scholarly journals Reaction of Stock Prices to Dividend Announcements and Market Efficiency in Pakistan

2010 ◽  
Vol 15 (1) ◽  
pp. 103-125 ◽  
Author(s):  
Muhammad Akbar ◽  
Humayun Habib Baig
Keyword(s):  
Market Efficiency ◽  
Stock Prices ◽  
Stock Exchange ◽  
Statistical Significance ◽  
Abnormal Returns ◽  
Market Model ◽  
Rank Test ◽  
Dividend Announcements ◽  
Signed Rank Test ◽  
Stock Dividend

This study tests the semi-strong form of market efficiency by investigating the reaction of stock prices to dividend announcements. It analyzes cash, stock, and simultaneous cash and stock dividend announcements of 79 companies listed on the Karachi Stock Exchange from July 2004 to June 2007. Abnormal returns from the market model are evaluated for statistical significance using the t-test and Wilcoxon Signed Rank Test. The findings suggest negligible abnormal returns for cash dividend announcements. However, the average abnormal and cumulative average abnormal returns for stock and simultaneous cash and stock dividend announcements are mostly positive and statistically significant.

scholarly journals Analisis Pengaruh Stock Split Terhadap Volume Perdagangan, Harga Saham, dan Abnormal Return pada Perusahaan yang Terdaftar di BEI Periode 2017 - 2018

2020 ◽  
Vol 4 (1) ◽  
pp. 84
Author(s):  
Agus Amanda Tanoyo
Keyword(s):  
Stock Prices ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Rank Test ◽  
Volume Activity ◽  
Stock Split ◽  
Before And After ◽  
Signed Rank Test ◽  
The Difference

This study aims to determine the difference in the trading volume activity, stock prices and abnormal returns before and after the announcement of a stock split. The population of this study are all companies listed in Indonesia Stock Exchange that take corporate action in the form of stock split at period 2017-2018. Sampling using purposive sampling. Based on the sampling criteria predetermined number of samples acquired 24 stocks. The analytical method used is the analysis Wilcoxon Signed Rank Test with the observation period (event window) is 14 days. The results showed that there were differences in the trading volume activity and stock prices before and after the announcement of stock split, while the last hypothesis showed that there were no differences in abnormal returns before and after the announcement of stock split.

scholarly journals Corporate Announcements and Market Efficiency: A Case on Indian Capital Market

2021 ◽  
Vol 16 (8) ◽  
pp. 71
Author(s):  
Nagendra Marisetty ◽  
Pardhasaradhi Madasu
Keyword(s):  
Market Efficiency ◽  
Stock Prices ◽  
Abnormal Returns ◽  
Market Model ◽  
Test Results ◽  
Cash Dividend ◽  
Corporate Announcements ◽  
Stock Split ◽  
Dividend Announcements ◽  
Efficiency Test

Capital markets being the backbone of the economy, are expected to be functioning efficiently. Efficiently-priced financial markets are considered a catalyst for the economic growth of the nations (Malkiel, 2010). Efficient markets are the reflection of security valuations. In an informationally efficient market, no one can beat the market and make abnormal returns based on the information because the information is instantaneously observed in the stock prices. The current paper analyses the market efficiency of three of the most popular corporate events, i.e., announcement of cash dividends, bonus issues, and stock split in the Indian context. The sample is 2253 pure cash dividend announcements (627 large-caps, 552 mid-caps, and 1074 small-caps), 152 bonus issue announcements (49 large-caps, 33 mid-caps, and 70 small-caps), and 181 stock split announcements (35 large-caps, 34 mid-caps, and 112 small-caps) were used for this study. Event methodology market model used to calculate Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAAR). The results of the study have few findings which are contradictory to the existing literature on market efficiency. The cash dividend announcements have shown evidence for market efficiency, and results are contrary to Gupta et al. (2012), but the results are similar to Mishra (2005). Bonus issue announcements also have shown evidence for a semi-strong form of efficiency, test results identical to Dhar and Chhaochharia (2008), Kumar and Mittal (2015). Stock split announcements have not shown market efficiency, and the effect is similar to the study of Lakshmi and Roy (2012) and contrary to Chavali and Zahid (2011). Our results also support the premise that the emerging countries depict evidence of market efficiency (Bechev, 2003). Finally, we conclude that market efficiency results differ based on corporate announcements and market capitalization.

