How to cite this paper
Nguyen, T., Nguyen, H., Tran, Q & Le, Q. (2020). Dividend policy and share price volatility: empirical evidence from Vietnam.Accounting, 6(2), 67-78.
Refrences
Allen, D.E., & Rachim, V.S. (1996). Dividend policy and stock price volatility: Australian evidence. Applied Financial Economics, 6(2), 175-188. DOI: 10.1080/096031096334402
Anh, Đ.T.Q., & Nhi, P.T.Y. (2016). The factors affect to the dividend policy of joint – stock companies listed on the Vietnam’s Stock Market. In Vietnamese: Impact of dividend policy on stock price movements of companies listed on Vietnam's stock market. Journal of Development and Integration, 26(36).
Al-Shawawreh, F. K. (2014). The impact of dividend policy on share price volatility: Empirical evidence from Jordanian stock market. European Journal of Business and Management, 6(38), 133–143.
Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The Review of Economic Studies, 58, 277-297
Black, F. (1976a). Studies of stock price volatility changes. Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economics Section, 3(1-2), 177-181.
Black, F. (1976b). The dividend puzzle. The Journal of Portfolio Management, 2(2), 5-8.
Baskin, J. (1989). Dividend policy and the volatility of common stocks. The Journal of Portfolio Management, 15, 19-25.
Ball, R., Brown, P., Finn, F.J., & Officer, R.R. (1979). Dividends and the value of the firm: evidence from the Australian equity market. Australian Journal of Management, 4(1), 13-26.
Bhattacharya, S. (1979). Imperfect information, dividend policy, and “The Bird in The Hand” fallacy. Bell Journal of Economics, 10, 259-270.
Black, F., & Scholes, M. (1974). The effects of dividend yield and dividend policy on common stock prices and returns. Journal of Financial Economics, 1, 1-22.
Brennan, M. (1971). A note on dividend irrelevance and the Gordon valuation model. The Journal of Finance, 26, 1115-1121.
Christie, A.A. (1982). The stochastic behaviour of common stock variances: value, leverage and interest rate effects. Journal of Financial Economics, 10(4), 407-432.
Cheung, Y.W. and Ng, L.K. (1992). Stock price dynamics and firm size: an empirical investigation. The Journal of Finance, 47(5), 1985-1997.
Driffill, J., Psaradakis, Z., & Sola, M. (1998). Testing the expectations hypothesis of the term structure using instrumental variables. International Journal of Finance and Economics, 3(4), 321-325.
Gordon, M. J. (1959). Dividends, earnings & stock prices. Review of Economics and Statistics, 41(May), 99-105.
Gordon, M.J. (1963). Optimal investment and financing policy. The Journal of Finance, 18(2), 264-272.
Hansen, L.P. (1982). Large sample properties of generalized methods of moments estimators. Econometrica, 50, 1029-1054.
Harkavy, O. (1953). The relation between retained earnings and common stock prices for large listed corporations. Journal of Finance, 8(3), 283-297.
Trong, H., & Ngoc, C.N.M. (2013). Statistics applied in socio-economic research. Statistical Publishing House, Hanoi
Hashemijoo, M., Ardekani, A. M., & Younesi, N. (2012). The impact of dividend policy on share price volatility in the Malaysian Stock Market. Journal of Business Studies Quarterly, 4(1), 111- 129.
Hamid, K., Khurram, M.U., & Ghaffar, W. (2017), Juxtaposition of micro and macro dynamics of dividend policy on stock price volatility in financial sector of Pakistan: (comparative analysis through common, fixed, random and GMM effect. Journal of Accounting, Finance and Auditing Studies, 3(1), 64-79.
Hunjra, A., Shahzad, M., Chani, M. I., Hassan, S., & Mustafa, U. (2014). Impact of dividend policy, earning per share, return on equity, profit after tax on stock prices. International Journal of Economics and Empirical Research, 2(3), 109-115.
Haque, R., Jahiruddin, A. T. M., & Mishu, F. (2019). Dividend policy and share price volatility: A study on Dhaka Stock Exchange. Australian Academy of Accounting and Finance Review, 4(3), 89-99.
