The Impact of Stock Dividend on Stock Price in Taiwan and China's A-share Markets
| Autor: | Kuan-Hung Chou, 周冠宏 |
|---|---|
| Rok vydání: | 2014 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 102 Taiwan investors have been allowed to invest in China A-share market directly since April 1st, 2013. The thesis examines the market reaction to a sequence of event dates related to stock dividend issuance to help Taiwan investors decide when and which market to participate in stock dividend issuance. The samples are selected from listed companies on Taiwan Stock Exchange and A-share companies listed on Shanghai and Shenzhen Stock Exchange from 2007 to 2013. The empirical results are summarized as follows: 1. There is significant announcement effect of stock dividends in Taiwan and China''s A-share market. However, China''s A-share market reacts positively before the dividend announcement date, seemingly because of information leakage. Throughout the shareholder meeting period, both markets fall significantly. During the ex-right period, Taiwan market cumulated positive abnormal returns. China''s A-share market rallies before ex-right day, but soon tumbles since ex-right day. 2. High payout sample (more than 25% payout ratio) has higher abnormal returns than low payout sample. The finding is consistent with the signaling theory. Taiwan''s high and low payout samples remain significantly positive abnormal returns during ex-right period. However, China''s high payout sample exhibits a price uptrend before ex-right day and a price downtrend since ex-right day respectively. 3. Unexpectedly, the implementation of new dividend taxation in China and supplementary insurance premium in Taiwan didn''t pose a negative price impact on ex-right stocks in both markets before ex-right day in 2013. Furthermore, the abnormal returns in 2013 are higher than those from 2007 to 2012 since ex-right day. The result implies investors are more willing to buy back the ex-right stocks in 2013. 4. The higher the stock dividend payout ratio from retained earnings and from capital surplus, the higher the announcement effect in Taiwan and China market. Investors prefer to the stock dividends from the companies with low market-to-book ratio in both markets. Throughout the ex-right period in Taiwan, the cumulative abnormal returns are positively correlated with the higher payout ratio. The result is consistent with the hypothesis of bargain hunting. In China, ex-right stocks are just regarded as an accounting game and the targets for investors to speculate. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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