The mediating role of stock market liquidity on the relationship between Investor sentiment and Stock market volatility: An Applied study on Listed Companies in Egyptian stock Exchange | ||||
| المجلة العلمية للدراسات والبحوث المالية والتجارية | ||||
| Volume 4, Issue 2 - Serial Number 1, July 2023, Page 289-332 PDF (1.01 MB) | ||||
| Document Type: المقالة الأصلية | ||||
| DOI: 10.21608/cfdj.2023.289006 | ||||
 View on SCiNiTO | ||||
| Authors | ||||
| Ghada Mohamed Salah El-deen Abo El-ata; Mostafa Mohamed Ahmed Al Kerdawy; Maha Misbah Mohammed Shabana | ||||
| Faculty of Commerce, Damietta University | ||||
| Abstract | ||||
| Purpose: We examined whether investor sentiment affects the volatility of the Egyptian exchange. While examining this relationship, we also test whether stock market liquidity is the channel than can affect the relationship between investor sentiment and Egyptian exchange volatility. Methodology: This study adopted the positivism philosophy, quantative method, and deductive approach. In addition, we collect secondary data from the financial statements of the listed companies on the EGX 100 comprise the study's population. After excluding statements from banks and financial institutions and relying solely on the consolidated financial statement, the sample consists of 305 observations from 76 firms. The data was analyzed to verify if the time series is a stationary time series or not by using Dick-Fuller test and GARCH model. Then, we use the correlation matrix coefficient and descriptive statistics to describe the data. Finally, the research model was validated with structural equation modeling (SEM). Findings: Results of the study found a significant negative relationship between investor sentiment and stock market volatility. Besides, stock market liquidity partially mediates the relationship between investor sentiment and stock market volatility. Recommendations and Further Direction: Based on the results, this study presents recommendations that could help to improve the performance of the Egyptian exchange. Also, it offers some directions for future research. | ||||
| Keywords | ||||
| Investor sentiment; Stock market liquidity; stock market volatility; EGX 100 | ||||
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