Semi-strong form efficiency: Market reaction to dividend and earnings announcements in Vietnam stock exchange
Abstract
The paper seeks an answer to whether Vietnam is efficient in semi-strong form by identifying the market’s reaction to publicized information and events. With a sample covering all listed companies on Ho Chi Minh Stock Exchange from 2014 to 2015, we investigate whether announcements of earnings and dividend changes provide any signaling effect to the share price movements. It is observed that there is insignificant reaction on the dividend announcement dayitself and also in the few days around it. In addition, from the market reactions to both dividend and earnings announcements, it concludes that both announcements have significant effects on the stock price with relative significantly abnormal return surrounding announcement date. However, changes in cash dividends do convey more useful information to the market. Therefore, Ho Chi Minh stock exchange has not fully achieved at its efficient level.
About the Authors
T. X. Tran
Banking Academy of Vietnam
Russian Federation
Russian Federation
T. P. Nguyen
Banking Academy of Vietnam
Russian Federation
Russian Federation
T. M. Pham
Banking Academy of Vietnam
Russian Federation
Russian Federation
References
1. Adelegan O.J. (2003). Capital Market Efficiency and the Effects of Dividend Announcement on Share Prices in Nigeria. African Development Review, vol. 15, no. 2-3, pp. 218-236
2. Aharony J. and Swary I. (1980). Quarterly Dividend and Earnings Announcements and Stockholders’ Re- turns: An Empirical Analysis. Journal of Finance, vol. XXXV, no. 1, pp. 1-12
3. Ball R. and Brown P. (1968). An Empirical Evaluation of Accounting Income Number. Journal of Accounting Research, vol. 6, no. 2, pp. 159-178
4. Brown S. and Warner J. (1980). Measuring Security Price Performance. Journal of Financial Economics, vol. 8, no. 3, pp. 205-258
5. Dasilas A., Lyroudi K. and Ginoglou D. (2008). Joint Effects of Interim Dividend and Earnings Announce- ments in Greece. Studies in Economics and Finance, vol. 25, no. 4, pp. 212-232
6. Do Thi Thanh Nhan, Le Tuan Bach, Nguyen Thanh Trung (2014). Stock-market efficiency in emerging mar- kets: evidence from Vietnamese stock market. Proceedings of the 7th International Scienctific Conference Finance and Performance of Firms in Science, Education and Practice
7. Easton S. (1991). Earnings and Dividends: Is there an Interaction Effect? Journal of Business Finance and Accounting, vol. 18, no. 2, pp. 255-66
8. Fama F., Fisher K., Jensen M. and Roll R. (1969). The Adjustment of Stock Prices to New Information. Jour- nal of Finance, vol. 10, no. 1, pp. 1-21
9. Hussin B., Ahmed A. and Ying T. (2010). Semi-Strong Form Efficiency: Market Reaction to Dividend and Earnings Announcements in Malaysian Stock Exchange. The IUP Journal of Applied Finance, vol. 16, no. 5, pp. 36-60
10. Isa M. and Subramaniam V. (1992). The Effects of Dividend and Earnings Announcement Stock Prices in the Malaysian Stock Market. Malaysian Journal of Economic Studies, vol. 29, no. 1, pp. 35-49
11. Isa M. and Subramaniam V. (1992). The Effects of Dividend and Earnings Announcements on Stock Prices in the Malaysian Stock Market. Malaysian Journal of Economic Studies, vol. 29, no. 1, pp. 35-49
12. Kane A., Lee Y.K. and Alan M. (1984). Earnings and Dividend Announcements: Is there a Corroboration Ef- fect? Journal of Finance, vol. 39, no. 4, pp. 1091-1099
13. Khoa Cuong Phan, Jian Zhou (2014). Market efficiency in emerging stock markets: A case study of the Viet- namese stock market. Journal of Business and Management, vol. 16, Issue 4, pp. 61-73
14. Lonie A., Abeytratna G., Power D. and Sinclair D. (1996). The Stock Market Reaction to Dividend Announce- ments: A UK Study of Complex Market Signals. Journal of Economics Studies, vol. 23, no. 1, pp. 32-52
15. Nhung Hoang (2015). Seasonality in the Vietnam Stock Index. The International Journal of Business and Finance Research, vol. 9, no. 1
Review
For citations:
Tran T.X., Nguyen T.P., Pham T.M. Semi-strong form efficiency: Market reaction to dividend and earnings announcements in Vietnam stock exchange. Review of Business and Economics Studies. 2016;4(3):53-67. (In Russ.)
Email this article 