279 -007 4286 0937035 -650 001 4229 047 27111998 906802 0988706 -114 4153 0968969 -315 129 994 358 04121998 902621 0995389 -046 3887 0935950 -662 021 4382 306 11121998 889094 0985014 -151 3465 0891433 -1149 228 13208 1735 18121998 902575 1015163 150 3490 1007215 072 226 052 108 25121998 906891 1004782 048 3468 0993696 -063 023 040 -030 01011999 914183 1008041 080 3500 1009227 092 064 084 074 08011999 983873 1076232 735 3962 1131857 1239 5397 15341 9099 15011999 989959 1006186 062 4063 1025495 252 038 634 155 22011999 1016140 1026447 261 4358 1072615 701 681 4914 1830 29011999 1105790 1088226 845 4246 0974412 -259 7149 672 -2192 05021999 1094590 0989871 -102 4203 0989873 -102 104 104 104 12021999 1053620 0962570 -381 3905 0928979 -737 1455 5427 2810 19021999 1071770 1017226 171 4049 1036881 362 292 1312 619 26021999 1055100 0984446 -157 3900 0963196 -375 246 1406 588 05031999 1039860 0985556 -145 3709 0951019 -502 212 2522 731 12031999 1041200 1001289 013 3733 1006606 066 002 043 008 19031999 1027650 0986986 -131 3665 0981784 -184 172 338 241 26031999 1031360 1003610 036 3548 0967940 -326 013 1062 -117 02041999 1034930 1003461 035 3564 1004651 046 012 022 016 09041999 1024940 0990347 -097 3503 0982884 -173 094 298 167 16041999 1026450 1001473 015 3772 1076649 739 002 5454 109 23041999 1038240 1011486 114 3711 0983826 -163 130 266 -186 30041999 1014430 0977067 -232 3649 0983291 -169 538 284 391 07051999 1027240 1012628 125 3593 0984651 -155 157 239 -194 14051999 1015400 0988474 -116 3508 0976479 -238 134 567 276 21051999 1012050 0996701 -033 3650 1040336 395 011 1564 -131 28051999 986598 0974851 -255 3487 0955336 -457 649 2088 1164 04061999 977053 0990325 -097 3513 1007601 076 095 057 -074 11061999 1007370 1031029 306 3597 1023769 235 934 552 718 18061999 989166 0981929 -182 3477 0966634 -339 333 1152 619 25061999 1026150 1037389 367 3375 0970804 -296 1347 878 -1088 02071999 995282 0969919 -305 3498 1036296 357 933 1271 -1089 09071999 995600 1000320 003 3487 0996998 -030 000 009 -001 16071999 1012170 1016643 165 3505 1005019 050 272 025 083 23071999 981962 0970155 -303 3446 0983307 -168 918 283 510 30071999 971997 0989852 -102 3359 0974753 -256 104 654 261 06081999 953229 0980691 -195 3162 0941203 -606 380 3672 1181 13081999 935049 0980928 -193 3022 0955717 -453 371 2051 872 20081999 944102 1009682 096 3149 1042032 412 093 1695 397 27081999 935339 0990718 -093 3109 0987454 -126 087 159 118 03091999 928650 0992849 -072 3072 0988099 -120 052 143 086 10091999 923843 0994824 -052 3065 0997559 -024 027 006 013 17091999 936583 1013790 137 3150 1027900 275 188 757 377 24091999 963355 1028585 282 3164 1004444 044 794 020 125 01101999 964466 1001153 012 3163 0999526 -005 001 000 -001 08101999 1008430 1045584 446 3317 1048854 477 1987 2275 2126 15101999 1067340 1058418 568 3392 1022460 222 3223 493 1261

Page 134

22101999 1019230 0954925 -461 3127 0922011 -812 2127 6593 3745 29101999 1038280 1018691 185 3162 1011193 111 343 124 206 05111999 1047550 1008928 089 3249 1027514 271 079 737 241 12111999 1071510 1022872 226 3235 0995537 -045 511 020 -101 19111999 1077140 1005254 052 2841 0878343 -1297 027 16827 -680 26111999 1104220 1025141 248 2755 0969553 -309 617 956 -768 03121999 1152250 1043497 426 2684 0974406 -259 1813 672 -1104 10121999 1338690 1161805 1500 2853 1062779 609 22492 3707 9132 17121999 1235780 0923126 -800 2592 0908501 -960 6398 9208 7676 24121999 1215240 0983379 -168 2553 0984951 -152 281 230 254 Sum -206 -7466 80467 223623 62586 Beta 078 Alpha -071 Std Dev Of Rndm Error Term 410 Std Error of Beta 0071 Std Error of Alpha 0200 Correlation Coefficient 047 Coefficient of Determination 022 Coefficient of Nondetermination 078

Page 135

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) (421)

ri = ln (Pt Pt-1) (422)

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 136

Helwan Portland Cement - Takeover

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 05082001 524103 2743 06082001 538487 1027445 003 2817 1026978 003 -056 085 002 -054 057 07082001 545306 1012663 001 2801 0994320 -001 -056 085 001 -055 055 112 08082001 545779 1000867 000 2787 0995002 -001 -056 085 000 -056 056 167 09082001 553572 1014279 001 2842 1019734 002 -056 085 001 -055 057 225 12082001 562356 1015868 002 2970 1045039 004 -056 085 001 -055 059 284 13082001 577288 1026553 003 3107 1046128 005 -056 085 002 -054 059 343 14082001 589018 1020319 002 3254 1047313 005 -056 085 002 -055 059 402 15082001 569431 0966746 -003 3109 0955439 -005 -056 085 -003 -059 055 457 16082001 561918 0986806 -001 3226 1037633 004 -056 085 -001 -058 061 518 19082001 574654 1022665 002 3380 1047737 005 -056 085 002 -055 059 577 20082001 574422 0999596 -000 3318 0981657 -002 -056 085 -000 -056 055 632 21082001 563572 0981111 -002 3170 0955395 -005 -056 085 -002 -058 053 685 22082001 557923 0989976 -001 3175 1001577 000 -056 085 -001 -057 057 743 23082001 564762 1012258 001 3241 1020787 002 -056 085 001 -055 057 800 26082001 562188 0995442 -000 3222 0994138 -001 -056 085 -000 -057 056 857 27082001 566747 1008109 001 3239 1005276 001 -056 085 001 -056 056 913 28082001 578448 1020646 002 3398 1049089 005 -056 085 002 -055 059 972 29082001 577700 0998707 -000 3561 1047969 005 -056 085 -000 -057 061 1034 30082001 595784 1031303 003 3739 1049986 005 -056 085 003 -054 059 1092 02092001 615099 1032419 003 3739 1000000 000 -056 085 003 -054 054 1146 03092001 623383 1013468 001 3926 1050013 005 -056 085 001 -055 060 1206 04092001 631607 1013193 001 4122 1049924 005 -056 085 001 -055 060 1266

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05092001 647104 1024536 002 4328 1049976 005 -056 085 002 -054 059 1325 06092001 642737 0993251 -001 4544 1049908 005 -056 085 -001 -057 062 1387 09092001 632584 0984203 -002 4770 1049736 005 -056 085 -001 -058 063 1450 10092001 640695 1012822 001 4541 0951992 -005 -056 085 001 -055 050 1500 11092001 646508 1009073 001 4344 0956617 -004 -056 085 001 -056 051 1552 12092001 622690 0963159 -004 4344 1000000 000 -056 085 -003 -060 060 1611 13092001 626337 1005857 001 4561 1049954 005 -056 085 000 -056 061 1672 16092001 624189 0996571 -000 5110 1120368 011 -056 085 -000 -057 068 1740 17092001 609400 0976307 -002 5110 1000000 000 -056 085 -002 -058 058 1799 18092001 601322 0986744 -001 5110 1000000 000 -056 085 -001 -058 058 1856 19092001 620730 1032276 003 5110 1000000 000 -056 085 003 -054 054 1910 20092001 614817 0990474 -001 5110 1000000 000 -056 085 -001 -057 057 1967 23092001 597012 0971040 -003 5110 1000000 000 -056 085 -003 -059 059 2026 24092001 588809 0986260 -001 5103 0998630 -000 -056 085 -001 -058 057 2084 25092001 581727 0987972 -001 5103 1000000 000 -056 085 -001 -057 057 2141 26092001 570192 0980171 -002 5103 1000000 000 -056 085 -002 -058 058 2199 27092001 561925 0985501 -001 5103 1000000 000 -056 085 -001 -058 058 2257 30092001 564278 1004187 000 4848 0950029 -005 -056 085 000 -056 051 2308 01102001 568252 1007043 001 4848 1000000 000 -056 085 001 -056 056 2364

Page 138

Suez Cement - Takeover

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 22082001 557923 3272 23082001 564762 1012258 001 3323 1015587 002 -020 126 002 -018 020 26082001 562188 0995442 -000 3257 0980138 -002 -020 126 -001 -020 018 038 27082001 566747 1008109 001 3287 1009211 001 -020 126 001 -018 019 057 28082001 578448 1020646 002 3451 1049894 005 -020 126 003 -017 022 079 29082001 577700 0998707 -000 3569 1034193 003 -020 126 -000 -020 023 102 30082001 595784 1031303 003 3662 1026058 003 -020 126 004 -016 018 120 02092001 615099 1032419 003 3708 1012561 001 -020 126 004 -015 017 137 03092001 623383 1013468 001 3654 0985437 -001 -020 126 002 -018 016 153 04092001 631607 1013193 001 3635 0994800 -001 -020 126 002 -018 017 170 05092001 647104 1024536 002 3765 1035763 004 -020 126 003 -016 020 190 06092001 642737 0993251 -001 3829 1016999 002 -020 126 -001 -020 022 213 09092001 632584 0984203 -002 3828 0999739 -000 -020 126 -002 -022 022 234 10092001 640695 1012822 001 3866 1009927 001 -020 126 002 -018 019 253 11092001 646508 1009073 001 3891 1006467 001 -020 126 001 -018 019 272 12092001 622690 0963159 -004 3700 0950912 -005 -020 126 -005 -024 019 291 13092001 626337 1005857 001 3849 1040270 004 -020 126 001 -019 023 314 16092001 624189 0996571 -000 3911 1016108 002 -020 126 -000 -020 022 335 17092001 609400 0976307 -002 3828 0978778 -002 -020 126 -003 -023 020 356 18092001 601322 0986744 -001 3675 0960031 -004 -020 126 -002 -021 017 373 19092001 620730 1032276 003 3829 1041905 004 -020 126 004 -015 020 393

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20092001 614817 0990474 -001 3801 0992687 -001 -020 126 -001 -021 020 413 23092001 597012 0971040 -003 3654 0961326 -004 -020 126 -004 -023 019 432 24092001 588809 0986260 -001 3523 0964149 -004 -020 126 -002 -021 018 449 25092001 581727 0987972 -001 3641 1033494 003 -020 126 -002 -021 024 474 26092001 570192 0980171 -002 3733 1025268 002 -020 126 -003 -022 025 498 27092001 561925 0985501 -001 3697 0990356 -001 -020 126 -002 -021 020 519 30092001 564278 1004187 000 3512 0949959 -005 -020 126 001 -019 014 533 01102001 568252 1007043 001 3512 1000000 000 -020 126 001 -019 019 551 02102001 555684 0977883 -002 3347 0953018 -005 -020 126 -003 -022 018 569 03102001 549459 0988798 -001 3201 0956379 -004 -020 126 -001 -021 016 585 04102001 544680 0991302 -001 3069 0958763 -004 -020 126 -001 -021 016 602 07102001 544675 0999991 -000 3266 1064190 006 -020 126 -000 -020 026 627 08102001 543049 0997015 -000 3276 1003062 000 -020 126 -000 -020 020 648 09102001 545728 1004933 000 3270 0998168 -000 -020 126 001 -019 019 666 10102001 549824 1007506 001 3330 1018349 002 -020 126 001 -019 020 687 11102001 554529 1008557 001 3419 1026727 003 -020 126 001 -018 021 708 14102001 563161 1015566 002 3330 0973969 -003 -020 126 002 -018 015 723 15102001 563789 1001115 000 3322 0997598 -000 -020 126 000 -019 019 742 16102001 560209 0993650 -001 3383 1018362 002 -020 126 -001 -020 022 764 17102001 573477 1023684 002 3463 1023648 002 -020 126 003 -017 019 783 18102001 579797 1011020 001 3510 1013572 001 -020 126 001 -018 019 802

Page 140

Commercial International Bank (CIB) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 20022000 1347460 4428 21022000 1343130 0996787 -032 4347 0981707 -185 -006 145 -047 -053 -132 22022000 1315370 0979332 -002 4283 0985277 -148 -006 145 -003 -009 -139 -271 23022000 1297370 0986316 -001 4135 0965445 -352 -006 145 -002 -008 -344 -614 24022000 1249590 0963172 -004 3967 0959371 -415 -006 145 -005 -012 -403 -1018 27022000 1284540 1027969 003 4043 1019158 190 -006 145 004 -002 192 -826 28022000 1302870 1014270 001 3931 0972298 -281 -006 145 002 -004 -277 -1103 29022000 1276950 0980105 -002 3824 0972780 -276 -006 145 -003 -009 -267 -1370 01032000 1271220 0995513 -000 3873 1012814 127 -006 145 -001 -007 134 -1235 02032000 1263010 0993542 -001 3847 0993287 -067 -006 145 -001 -007 -060 -1296 05032000 1234900 0977744 -002 3675 0955290 -457 -006 145 -003 -009 -448 -1744 06032000 1228550 0994858 -001 3600 0979592 -206 -006 145 -001 -007 -199 -1943 07032000 1265480 1030060 003 3756 1043333 424 -006 145 004 -002 426 -1517 08032000 1280930 1012209 001 3915 1042332 415 -006 145 002 -004 419 -1098 09032000 1278610 0998189 -000 4043 1032695 322 -006 145 -000 -006 328 -770 12032000 1236490 0967058 -003 3885 0960920 -399 -006 145 -005 -011 -388 -1157 13032000 1260850 1019701 002 3857 0992793 -072 -006 145 003 -003 -069 -1227 14032000 1262590 1001380 000 3860 1000778 008 -006 145 000 -006 014 -1213 19032000 1253290 0992634 -001 3808 0986528 -136 -006 145 -001 -007 -128 -1341 20032000 1246240 0994375 -001 3799 0997637 -024 -006 145 -001 -007 -017 -1358 21032000 1251680 1004365 000 3762 0990261 -098 -006 145 001 -006 -092 -1450

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22032000 1240940 0991420 -001 3720 0988836 -112 -006 145 -001 -007 -105 -1555 23032000 1233620 0994101 -001 3782 1016667 165 -006 145 -001 -007 172 -1383 26032000 1243700 1008171 001 3875 1024590 243 -006 145 001 -005 248 -1135 27032000 1247010 1002661 000 4004 1033290 327 -006 145 000 -006 333 -802 28032000 1262200 1012181 001 4065 1015235 151 -006 145 002 -004 156 -646 29032000 1260000 0998257 -000 3943 0969988 -305 -006 145 -000 -006 -298 -945 30032000 1251400 0993175 -001 4054 1028151 278 -006 145 -001 -007 285 -660 02042000 1252220 1000655 000 4042 0997040 -030 -006 145 000 -006 -024 -683 03042000 1259850 1006093 001 4132 1022266 220 -006 145 001 -005 225 -458 04042000 1248840 0991261 -001 4106 0993708 -063 -006 145 -001 -007 -056 -514 05042000 1239300 0992361 -001 4120 1003410 034 -006 145 -001 -007 041 -472 09042000 1220080 0984491 -002 4019 0975485 -248 -006 145 -002 -008 -240 -712 10042000 1180450 0967519 -003 3982 0990794 -092 -006 145 -005 -011 -082 -794 11042000 1181020 1000483 000 4062 1020090 199 -006 145 000 -006 205 -589 12042000 1215120 1028873 003 4085 1005662 056 -006 145 004 -002 058 -530 13042000 1198730 0986512 -001 4141 1013709 136 -006 145 -002 -008 144 -386 16042000 1156640 0964888 -004 3991 0963777 -369 -006 145 -005 -011 -358 -744 17042000 1124800 0972472 -003 3983 0997995 -020 -006 145 -004 -010 -010 -754 18042000 1128930 1003672 000 4105 1030630 302 -006 145 001 -006 307 -446 19042000 1119740 0991860 -001 3721 0906456 -982 -006 145 -001 -007 -975 -1421 20042000 1083240 0967403 -003 3648 0980382 -198 -006 145 -005 -011 -187 -1608

Page 142

Egyptian American Bank (EAB) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 06032000 1228550 3600 07032000 1265480 1030060 003 3756 1043333 004 -040 118 003 -036 040 08032000 1280930 1012209 001 3915 1042332 004 -040 118 001 -038 042 083 09032000 1278610 0998189 -000 4043 1032695 003 -040 118 -000 -040 043 126 12032000 1236490 0967058 -003 3885 0960920 -004 -040 118 -004 -044 040 166 13032000 1260850 1019701 002 3857 0992793 -001 -040 118 002 -037 037 202 14032000 1262590 1001380 000 3860 1000778 000 -040 118 000 -040 040 242 19032000 1253290 0992634 -001 3808 0986528 -001 -040 118 -001 -041 039 281 20032000 1246240 0994375 -001 3799 0997637 -000 -040 118 -001 -040 040 321 21032000 1251680 1004365 000 3762 0990261 -001 -040 118 001 -039 038 359 22032000 1240940 0991420 -001 3720 0988836 -001 -040 118 -001 -041 040 399 23032000 1233620 0994101 -001 3782 1016667 002 -040 118 -001 -040 042 441 26032000 1243700 1008171 001 3875 1024590 002 -040 118 001 -039 041 48227032000 1247010 1002661 000 4004 1033290 003 -040 118 000 -039 043 525 28032000 1262200 1012181 001 4065 1015235 002 -040 118 001 -038 040 564 29032000 1260000 0998257 -000 3943 0969988 -003 -040 118 -000 -040 037 601 30032000 1251400 0993175 -001 4054 1028151 003 -040 118 -001 -040 043 645 02042000 1252220 1000655 000 4042 0997040 -000 -040 118 000 -040 039 684 03042000 1259850 1006093 001 4132 1022266 002 -040 118 001 -039 041 725 04042000 1248840 0991261 -001 4106 0993708 -001 -040 118 -001 -041 040 765 05042000 1239300 0992361 -001 4120 1003410 000 -040 118 -001 -041 041 806

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09042000 1220080 0984491 -002 4019 0975485 -002 -040 118 -002 -042 039 845 10042000 1180450 0967519 -003 3982 0990794 -001 -040 118 -004 -044 043 888 11042000 1181020 1000483 000 4062 1020090 002 -040 118 000 -040 042 929 12042000 1215120 1028873 003 4085 1005662 001 -040 118 003 -036 037 966 13042000 1198730 0986512 -001 4141 1013709 001 -040 118 -002 -041 043 1009 16042000 1156640 0964888 -004 3991 0963777 -004 -040 118 -004 -044 040 1049 17042000 1124800 0972472 -003 3983 0997995 -000 -040 118 -003 -043 043 1092 18042000 1128930 1003672 000 4105 1030630 003 -040 118 000 -039 042 1134 19042000 1119740 0991860 -001 3721 0906456 -010 -040 118 -001 -041 031 1165 20042000 1083240 0967403 -003 3648 0980382 -002 -040 118 -004 -044 042 1206 23042000 1049820 0969148 -003 3489 0956414 -004 -040 118 -004 -043 039 1245 24042000 1042840 0993351 -001 3396 0973345 -003 -040 118 -001 -040 038 1283 26042000 1011554 0969999 -003 3563 1049176 005 -040 118 -004 -043 048 1331 27042000 1119630 1106842 010 3738 1049116 005 -040 118 012 -028 032 1364 02052000 1110810 0992122 -001 3682 0985019 -002 -040 118 -001 -041 039 1403 03052000 1081230 0973371 -003 3585 0973656 -003 -040 118 -003 -043 040 1443 04052000 1105850 1022770 002 3656 1019805 002 -040 118 003 -037 039 1482 07052000 1087730 0983614 -002 3646 0997265 -000 -040 118 -002 -042 041 1523 08052000 1104760 1015656 002 3671 1006857 001 -040 118 002 -038 039 1562 09052000 1125200 1018502 002 3734 1017162 002 -040 118 002 -038 039 1601 10052000 1136130 1009714 001 3707 0992769 -001 -040 118 001 -039 038 1639

Page 144

Misr International Bank (MIBANK) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 24022000 1249590 5186 27022000 1284540 1027969 003 5323 1026535 003 -036 127 004 -032 035 28022000 1302870 1014270 001 5391 1012774 001 -036 127 002 -034 035 070 29022000 1276950 0980105 -002 5395 1000742 000 -036 127 -003 -038 038 108 01032000 1271220 0995513 -000 5310 0984134 -002 -036 127 -001 -036 034 142 02032000 1263010 0993542 -001 5283 0995028 -000 -036 127 -001 -036 036 178 05032000 1234900 0977744 -002 5201 0984403 -002 -036 127 -003 -038 037 215 06032000 1228550 0994858 -001 5198 0999539 -000 -036 127 -001 -036 036 251 07032000 1265480 1030060 003 5389 1036627 004 -036 127 004 -032 035 286 08032000 1280930 1012209 001 5412 1004305 000 -036 127 002 -034 034 321 09032000 1278610 0998189 -000 5416 1000739 000 -036 127 -000 -036 036 357 12032000 1236490 0967058 -003 5218 0963516 -004 -036 127 -004 -040 036 393 13032000 1260850 1019701 002 5118 0980684 -002 -036 127 002 -033 031 424 14032000 1262590 1001380 000 5049 0986556 -001 -036 127 000 -035 034 458 19032000 1253290 0992634 -001 5047 0999683 -000 -036 127 -001 -036 036 494 20032000 1246240 0994375 -001 5035 0997622 -000 -036 127 -001 -036 036 530 21032000 1251680 1004365 000 4920 0977121 -002 -036 127 001 -035 033 563 22032000 1240940 0991420 -001 4838 0983252 -002 -036 127 -001 -037 035 598 23032000 1233620 0994101 -001 4860 1004630 000 -036 127 -001 -036 037 634 26032000 1243700 1008171 001 4974 1023539 002 -036 127 001 -034 037 671 27032000 1247010 1002661 000 5052 1015600 002 -036 127 000 -035 037 708

Page 145

28032000 1262200 1012181 001 5054 1000475 000 -036 127 002 -034 034 742 29032000 1260000 0998257 -000 4951 0979582 -002 -036 127 -000 -036 034 776 30032000 1251400 0993175 -001 4923 0994345 -001 -036 127 -001 -036 036 811 02042000 1252220 1000655 000 4993 1014137 001 -036 127 000 -035 037 848 03042000 1259850 1006093 001 4995 1000481 000 -036 127 001 -035 035 883 04042000 1248840 0991261 -001 4938 0988469 -001 -036 127 -001 -037 035 918 05042000 1239300 0992361 -001 5010 1014744 001 -036 127 -001 -036 038 956 09042000 1220080 0984491 -002 4806 0959285 -004 -036 127 -002 -037 033 990 10042000 1180450 0967519 -003 4761 0990513 -001 -036 127 -004 -040 039 1029 11042000 1181020 1000483 000 4796 1007394 001 -036 127 000 -035 036 1065 12042000 1215120 1028873 003 4800 1000834 000 -036 127 004 -032 032 1097 13042000 1198730 0986512 -001 4800 1000000 000 -036 127 -002 -037 037 1134 16042000 1156640 0964888 -004 4779 0995667 -000 -036 127 -005 -040 040 1174 17042000 1124800 0972472 -003 4353 0910780 -009 -036 127 -004 -039 030 1203 18042000 1128930 1003672 000 4397 1010108 001 -036 127 000 -035 036 1239 19042000 1119740 0991860 -001 4378 0995633 -000 -036 127 -001 -037 036 1275 20042000 1083240 0967403 -003 4205 0960526 -004 -036 127 -004 -040 036 1311 23042000 1049820 0969148 -003 4061 0965753 -003 -036 127 -004 -039 036 1347 24042000 1042840 0993351 -001 4257 1048266 005 -036 127 -001 -036 041 1388 26042000 1011554 0969999 -003 4469 1049803 005 -036 127 -004 -039 044 1432 27042000 1119630 1106842 010 4613 1032223 003 -036 127 013 -023 026 1458

Page 146

Ameryah Cement Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 05042000 1239300 8213 09042000 1220080 0984491 -002 7803 0950079 -005 -043 105 -002 -045 039 10042000 1180450 0967519 -003 7803 1000000 000 -043 105 -003 -046 046 086 11042000 1181020 1000483 000 7803 1000000 000 -043 105 000 -043 043 129 12042000 1215120 1028873 003 7803 1000000 000 -043 105 003 -040 040 169 13042000 1198730 0986512 -001 7803 1000000 000 -043 105 -001 -044 044 213 16042000 1156640 0964888 -004 7803 1000000 000 -043 105 -004 -047 047 260 17042000 1124800 0972472 -003 7803 1000000 000 -043 105 -003 -046 046 306 18042000 1128930 1003672 000 7803 1000000 000 -043 105 000 -043 043 348 19042000 1119740 0991860 -001 7803 1000000 000 -043 105 -001 -044 044 392 20042000 1083240 0967403 -003 7803 1000000 000 -043 105 -003 -046 046 439 23042000 1049820 0969148 -003 7803 1000000 000 -043 105 -003 -046 046 485 24042000 1042840 0993351 -001 7803 1000000 000 -043 105 -001 -044 044 529 26042000 1011554 0969999 -003 7803 1000000 000 -043 105 -003 -046 046 575 27042000 1119630 1106842 010 7803 1000000 000 -043 105 011 -032 032 607 02052000 1110810 0992122 -001 7803 1000000 000 -043 105 -001 -044 044 651 03052000 1081230 0973371 -003 7803 1000000 000 -043 105 -003 -046 046 697 04052000 1105850 1022770 002 7803 1000000 000 -043 105 002 -041 041 737 07052000 1087730 0983614 -002 7803 1000000 000 -043 105 -002 -045 045 782 08052000 1104760 1015656 002 7803 1000000 000 -043 105 002 -041 041 823 09052000 1125200 1018502 002 7803 1000000 000 -043 105 002 -041 041 864

Page 147

10052000 1136130 1009714 001 7803 1000000 000 -043 105 001 -042 042 906 11052000 1139120 1002632 000 7803 1000000 000 -043 105 000 -043 043 949 14052000 1161700 1019822 002 7803 1000000 000 -043 105 002 -041 041 990 15052000 1179430 1015262 002 7803 1000000 000 -043 105 002 -041 041 1031 16052000 1203490 1020400 002 7803 1000000 000 -043 105 002 -041 041 1072 17052000 1207650 1003457 000 7803 1000000 000 -043 105 000 -043 043 1115 18052000 1170140 0968940 -003 7803 1000000 000 -043 105 -003 -046 046 1161 21052000 1144730 0978285 -002 7803 1000000 000 -043 105 -002 -045 045 1206 22052000 1127050 0984555 -002 7803 1000000 000 -043 105 -002 -045 045 1251 23052000 1137800 1009538 001 7803 1000000 000 -043 105 001 -042 042 1293 24052000 1105280 0971419 -003 7803 1000000 000 -043 105 -003 -046 046 1339 25052000 1079810 0976956 -002 7803 1000000 000 -043 105 -002 -045 045 1384 28052000 1096220 1015197 002 7803 1000000 000 -043 105 002 -041 041 1426 29052000 1120420 1022076 002 7803 1000000 000 -043 105 002 -041 041 1466 30052000 1094380 0976759 -002 7803 1000000 000 -043 105 -002 -045 045 1512 31052000 1091100 0997003 -000 7803 1000000 000 -043 105 -000 -043 043 1555 01062000 1084760 0994189 -001 7803 1000000 000 -043 105 -001 -044 044 1599 04062000 1055620 0973137 -003 7803 1000000 000 -043 105 -003 -046 046 1644 05062000 1053290 0997793 -000 7803 1000000 000 -043 105 -000 -043 043 1688 06062000 1033450 0981164 -002 7803 1000000 000 -043 105 -002 -045 045 1732 07062000 1019220 0986231 -001 7803 1000000 000 -043 105 -001 -044 044 1777

Page 148

Egyptian Financial and Industrial Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 11052000 1139120 3960 14052000 1161700 1019822 002 3905 0986111 -001 -126 086 002 -124 123 15052000 1179430 1015262 002 3975 1017926 002 -126 086 001 -125 126 249 16052000 1203490 1020400 002 3999 1006038 001 -126 086 002 -124 125 374 17052000 1207650 1003457 000 3921 0980495 -002 -126 086 000 -126 124 498 18052000 1170140 0968940 -003 3897 0993879 -001 -126 086 -003 -129 128 626 21052000 1144730 0978285 -002 3842 0985887 -001 -126 086 -002 -128 126 752 22052000 1127050 0984555 -002 3964 1031754 003 -126 086 -001 -127 130 882 23052000 1137800 1009538 001 4000 1009082 001 -126 086 001 -125 126 1008 24052000 1105280 0971419 -003 3860 0965000 -004 -126 086 -002 -128 125 1133 25052000 1079810 0976956 -002 3853 0998187 -000 -126 086 -002 -128 128 1261 28052000 1096220 1015197 002 4023 1044121 004 -126 086 001 -125 129 1390 29052000 1120420 1022076 002 4109 1021377 002 -126 086 002 -124 126 1516 30052000 1094380 0976759 -002 3911 0951813 -005 -126 086 -002 -128 123 1639 31052000 1091100 0997003 -000 3950 1009972 001 -126 086 -000 -126 127 1766 01062000 1084760 0994189 -001 3949 0999747 -000 -126 086 -001 -126 126 1892 04062000 1055620 0973137 -003 3810 0964801 -004 -126 086 -002 -128 125 2017 05062000 1053290 0997793 -000 4021 1055381 005 -126 086 -000 -126 131 2148 06062000 1033450 0981164 -002 3919 0974633 -003 -126 086 -002 -128 125 2273 07062000 1019220 0986231 -001 3846 0981373 -002 -126 086 -001 -127 125 2398 08062000 1015120 0995977 -000 4002 1040562 004 -126 086 -000 -126 130 2529

Page 149

11062000 989079 0974347 -003 4094 1022989 002 -126 086 -002 -128 130 2659 12062000 974139 0984895 -002 3890 0950171 -005 -126 086 -001 -127 122 2781 13062000 1001770 1028365 003 3922 1008226 001 -126 086 002 -123 124 2905 14062000 1001480 0999711 -000 3777 0963029 -004 -126 086 -000 -126 122 3028 18062000 975257 0973816 -003 3777 1000000 000 -126 086 -002 -128 128 3156 19062000 951281 0975416 -002 3528 0934075 -007 -126 086 -002 -128 121 3277 20062000 924905 0972273 -003 3362 0952948 -005 -126 086 -002 -128 123 3400 21062000 932278 1007972 001 3194 0950030 -005 -126 086 001 -125 120 3521 22062000 916437 0983008 -002 3035 0950219 -005 -126 086 -001 -127 122 3643 25062000 887397 0968312 -003 2885 0950577 -005 -126 086 -003 -129 124 3766 26062000 861150 0970422 -003 2753 0954246 -005 -126 086 -003 -128 124 3890 27062000 864892 1004345 000 2655 0964402 -004 -126 086 000 -126 122 4012 28062000 897903 1038168 004 2716 1022976 002 -126 086 003 -123 125 4137 29062000 899917 1002243 000 2850 1049337 005 -126 086 000 -126 131 4267 02072000 925746 1028702 003 2985 1047368 005 -126 086 002 -123 128 4396 03072000 925263 0999478 -000 2838 0950754 -005 -126 086 -000 -126 121 4516 04072000 901986 0974843 -003 2787 0982030 -002 -126 086 -002 -128 126 4643 05072000 931992 1033267 003 2883 1034446 003 -126 086 003 -123 126 4769 06072000 939109 1007636 001 2887 1001387 000 -126 086 001 -125 125 4895 09072000 954862 1016774 002 2750 0952546 -005 -126 086 001 -124 120 5014 10072000 952481 0997506 -000 2855 1038182 004 -126 086 -000 -126 130 5144

Page 150

Abu Keir For Fertilisers Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 13092000 820460 3114 14092000 811616 0989221 -001 3114 1000000 000 -094 047 -001 -095 095 17092000 800136 0985855 -001 3139 1008028 001 -094 047 -001 -095 096 191 18092000 785147 0981267 -002 3149 1003186 000 -094 047 -001 -095 096 287 19092000 781014 0994736 -001 3126 0992696 -001 -094 047 -000 -095 094 381 20092000 769681 0985489 -001 3128 1000640 000 -094 047 -001 -095 095 476 21092000 777843 1010604 001 3185 1018223 002 -094 047 001 -094 096 572 24092000 773441 0994341 -001 3109 0976138 -002 -094 047 -000 -095 092 664 25092000 776658 1004159 000 3114 1001608 000 -094 047 000 -094 094 759 26092000 769503 0990787 -001 3102 0996146 -000 -094 047 -000 -095 095 853 27092000 765212 0994424 -001 3178 1024500 002 -094 047 -000 -095 097 950 28092000 747666 0977070 -002 3143 0988987 -001 -094 047 -001 -096 094 1045 01102000 723766 0968034 -003 3031 0964365 -004 -094 047 -002 -096 092 1137 02102000 736337 1017369 002 3007 0992082 -001 -094 047 001 -094 093 1230 03102000 717831 0974867 -003 3000 0997672 -000 -094 047 -001 -096 095 1326 04102000 698780 0973460 -003 3007 1002333 000 -094 047 -001 -096 096 1422 08102000 673198 0963390 -004 2935 0976056 -002 -094 047 -002 -096 094 1515 09102000 669556 0994590 -001 2892 0985349 -001 -094 047 -000 -095 093 1609 10102000 652161 0974020 -003 2863 0989972 -001 -094 047 -001 -096 095 1703 11102000 629197 0964788 -004 2811 0981837 -002 -094 047 -002 -096 094 1798 12102000 607631 0965725 -003 2822 1003913 000 -094 047 -002 -096 097 1894

Page 151

15102000 619357 1019298 002 2948 1044649 004 -094 047 001 -094 098 1992 16102000 646053 1043103 004 3093 1049186 005 -094 047 002 -092 097 2090 17102000 668052 1034051 003 3183 1029098 003 -094 047 002 -093 096 2185 18102000 688105 1030017 003 3199 1005027 001 -094 047 001 -093 094 2279 19102000 688893 1001145 000 3186 0995936 -000 -094 047 000 -094 094 2373 22102000 719462 1044374 004 3196 1003139 000 -094 047 002 -092 093 2466 23102000 723338 1005387 001 3044 0952441 -005 -094 047 000 -094 089 2555 24102000 702403 0971058 -003 2929 0962221 -004 -094 047 -001 -096 092 2647 25102000 725191 1032443 003 2695 0920109 -008 -094 047 002 -093 085 2732 26102000 730437 1007234 001 2675 0992579 -001 -094 047 000 -094 093 2825 29102000 726703 0994888 -001 2713 1014206 001 -094 047 -000 -095 096 2921 30102000 714909 0983771 -002 2700 0995208 -000 -094 047 -001 -095 095 3016 31102000 733186 1025565 003 2734 1012593 001 -094 047 001 -093 095 3111 01112000 742977 1013354 001 2742 1002926 000 -094 047 001 -094 094 3205 02112000 747364 1005905 001 2749 1002553 000 -094 047 000 -094 094 3299 05112000 760243 1017233 002 2628 0955984 -005 -094 047 001 -094 089 3388 06112000 761956 1002253 000 2505 0953196 -005 -094 047 000 -094 090 3478 07112000 757468 0994110 -001 2630 1049900 005 -094 047 -000 -095 100 3578 08112000 762190 1006234 001 2749 1045247 004 -094 047 000 -094 099 3676 09112000 773445 1014767 001 2751 1000728 000 -094 047 001 -094 094 3770 12112000 807548 1044092 004 2835 1030534 003 -094 047 002 -092 095 3866

Page 152

Helwan Portland Cement Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 26032000 1243700 4298 27032000 1247010 1002661 000 4293 0998837 -000 -056 085 000 -056 056 28032000 1262200 1012181 001 4144 0965292 -004 -056 085 001 -055 052 108 29032000 1260000 0998257 -000 4132 0997104 -000 -056 085 -000 -057 056 164 30032000 1251400 0993175 -001 4187 1013311 001 -056 085 -001 -057 058 223 02042000 1252220 1000655 000 4076 0973489 -003 -056 085 000 -056 054 276 03042000 1259850 1006093 001 4217 1034593 003 -056 085 001 -056 059 336 04042000 1248840 0991261 -001 4201 0996206 -000 -056 085 -001 -057 057 392 05042000 1239300 0992361 -001 4165 0991431 -001 -056 085 -001 -057 056 449 09042000 1220080 0984491 -002 414 0993998 -001 -056 085 -001 -058 057 506 10042000 1180450 0967519 -003 4036 0974879 -003 -056 085 -003 -059 057 562 11042000 1181020 1000483 000 4142 1026264 003 -056 085 000 -056 059 621 12042000 1215120 1028873 003 422 1018831 002 -056 085 002 -054 056 677 13042000 1198730 0986512 -001 4198 0994787 -001 -056 085 -001 -058 057 734 16042000 1156640 0964888 -004 4095 0975465 -002 -056 085 -003 -059 057 791 17042000 1124800 0972472 -003 408 0996337 -000 -056 085 -002 -059 058 850 18042000 1128930 1003672 000 409 1002451 000 -056 085 000 -056 056 906 19042000 1119740 0991860 -001 4082 0998044 -000 -056 085 -001 -057 057 963 20042000 1083240 0967403 -003 4081 0999755 -000 -056 085 -003 -059 059 1022 23042000 1049820 0969148 -003 405 0992404 -001 -056 085 -003 -059 058 1081 24042000 1042840 0993351 -001 4185 1033333 003 -056 085 -001 -057 060 1141

Page 153

26042000 1011554 0969999 -003 4264 1018877 002 -056 085 -003 -059 061 1202 27042000 1119630 1106842 010 4246 0995779 -000 -056 085 009 -048 047 1249 02052000 1110810 0992122 -001 3692 0869524 -014 -056 085 -001 -057 043 1292 03052000 1081230 0973371 -003 3656 0990249 -001 -056 085 -002 -059 058 1350 04052000 1105850 1022770 002 3686 1008206 001 -056 085 002 -055 055 1405 07052000 1087730 0983614 -002 3718 1008681 001 -056 085 -001 -058 059 1464 08052000 1104760 1015656 002 3875 1042227 004 -056 085 001 -055 059 1523 09052000 1125200 1018502 002 4038 1042065 004 -056 085 002 -055 059 1582 10052000 1136130 1009714 001 3867 0957652 -004 -056 085 001 -056 051 1634 11052000 1139120 1002632 000 3805 0983967 -002 -056 085 000 -056 055 1688 14052000 1161700 1019822 002 3818 1003417 000 -056 085 002 -055 055 1743 15052000 1179430 1015262 002 3887 1018072 002 -056 085 001 -055 057 1800 16052000 1203490 1020400 002 3937 1012863 001 -056 085 002 -055 056 1856 17052000 1207650 1003457 000 3859 0980188 -002 -056 085 000 -056 054 1910 18052000 1170140 0968940 -003 3807 0986525 -001 -056 085 -003 -059 058 196821052000 1144730 0978285 -002 3805 0999475 -000 -056 085 -002 -058 058 2026 22052000 1127050 0984555 -002 3764 0989225 -001 -056 085 -001 -058 057 2083 23052000 1137800 1009538 001 3749 0996015 -000 -056 085 001 -056 055 2138 24052000 1105280 0971419 -003 3672 0979461 -002 -056 085 -002 -059 057 2195 25052000 1079810 0976956 -002 3633 0989379 -001 -056 085 -002 -058 057 2252 28052000 1096220 1015197 002 3623 0997247 -000 -056 085 001 -055 055 2307

Page 154

Torah Portland Cement Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 20082000 869132 4441 21082000 852890 0981312 -002 4335 0976132 -002 -006 107 -002 -008 006 22082000 836269 0980512 -002 4119 0950173 -005 -006 107 -002 -008 003 009 23082000 850672 1017223 002 4128 1002185 000 -006 107 002 -004 005 013 24082000 832698 0978871 -002 4115 0996851 -000 -006 107 -002 -008 008 021 27082000 836762 1004881 000 4161 1011179 001 -006 107 001 -006 007 028 28082000 832011 0994322 -001 4235 1017784 002 -006 107 -001 -007 008 037 29082000 822734 0988850 -001 4145 0978749 -002 -006 107 -001 -007 005 042 30082000 802537 0975451 -002 4156 1002654 000 -006 107 -003 -009 009 051 31082000 816798 1017770 002 4297 1033927 003 -006 107 002 -004 008 058 03092000 812893 0995219 -000 4344 1010938 001 -006 107 -001 -007 008 066 04092000 819306 1007889 001 4349 1001151 000 -006 107 001 -005 005 071 05092000 831599 1015004 001 4492 1032881 003 -006 107 002 -005 008 079 06092000 835104 1004215 000 4503 1002449 000 -006 107 000 -006 006 085 07092000 845660 1012640 001 4509 1001332 000 -006 107 001 -005 005 090 10092000 835500 0987986 -001 4309 0955644 -005 -006 107 -001 -007 003 093 11092000 823263 0985354 -001 4309 1000000 000 -006 107 -002 -008 008 101 12092000 837424 1017201 002 4325 1003713 000 -006 107 002 -004 005 105 13092000 820460 0979743 -002 4397 1016647 002 -006 107 -002 -008 010 115 14092000 811616 0989221 -001 4399 1000455 000 -006 107 -001 -007 007 122 17092000 800136 0985855 -001 4392 0998409 -000 -006 107 -002 -008 007 130

