This thesis consists of four main research papers in the area of portfolio design, performance and evaluation. The thesis is motivated to empirically test the main models in the literature on the Egyptian Emerging Capital Market (EECM), and this contributes to our understanding on the applicability of these theories to markets outside the environment of developed economies. Specifically, this thesis is organised in six chapters. Chapter (1) as the introductory chapter contains the aims and scope of the study, as well as the research methodology and the major findings. Chapter (2) provides a survey of the key literature on portfolio performance evaluation models, in order to identify the leading theoretical and empirical issues in this area. Chapter (3) provides an empirical study for examining the risk and return characteristics of actively managed equity funds in the EECM. Chapter (4) provides another empirical study focused on deriving and designing optimal portfolios from within alternative investment to assist the investor in rationalizing his investment decisions. In response to the weak performance of both mutual funds and securities, together with the low level of diversity in the mutual funds, Chapter (5) uses the APT model to examine the relationship between the economic fundamentals - especially inflation, the exchange rate, interest rate, government borrowing and gross domestic product (GDP) - and the performance of both stock market and mutual funds, as well as the causality between them in the context of the APT model. Chapter (6) presents a summary and conclusion as well as eleven ideas for future research.
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:633087 |
| Date | January 2001 |
| Creators | Elsiefy, Elsayed Abd El-Latif |
| Publisher | University of Birmingham |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
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