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

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...

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Main Author:	Yan, Yan
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2009
Online Access:	http://eprints.nottingham.ac.uk/23998/ http://eprints.nottingham.ac.uk/23998/1/yanyan.pdf

id	nottingham-23998
recordtype	eprints
spelling	nottingham-239982018-01-31T01:23:59Z http://eprints.nottingham.ac.uk/23998/ Stock Market Reaction to Dividend Announcements: Evidence from the Industrials Sector of Singapore Exchange (SGX) Yan, Yan 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. 2009 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en http://eprints.nottingham.ac.uk/23998/1/yanyan.pdf Yan, Yan (2009) Stock Market Reaction to Dividend Announcements: Evidence from the Industrials Sector of Singapore Exchange (SGX). [Dissertation (University of Nottingham only)] (Unpublished)
repository_type	Digital Repository
institution_category	Local University
institution	University of Nottingham Malaysia Campus
building	Nottingham Research Data Repository
collection	Online Access
language	English
description	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.
format	Dissertation (University of Nottingham only)
author	Yan, Yan
spellingShingle	Yan, Yan Stock Market Reaction to Dividend Announcements: Evidence from the Industrials Sector of Singapore Exchange (SGX)
author_facet	Yan, Yan
author_sort	Yan, Yan
title	Stock Market Reaction to Dividend Announcements: Evidence from the Industrials Sector of Singapore Exchange (SGX)
title_short	Stock Market Reaction to Dividend Announcements: Evidence from the Industrials Sector of Singapore Exchange (SGX)
title_full	Stock Market Reaction to Dividend Announcements: Evidence from the Industrials Sector of Singapore Exchange (SGX)
title_fullStr	Stock Market Reaction to Dividend Announcements: Evidence from the Industrials Sector of Singapore Exchange (SGX)
title_full_unstemmed	Stock Market Reaction to Dividend Announcements: Evidence from the Industrials Sector of Singapore Exchange (SGX)
title_sort	stock market reaction to dividend announcements: evidence from the industrials sector of singapore exchange (sgx)
publishDate	2009
url	http://eprints.nottingham.ac.uk/23998/ http://eprints.nottingham.ac.uk/23998/1/yanyan.pdf
first_indexed	2018-09-06T11:23:01Z
last_indexed	2018-09-06T11:23:01Z
_version_	1610857034941464576

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

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