Page 155

18092000 785147 0981267 -002 4272 0972678 -003 -006 107 -002 -008 005 135 19092000 781014 0994736 -001 42 0983146 -002 -006 107 -001 -007 005 140 20092000 769681 0985489 -001 4166 0991905 -001 -006 107 -002 -008 007 147 21092000 777843 1010604 001 36 0864138 -015 -006 107 001 -005 -010 138 24092000 773441 0994341 -001 3569 0991389 -001 -006 107 -001 -007 006 143 25092000 776658 1004159 000 3625 1015691 002 -006 107 000 -006 007 151 26092000 769503 0990787 -001 3559 0981793 -002 -006 107 -001 -007 005 156 27092000 765212 0994424 -001 3467 0974150 -003 -006 107 -001 -007 004 160 28092000 747666 0977070 -002 345 0995097 -000 -006 107 -002 -009 008 168 01102000 723766 0968034 -003 345 1000000 000 -006 107 -003 -010 010 178 02102000 736337 1017369 002 3432 0994783 -001 -006 107 002 -004 004 181 03102000 717831 0974867 -003 3305 0962995 -004 -006 107 -003 -009 005 186 04102000 698780 0973460 -003 3449 1043570 004 -006 107 -003 -009 013 200 08102000 673198 0963390 -004 3449 1000000 000 -006 107 -004 -010 010 210 09102000 669556 0994590 -001 3354 0972456 -003 -006 107 -001 -007 004 214 10102000 652161 0974020 -003 3302 0984496 -002 -006 107 -003 -009 007 221 11102000 629197 0964788 -004 335 1014537 001 -006 107 -004 -010 011 232 12102000 607631 0965725 -003 3297 0984179 -002 -006 107 -004 -010 008 241 15102000 619357 1019298 002 3256 0987564 -001 -006 107 002 -004 003 244 16102000 646053 1043103 004 3248 0997543 -000 -006 107 005 -002 001 245 17102000 668052 1034051 003 3228 0993842 -001 -006 107 004 -003 002 247

Page 156

Nasr City for Housing and Development Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 21092000 777843 2026 -115 075 24092000 773441 0994341 -001 1999 0986673 -001 -115 075 -000 -115 114 25092000 776658 1004159 000 2080 1040520 004 -115 075 000 -115 119 233 26092000 769503 0990787 -001 2183 1049519 005 -115 075 -001 -116 120 353 27092000 765212 0994424 -001 2092 0958314 -004 -115 075 -000 -115 111 464 28092000 747666 0977070 -002 1996 0954111 -005 -115 075 -002 -117 112 576 01102000 723766 0968034 -003 1975 0989479 -001 -115 075 -002 -117 116 692 02102000 736337 1017369 002 1927 0975696 -002 -115 075 001 -114 111 804 03102000 717831 0974867 -003 1856 0963155 -004 -115 075 -002 -117 113 917 04102000 698780 0973460 -003 1888 1017241 002 -115 075 -002 -117 119 1035 08102000 673198 0963390 -004 1825 0966631 -003 -115 075 -003 -118 114 1150 09102000 669556 0994590 -001 1761 0964932 -004 -115 075 -000 -115 112 1261 10102000 652161 0974020 -003 1674 0950596 -005 -115 075 -002 -117 112 1373 11102000 629197 0964788 -004 1604 0958184 -004 -115 075 -003 -118 113 1486 12102000 607631 0965725 -003 1527 0951995 -005 -115 075 -003 -118 113 1599 15102000 619357 1019298 002 1597 1045842 004 -115 075 001 -113 118 1717 16102000 646053 1043103 004 1676 1049468 005 -115 075 003 -112 117 1834 17102000 668052 1034051 003 1758 1048926 005 -115 075 003 -112 117 1951 18102000 688105 1030017 003 1839 1046075 005 -115 075 002 -113 117 2068 19102000 688893 1001145 000 1906 1036433 004 -115 075 000 -115 118 2186 22102000 719462 1044374 004 2000 1049318 005 -115 075 003 -112 116 2303

Page 157

23102000 723338 1005387 001 1926 0963000 -004 -115 075 000 -115 111 2414 24102000 702403 0971058 -003 1830 0950156 -005 -115 075 -002 -117 112 2526 25102000 725191 1032443 003 1535 0838798 -018 -115 075 002 -113 095 2621 26102000 730437 1007234 001 1610 1048860 005 -115 075 001 -114 119 2740 29102000 726703 0994888 -001 1690 1049689 005 -115 075 -000 -115 120 2860 30102000 714909 0983771 -002 1774 1049704 005 -115 075 -001 -116 121 2981 31102000 733186 1025565 003 1855 1045660 004 -115 075 002 -113 118 3099 01112000 742977 1013354 001 1934 1042588 004 -115 075 001 -114 118 3217 02112000 747364 1005905 001 1982 1024819 002 -115 075 000 -114 117 3334 05112000 760243 1017233 002 2080 1049445 005 -115 075 001 -114 118 3452 06112000 761956 1002253 000 2176 1046154 005 -115 075 000 -115 119 3571 07112000 757468 0994110 -001 2278 1046875 005 -115 075 -000 -115 120 3691 08112000 762190 1006234 001 2381 1045215 004 -115 075 000 -114 119 3810 09112000 773445 1014767 001 2498 1049139 005 -115 075 001 -114 119 3929 12112000 807548 1044092 004 2617 1047638 005 -115 075 003 -112 116 4045 13112000 828930 1026478 003 2747 1049675 005 -115 075 002 -113 118 4163 14112000 817709 0986463 -001 2674 0973426 -003 -115 075 -001 -116 113 4276 15112000 845954 1034542 003 2689 1005610 001 -115 075 003 -112 113 4389 16112000 872700 1031616 003 2810 1044998 004 -115 075 002 -113 117 4506 19112000 845917 0969310 -003 2678 0953025 -005 -115 075 -002 -117 112 4619 20112000 838561 0991304 -001 2545 0950336 -005 -115 075 -001 -116 110 4729

Page 158

Paints and Chemical Industries (PACHIN) Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 04102000 698780 2750 08102000 673198 0963390 -004 2690 0978182 -002 -071 078 -003 -074 072 09102000 669556 0994590 -001 2700 1003717 000 -071 078 -000 -071 072 143 10102000 652161 0974020 -003 2647 0980370 -002 -071 078 -002 -073 071 214 11102000 629197 0964788 -004 2515 0950132 -005 -071 078 -003 -074 069 283 12102000 607631 0965725 -003 2390 0950298 -005 -071 078 -003 -074 069 351 15102000 619357 1019298 002 2481 1038075 004 -071 078 001 -069 073 425 16102000 646053 1043103 004 2489 1003225 000 -071 078 003 -068 068 493 17102000 668052 1034051 003 2483 0997589 -000 -071 078 003 -068 068 561 18102000 688105 1030017 003 2402 0967378 -003 -071 078 002 -069 065 626 19102000 688893 1001145 000 2301 0957952 -004 -071 078 000 -071 067 693 22102000 719462 1044374 004 2414 1049109 005 -071 078 003 -068 072 765 23102000 723338 1005387 001 2305 0954847 -005 -071 078 000 -071 066 831 24102000 702403 0971058 -003 2197 0953145 -005 -071 078 -002 -073 068 899 25102000 725191 1032443 003 2303 1048248 005 -071 078 002 -068 073 972 26102000 730437 1007234 001 2417 1049501 005 -071 078 001 -070 075 1048 29102000 726703 0994888 -001 2519 1042201 004 -071 078 -000 -071 075 1123 30102000 714909 0983771 -002 2396 0951171 -005 -071 078 -001 -072 067 1190 31102000 733186 1025565 003 2428 1013356 001 -071 078 002 -069 070 1261 01112000 742977 1013354 001 2346 0966227 -003 -071 078 001 -070 066 1327 02112000 747364 1005905 001 2304 0982097 -002 -071 078 000 -070 069 1396

Page 159

05112000 760243 1017233 002 2412 1046875 005 -071 078 001 -070 074 1470 06112000 761956 1002253 000 2416 1001658 000 -071 078 000 -071 071 1541 07112000 757468 0994110 -001 2315 0958195 -004 -071 078 -000 -071 067 1608 08112000 762190 1006234 001 2301 0993952 -001 -071 078 000 -070 070 1678 09112000 773445 1014767 001 2303 1000869 000 -071 078 001 -070 070 1748 12112000 807548 1044092 004 2412 1047330 005 -071 078 003 -068 072 1820 13112000 828930 1026478 003 2399 0994610 -001 -071 078 002 -069 068 1888 14112000 817709 0986463 -001 2296 0957065 -004 -071 078 -001 -072 068 1956 15112000 845954 1034542 003 2395 1043118 004 -071 078 003 -068 073 2029 16112000 872700 1031616 003 2453 1024217 002 -071 078 002 -069 071 2099 19112000 845917 0969310 -003 2396 0976763 -002 -071 078 -002 -073 071 2170 20112000 838561 0991304 -001 2322 0969115 -003 -071 078 -001 -072 068 2239 21112000 800223 0954281 -005 2255 0971146 -003 -071 078 -004 -075 072 2311 22112000 778413 0972745 -003 2361 1047007 005 -071 078 -002 -073 078 2388 23112000 799245 1026762 003 2340 0991105 -001 -071 078 002 -069 068 2456 26112000 823981 1030949 003 2353 1005556 001 -071 078 002 -069 069 2525 27112000 816509 0990932 -001 2310 0981725 -002 -071 078 -001 -072 070 2595 28112000 793731 0972103 -003 2210 0956710 -004 -071 078 -002 -073 069 2664 29112000 790196 0995546 -000 2253 1019457 002 -071 078 -000 -071 073 2737 30112000 796977 1008581 001 2299 1020417 002 -071 078 001 -070 072 2809 03122000 772668 0969498 -003 2299 1000000 000 -071 078 -002 -073 073 2883

Page 160

Upper Egypt Flour Mills Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 21092000 777843 2130 24092000 773441 0994341 -001 2073 0973239 -003 -075 087 -000 -076 073 25092000 776658 1004159 000 2056 0991799 -001 -075 087 000 -075 074 147 26092000 769503 0990787 -001 2051 0997568 -000 -075 087 -001 -076 076 223 27092000 765212 0994424 -001 2064 1006338 001 -075 087 -000 -076 076 299 28092000 747666 0977070 -002 2019 0978198 -002 -075 087 -002 -077 075 374 01102000 723766 0968034 -003 1995 0988113 -001 -075 087 -003 -078 077 451 02102000 736337 1017369 002 2055 1030075 003 -075 087 001 -074 077 528 03102000 717831 0974867 -003 2023 0984428 -002 -075 087 -002 -077 076 603 04102000 698780 0973460 -003 2010 0993574 -001 -075 087 -002 -078 077 680 08102000 673198 0963390 -004 2010 1000000 000 -075 087 -003 -078 078 759 09102000 669556 0994590 -001 1973 0981592 -002 -075 087 -000 -076 074 833 10102000 652161 0974020 -003 1909 0967562 -003 -075 087 -002 -077 074 907 11102000 629197 0964788 -004 1871 0980094 -002 -075 087 -003 -078 076 983 12102000 607631 0965725 -003 1850 0988776 -001 -075 087 -003 -078 077 1060 15102000 619357 1019298 002 1851 1000541 000 -075 087 002 -074 074 1134 16102000 646053 1043103 004 1942 1049163 005 -075 087 004 -072 076 1210 17102000 668052 1034051 003 2039 1049949 005 -075 087 003 -072 077 1287 18102000 688105 1030017 003 2126 1042668 004 -075 087 003 -073 077 1364 19102000 688893 1001145 000 2179 1024929 002 -075 087 000 -075 078 1442 22102000 719462 1044374 004 2118 0972006 -003 -075 087 004 -071 069 1510

Page 161

23102000 723338 1005387 001 2222 1049103 005 -075 087 000 -075 080 1590 24102000 702403 0971058 -003 2187 0984248 -002 -075 087 -003 -078 076 1666 25102000 725191 1032443 003 2142 0979424 -002 -075 087 003 -072 070 1736 26102000 730437 1007234 001 2160 1008403 001 -075 087 001 -075 075 1812 29102000 726703 0994888 -001 2190 1013889 001 -075 087 -000 -076 077 1889 30102000 714909 0983771 -002 2178 0994521 -001 -075 087 -001 -077 076 1965 31102000 733186 1025565 003 1774 0814509 -021 -075 087 002 -073 052 2017 01112000 742977 1013354 001 1826 1029312 003 -075 087 001 -074 077 2094 02112000 747364 1005905 001 1776 0972618 -003 -075 087 001 -075 072 2166 05112000 760243 1017233 002 1822 1025901 003 -075 087 001 -074 076 2242 06112000 761956 1002253 000 1840 1009879 001 -075 087 000 -075 076 2318 07112000 757468 0994110 -001 1790 0972826 -003 -075 087 -001 -076 073 2391 08112000 762190 1006234 001 1777 0992737 -001 -075 087 001 -075 074 2465 09112000 773445 1014767 001 1811 1019133 002 -075 087 001 -074 076 2541 12112000 807548 1044092 004 1815 1002209 000 -075 087 004 -071 072 2613 13112000 828930 1026478 003 1838 1012672 001 -075 087 002 -073 074 2687 14112000 817709 0986463 -001 1803 0980958 -002 -075 087 -001 -076 074 2761 15112000 845954 1034542 003 1788 0991681 -001 -075 087 003 -072 071 2833 16112000 872700 1031616 003 1807 1010626 001 -075 087 003 -072 074 2906 19112000 845917 0969310 -003 1799 0995573 -000 -075 087 -003 -078 077 2984 20112000 838561 0991304 -001 1766 0981656 -002 -075 087 -001 -076 074 3058

Page 162

Commercial International Bank (CIB) Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 11032001 675900 3598 12032001 668606 0989208 -001 3600 1000556 000 -006 145 -002 -008 008 14032001 643440 0962360 -004 3514 0976111 -002 -006 145 -006 -012 009 017 15032001 634936 0986784 -001 3520 1001707 000 -006 145 -002 -008 008 025 18032001 628225 0989430 -001 3455 0981534 -002 -006 145 -002 -008 006 031 19032001 624649 0994308 -001 3350 0969609 -003 -006 145 -001 -007 004 035 20032001 641923 1027654 003 3355 1001493 000 -006 145 004 -002 002 037 21032001 627624 0977725 -002 3412 1016990 002 -006 145 -003 -009 011 048 22032001 616127 0981682 -002 3428 1004689 000 -006 145 -003 -009 009 058 25032001 624609 1013767 001 3399 0991540 -001 -006 145 002 -004 003 061 27032001 619112 0991199 -001 3403 1001177 000 -006 145 -001 -007 008 069 28032001 606407 0979479 -002 3402 0999706 -000 -006 145 -003 -009 009 078 29032001 591655 0975673 -002 3399 0999118 -000 -006 145 -004 -010 010 087 01042001 574960 0971783 -003 3350 0985584 -001 -006 145 -004 -010 009 096 02042001 580434 1009521 001 3277 0978209 -002 -006 145 001 -005 003 099 03042001 595163 1025376 003 3304 1008239 001 -006 145 004 -002 003 102 04042001 604910 1016377 002 3406 1030872 003 -006 145 002 -004 007 109 05042001 601771 0994811 -001 3414 1002349 000 -006 145 -001 -007 007 116 08042001 613483 1019463 002 3389 0992677 -001 -006 145 003 -003 003 119 09042001 615266 1002906 000 3415 1007672 001 -006 145 000 -006 006 125 10042001 609238 0990203 -001 3459 1012884 001 -006 145 -001 -008 009 134

Page 163

11042001 628748 1032024 003 3466 1002024 000 -006 145 005 -002 002 136 12042001 629302 1000881 000 3617 1043566 004 -006 145 000 -006 010 146 17042001 609225 0968096 -003 3644 1007465 001 -006 145 -005 -011 012 157 18042001 597402 0980593 -002 3541 0971734 -003 -006 145 -003 -009 006 164 19042001 610423 1021796 002 3494 0986727 -001 -006 145 003 -003 002 165 22042001 615551 1008401 001 3596 1029193 003 -006 145 001 -005 008 173 23042001 626452 1017709 002 3650 1015017 001 -006 145 003 -004 005 178 24042001 624156 0996335 -000 3686 1009863 001 -006 145 -001 -007 008 186 26042001 617783 0989789 -001 3705 1005155 001 -006 145 -001 -008 008 194 29042001 612699 0991771 -001 3773 1018354 002 -006 145 -001 -007 009 203 30042001 612714 1000024 000 3771 0999470 -000 -006 145 000 -006 006 209 02052001 627421 1024003 002 3739 0991514 -001 -006 145 003 -003 002 211 03052001 634110 1010661 001 3454 0923776 -008 -006 145 002 -005 -003 208 06052001 636990 1004542 000 3457 1000869 000 -006 145 001 -005 006 213 07052001 649636 1019853 002 3414 0987561 -001 -006 145 003 -003 002 215 08052001 652206 1003956 000 3456 1012302 001 -006 145 001 -006 007 222 09052001 642720 0985456 -001 3502 1013310 001 -006 145 -002 -008 010 232 10052001 648901 1009617 001 3494 0997716 -000 -006 145 001 -005 005 236 13052001 666997 1027887 003 3516 1006297 001 -006 145 004 -002 003 239 14052001 664617 0996432 -000 3558 1011945 001 -006 145 -001 -007 008 247 15052001 656225 0987373 -001 3542 0995503 -000 -006 145 -002 -008 008 254

Page 164

Misr International Bank (MIBANK) Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 26022001 655096 3038 27022001 675048 1030457 003 3043 1001844 000 -036 127 004 -032 032 28022001 667608 0988979 -001 2962 0973186 -003 -036 127 -001 -037 034 066 01032001 672488 1007310 001 2973 1003782 000 -036 127 001 -035 035 101 07032001 691184 1027801 003 3058 1028525 003 -036 127 003 -032 035 136 08032001 687929 0995291 -000 3013 0985348 -001 -036 127 -001 -036 035 171 11032001 675900 0982514 -002 2906 0964684 -004 -036 127 -002 -038 034 205 12032001 668606 0989208 -001 2834 0974952 -003 -036 127 -001 -037 034 239 14032001 643440 0962360 -004 2811 0992095 -001 -036 127 -005 -040 040 279 15032001 634936 0986784 -001 2813 1000569 000 -036 127 -002 -037 037 316 18032001 628225 0989430 -001 2799 0995165 -000 -036 127 -001 -037 036 352 19032001 624649 0994308 -001 2670 0953701 -005 -036 127 -001 -036 031 384 20032001 641923 1027654 003 2688 1006892 001 -036 127 003 -032 033 416 21032001 627624 0977725 -002 2726 1013988 001 -036 127 -003 -038 040 456 22032001 616127 0981682 -002 2736 1003816 000 -036 127 -002 -038 038 494 25032001 624609 1013767 001 2725 0995906 -000 -036 127 002 -034 033 528 27032001 619112 0991199 -001 2800 1027598 003 -036 127 -001 -037 039 567 28032001 606407 0979479 -002 2774 0990857 -001 -036 127 -003 -038 037 604 29032001 591655 0975673 -002 2791 1006055 001 -036 127 -003 -039 039 644 01042001 574960 0971783 -003 2799 1002866 000 -036 127 -004 -039 039 683 02042001 580434 1009521 001 2730 0975136 -003 -036 127 001 -034 032 715

Page 165

03042001 595163 1025376 003 2738 1003224 000 -036 127 003 -032 033 748 04042001 604910 1016377 002 2870 1047911 005 -036 127 002 -033 038 786 05042001 601771 0994811 -001 2900 1010594 001 -036 127 -001 -036 037 823 08042001 613483 1019463 002 2834 0977379 -002 -036 127 002 -033 031 854 09042001 615266 1002906 000 2862 1009596 001 -036 127 000 -035 036 890 10042001 609238 0990203 -001 2888 1009226 001 -036 127 -001 -037 038 927 11042001 628748 1032024 003 2863 0991413 -001 -036 127 004 -032 031 958 12042001 629302 1000881 000 3005 1049455 005 -036 127 000 -035 040 998 17042001 609225 0968096 -003 3013 1002662 000 -036 127 -004 -040 040 1038 18042001 597402 0980593 -002 2966 0984334 -002 -036 127 -002 -038 036 1075 19042001 610423 1021796 002 2890 0974373 -003 -036 127 003 -033 030 1105 22042001 615551 1008401 001 2938 1016888 002 -036 127 001 -034 036 1141 23042001 626452 1017709 002 2807 0955350 -005 -036 127 002 -033 029 117024042001 624156 0996335 -000 2911 1037048 004 -036 127 -000 -036 040 1209 26042001 617783 0989789 -001 2973 1021160 002 -036 127 -001 -037 039 1248 29042001 612699 0991771 -001 2914 0980086 -002 -036 127 -001 -037 035 1283 30042001 612714 1000024 000 2822 0968699 -003 -036 127 000 -036 032 1315 02052001 627421 1024003 002 2801 0992347 -001 -036 127 003 -032 032 1347 03052001 634110 1010661 001 2886 1030277 003 -036 127 001 -034 037 1384 06052001 636990 1004542 000 2890 1001663 000 -036 127 001 -035 035 1419 07052001 649636 1019853 002 2909 1006366 001 -036 127 002 -033 034 1453

Page 166

Ameryah Cement Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative

rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return

08022001 747680 2900 11022001 733914 0981588 -002 2761 0952069 -005 -043 105 -002 -045 040 12022001 733028 0998793 -000 2743 0993481 -001 -043 105 -000 -043 042 082 13022001 726574 0991195 -001 2743 1000000 000 -043 105 -001 -044 044 126 14022001 726733 1000219 000 2867 1045206 004 -043 105 000 -043 047 174 15022001 716466 0985872 -001 2825 0985351 -001 -043 105 -001 -044 043 217 18022001 703762 0982269 -002 2949 1043894 004 -043 105 -002 -045 049 266 19022001 704431 1000951 000 2850 0966429 -003 -043 105 000 -043 039 305 20022001 720800 1023237 002 2870 1007018 001 -043 105 002 -041 041 347 22022001 696200 0965871 -003 2900 1010453 001 -043 105 -004 -047 048 394 25022001 670991 0963791 -004 2900 1000000 000 -043 105 -004 -047 047 441 26022001 655096 0976311 -002 2900 1000000 000 -043 105 -003 -045 045 486 27022001 675048 1030457 003 2900 1000000 000 -043 105 003 -040 040 526 28022001 667608 0988979 -001 3025 1043103 004 -043 105 -001 -044 048 575 01032001 672488 1007310 001 2995 0990083 -001 -043 105 001 -042 041 616 07032001 691184 1027801 003 3003 1002671 000 -043 105 003 -040 040 656 08032001 687929 0995291 -000 2907 0968032 -003 -043 105 -000 -043 040 696 11032001 675900 0982514 -002 3001 1032336 003 -043 105 -002 -045 048 744 12032001 668606 0989208 -001 3011 1003332 000 -043 105 -001 -044 044 789 14032001 643440 0962360 -004 3161 1049817 005 -043 105 -004 -047 052 841 15032001 634936 0986784 -001 3315 1048719 005 -043 105 -001 -044 049 890 18032001 628225 0989430 -001 3263 0984314 -002 -043 105 -001 -044 042 932 19032001 624649 0994308 -001 3263 1000000 000 -043 105 -001 -044 044 976 20032001 641923 1027654 003 2525 0773828 -026 -043 105 003 -040 014 990

Page 167

21032001 627624 0977725 -002 2452 0971089 -003 -043 105 -002 -045 042 1033 22032001 616127 0981682 -002 2500 1019576 002 -043 105 -002 -045 047 1080 25032001 624609 1013767 001 2500 1000000 000 -043 105 001 -042 042 1121 27032001 619112 0991199 -001 2516 1006400 001 -043 105 -001 -044 045 1166 28032001 606407 0979479 -002 2516 1000000 000 -043 105 -002 -045 045 1211 29032001 591655 0975673 -002 2527 1004372 000 -043 105 -003 -046 046 1257 01042001 574960 0971783 -003 2441 0965968 -003 -043 105 -003 -046 043 1299 02042001 580434 1009521 001 2415 0989349 -001 -043 105 001 -042 041 1340 03042001 595163 1025376 003 2415 1000000 000 -043 105 003 -040 040 1380 04042001 604910 1016377 002 2409 0997516 -000 -043 105 002 -041 041 1421 05042001 601771 0994811 -001 2415 1002491 000 -043 105 -001 -044 044 1465 08042001 613483 1019463 002 2481 1027329 003 -043 105 002 -041 044 1509 09042001 615266 1002906 000 2500 1007658 001 -043 105 000 -043 043 1552 10042001 609238 0990203 -001 2417 0966800 -003 -043 105 -001 -044 041 1593 11042001 628748 1032024 003 2500 1034340 003 -043 105 003 -040 043 1636 12042001 629302 1000881 000 2467 0986800 -001 -043 105 000 -043 042 1677 17042001 609225 0968096 -003 2467 1000000 000 -043 105 -003 -046 046 1724 18042001 597402 0980593 -002 2467 1000000 000 -043 105 -002 -045 045 1769

Page 168

Torah Portland Cement Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 15022001 716466 3234 -006 107 18022001 703762 0982269 -002 3174 0981447 -002 -006 107 -002 -008 006 19022001 704431 1000951 000 3160 0995589 -000 -006 107 000 -006 006 012 20022001 720800 1023237 002 3287 1040190 004 -006 107 002 -004 008 019 22022001 696200 0965871 -003 3199 0973228 -003 -006 107 -004 -010 007 026 25022001 670991 0963791 -004 3196 0999062 -000 -006 107 -004 -010 010 036 26022001 655096 0976311 -002 3156 0987484 -001 -006 107 -003 -009 007 044 27022001 675048 1030457 003 3127 0990811 -001 -006 107 003 -003 002 046 28022001 667608 0988979 -001 3190 1020147 002 -006 107 -001 -007 009 055 01032001 672488 1007310 001 3192 1000627 000 -006 107 001 -005 005 060 07032001 691184 1027801 003 3166 0991855 -001 -006 107 003 -003 002 063 08032001 687929 0995291 -000 3166 1000000 000 -006 107 -001 -007 007 069 11032001 675900 0982514 -002 3166 1000000 000 -006 107 -002 -008 008 077 12032001 668606 0989208 -001 3166 1000000 000 -006 107 -001 -007 007 085 14032001 643440 0962360 -004 3148 0994315 -001 -006 107 -004 -010 010 094 15032001 634936 0986784 -001 3112 0988564 -001 -006 107 -001 -008 006 101 18032001 628225 0989430 -001 3096 0994859 -001 -006 107 -001 -007 007 107 19032001 624649 0994308 -001 3054 0986434 -001 -006 107 -001 -007 005 113 20032001 641923 1027654 003 3000 0982318 -002 -006 107 003 -003 001 114 21032001 627624 0977725 -002 3000 1000000 000 -006 107 -002 -009 009 123 22032001 616127 0981682 -002 2912 0970667 -003 -006 107 -002 -008 005 128

Page 169

25032001 624609 1013767 001 2890 0992445 -001 -006 107 001 -005 004 132 27032001 619112 0991199 -001 3031 1048789 005 -006 107 -001 -007 012 144 28032001 606407 0979479 -002 3021 0996701 -000 -006 107 -002 -008 008 152 29032001 591655 0975673 -002 2999 0992718 -001 -006 107 -003 -009 008 160 01042001 574960 0971783 -003 3000 1000333 000 -006 107 -003 -009 009 169 02042001 580434 1009521 001 2967 0989000 -001 -006 107 001 -005 004 173 03042001 595163 1025376 003 2967 1000000 000 -006 107 003 -003 003 176 04042001 604910 1016377 002 2906 0979441 -002 -006 107 002 -004 002 179 05042001 601771 0994811 -001 2884 0992429 -001 -006 107 -001 -007 006 184 08042001 613483 1019463 002 2735 0948336 -005 -006 107 002 -004 -001 183 09042001 615266 1002906 000 2607 0953199 -005 -006 107 000 -006 001 184 10042001 609238 0990203 -001 2600 0997315 -000 -006 107 -001 -007 007 191 11042001 628748 1032024 003 2600 1000000 000 -006 107 003 -003 003 194 12042001 629302 1000881 000 2657 1021923 002 -006 107 000 -006 008 202 17042001 609225 0968096 -003 2590 0974784 -003 -006 107 -003 -010 007 209 18042001 597402 0980593 -002 2638 1018533 002 -006 107 -002 -008 010 219 19042001 610423 1021796 002 2696 1021986 002 -006 107 002 -004 006 225 22042001 615551 1008401 001 2613 0969214 -003 -006 107 001 -005 002 227 23042001 626452 1017709 002 2673 1022962 002 -006 107 002 -004 007 234 24042001 624156 0996335 -000 2567 0960344 -004 -006 107 -000 -007 002 236 26042001 617783 0989789 -001 2567 1000000 000 -006 107 -001 -007 007 243

Page 170

Nasr City for Housing and Development Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 27092001 561925 2109 30092001 564278 1004187 000 2104 0997629 -000 -115 075 000 -115 114 01102001 568252 1007043 001 2118 1006654 001 -115 075 001 -114 115 229 02102001 555684 0977883 -002 2075 0979698 -002 -115 075 -002 -117 115 344 03102001 549459 0988798 -001 2080 1002410 000 -115 075 -001 -116 116 460 04102001 544680 0991302 -001 2034 0977885 -002 -115 075 -001 -116 113 573 07102001 544675 0999991 -000 2050 1007866 001 -115 075 -000 -115 116 689 08102001 543049 0997015 -000 2046 0998049 -000 -115 075 -000 -115 115 804 09102001 545728 1004933 000 2106 1029326 003 -115 075 000 -115 117 921 10102001 549824 1007506 001 2055 0975783 -002 -115 075 001 -114 112 1033 11102001 554529 1008557 001 2051 0998054 -000 -115 075 001 -114 114 1147 14102001 563161 1015566 002 2111 1029254 003 -115 075 001 -114 117 1264 15102001 563789 1001115 000 2084 0987210 -001 -115 075 000 -115 114 1378 16102001 560209 0993650 -001 2104 1009597 001 -115 075 -000 -115 116 1494 17102001 573477 1023684 002 2113 1004278 000 -115 075 002 -113 114 1608 18102001 579797 1011020 001 2142 1013725 001 -115 075 001 -114 115 1723 21102001 583382 1006183 001 2129 0993931 -001 -115 075 000 -114 114 1837 22102001 585868 1004261 000 2095 0984030 -002 -115 075 000 -115 113 1950 23102001 584346 0997402 -000 2084 0994749 -001 -115 075 -000 -115 115 2064 24102001 580869 0994050 -001 2065 0990883 -001 -115 075 -000 -115 114 2179 25102001 571335 0983587 -002 2070 1002421 000 -115 075 -001 -116 116 2295

Page 171

28102001 560295 0980677 -002 2047 0988889 -001 -115 075 -001 -116 115 2411 29102001 558792 0997317 -000 2026 0989741 -001 -115 075 -000 -115 114 2525 30102001 563118 1007742 001 2025 0999506 -000 -115 075 001 -114 114 2639 31102001 557753 0990473 -001 2001 0988148 -001 -115 075 -001 -116 114 2753 01112001 554861 0994815 -001 2036 1017491 002 -115 075 -000 -115 117 2870 04112001 562024 1012910 001 2064 1013752 001 -115 075 001 -114 115 2986 05112001 565106 1005484 001 2100 1017442 002 -115 075 000 -115 116 3102 06112001 564130 0998273 -000 2091 0995714 -000 -115 075 -000 -115 115 3217 07112001 558639 0990266 -001 2051 0980870 -002 -115 075 -001 -116 114 3330 08112001 558192 0999200 -000 2050 0999512 -000 -115 075 -000 -115 115 3445 11112001 556063 0996186 -000 1958 0955122 -005 -115 075 -000 -115 111 3556 12112001 552223 0993094 -001 1895 0967824 -003 -115 075 -001 -115 112 3668 13112001 546427 0989504 -001 1896 1000528 000 -115 075 -001 -116 116 3784 14112001 541547 0991069 -001 1835 0967827 -003 -115 075 -001 -116 112 3896 15112001 533398 0984952 -002 1751 0954223 -005 -115 075 -001 -116 111 4008 18112001 524993 0984243 -002 1753 1001142 000 -115 075 -001 -116 116 4124 19112001 523018 0996238 -000 1783 1017114 002 -115 075 -000 -115 117 4241 20112001 520627 0995428 -000 1770 0992709 -001 -115 075 -000 -115 115 4355 21112001 510062 0979707 -002 1784 1007910 001 -115 075 -002 -116 117 4472 22112001 508562 0997059 -000 1792 1004484 000 -115 075 -000 -115 116 4588 25112001 508087 0999066 -000 1783 0994978 -001 -115 075 -000 -115 114 4703

Page 172

Suez Cement Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 16052001 655120 3535 17052001 659723 1007026 001 3554 1005375 001 -020 126 001 -019 019 20052001 656059 0994446 -001 3456 0972425 -003 -020 126 -001 -020 017 037 21052001 651237 0992650 -001 3462 1001736 000 -020 126 -001 -020 021 057 22052001 655995 1007306 001 3531 1019931 002 -020 126 001 -019 021 078 23052001 656965 1001479 000 3532 1000283 000 -020 126 000 -019 019 097 24052001 665419 1012868 001 3595 1017837 002 -020 126 002 -018 020 117 27052001 670868 1008189 001 3676 1022531 002 -020 126 001 -018 021 138 28052001 678608 1011537 001 3670 0998368 -000 -020 126 001 -018 018 155 29052001 668826 0985585 -001 3630 0989101 -001 -020 126 -002 -021 020 176 30052001 662111 0989960 -001 3617 0996419 -000 -020 126 -001 -021 020 196 31052001 653740 0987357 -001 3660 1011888 001 -020 126 -002 -021 022 218 03062001 634276 0970227 -003 3576 0977049 -002 -020 126 -004 -023 021 239 05062001 627793 0989779 -001 3596 1005593 001 -020 126 -001 -021 021 261 06062001 623888 0993780 -001 3568 0992214 -001 -020 126 -001 -020 020 280 07062001 629223 1008551 001 3582 1003924 000 -020 126 001 -018 019 299 10062001 632250 1004811 000 3761 1049972 005 -020 126 001 -019 024 323 11062001 629970 0996394 -000 3891 1034565 003 -020 126 -000 -020 023 346 12062001 632227 1003583 000 3789 0973786 -003 -020 126 000 -019 016 363 13062001 628592 0994250 -001 3814 1006598 001 -020 126 -001 -020 021 384 14062001 630035 1002296 000 3889 1019664 002 -020 126 000 -019 021 405

Page 173

17062001 621647 0986686 -001 3692 0949344 -005 -020 126 -002 -021 016 421 18062001 620202 0997676 -000 3671 0994312 -001 -020 126 -000 -020 019 440 19062001 610903 0985006 -002 3596 0979570 -002 -020 126 -002 -021 019 459 20062001 607444 0994338 -001 3627 1008621 001 -020 126 -001 -020 021 481 21062001 613967 1010738 001 3661 1009374 001 -020 126 001 -018 019 500 24062001 609920 0993408 -001 3672 1003005 000 -020 126 -001 -020 021 520 25062001 608366 0997452 -000 3694 1005991 001 -020 126 -000 -020 020 541 26062001 600648 0987314 -001 3610 0977260 -002 -020 126 -002 -021 019 560 27062001 593325 0987808 -001 3595 0995845 -000 -020 126 -002 -021 021 580 28062001 596953 1006115 001 3590 0998609 -000 -020 126 001 -019 019 599 02072001 609759 1021452 002 3627 1010306 001 -020 126 003 -017 018 617 03072001 619411 1015829 002 3611 0995589 -000 -020 126 002 -018 017 634 04072001 623719 1006955 001 3584 0992523 -001 -020 126 001 -019 018 652 05072001 620332 0994570 -001 3604 1005580 001 -020 126 -001 -020 021 672 08072001 622701 1003819 000 3641 1010266 001 -020 126 000 -019 020 692 09072001 624279 1002534 000 3654 1003570 000 -020 126 000 -019 020 712 10072001 615867 0986525 -001 3604 0986316 -001 -020 126 -002 -021 020 732 11072001 607357 0986182 -001 3587 0995283 -000 -020 126 -002 -021 021 753 12072001 609565 1003635 000 3579 0997770 -000 -020 126 000 -019 019 771 15072001 596585 0978706 -002 3519 0983236 -002 -020 126 -003 -022 021 792 16072001 579782 0971835 -003 3452 0980961 -002 -020 126 -004 -023 021 813

Page 174

Egyptian Financial and Industrial Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 14052001 664617 2188 -126 086 15052001 656225 0987373 -001 2297 1049817 005 -126 086 -001 -127 132 16052001 655120 0998316 -000 2206 0960383 -004 -126 086 -000 -126 122 254 17052001 659723 1007026 001 2199 0996827 -000 -126 086 001 -125 125 379 20052001 656059 0994446 -001 2188 0994998 -001 -126 086 -000 -126 126 505 21052001 651237 0992650 -001 2166 0989945 -001 -126 086 -001 -127 126 630 22052001 655995 1007306 001 2195 1013389 001 -126 086 001 -125 127 757 23052001 656965 1001479 000 2111 0961731 -004 -126 086 000 -126 122 879 24052001 665419 1012868 001 2210 1046897 005 -126 086 001 -125 129 1008 27052001 670868 1008189 001 2238 1012670 001 -126 086 001 -125 126 1134 28052001 678608 1011537 001 2272 1015192 002 -126 086 001 -125 126 1261 29052001 668826 0985585 -001 2253 0991637 -001 -126 086 -001 -127 126 1387 30052001 662111 0989960 -001 2220 0985353 -001 -126 086 -001 -127 125 1512 31052001 653740 0987357 -001 2253 1014865 001 -126 086 -001 -127 128 1641 03062001 634276 0970227 -003 2251 0999112 -000 -126 086 -003 -128 128 1769 05062001 627793 0989779 -001 2251 1000000 000 -126 086 -001 -127 127 1896 06062001 623888 0993780 -001 2315 1028432 003 -126 086 -001 -126 129 2025 07062001 629223 1008551 001 2306 0996112 -000 -126 086 001 -125 125 2150 10062001 632250 1004811 000 2257 0978751 -002 -126 086 000 -125 123 2273 11062001 629970 0996394 -000 2335 1034559 003 -126 086 -000 -126 130 2403 12062001 632227 1003583 000 2367 1013704 001 -126 086 000 -126 127 2530

Page 175

13062001 628592 0994250 -001 2335 0986481 -001 -126 086 -000 -126 125 2655 14062001 630035 1002296 000 2297 0983726 -002 -126 086 000 -126 124 2779 17062001 621647 0986686 -001 2386 1038746 004 -126 086 -001 -127 131 2910 18062001 620202 0997676 -000 2441 1023051 002 -126 086 -000 -126 128 3038 19062001 610903 0985006 -002 2416 0989758 -001 -126 086 -001 -127 126 3164 20062001 607444 0994338 -001 2311 0956540 -004 -126 086 -000 -126 122 3286 21062001 613967 1010738 001 2250 0973605 -003 -126 086 001 -125 122 3409 24062001 609920 0993408 -001 2331 1036000 004 -126 086 -001 -126 130 3538 25062001 608366 0997452 -000 2304 0988417 -001 -126 086 -000 -126 125 3663 26062001 600648 0987314 -001 1995 0865885 -014 -126 086 -001 -127 113 3776 27062001 593325 0987808 -001 1930 0967419 -003 -126 086 -001 -127 124 3900 28062001 596953 1006115 001 1975 1023316 002 -126 086 001 -125 128 4027 02072001 609759 1021452 002 1923 0973671 -003 -126 086 002 -124 121 4149 03072001 619411 1015829 002 1923 1000000 000 -126 086 001 -125 125 4273 04072001 623719 1006955 001 2001 1040562 004 -126 086 001 -125 129 4403 05072001 620332 0994570 -001 2067 1032984 003 -126 086 -000 -126 130 4532 08072001 622701 1003819 000 2075 1003870 000 -126 086 000 -126 126 4658 09072001 624279 1002534 000 2081 1002892 000 -126 086 000 -126 126 4784 10072001 615867 0986525 -001 2159 1037482 004 -126 086 -001 -127 131 4915 11072001 607357 0986182 -001 2078 0962483 -004 -126 086 -001 -127 123 5038 12072001 609565 1003635 000 2151 1035130 003 -126 086 000 -126 129 5167

Page 176

Abu Keir for Fertilisers Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 23092001 597012 2759 24092001 588809 0986260 -001 2759 1000000 000 -094 047 -001 -095 095 25092001 581727 0987972 -001 2760 1000362 000 -094 047 -001 -095 095 190 26092001 570192 0980171 -002 2734 0990580 -001 -094 047 -001 -095 094 285 27092001 561925 0985501 -001 2744 1003658 000 -094 047 -001 -095 096 380 30092001 564278 1004187 000 2790 1016764 002 -094 047 000 -094 096 476 01102001 568252 1007043 001 2837 1016846 002 -094 047 000 -094 096 572 02102001 555684 0977883 -002 2830 0997533 -000 -094 047 -001 -096 095 667 03102001 549459 0988798 -001 2821 0996820 -000 -094 047 -001 -095 095 762 04102001 544680 0991302 -001 2800 0992556 -001 -094 047 -000 -095 094 856 07102001 544675 0999991 -000 2800 1000000 000 -094 047 -000 -094 094 951 08102001 543049 0997015 -000 2822 1007857 001 -094 047 -000 -095 095 1046 09102001 545728 1004933 000 2815 0997519 -000 -094 047 000 -094 094 1140 10102001 549824 1007506 001 2834 1006750 001 -094 047 000 -094 095 1235 11102001 554529 1008557 001 2834 1000000 000 -094 047 000 -094 094 1329 14102001 563161 1015566 002 2828 0997883 -000 -094 047 001 -094 094 1423 15102001 563789 1001115 000 2825 0998939 -000 -094 047 000 -094 094 1517 16102001 560209 0993650 -001 2822 0998938 -000 -094 047 -000 -095 095 1612 17102001 573477 1023684 002 2832 1003544 000 -094 047 001 -093 094 1705 18102001 579797 1011020 001 2820 0995763 -000 -094 047 001 -094 094 1799 21102001 583382 1006183 001 2838 1006383 001 -094 047 000 -094 095 1894

