Dividend policies and price-volume reactions to cash dividends on the stock market - Evidence from the Istanbul Stock Exchange

Yilmaz M. K. , Gulay G.

EMERGING MARKETS FINANCE AND TRADE, vol.42, no.4, pp.19-49, 2006 (Journal Indexed in SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 42 Issue: 4
  • Publication Date: 2006
  • Doi Number: 10.2753/ree1540-496x420402
  • Page Numbers: pp.19-49
  • Keywords: cash dividends, emerging markets, price-volume reaction, EARNINGS, TAXES


This study examines the effects of cash dividend payments on stock returns and trading volumes in the stock market. It also investigates whether there is any difference in the investment behavior of investors with respect to the dividend payout ratio and size in the Istanbul Stock Exchange (ISE)from 1995 to 2003. Prices start to rise a few sessions before cash dividend payments, and oil the ex-dividend day, they fall less than do dividend payments, finally decreasing in the sessions following the payment. Trading volume shows a considerable upward shift before the payment date and, interestingly, is stable after Thus, cash dividends influence prices and trading volumes in different ways before, at, and after payment, providing some profitable active trading strategy opportunities around the exdividend day. The findings support price-volume reaction discussions on the divident payment date and the significant effect of cash dividends on the stock market.