الفهرس 
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Abstract
This research examines the factors that affect the relationship between stock split and stock market performance. The data are gathered from the EGX-listed companies, based on their market capitalization from all sectors in Egypt from 2010 to 2020. The study employs multiple regression analysis. The moderators of this study are three, volatility, signaling and efficiency level, and liquidity. Also, the Announcement date is considered for stock split as an independent variable. The research is an event study; The time window is based on twenty days and five days (before and after the announcement date). Statistical software has been used for the analysis of the different variables in this research which is the “Stata – Version 17”. Volatility is measured by the standard deviation while liquidity is measured by two proxies: the first is the change percentage of the volume of trading, and the second is the change percentage of the number of trades. Also, signaling was measured as dummy variables (1 & 0) while 1 represents if there’s a return higher than 0.5% or less than -.5%. Sectors Index, as the dependent variable, is used as a proxy for stock market performance. The reason for considering the sector index instead of normal Egyptian stock Indices, such as EGX30, 70, and 100, is that there are stock split cases that are OTC, and because there is no index for OTC, the log of the sector index has been used to indicate the market performance. Control variables are firm size, industry type, and split factor.
It is concluded that for twenty days’ time windows stock market performance is most sensitive to stock split announcement date through volatility and signaling which is consistent with the research of Fama et. Al. (1969) and Angel et. Al. (2004). Liquidity affects the relationship positively and insignificantly. where for five days time windows stock market performance was not sensitive to the stock split announcement date through any moderator tested. All the moderators affect positively the relationship except signaling.
In general, this research supports the existing literature review on the relationship between stock split and stock market performance and the factors that affect this relationship. The consequences of the analysis asserted that the market responds quickly to new information. Hence, the market is semi-efficient which is consistent with previous studies.
Keywords: Stock Split, Stock Split announcement date, Stock Market Performance, Stock Volatility, Signalling, Stock market efficiency, liquidity, EGX, FRA