The present paper aims to compare risk and return characteristics of ESG index with those of conventional benchmark market index: EGX30 for a period from June 2007 to September 2020. We apply GARCH models not only to examine the volatility features of each index but also to investigate effect of exogenous shocks to stock market including global financial crisis in 2008 (GFC), political uncertainty after Egyptian revolution in 2011 (ER2011) and most recently potential effects of covid-19 pandemic. The results reveal that the daily compounded returns of the ESG Index are not statistically different from those of the EGX30 index, however, annualized returns of the ESG Index have been better than the returns of the EGX30 index. Interestingly, the annualized returns of ESG index outperform those of EGX30 index during the exogenous shock periods. Conversely, the ESG returns tend to underperform EGX30 returns during normal time periods, except the pre-Egyptian revolution period. We find that volatility of ESG index returns is more persistent than that of benchmark index, but the returns of benchmark index has larger leverage effect than those of ESG index. The findings have three important practical implications. Firstly, portfolio managers could follow ESG investing to diversify their portfolios and maximize returns. Secondly, firms listed in Egyptian exchange should adopt more environmental, social, governance issues in their policies to maximize firm value. Thirdly, asset pricing models could be extended to include ESG premium factor in explaining cross-sectional returns in the Egyptian exchange.

This paper attempts to analyze, using descriptive statistics, the performance and activity of the Egyptian stock exchange during the period of the interest; 2002-2015. The indicators revealed that the market performance and activity had a growth rate during the period of 2004-2007, that is, before the Global financial crisis in 2008 (GFC2008). Its activity was negatively affected by the GFC2008 and started slowly to improve at the end of 2009 until the outbreak of the Egyptian Revolution of January (ERJ2011) which resulted in low activity and performance till the end of 2013.

The future of Earth depends on the investment choices of companies and individuals. Over the past decade, investment decisions of individuals have been intensely studied by researchers in developed countries. Yet, very few studies focused on these investment decisions in developing countries using an experimental approach. This study adopts an experimental approach to examine the impact of ESG awareness on the sustainable investment decisions of undergraduate students in Egypt. In the experiment, subjects were asked to watch a video on investment basics (control) and investment and ESG basics (treatment). After that, the subjects were asked to choose between two choices, one sustainable (ESG choice) and one unsustainable with and without a return difference. After controlling for demographic characteristics, personal traits, financial knowledge, and risk tolerance, the results indicate that ESG awareness increases the probability of making sustainable investment decisions. Moreover, the findings indicate that sustainable investing among individuals is conditional on higher or equal returns than conventional investing. The study provides practical insights for professionals and policy recommendations.

This paper tests effects of introducing the first ETF in Egyptian exchange. We apply econometric models to examine the effects of daily ETF trading activity on both liquidity and volatility of the benchmarked (EGX30) index over the period 2008 – 2022. The current paper applies multiple regression model to examine the impact of ETF trading activity on market liquidity and finds that ETF has a weak positive impact. Moreover, it uses GARCH model to investigate the impact of ETF trading activity on index volatility and documents that ETF has a weak negative impact. We associate the weak relations to the infrequent trading on ETF units. Arguably, this paper suggests three possible explanations for the low ETF trading activity in the Egyptian exchange including lower expected return on ETF trading, less financial knowledge of investors about ETF characteristics and less incentive of brokers to encourage investors to invest more in ETF units.

The paper seeks to examine the effect of both subjective and objective financial knowledge on investment risk tolerance of Egyptian individuals. The findings indicate that objective financial knowledge has insignificant impact, but subjective financial knowledge has a positive and significant impact on risk tolerance, especially among people who are young and male individuals. Although results indicate presence of bias in self-assessment of knowledge among Egyptian individuals, it has a weak explanatory power in explaining the risk tolerance. Financial education has positive and significant impact on risk tolerance of investors, but finance work experience has a weak effect. This paper provides investment advisors with practical insights into the behavior of potential investors.