Semi-strong form efficiency: market reaction to dividend and earnings announcements in Vietnam stock Exchange

Tran Thi Xuan Anh, Nguyen Thanh Phuong and Pham Tien Manh
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Tran Thi Xuan Anh: Banking Academy of Vietnam
Nguyen Thanh Phuong: Banking Academy of Vietnam
Pham Tien Manh: Banking Academy of Vietnam

Review of Business and Economics Studies, 2016, issue 3, 53-67

Abstract: The paper seeks an answer to whether Vietnam is efficient in semi-strong form by identifying the market’s reaction to publicized information and events. With a sample covering all listed companies on Ho Chi Minh Stock Exchange from 2014 to 2015, we investigate whether announcements of earnings and dividend changes provide any signaling effect to the share price movements. It is observed that there is insignificant reaction on the dividend announcement dayitself and also in the few days around it. In addition, from the market reactions to both dividend and earnings announcements, it concludes that both announcements have significant effects on the stock price with relative significantly abnormal return surrounding announcement date. However, changes in cash dividends do convey more useful information to the market. Therefore, Ho Chi Minh stock exchange has not fully achieved at its efficient level.

Keywords: STOCK EXCHANGE; SIGNALING EFFECT; PRICE MOVEMENTS; EFFICIENT MARKET HYPOTHESIS; SEMI-STRONG FORM EFFICIENCY; РЫНОК ЦЕННЫХ БУМАГ; ИНФОРМАЦИОННЫЙ ЭФФЕКТ; ГИПОТЕЗА ЭФФЕКТИВНОГО РЫНКА; СРЕДНЯЯ СТЕПЕНЬ ЭФФЕКТИВНОСТИ РЫНКА (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:scn:031730:16908367

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