Analyzing the Impact of Financial Market Liquidity on Actual Stock Returns (An Econometric Study Using PMG-ARDL Models on Shares of Banking Sector Companies Listed on Damascus Securities Exchange During the Period 2016-2022)

الملخص

This study examined the Damascus Stock Exchange (DSE), aiming to identify the impact of market liquidity on the actual returns of the shares of listed banking sector companies. The study relied on a descriptive-analytical approach. The research sample consisted of (14) banking sector companies whose shares were traded during the period from 1/1/2016 until 31/12/2022, with monthly data totaling 1,148 observations. Proportional lag autoregressive distributed time (PMG-ARDL) models were used to study the impact of each of the stock turnover rate, number of transactions, and trading volume on the actual returns of the shares. The most important findings of the study are:

- The DSE suffers from significant variations and fluctuations in liquidity indicators and actual return.

- There is a statistically significant positive relationship between the number of transactions and the actual returns of the shares of banking sector companies on the DSE, whereby every time the number of transactions increases by one unit, the actual returns increase by (0.016).

- There is a significant positive relationship between trading volume and actual returns of banking sector stocks in the Damascus Securities Exchange. For every unit that traded volume increases, actual returns increase by (4.2).

- There is a significant negative relationship between share turnover and actual returns of banking sector stocks in the Damascus Securities Exchange. For every unit that turns over, actual returns decrease by (-2.8).