scholarly journals Stock Price Reactions on NASDAQ Stock Exchange for Special Dividend Announcements

2019 ◽  
Vol 3 (6) ◽  
pp. 382-388 ◽  
Author(s):  
Arian Seyedimany
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Model ◽  
Signalling Theory ◽  
Dividend Announcements ◽  
Price Reactions ◽  
Stock Price Reactions ◽  
Dividend Irrelevance

Announcing dividend pay-out policy by a company will signals market firm’s future prospects and changes its stock prices according to dividend signalling theory. By analysis the effect of special dividend announcements for 5 companies listed in NASDAQ for the period of 2014-2018, this study investigates the stock price reactions to special dividend announcement for 40 days around the event and challenges dividend signalling theory. The empirical results calculated both in discrete and logarithmic forms. Only few disordered significant abnormal returns and average abnormal returns occurred according to the t-test. The results show that shareholders do not gain value from announcement of special dividend in NASDAQ stock exchange market. That Results indicated from adjusted market model in this research do not support dividend-signalling theory Hence do not confirm that the announcement of dividend has significant effect on price of shares. In general the results consistent with the Miller and Modigliani (1961) dividend irrelevance hypothesis.

scholarly journals MARKET REACTION ON THE ANNOUNCEMENT OF SRI KEHATI INDEX IN INDONESIAN STOCK EXCHANGE

2019 ◽  
Author(s):  
Anggita Langgeng Wijaya ◽  
Mia Noviyanti ◽  
Probo Mahayu
Keyword(s):  
Trading Volume ◽  
Market Reaction ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Rank Test ◽  
Stock Trading ◽  
Population Sampling ◽  
Signed Rank ◽  
Before And After ◽  
Signed Rank Test

The purpose of this study was to test the market reaction to the announcement of the Sri Kehati Index on the Indonesia Stock Exchange. The population in this study is all companies included in the Sri Kehati Index from 2013 to 2016. The selection of samples was taken by the population sampling method. Hypothesis testing is done by paired t test and Wilcoxon Signed Rank Test. The findings of this research are: 1) there is no difference in abnormal returns before and after the announcement of the Sri Kehati Index on the Indonesia Stock Exchange. 2) There is a difference in the activity of stock trading volume before and after the announcement of the Sri Kehati index in the 5th and 6th periods, but there is no difference in the activity of stock trading volume in other periods. The Indonesia Stock Exchange did not react consistently to the announcement of the Sri Kehati Index.

scholarly journals Dividends Announcement and Semi Strong Form of Efficiency at The Nairobi Securities Exchange in Kenya

2020 ◽  
Vol 03 (10) ◽  
Author(s):  
Duncan Turere ◽  
◽  
Dr. Tobias Olweny ◽  
Keyword(s):  
Information Content ◽  
Stock Prices ◽  
Abnormal Returns ◽  
Strong Form ◽  
Market Model ◽  
Exchange Market ◽  
Market Prices ◽  
Insurance Sector ◽  
Dividend Announcements ◽  
Agricultural Banking

The objective of this study was to establish the effects of dividend announcement to current market prices at the Nairobi Securities Exchange, with four specific objectives; to determine the information content of dividend announcements, to determine the extent to which prices converge to new values after dividend announcements on a sector by sector basis, to establish the market reaction to announced information and also to establish whether investors can secure excess returns by acting on announced information. A 66 days event timeline was employed from 2005 to 2015 on daily closing stock prices. A sample of 179 dividend announcements from 22 listed companies in 8 sectors were drawn and analysed using an OLS Market Model. Findings of the research conclude that; dividend announcements do have an impact on stock prices for the Agricultural, Banking, Commercial, Construction, Manufacturing and Telecomm Sectors and not for the Energy Sector, Insurance Sector and the Nairobi Securities Exchange Market. It takes more than five days for prices to adjust to their correct values and this makes it possible for market players to profit from the inefficiency by earning abnormal returns. We conclude that the Nairobi Securities Exchange is not semi-strong form efficient.

scholarly journals January Effect di Indonesia Periode 2017 – 2019

2021 ◽  
Vol 31 (3) ◽  
pp. 756
Author(s):  
Gusti Ayu Ratrini ◽  
I Wayan Suartana
Keyword(s):  
Stock Returns ◽  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
January Effect ◽  
Rank Test ◽  
Analysis Technique ◽  
Significant Difference ◽  
Signed Rank Test

