Thesis (Ph.D.) - Cairo University - Faculty of Commerce - Department of Business Administration

Purpose: this study aims at examining the flight to quality behavior in the Egyptian stock market through testing two possible destinations for the capital flow, including quality stock and fixed income security in the periods of crisis. The study is conducted through fulfilling two requirements: firstly, defining the quality concept from the equity side. Secondly, examining the flight to quality behavior from the stock market portfolio (EGX30) to the treasury bill and quality stock during stock market falling condition. Design/methodology/approach: this research relies on two streams of data set. The first data set is the financial information extracted from the published financial statements and it is used to determine the main financial indicators that describe the quality stock. The Panel regression with fixed effect method of estimation is used to define the key descriptors of quality stock. The sample is 53 listed companies and enrolled in EGX100 index for period spanning from 2007 to 2017. To form quality sorted portfolios, the stocks are ranked in the year t-1 to form three equally weighted portfolios in year t that are re-balanced annually. The second data set is the monthly return of market portfolio (EGX30), three- month maturity treasury bill, quality stock for a study period extended from January 2008 to December 2017. Flight to quality is examined by testing the co-movement between the risky asset (EGX30) and the safe haven in the crisis period (i.e. treasury bills). The autoregressive distributed lag model (ARDL) is employed to postulate both the co-movement between quality stock return and stock market return (EGX30) and the co-movement between treasury bill return and stock market return (EGX30). Furthermore, for assessing the co-integration, bound testing using F statistics is conducted with error correction model (ECM)

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