The effect of special dividend announcement on the stock price : a case in Malaysia / Siti Noradillah Yusof

The method of distributing excess cash among investors is determined by dividend policies taken by each company. Usually there are three alternative of excess cash distribution : offering special dividend, initiating or increasing regular dividend and repurchase share. The purpose of this study is to investigate the effects of special dividend announcements on the stock price in Malaysia. The factors that been investigate is exchange rate, interest rate, and trading volume with the stock price. The data that been used in this study is daily data basis. The data is in Malaysia data and the data is from 2009 until 2012. The data will be test using unit root test, Bruesch and Pagan (LM) test, Hausman Specification test, and simple regression. Besides that, the diagnostic test also have been conducted in this study which is serial correlation, heteroskedasticity and multicollinearity. Based on this test, it shows that all the panel data doesn't have any problem or does not suffer with all these test. This study is conducted to test whether the dependent variable which is Abnormal Return in Malaysia (stock price in Malaysia) is effected by the announcement of special dividend. The findings of this result show that the special dividend announcement has negative relationship with the Malaysia stock price. When the special dividend increase the stock price decrease or vice versa.