Hussainey, K., Mgbame, C.O, & Chijoke‐Mgbame, A.M. (2011). Dividend policy and share price volatility: UK evidence. The Journal of Risk Finance, 12(1), 57-68, https:// doi.org/10.1108/15265941111100076
Jensen, M.C., & Meckling, W.H. 2016). Theory of firm: Managerial behaviour, agency costs and ownership Structure. Journal of Financial Economics, 3, 305-350.
Kinder, C. (2002). Estimating stock volatility. Available at: www.bryongaskin.net (accessed 2 December 2014).
Lewellen, W. G., Stanley, K. L., Lease, R. C., & Schlarbaum, G. G. (1978). Some direct evidence on the dividend clientele phenomenon. The Journal of Finance, 33(5), 1385-1399.
Lashgari, D., & Ahmadi, M. (2014). The impact of dividend policy on stock price volatility in the Tehran Stock Exchange. Kuwait Chapter of Arabian Journal of Business and Management Review, 3(10), 273-283.
LeRoy, S.F., & Porter, R.D. (1981). The present-value relation: tests based on implied variance bounds. Econometrica: Journal of the Econometric Society, 49(3), 555-574.
Lintner, J. (1956). Distribution of incomes of corporations among dividends, retained earnings, and taxes. The American Economic Review, 46, 97-113.
Markowitz, H. (1952). Portfolio Selection. The Journal of Finance 7(1), 77-91.
Miller, M.H., & Rock, K. (1985). Dividend policy under asymmetric information. The Journal of Finance, 40(4), 1031-1051.
Miller, M.H., Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. The Journal of Business, 34, 411-433.
Nazir, M.S., Nawaz, M.M., Anwar, W., & Ahmed, F. (2010). Determinants of stock price volatility in Karachi stock exchange: the mediating role of corporate dividend policy. International Research Journal of Finance and Economics, 55, 100-107.
Nishat, M., & Irfan, C. M. (2004). Dividend policy and stock price volatility in Pakistan. Paper presented at the PIDE-19th Annual General Meeting and Conference, Islamabad.
Pettit, R.R. (1972). Dividend announcements, security performance, and capital market efficiency. The Journal of Finance, 27(5), 993-1007.
Quyen, N.T (2016). The factors affect to the dividend policy of joint – stock companies listed on the Vietnam’s Stock Market. The factors affect to the dividend policy of joint – stock companies listed on the Vietnam’s Stock Market. PhD thesis, National Economics University.
Ramadan, I.Z. (2013). Dividend policy and price volatility: empirical evidence from Jordan. International Journal of Academic Research in Accounting, Finance and Management Sciences, 3(2), 15-22.
Sadiq, M., Ahmad, S., Anjum, M.J., Suliman, M., Abrar, S.U. & Khan, S.U.R. (2013). Stock price volatility in relation to dividend policy; A case study of Karachi Stock Market. Middle-East Journal of Scientific Research, 13(3), 426-431.
Shah, S.A., & Noreen, U. (2016). Stock price volatility and role of dividend policy: empirical evidence from Pakistan. International Journal of Economics and Financial Issues, 6(2), 461-472.
Shiller, R.J. (1981). Do stock prices move too much to be justified by subsequent changes in dividends? The American Economic Review, 71(3), 421-436.
Schwert, G.W. (1989). Why does stock market volatility change over time? The Journal of Finance, 44(5), 1115-1153.
Sew, E.H., Albaity, M., & Ibrahimy, A.I. (2015). Dividend policy and share price volatility. Investment Management and Financial Innovations, 12(1), 226-234.
Walter, J.E. (1963). Dividend policy: Its influence on the value of the enterprise. The Journal of Finance, 18, 280-291.
Woolridge, J.R. (1983). Dividend changes and security prices. The Journal of Finance, 38(5), 1607-1615.
Zakaria, Z., & Shamsuddin, S. (2012). Empirical evidence on the relationship between Stock Market Volatility and macroeconomics volatility in Malaysia. Journal of Business Studies Quarterly, 4(2), 61-71.
