DIVIDEND POLICY AND SHARE PRICE VOLATILITY: EMPIRICAL EVIDENCE FROM INDUSTRIAL COMPANIES IN VIETNAM

Abstract

This study investigates the relationship between share price volatility and two key features of dividend policy, dividend yield and payout ratio, in the emerging country of Vietnam by applying correlation analysis and linear regressions based on Ordinary Least Square model and robust model. The sample of the research included 67 industrial companies, which are listed publicly on the Ho Chi Minh Stock Exchange in the 5-year period, starting from 2015 to 2019. The original regression model was combined with some control variables like size, debt, growth and earning volatility. The empirical outcomes show that two key features of dividend policy, dividend yield and dividend payout ratio, and share price volatility were significantly negatively correlated. Moreover, a positive correlation between share price volatility and earning volatility was found. Growth, size and debt are three factors that had negligible impact on changes in a firm’s share prices.