Dividend Signalling Hypothesis In Emerging Markets: More Empirical Evidence

The main objective of this study is to examine empirically the signalling theory for a sample of firms listed at Amman Stock Exchange (ASE) during the period 2005 to 2010. The sample consists of 183 observations and 132 observations for dividend release sample and no-dividend release sample, respectively. Event Study Methodology (ESM) is applied to examine the market reaction to dividend release announcements. The market model is used to generate the expected returns. Also, the t-test is used to examine the significance of the mean and cumulative abnormal returns. Results from the dividend release sample shows that there is a significant positive abnormal return on the announcement days. Also, it shows that there is an overreaction straight after the announcement day, then a correcting attempt in the post event and then it goes back to normal, which is consistent with the signalling hypothesis. For the no-dividend release sample, the results show no significant abnormal return on and around the announcement days which is again consistent with the signalling hypothesis. Our results are consistent with Al-Shattarat et al. (2012) suggestions that there could be value relevance for dividends rather than dividends’ change. Our findings show that there is value relevance for dividends and thus supporting the signalling hypothesis

Technical analysis and the stochastic properties of the Jordanian stock market index return

Purpose – To investigate the performance of moving average trading rules in an emerging market context, namely that of the Jordanian stock market. Design/methodology/approach – The conditional returns on buy or sell signals from actual data are examined for a range of trading rules. These are compared with conditional returns from simulated series generated by a range of models (random walk with a drift, AR (1), and GARCH-(M)) and the consistency of the general index series with these processes is examined. Sensitivity analysis of the impact of transaction costs is conducted and standard statistical testing is extended through the use of bootstrap techniques. Findings – The empirical results show that technical trading rules can help to predict market movements, and that there is some evidence that (short) rules may be profitable after allowing for transactions costs, although there are some caveats on this. Originality/value – New results for the Jordanian market; use of sensitivity analysis to investigate robustness to variations in transactions costs.Jordan, Stock markets, Stock returns