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Papers by Ahmed El-Gayar

Research paper thumbnail of The Impact of Investor Sentiment on Stock Market Liquidity: The Mediating Role of Investor Herding Behavior "An Empirical Study on the Egyptian Stock Exchange

The Impact of Investor Sentiment on Stock Market Liquidity: The Mediating Role of Investor Herding Behavior "An Empirical Study on the Egyptian Stock Exchange", 2021

Behavioural finance is a recent approach in financial markets that has appeared because of the co... more Behavioural finance is a recent approach in financial markets that has appeared because of the complexities long faced by the traditional or neoclassical finance theory. This paper investigates the influence of investor sentiment and herding behaviour on stock market liquidity using an empirical study on the Egyptian Stock Market. We examine the direct impact of the Egyptian investor sentiment on the Egyptian Stock Market liquidity. As well as the indirect impact of the Egyptian investor sentiment on the Egyptian Stock Market liquidity through the Egyptian investor herding behaviour. Therefore, the major contribution is filling the gap of indirect sentiment-liquidity impact conflict. We use the monthly data of the EGX30 index from January 2004 up to December 2018 for building up investor sentiment index, investor herding behaviour, and stock market liquidity measures. Moreover, we are using two additional types of data (closed-end mutual fund discounts and the equity open-end mutual...

Research paper thumbnail of The Impact of Investor Sentiment on Stock Market Liquidity: The Mediating Role of Investor Herding Behavior "An Empirical Study on the Egyptian Stock Exchange"

American Journal of Business and Operations Research (AJBOR), 2021

Behavioural finance is a recent approach in financial markets that has appeared because of the co... more Behavioural finance is a recent approach in financial markets that has appeared because of the complexities long faced by the traditional or neoclassical finance theory. This paper investigates the influence of investor sentiment and herding behaviour on stock market liquidity using an empirical study on the Egyptian Stock Market. We examine the direct impact of the Egyptian investor sentiment on the Egyptian Stock Market liquidity. As well as the indirect impact of the Egyptian investor sentiment on the Egyptian Stock Market liquidity through the Egyptian investor herding behaviour. Therefore, the major contribution is filling the gap of indirect sentiment-liquidity impact conflict. We use the monthly data of the EGX30 index from January 2004 up to December 2018 for building up investor sentiment index, investor herding behaviour, and stock market liquidity measures. Moreover, we are using two additional types of data (closed-end mutual fund discounts and the equity open-end mutual fund flows) that represent major measures which are used to build up investor sentiment index ranging through the same time-series of the previously mentioned period of this paper. Additionally, we use four control variables for stock market liquidity, namely market volatility, excess market return, term spread, and lag of the dependent variable, considering that the fourth variable is also used for investor herding behaviour. Our result shows that the investor sentiment index has both a direct and indirect impact on stock market liquidity. In addition, regarding event study analysis' results, there are different signs of the direct and indirect impacts and different correlations between the research variables throughout the four different events that differ completely from the usual signs and correlations of the theoretical background.

Thesis Chapters by Ahmed El-Gayar

Research paper thumbnail of The Impact of Investor Sentiment and Herding Behavior on Stock Market Liquidity "An Empirical Study on the Egyptian Stock Exchange"

The Impact of Investor Sentiment and Herding Behavior on Stock Market Liquidity "An Empirical Study on the Egyptian Stock Exchange" , 2021

Behavioral finance is a new approach in financial markets that has emerged as a result of the com... more Behavioral finance is a new approach in financial markets that has emerged as a result of the complications long-faced by the traditional finance theory. This research investigates the impact of investor sentiment and herding behavior on stock market liquidity using an empirical study on the Egyptian Stock Market. The research addresses one of the up-to-date topics in finance that cannot be considered consumed or obsolete. It examines the direct impact of the Egyptian investor sentiment on the Egyptian Stock Market liquidity. It also examines the indirect impact of the Egyptian investor sentiment on the Egyptian Stock Market liquidity through the investor’s herding behavior Therefore, this research adds to the body of knowledge by investigating these effects in an emerging market-the Egyptian market. Its major contribution is filling the gap of indirect sentiment-liquidity impact conflict.
Monthly data of the EGX30 index from January 2004 up to December 2018 were used in building up investor sentiment index, investor herding behavior, and stock market liquidity measures. Moreover, there are two additional types of data that represent key measures that are used to build up investor sentiment index for the same period of this research. These two measures are: the closed-end mutual fund discounts and the equity open-end mutual fund flows. Additionally, the researcher uses four control variables for stock market liquidity, namely market volatility, excess market return, term spread, and lag of the dependent variable, considering that the fourth variable is also used for investor herding behavior.
The researcher uses the deductive approach taking into consideration two types of statistical techniques, namely Structural Equation Modeling (SEM) and event study. The event study employed in this study utilizes four major events which are: the September 2008 Global Financial Crisis, 25 January 2011 Revolution, 30 June 2013 Revolution, and November 2016 Egyptian Pound Floatation. The main findings of this research indicated that the investor sentiment index has both; a positive direct impact on stock market liquidity and a negative indirect one through the mediator variable-investor herding behavior. In addition, the findings of the event study show that there are different signs of the direct and indirect impacts and different levels of correlation between the research variables throughout the four different events which differ completely from the usual signs and correlations of the theoretical background.
Keywords: Behavioral Finance; Investor Sentiment; Investor Herding Behavior; Stock Market Liquidity; Egypt; Structural Equation Modeling (SEM); Event Study; EGX30