Page 177

22102001 585868 1004261 000 2801 0986963 -001 -094 047 000 -094 093 1987 23102001 584346 0997402 -000 2812 1003927 000 -094 047 -000 -095 095 2082 24102001 580869 0994050 -001 2823 1003912 000 -094 047 -000 -095 095 2177 25102001 571335 0983587 -002 2824 1000354 000 -094 047 -001 -095 095 2272 28102001 560295 0980677 -002 2806 0993626 -001 -094 047 -001 -095 095 2367 29102001 558792 0997317 -000 2498 0890235 -012 -094 047 -000 -095 083 2450 30102001 563118 1007742 001 2482 0993595 -001 -094 047 000 -094 093 2544 31102001 557753 0990473 -001 2444 0984690 -002 -094 047 -000 -095 093 2637 01112001 554861 0994815 -001 2455 1004501 000 -094 047 -000 -095 095 2732 04112001 562024 1012910 001 2488 1013442 001 -094 047 001 -094 095 2827 05112001 565106 1005484 001 2492 1001608 000 -094 047 000 -094 094 2922 06112001 564130 0998273 -000 2481 0995586 -000 -094 047 -000 -095 094 3016 07112001 558639 0990266 -001 2496 1006046 001 -094 047 -000 -095 096 3111 08112001 558192 0999200 -000 2470 0989583 -001 -094 047 -000 -095 093 3205 11112001 556063 0996186 -000 2488 1007287 001 -094 047 -000 -095 095 3300 12112001 552223 0993094 -001 2498 1004019 000 -094 047 -000 -095 095 3396 13112001 546427 0989504 -001 2495 0998799 -000 -094 047 -001 -095 095 3490 14112001 541547 0991069 -001 2488 0997194 -000 -094 047 -000 -095 095 3585 15112001 533398 0984952 -002 2498 1004019 000 -094 047 -001 -095 096 3681 18112001 524993 0984243 -002 2460 0984788 -002 -094 047 -001 -095 094 3774 19112001 523018 0996238 -000 2460 1000000 000 -094 047 -000 -095 095 3869

Page 179

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 = [(T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX)] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2] (511)

middot Jensen (Alpha) = arp ndash [arf + βp(arM - arf)] (512)

middot Sharpe = (arp - arf) σp (513)

middot Treynor = (arp - arf) βp (514)

middot Tracking Error = αp σep (515)

The following are the detailed calculations of the various performance measures for

the funds analysed

Page 180

Market Portfolio

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -2630 881 -3511 123271 123271 123271 1999 4250 905 3345 4250 905 3345 111890 111890 111890 2000 -4119 909 -5028 -4119 909 -5028 252808 252808 252808 2001 -3120 906 -4026 -3120 906 -4026 162087 162087 162087

Sum -9220 -9220 650056 650056 650056

Mean -1405 900

Standard Deviation 3820

Beta 100 Jensen (Alpha) 000 Std Dev Of Rndm Error Term 000 Sharpe -060 Treynor -2305 Tracking Error 000

Page 181

Fund No 1

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1630 881 -2511 123271 63051 88161 1999 4250 905 3345 1200 905 295 111890 870 9868 2000 -4119 909 -5028 -1144 909 -2053 252808 42148 103225 2001 -3120 906 -4026 -1750 906 -2656 162087 70543 106931

Sum -9220 -6925 650056 176613 308184

Mean -831 900

Standard Deviation 1379

Beta 034 Jensen (Alpha) -949 Std Dev Of Rndm Error Term 560 Sharpe -126 Treynor -5099 Tracking Error -169

Page 182

Fund No 2

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1660 881 -2541 123271 64567 89215 1999 4250 905 3345 1590 905 685 111890 4692 22913 2000 -4119 909 -5028 -1307 909 -2216 252808 49107 111420 2001 -3120 906 -4026 -520 906 -1426 162087 20335 57411

Sum -9220 -5498 650056 138700 280959

Mean -474 900

Standard Deviation 1456

Beta 035 Jensen (Alpha) -562 Std Dev Of Rndm Error Term 662 Sharpe -094 Treynor -3899 Tracking Error -085

Page 183

Fund No 3

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1490 881 -2371 123271 56216 83246 1999 4250 905 3345 1350 905 445 111890 1980 14885 2000 -4119 909 -5028 -1289 909 -2198 252808 48312 110515 2001 -3120 906 -4026 -1310 906 -2216 162087 49107 89216

Sum -9220 -6340 650056 155615 297863

Mean -685 900

Standard Deviation 1359

Beta 035 Jensen (Alpha) -786 Std Dev Of Rndm Error Term 354 Sharpe -117 Treynor -4571 Tracking Error -222

Page 184

Fund No 4

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1770 881 -2651 123271 70278 93077 1999 4250 905 3345 1100 905 195 111890 380 6523 2000 -4119 909 -5028 -1438 909 -2347 252808 55084 118007 2001 -3120 906 -4026 -1690 906 -2596 162087 67392 104515

Sum -9220 -7399 650056 193135 322121

Mean -950 900

Standard Deviation 1374

Beta 035 Jensen (Alpha) -1051 Std Dev Of Rndm Error Term 434 Sharpe -135 Treynor -5339 Tracking Error -242

Page 185

Fund No 5

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1680 881 -2561 123271 65587 89917 1999 4250 905 3345 1230 905 325 111890 1056 10871 2000 -4119 909 -5028 -1078 909 -1987 252808 39482 99906 2001 -3120 906 -4026 -1410 906 -2316 162087 53639 93242

Sum -9220 -6539 650056 159764 293936

Mean -735 900

Standard Deviation 1333

Beta 033 Jensen (Alpha) -880 Std Dev Of Rndm Error Term 547 Sharpe -123 Treynor -4994 Tracking Error -161

Page 186

Fund No 6

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1480 881 -2361 123271 55743 82895 1999 4250 905 3345 1140 905 235 111890 552 7861 2000 -4119 909 -5028 -1083 909 -1992 252808 39681 100158 2001 -3120 906 -4026 -1240 906 -2146 162087 46053 86398

Sum -9220 -6264 650056 142029 277311

Mean -666 900

Standard Deviation 1215

Beta 030 Jensen (Alpha) -866 Std Dev Of Rndm Error Term 421 Sharpe -129 Treynor -5155 Tracking Error -205

Page 187

Fund No 7

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1151 881 -2032 123271 41290 71344 1999 4250 905 3345 306 905 -599 111890 3588 -20037 2000 -4119 909 -5028 -1174 909 -2083 252808 43389 104733 2001 -3120 906 -4026 -1312 906 -2218 162087 49195 89297

Sum -9220 -6932 650056 137462 245337

Mean -833 900

Standard Deviation 762

Beta 020 Jensen (Alpha) -1282 Std Dev Of Rndm Error Term 173 Sharpe -227 Treynor -8863 Tracking Error -739

Page 188

Fund No 8

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -279 881 -1160 123271 13456 40728 1999 4250 905 3345 751 905 -154 111890 237 -5151 2000 -4119 909 -5028 -803 909 -1712 252808 29309 86079 2001 -3120 906 -4026 -960 906 -1866 162087 34820 75125

Sum -9220 -4892 650056 77822 196781

Mean -323 900

Standard Deviation 773

Beta 019 Jensen (Alpha) -780 Std Dev Of Rndm Error Term 305 Sharpe -158 Treynor -6369 Tracking Error -256

Page 189

References

1 Bekaert G and Harvey C R ldquoTime-Varying World Market Integrationrdquo Journal

of Finance Vol 50 no 2 (June 1995) pp 403-444

2 Bekaert G and Harvey C R ldquoEmerging Equity Market Volatilityrdquo Journal of

Financial Economics Vol 43 no 1 (1997) pp 29-77

3 Bekaert G Erb C B Harvey C R and Viscanta T E ldquoDistributional

Characteristics of Emerging Market Returns and Asset

Allocationrdquo Journal of Portfolio Management Vol 24

no 2 (Winter 1998) pp 102-116

4 Bodie Z Kane A and Marcus A ldquoInvestmentsrdquo 4th ed McGraw Hell 2001

5 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (May 2002)

6 Cairo and Alexandria Stock Exchanges ldquoFact Bookrdquo 2001

7 Cairo and Alexandria Stock Exchanges ldquoStatistical Highlightsrdquo 2001

8 Claessens S ldquoAssessing Investment Potential and Security Designrdquo Conference

on Portfolio Investment in Developing Countries The

World Bank 1993

9 Conrad J and Kaul G ldquoTime Variation in Expected Returnsrdquo Journal of

Business Vol 61 no 4 (October 1998) pp 409-425

in (Bodie et al 2001)

10 Egyptian Financial Group (EFG-Hermes) ldquoEgypt Country Reportrdquo (May 2000)

11 Fama E F ldquoEfficient Capital Markets A Review of Theory and Empirical

Workrdquo Journal of Finance Vol 25 no 2 (May 1970) pp

383-417

12 Fama E F Fisher L Jensen M and Roll R ldquoThe Adjustment of Stock prices

Page 190

to New Informationrdquo International Economic Review

Vol 10 no 1 (February 1969) pp 1-21 in (Fama

1970)

13 Fama E F and French K R Permanent and Temporary Components of Stock

pricesrdquo Journal of Political Economy Vol 96 (April

1988) pp 24-73 in Bodie et al (2001)

14 Fama E F ldquoEfficient Capital Markets IIrdquo Journal of Finance Vol 46 no 5

(December 1991) pp 1575-1617

15 Fama E F ldquoMarket Efficiency Long-Term Returns and Behavioural Financerdquo

Journal of Financial Economics Vol 49 (September

1998) pp 283-306

16 Harvey C R ldquoThe Risk Exposure of Emerging Equity Marketsrdquo Conference on

Portfolio Investment in Developing Countries The World

Bank 1993

17 HC Brokerage ldquoEgypt Equity Researchrdquo 2001

18 Howell M J Cleassens S and Gooptu S ldquoInvesting in Emerging Marketsrdquo

Euromoney Books in association with the World Bank 1994

19 HSBC Investment Bank-Egypt ldquoTreasury and Capital Markets A Guide to

Egyptrdquo 2001

20 Jensen M C ldquoThe Performance of Mutual Funds in The Period 1945-1964rdquo

Journal of Finance Vol 23 no 2 (May 1968) pp 389-416

21 Kendall M G ldquoThe Ananlysis of Economic Time Series Part I Pricesrdquo Journal

of Royal Statistical Society 96 (Part 1 1953) pp 11-

25 in (Fama 1970 pp 390) and (Leroy 1989 pp

1587-1588)

Page 191

22 Law No 951992 ldquoCapital Market Lawrdquo

23 Law No 1591981 ldquoCompanies Lawrdquo

24 Law No 2031991 ldquoInvestment Lawrdquo

25 LeRoy S F ldquoEfficient Capital Markets and Martingalesrdquo Journal of Economic

Literature Vol 27 no 4 (December 1989) pp 1583-1621

26 Lewellen J and Shanken J ldquoLearning Asset Pricing Tests and Market

efficiencyrdquo Journal of Finance Vol 57 no 3 (June

2002) pp 1113-1144

27 Masters S J ldquoEmerging Markets Managing the Impact of High Costsrdquo Journal

of Portfolio Management Vol 28 no 3 (Spring 2002) pp

96-101

28 Mecagni M and Sourial M S ldquoThe Egyptian Stock Market Efficiency Tests

and Volatility Effectsrdquo International Monetary Fund

Working Paper 9948 (April 1999)

29 Odier P Solnik B and Zucchinetti S ldquoGlobal Optimisation for Swiss Pension

Fundsrdquo Finazmarkt und Portfolio Management (June

1995) in (Solnik 2000) pp 263

30 Poterba J and Summers L ldquoMean Reversion in Stock Prices Evidence and

Implicationsrdquo Journal of Financial Economics Vol 22

(October 1988) pp 27-59 in (Bodie et al 2001) pp

345

31 Saunders A and Walter I ldquoAre Emerging Market Equities a Separate Asset

Classrdquo Journal of Portfolio Management Vol 28 no

3 (Spring 2002) pp 102-114

32 Sharpe W F ldquoMutual Fund Performancerdquo Journal of Business Vol 39 no 1

Page 192

(January 1966) pp 119-138

33 Sharpe W F Alexander G J and Bailey J V ldquoInvestmentsrdquo 6th ed Prentice

Hall Inc 1999

34 Solnik B ldquoInternational Investmentsrdquo 4th ed Addison Wesley 2000

35 Stevenson S ldquoEmerging Markets Downside Risk and The Asset Allocation

Decisionrdquo Emerging Markets Review Vol 2 no 1

(March 2001) pp 50-66

36 Treynor J L ldquoHow to Rate Management of Investment Fundsrdquo Harvard

Business Review Vol 43 no 1 (JanuaryFebruary 1965) pp

63-75

37 Treynor J L and Black F ldquoHow to Use Security Analysis to Improve Portfolio

Selectionrdquo Journal of Business Vol 46 no 1

(January 1973) pp 66-86

38 Williamson J ldquoIssues Posed by Portfolio Investment in Developing Countriesrdquo

Conference on Portfolio Investment in Developing

Countries The World Bank 1993

Electronic References

1 Cairo and Alexandria Stock Exchanges ldquoTrade Historyrdquo [Online]

httpwwwegyptsecomtradehistoryasp

2 DATASTREAM [Online]

3 Law No 81997 ldquoInvestment Lawrdquo (August 2002) [Online]

httpwwweconomygovegenglishdownloadtocdownloadstm

4 Law No 932000 ldquoCentral Securities Depository and Registry Lawrdquo (August

Page 193

2002) [Online]

httpwwweconomygovegarabicdownloadtocdownloadstm

5 REUTERS [Online]

Bibliography

1 Black F ldquoNoiserdquo Journal of Finance Vol 41 no 3 (July 1986) pp 529-543

2 Cairo and Alexandria Stock Exchanges ldquoStock Guiderdquo 2001

3 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (November 2000)

4 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (December 2001)

5Cothren R ldquoOn The Impossibility of Informationally Efficient Markets

Commentrdquo American Economic Review Vol 72 no

4 (September 1982) pp 873-874

6 Elton E J Gruber M J Das S and Hlavka M ldquoEfficiency with Costly

Information A Reinterpretation of Evidence from

Managed Portfoliosrdquo Review of Financial Studies

Vol 6 no 1 (1993) pp 1-22

7 Grossman S J and Stiglitz J E ldquoOn The Impossibility of Informationally

Efficient Marketsrdquo American Economic Review Vol

70 no 3 (June 1980) pp 393-408

8 Grossman S J and Stiglitz J E ldquoOn The Impossibility of Informationally

Efficient Markets Replyrdquo American Economic

Review Vol 72 no 4 (September 1982) pp 875

Page 194

9 HSBC Investment Bank-Egypt ldquoEgypt Equities Researchrdquo (20012002)

10 Malkiel B G ldquoReturns From Investing in Equity Mutual Funds 1971-1991rdquo

Journal of Finance Vol 50 (June 1995) pp 549-572

11 Ministry of Foreign Trade ldquo Monthly Economic Digestrdquo (May 2002)

12 Prime Funds ldquoAnnual Reviewrdquo (1997 1998 1999 2000 and 2001)

13 Prime Group ldquoBlue Book Guide to Egyptian Securitiesrdquo (1998 1999 2000 and

2001)

14 Sharpe W F ldquoCapital Asset Prices A Theory of Market Equilibrium Under

Conditions of Riskrdquo Journal of Finance Vol 19 no

3 (September 1964) pp 425-442

Electronic

1 Cairo and Alexandria Stock Exchanges ldquoCASE 50 Index Rulesrdquo [Online]

httpwwwegyptsecomcase50_ivasp

2 Egyptian Financial Group (EFG-Hermes) ldquoFundsrdquo (September 2002) [Online]

httpwwwefg-hermescomegdocsmarketfundsasp

3 Egyptian Financial Group (EFG-Hermes) ldquoFunds Reportsrdquo (July 2002)

[Online]

httpwwwefg-hermescomegdocsmarketfunds_reportsasp

Page 7

Chapter 2 Literature Review

21 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

bull A country with low or middle income using the World Bankrsquos

Classification

bull 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 (21) below depicts the results of the study

Page 8

Graph 21 Efficient Frontier with Emerging Markets

Source Odier Solnik and Zucchinetti ldquoGlobal Optimisation for Swiss Pension fundsrdquo 1995 in Solnik ldquoInvestmentsrdquo 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 115 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 investorrsquos 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

Page 9

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 countriesrsquo 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

Page 10

bull More diversified sources of external finance

bull Greater risk bearing by private investors through equity investment

compared to the case of bank lending in the 1970s

bull Reduced cost of capital

bull 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

bull Favourable interest and equity return differentials with industrial countries

bull Risk Diversification due to low correlation of stock returns in

developing countries with returns in industrial countries

bull The inefficiency of Emerging markets which makes returns predictable

bull 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

Page 11

protection inefficient country funds and limited number of internationally listed

securities

Williamson (1993) discusses the issue of better fund management under the private-

to-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 sellersrsquo 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 ldquoIndiscriminate Capital

Flowsrdquo 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

Page 12

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 Williamsonrsquos 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 countryrsquos market or

securities

Claessens (1993) also discusses the concept of marketsrsquo 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

Page 13

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 ldquoShifting Industrial

Structuresrdquo which suggests changes in risk sensitivities over time

Page 14

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 marketsrsquo returns

alter over time

Table (21) shows summary statistical data for 23 Developed and 15 Emerging

Markets over the period 1988-1997 on a monthly basis

Table 21 Summary Statistics for Emerging and Developed Markets

Page 15

Table 21 Continued

Source Stevenson S ldquoEmerging Markets Downside Risk and The Asset Allocation Decisionrdquo

The data is based on IFC indices for the Emerging markets and MSCI indices for the

Developed markets

Table 21 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 ndash0233 for Japan and 15037 for Netherlands and the Returns for

Emerging markets that vary between ndash07979 for Korea and 24731 for

Argentina

Page 16

Variance figures also show greater variation with Developed markets varying between

118745 for USA and 599113 for Hong Kong and developing markets varying

between 213601 for Jordan and 4490278 for Argentina

More interestingly when considering the degree of skewness and kurtosis most

Emerging marketsrsquo returns display significant results indicating non-normality in the

distribution of returns

For example Nigeria shows significant values of kurtosis and skewness of 31931 and

ndash34479 respectively compared to 04818 and ndash02368 for USA

The Jarque-Bera (JB) statistics show similar results confirming the departure of Risk-

Return 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 ndash

such as custody legal and accounting costs ndash 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

Page 17

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 ndash 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 22)

Page 18

Table 22 Correlations in Returns between Emerging and Developed Markets

Source Saunders and Walter ldquoAre Emerging Market Equities a Separate Asset Classrdquo 2002

They conclude that the traditional consideration of emerging marketsrsquo stocks as being

a separate asset class and therefore allocation of funds among countriesrsquo indices will

no longer be sufficient to generate diversification benefits

Instead they confirm Masterrsquos 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

Page 19

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

22 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)

ldquoThe literature is now so large that a full review is impossiblerdquo

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 ldquoRandom Walkrdquo that is stock returns tend to be

independent of past returns (Fama 1970)

The first impression of Kendallrsquos conclusion is that markets are irrational and tend to

act with no sense of direction

Page 20

Later research clarified that Kendallrsquos conclusion in fact reflects the rational nature

of the market

Fama (1970) defines an Efficient Market as one where information is ldquoFully

Reflectedrdquo 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 ldquoFully Reflectrdquo 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

bull Weak-form efficient where the prices reflect all available information

about past prices

bull Semi-strong-form efficient where the prices reflect all publicly

available information including earnings companiesrsquo performance

etc

bull 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 securitiesrsquo prices

follow a random walk and suggests that they tend to follow a ldquoSubmartingalerdquo

Page 21

That is instead of the restrictive assumption that securities prices and returns are

serially independent and identically distributed he assumes that prices follow a

ldquoRandom Walk with a Driftrdquo 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 ldquoBuy-and-Holdrdquo strategy

Subsequent research found relatively supporting evidence to Famarsquos 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 pricesrsquo returns show negative long-term serial correlations suggesting

that stock prices might overreact to relevant news in whatrsquos came to be known as the

ldquoFads Hypothesisrdquo (Bodie Kane and Marcus 2001)

Also Leroy (1989) challenged Famarsquos argument (1970) that when prices follow a

submartingale no strategy can outperform a ldquoBuy-and-Holdrdquo 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 ldquoBuy-and-Holdrdquo strategy

Page 22

Second that the Capital Asset Pricing Model (CAPM) implies that in equilibrium

asset returns will not necessarily follow a submartingale That is a stockrsquos returns

might negatively co-varies with the market strong enough that it would be included in

a risk averse investorrsquos 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

ldquoRisk Neutralityrdquo and that investors will rush to buysell 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 ldquoJoint Hypothesisrdquo 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

Page 23

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 ldquoParameter Uncertaintyrdquo 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 mean-

reversion process)

Something they comment which data generating process can predict before hands

Page 24

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 23 below shows the main results of the study

Table 23 Unconditional Distribution Statistics for the Egyptian Stock Exchange Daily Stock Returns

Page 25

Source Mecagni and Sourial ldquoThe Egyptian Stock Market Efficiency Tests and Volatility Effectsrdquo 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

Page 26

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

Page 27

Chapter 3 General Preview

31 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 19901991 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 951992 The law provided great momentum to the market and the

market capitalisation increased dramatically as the reform and privatisation

progressed

Table (31) provides main market indicators for the Egyptian Stock Market for the

period 1991 ndash June 2001

Page 28

Table 31 Main Market Indicators for the period 1991 ndash June 2001

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

From the table it can be seen that the market capitalisation increased form LE88

billion in 1991 to LE 1197 billion in 2000 and was slightly reduced to LE1103

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 (31) and (32) which correspond to lines 3 and 6 of Table (31) respectively

Page 29

Graph 31 Total Volume of Traded Securities Graph 32 Total Value Traded of Securities (Million) Jan 1991 ndash Jun 2001 (Million) Jan 1991 ndash June 2001

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

The Egyptian Stock Market is well regulated however therersquos 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 (32) below shows that as at 30 June 2001 8226 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 30

Table 32 Liquidity of the 30 Most Heavily Traded Stocks in Terms of Value Traded (Jan 2001 ndash 30 June 2001)

Source Cairo and Alexandria Stock Exchanges Statistical Highlights 2001

311 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 31

The Capital Market Law (Law 951992)

Replacing Law 1611957 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 932000)

This laws aims to provide the legal framework for the Central Depository in Egypt

The law identifies shareholdersrsquo 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 32

The law also introduced the legal recognition of the concept of ldquoNominee Tradingrdquo

and the Depositoryrsquos obligation to establish and control a ldquoGuarantee Fundrdquo which

ensures the settlement of trades on time to achieve smooth market operation

The Companies Law (Law 1591981)

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 2031991)

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 self-

run 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 governmentrsquos share of ownership in a company drops to less than

51 the regulation of the company passes from law 203 to law 159

Page 33

The Investment Law (Law 81997)

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

312 The Exchange

Egyptrsquos 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 34

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 951992) 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 35

313 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 36

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 LE300 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 ndash PIPO) (Prime Asset Management Index ndash PAMI)

and (Prime General Index ndash 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 Corporationrsquos Global and Investable indices

Page 37

(IFCG and IFCI) in 1996 Egypt was added to the Morgan Stanley index on a stand-

alone 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 028 212 and 014 respectively (CASEFB 2001)

314 Key Economic Sectors

Egyptrsquos 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 (33) below depicts the main economic indicators for Egypt for the period 1997

till 2000

Table 33 Main Economic Indicators 1997 - 2000

Source HSBC Investment Bank ndash Egypt ldquoTreasury and Capital Markets A Guide to Egyptrdquo 2001

Page 38

Table (33) shows GDP growth rate of 51 in 19992000 down from 61 in

19981999 due to the economic slowdown which was a reflection of the global

economic conditions

Egyptrsquos inflation rate has also declined from 38 in 19981999 to 28 in 19992000

with an average rate below 4 for the entire period from 1997 ndash 2000

Foreign Reserves have declined from US$ 203 billion in 19971998 to US$ 147

billion in 19992000 due to the governmentrsquos managed float foreign exchange policy

However the level of reserves remains healthy covering approximately 9 months of

imports

Exports increased by 42 in 19992000 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 39

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 statersquos 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 40

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

Egyptrsquos 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 governmentrsquos 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 55 million

arrivals and revenues which increased by 33 to US$ 47 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

109 This was in direct relation to an average growth in GDP of 5 per annum and

an average growth in construction industry of 25 per annum (HC 2001)

Page 41

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 (34) below shows the current market share of three of the largest cement

producers in Egypt as of 2001

Table 34 Market Share of the Three Largest Cement Producers in Egypt (2001)

Source HC Brokerage ldquoEgypt Equity Researchrdquo 2001

As a result capacity additions rose by 102 in 2000 and by 287 in 2001 This

increase in capacity coupled with the economic slowdown and stagnation in

construction industry in 20002001 resulted in supply exceeding demand for the first

time in 20012002 (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 42

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 25 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 43

while consumption is around 20 million tons with the surplus being exported

Approximately 79 of Egyptrsquos 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 Egyptrsquos 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)

315 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 44

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 LE 15 million However the more recently introduced Capital

Adequacy requirements mandate that new brokerage firms must have a minimum

Authorised Capital of LE 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)

316 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 45

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 LE 179 billion in June 2001 as compared to LE 1103

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 46

32 Market Performance

Market analysis for the period 1996 till 1st quarter 2000 is based on the analysis included in ldquoEFG-Hermes Country Report May 2000rdquo Additional analysis for the period 2nd quarter 2000 till 2001 is based on the analysis included in ldquoCairo and Alexandria Stock Exchanges Fact Book 2001rdquo Performance analysis is based on the performance of the Hermes Financial Index for the period 1996-2001

Despite the fact that the Capital Market Law (Law 951992) gave the regulatory

power to reform the Stock Market in Egypt it wasnrsquot until 1996 when ldquoNasr City for

Housing and Development Companyrdquo offered the first majority privatisation stake in

accordance with the aims and objectives of the Privatisation Law (Law 2031991)

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 33)

Graph 33 Overall Market Performance (1996 ndash 1998)

Source EFG-Hermes ldquoEgypt Country Reportrdquo 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 47

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 ldquoValue

Stocksrdquo to new-economy ldquoGrowth Stocksrdquo 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 34)

Graph 34 Private versus Public Sector Share Performance 1998

Source EFG-Hermes ldquoEgypt Country Reportrdquo 2000

In early 1999 the market started rising once again This was mainly attributed to the

initial public offering of ldquoMobinilrdquo the first in telecommunication sector which

marked the market shift towards more sophistication in trading decisions with

Mobinilrsquos share price ending 1999 with 660 increase

Page 48

In the mean time a liquidity squeeze became apparent amid concerns about the

governmentrsquos management of the economy and its commitment to the privatisation

programme This drove the market down for the most of 1999 (Graph 35)

Graph 35 Market Performance (1998-1999)

Source EFG-Hermes ldquoEgypt Country Reportrdquo 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 36)

Page 49

Graph 36 Market Performance (2000 ndash 2001)

0

2000

4000

6000

8000

10000

12000

14000

16000

020

120

00

020

220

00

020

320

00

020

420

00

020

520

00

020

620

00

020

720

00

020

820

00

020

920

00

021

020

00

021

120

00

021

220

00

020

120

01

020

220

01

020

320

01

020

420

01

020

520

01

020

620

01

020

720

01

020

820

01

020

920

01

021

020

01

021

120

01

021

220

01

HFI

Source REUTERS EFG-Hermes

The general downturn continued during the rest of 2000 and throughout 2001 with the

market being down by 596 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 50

Chapter 4 Market Efficiency

41 Methodology

411 Event studies

The approach adopted in testing for market efficiency within the Egyptian Stock

market is ldquoEvent Studiesrdquo 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 ldquoSemi-strong efficientrdquo 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 ldquoSemi-

strong inefficientrdquo market

The tests were conducted using an Ordinary Least Squares regression model (OLS) to

identify the stockrsquos Expected Normal Returns and hence any deviation of Actual

Returns from Expected returns in the form of Unexpected Abnormal Returns

Page 51

Mathematically the returns of a security can be represented by the following formula

ri = αi + βirM + ei (41)

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 irsquos abnormal returns

From equation (41) the abnormal returns of a security can be found be rewriting the

equation to be

ei = ri ndash (αi + βirM) (42)

Equation (42) 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

bull using Cumulative Abnormal Returns (CAR) to measure abnormal

returns surrounding the event examined instead of the Buy-and-Hold

Average Returns (BHAR) method

bull returns were measured over short horizons to provide better results

under the assumption of securities returns being normally distributed

Page 52

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)

412 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 41 shows the values of Standard Deviation Skewness and Kutosis for the

index returns for the periods 19961997 19981999 and 20002001

Page 53

Table 41 Key Statistics for the Hermes Financial Index 1996-2001

Date Index Value Change Index Returns Date Index Value Change Index Returns Date Index Value Change Index Returns 1996-19971 1998-1999 2000-2001 (Vt Vt-1) ln (Vt Vt-1) (Vt Vt-1) ln (Vt Vt-1) (Vt Vt-1) ln (Vt Vt-1)

10111996 867670 28121997 1226070 26121999 1215240 17111996 882871 1017519 174 04011998 1240540 1011802 117 02012000 1302750 1072010 695 24111996 945531 1070973 686 11011998 1222730 0985643 -145 09012000 1360710 1044491 435 01121996 996570 1053979 526 18011998 1206630 0986833 -133 16012000 1383930 1017065 169 08121996 1016080 1019577 194 25011998 1187560 0984196 -159 23012000 1457730 1053326 520 15121996 1039650 1023197 229 01021998 1161970 0978452 -218 30012000 1399530 0960075 -407 22121996 1024630 0985553 -146 08021998 1152100 0991506 -085 06022000 1378850 0985224 -149 29121996 1025110 1000468 005 15021998 1148570 0996936 -031 13022000 1408260 1021329 211 05011997 1131130 1103423 984 22021998 1154110 1004823 048 20022000 1369110 0972200 -282 12011997 1184190 1046909 458 01031998 1152270 0998406 -016 27022000 1249590 0912702 -913 19011997 1178430 0995136 -049 08031998 1171950 1017079 169 05032000 1263010 1010740 107 26011997 1258880 1068269 660 15031998 1177260 1004531 045 12032000 1278610 1012351 123 02021997 1357460 1078308 754 22031998 1188570 1009607 096 19032000 1262590 0987471 -126 09021997 1484800 1093808 897 29031998 1200260 1009835 098 26032000 1233620 0977055 -232 16021997 1531050 1031149 307 05041998 1197600 0997784 -022 02042000 1251400 1014413 143 23021997 1613500 1053852 525 12041998 1198900 1001086 011 09042000 1239300 0990331 -097 02031997 1556100 0964425 -362 19041998 1195490 0997156 -028 16042000 1198730 0967264 -333 09031997 1558050 1001253 013 26041998 1182420 0989067 -110 23042000 1083240 0903656 -1013 16031997 1552380 0996361 -036 03051998 1176960 0995382 -046 30042000 1119630 1033594 330 23031997 1468520 0945980 -555 10051998 1159590 0985242 -149 07052000 1105850 0987692 -124 30031997 1465020 0997617 -024 17051998 1129560 0974103 -262 14052000 1139120 1030085 296 06041997 1479870 1010136 101 24051998 1112340 0984755 -154 21052000 1170140 1027232 269 13041997 1486590 1004541 045 31051998 1073430 0965020 -356 28052000 1079810 0922804 -803 20041997 1476740 0993374 -066 07061998 1045480 0973962 -264 04062000 1084760 1004584 046

Page 54

27041997 1506070 1019861 197 14061998 1066480 1020086 199 11062000 1015120 0935801 -664 04051997 1464590 0972458 -279 21061998 1032170 0967829 -327 18062000 1001480 0986563 -135 11051997 1436900 0981094 -191 28061998 1030030 0997927 -021 25062000 916437 0915083 -887 18051997 1375190 0957053 -439 05071998 1002040 0972826 -276 02072000 899917 0981974 -182 25051997 1388860 1009940 099 12071998 982199 0980199 -200 09072000 939109 1043551 426 01061997 1322860 0952479 -487 19071998 970995 0988593 -115 16072000 925956 0985994 -141 08061997 1363670 1030850 304 26071998 995234 1024963 247 23072000 865117 0934296 -680 15061997 1347130 0987871 -122 02081998 1010220 1015058 149 30072000 817732 0945227 -563 22061997 1334000 0990253 -098 09081998 986274 0976296 -240 06082000 789054 0964930 -357 29061997 1311840 0983388 -168 16081998 966470 0979920 -203 13082000 756887 0959233 -416 06071997 1323390 1008804 088 23081998 934316 0966730 -338 20082000 834110 1102027 972 13071997 1309910 0989814 -102 30081998 901108 0964457 -362 27082000 832698 0998307 -017 20071997 1290000 0984800 -153 06091998 949019 1053169 518 03092000 816798 0980905 -193 27071997 1260250 0976938 -233 13091998 950397 1001452 015 10092000 845660 1035336 347 03081997 1262230 1001571 016 20091998 953342 1003099 031 17092000 811616 0959743 -411 10081997 1256470 0995437 -046 27091998 956663 1003484 035 24092000 777843 0958388 -425 17081997 1258060 1001265 013 04101998 958912 1002351 023 01102000 747666 0961204 -396 24081997 1303680 1036262 356 11101998 943251 0983668 -165 08102000 698780 0934615 -676 31081997 1353230 1038008 373 18101998 943963 1000755 008 15102000 607631 0869560 -1398 07091997 1366730 1009976 099 25101998 934640 0990124 -099 22102000 688893 1133736 1255 14091997 1396460 1021753 215 01111998 918468 0982697 -175 29102000 730437 1060305 586 21091997 1404870 1006022 060 08111998 913223 0994289 -057 05112000 747364 1023174 229 28091997 1399450 0996142 -039 15111998 917822 1005036 050 12112000 773445 1034897 343 05101997 1398330 0999200 -008 22111998 917160 0999279 -007 19112000 872700 1128328 1207 12101997 1387030 0991919 -081 29111998 906802 0988706 -114 26112000 799245 0915830 -879 19101997 1362190 0982091 -181 06121998 902621 0995389 -046 03122000 796977 0997162 -028 26101997 1364920 1002004 020 13121998 889094 0985014 -151 10122000 790233 0991538 -085 02111997 1348240 0987780 -123 20121998 902575 1015163 150 17122000 787365 0996371 -036 09111997 1333460 0989038 -110 27121998 906891 1004782 048 24122000 756623 0960956 -398 16111997 1299370 0974435 -259 03011999 914183 1008041 080 31122000 753795 0996262 -037

Page 55

23111997 1253930 0965029 -356 10011999 983873 1076232 735 07012001 757822 1005342 053 30111997 1260160 1004968 050 17011999 989959 1006186 062 14012001 752417 0992868 -072 07121997 1202660 0954371 -467 24011999 1016140 1026447 261 21012001 722711 0960519 -403 14121997 1218480 1013154 131 31011999 1105790 1088226 845 28012001 755868 1045879 449 21121997 1214730 0996922 -031 07021999 1094590 0989871 -102 04022001 769449 1017967 178 28121997 1226070 1009335 093 14021999 1053620 0962570 -381 11022001 747680 0971708 -287

21021999 1071770 1017226 171 18022001 716466 0958252 -426 28021999 1055100 0984446 -157 25022001 696200 0971714 -287 07031999 1039860 0985556 -145 04032001 672488 0965941 -347 14031999 1041200 1001289 013 11032001 687929 1022961 227 21031999 1027650 0986986 -131 18032001 634936 0922967 -802 28031999 1031360 1003610 036 25032001 616127 0970377 -301 04041999 1034930 1003461 035 01042001 591655 0960281 -405 11041999 1024940 0990347 -097 08042001 601771 1017098 170 18041999 1026450 1001473 015 15042001 629302 1045750 447 25041999 1038240 1011486 114 22042001 610423 0970000 -305 02051999 1014430 0977067 -232 29042001 617783 1012057 120 09051999 1027240 1012628 125 06052001 634110 1026428 261 16051999 1015400 0988474 -116 13052001 648901 1023326 231 23051999 1012050 0996701 -033 20052001 659723 1016677 165 30051999 986598 0974851 -255 27052001 665419 1008634 086 06061999 977053 0990325 -097 03062001 653740 0982449 -177 13061999 1007370 1031029 306 10062001 629223 0962497 -382 20061999 989166 0981929 -182 17062001 630035 1001290 013 27061999 1026150 1037389 367 24062001 613967 0974497 -258 04071999 995282 0969919 -305 01072001 596953 0972288 -281 11071999 995600 1000320 003 08072001 620332 1039164 384 18071999 1012170 1016643 165 15072001 609565 0982643 -175 25071999 981962 0970155 -303 22072001 554710 0910010 -943 01081999 971997 0989852 -102 29072001 550917 0993162 -069

Page 56

08081999 953229 0980691 -195 05082001 528555 0959409 -414 15081999 935049 0980928 -193 12082001 553572 1047331 462 22081999 944102 1009682 096 19082001 561918 1015077 150 29081999 935339 0990718 -093 26082001 564762 1005061 050 05091999 928650 0992849 -072 02092001 595784 1054929 535 12091999 923843 0994824 -052 09092001 642737 1078809 759 19091999 936583 1013790 137 16092001 626337 0974484 -258 26091999 963355 1028585 282 23092001 614817 0981607 -186 03101999 964466 1001153 012 30092001 561925 0913971 -900 10101999 1008430 1045584 446 07102001 544680 0969311 -312 17101999 1067340 1058418 568 14102001 554529 1018082 179 24101999 1019230 0954925 -461 21102001 579797 1045567 446 31101999 1038280 1018691 185 28102001 571335 0985405 -147 07111999 1047550 1008928 089 04112001 554861 0971166 -293 14111999 1071510 1022872 226 11112001 558192 1006003 060 21111999 1077140 1005254 052 18112001 533398 0955582 -454 28111999 1104220 1025141 248 25112001 508562 0953438 -477 05121999 1152250 1043497 426 02122001 519633 1021769 215 12121999 1338690 1161805 1500 09122001 516432 0993840 -062 19121999 1235780 0923126 -800 16122001 534209 1034423 338 26121999 1215240 0983379 -168 23122001 531180 0994330 -057 30122001 526241 0990702 -093 Std Dev 326 280 456 Skewness 080 181 011 Kurtosis 084 829 079 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 57

The table shows that Standard Deviation has decreased from 326 for the period

19961997 to 28 for the period 19981999 indicating a mild volatility during the

second period

Skewness and kurtosis coefficients have increased during the period 19981999

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 19981999 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) (43)

ri = ln (Pt Pt-1) (44)

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 andor

acquisition data were available for the period analysed (Note that the most actively

traded 30 securities accounted for 8226 of market liquidity as of June 2001 which

Page 58

makes the number of securities analysed a fair representation of the market under the

information constraint)

42 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 ldquoLarge Capitalisation-Valuerdquo stocks to avoid

anomalies associated with ldquoSmall Capitalisation-Growthrdquo stocks which are

characterised by the lack of accurate information and analysis and by infrequent

trading within the Egyptian market

Table 42 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 59

Table 42 Summary Statistics of Stocks Analysed

Company Beta Alpha Std Dev Of Rdm Std Error of Std Error of Correlation Coefficient of Coefficient of Error Term Beta Alpha Coefficient Determination Nondetermination Banking

Commercial International Bank (CIB) 145 -006 312 0062 0174 080 063 037 Egyptian American Bank (EAB) 118 -040 338 0065 0181 070 049 051 Misr International Bank (MIBANK) 127 -036 314 0062 0174 075 057 043 Cement Ameryah Cement 105 -043 358 0067 0187 064 041 059 Helwan Portland Cement 085 -056 326 0064 0178 060 035 065 Suez Cement 126 -020 271 0058 0162 080 063 037 Torah Portland Cement 107 -006 377 0068 0191 063 039 061 Food and Beverages Upper Egypt Flour Mills 087 -075 491 0078 0218 045 020 080 Housing Nasr City for Housing and Development 075 -115 444 0074 0208 043 018 082 Chemicals Abu Keir for Fertilisers 047 -094 389 0070 0194 033 011 089 Egyptian Financial and Industrial 086 -126 286 0060 0167 065 042 058 Paints and Chemical Industries 078 -071 410 0071 0200 047 022 078

Page 60

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

43 Findings

Appendix C provides the detailed calculations of Abnormal Returns for the securities

analysed around the announcement dates of the various events tested

431 Takeovers

Efficiency tests related to Acquisition events included the acquisition announcements

for two companies in the cement sector during 2001 namely the acquisition of

9469 of Helwan Portland Cement shares by the Arab Swiss Engineering Company

(ASEC) and 3465 of Suez Cement shares by Ciments Francais (Cairo and

Alexandria Stock Exchanges Monthly Bulletin May 2002)

Tables (43) and (44) and Graphs (41) and (42) show the following

Despite fluctuating around 040 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 61

Table 43 Average Abnormal Returns Takeovers Table 44 Cumulative Abnormal Returns Takeovers 2001 2001

Day Helwan Portland Suez Cement AAR ()

-18 055 018 036 -17 056 019 038 -16 057 022 039 -15 059 023 041 -14 059 018 038 -13 059 017 038 -12 055 016 036 -11 061 017 039 -10 059 020 040 -9 055 022 038 -8 053 022 037 -7 057 019 038 -6 057 019 038 -5 056 019 038 -4 056 023 039 -3 059 022 041 -2 061 020 041 -1 059 017 038 0 054 020 037 1 060 020 040 2 060 019 040 3 059 018 038 4 062 024 043 5 063 025 044 6 050 020 035 7 051 014 033 8 060 019 039 9 061 018 039

10 068 016 042 11 058 016 037 12 058 026 042 13 054 020 037 14 057 019 038 15 059 020 040 16 057 021 039 17 057 015 036 18 058 019 039 19 058 022 040 20 051 019 035 21 056 019 038

DayHelwan Portland Suez Cement Avg CAR

-18 112 038 075 -17 167 057 112 -16 225 079 152 -15 284 102 193 -14 343 120 231 -13 402 137 269 -12 457 153 305 -11 518 170 344 -10 577 190 384 -9 632 213 422 -8 685 234 460 -7 743 253 498 -6 800 272 536 -5 857 291 574 -4 913 314 613 -3 972 335 654 -2 1034 356 695 -1 1092 373 733 0 1146 393 769 1 1206 413 809 2 1266 432 849 3 1325 449 887 4 1387 474 931 5 1450 498 974 6 1500 519 1010 7 1552 533 1042 8 1611 551 1081 9 1672 569 1120

10 1740 585 1163 11 1799 602 1200 12 1856 627 1242 13 1910 648 1279 14 1967 666 1317 15 2026 687 1356 16 2084 708 1396 17 2141 723 1432 18 2199 742 1470 19 2257 764 1510 20 2308 783 1545 21 2364 802 1583

Page 62

Graph 41 Average Abnormal Returns surrounding Takeovers in 2001

Average Abnormal Returns Takeovers (2001)

000

005

010

015

020

025

030

035

040

045

050

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Graph 42 Cumulative Abnormal Returns surrounding Takeovers in 2001

Average Cumulative Abnormal Returns Takveovers (2001)

