The impact of dividend policy on stock price volatility based on "bird-in-hand" theory: evidence from Malaysia

There is an unending debate about the relationship between dividend policy and stock price volatility in the capital market literature. As the result is still inconclusive, there is a good scope to investigate the issue further, especially in the emerging and less efficient markets, as they are stil...

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Main Author:	Qamar, Rabia
Format:	Thesis
Language:	eng eng eng
Published:	2019
Subjects:	HG Finance
Online Access:	https://etd.uum.edu.my/8547/1/depositpermission_s900282.pdf https://etd.uum.edu.my/8547/2/s900282_01.pdf https://etd.uum.edu.my/8547/3/s900282_references.docx
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spelling	my-uum-etd.85472021-08-11T04:25:36Z The impact of dividend policy on stock price volatility based on "bird-in-hand" theory: evidence from Malaysia 2019 Qamar, Rabia Ibrahim, Yusnidah Md. Mahmudul, Alam School of Economics, Finance & Banking School of Economics, Finance & Banking HG Finance There is an unending debate about the relationship between dividend policy and stock price volatility in the capital market literature. As the result is still inconclusive, there is a good scope to investigate the issue further, especially in the emerging and less efficient markets, as they are still highly volatile in nature. Bursa Malaysia, the exclusive capital market platform of Malaysia, is considered to be one of the highly volatile emerging markets. Over the past few years, Bursa Malaysia has been observed surviving from several financial crises and other economic issues. Therefore, the objective of this study is to examine the relationship between dividend policy and stock price volatility, with the moderating role of “Bird-in-Hand” theory based on Bursa Malaysia. This study utilized two measurements for stock price volatility, namely Parkinson formula and Generalized Autoregressive Conditional Heteroskedasticity (GARCH). The cost of capital and rate of return were adopted in measuring the moderating effects of “Bird-in-Hand” theory. This study utilized the panel data regression models for data analysis on the sample of 548 non-financial listed companies in Bursa Malaysia from the year 2009 to 2016. This study found significant effects of dividend payout ratio and dividend yield on stock price volatility, when volatility was measured by both GARCH and Parkinson formula methods. Moreover, this study found significant moderating effects of cost of capital on the relationship between dividend payout ratio and stock price volatility, when volatility was measured using the Parkinson formula. However, the results were insignificant using the GARCH method. The study concluded dividend policy as a strong predictor of stock price volatility. The implications of this research are expected to enable investors, policy makers, and researchers to reduce the stock price volatility in Bursa Malaysia. 2019 Thesis https://etd.uum.edu.my/8547/ https://etd.uum.edu.my/8547/1/depositpermission_s900282.pdf text eng staffonly https://etd.uum.edu.my/8547/2/s900282_01.pdf text eng public https://etd.uum.edu.my/8547/3/s900282_references.docx text eng public other doctoral Universiti Utara Malaysia
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng eng
advisor	Ibrahim, Yusnidah Md. Mahmudul, Alam
topic	HG Finance
spellingShingle	HG Finance Qamar, Rabia The impact of dividend policy on stock price volatility based on "bird-in-hand" theory: evidence from Malaysia
description	There is an unending debate about the relationship between dividend policy and stock price volatility in the capital market literature. As the result is still inconclusive, there is a good scope to investigate the issue further, especially in the emerging and less efficient markets, as they are still highly volatile in nature. Bursa Malaysia, the exclusive capital market platform of Malaysia, is considered to be one of the highly volatile emerging markets. Over the past few years, Bursa Malaysia has been observed surviving from several financial crises and other economic issues. Therefore, the objective of this study is to examine the relationship between dividend policy and stock price volatility, with the moderating role of “Bird-in-Hand” theory based on Bursa Malaysia. This study utilized two measurements for stock price volatility, namely Parkinson formula and Generalized Autoregressive Conditional Heteroskedasticity (GARCH). The cost of capital and rate of return were adopted in measuring the moderating effects of “Bird-in-Hand” theory. This study utilized the panel data regression models for data analysis on the sample of 548 non-financial listed companies in Bursa Malaysia from the year 2009 to 2016. This study found significant effects of dividend payout ratio and dividend yield on stock price volatility, when volatility was measured by both GARCH and Parkinson formula methods. Moreover, this study found significant moderating effects of cost of capital on the relationship between dividend payout ratio and stock price volatility, when volatility was measured using the Parkinson formula. However, the results were insignificant using the GARCH method. The study concluded dividend policy as a strong predictor of stock price volatility. The implications of this research are expected to enable investors, policy makers, and researchers to reduce the stock price volatility in Bursa Malaysia.
format	Thesis
qualification_name	other
qualification_level	Doctorate
author	Qamar, Rabia
author_facet	Qamar, Rabia
author_sort	Qamar, Rabia
title	The impact of dividend policy on stock price volatility based on "bird-in-hand" theory: evidence from Malaysia
title_short	The impact of dividend policy on stock price volatility based on "bird-in-hand" theory: evidence from Malaysia
title_full	The impact of dividend policy on stock price volatility based on "bird-in-hand" theory: evidence from Malaysia
title_fullStr	The impact of dividend policy on stock price volatility based on "bird-in-hand" theory: evidence from Malaysia
title_full_unstemmed	The impact of dividend policy on stock price volatility based on "bird-in-hand" theory: evidence from Malaysia
title_sort	impact of dividend policy on stock price volatility based on "bird-in-hand" theory: evidence from malaysia
granting_institution	Universiti Utara Malaysia
granting_department	School of Economics, Finance & Banking
publishDate	2019
url	https://etd.uum.edu.my/8547/1/depositpermission_s900282.pdf https://etd.uum.edu.my/8547/2/s900282_01.pdf https://etd.uum.edu.my/8547/3/s900282_references.docx
_version_	1747828410952974336

The impact of dividend policy on stock price volatility based on "bird-in-hand" theory: evidence from Malaysia

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