Research paper thumbnail of The Bidirectional Effects of Stock Market Liquidity and the Business Cycle

Faculty of Commerce, Tanta University, Egypt, 2015

Following the recent financial crisis there has been a huge increase in research on liquidity rel... more Following the recent financial crisis there has been a huge increase in research on liquidity related topics both with respect to macro liquidity, funding liquidity, the liquidity of different asset classes and markets as well as the flow of funds between different assets and markets. The main objective of this research is to examine the bidirectional effects of the Egyptian Stock Exchange liquidity, and the Egyptian business cycle. This research depends upon the deductive approach which starts with generalities, after admitting its soundness, and ends up with particulars using the logical analysis to predict some findings of the hypotheses under study. This approach attempts to use specific theories in the interpretation of phenomena discovered by the researcher, and that’s by reviewing previous studies, formulating some testable hypotheses and then collecting data to test hypotheses using statistical methods. The results of multiple regression and event study analyses shows that trading volume growth has a significant positive effect on real GDP growth. Also, real GDP growth has a significant positive effect upon market capitalization growth and bid-ask spread growth. This ensures that there are bidirectional effects between the Egyptian stock market liquidity and the Egyptian business cycle. The main contributions of this study are twofold. Firstly, the bidirectional effects of stock market liquidity and the business cycle is still puzzling, and not conclusive around the whole world. Secondly, this is the first time, to the best of his knowledge, to conduct a research about these effects in Egypt; which has the biggest and oldest Stock Exchange in the Arabic area.

Research paper thumbnail of The Impact of Investor Sentiment on Stock Market Liquidity: The Mediating Role of Investor Herding Behavior "An Empirical Study on the Egyptian Stock Exchange

The Impact of Investor Sentiment on Stock Market Liquidity: The Mediating Role of Investor Herding Behavior "An Empirical Study on the Egyptian Stock Exchange", 2021

Behavioural finance is a recent approach in financial markets that has appeared because of the co... more Behavioural finance is a recent approach in financial markets that has appeared because of the complexities long faced by the traditional or neoclassical finance theory. This paper investigates the influence of investor sentiment and herding behaviour on stock market liquidity using an empirical study on the Egyptian Stock Market. We examine the direct impact of the Egyptian investor sentiment on the Egyptian Stock Market liquidity. As well as the indirect impact of the Egyptian investor sentiment on the Egyptian Stock Market liquidity through the Egyptian investor herding behaviour. Therefore, the major contribution is filling the gap of indirect sentiment-liquidity impact conflict. We use the monthly data of the EGX30 index from January 2004 up to December 2018 for building up investor sentiment index, investor herding behaviour, and stock market liquidity measures. Moreover, we are using two additional types of data (closed-end mutual fund discounts and the equity open-end mutual...

Research paper thumbnail of The Impact of Investor Sentiment on Stock Market Liquidity: The Mediating Role of Investor Herding Behavior "An Empirical Study on the Egyptian Stock Exchange"

American Journal of Business and Operations Research (AJBOR), 2021

Behavioural finance is a recent approach in financial markets that has appeared because of the co... more Behavioural finance is a recent approach in financial markets that has appeared because of the complexities long faced by the traditional or neoclassical finance theory. This paper investigates the influence of investor sentiment and herding behaviour on stock market liquidity using an empirical study on the Egyptian Stock Market. We examine the direct impact of the Egyptian investor sentiment on the Egyptian Stock Market liquidity. As well as the indirect impact of the Egyptian investor sentiment on the Egyptian Stock Market liquidity through the Egyptian investor herding behaviour. Therefore, the major contribution is filling the gap of indirect sentiment-liquidity impact conflict. We use the monthly data of the EGX30 index from January 2004 up to December 2018 for building up investor sentiment index, investor herding behaviour, and stock market liquidity measures. Moreover, we are using two additional types of data (closed-end mutual fund discounts and the equity open-end mutual fund flows) that represent major measures which are used to build up investor sentiment index ranging through the same time-series of the previously mentioned period of this paper. Additionally, we use four control variables for stock market liquidity, namely market volatility, excess market return, term spread, and lag of the dependent variable, considering that the fourth variable is also used for investor herding behaviour. Our result shows that the investor sentiment index has both a direct and indirect impact on stock market liquidity. In addition, regarding event study analysis' results, there are different signs of the direct and indirect impacts and different correlations between the research variables throughout the four different events that differ completely from the usual signs and correlations of the theoretical background.

