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379186

Does Dividend Policy Affect Stock Price Volatility? Evidence from Egypt

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Last updated: 24 Dec 2024

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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.

DOI

10.21608/acj.2024.379186

Keywords

Stock Price Volatility, Dividend policy, Dividend Yield, Dividend payout, EGX, Emerging Markets

Authors

First Name

Mohamed

Last Name

Sherif

MiddleName

-

Affiliation

Assistant Lecturer, Finance Department, College of Management and Technology, Arab Academy for Science, Technology, and Maritime Transport

Email

mohamedsherif9@aast.edu

City

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Orcid

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First Name

Doaa

Last Name

El-Diftar

MiddleName

-

Affiliation

Lecturer, Finance Department, College of Management and Technology, Arab Academy for Science, Technology, and Maritime Transport

Email

doaaeldiftar@aast.edu

City

-

Orcid

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First Name

Tamer Mohamed Hassan

Last Name

Shahwan

MiddleName

-

Affiliation

Professor of Financial Management, Head of Business Administration Department, Faculty of Commerce, Zagazig University

Email

tamershahwan74@gmail.com

City

-

Orcid

-

Volume

61

Article Issue

5

Related Issue

50296

Issue Date

2024-09-01

Receive Date

2024-06-27

Publish Date

2024-09-01

Page Start

177

Page End

211

Print ISSN

2682-4183

Online ISSN

2682-4191

Article File

ACJ_Volume 61_Issue 5_Pages 177-211.pdf

PDF . 7.4MB

Link

https://acjalexu.journals.ekb.eg/article_379186.html

Detail API

https://acjalexu.journals.ekb.eg/service?article_code=379186

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6

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المقالة الأصلية

Type Code

759

Publication Type

Journal

Publication Title

مجلة جامعة الإسکندرية للعلوم الإدارية

Publication Link

https://acjalexu.journals.ekb.eg/

MainTitle

Does Dividend Policy Affect Stock Price Volatility? Evidence from Egypt

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Article

Created At

24 Dec 2024