000

200

400

600

800

1000

1200

1400

1600

1800

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Slow Adjustment

Information Leakage

Page 63

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 securitiesrsquo prices to

their new fair values and therefore caused the increasing cumulative abnormal

returns after the announcement date

432 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 (45) (46) (47) and (48) and figure (41) 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 (050 in 2000

and 025 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 64

Table 45 Average Abnormal Returns Dividend Increase 2000 Day CIB EAB MIBANK Ameryah Egy FinampInd Abu Keir Fert AAR ()

-18 -139 042 035 046 126 096 034 -17 -344 043 038 043 125 096 000 -16 -403 040 034 040 124 094 -012 -15 192 037 036 044 128 095 089 -14 -277 040 037 047 126 096 011-13 -267 039 036 046 130 092 013 -12 134 040 035 043 126 094 079 -11 -060 038 034 044 125 095 046 -10 -448 040 036 046 128 097 -017 -9 -199 042 036 046 129 094 025 -8 426 041 031 044 126 092 127 -7 419 043 034 046 123 093 126 -6 328 040 036 032 127 095 110 -5 -388 037 036 044 126 096 -008 -4 -069 043 033 046 125 094 045 -3 014 039 035 041 131 093 059 -2 -128 041 037 045 125 095 036 -1 -017 040 037 041 125 094 054 0 -092 041 037 041 130 097 042 1 -105 039 034 042 130 098 040 2 172 043 034 043 122 097 085 3 248 042 036 041 124 096 098 4 333 037 037 041 122 094 111 5 156 043 035 041 128 094 083 6 -298 040 035 043 121 093 006 7 285 043 038 046 123 089 104 8 -024 042 033 045 120 092 052 9 225 031 039 045 122 085 091

10 -056 042 036 042 124 093 047 11 041 039 032 046 124 096 063 12 -240 038 037 045 122 095 016 13 -082 048 040 041 125 095 045 14 205 032 030 041 131 094 089 15 058 039 036 045 128 094 067 16 144 040 036 043 121 089 079 17 -358 039 036 044 126 090 -004 18 -010 041 036 046 126 100 057 19 307 039 041 043 125 099 109 20 -975 039 044 045 120 094 -105 21 -187 038 026 044 130 095 024

Page 65

Table 46 Average Abnormal Returns Dividend Increase 2001

Day CIB MIBANK Ameryah AAR ()

-18 009 034 042 029 -17 008 035 044 029 -16 006 035 047 029 -15 004 035 043 027 -14 002 034 049 029 -13 011 034 039 028 -12 009 040 041 030 -11 003 037 048 029 -10 008 036 047 030 -9 009 031 045 029 -8 010 033 040 027 -7 009 040 048 032 -6 003 038 041 027 -5 003 033 040 026 -4 007 039 040 029 -3 007 037 048 031 -2 003 039 044 029 -1 006 039 052 033 0 009 032 049 030 1 002 033 042 026 2 010 038 044 031 3 012 037 014 021 4 006 031 042 026 5 002 036 047 028 6 008 038 042 029 7 005 031 045 027 8 008 040 045 031 9 008 040 046 031

10 009 036 043 029 11 006 030 041 026 12 002 036 040 026 13 -003 029 041 022 14 006 040 044 030 15 002 039 044 028 16 007 035 043 028 17 010 032 041 028 18 005 032 043 026 19 003 037 042 027 20 008 035 046 030 21 008 034 045 029

Page 66

Table 47 Cumulative Abnormal Returns Dividend Increase 2000 Day CIB EAB MIBANK Ameryah Egy FinampInd Abu Keir Fert Avg CAR ()

-18 -271 083 070 086 249 191 068 -17 -614 126 108 129 374 287 068 -16 -1018 166 142 169 498 381 056 -15 -826 202 178 213 626 476 145 -14 -1103 242 215 260 752 572 156 -13 -1370 281 251 306 882 664 169 -12 -1235 321 286 348 1008 759 248 -11 -1296 359 321 392 1133 853 294 -10 -1744 399 357 439 1261 950 277 -9 -1943 441 393 485 1390 1045 302 -8 -1517 482 424 529 1516 1137 428 -7 -1098 525 458 575 1639 1230 555 -6 -770 564 494 607 1766 1326 665 -5 -1157 601 530 651 1892 1422 656 -4 -1227 645 563 697 2017 1515 702 -3 -1213 684 598 737 2148 1609 760 -2 -1341 725 634 782 2273 1703 796 -1 -1358 765 671 823 2398 1798 850 0 -1450 806 708 864 2529 1894 892 1 -1555 845 742 906 2659 1992 932 2 -1383 888 776 949 2781 2090 1017 3 -1135 929 811 990 2905 2185 1114 4 -802 966 848 1031 3028 2279 1225 5 -646 1009 883 1072 3156 2373 1308 6 -945 1049 918 1115 3277 2466 1313 7 -660 1092 956 1161 3400 2555 1417 8 -683 1134 990 1206 3521 2647 1469 9 -458 1165 1029 1251 3643 2732 1560

10 -514 1206 1065 1293 3766 2825 1607 11 -472 1245 1097 1339 3890 2921 1670 12 -712 1283 1134 1384 4012 3016 1686 13 -794 1331 1174 1426 4137 3111 1731 14 -589 1364 1203 1466 4267 3205 1819 15 -530 1403 1239 1512 4396 3299 1886 16 -386 1443 1275 1555 4516 3388 1965 17 -744 1482 1311 1599 4643 3478 1961 18 -754 1523 1347 1644 4769 3578 2018 19 -446 1562 1388 1688 4895 3676 2127 20 -1421 1601 1432 1732 5014 3770 2022 21 -1608 1639 1458 1777 5144 3866 2046

Page 67

Table 48 Cumulative Abnormal Returns Dividend Increase 2001

Day CIB MIBANK Ameryah Avg CAR ()

-18 017 066 082 055 -17 025 101 126 084 -16 031 136 174 114 -15 035 171 217 141 -14 037 205 266 169 -13 048 239 305 198 -12 058 279 347 228 -11 061 316 394 257 -10 069 352 441 287 -9 078 384 486 316 -8 087 416 526 343 -7 096 456 575 376 -6 099 494 616 403 -5 102 528 656 429 -4 109 567 696 457 -3 116 604 744 488 -2 119 644 789 517 -1 125 683 841 550 0 134 715 890 580 1 136 748 932 605 2 146 786 976 636 3 157 823 990 657 4 164 854 1033 683 5 165 890 1080 712 6 173 927 1121 741 7 178 958 1166 767 8 186 998 1211 798 9 194 1038 1257 830

10 203 1075 1299 859 11 209 1105 1340 885 12 211 1141 1380 911 13 208 1170 1421 933 14 213 1209 1465 963 15 215 1248 1509 991 16 222 1283 1552 1019 17 232 1315 1593 1047 18 236 1347 1636 1073 19 239 1384 1677 1100 20 247 1419 1724 1130 21 254 1453 1769 1159

Page 68

Figure 41 Abnormal Returns surrounding Dividend Increase (2000-2001)

Average Abnormal Returns Dividend Increase (2000)

-150

-100

-050

000

050

100

150

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Abnormal Returns Dividend Increase (2001)

000

005

010

015

020

025

030

035

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Cumulative Abnormal Returns Dividend Increase ( 2000)

000

500

1000

1500

2000

2500

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement date

AC

AR

()

Information Leakage

Slow Adjustment

Average Cumulative Abnormal Returns Dividend Increase (2001)

000

200

400

600

800

1000

1200

1400

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Page 70

433 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 (49) (410) (411) and (412) and figure (42) 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 (064 in 2000 and 0725 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 71

Table 49 Average Abnormal Returns Dividend Decrease 2000 Day Helwan Cement Torah Port Nasr City Paints amp Chem Upper Egypt F Mills AAR ()

-18 052 003 119 072 074 064-17 056 005 120 071 076 066-16 058 008 111 069 076 064-15 054 007 112 069 075 063-14 059 008 116 073 077 067-13 057 005 111 068 077 064-12 056 009 113 068 076 064-11 057 008 119 065 077 065-10 057 008 114 067 078 065-9 059 005 112 072 074 064-8 056 008 112 066 074 063-7 057 006 113 068 076 064-6 057 005 113 073 077 065-5 058 003 118 075 074 066-4 056 008 117 075 076 066-3 057 005 117 067 077 065-2 059 010 117 070 077 067-1 058 007 118 066 078 0660 060 007 116 069 069 0641 061 005 111 074 080 0662 047 005 112 071 076 0623 043 007 095 067 070 0564 058 -010 119 070 075 0635 055 006 120 070 077 0666 059 007 121 072 076 0677 059 005 118 068 052 0618 059 004 118 068 077 0659 051 008 117 073 072 064

10 055 010 118 071 076 06611 055 004 119 071 076 06512 057 005 120 068 073 06513 056 013 119 072 074 06714 054 010 119 078 076 06715 058 004 116 068 072 06416 058 007 118 069 074 06517 057 011 113 070 074 06518 055 008 113 069 071 06319 057 003 117 073 074 06520 057 001 112 072 077 06421 055 002 110 073 074 063

Page 72

Table 410 Average Abnormal Returns Dividend Decrease 2001 Day Torah Port Nasr City Suez Cement Egy FinampInd Abu Keir Fert AAR ()

-18 006 115 017 122 095 071 -17 008 115 021 125 094 072 -16 007 116 021 126 096 073 -15 010 113 019 126 096 073 -14 007 116 020 127 096 073 -13 002 115 021 122 095 071 -12 009 117 018 129 095 074 -11 005 112 020 126 094 072 -10 002 114 020 126 094 072 -9 007 117 022 126 095 073 -8 008 114 021 125 094 072 -7 007 116 021 128 095 074 -6 010 114 020 128 094 073 -5 006 115 019 127 094 072 -4 007 114 024 129 094 074 -3 005 113 023 125 095 072 -2 001 115 016 123 094 070 -1 009 114 021 130 094 073 0 005 116 021 127 095 073 1 004 115 016 125 093 071 2 012 114 019 124 095 073 3 008 114 019 131 095 074 4 008 114 021 128 095 073 5 009 117 019 126 095 073 6 004 115 021 122 083 069 7 003 116 020 122 093 071 8 002 115 019 130 093 072 9 006 114 021 125 095 072

10 -001 115 019 113 095 068 11 001 111 018 124 094 070 12 007 112 017 128 094 072 13 003 116 018 121 096 071 14 008 112 021 125 093 072 15 007 111 020 129 095 073 16 010 116 020 130 095 074 17 006 117 020 126 095 073 18 002 115 021 126 095 072 19 007 117 019 131 096 074 20 002 116 021 123 094 071 21 007 114 021 129 095 073

Page 73

Table 411 Cumulative Abnormal Returns Dividend Decrease 2000 Day Helwan Cement Torah Port Nasr City Paints amp Chem Upper Egypt F Mills Avg CAR ()

-18 108 009 233 143 147 128-17 164 013 353 214 223 194-16 223 021 464 283 299 258-15 276 028 576 351 374 321-14 336 037 692 425 451 388-13 392 042 804 493 528 452-12 449 051 917 561 603 516-11 506 058 1035 626 680 581-10 562 066 1150 693 759 646-9 621 071 1261 765 833 710-8 677 079 1373 831 907 773-7 734 085 1486 899 983 838-6 791 090 1599 972 1060 903-5 850 093 1717 1048 1134 968-4 906 101 1834 1123 1210 1035-3 963 105 1951 1190 1287 1099-2 1022 115 2068 1261 1364 1166-1 1081 122 2186 1327 1442 12320 1141 130 2303 1396 1510 12961 1202 135 2414 1470 1590 13622 1249 140 2526 1541 1666 14243 1292 147 2621 1608 1736 14814 1350 138 2740 1678 1812 15435 1405 143 2860 1748 1889 16096 1464 151 2981 1820 1965 16767 1523 156 3099 1888 2017 17378 1582 160 3217 1956 2094 18029 1634 168 3334 2029 2166 1866

10 1688 178 3452 2099 2242 193211 1743 181 3571 2170 2318 199712 1800 186 3691 2239 2391 206213 1856 200 3810 2311 2465 212814 1910 210 3929 2388 2541 219615 1968 214 4045 2456 2613 225916 2026 221 4163 2525 2687 232517 2083 232 4276 2595 2761 239018 2138 241 4389 2664 2833 245319 2195 244 4506 2737 2906 251820 2252 245 4619 2809 2984 258221 2307 247 4729 2883 3058 2645

Page 74

Table 412 Cumulative Abnormal Returns Dividend Decrease 2001 Day Torah Port Nasr City Suez Cement Egy FinampInd Abu Keir Fert Avg CAR ()

-18 012 229 037 254 190 144 -17 019 344 057 379 285 217 -16 026 460 078 505 380 290 -15 036 573 097 630 476 363 -14 044 689 117 757 572 436 -13 046 804 138 879 667 507 -12 055 921 155 1008 762 580 -11 060 1033 176 1134 856 652 -10 063 1147 196 1261 951 724 -9 069 1264 218 1387 1046 797 -8 077 1378 239 1512 1140 869 -7 085 1494 261 1641 1235 943 -6 094 1608 280 1769 1329 1016 -5 101 1723 299 1896 1423 1088 -4 107 1837 323 2025 1517 1162 -3 113 1950 346 2150 1612 1234 -2 114 2064 363 2273 1705 1304 -1 123 2179 384 2403 1799 1377 0 128 2295 405 2530 1894 1450 1 132 2411 421 2655 1987 1521 2 144 2525 440 2779 2082 1594 3 152 2639 459 2910 2177 1667 4 160 2753 481 3038 2272 1741 5 169 2870 500 3164 2367 1814 6 173 2986 520 3286 2450 1883 7 176 3102 541 3409 2544 1954 8 179 3217 560 3538 2637 2026 9 184 3330 580 3663 2732 2098

10 183 3445 599 3776 2827 2166 11 184 3556 617 3900 2922 2236 12 191 3668 634 4027 3016 2307 13 194 3784 652 4149 3111 2378 14 202 3896 672 4273 3205 2450 15 209 4008 692 4403 3300 2522 16 219 4124 712 4532 3396 2597 17 225 4241 732 4658 3490 2669 18 227 4355 753 4784 3585 2741 19 234 4472 771 4915 3681 2815 20 236 4588 792 5038 3774 2886 21 243 4703 813 5167 3869 2959

Page 75

Figure 42 Abnormal Returns surrounding Dividend Decrease (2000-2001)

Average Abnormal Returns Dividend Decrease (2000)

054

056

058

060

062

064

066

068

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Abnormal Returns Dividend Decrease (2001)

067

068

069

070

071

072

073

074

075

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AA

R (

)

Average Cumulative Abnormal Returns Dividend Decrease (2000)

000

500

1000

1500

2000

2500

3000

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Average Cumulative Abnormal Returns Dividend Decrease (2001)

000

500

1000

1500

2000

2500

3000

3500

-20 -15 -10 -5 0 5 10 15 20 25

Days relative to Announcement Date

AC

AR

()

Information Leakage

Slow Adjustment

Page 76

44 Conclusion

From the above an overall conclusion can be drawn that the Egyptian stock market

showed a clear departure from the ldquoSemi-strong efficientrdquo market hypothesis in the

period 20002001 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 77

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 ldquoFree Handrdquo 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

51 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 78

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 ndash [arf + βp(arM - arf)]

(51)

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

Treynorrsquos 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 (52)

Hence it can be seen that the higher the value of Treynorrsquos 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 Treynorrsquos coefficient will be confined to evaluating funds

performance relative to the benchmark

Page 79

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 (53)

Where (arp - arf) is the average excess return and σp is the total volatility of the fund

Similar to Treynorrsquos coefficient the higher the value of the Sharpe ratio is the better

the performance of the fund will be However therersquos a fundamental difference

between Sharpe ratio and both Treynorrsquos coefficient and Jensenrsquos alpha in that in

Sharpersquos 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 Treynorrsquos or Jensenrsquos might

rank inferior under Sharpersquos due to high Unique Risk thatrsquos not accounted for by the

other two measures

However if a fund shows poor performance under both Jensenrsquos and Treynorrsquos it

should follow logically that it would also show poor performance under Sharpersquos

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 (54)

Page 80

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

52 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

53 Findings

Appendix D shows the detailed calculations of the different performance measures

Page 81

Table (51) and Graphs (51) and (52) 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 ndash562

for Fund No 2 to -1282 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 ndash739) 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 82

Table 51 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 -1405 -831 -474 -685 -950 -735 -666 -833 -323 Standard Deviation 3820 1379 1456 1359 1374 1333 1215 762 773 Std Dev Of Rndm Error Term 000 560 662 354 434 547 421 173 305 Beta 100 034 035 035 035 033 030 020 019 Jensen (Alpha) 000 -949 -562 -786 -1051 -880 -866 -1282 -780 Sharpe -060 -126 -094 -117 -135 -123 -129 -227 -158 Treynor -2305 -5099 -3899 -4571 -5339 -4994 -5155 -8863 -6369 Tracking Error 000 -169 -085 -222 -242 -161 -205 -739 -256

Page 84

Graph 51 Egyptian Mutual Funds Performance Evaluation Using the Ex Post Securities Market Line (1998-2001)

-2000

-1500

-1000

-500

000

500

1000

1500

000 020 040 060 080 100 120

βp

arp

Market Portfolio

Fund No 1

Fund No 2

Fund No 3

Fund No 4

Fund No 5

Fund No 6

Fund No 7

Fund No 8

Ex Post SML

Graph 52 Egyptian Mutual Funds Performance Evaluation Using the Ex Post Capital Market Line (1998-2001)

-2000

-1500

-1000

-500

000

500

1000

1500

000 500 1000 1500 2000 2500 3000 3500 4000 4500

σp

arp

Market Portfolio

Fund No 1

Fund No 2

Fund No 3

Fund No 4

Fund No 5

Fund No 6

Fund No 7

Fund No 8

Ex Post CML

Page 85

For Treynor (Reward-to-Volatility) and despite that the benchmark showed a

negative value of ndash2305 all funds showed greater negative values ranging from

ndash3899 for Fund No 2 to ndash8863 for Fund No 7

This can be seen from Graph (51) 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 ndash094 for Fund No 2 to ndash227 for Fund No 7

This can also be seen from Graph (52) 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

54 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 86

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 87

Chapter 6 Conclusions and Recommendations

61 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 20002001

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 88

62 Findings and Conclusions

621 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 maximumminimum 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 89

622 Mutual Funds Performance

CAPM based performance evaluation measures (Jensenrsquos 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 risk-

adjusted 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 90

63 Limitations

631 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 8226 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 91

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

632 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 92

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)

64 Recommendations

Based on the above findings a number of recommendations can be made These are

bull 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 andor the means to enact them in a

more effective manner should be considered

bull 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 93

bull 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

65 Suggestions for Further Research

The course of this study has outlined a number of areas that could be explored by

further research These include

bull the need to evaluate mutual funds performance more comprehensively

when more and sufficient data become available

bull 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 94

bull 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

bull 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 95

Appendix A

Current Listing Requirements

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

Page 96

Proposed Listing Requirements

Source Cairo and Alexandria Stock Exchanges Fact Book 2001

Page 97

Appendix B

The calculations of the various risk measures for each security analysed were based

on the following

bull the benchmark used for measuring securitiesrsquo sensitivities against is the

Herms Financial Index (HFI)

bull 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

bull calculations were based on 104 weekly observations of index values

and securities prices starting from 2nd of January 1998 until 24th

December 1999

bull 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) (411)

ri = ln (Pt Pt-1) (412)

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 98

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 = [(T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX)] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2] (413)

Alpha = [sumsumsumsumYT] ndash [Beta (sumsumsumsumXT)] (414)

Standard Deviation of Random Error Term (Residual Volatility)

= [sumsumsumsumY2 ndash (Alpha sumsumsumsumY) ndash (Beta sumsumsumsumXY)] [T ndash 2]12 (415)

Standard Error of Beta

= Residual Volatility sumsumsumsumX2 ndash [(sumsumsumsumX)2 T]12 (416)

Standard Error of Alpha

= Residual Volatility T ndash [(sumsumsumsumX)2 sumsumsumsumX2]12 (417)

Correlation Coefficient

= (T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX) (418)

[(T sumsumsumsumY2) ndash (sumsumsumsumY)2] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2]12

Coefficient of Determination (R2)

= (Correlation Coefficient)2 (419)

Coefficient of Nondetermination

= 1 ndash Coefficient of Determination (4110)

The following are the detailed calculations of the various risk measures for the

securities analysed

Page 99

Commercial International Bank CIB

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5298 09011998 1222730 0985643 -145 5193 0980181 -200 209 401 289 16011998 1206630 0986833 -133 5170 0995571 -044 176 020 059 23011998 1187560 0984196 -159 5147 0995551 -045 254 020 071 30011998 1161970 0978452 -218 4748 0922479 -807 475 6511 1758 06021998 1152100 0991506 -085 4810 1013058 130 073 168 -111 13021998 1148570 0996936 -031 4581 0952391 -488 009 2379 150 20021998 1154110 1004823 048 4429 0966819 -337 023 1139 -162 27021998 1152270 0998406 -016 4395 0992323 -077 003 059 012 06031998 1171950 1017079 169 4487 1020933 207 287 429 351 13031998 1177260 1004531 045 4492 1001114 011 020 001 005 20031998 1188570 1009607 096 4678 1041407 406 091 1646 388 27031998 1200260 1009835 098 4735 1012185 121 096 147 119 03041998 1197600 0997784 -022 4840 1022175 219 005 481 -049 10041998 1198900 1001086 011 4793 0990289 -098 001 095 -011 17041998 1195490 0997156 -028 4814 1004381 044 008 019 -012 24041998 1182420 0989067 -110 4488 0932281 -701 121 4917 771 01051998 1176960 0995382 -046 4512 1005348 053 021 028 -025 08051998 1159590 0985242 -149 4117 0912456 -916 221 8393 1362 15051998 1129560 0974103 -262 3965 0963080 -376 688 1415 987 22051998 1112340 0984755 -154 4043 1019672 195 236 380 -299 29051998 1073430 0965020 -356 3984 0985407 -147 1268 216 523 05061998 1045480 0973962 -264 3946 0990462 -096 696 092 253 12061998 1066480 1020086 199 4040 1023822 235 396 554 468 19061998 1032170 0967829 -327 3815 0944307 -573 1069 3284 1874 26061998 1030030 0997927 -021 3903 1023067 228 004 520 -047 03071998 1002040 0972826 -276 3769 0965667 -349 759 1221 962 10071998 982199 0980199 -200 3740 0992306 -077 400 060 154 17071998 970995 0988593 -115 3749 1002406 024 132 006 -028 24071998 995234 1024963 247 3752 1000800 008 608 001 020 31071998 1010220 1015058 149 3729 0993870 -061 223 038 -092 07081998 986274 0976296 -240 3397 0910968 -932 575 8695 2237 14081998 966470 0979920 -203 3271 0962908 -378 411 1429 767 21081998 934316 0966730 -338 2978 0910425 -938 1145 8807 3175 28081998 901108 0964457 -362 2668 0895903 -1099 1310 12083 3978 04091998 949019 1053169 518 3026 1134183 1259 2684 15854 6523 11091998 950397 1001452 015 3201 1057832 562 002 3161 082 18091998 953342 1003099 031 3277 1023743 235 010 551 073 25091998 956663 1003484 035 3202 0977113 -232 012 536 -081 02101998 958912 1002351 023 3188 0995628 -044 006 019 -010 09101998 943251 0983668 -165 3049 0956399 -446 271 1987 734 16101998 943963 1000755 008 2887 0946868 -546 001 2981 -041 23101998 934640 0990124 -099 2891 1001386 014 099 002 -014

Page 100

30101998 918468 0982697 -175 2765 0956416 -446 305 1986 778 06111998 913223 0994289 -057 2872 1038698 380 033 1442 -217 13111998 917822 1005036 050 2823 0982939 -172 025 296 -086 20111998 917160 0999279 -007 2807 0994332 -057 001 032 004 27111998 906802 0988706 -114 2742 0976844 -234 129 549 266 04121998 902621 0995389 -046 2663 0971189 -292 021 855 135 11121998 889094 0985014 -151 2538 0953060 -481 228 2311 726 18121998 902575 1015163 150 2637 1039007 383 226 1464 576 25121998 906891 1004782 048 2608 0989003 -111 023 122 -053 01011999 914183 1008041 080 2698 1034509 339 064 1151 272 08011999 983873 1076232 735 3158 1170497 1574 5397 24784 11566 15011999 989959 1006186 062 3167 1002850 028 038 008 018 22011999 1016140 1026447 261 3257 1028418 280 681 785 731 29011999 1105790 1088226 845 3663 1124655 1175 7149 13801 9932 05021999 1094590 0989871 -102 3736 1019929 197 104 389 -201 12021999 1053620 0962570 -381 3717 0994914 -051 1455 026 195 19021999 1071770 1017226 171 3874 1042238 414 292 1712 707 26021999 1055100 0984446 -157 3736 0964378 -363 246 1316 569 05031999 1039860 0985556 -145 3502 0937366 -647 212 4184 941 12031999 1041200 1001289 013 3492 0997144 -029 002 008 -004 19031999 1027650 0986986 -131 3498 1001718 017 172 003 -022 26031999 1031360 1003610 036 3472 0992567 -075 013 056 -027 02041999 1034930 1003461 035 3520 1013825 137 012 189 047 09041999 1024940 0990347 -097 3480 0988636 -114 094 131 111 16041999 1026450 1001473 015 3543 1018103 179 002 322 026 23041999 1038240 1011486 114 3483 0983065 -171 130 292 -195 30041999 1014430 0977067 -232 3397 0975309 -250 538 625 580 07051999 1027240 1012628 125 3458 1017957 178 157 317 223 14051999 1015400 0988474 -116 3425 0990457 -096 134 092 111 21051999 1012050 0996701 -033 3322 0969927 -305 011 932 101 28051999 986598 0974851 -255 3179 0956954 -440 649 1936 1121 04061999 977053 0990325 -097 3074 0966971 -336 095 1128 327 11061999 1007370 1031029 306 3207 1043266 424 934 1794 1294 18061999 989166 0981929 -182 3155 0983785 -163 333 267 298 25061999 1026150 1037389 367 3135 0993661 -064 1347 040 -233 02071999 995282 0969919 -305 3079 0982137 -180 933 325 551 09071999 995600 1000320 003 3063 0994804 -052 000 027 -002 16071999 1012170 1016643 165 3083 1006530 065 272 042 107 23071999 981962 0970155 -303 3050 0989296 -108 918 116 326 30071999 971997 0989852 -102 3077 1008852 088 104 078 -090 06081999 953229 0980691 -195 3023 0982450 -177 380 313 345 13081999 935049 0980928 -193 2900 0959312 -415 371 1725 800 20081999 944102 1009682 096 3001 1034828 342 093 1172 330 27081999 935339 0990718 -093 2944 0981006 -192 087 368 179 03091999 928650 0992849 -072 2929 0994905 -051 052 026 037 10091999 923843 0994824 -052 2924 0998293 -017 027 003 009 17091999 936583 1013790 137 3071 1050274 491 188 2406 672 24091999 963355 1028585 282 3284 1069359 671 794 4497 1890 01101999 964466 1001153 012 3257 0991778 -083 001 068 -010 08101999 1008430 1045584 446 3662 1124348 1172 1987 13737 5224 15101999 1067340 1058418 568 4053 1106772 1014 3223 10292 5760

Page 101

22101999 1019230 0954925 -461 3643 0898840 -1066 2127 11374 4919 29101999 1038280 1018691 185 4123 1131760 1238 343 15320 2292 05111999 1047550 1008928 089 4100 0994422 -056 079 031 -050 12111999 1071510 1022872 226 4256 1038049 373 511 1394 844 19111999 1077140 1005254 052 4181 0982378 -178 027 316 -093 26111999 1104220 1025141 248 4357 1042095 412 617 1700 1024 03121999 1152250 1043497 426 4228 0970392 -301 1813 903 -1280 10121999 1338690 1161805 1500 5110 1208609 1895 22492 35899 28416 17121999 1235780 0923126 -800 4657 0911350 -928 6398 8617 7425 24121999 1215240 0983379 -168 4827 1036504 359 281 1285 -601 Sum -206 -931 80467 268123 116803 Beta 145 Alpha -006 Std Dev Of Rndm Error Term 312 Std Error of Beta 0062 Std Error of Alpha 0174 Correlation Coefficient 080 Coefficient of Determination 063 Coefficient of Nondetermination 037

Page 102

Egyptian American Bank

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8758 09011998 1222730 0985643 -145 8687 0991893 -081 209 066 118 16011998 1206630 0986833 -133 8226 0946932 -545 176 2973 723 23011998 1187560 0984196 -159 8172 0993435 -066 254 043 105 30011998 1161970 0978452 -218 7600 0930005 -726 475 5266 1581 06021998 1152100 0991506 -085 7837 1031184 307 073 943 -262 13021998 1148570 0996936 -031 7832 0999362 -006 009 000 002 20021998 1154110 1004823 048 7602 0970633 -298 023 888 -143 27021998 1152270 0998406 -016 7262 0955275 -458 003 2094 073 06031998 1171950 1017079 169 7629 1050537 493 287 2431 835 13031998 1177260 1004531 045 7657 1003670 037 020 013 017 20031998 1188570 1009607 096 7577 0989552 -105 091 110 -100 27031998 1200260 1009835 098 7707 1017157 170 096 289 166 03041998 1197600 0997784 -022 7738 1004022 040 005 016 -009 10041998 1198900 1001086 011 7793 1007108 071 001 050 008 17041998 1195490 0997156 -028 7580 0972668 -277 008 768 079 24041998 1182420 0989067 -110 7381 0973747 -266 121 708 292 01051998 1176960 0995382 -046 7249 0982116 -180 021 326 084 08051998 1159590 0985242 -149 6909 0953097 -480 221 2308 714 15051998 1129560 0974103 -262 6391 0925025 -779 688 6074 2045 22051998 1112340 0984755 -154 6352 0993898 -061 236 037 094 29051998 1073430 0965020 -356 6059 0953873 -472 1268 2230 1682 05061998 1045480 0973962 -264 5669 0935633 -665 696 4427 1755 12061998 1066480 1020086 199 5825 1027518 271 396 737 540 19061998 1032170 0967829 -327 5318 0912961 -911 1069 8292 2978 26061998 1030030 0997927 -021 5588 1050771 495 004 2453 -103 03071998 1002040 0972826 -276 5203 0931102 -714 759 5096 1967 10071998 982199 0980199 -200 4992 0959446 -414 400 1714 828 17071998 970995 0988593 -115 4802 0961939 -388 132 1506 445 24071998 995234 1024963 247 5012 1043732 428 608 1832 1055 31071998 1010220 1015058 149 5044 1006385 064 223 041 095 07081998 986274 0976296 -240 4756 0942902 -588 575 3457 1410 14081998 966470 0979920 -203 4594 0965938 -347 411 1201 703 21081998 934316 0966730 -338 4267 0928820 -738 1145 5452 2498 28081998 901108 0964457 -362 4157 0974221 -261 1310 682 945 04091998 949019 1053169 518 4729 1137599 1289 2684 16620 6679 11091998 950397 1001452 015 4734 1001057 011 002 001 002 18091998 953342 1003099 031 5211 1100760 960 010 9216 297 25091998 956663 1003484 035 5167 0991556 -085 012 072 -029 02101998 958912 1002351 023 5554 1074898 722 006 5217 170 09101998 943251 0983668 -165 5232 0942024 -597 271 3567 983 16101998 943963 1000755 008 5072 0969419 -311 001 965 -023 23101998 934640 0990124 -099 5344 1053628 522 099 2729 -519

Page 103

30101998 918468 0982697 -175 5273 0986714 -134 305 179 233 06111998 913223 0994289 -057 5201 0986346 -137 033 189 079 13111998 917822 1005036 050 5157 0991540 -085 025 072 -043 20111998 917160 0999279 -007 5163 1001163 012 001 001 -001 27111998 906802 0988706 -114 4696 0909549 -948 129 8988 1077 04121998 902621 0995389 -046 4659 0992121 -079 021 063 037 11121998 889094 0985014 -151 4811 1032625 321 228 1031 -485 18121998 902575 1015163 150 4810 0999792 -002 226 000 -003 25121998 906891 1004782 048 4724 0982121 -180 023 325 -086 01011999 914183 1008041 080 4896 1036410 358 064 1279 286 08011999 983873 1076232 735 5416 1106209 1009 5397 10189 7416 15011999 989959 1006186 062 5600 1033973 334 038 1116 206 22011999 1016140 1026447 261 5725 1022321 221 681 487 576 29011999 1105790 1088226 845 6017 1051004 497 7149 2475 4206 05021999 1094590 0989871 -102 5639 0937178 -649 104 4210 661 12021999 1053620 0962570 -381 5360 0950523 -507 1455 2575 1936 19021999 1071770 1017226 171 5354 0998881 -011 292 001 -019 26021999 1055100 0984446 -157 5263 0983003 -171 246 294 269 05031999 1039860 0985556 -145 5198 0987650 -124 212 154 181 12031999 1041200 1001289 013 4865 0935937 -662 002 4383 -085 19031999 1027650 0986986 -131 4716 0969373 -311 172 968 407 26031999 1031360 1003610 036 4851 1028626 282 013 797 102 02041999 1034930 1003461 035 4904 1010926 109 012 118 038 09041999 1024940 0990347 -097 5023 1024266 240 094 575 -233 16041999 1026450 1001473 015 5093 1013936 138 002 192 020 23041999 1038240 1011486 114 5046 0990772 -093 130 086 -106 30041999 1014430 0977067 -232 4872 0965517 -351 538 1231 814 07051999 1027240 1012628 125 4700 0964696 -359 157 1292 -451 14051999 1015400 0988474 -116 4896 1041702 409 134 1669 -474 21051999 1012050 0996701 -033 4891 0998979 -010 011 001 003 28051999 986598 0974851 -255 4709 0962789 -379 649 1438 966 04061999 977053 0990325 -097 4618 0980675 -195 095 381 190 11061999 1007370 1031029 306 4655 1008012 080 934 064 244 18061999 989166 0981929 -182 4600 0988185 -119 333 141 217 25061999 1026150 1037389 367 4518 0982174 -180 1347 324 -660 02071999 995282 0969919 -305 4497 0995352 -047 933 022 142 09071999 995600 1000320 003 4552 1012230 122 000 148 004 16071999 1012170 1016643 165 4535 0996265 -037 272 014 -062 23071999 981962 0970155 -303 4231 0932966 -694 918 4815 2102 30071999 971997 0989852 -102 4481 1059088 574 104 3296 -586 06081999 953229 0980691 -195 4253 0949119 -522 380 2727 1018 13081999 935049 0980928 -193 4405 1035739 351 371 1233 -676 20081999 944102 1009682 096 4423 1004086 041 093 017 039 27081999 935339 0990718 -093 4461 1008591 086 087 073 -080 03091999 928650 0992849 -072 4429 0992827 -072 052 052 052 10091999 923843 0994824 -052 4428 0999774 -002 027 000 001 17091999 936583 1013790 137 4611 1041328 405 188 1640 555 24091999 963355 1028585 282 4706 1020603 204 794 416 575 01101999 964466 1001153 012 4699 0998513 -015 001 002 -002 08101999 1008430 1045584 446 4903 1043413 425 1987 1806 1894 15101999 1067340 1058418 568 5191 1058740 571 3223 3258 3241

Page 104

22101999 1019230 0954925 -461 5130 0988249 -118 2127 140 545 29101999 1038280 1018691 185 5257 1024756 245 343 598 453 05111999 1047550 1008928 089 5302 1008560 085 079 073 076 12111999 1071510 1022872 226 5506 1038476 378 511 1425 854 19111999 1077140 1005254 052 5638 1023974 237 027 561 124 26111999 1104220 1025141 248 5487 0973217 -271 617 737 -674 03121999 1152250 1043497 426 5650 1029707 293 1813 857 1246 10121999 1338690 1161805 1500 6555 1160177 1486 22492 22074 22282 17121999 1235780 0923126 -800 5479 0835850 -1793 6398 32150 14343 24121999 1215240 0983379 -168 5680 1036686 360 281 1298 -604 Sum -206 -4330 80467 229628 95158 Beta 118 Alpha -040 Std Dev Of Rndm Error Term 338 Std Error of Beta 0065 Std Error of Alpha 0181 Correlation Coefficient 070 Coefficient of Determination 049 Coefficient of Nondetermination 051

Page 105

Misr International Bank MIBANK

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8144 09011998 1222730 0985643 -145 8192 1005894 059 209 035 -085 16011998 1206630 0986833 -133 8160 0996094 -039 176 015 052 23011998 1187560 0984196 -159 8098 0992451 -076 254 057 121 30011998 1161970 0978452 -218 7510 0927294 -755 475 5698 1644 06021998 1152100 0991506 -085 7295 0971450 -290 073 839 247 13021998 1148570 0996936 -031 7266 0996052 -040 009 016 012 20021998 1154110 1004823 048 6954 0957063 -439 023 1926 -211 27021998 1152270 0998406 -016 7089 1019326 191 003 366 -031 06031998 1171950 1017079 169 7269 1025392 251 287 629 425 13031998 1177260 1004531 045 7412 1019701 195 020 381 088 20031998 1188570 1009607 096 7509 1013060 130 091 168 124 27031998 1200260 1009835 098 7518 1001278 013 096 002 013 03041998 1197600 0997784 -022 7488 0995957 -041 005 016 009 10041998 1198900 1001086 011 7290 0973611 -267 001 715 -029 17041998 1195490 0997156 -028 7290 0999890 -001 008 000 000 24041998 1182420 0989067 -110 7189 0986172 -139 121 194 153 01051998 1176960 0995382 -046 7018 0976296 -240 021 575 111 08051998 1159590 0985242 -149 7055 1005243 052 221 027 -078 15051998 1129560 0974103 -262 6667 0945005 -566 688 3200 1484 22051998 1112340 0984755 -154 6737 1010439 104 236 108 -160 29051998 1073430 0965020 -356 6599 0979575 -206 1268 426 735 05061998 1045480 0973962 -264 6499 0984847 -153 696 233 403 12061998 1066480 1020086 199 6568 1010586 105 396 111 209 19061998 1032170 0967829 -327 6309 0960536 -403 1069 1621 1317 26061998 1030030 0997927 -021 6514 1032463 319 004 1021 -066 03071998 1002040 0972826 -276 6399 0982437 -177 759 314 488 10071998 982199 0980199 -200 6400 1000125 001 400 000 -003 17071998 970995 0988593 -115 6265 0978875 -214 132 456 245 24071998 995234 1024963 247 6454 1030264 298 608 889 735 31071998 1010220 1015058 149 6398 0991200 -088 223 078 -132 07081998 986274 0976296 -240 6122 0956859 -441 575 1945 1058 14081998 966470 0979920 -203 5966 0974647 -257 411 659 521 21081998 934316 0966730 -338 5863 0982703 -174 1145 304 590 28081998 901108 0964457 -362 5337 0910220 -941 1310 8849 3404 04091998 949019 1053169 518 5714 1070604 682 2684 4654 3534 11091998 950397 1001452 015 5832 1020722 205 002 421 030 18091998 953342 1003099 031 5818 0997531 -025 010 006 -008 25091998 956663 1003484 035 5775 0992712 -073 012 054 -025 02101998 958912 1002351 023 5759 0997230 -028 006 008 -007 09101998 943251 0983668 -165 5699 0989582 -105 271 110 172 16101998 943963 1000755 008 5687 0997894 -021 001 004 -002 23101998 934640 0990124 -099 5688 1000141 001 099 000 -001

Page 106

30101998 918468 0982697 -175 5290 0930098 -725 305 5251 1265 06111998 913223 0994289 -057 5203 0983517 -166 033 276 095 13111998 917822 1005036 050 5273 1013376 133 025 177 067 20111998 917160 0999279 -007 5192 0984676 -154 001 238 011 27111998 906802 0988706 -114 4970 0957165 -438 129 1917 497 04121998 902621 0995389 -046 4986 1003381 034 021 011 -016 11121998 889094 0985014 -151 5023 1007380 074 228 054 -111 18121998 902575 1015163 150 5288 1052715 514 226 2639 773 25121998 906891 1004782 048 5147 0973374 -270 023 728 -129 01011999 914183 1008041 080 5290 1027666 273 064 745 219 08011999 983873 1076232 735 6134 1159710 1482 5397 21954 10885 15011999 989959 1006186 062 6274 1022692 224 038 503 138 22011999 1016140 1026447 261 6548 1043739 428 681 1833 1117 29011999 1105790 1088226 845 7800 1191203 1750 7149 30612 14793 05021999 1094590 0989871 -102 8082 1036205 356 104 1265 -362 12021999 1053620 0962570 -381 6850 0847570 -1654 1455 27351 6309 19021999 1071770 1017226 171 7518 1097513 930 292 8658 1589 26021999 1055100 0984446 -157 7440 0989572 -105 246 110 164 05031999 1039860 0985556 -145 6931 0931613 -708 212 5018 1031 12031999 1041200 1001289 013 7196 1038204 375 002 1406 048 19031999 1027650 0986986 -131 7160 0994997 -050 172 025 066 26031999 1031360 1003610 036 7028 0981564 -186 013 346 -067 02041999 1034930 1003461 035 7114 1012180 121 012 147 042 09041999 1024940 0990347 -097 6950 0976946 -233 094 544 226 16041999 1026450 1001473 015 6654 0957408 -435 002 1895 -064 23041999 1038240 1011486 114 6683 1004449 044 130 020 051 30041999 1014430 0977067 -232 6389 0955949 -451 538 2030 1045 07051999 1027240 1012628 125 6351 0994115 -059 157 035 -074 14051999 1015400 0988474 -116 6366 1002393 024 134 006 -028 21051999 1012050 0996701 -033 6245 0980900 -193 011 372 064 28051999 986598 0974851 -255 6060 0970407 -300 649 902 765 04061999 977053 0990325 -097 5868 0968317 -322 095 1037 313 11061999 1007370 1031029 306 6034 1028221 278 934 775 850 18061999 989166 0981929 -182 5860 0971228 -292 333 852 532 25061999 1026150 1037389 367 5683 0969829 -306 1347 939 -1125 02071999 995282 0969919 -305 5428 0955096 -459 933 2111 1403 09071999 995600 1000320 003 5444 1002948 029 000 009 001 16071999 1012170 1016643 165 5430 0997355 -026 272 007 -044 23071999 981962 0970155 -303 5494 1011935 119 918 141 -359 30071999 971997 0989852 -102 5121 0932003 -704 104 4959 718 06081999 953229 0980691 -195 5026 0981409 -188 380 352 366 13081999 935049 0980928 -193 4848 0964661 -360 371 1294 693 20081999 944102 1009682 096 4853 1000990 010 093 001 010 27081999 935339 0990718 -093 4714 0971480 -289 087 837 270 03091999 928650 0992849 -072 4716 1000339 003 052 000 -002 10091999 923843 0994824 -052 4538 0962341 -384 027 1474 199 17091999 936583 1013790 137 4640 1022387 221 188 490 303 24091999 963355 1028585 282 4789 1032069 316 794 996 890 01101999 964466 1001153 012 4726 0986803 -133 001 176 -015 08101999 1008430 1045584 446 5332 1128322 1207 1987 14576 5382 15101999 1067340 1058418 568 5929 1111928 1061 3223 11256 6024

