Global Economic Policy Uncertainty and the Stock Market in Egypt

This study examines the reaction of the Egyptian stock market to global economic policy uncertainty (EPU), controlling for key macro-financial variables such as exchange rates, inflation, T-bill rates, gold prices, and global equity markets. Using monthly data since the inception of the EGX30 index, the study utilises rolling correlation analysis and an autoregressive distributed lag (ARDL) model, with both full-sample and subsample estimations to capture structural shifts across economic and political regimes. Findings suggest that global EPU has a significant negative long-run effect on EGX30, with varying impacts across subsamples. Exchange rate depreciation positively affects EGX30 in the full sample. Equities increasingly serve as a hedge against inflation post-2005. Gold primarily functions as a diversifier but also exhibits safe-haven characteristics during crises. The influence of T-bill rates and global equity markets fluctuates across subsamples. This study is the first to investigate the impact of global EPU on the Egyptian stock market and offers novel insights into the evolving influence of macroeconomic and financial factors across distinct economic and political regimes in Egypt.