Stock Market Reaction to Dividend Announcements: Evidence from the Industrials Sector of Singapore Exchange (SGX)

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Yan, Yan (2009) Stock Market Reaction to Dividend Announcements: Evidence from the Industrials Sector of Singapore Exchange (SGX). [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

This study aims to investigate whether the dividend announcements have an impact on the stock prices, and if it does so, whether the impact and reaction are positive as proposed by the dividend signalling hypothesis. Besides, whether the stock prices reflect the information of dividend announcements instantaneously, immediately, fully and accurately as expected by the semi strong form of efficient market hypothesis is also examined. Afterward, a great deal of literature journals have been reviewed, such as the dividend irrelevance hypothesis of Miller and Modigliani (1961), the dividend signaling hypothesis of Miller and Rock (1985), and the semi strong form of efficient market hypothesis of Fama (1970). Thereafter, the evidence is collected from the Industrials sector of Singapore Exchange (SGX), and 11 companies are selected as the samples from 2004 to 2008. In the study, the market model is employed. Furthermore, the Abnormal Return (AR) and Cumulative Abnormal Return (CAR) are calculated and the t test is employed to test the statistical significance. Finally, it is concluded that in the Industrials sector of the Singapore Exchange (SGX), the companies’ dividend announcements do affect the stock prices. Besides, the impact and reaction are positive as proposed by the dividend signalling hypothesis. Furthermore, the stock prices do reflect the information of dividend announcements instantaneously, immediately, fully and accurately as expected by the semi strong form of efficient market hypothesis. All these results and findings are generally consistent with previous findings in the developed capital markets.

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 23 Sep 2010 10:25
Last Modified: 31 Jan 2018 01:23
URI: https://eprints.nottingham.ac.uk/id/eprint/23998

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