Determinants of share price volatility: evidence from construction companies in Malaysia (2006-2015) / Nuraswani Mohd Dahalan

This study is undertaken to identify the determinants of share price volatility evidence from construction companies in Malaysia. The data employed in this study is from year 2006 until year 2015. This study is using share price as the dependent variable. Independent variables used in this study are firm size, profitability, leverage, dividend yield and liquidity. This study used Ordinary Least Squares, Fixed Effect Model, Random Effect Model, Pearson Correlation, Multicollinearity Test, Heterokedasticity Test and Serial Correlation Test. It is found that firm size and profitability are statistically significant in determining the share price volatility. Meanwhile, leverage, dividend yield and liquidity are found to have not significant relationship with share price volatility.