OPEN-SOURCE SCRIPT
GDR Arbitrage Analysis (CBKDL/COMI)
Evaluating the arbitrage or price discrepancy between local shares and Global Depositary Receipts (GDRs) is a standard practice to gauge market sentiment and currency expectations.
the equation CBKDL * USDEGP - COMI
CBKDL (GDR Price): London Stock Exchange in USD
USDEGP: (Bank rate/Market rate)
GX:COMI: Local EGX price
GDR Ratio 1:1 (1 GDR = 1 Ordinary Share)
If the result is Positive (+): The GDR is trading at a premium.
This often suggests that international investors expect the EGP to devalue further or that there is high demand for the stock that cannot be met locally.
If the result is Negative (-): The local stock is trading at a premium (GDR is at a discount).
This suggests that local buying pressure is currently stronger than international appetite, or that the local market has already "priced in" a higher value than what the global market is currently reflecting.
Market Insight
Historically, a negative spread in this equation (where COMI > CBKDL converted) can happen during periods of local market rallies or when liquidity in London is thin. If you see this negative spread widening significantly, it may suggest that the local price is overextended in the short term, or that the "implied" exchange rate in the stock market is slightly higher than the official rate you are using in your formula.
Sector Context: As the heavy-lifter of the EGX30, COMI’s movement often dictates the direction of the entire index. Tracking this spread is vital for understanding foreign institutional flows, as these investors often arbitrage between the two listings.
🟢 Green Bars: GDR Premium — International investors are paying more via London GDR than the local EGX price implies. Signals foreign institutional bullishness or hedging against EGP devaluation.
🔴 Red Bars: Local Premium — Local EGX price exceeds the GDR-implied fair value. Signals stronger local buying pressure or international outflows from the GDR.
The indicator is flexible: if you want to analyze other Egyptian GDRs (like ETEL, EFID, or others), just change the symbol inputs in the indicator settings without editing code.
the equation CBKDL * USDEGP - COMI
CBKDL (GDR Price): London Stock Exchange in USD
USDEGP: (Bank rate/Market rate)
GX:COMI: Local EGX price
GDR Ratio 1:1 (1 GDR = 1 Ordinary Share)
If the result is Positive (+): The GDR is trading at a premium.
This often suggests that international investors expect the EGP to devalue further or that there is high demand for the stock that cannot be met locally.
If the result is Negative (-): The local stock is trading at a premium (GDR is at a discount).
This suggests that local buying pressure is currently stronger than international appetite, or that the local market has already "priced in" a higher value than what the global market is currently reflecting.
Market Insight
Historically, a negative spread in this equation (where COMI > CBKDL converted) can happen during periods of local market rallies or when liquidity in London is thin. If you see this negative spread widening significantly, it may suggest that the local price is overextended in the short term, or that the "implied" exchange rate in the stock market is slightly higher than the official rate you are using in your formula.
Sector Context: As the heavy-lifter of the EGX30, COMI’s movement often dictates the direction of the entire index. Tracking this spread is vital for understanding foreign institutional flows, as these investors often arbitrage between the two listings.
🟢 Green Bars: GDR Premium — International investors are paying more via London GDR than the local EGX price implies. Signals foreign institutional bullishness or hedging against EGP devaluation.
🔴 Red Bars: Local Premium — Local EGX price exceeds the GDR-implied fair value. Signals stronger local buying pressure or international outflows from the GDR.
The indicator is flexible: if you want to analyze other Egyptian GDRs (like ETEL, EFID, or others), just change the symbol inputs in the indicator settings without editing code.
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Скрипт с открытым кодом
В истинном духе TradingView, создатель этого скрипта сделал его открытым исходным кодом, чтобы трейдеры могли проверить и убедиться в его функциональности. Браво автору! Вы можете использовать его бесплатно, но помните, что перепубликация кода подчиняется нашим Правилам поведения.
Отказ от ответственности
Информация и публикации не предназначены для предоставления и не являются финансовыми, инвестиционными, торговыми или другими видами советов или рекомендаций, предоставленных или одобренных TradingView. Подробнее читайте в Условиях использования.