Page 107

22101999 1019230 0954925 -461 5517 0930509 -720 2127 5187 3322 29101999 1038280 1018691 185 5853 1060905 591 343 3495 1095 05111999 1047550 1008928 089 5904 1008748 087 079 076 077 12111999 1071510 1022872 226 5775 0978184 -221 511 487 -499 19111999 1077140 1005254 052 5759 0997230 -028 027 008 -015 26111999 1104220 1025141 248 5605 0973191 -272 617 738 -675 03121999 1152250 1043497 426 5650 1008136 081 1813 066 345 10121999 1338690 1161805 1500 6254 1106754 1014 22492 10288 15212 17121999 1235780 0923126 -800 5560 0889088 -1176 6398 13820 9403 24121999 1215240 0983379 -168 5503 0989784 -103 281 105 172 Sum -206 -3920 80467 230750 102346 Beta 127 Alpha -036 Std Dev Of Rndm Error Term 314 Std Error of Beta 0062 Std Error of Alpha 0174 Correlation Coefficient 075 Coefficient of Determination 057 Coefficient of Nondetermination 043

Page 108

Ameryah Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1)

02011998 1240540 7942 09011998 1222730 0985643 -145 7630 0960715 -401 209 1606 580 16011998 1206630 0986833 -133 7402 0970118 -303 176 920 402 23011998 1187560 0984196 -159 7427 1003377 034 254 011 -054 30011998 1161970 0978452 -218 7342 0988555 -115 475 132 251 06021998 1152100 0991506 -085 7184 0978480 -218 073 473 186 13021998 1148570 0996936 -031 7221 1005150 051 009 026 -016 20021998 1154110 1004823 048 7154 0990722 -093 023 087 -045 27021998 1152270 0998406 -016 7102 0992731 -073 003 053 012 06031998 1171950 1017079 169 7195 1013095 130 287 169 220 13031998 1177260 1004531 045 7099 0986657 -134 020 180 -061 20031998 1188570 1009607 096 7033 0990703 -093 091 087 -089 27031998 1200260 1009835 098 7053 1002844 028 096 008 028 03041998 1197600 0997784 -022 6796 0963562 -371 005 1378 082 10041998 1198900 1001086 011 6980 1027075 267 001 714 029 17041998 1195490 0997156 -028 6800 0974212 -261 008 683 074 24041998 1182420 0989067 -110 6772 0995882 -041 121 017 045 01051998 1176960 0995382 -046 6603 0975044 -253 021 639 117 08051998 1159590 0985242 -149 6644 1006209 062 221 038 -092 15051998 1129560 0974103 -262 6036 0908489 -960 688 9211 2518 22051998 1112340 0984755 -154 5908 0978794 -214 236 459 329 29051998 1073430 0965020 -356 5899 0998477 -015 1268 002 054 05061998 1045480 0973962 -264 5903 1000678 007 696 000 -018 12061998 1066480 1020086 199 6341 1074200 716 396 5123 1423 19061998 1032170 0967829 -327 5661 0892761 -1134 1069 12868 3709 26061998 1030030 0997927 -021 5875 1037803 371 004 1377 -077 03071998 1002040 0972826 -276 5707 0971404 -290 759 842 799 10071998 982199 0980199 -200 5640 0988260 -118 400 139 236 17071998 970995 0988593 -115 5441 0964716 -359 132 1290 412 24071998 995234 1024963 247 5734 1053850 525 608 2751 1293 31071998 1010220 1015058 149 5517 0962156 -386 223 1488 -577 07081998 986274 0976296 -240 5370 0973355 -270 575 729 648 14081998 966470 0979920 -203 5365 0999069 -009 411 001 019 21081998 934316 0966730 -338 5148 0959553 -413 1145 1705 1397 28081998 901108 0964457 -362 5057 0982323 -178 1310 318 645 04091998 949019 1053169 518 5693 1125766 1185 2684 14034 6137 11091998 950397 1001452 015 5622 0987529 -125 002 157 -018 18091998 953342 1003099 031 5844 1039488 387 010 1500 120 25091998 956663 1003484 035 5819 0995722 -043 012 018 -015 02101998 958912 1002351 023 5757 0989345 -107 006 115 -025 09101998 943251 0983668 -165 5709 0991662 -084 271 070 138 16101998 943963 1000755 008 5062 0886670 -1203 001 14468 -091 23101998 934640 0990124 -099 5109 1009285 092 099 085 -092

Page 109

30101998 918468 0982697 -175 5045 0987473 -126 305 159 220 06111998 913223 0994289 -057 5066 1004163 042 033 017 -024 13111998 917822 1005036 050 5141 1014805 147 025 216 074 20111998 917160 0999279 -007 5079 0987940 -121 001 147 009 27111998 906802 0988706 -114 5038 0991928 -081 129 066 092 04121998 902621 0995389 -046 5093 1010917 109 021 118 -050 11121998 889094 0985014 -151 5084 0998233 -018 228 003 027 18121998 902575 1015163 150 5088 1000787 008 226 001 012 25121998 906891 1004782 048 5069 0996266 -037 023 014 -018 01011999 914183 1008041 080 5095 1005129 051 064 026 041 08011999 983873 1076232 735 5674 1113641 1076 5397 11585 7907 15011999 989959 1006186 062 6026 1062037 602 038 3623 371 22011999 1016140 1026447 261 6488 1076668 739 681 5457 1928 29011999 1105790 1088226 845 7109 1095715 914 7149 8355 7728 05021999 1094590 0989871 -102 6429 0904347 -1005 104 10109 1024 12021999 1053620 0962570 -381 6441 1001867 019 1455 003 -071 19021999 1071770 1017226 171 6268 0973141 -272 292 741 -465 26021999 1055100 0984446 -157 6180 0985960 -141 246 200 222 05031999 1039860 0985556 -145 5756 0931392 -711 212 5052 1034 12031999 1041200 1001289 013 5791 1006081 061 002 037 008 19031999 1027650 0986986 -131 5533 0955448 -456 172 2077 597 26031999 1031360 1003610 036 5719 1033616 331 013 1093 119 02041999 1034930 1003461 035 5928 1036545 359 012 1288 124 09041999 1024940 0990347 -097 6142 1036100 355 094 1258 -344 16041999 1026450 1001473 015 5845 0951644 -496 002 2457 -073 23041999 1038240 1011486 114 5749 0983576 -166 130 274 -189 30041999 1014430 0977067 -232 5767 1003131 031 538 010 -073 07051999 1027240 1012628 125 5558 0963759 -369 157 1363 -463 14051999 1015400 0988474 -116 5698 1025189 249 134 619 -288 21051999 1012050 0996701 -033 5666 0994384 -056 011 032 019 28051999 986598 0974851 -255 5494 0969643 -308 649 950 785 04061999 977053 0990325 -097 5384 0979978 -202 095 409 197 11061999 1007370 1031029 306 5271 0979012 -212 934 450 -648 18061999 989166 0981929 -182 5423 1028837 284 333 808 -518 25061999 1026150 1037389 367 5553 1023972 237 1347 561 870 02071999 995282 0969919 -305 5490 0988655 -114 933 130 348 09071999 995600 1000320 003 5222 0951184 -500 000 2505 -016 16071999 1012170 1016643 165 5090 0974722 -256 272 655 -423 23071999 981962 0970155 -303 4992 0980747 -194 918 378 589 30071999 971997 0989852 -102 4900 0981571 -186 104 346 190 06081999 953229 0980691 -195 4528 0924082 -790 380 6234 1539 13081999 935049 0980928 -193 4505 0994920 -051 371 026 098 20081999 944102 1009682 096 4628 1027303 269 093 726 260 27081999 935339 0990718 -093 4611 0996327 -037 087 014 034 03091999 928650 0992849 -072 4556 0988072 -120 052 144 086 10091999 923843 0994824 -052 4651 1020852 206 027 426 -107 17091999 936583 1013790 137 4450 0956783 -442 188 1952 -605 24091999 963355 1028585 282 4477 1006067 060 794 037 170 01101999 964466 1001153 012 4451 0994193 -058 001 034 -007 08101999 1008430 1045584 446 4708 1057740 561 1987 3151 2502 15101999 1067340 1058418 568 5075 1077952 751 3223 5635 4262

Page 110

22101999 1019230 0954925 -461 4646 0915468 -883 2127 7800 4074 29101999 1038280 1018691 185 4762 1024968 247 343 608 457 05111999 1047550 1008928 089 4486 0942041 -597 079 3565 -531 12111999 1071510 1022872 226 4825 1075568 728 511 5307 1647 19111999 1077140 1005254 052 4741 0982591 -176 027 308 -092 26111999 1104220 1025141 248 4814 1015398 153 617 233 379 03121999 1152250 1043497 426 4750 0986705 -134 1813 179 -570 10121999 1338690 1161805 1500 5374 1131368 1234 22492 15234 18511 17121999 1235780 0923126 -800 4618 0859323 -1516 6398 22986 12127 24121999 1215240 0983379 -168 4993 1081204 781 281 6096 -1309

Sum -206 -4641 80467 220262 84434 Beta 105 Alpha -043 Std Dev Of Rndm Error Term 358 Std Error of Beta 0067 Std Error of Alpha 0187 Correlation Coefficient 064 Coefficient of Determination 041 Coefficient of Nondetermination 059

Page 111

Helwan Portland

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 6794 09011998 1222730 0985643 -145 6738 0991757 -083 209 069 120 16011998 1206630 0986833 -133 6678 0991095 -089 176 080 119 23011998 1187560 0984196 -159 6700 1003294 033 254 011 -052 30011998 1161970 0978452 -218 6736 1005373 054 475 029 -117 06021998 1152100 0991506 -085 6599 0979662 -205 073 422 175 13021998 1148570 0996936 -031 6663 1009698 097 009 093 -030 20021998 1154110 1004823 048 6605 0991295 -087 023 076 -042 27021998 1152270 0998406 -016 6625 1003028 030 003 009 -005 06031998 1171950 1017079 169 6795 1025660 253 287 642 429 13031998 1177260 1004531 045 7038 1035762 351 020 1235 159 20031998 1188570 1009607 096 7142 1014777 147 091 215 140 27031998 1200260 1009835 098 7289 1020582 204 096 415 199 03041998 1197600 0997784 -022 7191 0986555 -135 005 183 030 10041998 1198900 1001086 011 7298 1014880 148 001 218 016 17041998 1195490 0997156 -028 7326 1003837 038 008 015 -011 24041998 1182420 0989067 -110 7283 0994130 -059 121 035 065 01051998 1176960 0995382 -046 7338 1007552 075 021 057 -035 08051998 1159590 0985242 -149 7244 0987190 -129 221 166 192 15051998 1129560 0974103 -262 7136 0985091 -150 688 226 394 22051998 1112340 0984755 -154 7084 0992713 -073 236 053 112 29051998 1073430 0965020 -356 5748 0811406 -2090 1268 43675 7441 05061998 1045480 0973962 -264 5690 0989910 -101 696 103 268 12061998 1066480 1020086 199 5691 1000176 002 396 000 003 19061998 1032170 0967829 -327 5310 0933052 -693 1069 4802 2266 26061998 1030030 0997927 -021 5128 0965725 -349 004 1216 072 03071998 1002040 0972826 -276 5076 0989860 -102 759 104 281 10071998 982199 0980199 -200 5064 0997636 -024 400 006 047 17071998 970995 0988593 -115 4900 0967615 -329 132 1084 378 24071998 995234 1024963 247 5232 1067755 656 608 4298 1616 31071998 1010220 1015058 149 5317 1016246 161 223 260 241 07081998 986274 0976296 -240 5163 0971036 -294 575 864 705 14081998 966470 0979920 -203 5010 0970366 -301 411 905 610 21081998 934316 0966730 -338 4911 0980240 -200 1145 398 675 28081998 901108 0964457 -362 4880 0993688 -063 1310 040 229 04091998 949019 1053169 518 5239 1073566 710 2684 5039 3677 11091998 950397 1001452 015 5258 1003627 036 002 013 005 18091998 953342 1003099 031 5202 0989350 -107 010 115 -033 25091998 956663 1003484 035 5194 0998462 -015 012 002 -005 02101998 958912 1002351 023 5095 0980940 -192 006 370 -045 09101998 943251 0983668 -165 4961 0973700 -267 271 710 439 16101998 943963 1000755 008 5001 1008063 080 001 064 006 23101998 934640 0990124 -099 5006 1001000 010 099 001 -010

Page 112

30101998 918468 0982697 -175 4827 0964243 -364 305 1326 636 06111998 913223 0994289 -057 4853 1005386 054 033 029 -031 13111998 917822 1005036 050 4943 1018545 184 025 338 092 20111998 917160 0999279 -007 4951 1001618 016 001 003 -001 27111998 906802 0988706 -114 4851 0979802 -204 129 416 232 04121998 902621 0995389 -046 4836 0996908 -031 021 010 014 11121998 889094 0985014 -151 4779 0988213 -119 228 141 179 18121998 902575 1015163 150 4803 1005022 050 226 025 075 25121998 906891 1004782 048 4818 1003123 031 023 010 015 01011999 914183 1008041 080 4823 1001038 010 064 001 008 08011999 983873 1076232 735 5453 1130624 1228 5397 15072 9019 15011999 989959 1006186 062 5624 1031359 309 038 953 190 22011999 1016140 1026447 261 5778 1027383 270 681 730 705 29011999 1105790 1088226 845 6642 1149533 1394 7149 19420 11782 05021999 1094590 0989871 -102 6304 0949112 -522 104 2728 532 12021999 1053620 0962570 -381 6355 1008090 081 1455 065 -307 19021999 1071770 1017226 171 6423 1010700 106 292 113 182 26021999 1055100 0984446 -157 6319 0983808 -163 246 266 256 05031999 1039860 0985556 -145 6159 0974680 -256 212 658 373 12031999 1041200 1001289 013 6081 0987336 -127 002 162 -016 19031999 1027650 0986986 -131 5959 0979938 -203 172 411 265 26031999 1031360 1003610 036 6047 1014768 147 013 215 053 02041999 1034930 1003461 035 6037 0998346 -017 012 003 -006 09041999 1024940 0990347 -097 6042 1000828 008 094 001 -008 16041999 1026450 1001473 015 6034 0998676 -013 002 002 -002 23041999 1038240 1011486 114 6082 1007955 079 130 063 090 30041999 1014430 0977067 -232 5916 0972706 -277 538 766 642 07051999 1027240 1012628 125 5243 0886241 -1208 157 14585 -1515 14051999 1015400 0988474 -116 5174 0986840 -132 134 176 154 21051999 1012050 0996701 -033 5148 0994975 -050 011 025 017 28051999 986598 0974851 -255 4951 0961733 -390 649 1522 994 04061999 977053 0990325 -097 4901 0989901 -102 095 103 099 11061999 1007370 1031029 306 5002 1020608 204 934 416 623 18061999 989166 0981929 -182 4900 0979608 -206 333 424 376 25061999 1026150 1037389 367 4738 0966939 -336 1347 1130 -1234 02071999 995282 0969919 -305 4663 0984171 -160 933 255 487 09071999 995600 1000320 003 4509 0966974 -336 000 1128 -011 16071999 1012170 1016643 165 4371 0969395 -311 272 966 -513 23071999 981962 0970155 -303 4098 0937543 -645 918 4159 1954 30071999 971997 0989852 -102 4109 1002684 027 104 007 -027 06081999 953229 0980691 -195 4005 0974690 -256 380 657 500 13081999 935049 0980928 -193 3845 0960050 -408 371 1662 785 20081999 944102 1009682 096 3963 1030689 302 093 914 291 27081999 935339 0990718 -093 3893 0982337 -178 087 318 166 03091999 928650 0992849 -072 3891 0999486 -005 052 000 004 10091999 923843 0994824 -052 3789 0973786 -266 027 706 138 17091999 936583 1013790 137 3763 0993138 -069 188 047 -094 24091999 963355 1028585 282 3753 0997343 -027 794 007 -075 01101999 964466 1001153 012 3711 0988809 -113 001 127 -013 08101999 1008430 1045584 446 3922 1056858 553 1987 3058 2465 15101999 1067340 1058418 568 4279 1091025 871 3223 7589 4946

Page 113

22101999 1019230 0954925 -461 3898 0910961 -933 2127 8697 4301 29101999 1038280 1018691 185 3904 1001539 015 343 002 028 05111999 1047550 1008928 089 3796 0972336 -281 079 787 -249 12111999 1071510 1022872 226 3961 1043467 425 511 1810 962 19111999 1077140 1005254 052 3784 0955314 -457 027 2090 -240 26111999 1104220 1025141 248 3784 1000000 000 617 000 000 03121999 1152250 1043497 426 3832 1012685 126 1813 159 537 10121999 1338690 1161805 1500 3911 1020616 204 22492 416 3060 17121999 1235780 0923126 -800 3701 0946305 -552 6398 3046 4415 24121999 1215240 0983379 -168 3733 1008646 086 281 074 -144 Sum -206 -5988 80467 169307 68883 Beta 085 Alpha -056 Std Dev Of Rndm Error Term 326 Std Error of Beta 0064 Std Error of Alpha 0178 Correlation Coefficient 060 Coefficient of Determination 035 Coefficient of Nondetermination 065

Page 114

Suez Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 6281 09011998 1222730 0985643 -145 6182 0984224 -159 209 253 230 16011998 1206630 0986833 -133 6105 0987500 -126 176 158 167 23011998 1187560 0984196 -159 6165 1009978 099 254 099 -158 30011998 1161970 0978452 -218 6047 0980832 -194 475 375 422 06021998 1152100 0991506 -085 6091 1007215 072 073 052 -061 13021998 1148570 0996936 -031 6229 1022686 224 009 503 -069 20021998 1154110 1004823 048 6444 1034443 339 023 1147 163 27021998 1152270 0998406 -016 6285 0975452 -249 003 618 040 06031998 1171950 1017079 169 6262 0996239 -038 287 014 -064 13031998 1177260 1004531 045 6445 1029182 288 020 827 130 20031998 1188570 1009607 096 6408 0994358 -057 091 032 -054 27031998 1200260 1009835 098 6630 1034614 340 096 1158 333 03041998 1197600 0997784 -022 6625 0999315 -007 005 000 002 10041998 1198900 1001086 011 6546 0988063 -120 001 144 -013 17041998 1195490 0997156 -028 6600 1008192 082 008 067 -023 24041998 1182420 0989067 -110 6565 0994767 -052 121 028 058 01051998 1176960 0995382 -046 6430 0979368 -208 021 435 096 08051998 1159590 0985242 -149 6389 0993638 -064 221 041 095 15051998 1129560 0974103 -262 6295 0985203 -149 688 222 391 22051998 1112340 0984755 -154 6343 1007654 076 236 058 -117 29051998 1073430 0965020 -356 6223 0981081 -191 1268 365 680 05061998 1045480 0973962 -264 6076 0976480 -238 696 567 628 12061998 1066480 1020086 199 6265 1031119 306 396 939 609 19061998 1032170 0967829 -327 5945 0948926 -524 1069 2748 1714 26061998 1030030 0997927 -021 5723 0962538 -382 004 1458 079 03071998 1002040 0972826 -276 5667 0990311 -097 759 095 268 10071998 982199 0980199 -200 5719 1009144 091 400 083 -182 17071998 970995 0988593 -115 5637 0985694 -144 132 208 165 24071998 995234 1024963 247 5716 1014030 139 608 194 344 31071998 1010220 1015058 149 5908 1033556 330 223 1089 493 07081998 986274 0976296 -240 5341 0903984 -1009 575 10190 2422 14081998 966470 0979920 -203 5001 0936340 -658 411 4327 1334 21081998 934316 0966730 -338 4818 0963463 -372 1145 1385 1259 28081998 901108 0964457 -362 4399 0913019 -910 1310 8281 3293 04091998 949019 1053169 518 4926 1119859 1132 2684 12815 5864 11091998 950397 1001452 015 4822 0978777 -215 002 460 -031 18091998 953342 1003099 031 4828 1001321 013 010 002 004 25091998 956663 1003484 035 4907 1016381 162 012 264 057 02101998 958912 1002351 023 4828 0983883 -162 006 264 -038 09101998 943251 0983668 -165 4774 0988702 -114 271 129 187 16101998 943963 1000755 008 4824 1010474 104 001 109 008 23101998 934640 0990124 -099 4885 1012627 125 099 157 -125

Page 115

30101998 918468 0982697 -175 4795 0981575 -186 305 346 325 06111998 913223 0994289 -057 4775 0995829 -042 033 017 024 13111998 917822 1005036 050 4811 1007615 076 025 058 038 20111998 917160 0999279 -007 4732 0983560 -166 001 275 012 27111998 906802 0988706 -114 4677 0988474 -116 129 134 132 04121998 902621 0995389 -046 4619 0987561 -125 021 157 058 11121998 889094 0985014 -151 4367 0945483 -561 228 3143 846 18121998 902575 1015163 150 4596 1052456 511 226 2614 769 25121998 906891 1004782 048 4605 1001978 020 023 004 009 01011999 914183 1008041 080 4655 1010659 106 064 112 085 08011999 983873 1076232 735 4995 1073047 705 5397 4971 5180 15011999 989959 1006186 062 4876 0976338 -239 038 573 -148 22011999 1016140 1026447 261 5126 1051268 500 681 2500 1305 29011999 1105790 1088226 845 6034 1176981 1630 7149 26554 13777 05021999 1094590 0989871 -102 5763 0955100 -459 104 2110 468 12021999 1053620 0962570 -381 5725 0993375 -066 1455 044 254 19021999 1071770 1017226 171 5715 0998412 -016 292 003 -027 26021999 1055100 0984446 -157 5588 0977732 -225 246 507 353 05031999 1039860 0985556 -145 5282 0945175 -564 212 3179 820 12031999 1041200 1001289 013 5364 1015491 154 002 236 020 19031999 1027650 0986986 -131 5218 0972882 -275 172 756 360 26031999 1031360 1003610 036 5188 0994251 -058 013 033 -021 02041999 1034930 1003461 035 5175 0997371 -026 012 007 -009 09041999 1024940 0990347 -097 5296 1023542 233 094 541 -226 16041999 1026450 1001473 015 5403 1020082 199 002 395 029 23041999 1038240 1011486 114 5538 1025073 248 130 613 283 30041999 1014430 0977067 -232 5345 0965035 -356 538 1267 826 07051999 1027240 1012628 125 4872 0911549 -926 157 8577 -1162 14051999 1015400 0988474 -116 4795 0984139 -160 134 256 185 21051999 1012050 0996701 -033 4788 0998673 -013 011 002 004 28051999 986598 0974851 -255 4597 0960129 -407 649 1655 1036 04061999 977053 0990325 -097 4459 0969943 -305 095 931 297 11061999 1007370 1031029 306 4551 1020589 204 934 415 623 18061999 989166 0981929 -182 4465 0981223 -190 333 359 346 25061999 1026150 1037389 367 4415 0988803 -113 1347 127 -413 02071999 995282 0969919 -305 4390 0994236 -058 933 033 177 09071999 995600 1000320 003 4541 1034374 338 000 1142 011 16071999 1012170 1016643 165 4731 1041842 410 272 1680 677 23071999 981962 0970155 -303 4431 0936587 -655 918 4292 1985 30071999 971997 0989852 -102 4508 1017441 173 104 299 -176 06081999 953229 0980691 -195 4393 0974389 -259 380 673 506 13081999 935049 0980928 -193 4378 0996690 -033 371 011 064 20081999 944102 1009682 096 4499 1027616 272 093 742 262 27081999 935339 0990718 -093 4428 0984239 -159 087 252 148 03091999 928650 0992849 -072 4394 0992198 -078 052 061 056 10091999 923843 0994824 -052 4399 1001243 012 027 002 -006 17091999 936583 1013790 137 4572 1039263 385 188 1483 527 24091999 963355 1028585 282 4614 1009147 091 794 083 257 01101999 964466 1001153 012 4598 0996651 -034 001 011 -004 08101999 1008430 1045584 446 4954 1077302 745 1987 5544 3319 15101999 1067340 1058418 568 5351 1080198 771 3223 5951 4380

Page 116

22101999 1019230 0954925 -461 4855 0907324 -973 2127 9459 4486 29101999 1038280 1018691 185 5099 1050257 490 343 2404 908 05111999 1047550 1008928 089 4932 0967248 -333 079 1109 -296 12111999 1071510 1022872 226 5022 1018248 181 511 327 409 19111999 1077140 1005254 052 5045 1004580 046 027 021 024 26111999 1104220 1025141 248 5039 0998811 -012 617 001 -030 03121999 1152250 1043497 426 5001 0992459 -076 1813 057 -322 10121999 1338690 1161805 1500 5898 1179364 1650 22492 27217 24742 17121999 1235780 0923126 -800 5044 0855205 -1564 6398 24465 12511 24121999 1215240 0983379 -168 5005 0992268 -078 281 060 130 Sum -206 -2271 80467 203211 101802 Beta 126 Alpha -020 Std Dev Of Rndm Error Term 271 Std Error of Beta 0058 Std Error of Alpha 0162 Correlation Coefficient 080 Coefficient of Determination 063 Coefficient of Nondetermination 037

Page 117

Tora Portland Cement

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 7721 09011998 1222730 0985643 -145 7484 0969304 -312 209 972 451 16011998 1206630 0986833 -133 7332 0979690 -205 176 421 272 23011998 1187560 0984196 -159 7241 0987589 -125 254 156 199 30011998 1161970 0978452 -218 6892 0951802 -494 475 2440 1076 06021998 1152100 0991506 -085 6911 1002757 028 073 008 -023 13021998 1148570 0996936 -031 6628 0959051 -418 009 1748 128 20021998 1154110 1004823 048 6496 0980084 -201 023 405 -097 27021998 1152270 0998406 -016 6547 1007851 078 003 061 -012 06031998 1171950 1017079 169 6915 1056209 547 287 2991 926 13031998 1177260 1004531 045 6900 0997831 -022 020 005 -010 20031998 1188570 1009607 096 7245 1050000 488 091 2380 466 27031998 1200260 1009835 098 7362 1016149 160 096 257 157 03041998 1197600 0997784 -022 7424 1008422 084 005 070 -019 10041998 1198900 1001086 011 7369 0992592 -074 001 055 -008 17041998 1195490 0997156 -028 7439 1009499 095 008 089 -027 24041998 1182420 0989067 -110 7370 0990725 -093 121 087 102 01051998 1176960 0995382 -046 7190 0975577 -247 021 611 114 08051998 1159590 0985242 -149 6998 0973296 -271 221 733 402 15051998 1129560 0974103 -262 6701 0957559 -434 688 1881 1138 22051998 1112340 0984755 -154 6773 1010745 107 236 114 -164 29051998 1073430 0965020 -356 6524 0963236 -375 1268 1403 1334 05061998 1045480 0973962 -264 6652 1019620 194 696 378 -513 12061998 1066480 1020086 199 6450 0969633 -308 396 951 -613 19061998 1032170 0967829 -327 6015 0932558 -698 1069 4875 2283 26061998 1030030 0997927 -021 6099 1013965 139 004 192 -029 03071998 1002040 0972826 -276 5719 0937695 -643 759 4138 1772 10071998 982199 0980199 -200 5452 0953314 -478 400 2286 956 17071998 970995 0988593 -115 5518 1012106 120 132 145 -138 24071998 995234 1024963 247 6339 1148786 1387 608 19239 3420 31071998 1010220 1015058 149 6348 1001420 014 223 002 021 07081998 986274 0976296 -240 6187 0974638 -257 575 660 616 14081998 966470 0979920 -203 5842 0944238 -574 411 3292 1164 21081998 934316 0966730 -338 5852 1001712 017 1145 003 -058 28081998 901108 0964457 -362 5794 0990089 -100 1310 099 360 04091998 949019 1053169 518 6237 1076458 737 2684 5428 3817 11091998 950397 1001452 015 6181 0991021 -090 002 081 -013 18091998 953342 1003099 031 6247 1010678 106 010 113 033 25091998 956663 1003484 035 6276 1004642 046 012 021 016 02101998 958912 1002351 023 6504 1036329 357 006 1273 084 09101998 943251 0983668 -165 6388 0982165 -180 271 324 296 16101998 943963 1000755 008 6449 1009549 095 001 090 007 23101998 934640 0990124 -099 6437 0998139 -019 099 003 018

Page 118

30101998 918468 0982697 -175 5477 0850862 -1615 305 26084 2819 06111998 913223 0994289 -057 5695 1039803 390 033 1523 -224 13111998 917822 1005036 050 5717 1003863 039 025 015 019 20111998 917160 0999279 -007 5780 1011020 110 001 120 -008 27111998 906802 0988706 -114 5800 1003460 035 129 012 -039 04121998 902621 0995389 -046 5758 0992759 -073 021 053 034 11121998 889094 0985014 -151 5686 0987496 -126 228 158 190 18121998 902575 1015163 150 5811 1021984 217 226 473 327 25121998 906891 1004782 048 5790 0996386 -036 023 013 -017 01011999 914183 1008041 080 5835 1007772 077 064 060 062 08011999 983873 1076232 735 6729 1153213 1426 5397 20321 10473 15011999 989959 1006186 062 7063 1049636 484 038 2347 299 22011999 1016140 1026447 261 7230 1023644 234 681 546 610 29011999 1105790 1088226 845 7810 1080221 772 7149 5955 6524 05021999 1094590 0989871 -102 7362 0942638 -591 104 3490 601 12021999 1053620 0962570 -381 7597 1031921 314 1455 987 -1199 19021999 1071770 1017226 171 7512 0988811 -113 292 127 -192 26021999 1055100 0984446 -157 7157 0952742 -484 246 2344 759 05031999 1039860 0985556 -145 7118 0994551 -055 212 030 079 12031999 1041200 1001289 013 6991 0982158 -180 002 324 -023 19031999 1027650 0986986 -131 6635 0949077 -523 172 2732 685 26031999 1031360 1003610 036 6775 1021100 209 013 436 075 02041999 1034930 1003461 035 7124 1051513 502 012 2523 174 09041999 1024940 0990347 -097 7022 0985682 -144 094 208 140 16041999 1026450 1001473 015 6905 0983338 -168 002 282 -025 23041999 1038240 1011486 114 7024 1017234 171 130 292 195 30041999 1014430 0977067 -232 6869 0977933 -223 538 498 518 07051999 1027240 1012628 125 6601 0960984 -398 157 1584 -499 14051999 1015400 0988474 -116 6800 1030147 297 134 882 -344 21051999 1012050 0996701 -033 6846 1006765 067 011 045 -022 28051999 986598 0974851 -255 6700 0978674 -216 649 465 549 04061999 977053 0990325 -097 6655 0993284 -067 095 045 066 11061999 1007370 1031029 306 6719 1009617 096 934 092 292 18061999 989166 0981929 -182 6501 0967555 -330 333 1088 601 25061999 1026150 1037389 367 6122 0941701 -601 1347 3608 -2205 02071999 995282 0969919 -305 6043 0987096 -130 933 169 397 09071999 995600 1000320 003 6193 1024822 245 000 601 008 16071999 1012170 1016643 165 6396 1032779 323 272 1040 532 23071999 981962 0970155 -303 6000 0938086 -639 918 4085 1937 30071999 971997 0989852 -102 5756 0959333 -415 104 1724 423 06081999 953229 0980691 -195 5655 0982453 -177 380 313 345 13081999 935049 0980928 -193 5907 1044562 436 371 1901 -840 20081999 944102 1009682 096 5900 0998815 -012 093 001 -011 27081999 935339 0990718 -093 5947 1007966 079 087 063 -074 03091999 928650 0992849 -072 5787 0973096 -273 052 744 196 10091999 923843 0994824 -052 6140 1060999 592 027 3506 -307 17091999 936583 1013790 137 5901 0961075 -397 188 1576 -544 24091999 963355 1028585 282 6103 1034231 337 794 1133 949 01101999 964466 1001153 012 6460 1058496 568 001 3232 066 08101999 1008430 1045584 446 6783 1050000 488 1987 2380 2175 15101999 1067340 1058418 568 7012 1033761 332 3223 1102 1885

Page 119

22101999 1019230 0954925 -461 6597 0940816 -610 2127 3722 2814 29101999 1038280 1018691 185 6777 1027285 269 343 725 498 05111999 1047550 1008928 089 6745 0995278 -047 079 022 -042 12111999 1071510 1022872 226 6076 0900815 -1045 511 10911 -2362 19111999 1077140 1005254 052 6329 1041639 408 027 1664 214 26111999 1104220 1025141 248 6453 1019592 194 617 376 482 03121999 1152250 1043497 426 6847 1061057 593 1813 3512 2523 10121999 1338690 1161805 1500 7898 1153498 1428 22492 20392 21416 17121999 1235780 0923126 -800 6702 0848569 -1642 6398 26963 13135 24121999 1215240 0983379 -168 7092 1058192 566 281 3199 -948 Sum -206 -850 80467 235301 86067 Beta 107 Alpha -006 Std Dev Of Rndm Error Term 377 Std Error of Beta 0068 Std Error of Alpha 0191 Correlation Coefficient 063 Coefficient of Determination 039 Coefficient of Nondetermination 061

Page 120

Upper Egypt Flour Mills

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5639 09011998 1222730 0985643 -145 5422 0961518 -392 209 1540 567 16011998 1206630 0986833 -133 4928 0908890 -955 176 9126 1266 23011998 1187560 0984196 -159 5053 1025365 250 254 627 -399 30011998 1161970 0978452 -218 5003 0990105 -099 475 099 217 06021998 1152100 0991506 -085 5096 1018589 184 073 339 -157 13021998 1148570 0996936 -031 5381 1055926 544 009 2961 -167 20021998 1154110 1004823 048 5859 1088831 851 023 7243 410 27021998 1152270 0998406 -016 5911 1008875 088 003 078 -014 06031998 1171950 1017079 169 6392 1081374 782 287 6120 1325 13031998 1177260 1004531 045 5999 0938517 -635 020 4026 -287 20031998 1188570 1009607 096 6168 1028171 278 091 772 266 27031998 1200260 1009835 098 6226 1009403 094 096 088 092 03041998 1197600 0997784 -022 6071 0975104 -252 005 636 056 10041998 1198900 1001086 011 6025 0992423 -076 001 058 -008 17041998 1195490 0997156 -028 6051 1004315 043 008 019 -012 24041998 1182420 0989067 -110 5819 0961659 -391 121 1528 430 01051998 1176960 0995382 -046 6052 1040041 393 021 1541 -182 08051998 1159590 0985242 -149 5933 0980337 -199 221 394 295 15051998 1129560 0974103 -262 5637 0950110 -512 688 2619 1343 22051998 1112340 0984755 -154 5238 0929218 -734 236 5389 1128 29051998 1073430 0965020 -356 4877 0931081 -714 1268 5099 2543 05061998 1045480 0973962 -264 4595 0942178 -596 696 3548 1571 12061998 1066480 1020086 199 4822 1049402 482 396 2325 959 19061998 1032170 0967829 -327 4818 0999170 -008 1069 001 027 26061998 1030030 0997927 -021 4795 0995226 -048 004 023 010 03071998 1002040 0972826 -276 4704 0981022 -192 759 367 528 10071998 982199 0980199 -200 4538 0964711 -359 400 1291 719 17071998 970995 0988593 -115 4544 1001322 013 132 002 -015 24071998 995234 1024963 247 4802 1056778 552 608 3050 1362 31071998 1010220 1015058 149 4983 1037693 370 223 1369 553 07081998 986274 0976296 -240 4698 0942806 -589 575 3469 1413 14081998 966470 0979920 -203 4825 1027033 267 411 711 -541 21081998 934316 0966730 -338 4695 0973057 -273 1145 746 924 28081998 901108 0964457 -362 4556 0970394 -301 1310 903 1088 04091998 949019 1053169 518 4795 1052458 511 2684 2614 2649 11091998 950397 1001452 015 4758 0992284 -077 002 060 -011 18091998 953342 1003099 031 4654 0978142 -221 010 488 -068 25091998 956663 1003484 035 4554 0978513 -217 012 472 -076 02101998 958912 1002351 023 4558 1000878 009 006 001 002 09101998 943251 0983668 -165 4223 0926503 -763 271 5828 1257 16101998 943963 1000755 008 4294 1016813 167 001 278 013 23101998 934640 0990124 -099 3931 0915463 -883 099 7801 877

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30101998 918468 0982697 -175 3658 0930552 -720 305 5181 1256 06111998 913223 0994289 -057 3086 0843630 -1700 033 28914 974 13111998 917822 1005036 050 3419 1107907 1025 025 10501 515 20111998 917160 0999279 -007 3452 1009652 096 001 092 -007 27111998 906802 0988706 -114 3318 0961182 -396 129 1567 450 04121998 902621 0995389 -046 3434 1034961 344 021 1181 -159 11121998 889094 0985014 -151 3437 1000874 009 228 001 -013 18121998 902575 1015163 150 3427 0997090 -029 226 008 -044 25121998 906891 1004782 048 36 1050481 492 023 2425 235 01011999 914183 1008041 080 3632 1008889 088 064 078 071 08011999 983873 1076232 735 4372 1203744 1854 5397 34387 13623 15011999 989959 1006186 062 4225 0966377 -342 038 1170 -211 22011999 1016140 1026447 261 4397 1040710 399 681 1592 1042 29011999 1105790 1088226 845 4738 1077553 747 7149 5579 6315 05021999 1094590 0989871 -102 4727 0997678 -023 104 005 024 12021999 1053620 0962570 -381 4519 0955997 -450 1455 2025 1717 19021999 1071770 1017226 171 4765 1054437 530 292 2810 905 26021999 1055100 0984446 -157 4714 0989297 -108 246 116 169 05031999 1039860 0985556 -145 4612 0978362 -219 212 479 318 12031999 1041200 1001289 013 4423 0959020 -418 002 1751 -054 19031999 1027650 0986986 -131 4462 1008818 088 172 077 -115 26031999 1031360 1003610 036 4586 1027790 274 013 751 099 02041999 1034930 1003461 035 4396 0958570 -423 012 1790 -146 09041999 1024940 0990347 -097 4152 0944495 -571 094 3261 554 16041999 1026450 1001473 015 3972 0956647 -443 002 1964 -065 23041999 1038240 1011486 114 3902 0982377 -178 130 316 -203 30041999 1014430 0977067 -232 3653 0936187 -659 538 4348 1530 07051999 1027240 1012628 125 3754 1027649 273 157 744 342 14051999 1015400 0988474 -116 3486 0928609 -741 134 5486 859 21051999 1012050 0996701 -033 3339 0957831 -431 011 1856 142 28051999 986598 0974851 -255 3213 0962264 -385 649 1480 980 04061999 977053 0990325 -097 3207 0998133 -019 095 003 018 11061999 1007370 1031029 306 3423 1067353 652 934 4249 1992 18061999 989166 0981929 -182 3325 0971370 -290 333 844 530 25061999 1026150 1037389 367 2992 0899850 -1055 1347 11136 -3874 02071999 995282 0969919 -305 3089 1032420 319 933 1018 -974 09071999 995600 1000320 003 2968 0960829 -400 000 1597 -013 16071999 1012170 1016643 165 3195 1076482 737 272 5432 1216 23071999 981962 0970155 -303 315 0985915 -142 918 201 430 30071999 971997 0989852 -102 3035 0963492 -372 104 1383 379 06081999 953229 0980691 -195 2889 0951895 -493 380 2431 961 13081999 935049 0980928 -193 2757 0954309 -468 371 2187 901 20081999 944102 1009682 096 2792 1012695 126 093 159 122 27081999 935339 0990718 -093 2859 1023997 237 087 562 -221 03091999 928650 0992849 -072 282 0986359 -137 052 189 099 10091999 923843 0994824 -052 3108 1102128 972 027 9456 -505 17091999 936583 1013790 137 3008 0967825 -327 188 1070 -448 24091999 963355 1028585 282 3016 1002660 027 794 007 075 01101999 964466 1001153 012 3017 1000332 003 001 000 000 08101999 1008430 1045584 446 3245 1075572 729 1987 5307 3247 15101999 1067340 1058418 568 3413 1051772 505 3223 2548 2866

Page 122

22101999 1019230 0954925 -461 3195 0936127 -660 2127 4357 3044 29101999 1038280 1018691 185 3256 1019092 189 343 358 350 05111999 1047550 1008928 089 2663 0817875 -2010 079 40420 -1787 12111999 1071510 1022872 226 2813 1056327 548 511 3003 1239 19111999 1077140 1005254 052 2776 0986847 -132 027 175 -069 26111999 1104220 1025141 248 2755 0992435 -076 617 058 -189 03121999 1152250 1043497 426 273 0990926 -091 1813 083 -388 10121999 1338690 1161805 1500 2777 1017216 171 22492 291 2560 17121999 1235780 0923126 -800 2606 0938423 -636 6398 4039 5084 24121999 1215240 0983379 -168 2553 0979662 -205 281 422 344 Sum -206 -7924 80467 310570 70040 Beta 087 Alpha -075 Std Dev Of Rndm Error Term 491 Std Error of Beta 0078 Std Error of Alpha 0218 Correlation Coefficient 045 Coefficient of Determination 020 Coefficient of Nondetermination 080