The January Effect is one of the seasonal anomalies, which reveals that stock returns in January tend to be higher than in months other than January. This study aimed to examine and analyze the existence of the January effect using abnormal return and trading volume activity (TVA) variables. The presence of the January Effect was researched on companies listed on the Indonesia Stock Exchange (IDX) and continues to be included in the Investor33 Index during 2017-2019. The samples studied were 25 companies. It was selected using purposive sampling method. The results of the normality test showed that the data was not normally distributed. Thus, only the non-parametric test, namely the Wilcoxon Signed Rank Test, can be used as a data analysis technique. Based on the analysis conducted, it was found that there was a significant difference in abnormal returns and no significant difference in TVA in January and other than January. Therefore, it can be concluded that statistically, the January Effect occurred in Indonesia during the test period indicated by abnormal returns. Keywords: January Effect; Abnormal Return; TVA.

scholarly journals Analisis Perbedaan Tick Size dan Risiko Saham Sebelum dan Sesudah Reverse Stock Split di Bursa Efek Indonesia

2018 ◽  
Vol 1 (1) ◽  
pp. 170-177
Author(s):  
Chairunis Chairunis
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Rank Test ◽  
Tick Size ◽  
Signed Rank ◽  
Stock Split ◽  
Before And After ◽  
Signed Rank Test ◽  
Trading Activities ◽  
Reverse Stock Split

Harga saham yang rendah sering diindikasikan sebagai kinerja yang kurang baik dari sebuah perusahaan. Harga saham tersebut dinilai kurang menarik bagi investor dan mengakibatkan menurunnya aktifitas perdagangan saham. Untuk meningkatkan aktifitas perdagangan, maka perlu dilakukan sebuah aksi korporasi, salah satunya adalah reverse stock split. Reverse stock split bertujuan mengembalikan harga saham pada kisaran wajar. Sehingga memberikan kesan bonafit dan menarik bagi investor untuk melakukan jual beli saham. Berkenaan dengan hal tersebut maka penelitian ini mencoba untuk melihat ada atau tidak perbedaan pada tick size dan risiko saham sebelum dan sesudah reverse stock split. Penelitian ini menggunakan data sekunder perusahaan yang melakukan reverse stock split di Bursa Efek Indonesia yang diperoleh dari website dan situs resmi. Metode yang digunakan dalam penelitian ini analisis komparatif. Dalam penelitian ini terdapat 21 perusahaan yang melakukan reverse stock split di Bursa Efek Indonesia pada periode 2005-2014 dengan 1 perusahaan melakukan 2 kali reverse stock split sepanjang periode pengamatan sehingga terdapat 16 sampel perusahaan yang memenuhi kriteria populasi sasaran. Hipotesis dalam penelitian ini adalah terdapat perbedaan tick size dan risiko saham sebelum dan sesudah reverse stock split. Hipotesis penelitian diuji dengan Wilcoxon Signed Rank Test menggunakan tingkat signifikansi sebesar 5% (0,05) karena data tidak berdistribusi secara normal. Hasil penelitian menunjukan bahwa terdapat perbedaan tick size sebelum dan sesudah reverse stock split dan tidak terdapat perbedaan risiko saham sebelum dan sesudah reverse stock split   Low stock prices are often indicated as a company's poor performance. The stock price is considered less attractive to investors and resulted in a decline in stock trading activities. To increase trading activities, a corporate action is needed, one of which is a reverse stock split. Reverse stock split aims to return stock prices at a reasonable range. So that it gives a bona fide and attractive impression for investors to buy and sell shares. Regarding to this matter, this study tried to see whether there was a difference in the tick size and risk of stocks before and after the reverse stock split. This study used secondary data of companies that conducted reverse stock splits on the Indonesia Stock Exchange obtained from websites and official sites. The method used in this study was comparative analysis. In this study, there were 21 companies that conducted a reverse stock split on the Indonesia Stock Exchange in the period 2005-2014, with 1 company do 2 times a reverse stock split during the observation period. So that there were 16 samples of companies that met the criteria of the target population. The hypothesis in this study was that there were differences in the tick size and risk of stocks before and after the reverse stock split. The research hypothesis was tested with the Wilcoxon Signed Rank Test using a significance level of 5% (0.05) because the data were not normally distributed. The results showed that there were differences in the tick size before and after the reverse stock split and there were no differences in stock risk before and after the reverse stock split.