Zainudin, R., Mahdzan, N., & Yet, C. (2018). Dividend policy and stock price volatility of industrial products firms in Malaysia. International Journal of Emerging Markets, 13(1), 203-217.
Anh, Đ.T.Q., & Nhi, P.T.Y. (2016). The factors affect to the dividend policy of joint – stock companies listed on the Vietnam’s Stock Market. In Vietnamese: Impact of dividend policy on stock price movements of companies listed on Vietnam's stock market. Journal of Development and Integration, 26(36).
Al-Shawawreh, F. K. (2014). The impact of dividend policy on share price volatility: Empirical evidence from Jordanian stock market. European Journal of Business and Management, 6(38), 133–143.
Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The Review of Economic Studies, 58, 277-297
Black, F. (1976a). Studies of stock price volatility changes. Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economics Section, 3(1-2), 177-181.
Black, F. (1976b). The dividend puzzle. The Journal of Portfolio Management, 2(2), 5-8.
Baskin, J. (1989). Dividend policy and the volatility of common stocks. The Journal of Portfolio Management, 15, 19-25.
Ball, R., Brown, P., Finn, F.J., & Officer, R.R. (1979). Dividends and the value of the firm: evidence from the Australian equity market. Australian Journal of Management, 4(1), 13-26.
Bhattacharya, S. (1979). Imperfect information, dividend policy, and “The Bird in The Hand” fallacy. Bell Journal of Economics, 10, 259-270.
Black, F., & Scholes, M. (1974). The effects of dividend yield and dividend policy on common stock prices and returns. Journal of Financial Economics, 1, 1-22.
Brennan, M. (1971). A note on dividend irrelevance and the Gordon valuation model. The Journal of Finance, 26, 1115-1121.
Christie, A.A. (1982). The stochastic behaviour of common stock variances: value, leverage and interest rate effects. Journal of Financial Economics, 10(4), 407-432.
Cheung, Y.W. and Ng, L.K. (1992). Stock price dynamics and firm size: an empirical investigation. The Journal of Finance, 47(5), 1985-1997.
Driffill, J., Psaradakis, Z., & Sola, M. (1998). Testing the expectations hypothesis of the term structure using instrumental variables. International Journal of Finance and Economics, 3(4), 321-325.
Gordon, M. J. (1959). Dividends, earnings & stock prices. Review of Economics and Statistics, 41(May), 99-105.
Gordon, M.J. (1963). Optimal investment and financing policy. The Journal of Finance, 18(2), 264-272.
Hansen, L.P. (1982). Large sample properties of generalized methods of moments estimators. Econometrica, 50, 1029-1054.
Harkavy, O. (1953). The relation between retained earnings and common stock prices for large listed corporations. Journal of Finance, 8(3), 283-297.
Trong, H., & Ngoc, C.N.M. (2013). Statistics applied in socio-economic research. Statistical Publishing House, Hanoi
Hashemijoo, M., Ardekani, A. M., & Younesi, N. (2012). The impact of dividend policy on share price volatility in the Malaysian Stock Market. Journal of Business Studies Quarterly, 4(1), 111- 129.
Hamid, K., Khurram, M.U., & Ghaffar, W. (2017), Juxtaposition of micro and macro dynamics of dividend policy on stock price volatility in financial sector of Pakistan: (comparative analysis through common, fixed, random and GMM effect. Journal of Accounting, Finance and Auditing Studies, 3(1), 64-79.
Hunjra, A., Shahzad, M., Chani, M. I., Hassan, S., & Mustafa, U. (2014). Impact of dividend policy, earning per share, return on equity, profit after tax on stock prices. International Journal of Economics and Empirical Research, 2(3), 109-115.
Haque, R., Jahiruddin, A. T. M., & Mishu, F. (2019). Dividend policy and share price volatility: A study on Dhaka Stock Exchange. Australian Academy of Accounting and Finance Review, 4(3), 89-99.
