Price and trading volume reaction surrounding distributions of earnings: a close investigation on the firms associated with DSE
Link to publisher's homepage at http://ijbt.unimap.edu.my
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School of Business Innovation and Technopreneurship, Universiti Malaysia Perlis (UniMAP)
2016
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my.unimap-422922018-07-24T02:55:56Z Price and trading volume reaction surrounding distributions of earnings: a close investigation on the firms associated with DSE Misir, M. Abu Raihan, Mohammad Zahir abumisir@yahoo.com raihan_bou@yahoo.com Announcement dates Abnormal trading volume Unexpected trading volume Market-adjusted trading volume Price reactions Volume residual Link to publisher's homepage at http://ijbt.unimap.edu.my The goal of the study is to test the information content of dividend announcements by examining aggregate market reaction on the volume of trading and prices of shares around the declaration dates. The study relies upon the substantial evidence, which supports market efficiency in the semi-strong form. The significant trading activity and price changes in days following the announcement are somewhat surprising. The most significant price changes and excess trading volume occurred the days prior to and the day the dividend announcement dates of the sample observations during the period under study. Although, on average, the stock market may adjust rapidly in an unbiased manner at individual level, there seems to be several days of adjusting prices and portfolios. The trading activities during the days prior to the dividend announcement could be due to a misspecification of the dividend announcement. The study finds bulk amount of trading volume and price changes of shares occurring the days prior to the announcement date. In nonparametric tests on the absolute volume and return residuals, there seems to be positive price reactions within a very few days prior to the announcement dates. The study somehow, observes that prices of stocks of DSE listed firms seem to be determined by volume of continuous trading among individual investors. 2016-07-21T02:28:52Z 2016-07-21T02:28:52Z 2016-02 Article International Journal of Business and Technopreneurship, vol.6(9), 2016, pages 127-145 2231-7090 2232-1543 (online) http://dspace.unimap.edu.my:80/xmlui/handle/123456789/42292 en School of Business Innovation and Technopreneurship, Universiti Malaysia Perlis (UniMAP) |
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Universiti Malaysia Perlis |
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English |
| topic |
Announcement dates Abnormal trading volume Unexpected trading volume Market-adjusted trading volume Price reactions Volume residual |
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Announcement dates Abnormal trading volume Unexpected trading volume Market-adjusted trading volume Price reactions Volume residual Misir, M. Abu Raihan, Mohammad Zahir Price and trading volume reaction surrounding distributions of earnings: a close investigation on the firms associated with DSE |
| description |
Link to publisher's homepage at http://ijbt.unimap.edu.my |
| author2 |
abumisir@yahoo.com |
| author_facet |
abumisir@yahoo.com Misir, M. Abu Raihan, Mohammad Zahir |
| format |
Article |
| author |
Misir, M. Abu Raihan, Mohammad Zahir |
| author_sort |
Misir, M. Abu |
| title |
Price and trading volume reaction surrounding distributions of earnings: a close investigation on the firms associated with DSE |
| title_short |
Price and trading volume reaction surrounding distributions of earnings: a close investigation on the firms associated with DSE |
| title_full |
Price and trading volume reaction surrounding distributions of earnings: a close investigation on the firms associated with DSE |
| title_fullStr |
Price and trading volume reaction surrounding distributions of earnings: a close investigation on the firms associated with DSE |
| title_full_unstemmed |
Price and trading volume reaction surrounding distributions of earnings: a close investigation on the firms associated with DSE |
| title_sort |
price and trading volume reaction surrounding distributions of earnings: a close investigation on the firms associated with dse |
| publisher |
School of Business Innovation and Technopreneurship, Universiti Malaysia Perlis (UniMAP) |
| publishDate |
2016 |
| url |
http://dspace.unimap.edu.my:80/xmlui/handle/123456789/42292 |
| _version_ |
1643804048253517824 |