Stock dividend ex-day effect and market microstructure in a unique environment

Khamis Hamed Al-Yahyaee

doi:10.1016/j.inteco.2014.04.002

Stock dividend ex-day effect and market microstructure in a unique environment

Khamis Hamed Al-Yahyaee^*

^*Corresponding author for this work

Economics & Finance

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

This paper examines the stock dividend ex-day effect on the Muscat Securities Market (MSM), which is of interest because several of the market microstructure explanations for the ex-day effect can be ruled out. We find that there are positive abnormal returns on Omani stock dividend ex-days. We also find that firms distributing stock dividends have higher stock prices than firms that are in the same industries but do not distribute stock dividends. In addition, we find that the positive abnormal returns are positively related to stock price increases in the pre-announcement period and to stock dividend percentages. This evidence suggests that stock dividends in Oman might be used to reduce stock prices.

Original language	English
Pages (from-to)	71-79
Number of pages	9
Journal	International Economics
Volume	139
DOIs	https://doi.org/10.1016/j.inteco.2014.04.002
Publication status	Published - Oct 2014

Keywords

Bid-ask effect
Market microstructure
Stock dividends

ASJC Scopus subject areas

Business, Management and Accounting(all)
Economics, Econometrics and Finance(all)

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10.1016/j.inteco.2014.04.002

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abstract = "This paper examines the stock dividend ex-day effect on the Muscat Securities Market (MSM), which is of interest because several of the market microstructure explanations for the ex-day effect can be ruled out. We find that there are positive abnormal returns on Omani stock dividend ex-days. We also find that firms distributing stock dividends have higher stock prices than firms that are in the same industries but do not distribute stock dividends. In addition, we find that the positive abnormal returns are positively related to stock price increases in the pre-announcement period and to stock dividend percentages. This evidence suggests that stock dividends in Oman might be used to reduce stock prices.",

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AB - This paper examines the stock dividend ex-day effect on the Muscat Securities Market (MSM), which is of interest because several of the market microstructure explanations for the ex-day effect can be ruled out. We find that there are positive abnormal returns on Omani stock dividend ex-days. We also find that firms distributing stock dividends have higher stock prices than firms that are in the same industries but do not distribute stock dividends. In addition, we find that the positive abnormal returns are positively related to stock price increases in the pre-announcement period and to stock dividend percentages. This evidence suggests that stock dividends in Oman might be used to reduce stock prices.

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KW - Market microstructure

KW - Stock dividends

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Stock dividend ex-day effect and market microstructure in a unique environment

Abstract

Keywords

ASJC Scopus subject areas

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