Does Dividend Policy Affect Stock Price Volatility? Evidence from Egypt
Sherif, M., El-Diftar, D., Shahwan, T. (2024). Does Dividend Policy Affect Stock Price Volatility? Evidence from Egypt. EKB Journal Management System, 61(5), 177-211. doi: 10.21608/acj.2024.379186
Mohamed Sherif; Doaa El-Diftar; Tamer Mohamed Hassan Shahwan. "Does Dividend Policy Affect Stock Price Volatility? Evidence from Egypt". EKB Journal Management System, 61, 5, 2024, 177-211. doi: 10.21608/acj.2024.379186
Sherif, M., El-Diftar, D., Shahwan, T. (2024). 'Does Dividend Policy Affect Stock Price Volatility? Evidence from Egypt', EKB Journal Management System, 61(5), pp. 177-211. doi: 10.21608/acj.2024.379186
Sherif, M., El-Diftar, D., Shahwan, T. Does Dividend Policy Affect Stock Price Volatility? Evidence from Egypt. EKB Journal Management System, 2024; 61(5): 177-211. doi: 10.21608/acj.2024.379186

Does Dividend Policy Affect Stock Price Volatility? Evidence from Egypt

مجلة جامعة الإسکندرية للعلوم الإدارية
Article 6, Volume 61, Issue 5, September 2024, Page 177-211  XML PDF (7.04 MB)
Document Type: المقالة الأصلية
DOI: 10.21608/acj.2024.379186
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Authors
Mohamed Sherif1; Doaa El-Diftar2; Tamer Mohamed Hassan Shahwanorcid 3
1Assistant Lecturer, Finance Department, College of Management and Technology, Arab Academy for Science, Technology, and Maritime Transport
2Lecturer, Finance Department, College of Management and Technology, Arab Academy for Science, Technology, and Maritime Transport
3Professor of Financial Management, Head of Business Administration Department, Faculty of Commerce, Zagazig University
Abstract
The stock market performs the important function of enabling firms raise the needed capital, which may significantly contribute to economic growth and development. However, elevated volatility levels can make investors shy away from investing in stock markets, lowering the ability of companies to raise capital, impeding economic growth, and leading to devastating ramifications for companies as well as the overall economy. The research paper seeks to investigate the association between dividend policy and share price volatility in Egypt and explain how investors in emerging markets would respond to changes in the dividend policy adopted by firms. The paper studies the impact of dividend yield and dividend payout ratio on the volatility of stock prices. Stock price volatility is estimated using the GARCH (1,1) model. The sample of the study includes 69 firms listed on the Egyptian Stock Exchange (EGX) from 2016 to 2022. Data is analyzed using 2-way fixed effects model, 1-step dynamic panel data model, in addition to panel weighted least squares model. A significant negative relationship between dividend yield and stock price volatility was concluded. Also, a significant negative relationship between dividend payout and stock price volatility was supported, but by only one of the tested models.
Keywords
Stock Price Volatility; Dividend Policy; Dividend Yield; Dividend Payout; EGX; Emerging Markets
References
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