Stock splits, stock dividends and abnormal trading volume: evidence from Tunisia stock exchange

Wissem Daadaa and Mohamed Tahar Rajhi

International Journal of Monetary Economics and Finance, 2011, vol. 4, issue 1, 77-94

Abstract: Although stock splits and stock dividends seem to be a purely cosmetic event, there exists ample empirical evidence that these events are associated with abnormal trading volume on both the announcement and the execution dates. This paper investigates the trading volume reaction to these events using a set of Tunisian firms. We find an abnormal trading volume around the announcement day of stock dividends. This result can be explained by the size of firms and by the neglected firm hypothesis. However, we do not find any reaction of volume around the announcement or the execution dates of stock splits.

Keywords: stock dividends; stock splits; abnormal volume; noisy trading; abnormal trading volume; cash dividends; Tunisia. (search for similar items in EconPapers)
Date: 2011
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