scholarly journals Analisis Perbandingan Trading Volume Activity, Bid-Ask Spread dan Abnormal Return Sebelum dan Sesudah Adanya Pengumuman Stock Split pada Perusahaan yang Terdaftar di Bursa Efek Indonesia Periode Januari 2015-Oktober 2018

Telaah Bisnis ◽  
2020 ◽  
Vol 19 (2) ◽  
pp. 95
Author(s):  
Anis Zakiyah ◽  
Hari Nurweni
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Rank Test ◽  
Volume Activity ◽  
Bid Ask Spread ◽  
Stock Split ◽  
Before And After ◽  
Signed Rank Test

This study aims to analyze the differences in trading volume activity, bid-ask spread, and abnormal returns before and after the announcement of a stock split in companies listed on the Indonesia Stock Exchange from January 2015 to October 2018. A sample of 39 companies announced a stock split during the period are selected based on certain criteria. The Wilcoxon Signed Rank test is used to analyze the differences in trading volume activity, bid-ask spread, and abnormal returns, five days before and after the announcement. The use of nonparametric statistical analysis was carried out because the data were not normally distributed. The results show that there is no difference in trading volume activity around the announcement of the stock split. On the other hand, the bid-ask spread and abnormal return are statistically different around the announcement of the stock split.

scholarly journals The Return Difference between Before and After Issuance of Sharia Bonds (Sukuk)

2020 ◽  
Vol 1 (1) ◽  
pp. 1-7
Author(s):  
Sindi Wiranda
Keyword(s):  
Stock Exchange ◽  
Abnormal Returns ◽  
Rank Test ◽  
Study Program ◽  
Significance Level ◽  
Signed Rank ◽  
Significant Difference ◽  
Before And After ◽  
Signed Rank Test ◽  
Return Difference

This study aims to analyze sharia downloading which returns shares on the Indonesian Stock Exchange. This study uses a study program to see the average abnormal returns around the sharia promulgation date (sukuk) and the average difference in abnormal returns before and after sharia withdrawal (sukuk). The population in this study were all sharia negotiations published in the 2014-2019 period. and still published in February 2020. The window period is 60 days (t - 30 and t + 30) with a sample of 15 publication events. The method used in this study was the t test and Wilcoxon signed rank test. The results showed that there was an average significant abnormal return around the date of promulgation of sharia (sukuk), namely on the 29th and 1st days before the promulgation of sharia (sukuk). And the results of the Wilcoxon sign rank test show that the significance level is 0.003, which means that H0 is accepted so that there is a significant difference in average returns between before and after the announcement of the sharia withdrawal (sukuk) announcement.

AN ANALYSIS OF ABNORMAL RETURNS ASSOCIATED WITH STOCK SPLIT

2021 ◽  
pp. 1-14
Author(s):  
JYOTI PANDEY ◽  
VINAY KANDPAL ◽  
NEERAJ NAUTIYAL
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Model ◽  
Stock Splits ◽  
Event Window ◽  
Stock Split ◽  
Secondary Information ◽  
The Impact

A stock split is when a company’s outstanding shares are divided into multiple shares by issuing more shares to current shareholders without eroding their stake’s value. The company typically takes these actions to increase liquidity and marketability, lower stock prices, attract new investors and so on. The purpose of this study is to examine the impact of stock splits on the stock returns during the study period. Companies listed on the Bombay Stock Exchange (BSE) and those included in the S&P BSE 500 Index are included in the stock split data. The study period covers 14 years, between 2008 and 2021. Market model event study methodology is being employed to analyze the average abnormal returns (AARs), cumulative abnormal returns (CARs) and cumulative AAR (CAARs) using an event window period consisting of 31 days ([Formula: see text]). The study is largely based on secondary information from the CMIE Prowess IQ Database and the official BSE website. The [Formula: see text]-test, mean and standard deviation were used to investigate the influence of stock split announcements on share prices and the performance of stock splits before and after the announcement. The study found that on ([Formula: see text]), ([Formula: see text]), ([Formula: see text]) and ([Formula: see text]) and on the day of the announcement ([Formula: see text]), the market reacted favorably with significant positive abnormal returns. On ([Formula: see text]) and ([Formula: see text]) days, however, there were significant negative abnormal returns. The null hypothesis is accepted as the CAR for the whole 31-day event window, which is 0.0221, with a [Formula: see text]-statistic of 1.692, which is insignificant.

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