Page 123

Nasr City for Housing and Development

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 10973 09011998 1222730 0985643 -145 10724 0977262 -230 209 529 333 16011998 1206630 0986833 -133 10722 0999860 -001 176 000 002 23011998 1187560 0984196 -159 10612 0989741 -103 254 106 164 30011998 1161970 0978452 -218 10569 0995901 -041 475 017 089 06021998 1152100 0991506 -085 10372 0981360 -188 073 354 161 13021998 1148570 0996936 -031 10075 0971412 -290 009 841 089 20021998 1154110 1004823 048 9827 0975385 -249 023 621 -120 27021998 1152270 0998406 -016 10000 1017605 175 003 305 -028 06031998 1171950 1017079 169 10182 1018200 180 287 325 305 13031998 1177260 1004531 045 10080 0989933 -101 020 102 -046 20031998 1188570 1009607 096 10299 1021777 215 091 464 206 27031998 1200260 1009835 098 10688 1037722 370 096 1371 362 03041998 1197600 0997784 -022 10585 0990409 -096 005 093 021 10041998 1198900 1001086 011 10642 1005385 054 001 029 006 17041998 1195490 0997156 -028 10648 1000564 006 008 000 -002 24041998 1182420 0989067 -110 10613 0996713 -033 121 011 036 01051998 1176960 0995382 -046 10470 0986479 -136 021 185 063 08051998 1159590 0985242 -149 10393 0992645 -074 221 054 110 15051998 1129560 0974103 -262 10092 0971037 -294 688 864 771 22051998 1112340 0984755 -154 9631 0954368 -467 236 2181 718 29051998 1073430 0965020 -356 9625 0999377 -006 1268 000 022 05061998 1045480 0973962 -264 9140 0949558 -518 696 2679 1366 12061998 1066480 1020086 199 9153 1001422 014 396 002 028 19061998 1032170 0967829 -327 8790 0960393 -404 1069 1633 1321 26061998 1030030 0997927 -021 8353 0950284 -510 004 2600 106 03071998 1002040 0972826 -276 8133 0973662 -267 759 712 735 10071998 982199 0980199 -200 7391 0908705 -957 400 9165 1915 17071998 970995 0988593 -115 6762 0914958 -889 132 7899 1020 24071998 995234 1024963 247 7760 1147516 1376 608 18934 3393 31071998 1010220 1015058 149 8084 1041820 410 223 1678 612 07081998 986274 0976296 -240 7844 0970250 -302 575 912 725 14081998 966470 0979920 -203 7377 0940524 -613 411 3760 1244 21081998 934316 0966730 -338 7071 0958520 -424 1145 1795 1433 28081998 901108 0964457 -362 6804 0962169 -386 1310 1487 1396 04091998 949019 1053169 518 7267 1068127 659 2684 4344 3414 11091998 950397 1001452 015 7367 1013761 137 002 187 020 18091998 953342 1003099 031 7295 0990227 -098 010 096 -030 25091998 956663 1003484 035 7445 1020493 203 012 412 071 02101998 958912 1002351 023 7439 0999261 -007 006 001 -002 09101998 943251 0983668 -165 7179 0964982 -356 271 1271 587 16101998 943963 1000755 008 6238 0868914 -1405 001 19743 -106 23101998 934640 0990124 -099 6142 0984689 -154 099 238 153

Page 124

30101998 918468 0982697 -175 5338 0869098 -1403 305 19684 2449 06111998 913223 0994289 -057 5694 1066692 646 033 4168 -370 13111998 917822 1005036 050 5300 0930717 -718 025 5155 -361 20111998 917160 0999279 -007 5102 0962732 -380 001 1442 027 27111998 906802 0988706 -114 5148 1009016 090 129 081 -102 04121998 902621 0995389 -046 5135 0997378 -026 021 007 012 11121998 889094 0985014 -151 5151 1003214 032 228 010 -048 18121998 902575 1015163 150 5143 0998350 -017 226 003 -025 25121998 906891 1004782 048 5115 0994555 -055 023 030 -026 01011999 914183 1008041 080 5153 1007430 074 064 055 059 08011999 983873 1076232 735 5576 1082193 790 5397 6239 5803 15011999 989959 1006186 062 5613 1006546 065 038 043 040 22011999 1016140 1026447 261 5728 1020579 204 681 415 532 29011999 1105790 1088226 845 6809 1188722 1729 7149 29887 14617 05021999 1094590 0989871 -102 6457 0948304 -531 104 2818 540 12021999 1053620 0962570 -381 5937 0919390 -840 1455 7064 3206 19021999 1071770 1017226 171 6268 1055757 543 292 2944 927 26021999 1055100 0984446 -157 6139 0979418 -208 246 433 326 05031999 1039860 0985556 -145 5772 0940295 -616 212 3790 896 12031999 1041200 1001289 013 5590 0968468 -320 002 1027 -041 19031999 1027650 0986986 -131 5457 0976208 -241 172 580 315 26031999 1031360 1003610 036 5352 0980667 -195 013 381 -070 02041999 1034930 1003461 035 5509 1029431 290 012 841 100 09041999 1024940 0990347 -097 5325 0966509 -341 094 1160 330 16041999 1026450 1001473 015 5518 1036248 356 002 1268 052 23041999 1038240 1011486 114 5388 0976439 -238 130 569 -272 30041999 1014430 0977067 -232 5212 0967332 -332 538 1103 771 07051999 1027240 1012628 125 4940 0947904 -535 157 2863 -671 14051999 1015400 0988474 -116 4499 0910628 -936 134 8765 1085 21051999 1012050 0996701 -033 4500 1000333 003 011 000 -001 28051999 986598 0974851 -255 4500 1000000 000 649 000 000 04061999 977053 0990325 -097 4333 0962889 -378 095 1430 368 11061999 1007370 1031029 306 4221 0974152 -262 934 686 -800 18061999 989166 0981929 -182 4025 0953566 -475 333 2261 867 25061999 1026150 1037389 367 3968 0985839 -143 1347 203 -524 02071999 995282 0969919 -305 3726 0939012 -629 933 3960 1922 09071999 995600 1000320 003 3789 1016908 168 000 281 005 16071999 1012170 1016643 165 3853 1016891 167 272 281 276 23071999 981962 0970155 -303 3912 1015313 152 918 231 -460 30071999 971997 0989852 -102 3837 0980828 -194 104 375 197 06081999 953229 0980691 -195 3903 1017201 171 380 291 -333 13081999 935049 0980928 -193 3854 0987446 -126 371 160 243 20081999 944102 1009682 096 3753 0973793 -266 093 705 -256 27081999 935339 0990718 -093 3598 0958700 -422 087 1779 393 03091999 928650 0992849 -072 3562 0989994 -101 052 101 072 10091999 923843 0994824 -052 3546 0995508 -045 027 020 023 17091999 936583 1013790 137 3765 1061760 599 188 3591 821 24091999 963355 1028585 282 3903 1036653 360 794 1296 1015 01101999 964466 1001153 012 3791 0971304 -291 001 848 -034 08101999 1008430 1045584 446 4114 1085202 818 1987 6686 3645 15101999 1067340 1058418 568 4367 1061497 597 3223 3562 3388

Page 125

22101999 1019230 0954925 -461 4218 0965880 -347 2127 1205 1601 29101999 1038280 1018691 185 3687 0874111 -1345 343 18103 -2492 05111999 1047550 1008928 089 3487 0945755 -558 079 3110 -496 12111999 1071510 1022872 226 3549 1017780 176 511 311 399 19111999 1077140 1005254 052 3567 1005072 051 027 026 027 26111999 1104220 1025141 248 3356 0940847 -610 617 3718 -1514 03121999 1152250 1043497 426 3546 1056615 551 1813 3033 2345 10121999 1338690 1161805 1500 3498 0986464 -136 22492 186 -2044 17121999 1235780 0923126 -800 3611 1032304 318 6398 1011 -2543 24121999 1215240 0983379 -168 3308 0916090 -876 281 7681 1469 Sum -206 -11991 80467 257954 60346 Beta 075 Alpha -115 Std Dev Of Rndm Error Term 444 Std Error of Beta 0074 Std Error of Alpha 0208 Correlation Coefficient 043 Coefficient of Determination 018 Coefficient of Nondetermination 082

Page 126

Abu Keir for Fertilisers

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 8459 09011998 1222730 0985643 -145 8438 0997517 -025 209 006 036 16011998 1206630 0986833 -133 8022 0950699 -506 176 2556 670 23011998 1187560 0984196 -159 7874 0981551 -186 254 347 297 30011998 1161970 0978452 -218 783 0994412 -056 475 031 122 06021998 1152100 0991506 -085 774 0988506 -116 073 134 099 13021998 1148570 0996936 -031 7632 0986047 -141 009 197 043 20021998 1154110 1004823 048 7711 1010351 103 023 106 050 27021998 1152270 0998406 -016 7744 1004280 043 003 018 -007 06031998 1171950 1017079 169 7716 0996384 -036 287 013 -061 13031998 1177260 1004531 045 7685 0995982 -040 020 016 -018 20031998 1188570 1009607 096 7453 0969811 -307 091 940 -293 27031998 1200260 1009835 098 7287 0977727 -225 096 507 -220 03041998 1197600 0997784 -022 7419 1018114 180 005 322 -040 10041998 1198900 1001086 011 7419 1000000 000 001 000 000 17041998 1195490 0997156 -028 7402 0997709 -023 008 005 007 24041998 1182420 0989067 -110 7369 0995542 -045 121 020 049 01051998 1176960 0995382 -046 7358 0998507 -015 021 002 007 08051998 1159590 0985242 -149 733 0996195 -038 221 015 057 15051998 1129560 0974103 -262 7246 0988540 -115 688 133 302 22051998 1112340 0984755 -154 7037 0971157 -293 236 857 450 29051998 1073430 0965020 -356 6648 0944721 -569 1268 3234 2025 05061998 1045480 0973962 -264 6775 1019103 189 696 358 -499 12061998 1066480 1020086 199 7001 1033358 328 396 1077 653 19061998 1032170 0967829 -327 6614 0944722 -569 1069 3234 1859 26061998 1030030 0997927 -021 6678 1009676 096 004 093 -020 03071998 1002040 0972826 -276 6351 0951033 -502 759 2521 1383 10071998 982199 0980199 -200 6234 0981578 -186 400 346 372 17071998 970995 0988593 -115 6126 0982676 -175 132 305 200 24071998 995234 1024963 247 6178 1008488 085 608 071 208 31071998 1010220 1015058 149 6189 1001781 018 223 003 027 07081998 986274 0976296 -240 6026 0973663 -267 575 712 640 14081998 966470 0979920 -203 5796 0961832 -389 411 1514 789 21081998 934316 0966730 -338 5415 0934265 -680 1145 4623 2301 28081998 901108 0964457 -362 5395 0996307 -037 1310 014 134 04091998 949019 1053169 518 5648 1046895 458 2684 2100 2374 11091998 950397 1001452 015 5801 1027089 267 002 714 039 18091998 953342 1003099 031 5755 0992070 -080 010 063 -025 25091998 956663 1003484 035 5834 1013727 136 012 186 047 02101998 958912 1002351 023 598 1025026 247 006 611 058 09101998 943251 0983668 -165 6272 1048829 477 271 2273 -785 16101998 943963 1000755 008 6497 1035874 352 001 1242 027 23101998 934640 0990124 -099 5815 0895028 -1109 099 12299 1101

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30101998 918468 0982697 -175 6326 1087876 842 305 7094 -1470 06111998 913223 0994289 -057 6336 1001581 016 033 002 -009 13111998 917822 1005036 050 6338 1000316 003 025 000 002 20111998 917160 0999279 -007 6471 1020985 208 001 431 -015 27111998 906802 0988706 -114 6366 0983774 -164 129 268 186 04121998 902621 0995389 -046 6304 0990261 -098 021 096 045 11121998 889094 0985014 -151 6247 0990958 -091 228 083 137 18121998 902575 1015163 150 6103 0976949 -233 226 544 -351 25121998 906891 1004782 048 6092 0998198 -018 023 003 -009 01011999 914183 1008041 080 6117 1004104 041 064 017 033 08011999 983873 1076232 735 6219 1016675 165 5397 273 1215 15011999 989959 1006186 062 6122 0984403 -157 038 247 -097 22011999 1016140 1026447 261 606 0989873 -102 681 104 -266 29011999 1105790 1088226 845 6213 1025248 249 7149 622 2108 05021999 1094590 0989871 -102 6163 0991952 -081 104 065 082 12021999 1053620 0962570 -381 5805 0941911 -598 1455 3581 2283 19021999 1071770 1017226 171 5799 0998966 -010 292 001 -018 26021999 1055100 0984446 -157 5871 1012416 123 246 152 -193 05031999 1039860 0985556 -145 5798 0987566 -125 212 157 182 12031999 1041200 1001289 013 5796 0999655 -003 002 000 -000 19031999 1027650 0986986 -131 5793 0999482 -005 172 000 007 26031999 1031360 1003610 036 5818 1004316 043 013 019 016 02041999 1034930 1003461 035 575 0988312 -118 012 138 -041 09041999 1024940 0990347 -097 5542 0963826 -368 094 1358 357 16041999 1026450 1001473 015 5438 0981234 -189 002 359 -028 23041999 1038240 1011486 114 5387 0990622 -094 130 089 -108 30041999 1014430 0977067 -232 5017 0931316 -712 538 5063 1651 07051999 1027240 1012628 125 4687 0934224 -680 157 4629 -854 14051999 1015400 0988474 -116 4446 0948581 -528 134 2787 612 21051999 1012050 0996701 -033 4741 1066352 642 011 4127 -212 28051999 986598 0974851 -255 4599 0970049 -304 649 925 775 04061999 977053 0990325 -097 4223 0918243 -853 095 7275 829 11061999 1007370 1031029 306 4203 0995264 -047 934 023 -145 18061999 989166 0981929 -182 3721 0885320 -1218 333 14837 2221 25061999 1026150 1037389 367 4174 1121741 1149 1347 13198 4217 02071999 995282 0969919 -305 4198 1005750 057 933 033 -175 09071999 995600 1000320 003 4374 1041925 411 000 1687 013 16071999 1012170 1016643 165 4243 0970050 -304 272 925 -502 23071999 981962 0970155 -303 4127 0972661 -277 918 768 840 30071999 971997 0989852 -102 40 0969227 -313 104 977 319 06081999 953229 0980691 -195 3788 0947000 -545 380 2965 1062 13081999 935049 0980928 -193 3854 1017423 173 371 298 -333 20081999 944102 1009682 096 3981 1032953 324 093 1051 312 27081999 935339 0990718 -093 4149 1042200 413 087 1709 -385 03091999 928650 0992849 -072 415 1000241 002 052 000 -002 10091999 923843 0994824 -052 4138 0997108 -029 027 008 015 17091999 936583 1013790 137 3927 0949009 -523 188 2739 -717 24091999 963355 1028585 282 4096 1043035 421 794 1775 1188 01101999 964466 1001153 012 4043 0987061 -130 001 170 -015 08101999 1008430 1045584 446 4059 1003957 039 1987 016 176 15101999 1067340 1058418 568 4054 0998768 -012 3223 002 -070

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22101999 1019230 0954925 -461 3984 0982733 -174 2127 303 803 29101999 1038280 1018691 185 3268 0820281 -1981 343 39247 -3669 05111999 1047550 1008928 089 3201 0979498 -207 079 429 -184 12111999 1071510 1022872 226 3164 0988441 -116 511 135 -263 19111999 1077140 1005254 052 298 0941846 -599 027 3590 -314 26111999 1104220 1025141 248 2952 0990604 -094 617 089 -234 03121999 1152250 1043497 426 2998 1015583 155 1813 239 658 10121999 1338690 1161805 1500 326 1087392 838 22492 7019 12565 17121999 1235780 0923126 -800 3303 1013190 131 6398 172 -1048 24121999 1215240 0983379 -168 3165 0958220 -427 281 1821 715 Sum -206 -9831 80467 180553 38354 Beta 047 Alpha -094 Std Dev Of Rndm Error Term 389 Std Error of Beta 0070 Std Error of Alpha 0194 Correlation Coefficient 033 Coefficient of Determination 011 Coefficient of Nondetermination 089

Page 129

Egyptian Financial and Industrial

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 10251 09011998 1222730 0985643 -145 10199 0994879 -051 209 026 074 16011998 1206630 0986833 -133 10039 0984311 -158 176 250 210 23011998 1187560 0984196 -159 10021 0998257 -017 254 003 028 30011998 1161970 0978452 -218 9630 0960982 -398 475 1584 867 06021998 1152100 0991506 -085 9051 0939875 -620 073 3845 529 13021998 1148570 0996936 -031 8848 0977572 -227 009 515 070 20021998 1154110 1004823 048 8823 0997175 -028 023 008 -014 27021998 1152270 0998406 -016 8847 1002720 027 003 007 -004 06031998 1171950 1017079 169 8405 0950040 -513 287 2627 -868 13031998 1177260 1004531 045 8903 1059191 575 020 3307 260 20031998 1188570 1009607 096 9174 1030497 300 091 902 287 27031998 1200260 1009835 098 9387 1023218 230 096 527 225 03041998 1197600 0997784 -022 9448 1006498 065 005 042 -014 10041998 1198900 1001086 011 9569 1012754 127 001 161 014 17041998 1195490 0997156 -028 9600 1003292 033 008 011 -009 24041998 1182420 0989067 -110 9581 0998021 -020 121 004 022 01051998 1176960 0995382 -046 9600 1001983 020 021 004 -009 08051998 1159590 0985242 -149 9449 0984271 -159 221 251 236 15051998 1129560 0974103 -262 9370 0991639 -084 688 070 220 22051998 1112340 0984755 -154 8661 0924333 -787 236 6191 1209 29051998 1073430 0965020 -356 8478 0978871 -214 1268 456 760 05061998 1045480 0973962 -264 8321 0981481 -187 696 349 493 12061998 1066480 1020086 199 8270 0993871 -061 396 038 -122 19061998 1032170 0967829 -327 7944 0960580 -402 1069 1617 1315 26061998 1030030 0997927 -021 7651 0963117 -376 004 1412 078 03071998 1002040 0972826 -276 7211 0942491 -592 759 3508 1632 10071998 982199 0980199 -200 6744 0935238 -670 400 4483 1339 17071998 970995 0988593 -115 6608 0979834 -204 132 415 234 24071998 995234 1024963 247 6082 0920400 -829 608 6880 -2045 31071998 1010220 1015058 149 6169 1014305 142 223 202 212 07081998 986274 0976296 -240 5979 0969201 -313 575 979 750 14081998 966470 0979920 -203 6034 1009199 092 411 084 -186 21081998 934316 0966730 -338 5803 0961717 -390 1145 1524 1321 28081998 901108 0964457 -362 5608 0966397 -342 1310 1168 1237 04091998 949019 1053169 518 5944 1059914 582 2684 3386 3014 11091998 950397 1001452 015 5724 0962988 -377 002 1422 -055 18091998 953342 1003099 031 5754 1005241 052 010 027 016 25091998 956663 1003484 035 5906 1026416 261 012 680 091 02101998 958912 1002351 023 6025 1020149 199 006 398 047 09101998 943251 0983668 -165 5959 0989046 -110 271 121 181 16101998 943963 1000755 008 5913 0992281 -077 001 060 -006 23101998 934640 0990124 -099 5860 0991037 -090 099 081 089

Page 130

30101998 918468 0982697 -175 5867 1001195 012 305 001 -021 06111998 913223 0994289 -057 5824 0992671 -074 033 054 042 13111998 917822 1005036 050 5777 0991930 -081 025 066 -041 20111998 917160 0999279 -007 5775 0999654 -003 001 000 000 27111998 906802 0988706 -114 5766 0998442 -016 129 002 018 04121998 902621 0995389 -046 5767 1000173 002 021 000 -001 11121998 889094 0985014 -151 5724 0992544 -075 228 056 113 18121998 902575 1015163 150 5676 0991614 -084 226 071 -127 25121998 906891 1004782 048 5625 0991015 -090 023 081 -043 01011999 914183 1008041 080 5627 1000356 004 064 000 003 08011999 983873 1076232 735 5876 1044251 433 5397 1875 3181 15011999 989959 1006186 062 5944 1011572 115 038 132 071 22011999 1016140 1026447 261 6172 1038358 376 681 1417 983 29011999 1105790 1088226 845 6828 1106286 1010 7149 10203 8540 05021999 1094590 0989871 -102 6460 0946104 -554 104 3069 564 12021999 1053620 0962570 -381 6061 0938235 -638 1455 4065 2432 19021999 1071770 1017226 171 6023 0993730 -063 292 040 -107 26021999 1055100 0984446 -157 5949 0987714 -124 246 153 194 05031999 1039860 0985556 -145 5656 0950748 -505 212 2551 735 12031999 1041200 1001289 013 5642 0997525 -025 002 006 -003 19031999 1027650 0986986 -131 5620 0996101 -039 172 015 051 26031999 1031360 1003610 036 5488 0976512 -238 013 565 -086 02041999 1034930 1003461 035 5568 1014577 145 012 209 050 09041999 1024940 0990347 -097 5498 0987428 -127 094 160 123 16041999 1026450 1001473 015 5354 0973809 -265 002 704 -039 23041999 1038240 1011486 114 5442 1016436 163 130 266 186 30041999 1014430 0977067 -232 5266 0967659 -329 538 1081 763 07051999 1027240 1012628 125 5229 0992974 -071 157 050 -088 14051999 1015400 0988474 -116 5022 0960413 -404 134 1631 468 21051999 1012050 0996701 -033 5134 1022302 221 011 487 -073 28051999 986598 0974851 -255 4781 0931243 -712 649 5074 1814 04061999 977053 0990325 -097 4664 0975528 -248 095 614 241 11061999 1007370 1031029 306 4637 0994211 -058 934 034 -177 18061999 989166 0981929 -182 4442 0957947 -430 333 1846 783 25061999 1026150 1037389 367 4289 0965556 -351 1347 1229 -1287 02071999 995282 0969919 -305 4239 0988342 -117 933 138 358 09071999 995600 1000320 003 4152 0979476 -207 000 430 -007 16071999 1012170 1016643 165 3782 0910886 -933 272 8712 -1541 23071999 981962 0970155 -303 3657 0966949 -336 918 1130 1018 30071999 971997 0989852 -102 3748 1024884 246 104 604 -251 06081999 953229 0980691 -195 3672 0979723 -205 380 420 399 13081999 935049 0980928 -193 3575 0973584 -268 371 717 516 20081999 944102 1009682 096 3472 0971189 -292 093 855 -282 27081999 935339 0990718 -093 3472 1000000 000 087 000 000 03091999 928650 0992849 -072 3320 0956221 -448 052 2004 321 10091999 923843 0994824 -052 3207 0965964 -346 027 1199 180 17091999 936583 1013790 137 3166 0987215 -129 188 166 -176 24091999 963355 1028585 282 3189 1007265 072 794 052 204 01101999 964466 1001153 012 3150 0987770 -123 001 151 -014 08101999 1008430 1045584 446 3336 1059048 574 1987 3291 2557 15101999 1067340 1058418 568 3445 1032674 322 3223 1034 1825

Page 131

22101999 1019230 0954925 -461 3200 0928882 -738 2127 5442 3403 29101999 1038280 1018691 185 3210 1003125 031 343 010 058 05111999 1047550 1008928 089 2864 0892212 -1141 079 13008 -1014 12111999 1071510 1022872 226 2820 0984637 -155 511 240 -350 19111999 1077140 1005254 052 2828 1002837 028 027 008 015 26111999 1104220 1025141 248 2758 0975248 -251 617 628 -622 03121999 1152250 1043497 426 2796 1013778 137 1813 187 583 10121999 1338690 1161805 1500 3185 1139127 1303 22492 16968 19536 17121999 1235780 0923126 -800 2840 0891680 -1146 6398 13144 9171 24121999 1215240 0983379 -168 2754 0969718 -307 281 946 515 Sum -206 -13143 80467 158917 69392 Beta 086 Alpha -126 Std Dev Of Rndm Error Term 286 Std Error of Beta 0060 Std Error of Alpha 0167 Correlation Coefficient 065 Coefficient of Determination 042 Coefficient of Nondetermination 058

Page 132

Paints and Chemical Industries (PACHIN)

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns (X)2 (Y)2 (XY) (X) =ln (Vt Vt-1) (Y) =ln (Pt Pt-1) 02011998 1240540 5386 09011998 1222730 0985643 -145 5201 0965649 -350 209 1222 505 16011998 1206630 0986833 -133 5121 0984617 -155 176 240 205 23011998 1187560 0984196 -159 4640 0906162 -985 254 9710 1570 30011998 1161970 0978452 -218 4846 1044289 433 475 1878 -944 06021998 1152100 0991506 -085 4850 1000929 009 073 001 -008 13021998 1148570 0996936 -031 5240 1080412 773 009 5982 -237 20021998 1154110 1004823 048 5664 1080821 777 023 6040 374 27021998 1152270 0998406 -016 5648 0997263 -027 003 008 004 06031998 1171950 1017079 169 5709 1010800 107 287 115 182 13031998 1177260 1004531 045 5779 1012261 122 020 149 055 20031998 1188570 1009607 096 5835 1009690 096 091 093 092 27031998 1200260 1009835 098 5800 0994002 -060 096 036 -059 03041998 1197600 0997784 -022 5792 0998621 -014 005 002 003 10041998 1198900 1001086 011 5752 0993094 -069 001 048 -008 17041998 1195490 0997156 -028 5745 0998696 -013 008 002 004 24041998 1182420 0989067 -110 5743 0999652 -003 121 000 004 01051998 1176960 0995382 -046 5613 0977362 -229 021 524 106 08051998 1159590 0985242 -149 5750 1024410 241 221 582 -359 15051998 1129560 0974103 -262 5637 0980433 -198 688 390 518 22051998 1112340 0984755 -154 5338 0946869 -546 236 2981 839 29051998 1073430 0965020 -356 4772 0893958 -1121 1268 12566 3991 05061998 1045480 0973962 -264 4966 1040763 400 696 1596 -1054 12061998 1066480 1020086 199 5150 1037052 364 396 1324 724 19061998 1032170 0967829 -327 5184 1006602 066 1069 043 -215 26061998 1030030 0997927 -021 5013 0966917 -336 004 1132 070 03071998 1002040 0972826 -276 4836 0964688 -360 759 1292 990 10071998 982199 0980199 -200 4713 0974563 -258 400 664 515 17071998 970995 0988593 -115 4750 1007851 078 132 061 -090 24071998 995234 1024963 247 4797 1009896 098 608 097 243 31071998 1010220 1015058 149 4789 0998332 -017 223 003 -025 07081998 986274 0976296 -240 4700 0981414 -188 575 352 450 14081998 966470 0979920 -203 4355 0926588 -762 411 5814 1547 21081998 934316 0966730 -338 4041 0927891 -748 1145 5601 2532 28081998 901108 0964457 -362 3685 0912016 -921 1310 8482 3333 04091998 949019 1053169 518 3935 1067843 656 2684 4309 3400 11091998 950397 1001452 015 4291 1090343 865 002 7481 125 18091998 953342 1003099 031 4428 1031931 314 010 988 097 25091998 956663 1003484 035 4673 1055449 540 012 2912 188 02101998 958912 1002351 023 4670 0999251 -007 006 001 -002 09101998 943251 0983668 -165 4599 0984902 -152 271 231 251 16101998 943963 1000755 008 4513 0981300 -189 001 356 -014 23101998 934640 0990124 -099 4718 1045314 443 099 1964 -440

Page 133

30101998 918468 0982697 -175 4937 1046423 454 305 2059 -792 06111998 913223 0994289 -057 4450 0901448 -1038 033 10765 594 13111998 917822 1005036 050 4574 1027865 275 025 755 138 20111998 917160 0999279 -007 4286 0937035 -650 001 4229 047 27111998 906802 0988706 -114 4153 0968969 -315 129 994 358 04121998 902621 0995389 -046 3887 0935950 -662 021 4382 306 11121998 889094 0985014 -151 3465 0891433 -1149 228 13208 1735 18121998 902575 1015163 150 3490 1007215 072 226 052 108 25121998 906891 1004782 048 3468 0993696 -063 023 040 -030 01011999 914183 1008041 080 3500 1009227 092 064 084 074 08011999 983873 1076232 735 3962 1131857 1239 5397 15341 9099 15011999 989959 1006186 062 4063 1025495 252 038 634 155 22011999 1016140 1026447 261 4358 1072615 701 681 4914 1830 29011999 1105790 1088226 845 4246 0974412 -259 7149 672 -2192 05021999 1094590 0989871 -102 4203 0989873 -102 104 104 104 12021999 1053620 0962570 -381 3905 0928979 -737 1455 5427 2810 19021999 1071770 1017226 171 4049 1036881 362 292 1312 619 26021999 1055100 0984446 -157 3900 0963196 -375 246 1406 588 05031999 1039860 0985556 -145 3709 0951019 -502 212 2522 731 12031999 1041200 1001289 013 3733 1006606 066 002 043 008 19031999 1027650 0986986 -131 3665 0981784 -184 172 338 241 26031999 1031360 1003610 036 3548 0967940 -326 013 1062 -117 02041999 1034930 1003461 035 3564 1004651 046 012 022 016 09041999 1024940 0990347 -097 3503 0982884 -173 094 298 167 16041999 1026450 1001473 015 3772 1076649 739 002 5454 109 23041999 1038240 1011486 114 3711 0983826 -163 130 266 -186 30041999 1014430 0977067 -232 3649 0983291 -169 538 284 391 07051999 1027240 1012628 125 3593 0984651 -155 157 239 -194 14051999 1015400 0988474 -116 3508 0976479 -238 134 567 276 21051999 1012050 0996701 -033 3650 1040336 395 011 1564 -131 28051999 986598 0974851 -255 3487 0955336 -457 649 2088 1164 04061999 977053 0990325 -097 3513 1007601 076 095 057 -074 11061999 1007370 1031029 306 3597 1023769 235 934 552 718 18061999 989166 0981929 -182 3477 0966634 -339 333 1152 619 25061999 1026150 1037389 367 3375 0970804 -296 1347 878 -1088 02071999 995282 0969919 -305 3498 1036296 357 933 1271 -1089 09071999 995600 1000320 003 3487 0996998 -030 000 009 -001 16071999 1012170 1016643 165 3505 1005019 050 272 025 083 23071999 981962 0970155 -303 3446 0983307 -168 918 283 510 30071999 971997 0989852 -102 3359 0974753 -256 104 654 261 06081999 953229 0980691 -195 3162 0941203 -606 380 3672 1181 13081999 935049 0980928 -193 3022 0955717 -453 371 2051 872 20081999 944102 1009682 096 3149 1042032 412 093 1695 397 27081999 935339 0990718 -093 3109 0987454 -126 087 159 118 03091999 928650 0992849 -072 3072 0988099 -120 052 143 086 10091999 923843 0994824 -052 3065 0997559 -024 027 006 013 17091999 936583 1013790 137 3150 1027900 275 188 757 377 24091999 963355 1028585 282 3164 1004444 044 794 020 125 01101999 964466 1001153 012 3163 0999526 -005 001 000 -001 08101999 1008430 1045584 446 3317 1048854 477 1987 2275 2126 15101999 1067340 1058418 568 3392 1022460 222 3223 493 1261

Page 134

22101999 1019230 0954925 -461 3127 0922011 -812 2127 6593 3745 29101999 1038280 1018691 185 3162 1011193 111 343 124 206 05111999 1047550 1008928 089 3249 1027514 271 079 737 241 12111999 1071510 1022872 226 3235 0995537 -045 511 020 -101 19111999 1077140 1005254 052 2841 0878343 -1297 027 16827 -680 26111999 1104220 1025141 248 2755 0969553 -309 617 956 -768 03121999 1152250 1043497 426 2684 0974406 -259 1813 672 -1104 10121999 1338690 1161805 1500 2853 1062779 609 22492 3707 9132 17121999 1235780 0923126 -800 2592 0908501 -960 6398 9208 7676 24121999 1215240 0983379 -168 2553 0984951 -152 281 230 254 Sum -206 -7466 80467 223623 62586 Beta 078 Alpha -071 Std Dev Of Rndm Error Term 410 Std Error of Beta 0071 Std Error of Alpha 0200 Correlation Coefficient 047 Coefficient of Determination 022 Coefficient of Nondetermination 078

Page 135

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) (421)

ri = ln (Pt Pt-1) (422)

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 136

Helwan Portland Cement - Takeover

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 05082001 524103 2743 06082001 538487 1027445 003 2817 1026978 003 -056 085 002 -054 057 07082001 545306 1012663 001 2801 0994320 -001 -056 085 001 -055 055 112 08082001 545779 1000867 000 2787 0995002 -001 -056 085 000 -056 056 167 09082001 553572 1014279 001 2842 1019734 002 -056 085 001 -055 057 225 12082001 562356 1015868 002 2970 1045039 004 -056 085 001 -055 059 284 13082001 577288 1026553 003 3107 1046128 005 -056 085 002 -054 059 343 14082001 589018 1020319 002 3254 1047313 005 -056 085 002 -055 059 402 15082001 569431 0966746 -003 3109 0955439 -005 -056 085 -003 -059 055 457 16082001 561918 0986806 -001 3226 1037633 004 -056 085 -001 -058 061 518 19082001 574654 1022665 002 3380 1047737 005 -056 085 002 -055 059 577 20082001 574422 0999596 -000 3318 0981657 -002 -056 085 -000 -056 055 632 21082001 563572 0981111 -002 3170 0955395 -005 -056 085 -002 -058 053 685 22082001 557923 0989976 -001 3175 1001577 000 -056 085 -001 -057 057 743 23082001 564762 1012258 001 3241 1020787 002 -056 085 001 -055 057 800 26082001 562188 0995442 -000 3222 0994138 -001 -056 085 -000 -057 056 857 27082001 566747 1008109 001 3239 1005276 001 -056 085 001 -056 056 913 28082001 578448 1020646 002 3398 1049089 005 -056 085 002 -055 059 972 29082001 577700 0998707 -000 3561 1047969 005 -056 085 -000 -057 061 1034 30082001 595784 1031303 003 3739 1049986 005 -056 085 003 -054 059 1092 02092001 615099 1032419 003 3739 1000000 000 -056 085 003 -054 054 1146 03092001 623383 1013468 001 3926 1050013 005 -056 085 001 -055 060 1206 04092001 631607 1013193 001 4122 1049924 005 -056 085 001 -055 060 1266

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05092001 647104 1024536 002 4328 1049976 005 -056 085 002 -054 059 1325 06092001 642737 0993251 -001 4544 1049908 005 -056 085 -001 -057 062 1387 09092001 632584 0984203 -002 4770 1049736 005 -056 085 -001 -058 063 1450 10092001 640695 1012822 001 4541 0951992 -005 -056 085 001 -055 050 1500 11092001 646508 1009073 001 4344 0956617 -004 -056 085 001 -056 051 1552 12092001 622690 0963159 -004 4344 1000000 000 -056 085 -003 -060 060 1611 13092001 626337 1005857 001 4561 1049954 005 -056 085 000 -056 061 1672 16092001 624189 0996571 -000 5110 1120368 011 -056 085 -000 -057 068 1740 17092001 609400 0976307 -002 5110 1000000 000 -056 085 -002 -058 058 1799 18092001 601322 0986744 -001 5110 1000000 000 -056 085 -001 -058 058 1856 19092001 620730 1032276 003 5110 1000000 000 -056 085 003 -054 054 1910 20092001 614817 0990474 -001 5110 1000000 000 -056 085 -001 -057 057 1967 23092001 597012 0971040 -003 5110 1000000 000 -056 085 -003 -059 059 2026 24092001 588809 0986260 -001 5103 0998630 -000 -056 085 -001 -058 057 2084 25092001 581727 0987972 -001 5103 1000000 000 -056 085 -001 -057 057 2141 26092001 570192 0980171 -002 5103 1000000 000 -056 085 -002 -058 058 2199 27092001 561925 0985501 -001 5103 1000000 000 -056 085 -001 -058 058 2257 30092001 564278 1004187 000 4848 0950029 -005 -056 085 000 -056 051 2308 01102001 568252 1007043 001 4848 1000000 000 -056 085 001 -056 056 2364

Page 138

Suez Cement - Takeover

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 22082001 557923 3272 23082001 564762 1012258 001 3323 1015587 002 -020 126 002 -018 020 26082001 562188 0995442 -000 3257 0980138 -002 -020 126 -001 -020 018 038 27082001 566747 1008109 001 3287 1009211 001 -020 126 001 -018 019 057 28082001 578448 1020646 002 3451 1049894 005 -020 126 003 -017 022 079 29082001 577700 0998707 -000 3569 1034193 003 -020 126 -000 -020 023 102 30082001 595784 1031303 003 3662 1026058 003 -020 126 004 -016 018 120 02092001 615099 1032419 003 3708 1012561 001 -020 126 004 -015 017 137 03092001 623383 1013468 001 3654 0985437 -001 -020 126 002 -018 016 153 04092001 631607 1013193 001 3635 0994800 -001 -020 126 002 -018 017 170 05092001 647104 1024536 002 3765 1035763 004 -020 126 003 -016 020 190 06092001 642737 0993251 -001 3829 1016999 002 -020 126 -001 -020 022 213 09092001 632584 0984203 -002 3828 0999739 -000 -020 126 -002 -022 022 234 10092001 640695 1012822 001 3866 1009927 001 -020 126 002 -018 019 253 11092001 646508 1009073 001 3891 1006467 001 -020 126 001 -018 019 272 12092001 622690 0963159 -004 3700 0950912 -005 -020 126 -005 -024 019 291 13092001 626337 1005857 001 3849 1040270 004 -020 126 001 -019 023 314 16092001 624189 0996571 -000 3911 1016108 002 -020 126 -000 -020 022 335 17092001 609400 0976307 -002 3828 0978778 -002 -020 126 -003 -023 020 356 18092001 601322 0986744 -001 3675 0960031 -004 -020 126 -002 -021 017 373 19092001 620730 1032276 003 3829 1041905 004 -020 126 004 -015 020 393

Page 139

20092001 614817 0990474 -001 3801 0992687 -001 -020 126 -001 -021 020 413 23092001 597012 0971040 -003 3654 0961326 -004 -020 126 -004 -023 019 432 24092001 588809 0986260 -001 3523 0964149 -004 -020 126 -002 -021 018 449 25092001 581727 0987972 -001 3641 1033494 003 -020 126 -002 -021 024 474 26092001 570192 0980171 -002 3733 1025268 002 -020 126 -003 -022 025 498 27092001 561925 0985501 -001 3697 0990356 -001 -020 126 -002 -021 020 519 30092001 564278 1004187 000 3512 0949959 -005 -020 126 001 -019 014 533 01102001 568252 1007043 001 3512 1000000 000 -020 126 001 -019 019 551 02102001 555684 0977883 -002 3347 0953018 -005 -020 126 -003 -022 018 569 03102001 549459 0988798 -001 3201 0956379 -004 -020 126 -001 -021 016 585 04102001 544680 0991302 -001 3069 0958763 -004 -020 126 -001 -021 016 602 07102001 544675 0999991 -000 3266 1064190 006 -020 126 -000 -020 026 627 08102001 543049 0997015 -000 3276 1003062 000 -020 126 -000 -020 020 648 09102001 545728 1004933 000 3270 0998168 -000 -020 126 001 -019 019 666 10102001 549824 1007506 001 3330 1018349 002 -020 126 001 -019 020 687 11102001 554529 1008557 001 3419 1026727 003 -020 126 001 -018 021 708 14102001 563161 1015566 002 3330 0973969 -003 -020 126 002 -018 015 723 15102001 563789 1001115 000 3322 0997598 -000 -020 126 000 -019 019 742 16102001 560209 0993650 -001 3383 1018362 002 -020 126 -001 -020 022 764 17102001 573477 1023684 002 3463 1023648 002 -020 126 003 -017 019 783 18102001 579797 1011020 001 3510 1013572 001 -020 126 001 -018 019 802

Page 140

Commercial International Bank (CIB) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 20022000 1347460 4428 21022000 1343130 0996787 -032 4347 0981707 -185 -006 145 -047 -053 -132 22022000 1315370 0979332 -002 4283 0985277 -148 -006 145 -003 -009 -139 -271 23022000 1297370 0986316 -001 4135 0965445 -352 -006 145 -002 -008 -344 -614 24022000 1249590 0963172 -004 3967 0959371 -415 -006 145 -005 -012 -403 -1018 27022000 1284540 1027969 003 4043 1019158 190 -006 145 004 -002 192 -826 28022000 1302870 1014270 001 3931 0972298 -281 -006 145 002 -004 -277 -1103 29022000 1276950 0980105 -002 3824 0972780 -276 -006 145 -003 -009 -267 -1370 01032000 1271220 0995513 -000 3873 1012814 127 -006 145 -001 -007 134 -1235 02032000 1263010 0993542 -001 3847 0993287 -067 -006 145 -001 -007 -060 -1296 05032000 1234900 0977744 -002 3675 0955290 -457 -006 145 -003 -009 -448 -1744 06032000 1228550 0994858 -001 3600 0979592 -206 -006 145 -001 -007 -199 -1943 07032000 1265480 1030060 003 3756 1043333 424 -006 145 004 -002 426 -1517 08032000 1280930 1012209 001 3915 1042332 415 -006 145 002 -004 419 -1098 09032000 1278610 0998189 -000 4043 1032695 322 -006 145 -000 -006 328 -770 12032000 1236490 0967058 -003 3885 0960920 -399 -006 145 -005 -011 -388 -1157 13032000 1260850 1019701 002 3857 0992793 -072 -006 145 003 -003 -069 -1227 14032000 1262590 1001380 000 3860 1000778 008 -006 145 000 -006 014 -1213 19032000 1253290 0992634 -001 3808 0986528 -136 -006 145 -001 -007 -128 -1341 20032000 1246240 0994375 -001 3799 0997637 -024 -006 145 -001 -007 -017 -1358 21032000 1251680 1004365 000 3762 0990261 -098 -006 145 001 -006 -092 -1450

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22032000 1240940 0991420 -001 3720 0988836 -112 -006 145 -001 -007 -105 -1555 23032000 1233620 0994101 -001 3782 1016667 165 -006 145 -001 -007 172 -1383 26032000 1243700 1008171 001 3875 1024590 243 -006 145 001 -005 248 -1135 27032000 1247010 1002661 000 4004 1033290 327 -006 145 000 -006 333 -802 28032000 1262200 1012181 001 4065 1015235 151 -006 145 002 -004 156 -646 29032000 1260000 0998257 -000 3943 0969988 -305 -006 145 -000 -006 -298 -945 30032000 1251400 0993175 -001 4054 1028151 278 -006 145 -001 -007 285 -660 02042000 1252220 1000655 000 4042 0997040 -030 -006 145 000 -006 -024 -683 03042000 1259850 1006093 001 4132 1022266 220 -006 145 001 -005 225 -458 04042000 1248840 0991261 -001 4106 0993708 -063 -006 145 -001 -007 -056 -514 05042000 1239300 0992361 -001 4120 1003410 034 -006 145 -001 -007 041 -472 09042000 1220080 0984491 -002 4019 0975485 -248 -006 145 -002 -008 -240 -712 10042000 1180450 0967519 -003 3982 0990794 -092 -006 145 -005 -011 -082 -794 11042000 1181020 1000483 000 4062 1020090 199 -006 145 000 -006 205 -589 12042000 1215120 1028873 003 4085 1005662 056 -006 145 004 -002 058 -530 13042000 1198730 0986512 -001 4141 1013709 136 -006 145 -002 -008 144 -386 16042000 1156640 0964888 -004 3991 0963777 -369 -006 145 -005 -011 -358 -744 17042000 1124800 0972472 -003 3983 0997995 -020 -006 145 -004 -010 -010 -754 18042000 1128930 1003672 000 4105 1030630 302 -006 145 001 -006 307 -446 19042000 1119740 0991860 -001 3721 0906456 -982 -006 145 -001 -007 -975 -1421 20042000 1083240 0967403 -003 3648 0980382 -198 -006 145 -005 -011 -187 -1608

