Relationship Between Dividend Policy and Stock Price Volatility in the Stock Exchange of Thailand

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Teptai Nuannuch Sirikiat Ratchusanti Chanon Chingchayanurak Chaiwuth Tangsomchai

Abstract

The objective of this study is to study the relationship between dividend policy and stock
price volatility in The Stock Exchange of Thailand. The study tests the association of dividend
policy and stock price volatility in 3 aspects which are 1.the level of dividend policy 2.the change
in dividend policy and 3.the dividend policy in high dividend stocks. The sample of this study
comprises of 1,289 observations from 336 listed companies in The Stock Exchange of Thailand
during January 1, 2010 to December 31, 2014 Firms are excluded from the sample if they do not
pay dividend at least once a year and are in the fi nancial sector. The estimation is based on
multiple regression analysis with fi xed eff ect model. The test variables in this study are dividend
yield and dividend payout while the control variable are fi rm size, earning volatility, long term
debt and growth in asset.
The results confi rm that dividend yield has a signifi cant negative relationship with stock
price volatility while dividend payout has not signifi cant relationship. Earning volatility and fi rm
size has signifi cant negative relationship with stock price volatility. Long term debt has signifi cant
positive relationship with stock price volatility. On the other hand, growth in asset is not
signifi cant. In additions the decrease in dividend yield has the signifi cant relationship with stock
price volatility. Lastly, the study does not fi nd the evidence that the dividend policy has the
relationship with stock price volatility in the high dividend stock.

Article Details

How to Cite
Nuannuch, T., Ratchusanti, S., Chingchayanurak, C., & Tangsomchai, C. (2018). Relationship Between Dividend Policy and Stock Price Volatility in the Stock Exchange of Thailand. KASALONGKHAM RESEARCH JOURNAL, 12(1), 65-79. Retrieved from https://tci-thaijo.org/index.php/ksk/article/view/132525
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Articles

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