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Semi-Strong Form Efficiency: Market Reaction to Dividend and Earnings Announcements in Malaysian Stock Exchange

Hussin, B, Ahmed, Abdullahi D and Ying, T (2010) Semi-Strong Form Efficiency: Market Reaction to Dividend and Earnings Announcements in Malaysian Stock Exchange. IUP Journal of Applied Economics , 16 (5). pp. 36-60. ISSN 0972-5105

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Abstract

This study focuses on the announcement effect of both dividend and corporate earnings on stock prices to examine evidence of semi-strong form efficiency in Malaysian Stock Exchange. A sample of 120 companies listed on the Main Board of Bursa Malaysia that announced the final dividends in their fourth financial quarter was selected covering a time period from January 1, 2006 to November 30, 2006. The study results support the information content of dividend theory that increasing dividend announcements, on an average, earn positive abnormal return, while decreasing dividend announcements are associated with negative abnormal return. Based on the market reaction to both dividend and earnings announcements, this study concludes that both dividends and earnings play a significant role as signaling effects of the future prospects of the firm, with the dividends effect proving to be significantly stronger than the earnings effect. The results provide some evidence of semi-strong form efficiency in the Malaysian stock market, where stock prices adjust in an efficient manner to dividend and earnings announcements.

Item Type: Article
Uncontrolled Keywords: ResPubID20514, Malaysian stock exchange, efficient market hypothesis, capital markets, Malaysian stock market, New York stock exchange, Malaysian capital markets, economic knowledge, negative market reactions, Malaysian investors, investment opportunities
Subjects: Faculty/School/Research Centre/Department > Centre for Strategic Economic Studies (CSES)
FOR Classification > 1402 Applied Economics
SEO Classification > 9101 Macroeconomics
Related URLs:
Depositing User: VUIR
Date Deposited: 31 May 2012 06:51
Last Modified: 23 Jan 2015 01:21
URI: http://vuir.vu.edu.au/id/eprint/7282
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