Market reaction to dividend announcements during pandemic: An event study

Article


Prakash, N. and L, Y. 2021. Market reaction to dividend announcements during pandemic: An event study. Vision: The Journal of Business Perspective. In Press. https://doi.org/10.1177/09722629211066288
AuthorsPrakash, N. and L, Y.
Abstract

This study analyses the difference in stock market reactions to dividend announcement during the pandemic. The thirty constituent stocks of Sensex, the index of Bombay Stock Exchange (BSE), is used for analysis. This allows cross-industry comparison of the market reaction. The study examines stock market reactions covering 44 days around the dividend announcement dates. The primary objective of this study is to understand whether the price adjustment linked to the dividend announcement news during the pandemic was different from the earlier years. This empirical study employs the conventional event study methodology using abnormal returns (ARs) to examine the stock market reaction to dividend announcement. The market reaction to dividend announcement was increasingly positive during the pandemic, compared to previous years. The statistical pooled t-tests showed there was a significant relationship between the pandemic and ARs. The findings also indicate that the difference in the market reaction to dividend announcement was more prominent in services stocks than that in manufacturing. Further, the results also verify the weak-form of efficiency of Indian stock exchange.

KeywordsDividend; Abnormal Return (AR); Event Study; Stock Market; Pandemic; Insider Trading; Cumulative Abnormal Return (CAR)
JournalVision: The Journal of Business Perspective
Journal citationIn Press
ISSN0972-2629
2249-5304
Year2021
PublisherSAGE Publications for Management Development Institute (MDI)
Publisher's version
License
File Access Level
Anyone
Digital Object Identifier (DOI)https://doi.org/10.1177/09722629211066288
Publication dates
Online25 Dec 2021
Publication process dates
Deposited27 Feb 2024
Copyright holder© 2021, The Authors
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