The Effect of Voluntary Disclosure on Stock Market Return of Companies Listed on Palestine Stock Exchange رسالة ماجستير

Abstract

This study aimed to measure the level of voluntary disclosure in Palestine and to investigate the effect of voluntary disclosure on stock market return of companies listed on Palestine Stock Exchange, to measure voluntary disclosure, the study depended on voluntary disclosure index which consist of 50 indicators grouped into four dimensions (General Information, Corporate Governance, Social, and Environmental Information). Data used in the study was in the form of secondary panel data had been collected from companies’ annual and sustainability reports which disclosed in PEX or the official companies’ websites, with 120 observations resulted from a sample of 40 company listed on PEX for three years (2021 – 2023), the collected data was analyzed and the hypotheses were tested by using many statistical tools such as: Correlation Matrix, Fixed-effect and Random-effect regression models, and others, depending on these tests, the study concluded that the level of voluntary disclosure practiced in Palestine was moderate with a percentage of 45.8%. Moreover, it can be observed from the results that banking sector had the highest level of voluntary disclosure between all sectors with a percentage of 63.3%, and the year (2021) had the record for highest transparency at 47.88%. The study result revealed that all dimensions of voluntary disclosure had no significant effect on stock market return, therefore overall voluntary disclosure had no significant effect on stock market return in Palestinian market. This result indicate that Palestinian market is an inefficient market. Based on these findings, several recommendations were suggested to enhance voluntary disclosure in Palestine, these included increase the awareness of sustainability importance of ESG investments, it was also recommended that regulatory bodies should formulated an ESG disclosure framework guideline in compatible with local needs and inspired from international standards such as GRI and IFRS Sustainability