Title:
EFFECTS OF DIVIDEND ANNOUNCEMENT ON THE REACTION OF STOCK MARKET: EVIDENCES FROM VIETNAMESE STOCK MARKET

Authors:
Shu-Hui Su, Hsiu-Ling Lee, Jung-Ju Chou* and Nguyen Huu Pho

Abstract:
With taxation regulations, the Vietnamese stock market is an interesting case to examine the responses of stock market to dividend announcements through stock price. This study examines the reaction of stock market to the dividend announcement and analyzes the impact of firm characteristic factors on the cumulative average abnormal return. The research sample includes dividend announcements made by 358 companies listed on Ho Chi Minh Stock Exchange (HOSE) from 2016 to 2018, which is the most stable period of dividends payments and the development of the Vietnamese stock market. The research method is carried out with two combined parts: traditional event study methodology and regression analysis of firm characteristic factors affecting the cumulative abnormal returns. This study finds the relationship between dividend announcements and the reaction of the stock market by examining stock price and shows the level of influence on the Vietnamese stock market according to the increase dividend announcements, neutral dividend announcements, and decrease dividend announcements. The results of the firm characteristics panel regressions indicate that the cumulative abnormal return has a relationship with the dividend yield and the systemic risk.

Keywords:
Stock Market Reaction, Dividend Announcement, Vietnamese Stock Market