Dividends policy and its impact to share price volatility : Case of Vietnam stock market

Abstract

The purpose of this study was to examine the relationship between dividend policy and share price volatility in Vietnam stock market. For this purpose, a sample of 124 companies listed in Ho Chi Minh Securities Stock exchange and Ha Noi Stock exchange was selected and the relationship between share price volatility with two main measurements of dividend policy, dividend yield and payout were examined by applying multiple regression for a period of five years from 2008 to 2012. The primarily regression model was expanded by adding control variables including size, earning volatility, long term debt and growth. The empirical results of this study showed significant negative relationship between share price volatility with only one measurements of dividend policy which is dividend yield. Moreover, a significant negative relationship between share price volatility and size is found. Based on findings of this study, dividend yield and size have most impact on share price volatility amongst predictor variables. Keywords: Dividend policy; Share price volatility; Dividend yield; Dividend payout ratio.