Page 142

Egyptian American Bank (EAB) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 06032000 1228550 3600 07032000 1265480 1030060 003 3756 1043333 004 -040 118 003 -036 040 08032000 1280930 1012209 001 3915 1042332 004 -040 118 001 -038 042 083 09032000 1278610 0998189 -000 4043 1032695 003 -040 118 -000 -040 043 126 12032000 1236490 0967058 -003 3885 0960920 -004 -040 118 -004 -044 040 166 13032000 1260850 1019701 002 3857 0992793 -001 -040 118 002 -037 037 202 14032000 1262590 1001380 000 3860 1000778 000 -040 118 000 -040 040 242 19032000 1253290 0992634 -001 3808 0986528 -001 -040 118 -001 -041 039 281 20032000 1246240 0994375 -001 3799 0997637 -000 -040 118 -001 -040 040 321 21032000 1251680 1004365 000 3762 0990261 -001 -040 118 001 -039 038 359 22032000 1240940 0991420 -001 3720 0988836 -001 -040 118 -001 -041 040 399 23032000 1233620 0994101 -001 3782 1016667 002 -040 118 -001 -040 042 441 26032000 1243700 1008171 001 3875 1024590 002 -040 118 001 -039 041 48227032000 1247010 1002661 000 4004 1033290 003 -040 118 000 -039 043 525 28032000 1262200 1012181 001 4065 1015235 002 -040 118 001 -038 040 564 29032000 1260000 0998257 -000 3943 0969988 -003 -040 118 -000 -040 037 601 30032000 1251400 0993175 -001 4054 1028151 003 -040 118 -001 -040 043 645 02042000 1252220 1000655 000 4042 0997040 -000 -040 118 000 -040 039 684 03042000 1259850 1006093 001 4132 1022266 002 -040 118 001 -039 041 725 04042000 1248840 0991261 -001 4106 0993708 -001 -040 118 -001 -041 040 765 05042000 1239300 0992361 -001 4120 1003410 000 -040 118 -001 -041 041 806

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09042000 1220080 0984491 -002 4019 0975485 -002 -040 118 -002 -042 039 845 10042000 1180450 0967519 -003 3982 0990794 -001 -040 118 -004 -044 043 888 11042000 1181020 1000483 000 4062 1020090 002 -040 118 000 -040 042 929 12042000 1215120 1028873 003 4085 1005662 001 -040 118 003 -036 037 966 13042000 1198730 0986512 -001 4141 1013709 001 -040 118 -002 -041 043 1009 16042000 1156640 0964888 -004 3991 0963777 -004 -040 118 -004 -044 040 1049 17042000 1124800 0972472 -003 3983 0997995 -000 -040 118 -003 -043 043 1092 18042000 1128930 1003672 000 4105 1030630 003 -040 118 000 -039 042 1134 19042000 1119740 0991860 -001 3721 0906456 -010 -040 118 -001 -041 031 1165 20042000 1083240 0967403 -003 3648 0980382 -002 -040 118 -004 -044 042 1206 23042000 1049820 0969148 -003 3489 0956414 -004 -040 118 -004 -043 039 1245 24042000 1042840 0993351 -001 3396 0973345 -003 -040 118 -001 -040 038 1283 26042000 1011554 0969999 -003 3563 1049176 005 -040 118 -004 -043 048 1331 27042000 1119630 1106842 010 3738 1049116 005 -040 118 012 -028 032 1364 02052000 1110810 0992122 -001 3682 0985019 -002 -040 118 -001 -041 039 1403 03052000 1081230 0973371 -003 3585 0973656 -003 -040 118 -003 -043 040 1443 04052000 1105850 1022770 002 3656 1019805 002 -040 118 003 -037 039 1482 07052000 1087730 0983614 -002 3646 0997265 -000 -040 118 -002 -042 041 1523 08052000 1104760 1015656 002 3671 1006857 001 -040 118 002 -038 039 1562 09052000 1125200 1018502 002 3734 1017162 002 -040 118 002 -038 039 1601 10052000 1136130 1009714 001 3707 0992769 -001 -040 118 001 -039 038 1639

Page 144

Misr International Bank (MIBANK) Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 24022000 1249590 5186 27022000 1284540 1027969 003 5323 1026535 003 -036 127 004 -032 035 28022000 1302870 1014270 001 5391 1012774 001 -036 127 002 -034 035 070 29022000 1276950 0980105 -002 5395 1000742 000 -036 127 -003 -038 038 108 01032000 1271220 0995513 -000 5310 0984134 -002 -036 127 -001 -036 034 142 02032000 1263010 0993542 -001 5283 0995028 -000 -036 127 -001 -036 036 178 05032000 1234900 0977744 -002 5201 0984403 -002 -036 127 -003 -038 037 215 06032000 1228550 0994858 -001 5198 0999539 -000 -036 127 -001 -036 036 251 07032000 1265480 1030060 003 5389 1036627 004 -036 127 004 -032 035 286 08032000 1280930 1012209 001 5412 1004305 000 -036 127 002 -034 034 321 09032000 1278610 0998189 -000 5416 1000739 000 -036 127 -000 -036 036 357 12032000 1236490 0967058 -003 5218 0963516 -004 -036 127 -004 -040 036 393 13032000 1260850 1019701 002 5118 0980684 -002 -036 127 002 -033 031 424 14032000 1262590 1001380 000 5049 0986556 -001 -036 127 000 -035 034 458 19032000 1253290 0992634 -001 5047 0999683 -000 -036 127 -001 -036 036 494 20032000 1246240 0994375 -001 5035 0997622 -000 -036 127 -001 -036 036 530 21032000 1251680 1004365 000 4920 0977121 -002 -036 127 001 -035 033 563 22032000 1240940 0991420 -001 4838 0983252 -002 -036 127 -001 -037 035 598 23032000 1233620 0994101 -001 4860 1004630 000 -036 127 -001 -036 037 634 26032000 1243700 1008171 001 4974 1023539 002 -036 127 001 -034 037 671 27032000 1247010 1002661 000 5052 1015600 002 -036 127 000 -035 037 708

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28032000 1262200 1012181 001 5054 1000475 000 -036 127 002 -034 034 742 29032000 1260000 0998257 -000 4951 0979582 -002 -036 127 -000 -036 034 776 30032000 1251400 0993175 -001 4923 0994345 -001 -036 127 -001 -036 036 811 02042000 1252220 1000655 000 4993 1014137 001 -036 127 000 -035 037 848 03042000 1259850 1006093 001 4995 1000481 000 -036 127 001 -035 035 883 04042000 1248840 0991261 -001 4938 0988469 -001 -036 127 -001 -037 035 918 05042000 1239300 0992361 -001 5010 1014744 001 -036 127 -001 -036 038 956 09042000 1220080 0984491 -002 4806 0959285 -004 -036 127 -002 -037 033 990 10042000 1180450 0967519 -003 4761 0990513 -001 -036 127 -004 -040 039 1029 11042000 1181020 1000483 000 4796 1007394 001 -036 127 000 -035 036 1065 12042000 1215120 1028873 003 4800 1000834 000 -036 127 004 -032 032 1097 13042000 1198730 0986512 -001 4800 1000000 000 -036 127 -002 -037 037 1134 16042000 1156640 0964888 -004 4779 0995667 -000 -036 127 -005 -040 040 1174 17042000 1124800 0972472 -003 4353 0910780 -009 -036 127 -004 -039 030 1203 18042000 1128930 1003672 000 4397 1010108 001 -036 127 000 -035 036 1239 19042000 1119740 0991860 -001 4378 0995633 -000 -036 127 -001 -037 036 1275 20042000 1083240 0967403 -003 4205 0960526 -004 -036 127 -004 -040 036 1311 23042000 1049820 0969148 -003 4061 0965753 -003 -036 127 -004 -039 036 1347 24042000 1042840 0993351 -001 4257 1048266 005 -036 127 -001 -036 041 1388 26042000 1011554 0969999 -003 4469 1049803 005 -036 127 -004 -039 044 1432 27042000 1119630 1106842 010 4613 1032223 003 -036 127 013 -023 026 1458

Page 146

Ameryah Cement Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 05042000 1239300 8213 09042000 1220080 0984491 -002 7803 0950079 -005 -043 105 -002 -045 039 10042000 1180450 0967519 -003 7803 1000000 000 -043 105 -003 -046 046 086 11042000 1181020 1000483 000 7803 1000000 000 -043 105 000 -043 043 129 12042000 1215120 1028873 003 7803 1000000 000 -043 105 003 -040 040 169 13042000 1198730 0986512 -001 7803 1000000 000 -043 105 -001 -044 044 213 16042000 1156640 0964888 -004 7803 1000000 000 -043 105 -004 -047 047 260 17042000 1124800 0972472 -003 7803 1000000 000 -043 105 -003 -046 046 306 18042000 1128930 1003672 000 7803 1000000 000 -043 105 000 -043 043 348 19042000 1119740 0991860 -001 7803 1000000 000 -043 105 -001 -044 044 392 20042000 1083240 0967403 -003 7803 1000000 000 -043 105 -003 -046 046 439 23042000 1049820 0969148 -003 7803 1000000 000 -043 105 -003 -046 046 485 24042000 1042840 0993351 -001 7803 1000000 000 -043 105 -001 -044 044 529 26042000 1011554 0969999 -003 7803 1000000 000 -043 105 -003 -046 046 575 27042000 1119630 1106842 010 7803 1000000 000 -043 105 011 -032 032 607 02052000 1110810 0992122 -001 7803 1000000 000 -043 105 -001 -044 044 651 03052000 1081230 0973371 -003 7803 1000000 000 -043 105 -003 -046 046 697 04052000 1105850 1022770 002 7803 1000000 000 -043 105 002 -041 041 737 07052000 1087730 0983614 -002 7803 1000000 000 -043 105 -002 -045 045 782 08052000 1104760 1015656 002 7803 1000000 000 -043 105 002 -041 041 823 09052000 1125200 1018502 002 7803 1000000 000 -043 105 002 -041 041 864

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10052000 1136130 1009714 001 7803 1000000 000 -043 105 001 -042 042 906 11052000 1139120 1002632 000 7803 1000000 000 -043 105 000 -043 043 949 14052000 1161700 1019822 002 7803 1000000 000 -043 105 002 -041 041 990 15052000 1179430 1015262 002 7803 1000000 000 -043 105 002 -041 041 1031 16052000 1203490 1020400 002 7803 1000000 000 -043 105 002 -041 041 1072 17052000 1207650 1003457 000 7803 1000000 000 -043 105 000 -043 043 1115 18052000 1170140 0968940 -003 7803 1000000 000 -043 105 -003 -046 046 1161 21052000 1144730 0978285 -002 7803 1000000 000 -043 105 -002 -045 045 1206 22052000 1127050 0984555 -002 7803 1000000 000 -043 105 -002 -045 045 1251 23052000 1137800 1009538 001 7803 1000000 000 -043 105 001 -042 042 1293 24052000 1105280 0971419 -003 7803 1000000 000 -043 105 -003 -046 046 1339 25052000 1079810 0976956 -002 7803 1000000 000 -043 105 -002 -045 045 1384 28052000 1096220 1015197 002 7803 1000000 000 -043 105 002 -041 041 1426 29052000 1120420 1022076 002 7803 1000000 000 -043 105 002 -041 041 1466 30052000 1094380 0976759 -002 7803 1000000 000 -043 105 -002 -045 045 1512 31052000 1091100 0997003 -000 7803 1000000 000 -043 105 -000 -043 043 1555 01062000 1084760 0994189 -001 7803 1000000 000 -043 105 -001 -044 044 1599 04062000 1055620 0973137 -003 7803 1000000 000 -043 105 -003 -046 046 1644 05062000 1053290 0997793 -000 7803 1000000 000 -043 105 -000 -043 043 1688 06062000 1033450 0981164 -002 7803 1000000 000 -043 105 -002 -045 045 1732 07062000 1019220 0986231 -001 7803 1000000 000 -043 105 -001 -044 044 1777

Page 148

Egyptian Financial and Industrial Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 11052000 1139120 3960 14052000 1161700 1019822 002 3905 0986111 -001 -126 086 002 -124 123 15052000 1179430 1015262 002 3975 1017926 002 -126 086 001 -125 126 249 16052000 1203490 1020400 002 3999 1006038 001 -126 086 002 -124 125 374 17052000 1207650 1003457 000 3921 0980495 -002 -126 086 000 -126 124 498 18052000 1170140 0968940 -003 3897 0993879 -001 -126 086 -003 -129 128 626 21052000 1144730 0978285 -002 3842 0985887 -001 -126 086 -002 -128 126 752 22052000 1127050 0984555 -002 3964 1031754 003 -126 086 -001 -127 130 882 23052000 1137800 1009538 001 4000 1009082 001 -126 086 001 -125 126 1008 24052000 1105280 0971419 -003 3860 0965000 -004 -126 086 -002 -128 125 1133 25052000 1079810 0976956 -002 3853 0998187 -000 -126 086 -002 -128 128 1261 28052000 1096220 1015197 002 4023 1044121 004 -126 086 001 -125 129 1390 29052000 1120420 1022076 002 4109 1021377 002 -126 086 002 -124 126 1516 30052000 1094380 0976759 -002 3911 0951813 -005 -126 086 -002 -128 123 1639 31052000 1091100 0997003 -000 3950 1009972 001 -126 086 -000 -126 127 1766 01062000 1084760 0994189 -001 3949 0999747 -000 -126 086 -001 -126 126 1892 04062000 1055620 0973137 -003 3810 0964801 -004 -126 086 -002 -128 125 2017 05062000 1053290 0997793 -000 4021 1055381 005 -126 086 -000 -126 131 2148 06062000 1033450 0981164 -002 3919 0974633 -003 -126 086 -002 -128 125 2273 07062000 1019220 0986231 -001 3846 0981373 -002 -126 086 -001 -127 125 2398 08062000 1015120 0995977 -000 4002 1040562 004 -126 086 -000 -126 130 2529

Page 149

11062000 989079 0974347 -003 4094 1022989 002 -126 086 -002 -128 130 2659 12062000 974139 0984895 -002 3890 0950171 -005 -126 086 -001 -127 122 2781 13062000 1001770 1028365 003 3922 1008226 001 -126 086 002 -123 124 2905 14062000 1001480 0999711 -000 3777 0963029 -004 -126 086 -000 -126 122 3028 18062000 975257 0973816 -003 3777 1000000 000 -126 086 -002 -128 128 3156 19062000 951281 0975416 -002 3528 0934075 -007 -126 086 -002 -128 121 3277 20062000 924905 0972273 -003 3362 0952948 -005 -126 086 -002 -128 123 3400 21062000 932278 1007972 001 3194 0950030 -005 -126 086 001 -125 120 3521 22062000 916437 0983008 -002 3035 0950219 -005 -126 086 -001 -127 122 3643 25062000 887397 0968312 -003 2885 0950577 -005 -126 086 -003 -129 124 3766 26062000 861150 0970422 -003 2753 0954246 -005 -126 086 -003 -128 124 3890 27062000 864892 1004345 000 2655 0964402 -004 -126 086 000 -126 122 4012 28062000 897903 1038168 004 2716 1022976 002 -126 086 003 -123 125 4137 29062000 899917 1002243 000 2850 1049337 005 -126 086 000 -126 131 4267 02072000 925746 1028702 003 2985 1047368 005 -126 086 002 -123 128 4396 03072000 925263 0999478 -000 2838 0950754 -005 -126 086 -000 -126 121 4516 04072000 901986 0974843 -003 2787 0982030 -002 -126 086 -002 -128 126 4643 05072000 931992 1033267 003 2883 1034446 003 -126 086 003 -123 126 4769 06072000 939109 1007636 001 2887 1001387 000 -126 086 001 -125 125 4895 09072000 954862 1016774 002 2750 0952546 -005 -126 086 001 -124 120 5014 10072000 952481 0997506 -000 2855 1038182 004 -126 086 -000 -126 130 5144

Page 150

Abu Keir For Fertilisers Dividend Increase 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 13092000 820460 3114 14092000 811616 0989221 -001 3114 1000000 000 -094 047 -001 -095 095 17092000 800136 0985855 -001 3139 1008028 001 -094 047 -001 -095 096 191 18092000 785147 0981267 -002 3149 1003186 000 -094 047 -001 -095 096 287 19092000 781014 0994736 -001 3126 0992696 -001 -094 047 -000 -095 094 381 20092000 769681 0985489 -001 3128 1000640 000 -094 047 -001 -095 095 476 21092000 777843 1010604 001 3185 1018223 002 -094 047 001 -094 096 572 24092000 773441 0994341 -001 3109 0976138 -002 -094 047 -000 -095 092 664 25092000 776658 1004159 000 3114 1001608 000 -094 047 000 -094 094 759 26092000 769503 0990787 -001 3102 0996146 -000 -094 047 -000 -095 095 853 27092000 765212 0994424 -001 3178 1024500 002 -094 047 -000 -095 097 950 28092000 747666 0977070 -002 3143 0988987 -001 -094 047 -001 -096 094 1045 01102000 723766 0968034 -003 3031 0964365 -004 -094 047 -002 -096 092 1137 02102000 736337 1017369 002 3007 0992082 -001 -094 047 001 -094 093 1230 03102000 717831 0974867 -003 3000 0997672 -000 -094 047 -001 -096 095 1326 04102000 698780 0973460 -003 3007 1002333 000 -094 047 -001 -096 096 1422 08102000 673198 0963390 -004 2935 0976056 -002 -094 047 -002 -096 094 1515 09102000 669556 0994590 -001 2892 0985349 -001 -094 047 -000 -095 093 1609 10102000 652161 0974020 -003 2863 0989972 -001 -094 047 -001 -096 095 1703 11102000 629197 0964788 -004 2811 0981837 -002 -094 047 -002 -096 094 1798 12102000 607631 0965725 -003 2822 1003913 000 -094 047 -002 -096 097 1894

Page 151

15102000 619357 1019298 002 2948 1044649 004 -094 047 001 -094 098 1992 16102000 646053 1043103 004 3093 1049186 005 -094 047 002 -092 097 2090 17102000 668052 1034051 003 3183 1029098 003 -094 047 002 -093 096 2185 18102000 688105 1030017 003 3199 1005027 001 -094 047 001 -093 094 2279 19102000 688893 1001145 000 3186 0995936 -000 -094 047 000 -094 094 2373 22102000 719462 1044374 004 3196 1003139 000 -094 047 002 -092 093 2466 23102000 723338 1005387 001 3044 0952441 -005 -094 047 000 -094 089 2555 24102000 702403 0971058 -003 2929 0962221 -004 -094 047 -001 -096 092 2647 25102000 725191 1032443 003 2695 0920109 -008 -094 047 002 -093 085 2732 26102000 730437 1007234 001 2675 0992579 -001 -094 047 000 -094 093 2825 29102000 726703 0994888 -001 2713 1014206 001 -094 047 -000 -095 096 2921 30102000 714909 0983771 -002 2700 0995208 -000 -094 047 -001 -095 095 3016 31102000 733186 1025565 003 2734 1012593 001 -094 047 001 -093 095 3111 01112000 742977 1013354 001 2742 1002926 000 -094 047 001 -094 094 3205 02112000 747364 1005905 001 2749 1002553 000 -094 047 000 -094 094 3299 05112000 760243 1017233 002 2628 0955984 -005 -094 047 001 -094 089 3388 06112000 761956 1002253 000 2505 0953196 -005 -094 047 000 -094 090 3478 07112000 757468 0994110 -001 2630 1049900 005 -094 047 -000 -095 100 3578 08112000 762190 1006234 001 2749 1045247 004 -094 047 000 -094 099 3676 09112000 773445 1014767 001 2751 1000728 000 -094 047 001 -094 094 3770 12112000 807548 1044092 004 2835 1030534 003 -094 047 002 -092 095 3866

Page 152

Helwan Portland Cement Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 26032000 1243700 4298 27032000 1247010 1002661 000 4293 0998837 -000 -056 085 000 -056 056 28032000 1262200 1012181 001 4144 0965292 -004 -056 085 001 -055 052 108 29032000 1260000 0998257 -000 4132 0997104 -000 -056 085 -000 -057 056 164 30032000 1251400 0993175 -001 4187 1013311 001 -056 085 -001 -057 058 223 02042000 1252220 1000655 000 4076 0973489 -003 -056 085 000 -056 054 276 03042000 1259850 1006093 001 4217 1034593 003 -056 085 001 -056 059 336 04042000 1248840 0991261 -001 4201 0996206 -000 -056 085 -001 -057 057 392 05042000 1239300 0992361 -001 4165 0991431 -001 -056 085 -001 -057 056 449 09042000 1220080 0984491 -002 414 0993998 -001 -056 085 -001 -058 057 506 10042000 1180450 0967519 -003 4036 0974879 -003 -056 085 -003 -059 057 562 11042000 1181020 1000483 000 4142 1026264 003 -056 085 000 -056 059 621 12042000 1215120 1028873 003 422 1018831 002 -056 085 002 -054 056 677 13042000 1198730 0986512 -001 4198 0994787 -001 -056 085 -001 -058 057 734 16042000 1156640 0964888 -004 4095 0975465 -002 -056 085 -003 -059 057 791 17042000 1124800 0972472 -003 408 0996337 -000 -056 085 -002 -059 058 850 18042000 1128930 1003672 000 409 1002451 000 -056 085 000 -056 056 906 19042000 1119740 0991860 -001 4082 0998044 -000 -056 085 -001 -057 057 963 20042000 1083240 0967403 -003 4081 0999755 -000 -056 085 -003 -059 059 1022 23042000 1049820 0969148 -003 405 0992404 -001 -056 085 -003 -059 058 1081 24042000 1042840 0993351 -001 4185 1033333 003 -056 085 -001 -057 060 1141

Page 153

26042000 1011554 0969999 -003 4264 1018877 002 -056 085 -003 -059 061 1202 27042000 1119630 1106842 010 4246 0995779 -000 -056 085 009 -048 047 1249 02052000 1110810 0992122 -001 3692 0869524 -014 -056 085 -001 -057 043 1292 03052000 1081230 0973371 -003 3656 0990249 -001 -056 085 -002 -059 058 1350 04052000 1105850 1022770 002 3686 1008206 001 -056 085 002 -055 055 1405 07052000 1087730 0983614 -002 3718 1008681 001 -056 085 -001 -058 059 1464 08052000 1104760 1015656 002 3875 1042227 004 -056 085 001 -055 059 1523 09052000 1125200 1018502 002 4038 1042065 004 -056 085 002 -055 059 1582 10052000 1136130 1009714 001 3867 0957652 -004 -056 085 001 -056 051 1634 11052000 1139120 1002632 000 3805 0983967 -002 -056 085 000 -056 055 1688 14052000 1161700 1019822 002 3818 1003417 000 -056 085 002 -055 055 1743 15052000 1179430 1015262 002 3887 1018072 002 -056 085 001 -055 057 1800 16052000 1203490 1020400 002 3937 1012863 001 -056 085 002 -055 056 1856 17052000 1207650 1003457 000 3859 0980188 -002 -056 085 000 -056 054 1910 18052000 1170140 0968940 -003 3807 0986525 -001 -056 085 -003 -059 058 196821052000 1144730 0978285 -002 3805 0999475 -000 -056 085 -002 -058 058 2026 22052000 1127050 0984555 -002 3764 0989225 -001 -056 085 -001 -058 057 2083 23052000 1137800 1009538 001 3749 0996015 -000 -056 085 001 -056 055 2138 24052000 1105280 0971419 -003 3672 0979461 -002 -056 085 -002 -059 057 2195 25052000 1079810 0976956 -002 3633 0989379 -001 -056 085 -002 -058 057 2252 28052000 1096220 1015197 002 3623 0997247 -000 -056 085 001 -055 055 2307

Page 154

Torah Portland Cement Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 20082000 869132 4441 21082000 852890 0981312 -002 4335 0976132 -002 -006 107 -002 -008 006 22082000 836269 0980512 -002 4119 0950173 -005 -006 107 -002 -008 003 009 23082000 850672 1017223 002 4128 1002185 000 -006 107 002 -004 005 013 24082000 832698 0978871 -002 4115 0996851 -000 -006 107 -002 -008 008 021 27082000 836762 1004881 000 4161 1011179 001 -006 107 001 -006 007 028 28082000 832011 0994322 -001 4235 1017784 002 -006 107 -001 -007 008 037 29082000 822734 0988850 -001 4145 0978749 -002 -006 107 -001 -007 005 042 30082000 802537 0975451 -002 4156 1002654 000 -006 107 -003 -009 009 051 31082000 816798 1017770 002 4297 1033927 003 -006 107 002 -004 008 058 03092000 812893 0995219 -000 4344 1010938 001 -006 107 -001 -007 008 066 04092000 819306 1007889 001 4349 1001151 000 -006 107 001 -005 005 071 05092000 831599 1015004 001 4492 1032881 003 -006 107 002 -005 008 079 06092000 835104 1004215 000 4503 1002449 000 -006 107 000 -006 006 085 07092000 845660 1012640 001 4509 1001332 000 -006 107 001 -005 005 090 10092000 835500 0987986 -001 4309 0955644 -005 -006 107 -001 -007 003 093 11092000 823263 0985354 -001 4309 1000000 000 -006 107 -002 -008 008 101 12092000 837424 1017201 002 4325 1003713 000 -006 107 002 -004 005 105 13092000 820460 0979743 -002 4397 1016647 002 -006 107 -002 -008 010 115 14092000 811616 0989221 -001 4399 1000455 000 -006 107 -001 -007 007 122 17092000 800136 0985855 -001 4392 0998409 -000 -006 107 -002 -008 007 130

Page 155

18092000 785147 0981267 -002 4272 0972678 -003 -006 107 -002 -008 005 135 19092000 781014 0994736 -001 42 0983146 -002 -006 107 -001 -007 005 140 20092000 769681 0985489 -001 4166 0991905 -001 -006 107 -002 -008 007 147 21092000 777843 1010604 001 36 0864138 -015 -006 107 001 -005 -010 138 24092000 773441 0994341 -001 3569 0991389 -001 -006 107 -001 -007 006 143 25092000 776658 1004159 000 3625 1015691 002 -006 107 000 -006 007 151 26092000 769503 0990787 -001 3559 0981793 -002 -006 107 -001 -007 005 156 27092000 765212 0994424 -001 3467 0974150 -003 -006 107 -001 -007 004 160 28092000 747666 0977070 -002 345 0995097 -000 -006 107 -002 -009 008 168 01102000 723766 0968034 -003 345 1000000 000 -006 107 -003 -010 010 178 02102000 736337 1017369 002 3432 0994783 -001 -006 107 002 -004 004 181 03102000 717831 0974867 -003 3305 0962995 -004 -006 107 -003 -009 005 186 04102000 698780 0973460 -003 3449 1043570 004 -006 107 -003 -009 013 200 08102000 673198 0963390 -004 3449 1000000 000 -006 107 -004 -010 010 210 09102000 669556 0994590 -001 3354 0972456 -003 -006 107 -001 -007 004 214 10102000 652161 0974020 -003 3302 0984496 -002 -006 107 -003 -009 007 221 11102000 629197 0964788 -004 335 1014537 001 -006 107 -004 -010 011 232 12102000 607631 0965725 -003 3297 0984179 -002 -006 107 -004 -010 008 241 15102000 619357 1019298 002 3256 0987564 -001 -006 107 002 -004 003 244 16102000 646053 1043103 004 3248 0997543 -000 -006 107 005 -002 001 245 17102000 668052 1034051 003 3228 0993842 -001 -006 107 004 -003 002 247

Page 156

Nasr City for Housing and Development Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 21092000 777843 2026 -115 075 24092000 773441 0994341 -001 1999 0986673 -001 -115 075 -000 -115 114 25092000 776658 1004159 000 2080 1040520 004 -115 075 000 -115 119 233 26092000 769503 0990787 -001 2183 1049519 005 -115 075 -001 -116 120 353 27092000 765212 0994424 -001 2092 0958314 -004 -115 075 -000 -115 111 464 28092000 747666 0977070 -002 1996 0954111 -005 -115 075 -002 -117 112 576 01102000 723766 0968034 -003 1975 0989479 -001 -115 075 -002 -117 116 692 02102000 736337 1017369 002 1927 0975696 -002 -115 075 001 -114 111 804 03102000 717831 0974867 -003 1856 0963155 -004 -115 075 -002 -117 113 917 04102000 698780 0973460 -003 1888 1017241 002 -115 075 -002 -117 119 1035 08102000 673198 0963390 -004 1825 0966631 -003 -115 075 -003 -118 114 1150 09102000 669556 0994590 -001 1761 0964932 -004 -115 075 -000 -115 112 1261 10102000 652161 0974020 -003 1674 0950596 -005 -115 075 -002 -117 112 1373 11102000 629197 0964788 -004 1604 0958184 -004 -115 075 -003 -118 113 1486 12102000 607631 0965725 -003 1527 0951995 -005 -115 075 -003 -118 113 1599 15102000 619357 1019298 002 1597 1045842 004 -115 075 001 -113 118 1717 16102000 646053 1043103 004 1676 1049468 005 -115 075 003 -112 117 1834 17102000 668052 1034051 003 1758 1048926 005 -115 075 003 -112 117 1951 18102000 688105 1030017 003 1839 1046075 005 -115 075 002 -113 117 2068 19102000 688893 1001145 000 1906 1036433 004 -115 075 000 -115 118 2186 22102000 719462 1044374 004 2000 1049318 005 -115 075 003 -112 116 2303

Page 157

23102000 723338 1005387 001 1926 0963000 -004 -115 075 000 -115 111 2414 24102000 702403 0971058 -003 1830 0950156 -005 -115 075 -002 -117 112 2526 25102000 725191 1032443 003 1535 0838798 -018 -115 075 002 -113 095 2621 26102000 730437 1007234 001 1610 1048860 005 -115 075 001 -114 119 2740 29102000 726703 0994888 -001 1690 1049689 005 -115 075 -000 -115 120 2860 30102000 714909 0983771 -002 1774 1049704 005 -115 075 -001 -116 121 2981 31102000 733186 1025565 003 1855 1045660 004 -115 075 002 -113 118 3099 01112000 742977 1013354 001 1934 1042588 004 -115 075 001 -114 118 3217 02112000 747364 1005905 001 1982 1024819 002 -115 075 000 -114 117 3334 05112000 760243 1017233 002 2080 1049445 005 -115 075 001 -114 118 3452 06112000 761956 1002253 000 2176 1046154 005 -115 075 000 -115 119 3571 07112000 757468 0994110 -001 2278 1046875 005 -115 075 -000 -115 120 3691 08112000 762190 1006234 001 2381 1045215 004 -115 075 000 -114 119 3810 09112000 773445 1014767 001 2498 1049139 005 -115 075 001 -114 119 3929 12112000 807548 1044092 004 2617 1047638 005 -115 075 003 -112 116 4045 13112000 828930 1026478 003 2747 1049675 005 -115 075 002 -113 118 4163 14112000 817709 0986463 -001 2674 0973426 -003 -115 075 -001 -116 113 4276 15112000 845954 1034542 003 2689 1005610 001 -115 075 003 -112 113 4389 16112000 872700 1031616 003 2810 1044998 004 -115 075 002 -113 117 4506 19112000 845917 0969310 -003 2678 0953025 -005 -115 075 -002 -117 112 4619 20112000 838561 0991304 -001 2545 0950336 -005 -115 075 -001 -116 110 4729

Page 158

Paints and Chemical Industries (PACHIN) Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 04102000 698780 2750 08102000 673198 0963390 -004 2690 0978182 -002 -071 078 -003 -074 072 09102000 669556 0994590 -001 2700 1003717 000 -071 078 -000 -071 072 143 10102000 652161 0974020 -003 2647 0980370 -002 -071 078 -002 -073 071 214 11102000 629197 0964788 -004 2515 0950132 -005 -071 078 -003 -074 069 283 12102000 607631 0965725 -003 2390 0950298 -005 -071 078 -003 -074 069 351 15102000 619357 1019298 002 2481 1038075 004 -071 078 001 -069 073 425 16102000 646053 1043103 004 2489 1003225 000 -071 078 003 -068 068 493 17102000 668052 1034051 003 2483 0997589 -000 -071 078 003 -068 068 561 18102000 688105 1030017 003 2402 0967378 -003 -071 078 002 -069 065 626 19102000 688893 1001145 000 2301 0957952 -004 -071 078 000 -071 067 693 22102000 719462 1044374 004 2414 1049109 005 -071 078 003 -068 072 765 23102000 723338 1005387 001 2305 0954847 -005 -071 078 000 -071 066 831 24102000 702403 0971058 -003 2197 0953145 -005 -071 078 -002 -073 068 899 25102000 725191 1032443 003 2303 1048248 005 -071 078 002 -068 073 972 26102000 730437 1007234 001 2417 1049501 005 -071 078 001 -070 075 1048 29102000 726703 0994888 -001 2519 1042201 004 -071 078 -000 -071 075 1123 30102000 714909 0983771 -002 2396 0951171 -005 -071 078 -001 -072 067 1190 31102000 733186 1025565 003 2428 1013356 001 -071 078 002 -069 070 1261 01112000 742977 1013354 001 2346 0966227 -003 -071 078 001 -070 066 1327 02112000 747364 1005905 001 2304 0982097 -002 -071 078 000 -070 069 1396

Page 159

05112000 760243 1017233 002 2412 1046875 005 -071 078 001 -070 074 1470 06112000 761956 1002253 000 2416 1001658 000 -071 078 000 -071 071 1541 07112000 757468 0994110 -001 2315 0958195 -004 -071 078 -000 -071 067 1608 08112000 762190 1006234 001 2301 0993952 -001 -071 078 000 -070 070 1678 09112000 773445 1014767 001 2303 1000869 000 -071 078 001 -070 070 1748 12112000 807548 1044092 004 2412 1047330 005 -071 078 003 -068 072 1820 13112000 828930 1026478 003 2399 0994610 -001 -071 078 002 -069 068 1888 14112000 817709 0986463 -001 2296 0957065 -004 -071 078 -001 -072 068 1956 15112000 845954 1034542 003 2395 1043118 004 -071 078 003 -068 073 2029 16112000 872700 1031616 003 2453 1024217 002 -071 078 002 -069 071 2099 19112000 845917 0969310 -003 2396 0976763 -002 -071 078 -002 -073 071 2170 20112000 838561 0991304 -001 2322 0969115 -003 -071 078 -001 -072 068 2239 21112000 800223 0954281 -005 2255 0971146 -003 -071 078 -004 -075 072 2311 22112000 778413 0972745 -003 2361 1047007 005 -071 078 -002 -073 078 2388 23112000 799245 1026762 003 2340 0991105 -001 -071 078 002 -069 068 2456 26112000 823981 1030949 003 2353 1005556 001 -071 078 002 -069 069 2525 27112000 816509 0990932 -001 2310 0981725 -002 -071 078 -001 -072 070 2595 28112000 793731 0972103 -003 2210 0956710 -004 -071 078 -002 -073 069 2664 29112000 790196 0995546 -000 2253 1019457 002 -071 078 -000 -071 073 2737 30112000 796977 1008581 001 2299 1020417 002 -071 078 001 -070 072 2809 03122000 772668 0969498 -003 2299 1000000 000 -071 078 -002 -073 073 2883

Page 160

Upper Egypt Flour Mills Dividend Decrease 2000

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 21092000 777843 2130 24092000 773441 0994341 -001 2073 0973239 -003 -075 087 -000 -076 073 25092000 776658 1004159 000 2056 0991799 -001 -075 087 000 -075 074 147 26092000 769503 0990787 -001 2051 0997568 -000 -075 087 -001 -076 076 223 27092000 765212 0994424 -001 2064 1006338 001 -075 087 -000 -076 076 299 28092000 747666 0977070 -002 2019 0978198 -002 -075 087 -002 -077 075 374 01102000 723766 0968034 -003 1995 0988113 -001 -075 087 -003 -078 077 451 02102000 736337 1017369 002 2055 1030075 003 -075 087 001 -074 077 528 03102000 717831 0974867 -003 2023 0984428 -002 -075 087 -002 -077 076 603 04102000 698780 0973460 -003 2010 0993574 -001 -075 087 -002 -078 077 680 08102000 673198 0963390 -004 2010 1000000 000 -075 087 -003 -078 078 759 09102000 669556 0994590 -001 1973 0981592 -002 -075 087 -000 -076 074 833 10102000 652161 0974020 -003 1909 0967562 -003 -075 087 -002 -077 074 907 11102000 629197 0964788 -004 1871 0980094 -002 -075 087 -003 -078 076 983 12102000 607631 0965725 -003 1850 0988776 -001 -075 087 -003 -078 077 1060 15102000 619357 1019298 002 1851 1000541 000 -075 087 002 -074 074 1134 16102000 646053 1043103 004 1942 1049163 005 -075 087 004 -072 076 1210 17102000 668052 1034051 003 2039 1049949 005 -075 087 003 -072 077 1287 18102000 688105 1030017 003 2126 1042668 004 -075 087 003 -073 077 1364 19102000 688893 1001145 000 2179 1024929 002 -075 087 000 -075 078 1442 22102000 719462 1044374 004 2118 0972006 -003 -075 087 004 -071 069 1510

Page 161

23102000 723338 1005387 001 2222 1049103 005 -075 087 000 -075 080 1590 24102000 702403 0971058 -003 2187 0984248 -002 -075 087 -003 -078 076 1666 25102000 725191 1032443 003 2142 0979424 -002 -075 087 003 -072 070 1736 26102000 730437 1007234 001 2160 1008403 001 -075 087 001 -075 075 1812 29102000 726703 0994888 -001 2190 1013889 001 -075 087 -000 -076 077 1889 30102000 714909 0983771 -002 2178 0994521 -001 -075 087 -001 -077 076 1965 31102000 733186 1025565 003 1774 0814509 -021 -075 087 002 -073 052 2017 01112000 742977 1013354 001 1826 1029312 003 -075 087 001 -074 077 2094 02112000 747364 1005905 001 1776 0972618 -003 -075 087 001 -075 072 2166 05112000 760243 1017233 002 1822 1025901 003 -075 087 001 -074 076 2242 06112000 761956 1002253 000 1840 1009879 001 -075 087 000 -075 076 2318 07112000 757468 0994110 -001 1790 0972826 -003 -075 087 -001 -076 073 2391 08112000 762190 1006234 001 1777 0992737 -001 -075 087 001 -075 074 2465 09112000 773445 1014767 001 1811 1019133 002 -075 087 001 -074 076 2541 12112000 807548 1044092 004 1815 1002209 000 -075 087 004 -071 072 2613 13112000 828930 1026478 003 1838 1012672 001 -075 087 002 -073 074 2687 14112000 817709 0986463 -001 1803 0980958 -002 -075 087 -001 -076 074 2761 15112000 845954 1034542 003 1788 0991681 -001 -075 087 003 -072 071 2833 16112000 872700 1031616 003 1807 1010626 001 -075 087 003 -072 074 2906 19112000 845917 0969310 -003 1799 0995573 -000 -075 087 -003 -078 077 2984 20112000 838561 0991304 -001 1766 0981656 -002 -075 087 -001 -076 074 3058

Page 162

Commercial International Bank (CIB) Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 11032001 675900 3598 12032001 668606 0989208 -001 3600 1000556 000 -006 145 -002 -008 008 14032001 643440 0962360 -004 3514 0976111 -002 -006 145 -006 -012 009 017 15032001 634936 0986784 -001 3520 1001707 000 -006 145 -002 -008 008 025 18032001 628225 0989430 -001 3455 0981534 -002 -006 145 -002 -008 006 031 19032001 624649 0994308 -001 3350 0969609 -003 -006 145 -001 -007 004 035 20032001 641923 1027654 003 3355 1001493 000 -006 145 004 -002 002 037 21032001 627624 0977725 -002 3412 1016990 002 -006 145 -003 -009 011 048 22032001 616127 0981682 -002 3428 1004689 000 -006 145 -003 -009 009 058 25032001 624609 1013767 001 3399 0991540 -001 -006 145 002 -004 003 061 27032001 619112 0991199 -001 3403 1001177 000 -006 145 -001 -007 008 069 28032001 606407 0979479 -002 3402 0999706 -000 -006 145 -003 -009 009 078 29032001 591655 0975673 -002 3399 0999118 -000 -006 145 -004 -010 010 087 01042001 574960 0971783 -003 3350 0985584 -001 -006 145 -004 -010 009 096 02042001 580434 1009521 001 3277 0978209 -002 -006 145 001 -005 003 099 03042001 595163 1025376 003 3304 1008239 001 -006 145 004 -002 003 102 04042001 604910 1016377 002 3406 1030872 003 -006 145 002 -004 007 109 05042001 601771 0994811 -001 3414 1002349 000 -006 145 -001 -007 007 116 08042001 613483 1019463 002 3389 0992677 -001 -006 145 003 -003 003 119 09042001 615266 1002906 000 3415 1007672 001 -006 145 000 -006 006 125 10042001 609238 0990203 -001 3459 1012884 001 -006 145 -001 -008 009 134

Page 163

11042001 628748 1032024 003 3466 1002024 000 -006 145 005 -002 002 136 12042001 629302 1000881 000 3617 1043566 004 -006 145 000 -006 010 146 17042001 609225 0968096 -003 3644 1007465 001 -006 145 -005 -011 012 157 18042001 597402 0980593 -002 3541 0971734 -003 -006 145 -003 -009 006 164 19042001 610423 1021796 002 3494 0986727 -001 -006 145 003 -003 002 165 22042001 615551 1008401 001 3596 1029193 003 -006 145 001 -005 008 173 23042001 626452 1017709 002 3650 1015017 001 -006 145 003 -004 005 178 24042001 624156 0996335 -000 3686 1009863 001 -006 145 -001 -007 008 186 26042001 617783 0989789 -001 3705 1005155 001 -006 145 -001 -008 008 194 29042001 612699 0991771 -001 3773 1018354 002 -006 145 -001 -007 009 203 30042001 612714 1000024 000 3771 0999470 -000 -006 145 000 -006 006 209 02052001 627421 1024003 002 3739 0991514 -001 -006 145 003 -003 002 211 03052001 634110 1010661 001 3454 0923776 -008 -006 145 002 -005 -003 208 06052001 636990 1004542 000 3457 1000869 000 -006 145 001 -005 006 213 07052001 649636 1019853 002 3414 0987561 -001 -006 145 003 -003 002 215 08052001 652206 1003956 000 3456 1012302 001 -006 145 001 -006 007 222 09052001 642720 0985456 -001 3502 1013310 001 -006 145 -002 -008 010 232 10052001 648901 1009617 001 3494 0997716 -000 -006 145 001 -005 005 236 13052001 666997 1027887 003 3516 1006297 001 -006 145 004 -002 003 239 14052001 664617 0996432 -000 3558 1011945 001 -006 145 -001 -007 008 247 15052001 656225 0987373 -001 3542 0995503 -000 -006 145 -002 -008 008 254