Research paper thumbnail of The Impact of Investor Sentiment and Herding Behavior on Stock Market Liquidity "An Empirical Study on the Egyptian Stock Exchange"

The Impact of Investor Sentiment and Herding Behavior on Stock Market Liquidity "An Empirical Study on the Egyptian Stock Exchange" , 2021

Behavioral finance is a new approach in financial markets that has emerged as a result of the com... more Behavioral finance is a new approach in financial markets that has emerged as a result of the complications long-faced by the traditional finance theory. This research investigates the impact of investor sentiment and herding behavior on stock market liquidity using an empirical study on the Egyptian Stock Market. The research addresses one of the up-to-date topics in finance that cannot be considered consumed or obsolete. It examines the direct impact of the Egyptian investor sentiment on the Egyptian Stock Market liquidity. It also examines the indirect impact of the Egyptian investor sentiment on the Egyptian Stock Market liquidity through the investor’s herding behavior Therefore, this research adds to the body of knowledge by investigating these effects in an emerging market-the Egyptian market. Its major contribution is filling the gap of indirect sentiment-liquidity impact conflict.
Monthly data of the EGX30 index from January 2004 up to December 2018 were used in building up investor sentiment index, investor herding behavior, and stock market liquidity measures. Moreover, there are two additional types of data that represent key measures that are used to build up investor sentiment index for the same period of this research. These two measures are: the closed-end mutual fund discounts and the equity open-end mutual fund flows. Additionally, the researcher uses four control variables for stock market liquidity, namely market volatility, excess market return, term spread, and lag of the dependent variable, considering that the fourth variable is also used for investor herding behavior.
The researcher uses the deductive approach taking into consideration two types of statistical techniques, namely Structural Equation Modeling (SEM) and event study. The event study employed in this study utilizes four major events which are: the September 2008 Global Financial Crisis, 25 January 2011 Revolution, 30 June 2013 Revolution, and November 2016 Egyptian Pound Floatation. The main findings of this research indicated that the investor sentiment index has both; a positive direct impact on stock market liquidity and a negative indirect one through the mediator variable-investor herding behavior. In addition, the findings of the event study show that there are different signs of the direct and indirect impacts and different levels of correlation between the research variables throughout the four different events which differ completely from the usual signs and correlations of the theoretical background.
Keywords: Behavioral Finance; Investor Sentiment; Investor Herding Behavior; Stock Market Liquidity; Egypt; Structural Equation Modeling (SEM); Event Study; EGX30

Research paper thumbnail of The Bidirectional Effects of Stock Market Liquidity and the Business Cycle

Faculty of Commerce, Tanta University, Egypt, 2015

Following the recent financial crisis there has been a huge increase in research on liquidity rel... more Following the recent financial crisis there has been a huge increase in research on liquidity related topics both with respect to macro liquidity, funding liquidity, the liquidity of different asset classes and markets as well as the flow of funds between different assets and markets. The main objective of this research is to examine the bidirectional effects of the Egyptian Stock Exchange liquidity, and the Egyptian business cycle. This research depends upon the deductive approach which starts with generalities, after admitting its soundness, and ends up with particulars using the logical analysis to predict some findings of the hypotheses under study. This approach attempts to use specific theories in the interpretation of phenomena discovered by the researcher, and that’s by reviewing previous studies, formulating some testable hypotheses and then collecting data to test hypotheses using statistical methods. The results of multiple regression and event study analyses shows that trading volume growth has a significant positive effect on real GDP growth. Also, real GDP growth has a significant positive effect upon market capitalization growth and bid-ask spread growth. This ensures that there are bidirectional effects between the Egyptian stock market liquidity and the Egyptian business cycle. The main contributions of this study are twofold. Firstly, the bidirectional effects of stock market liquidity and the business cycle is still puzzling, and not conclusive around the whole world. Secondly, this is the first time, to the best of his knowledge, to conduct a research about these effects in Egypt; which has the biggest and oldest Stock Exchange in the Arabic area.