daily Egyptian stock index EGX30 response to monetary policy announcements
Description
REPLICATION PACKAGE FOR: "How Does the Egyptian Stock Market Return Respond to Monetary Policy Announcements?" AUTHORS: Hassan Mounir ElSady, Hosni Hamdy, Ahmed Sameh Zaghloul, Doaa Samy Seddik CONTENTS: 1. methodology.xlsx - Original data (2005-2023) 2. replication_code.do - Stata code to reproduce all tables 3. README.txt - This file 4. RUN_INSTRUCTIONS.txt - How to run the code DATA SOURCES: 1. EGX30 returns: Egyptian Exchange 2. Policy announcements: Central Bank of Egypt 3. Analyst forecasts: Thomson Reuters 4. Exchange rates: Central Bank of Egypt CONTACT: Ahmedzaghloul228@gmail.com DATE: December 2025
Files
Steps to reproduce
==================================================================== STEPS TO REPRODUCE ALL RESULTS ==================================================================== REQUIREMENTS: - Stata 15.0 or higher (earlier versions may work but not tested) - The replication package downloaded from Mendeley Data - methodology.xlsx file (provided) STEP 1: DOWNLOAD AND SETUP 1. Download the replication package from Mendeley Data (DOI: [YOUR DOI]) 2. Extract all files to a single folder (e.g., C:\Egypt_Paper_Replication\) 3. Verify the folder contains: - methodology.xlsx - replication_code.do STEP 2: CONFIGURE THE WORKING DIRECTORY 1. Open replication_code.do in any text editor 2. Locate line 13 (starts with 'cd') 3. Change the path to YOUR folder location: Example: cd "C:\Egypt_Paper_Replication" STEP 3: RUN THE ANALYSIS 1. Open Stata 15 or higher 2. Set working directory to your folder (or skip if line 13 is correct) 3. Type in Stata: do replication_code.do 4. Press Enter STEP 4: EXPECTED OUTPUT The code will produce: TABLE 4.2: Interaction between rate increase and devaluation - Main regression with 44 independent variables - Key coefficients: * devaluationday: ~5.94 (positive, significant at 1%) * increaseday: ~0.12 (insignificant) * interactionday: ~-2.11 (negative, significant at 1%) TABLE 4.3: Rate decrease effect - 15 independent variables - decreaseday coefficient: ~0.57 (insignificant) TABLE 4.4: Rate fix effect - 15 independent variables - fixday coefficient: ~-0.37 (insignificant) TABLE 4.5: Cumulative returns - Three separate regressions (1-day, 2-day, 3-day windows) - devaluationt0: Positive and significant (increases with window length) ALL TABLES MATCH EXACTLY those reported in the paper. STEP 5: TROUBLESHOOTING Common issues and solutions: 1. "file methodology.xlsx not found" → Check the path in line 13 matches your actual folder location 2. "sheet raw daily return method not found" → Ensure Excel file is closed in Excel before running Stata → Check sheet names exactly match (case sensitive) 3. Variable naming errors → The code renames variables from Excel columns to Stata names → If Excel column names have changed, adjust rename commands accordingly 4. Memory issues → Type in Stata: set memory 500m → Or: clear all between major analyses DATA SOURCES (Raw data before processing): 1. EGX30 daily returns: Egyptian Exchange (EGX) 2. Monetary policy decisions: Central Bank of Egypt (CBE) 3. Analyst expectations: Thomson Reuters survey data 4. Exchange rates: Central Bank of Egypt TIME TO COMPLETE: 1-2 minutes on a standard computer VERIFICATION: - Compare output tables with Tables 4.2-4.5 in the paper - All coefficients should match within rounding error - N = 4,045 for main regressions (Table 4.2) FOR HELP: Contact: Ahmedzaghloul228@gmail.com ====================================================================
Institutions
- Cairo University