Page 164

Misr International Bank (MIBANK) Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 26022001 655096 3038 27022001 675048 1030457 003 3043 1001844 000 -036 127 004 -032 032 28022001 667608 0988979 -001 2962 0973186 -003 -036 127 -001 -037 034 066 01032001 672488 1007310 001 2973 1003782 000 -036 127 001 -035 035 101 07032001 691184 1027801 003 3058 1028525 003 -036 127 003 -032 035 136 08032001 687929 0995291 -000 3013 0985348 -001 -036 127 -001 -036 035 171 11032001 675900 0982514 -002 2906 0964684 -004 -036 127 -002 -038 034 205 12032001 668606 0989208 -001 2834 0974952 -003 -036 127 -001 -037 034 239 14032001 643440 0962360 -004 2811 0992095 -001 -036 127 -005 -040 040 279 15032001 634936 0986784 -001 2813 1000569 000 -036 127 -002 -037 037 316 18032001 628225 0989430 -001 2799 0995165 -000 -036 127 -001 -037 036 352 19032001 624649 0994308 -001 2670 0953701 -005 -036 127 -001 -036 031 384 20032001 641923 1027654 003 2688 1006892 001 -036 127 003 -032 033 416 21032001 627624 0977725 -002 2726 1013988 001 -036 127 -003 -038 040 456 22032001 616127 0981682 -002 2736 1003816 000 -036 127 -002 -038 038 494 25032001 624609 1013767 001 2725 0995906 -000 -036 127 002 -034 033 528 27032001 619112 0991199 -001 2800 1027598 003 -036 127 -001 -037 039 567 28032001 606407 0979479 -002 2774 0990857 -001 -036 127 -003 -038 037 604 29032001 591655 0975673 -002 2791 1006055 001 -036 127 -003 -039 039 644 01042001 574960 0971783 -003 2799 1002866 000 -036 127 -004 -039 039 683 02042001 580434 1009521 001 2730 0975136 -003 -036 127 001 -034 032 715

Page 165

03042001 595163 1025376 003 2738 1003224 000 -036 127 003 -032 033 748 04042001 604910 1016377 002 2870 1047911 005 -036 127 002 -033 038 786 05042001 601771 0994811 -001 2900 1010594 001 -036 127 -001 -036 037 823 08042001 613483 1019463 002 2834 0977379 -002 -036 127 002 -033 031 854 09042001 615266 1002906 000 2862 1009596 001 -036 127 000 -035 036 890 10042001 609238 0990203 -001 2888 1009226 001 -036 127 -001 -037 038 927 11042001 628748 1032024 003 2863 0991413 -001 -036 127 004 -032 031 958 12042001 629302 1000881 000 3005 1049455 005 -036 127 000 -035 040 998 17042001 609225 0968096 -003 3013 1002662 000 -036 127 -004 -040 040 1038 18042001 597402 0980593 -002 2966 0984334 -002 -036 127 -002 -038 036 1075 19042001 610423 1021796 002 2890 0974373 -003 -036 127 003 -033 030 1105 22042001 615551 1008401 001 2938 1016888 002 -036 127 001 -034 036 1141 23042001 626452 1017709 002 2807 0955350 -005 -036 127 002 -033 029 117024042001 624156 0996335 -000 2911 1037048 004 -036 127 -000 -036 040 1209 26042001 617783 0989789 -001 2973 1021160 002 -036 127 -001 -037 039 1248 29042001 612699 0991771 -001 2914 0980086 -002 -036 127 -001 -037 035 1283 30042001 612714 1000024 000 2822 0968699 -003 -036 127 000 -036 032 1315 02052001 627421 1024003 002 2801 0992347 -001 -036 127 003 -032 032 1347 03052001 634110 1010661 001 2886 1030277 003 -036 127 001 -034 037 1384 06052001 636990 1004542 000 2890 1001663 000 -036 127 001 -035 035 1419 07052001 649636 1019853 002 2909 1006366 001 -036 127 002 -033 034 1453

Page 166

Ameryah Cement Dividend Increase 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative

rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return

08022001 747680 2900 11022001 733914 0981588 -002 2761 0952069 -005 -043 105 -002 -045 040 12022001 733028 0998793 -000 2743 0993481 -001 -043 105 -000 -043 042 082 13022001 726574 0991195 -001 2743 1000000 000 -043 105 -001 -044 044 126 14022001 726733 1000219 000 2867 1045206 004 -043 105 000 -043 047 174 15022001 716466 0985872 -001 2825 0985351 -001 -043 105 -001 -044 043 217 18022001 703762 0982269 -002 2949 1043894 004 -043 105 -002 -045 049 266 19022001 704431 1000951 000 2850 0966429 -003 -043 105 000 -043 039 305 20022001 720800 1023237 002 2870 1007018 001 -043 105 002 -041 041 347 22022001 696200 0965871 -003 2900 1010453 001 -043 105 -004 -047 048 394 25022001 670991 0963791 -004 2900 1000000 000 -043 105 -004 -047 047 441 26022001 655096 0976311 -002 2900 1000000 000 -043 105 -003 -045 045 486 27022001 675048 1030457 003 2900 1000000 000 -043 105 003 -040 040 526 28022001 667608 0988979 -001 3025 1043103 004 -043 105 -001 -044 048 575 01032001 672488 1007310 001 2995 0990083 -001 -043 105 001 -042 041 616 07032001 691184 1027801 003 3003 1002671 000 -043 105 003 -040 040 656 08032001 687929 0995291 -000 2907 0968032 -003 -043 105 -000 -043 040 696 11032001 675900 0982514 -002 3001 1032336 003 -043 105 -002 -045 048 744 12032001 668606 0989208 -001 3011 1003332 000 -043 105 -001 -044 044 789 14032001 643440 0962360 -004 3161 1049817 005 -043 105 -004 -047 052 841 15032001 634936 0986784 -001 3315 1048719 005 -043 105 -001 -044 049 890 18032001 628225 0989430 -001 3263 0984314 -002 -043 105 -001 -044 042 932 19032001 624649 0994308 -001 3263 1000000 000 -043 105 -001 -044 044 976 20032001 641923 1027654 003 2525 0773828 -026 -043 105 003 -040 014 990

Page 167

21032001 627624 0977725 -002 2452 0971089 -003 -043 105 -002 -045 042 1033 22032001 616127 0981682 -002 2500 1019576 002 -043 105 -002 -045 047 1080 25032001 624609 1013767 001 2500 1000000 000 -043 105 001 -042 042 1121 27032001 619112 0991199 -001 2516 1006400 001 -043 105 -001 -044 045 1166 28032001 606407 0979479 -002 2516 1000000 000 -043 105 -002 -045 045 1211 29032001 591655 0975673 -002 2527 1004372 000 -043 105 -003 -046 046 1257 01042001 574960 0971783 -003 2441 0965968 -003 -043 105 -003 -046 043 1299 02042001 580434 1009521 001 2415 0989349 -001 -043 105 001 -042 041 1340 03042001 595163 1025376 003 2415 1000000 000 -043 105 003 -040 040 1380 04042001 604910 1016377 002 2409 0997516 -000 -043 105 002 -041 041 1421 05042001 601771 0994811 -001 2415 1002491 000 -043 105 -001 -044 044 1465 08042001 613483 1019463 002 2481 1027329 003 -043 105 002 -041 044 1509 09042001 615266 1002906 000 2500 1007658 001 -043 105 000 -043 043 1552 10042001 609238 0990203 -001 2417 0966800 -003 -043 105 -001 -044 041 1593 11042001 628748 1032024 003 2500 1034340 003 -043 105 003 -040 043 1636 12042001 629302 1000881 000 2467 0986800 -001 -043 105 000 -043 042 1677 17042001 609225 0968096 -003 2467 1000000 000 -043 105 -003 -046 046 1724 18042001 597402 0980593 -002 2467 1000000 000 -043 105 -002 -045 045 1769

Page 168

Torah Portland Cement Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 15022001 716466 3234 -006 107 18022001 703762 0982269 -002 3174 0981447 -002 -006 107 -002 -008 006 19022001 704431 1000951 000 3160 0995589 -000 -006 107 000 -006 006 012 20022001 720800 1023237 002 3287 1040190 004 -006 107 002 -004 008 019 22022001 696200 0965871 -003 3199 0973228 -003 -006 107 -004 -010 007 026 25022001 670991 0963791 -004 3196 0999062 -000 -006 107 -004 -010 010 036 26022001 655096 0976311 -002 3156 0987484 -001 -006 107 -003 -009 007 044 27022001 675048 1030457 003 3127 0990811 -001 -006 107 003 -003 002 046 28022001 667608 0988979 -001 3190 1020147 002 -006 107 -001 -007 009 055 01032001 672488 1007310 001 3192 1000627 000 -006 107 001 -005 005 060 07032001 691184 1027801 003 3166 0991855 -001 -006 107 003 -003 002 063 08032001 687929 0995291 -000 3166 1000000 000 -006 107 -001 -007 007 069 11032001 675900 0982514 -002 3166 1000000 000 -006 107 -002 -008 008 077 12032001 668606 0989208 -001 3166 1000000 000 -006 107 -001 -007 007 085 14032001 643440 0962360 -004 3148 0994315 -001 -006 107 -004 -010 010 094 15032001 634936 0986784 -001 3112 0988564 -001 -006 107 -001 -008 006 101 18032001 628225 0989430 -001 3096 0994859 -001 -006 107 -001 -007 007 107 19032001 624649 0994308 -001 3054 0986434 -001 -006 107 -001 -007 005 113 20032001 641923 1027654 003 3000 0982318 -002 -006 107 003 -003 001 114 21032001 627624 0977725 -002 3000 1000000 000 -006 107 -002 -009 009 123 22032001 616127 0981682 -002 2912 0970667 -003 -006 107 -002 -008 005 128

Page 169

25032001 624609 1013767 001 2890 0992445 -001 -006 107 001 -005 004 132 27032001 619112 0991199 -001 3031 1048789 005 -006 107 -001 -007 012 144 28032001 606407 0979479 -002 3021 0996701 -000 -006 107 -002 -008 008 152 29032001 591655 0975673 -002 2999 0992718 -001 -006 107 -003 -009 008 160 01042001 574960 0971783 -003 3000 1000333 000 -006 107 -003 -009 009 169 02042001 580434 1009521 001 2967 0989000 -001 -006 107 001 -005 004 173 03042001 595163 1025376 003 2967 1000000 000 -006 107 003 -003 003 176 04042001 604910 1016377 002 2906 0979441 -002 -006 107 002 -004 002 179 05042001 601771 0994811 -001 2884 0992429 -001 -006 107 -001 -007 006 184 08042001 613483 1019463 002 2735 0948336 -005 -006 107 002 -004 -001 183 09042001 615266 1002906 000 2607 0953199 -005 -006 107 000 -006 001 184 10042001 609238 0990203 -001 2600 0997315 -000 -006 107 -001 -007 007 191 11042001 628748 1032024 003 2600 1000000 000 -006 107 003 -003 003 194 12042001 629302 1000881 000 2657 1021923 002 -006 107 000 -006 008 202 17042001 609225 0968096 -003 2590 0974784 -003 -006 107 -003 -010 007 209 18042001 597402 0980593 -002 2638 1018533 002 -006 107 -002 -008 010 219 19042001 610423 1021796 002 2696 1021986 002 -006 107 002 -004 006 225 22042001 615551 1008401 001 2613 0969214 -003 -006 107 001 -005 002 227 23042001 626452 1017709 002 2673 1022962 002 -006 107 002 -004 007 234 24042001 624156 0996335 -000 2567 0960344 -004 -006 107 -000 -007 002 236 26042001 617783 0989789 -001 2567 1000000 000 -006 107 -001 -007 007 243

Page 170

Nasr City for Housing and Development Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 27092001 561925 2109 30092001 564278 1004187 000 2104 0997629 -000 -115 075 000 -115 114 01102001 568252 1007043 001 2118 1006654 001 -115 075 001 -114 115 229 02102001 555684 0977883 -002 2075 0979698 -002 -115 075 -002 -117 115 344 03102001 549459 0988798 -001 2080 1002410 000 -115 075 -001 -116 116 460 04102001 544680 0991302 -001 2034 0977885 -002 -115 075 -001 -116 113 573 07102001 544675 0999991 -000 2050 1007866 001 -115 075 -000 -115 116 689 08102001 543049 0997015 -000 2046 0998049 -000 -115 075 -000 -115 115 804 09102001 545728 1004933 000 2106 1029326 003 -115 075 000 -115 117 921 10102001 549824 1007506 001 2055 0975783 -002 -115 075 001 -114 112 1033 11102001 554529 1008557 001 2051 0998054 -000 -115 075 001 -114 114 1147 14102001 563161 1015566 002 2111 1029254 003 -115 075 001 -114 117 1264 15102001 563789 1001115 000 2084 0987210 -001 -115 075 000 -115 114 1378 16102001 560209 0993650 -001 2104 1009597 001 -115 075 -000 -115 116 1494 17102001 573477 1023684 002 2113 1004278 000 -115 075 002 -113 114 1608 18102001 579797 1011020 001 2142 1013725 001 -115 075 001 -114 115 1723 21102001 583382 1006183 001 2129 0993931 -001 -115 075 000 -114 114 1837 22102001 585868 1004261 000 2095 0984030 -002 -115 075 000 -115 113 1950 23102001 584346 0997402 -000 2084 0994749 -001 -115 075 -000 -115 115 2064 24102001 580869 0994050 -001 2065 0990883 -001 -115 075 -000 -115 114 2179 25102001 571335 0983587 -002 2070 1002421 000 -115 075 -001 -116 116 2295

Page 171

28102001 560295 0980677 -002 2047 0988889 -001 -115 075 -001 -116 115 2411 29102001 558792 0997317 -000 2026 0989741 -001 -115 075 -000 -115 114 2525 30102001 563118 1007742 001 2025 0999506 -000 -115 075 001 -114 114 2639 31102001 557753 0990473 -001 2001 0988148 -001 -115 075 -001 -116 114 2753 01112001 554861 0994815 -001 2036 1017491 002 -115 075 -000 -115 117 2870 04112001 562024 1012910 001 2064 1013752 001 -115 075 001 -114 115 2986 05112001 565106 1005484 001 2100 1017442 002 -115 075 000 -115 116 3102 06112001 564130 0998273 -000 2091 0995714 -000 -115 075 -000 -115 115 3217 07112001 558639 0990266 -001 2051 0980870 -002 -115 075 -001 -116 114 3330 08112001 558192 0999200 -000 2050 0999512 -000 -115 075 -000 -115 115 3445 11112001 556063 0996186 -000 1958 0955122 -005 -115 075 -000 -115 111 3556 12112001 552223 0993094 -001 1895 0967824 -003 -115 075 -001 -115 112 3668 13112001 546427 0989504 -001 1896 1000528 000 -115 075 -001 -116 116 3784 14112001 541547 0991069 -001 1835 0967827 -003 -115 075 -001 -116 112 3896 15112001 533398 0984952 -002 1751 0954223 -005 -115 075 -001 -116 111 4008 18112001 524993 0984243 -002 1753 1001142 000 -115 075 -001 -116 116 4124 19112001 523018 0996238 -000 1783 1017114 002 -115 075 -000 -115 117 4241 20112001 520627 0995428 -000 1770 0992709 -001 -115 075 -000 -115 115 4355 21112001 510062 0979707 -002 1784 1007910 001 -115 075 -002 -116 117 4472 22112001 508562 0997059 -000 1792 1004484 000 -115 075 -000 -115 116 4588 25112001 508087 0999066 -000 1783 0994978 -001 -115 075 -000 -115 114 4703

Page 172

Suez Cement Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 16052001 655120 3535 17052001 659723 1007026 001 3554 1005375 001 -020 126 001 -019 019 20052001 656059 0994446 -001 3456 0972425 -003 -020 126 -001 -020 017 037 21052001 651237 0992650 -001 3462 1001736 000 -020 126 -001 -020 021 057 22052001 655995 1007306 001 3531 1019931 002 -020 126 001 -019 021 078 23052001 656965 1001479 000 3532 1000283 000 -020 126 000 -019 019 097 24052001 665419 1012868 001 3595 1017837 002 -020 126 002 -018 020 117 27052001 670868 1008189 001 3676 1022531 002 -020 126 001 -018 021 138 28052001 678608 1011537 001 3670 0998368 -000 -020 126 001 -018 018 155 29052001 668826 0985585 -001 3630 0989101 -001 -020 126 -002 -021 020 176 30052001 662111 0989960 -001 3617 0996419 -000 -020 126 -001 -021 020 196 31052001 653740 0987357 -001 3660 1011888 001 -020 126 -002 -021 022 218 03062001 634276 0970227 -003 3576 0977049 -002 -020 126 -004 -023 021 239 05062001 627793 0989779 -001 3596 1005593 001 -020 126 -001 -021 021 261 06062001 623888 0993780 -001 3568 0992214 -001 -020 126 -001 -020 020 280 07062001 629223 1008551 001 3582 1003924 000 -020 126 001 -018 019 299 10062001 632250 1004811 000 3761 1049972 005 -020 126 001 -019 024 323 11062001 629970 0996394 -000 3891 1034565 003 -020 126 -000 -020 023 346 12062001 632227 1003583 000 3789 0973786 -003 -020 126 000 -019 016 363 13062001 628592 0994250 -001 3814 1006598 001 -020 126 -001 -020 021 384 14062001 630035 1002296 000 3889 1019664 002 -020 126 000 -019 021 405

Page 173

17062001 621647 0986686 -001 3692 0949344 -005 -020 126 -002 -021 016 421 18062001 620202 0997676 -000 3671 0994312 -001 -020 126 -000 -020 019 440 19062001 610903 0985006 -002 3596 0979570 -002 -020 126 -002 -021 019 459 20062001 607444 0994338 -001 3627 1008621 001 -020 126 -001 -020 021 481 21062001 613967 1010738 001 3661 1009374 001 -020 126 001 -018 019 500 24062001 609920 0993408 -001 3672 1003005 000 -020 126 -001 -020 021 520 25062001 608366 0997452 -000 3694 1005991 001 -020 126 -000 -020 020 541 26062001 600648 0987314 -001 3610 0977260 -002 -020 126 -002 -021 019 560 27062001 593325 0987808 -001 3595 0995845 -000 -020 126 -002 -021 021 580 28062001 596953 1006115 001 3590 0998609 -000 -020 126 001 -019 019 599 02072001 609759 1021452 002 3627 1010306 001 -020 126 003 -017 018 617 03072001 619411 1015829 002 3611 0995589 -000 -020 126 002 -018 017 634 04072001 623719 1006955 001 3584 0992523 -001 -020 126 001 -019 018 652 05072001 620332 0994570 -001 3604 1005580 001 -020 126 -001 -020 021 672 08072001 622701 1003819 000 3641 1010266 001 -020 126 000 -019 020 692 09072001 624279 1002534 000 3654 1003570 000 -020 126 000 -019 020 712 10072001 615867 0986525 -001 3604 0986316 -001 -020 126 -002 -021 020 732 11072001 607357 0986182 -001 3587 0995283 -000 -020 126 -002 -021 021 753 12072001 609565 1003635 000 3579 0997770 -000 -020 126 000 -019 019 771 15072001 596585 0978706 -002 3519 0983236 -002 -020 126 -003 -022 021 792 16072001 579782 0971835 -003 3452 0980961 -002 -020 126 -004 -023 021 813

Page 174

Egyptian Financial and Industrial Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 14052001 664617 2188 -126 086 15052001 656225 0987373 -001 2297 1049817 005 -126 086 -001 -127 132 16052001 655120 0998316 -000 2206 0960383 -004 -126 086 -000 -126 122 254 17052001 659723 1007026 001 2199 0996827 -000 -126 086 001 -125 125 379 20052001 656059 0994446 -001 2188 0994998 -001 -126 086 -000 -126 126 505 21052001 651237 0992650 -001 2166 0989945 -001 -126 086 -001 -127 126 630 22052001 655995 1007306 001 2195 1013389 001 -126 086 001 -125 127 757 23052001 656965 1001479 000 2111 0961731 -004 -126 086 000 -126 122 879 24052001 665419 1012868 001 2210 1046897 005 -126 086 001 -125 129 1008 27052001 670868 1008189 001 2238 1012670 001 -126 086 001 -125 126 1134 28052001 678608 1011537 001 2272 1015192 002 -126 086 001 -125 126 1261 29052001 668826 0985585 -001 2253 0991637 -001 -126 086 -001 -127 126 1387 30052001 662111 0989960 -001 2220 0985353 -001 -126 086 -001 -127 125 1512 31052001 653740 0987357 -001 2253 1014865 001 -126 086 -001 -127 128 1641 03062001 634276 0970227 -003 2251 0999112 -000 -126 086 -003 -128 128 1769 05062001 627793 0989779 -001 2251 1000000 000 -126 086 -001 -127 127 1896 06062001 623888 0993780 -001 2315 1028432 003 -126 086 -001 -126 129 2025 07062001 629223 1008551 001 2306 0996112 -000 -126 086 001 -125 125 2150 10062001 632250 1004811 000 2257 0978751 -002 -126 086 000 -125 123 2273 11062001 629970 0996394 -000 2335 1034559 003 -126 086 -000 -126 130 2403 12062001 632227 1003583 000 2367 1013704 001 -126 086 000 -126 127 2530

Page 175

13062001 628592 0994250 -001 2335 0986481 -001 -126 086 -000 -126 125 2655 14062001 630035 1002296 000 2297 0983726 -002 -126 086 000 -126 124 2779 17062001 621647 0986686 -001 2386 1038746 004 -126 086 -001 -127 131 2910 18062001 620202 0997676 -000 2441 1023051 002 -126 086 -000 -126 128 3038 19062001 610903 0985006 -002 2416 0989758 -001 -126 086 -001 -127 126 3164 20062001 607444 0994338 -001 2311 0956540 -004 -126 086 -000 -126 122 3286 21062001 613967 1010738 001 2250 0973605 -003 -126 086 001 -125 122 3409 24062001 609920 0993408 -001 2331 1036000 004 -126 086 -001 -126 130 3538 25062001 608366 0997452 -000 2304 0988417 -001 -126 086 -000 -126 125 3663 26062001 600648 0987314 -001 1995 0865885 -014 -126 086 -001 -127 113 3776 27062001 593325 0987808 -001 1930 0967419 -003 -126 086 -001 -127 124 3900 28062001 596953 1006115 001 1975 1023316 002 -126 086 001 -125 128 4027 02072001 609759 1021452 002 1923 0973671 -003 -126 086 002 -124 121 4149 03072001 619411 1015829 002 1923 1000000 000 -126 086 001 -125 125 4273 04072001 623719 1006955 001 2001 1040562 004 -126 086 001 -125 129 4403 05072001 620332 0994570 -001 2067 1032984 003 -126 086 -000 -126 130 4532 08072001 622701 1003819 000 2075 1003870 000 -126 086 000 -126 126 4658 09072001 624279 1002534 000 2081 1002892 000 -126 086 000 -126 126 4784 10072001 615867 0986525 -001 2159 1037482 004 -126 086 -001 -127 131 4915 11072001 607357 0986182 -001 2078 0962483 -004 -126 086 -001 -127 123 5038 12072001 609565 1003635 000 2151 1035130 003 -126 086 000 -126 129 5167

Page 176

Abu Keir for Fertilisers Dividend Decrease 2001

Date Index Value (Vt Vt-1) Index Returns Stock Price (Pt Pt-1) Stock Returns αi βi βirM (αi + βirM) Abnormal Return Cumulative rM =ln (Vt Vt-1) ri =ln (Pt Pt-1) ei = ri - (αi + βirM) Abnormal Return 23092001 597012 2759 24092001 588809 0986260 -001 2759 1000000 000 -094 047 -001 -095 095 25092001 581727 0987972 -001 2760 1000362 000 -094 047 -001 -095 095 190 26092001 570192 0980171 -002 2734 0990580 -001 -094 047 -001 -095 094 285 27092001 561925 0985501 -001 2744 1003658 000 -094 047 -001 -095 096 380 30092001 564278 1004187 000 2790 1016764 002 -094 047 000 -094 096 476 01102001 568252 1007043 001 2837 1016846 002 -094 047 000 -094 096 572 02102001 555684 0977883 -002 2830 0997533 -000 -094 047 -001 -096 095 667 03102001 549459 0988798 -001 2821 0996820 -000 -094 047 -001 -095 095 762 04102001 544680 0991302 -001 2800 0992556 -001 -094 047 -000 -095 094 856 07102001 544675 0999991 -000 2800 1000000 000 -094 047 -000 -094 094 951 08102001 543049 0997015 -000 2822 1007857 001 -094 047 -000 -095 095 1046 09102001 545728 1004933 000 2815 0997519 -000 -094 047 000 -094 094 1140 10102001 549824 1007506 001 2834 1006750 001 -094 047 000 -094 095 1235 11102001 554529 1008557 001 2834 1000000 000 -094 047 000 -094 094 1329 14102001 563161 1015566 002 2828 0997883 -000 -094 047 001 -094 094 1423 15102001 563789 1001115 000 2825 0998939 -000 -094 047 000 -094 094 1517 16102001 560209 0993650 -001 2822 0998938 -000 -094 047 -000 -095 095 1612 17102001 573477 1023684 002 2832 1003544 000 -094 047 001 -093 094 1705 18102001 579797 1011020 001 2820 0995763 -000 -094 047 001 -094 094 1799 21102001 583382 1006183 001 2838 1006383 001 -094 047 000 -094 095 1894

Page 177

22102001 585868 1004261 000 2801 0986963 -001 -094 047 000 -094 093 1987 23102001 584346 0997402 -000 2812 1003927 000 -094 047 -000 -095 095 2082 24102001 580869 0994050 -001 2823 1003912 000 -094 047 -000 -095 095 2177 25102001 571335 0983587 -002 2824 1000354 000 -094 047 -001 -095 095 2272 28102001 560295 0980677 -002 2806 0993626 -001 -094 047 -001 -095 095 2367 29102001 558792 0997317 -000 2498 0890235 -012 -094 047 -000 -095 083 2450 30102001 563118 1007742 001 2482 0993595 -001 -094 047 000 -094 093 2544 31102001 557753 0990473 -001 2444 0984690 -002 -094 047 -000 -095 093 2637 01112001 554861 0994815 -001 2455 1004501 000 -094 047 -000 -095 095 2732 04112001 562024 1012910 001 2488 1013442 001 -094 047 001 -094 095 2827 05112001 565106 1005484 001 2492 1001608 000 -094 047 000 -094 094 2922 06112001 564130 0998273 -000 2481 0995586 -000 -094 047 -000 -095 094 3016 07112001 558639 0990266 -001 2496 1006046 001 -094 047 -000 -095 096 3111 08112001 558192 0999200 -000 2470 0989583 -001 -094 047 -000 -095 093 3205 11112001 556063 0996186 -000 2488 1007287 001 -094 047 -000 -095 095 3300 12112001 552223 0993094 -001 2498 1004019 000 -094 047 -000 -095 095 3396 13112001 546427 0989504 -001 2495 0998799 -000 -094 047 -001 -095 095 3490 14112001 541547 0991069 -001 2488 0997194 -000 -094 047 -000 -095 095 3585 15112001 533398 0984952 -002 2498 1004019 000 -094 047 -001 -095 096 3681 18112001 524993 0984243 -002 2460 0984788 -002 -094 047 -001 -095 094 3774 19112001 523018 0996238 -000 2460 1000000 000 -094 047 -000 -095 095 3869

Page 179

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 = [(T sumsumsumsumXY) ndash (sumsumsumsumY sumsumsumsumX)] [(T sumsumsumsumX2) ndash (sumsumsumsumX)2] (511)

middot Jensen (Alpha) = arp ndash [arf + βp(arM - arf)] (512)

middot Sharpe = (arp - arf) σp (513)

middot Treynor = (arp - arf) βp (514)

middot Tracking Error = αp σep (515)

The following are the detailed calculations of the various performance measures for

the funds analysed

Page 180

Market Portfolio

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -2630 881 -3511 123271 123271 123271 1999 4250 905 3345 4250 905 3345 111890 111890 111890 2000 -4119 909 -5028 -4119 909 -5028 252808 252808 252808 2001 -3120 906 -4026 -3120 906 -4026 162087 162087 162087

Sum -9220 -9220 650056 650056 650056

Mean -1405 900

Standard Deviation 3820

Beta 100 Jensen (Alpha) 000 Std Dev Of Rndm Error Term 000 Sharpe -060 Treynor -2305 Tracking Error 000

Page 181

Fund No 1

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1630 881 -2511 123271 63051 88161 1999 4250 905 3345 1200 905 295 111890 870 9868 2000 -4119 909 -5028 -1144 909 -2053 252808 42148 103225 2001 -3120 906 -4026 -1750 906 -2656 162087 70543 106931

Sum -9220 -6925 650056 176613 308184

Mean -831 900

Standard Deviation 1379

Beta 034 Jensen (Alpha) -949 Std Dev Of Rndm Error Term 560 Sharpe -126 Treynor -5099 Tracking Error -169

Page 182

Fund No 2

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1660 881 -2541 123271 64567 89215 1999 4250 905 3345 1590 905 685 111890 4692 22913 2000 -4119 909 -5028 -1307 909 -2216 252808 49107 111420 2001 -3120 906 -4026 -520 906 -1426 162087 20335 57411

Sum -9220 -5498 650056 138700 280959

Mean -474 900

Standard Deviation 1456

Beta 035 Jensen (Alpha) -562 Std Dev Of Rndm Error Term 662 Sharpe -094 Treynor -3899 Tracking Error -085

Page 183

Fund No 3

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1490 881 -2371 123271 56216 83246 1999 4250 905 3345 1350 905 445 111890 1980 14885 2000 -4119 909 -5028 -1289 909 -2198 252808 48312 110515 2001 -3120 906 -4026 -1310 906 -2216 162087 49107 89216

Sum -9220 -6340 650056 155615 297863

Mean -685 900

Standard Deviation 1359

Beta 035 Jensen (Alpha) -786 Std Dev Of Rndm Error Term 354 Sharpe -117 Treynor -4571 Tracking Error -222

Page 184

Fund No 4

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1770 881 -2651 123271 70278 93077 1999 4250 905 3345 1100 905 195 111890 380 6523 2000 -4119 909 -5028 -1438 909 -2347 252808 55084 118007 2001 -3120 906 -4026 -1690 906 -2596 162087 67392 104515

Sum -9220 -7399 650056 193135 322121

Mean -950 900

Standard Deviation 1374

Beta 035 Jensen (Alpha) -1051 Std Dev Of Rndm Error Term 434 Sharpe -135 Treynor -5339 Tracking Error -242

Page 185

Fund No 5

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1680 881 -2561 123271 65587 89917 1999 4250 905 3345 1230 905 325 111890 1056 10871 2000 -4119 909 -5028 -1078 909 -1987 252808 39482 99906 2001 -3120 906 -4026 -1410 906 -2316 162087 53639 93242

Sum -9220 -6539 650056 159764 293936

Mean -735 900

Standard Deviation 1333

Beta 033 Jensen (Alpha) -880 Std Dev Of Rndm Error Term 547 Sharpe -123 Treynor -4994 Tracking Error -161

Page 186

Fund No 6

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1480 881 -2361 123271 55743 82895 1999 4250 905 3345 1140 905 235 111890 552 7861 2000 -4119 909 -5028 -1083 909 -1992 252808 39681 100158 2001 -3120 906 -4026 -1240 906 -2146 162087 46053 86398

Sum -9220 -6264 650056 142029 277311

Mean -666 900

Standard Deviation 1215

Beta 030 Jensen (Alpha) -866 Std Dev Of Rndm Error Term 421 Sharpe -129 Treynor -5155 Tracking Error -205

Page 187

Fund No 7

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -1151 881 -2032 123271 41290 71344 1999 4250 905 3345 306 905 -599 111890 3588 -20037 2000 -4119 909 -5028 -1174 909 -2083 252808 43389 104733 2001 -3120 906 -4026 -1312 906 -2218 162087 49195 89297

Sum -9220 -6932 650056 137462 245337

Mean -833 900

Standard Deviation 762

Beta 020 Jensen (Alpha) -1282 Std Dev Of Rndm Error Term 173 Sharpe -227 Treynor -8863 Tracking Error -739

Page 188

Fund No 8

Year Index Return () TBills Rate () Excess Return () Fund Return () TBills Rate () Excess Return () (X)2 (Y)2 (XY) rM X = rM - rf Y = rp - rf

1998 -2630 881 -3511 -279 881 -1160 123271 13456 40728 1999 4250 905 3345 751 905 -154 111890 237 -5151 2000 -4119 909 -5028 -803 909 -1712 252808 29309 86079 2001 -3120 906 -4026 -960 906 -1866 162087 34820 75125

Sum -9220 -4892 650056 77822 196781

Mean -323 900

Standard Deviation 773

Beta 019 Jensen (Alpha) -780 Std Dev Of Rndm Error Term 305 Sharpe -158 Treynor -6369 Tracking Error -256

Page 189

References

1 Bekaert G and Harvey C R ldquoTime-Varying World Market Integrationrdquo Journal

of Finance Vol 50 no 2 (June 1995) pp 403-444

2 Bekaert G and Harvey C R ldquoEmerging Equity Market Volatilityrdquo Journal of

Financial Economics Vol 43 no 1 (1997) pp 29-77

3 Bekaert G Erb C B Harvey C R and Viscanta T E ldquoDistributional

Characteristics of Emerging Market Returns and Asset

Allocationrdquo Journal of Portfolio Management Vol 24

no 2 (Winter 1998) pp 102-116

4 Bodie Z Kane A and Marcus A ldquoInvestmentsrdquo 4th ed McGraw Hell 2001

5 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (May 2002)

6 Cairo and Alexandria Stock Exchanges ldquoFact Bookrdquo 2001

7 Cairo and Alexandria Stock Exchanges ldquoStatistical Highlightsrdquo 2001

8 Claessens S ldquoAssessing Investment Potential and Security Designrdquo Conference

on Portfolio Investment in Developing Countries The

World Bank 1993

9 Conrad J and Kaul G ldquoTime Variation in Expected Returnsrdquo Journal of

Business Vol 61 no 4 (October 1998) pp 409-425

in (Bodie et al 2001)

10 Egyptian Financial Group (EFG-Hermes) ldquoEgypt Country Reportrdquo (May 2000)

11 Fama E F ldquoEfficient Capital Markets A Review of Theory and Empirical

Workrdquo Journal of Finance Vol 25 no 2 (May 1970) pp

383-417

12 Fama E F Fisher L Jensen M and Roll R ldquoThe Adjustment of Stock prices

Page 190

to New Informationrdquo International Economic Review

Vol 10 no 1 (February 1969) pp 1-21 in (Fama

1970)

13 Fama E F and French K R Permanent and Temporary Components of Stock

pricesrdquo Journal of Political Economy Vol 96 (April

1988) pp 24-73 in Bodie et al (2001)

14 Fama E F ldquoEfficient Capital Markets IIrdquo Journal of Finance Vol 46 no 5

(December 1991) pp 1575-1617

15 Fama E F ldquoMarket Efficiency Long-Term Returns and Behavioural Financerdquo

Journal of Financial Economics Vol 49 (September

1998) pp 283-306

16 Harvey C R ldquoThe Risk Exposure of Emerging Equity Marketsrdquo Conference on

Portfolio Investment in Developing Countries The World

Bank 1993

17 HC Brokerage ldquoEgypt Equity Researchrdquo 2001

18 Howell M J Cleassens S and Gooptu S ldquoInvesting in Emerging Marketsrdquo

Euromoney Books in association with the World Bank 1994

19 HSBC Investment Bank-Egypt ldquoTreasury and Capital Markets A Guide to

Egyptrdquo 2001

20 Jensen M C ldquoThe Performance of Mutual Funds in The Period 1945-1964rdquo

Journal of Finance Vol 23 no 2 (May 1968) pp 389-416

21 Kendall M G ldquoThe Ananlysis of Economic Time Series Part I Pricesrdquo Journal

of Royal Statistical Society 96 (Part 1 1953) pp 11-

25 in (Fama 1970 pp 390) and (Leroy 1989 pp

1587-1588)

Page 191

22 Law No 951992 ldquoCapital Market Lawrdquo

23 Law No 1591981 ldquoCompanies Lawrdquo

24 Law No 2031991 ldquoInvestment Lawrdquo

25 LeRoy S F ldquoEfficient Capital Markets and Martingalesrdquo Journal of Economic

Literature Vol 27 no 4 (December 1989) pp 1583-1621

26 Lewellen J and Shanken J ldquoLearning Asset Pricing Tests and Market

efficiencyrdquo Journal of Finance Vol 57 no 3 (June

2002) pp 1113-1144

27 Masters S J ldquoEmerging Markets Managing the Impact of High Costsrdquo Journal

of Portfolio Management Vol 28 no 3 (Spring 2002) pp

96-101

28 Mecagni M and Sourial M S ldquoThe Egyptian Stock Market Efficiency Tests

and Volatility Effectsrdquo International Monetary Fund

Working Paper 9948 (April 1999)

29 Odier P Solnik B and Zucchinetti S ldquoGlobal Optimisation for Swiss Pension

Fundsrdquo Finazmarkt und Portfolio Management (June

1995) in (Solnik 2000) pp 263

30 Poterba J and Summers L ldquoMean Reversion in Stock Prices Evidence and

Implicationsrdquo Journal of Financial Economics Vol 22

(October 1988) pp 27-59 in (Bodie et al 2001) pp

345

31 Saunders A and Walter I ldquoAre Emerging Market Equities a Separate Asset

Classrdquo Journal of Portfolio Management Vol 28 no

3 (Spring 2002) pp 102-114

32 Sharpe W F ldquoMutual Fund Performancerdquo Journal of Business Vol 39 no 1

Page 192

(January 1966) pp 119-138

33 Sharpe W F Alexander G J and Bailey J V ldquoInvestmentsrdquo 6th ed Prentice

Hall Inc 1999

34 Solnik B ldquoInternational Investmentsrdquo 4th ed Addison Wesley 2000

35 Stevenson S ldquoEmerging Markets Downside Risk and The Asset Allocation

Decisionrdquo Emerging Markets Review Vol 2 no 1

(March 2001) pp 50-66

36 Treynor J L ldquoHow to Rate Management of Investment Fundsrdquo Harvard

Business Review Vol 43 no 1 (JanuaryFebruary 1965) pp

63-75

37 Treynor J L and Black F ldquoHow to Use Security Analysis to Improve Portfolio

Selectionrdquo Journal of Business Vol 46 no 1

(January 1973) pp 66-86

38 Williamson J ldquoIssues Posed by Portfolio Investment in Developing Countriesrdquo

Conference on Portfolio Investment in Developing

Countries The World Bank 1993

Electronic References

1 Cairo and Alexandria Stock Exchanges ldquoTrade Historyrdquo [Online]

httpwwwegyptsecomtradehistoryasp

2 DATASTREAM [Online]

3 Law No 81997 ldquoInvestment Lawrdquo (August 2002) [Online]

httpwwweconomygovegenglishdownloadtocdownloadstm

4 Law No 932000 ldquoCentral Securities Depository and Registry Lawrdquo (August

Page 193

2002) [Online]

httpwwweconomygovegarabicdownloadtocdownloadstm

5 REUTERS [Online]

Bibliography

1 Black F ldquoNoiserdquo Journal of Finance Vol 41 no 3 (July 1986) pp 529-543

2 Cairo and Alexandria Stock Exchanges ldquoStock Guiderdquo 2001

3 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (November 2000)

4 Cairo and Alexandria Stock Exchanges ldquoMonthly Bulletinrdquo (December 2001)

5Cothren R ldquoOn The Impossibility of Informationally Efficient Markets

Commentrdquo American Economic Review Vol 72 no

4 (September 1982) pp 873-874

6 Elton E J Gruber M J Das S and Hlavka M ldquoEfficiency with Costly

Information A Reinterpretation of Evidence from

Managed Portfoliosrdquo Review of Financial Studies

Vol 6 no 1 (1993) pp 1-22

7 Grossman S J and Stiglitz J E ldquoOn The Impossibility of Informationally

Efficient Marketsrdquo American Economic Review Vol

70 no 3 (June 1980) pp 393-408

8 Grossman S J and Stiglitz J E ldquoOn The Impossibility of Informationally

Efficient Markets Replyrdquo American Economic

Review Vol 72 no 4 (September 1982) pp 875

Page 194

9 HSBC Investment Bank-Egypt ldquoEgypt Equities Researchrdquo (20012002)

10 Malkiel B G ldquoReturns From Investing in Equity Mutual Funds 1971-1991rdquo

Journal of Finance Vol 50 (June 1995) pp 549-572

11 Ministry of Foreign Trade ldquo Monthly Economic Digestrdquo (May 2002)

12 Prime Funds ldquoAnnual Reviewrdquo (1997 1998 1999 2000 and 2001)

13 Prime Group ldquoBlue Book Guide to Egyptian Securitiesrdquo (1998 1999 2000 and

2001)

14 Sharpe W F ldquoCapital Asset Prices A Theory of Market Equilibrium Under

Conditions of Riskrdquo Journal of Finance Vol 19 no

3 (September 1964) pp 425-442

Electronic

1 Cairo and Alexandria Stock Exchanges ldquoCASE 50 Index Rulesrdquo [Online]

httpwwwegyptsecomcase50_ivasp

2 Egyptian Financial Group (EFG-Hermes) ldquoFundsrdquo (September 2002) [Online]

httpwwwefg-hermescomegdocsmarketfundsasp

3 Egyptian Financial Group (EFG-Hermes) ldquoFunds Reportsrdquo (July 2002)

[Online]

httpwwwefg-hermescomegdocsmarketfunds_reportsasp