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

: 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.

• Publication year

  2023

• Venue

  المجلة العلمیة للدراسات والبحوث المالیة والتجاریة

• Publication date

  2023-07-01

• Fields of study

  Not labeled

• Identifiers
  DOI 10.21608/cfdj.2023.289006
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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