Variables

Code

Measurement

Expected Sign

Source

Independent Variables

Relative strength index

RSI

RSI step one = 100 − $\frac{100}{1+\frac{\text{Averagegain}}{\text{Averageloss}}}$

RSI step two = 100 − $\frac{100}{1+\frac{\left(\text{Previousaveragegain}\ast \text{lockbackperiod}\right)+\text{currentgain}}{-\left(\left(\text{previousaverageloss}\ast \text{lockbackperiod}\right)+\text{currentloss}\right)}}$

−

(Kahn, 2008)

Moving average convergence divergence

MACD

MACD =12 − Period EMA − 26-Period EMA

+

(Kahn, 2008)

Smoothing Moving Average

SMA

$\text{SMA}=\frac{A1+A2+A3+\cdots +An}{n}$

$EM{A}_t=V_t\ast \frac{S}{1+d}+EM{A}_y\ast \left(1-\frac{S}{1+d}\right)$

+

(Larson, 2007)

Stochastic Oscillator

K

$\%\text{K}=\frac{\text{C}-\text{L}14}{\text{H}14-\text{L}14}\ast 100$

−

(LIM, 2016)

Rate of change

ROC

$ROC=\frac{\text{Closing}\text{Price}p-\text{Closing}\text{Price}\text{p}-n}{\text{Closing}\text{Price}p-n}\ast 100$

+

(Kahn, 2008)

Dependent variables

Egyptian individuals

Egy_ind(s/B)

The value of the daily trading volumes for both individual and institutional investors through the difference between buy and sell transactions on the Egyptian stock Exchange applied on daily basis from 2019 to 2022

(EGX, 2010-2020)

Egyptian institutions

Egy_inst(S/B)

Arab individuals

Ar_ind(S/B)

Arab institutions

Ar_inst(S/B)

Foreign individuals

F_ind(S/B)

Foreign institutions

F_inst(S/B)