Hussainey, K., Mgbame, C.O, & Chijoke‐Mgbame, A.M. (2011). Dividend policy and share price volatility: UK evidence. The Journal of Risk Finance, 12(1), 57-68, https:// doi.org/10.1108/15265941111100076
Jensen, M.C., & Meckling, W.H. 2016). Theory of firm: Managerial behaviour, agency costs and ownership Structure. Journal of Financial Economics, 3, 305-350.
Kinder, C. (2002). Estimating stock volatility. Available at: www.bryongaskin.net (accessed 2 December 2014).
Lewellen, W. G., Stanley, K. L., Lease, R. C., & Schlarbaum, G. G. (1978). Some direct evidence on the dividend clientele phenomenon. The Journal of Finance, 33(5), 1385-1399.
Lashgari, D., & Ahmadi, M. (2014). The impact of dividend policy on stock price volatility in the Tehran Stock Exchange. Kuwait Chapter of Arabian Journal of Business and Management Review, 3(10), 273-283.
LeRoy, S.F., & Porter, R.D. (1981). The present-value relation: tests based on implied variance bounds. Econometrica: Journal of the Econometric Society, 49(3), 555-574.
Lintner, J. (1956). Distribution of incomes of corporations among dividends, retained earnings, and taxes. The American Economic Review, 46, 97-113.
Markowitz, H. (1952). Portfolio Selection. The Journal of Finance 7(1), 77-91.
Miller, M.H., & Rock, K. (1985). Dividend policy under asymmetric information. The Journal of Finance, 40(4), 1031-1051.
Miller, M.H., Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. The Journal of Business, 34, 411-433.
Nazir, M.S., Nawaz, M.M., Anwar, W., & Ahmed, F. (2010). Determinants of stock price volatility in Karachi stock exchange: the mediating role of corporate dividend policy. International Research Journal of Finance and Economics, 55, 100-107.
Nishat, M., & Irfan, C. M. (2004). Dividend policy and stock price volatility in Pakistan. Paper presented at the PIDE-19th Annual General Meeting and Conference, Islamabad.
Pettit, R.R. (1972). Dividend announcements, security performance, and capital market efficiency. The Journal of Finance, 27(5), 993-1007.
Quyen, N.T (2016). The factors affect to the dividend policy of joint – stock companies listed on the Vietnam’s Stock Market. The factors affect to the dividend policy of joint – stock companies listed on the Vietnam’s Stock Market. PhD thesis, National Economics University.
Ramadan, I.Z. (2013). Dividend policy and price volatility: empirical evidence from Jordan. International Journal of Academic Research in Accounting, Finance and Management Sciences, 3(2), 15-22.
Sadiq, M., Ahmad, S., Anjum, M.J., Suliman, M., Abrar, S.U. & Khan, S.U.R. (2013). Stock price volatility in relation to dividend policy; A case study of Karachi Stock Market. Middle-East Journal of Scientific Research, 13(3), 426-431.
Shah, S.A., & Noreen, U. (2016). Stock price volatility and role of dividend policy: empirical evidence from Pakistan. International Journal of Economics and Financial Issues, 6(2), 461-472.
Shiller, R.J. (1981). Do stock prices move too much to be justified by subsequent changes in dividends? The American Economic Review, 71(3), 421-436.
Schwert, G.W. (1989). Why does stock market volatility change over time? The Journal of Finance, 44(5), 1115-1153.
Sew, E.H., Albaity, M., & Ibrahimy, A.I. (2015). Dividend policy and share price volatility. Investment Management and Financial Innovations, 12(1), 226-234.
Walter, J.E. (1963). Dividend policy: Its influence on the value of the enterprise. The Journal of Finance, 18, 280-291.
Woolridge, J.R. (1983). Dividend changes and security prices. The Journal of Finance, 38(5), 1607-1615.
Zakaria, Z., & Shamsuddin, S. (2012). Empirical evidence on the relationship between Stock Market Volatility and macroeconomics volatility in Malaysia. Journal of Business Studies Quarterly, 4(2), 61-71.
Zainudin, R., Mahdzan, N., & Yet, C. (2018). Dividend policy and stock price volatility of industrial products firms in Malaysia. International Journal of Emerging Markets, 13(1), 203-217.