Abstract

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INVESTORS TRADING BEHAVIOR AROUND CASH DIVIDEND, STOCK DIVIDEND AND STOCK SPLITS CASE OF THE STOCK EXCHANGE OF THAILAND (SET)

Chaiyapruek Khowwikkai


The purpose of this paper is to examine investor’s type trading behavior reaction to cash dividend, stock splits and stock dividend on short term and long term period. On short term study, we investigate on both announcement day and ex dividend/effect day while on long term we study only announcement month and post announcement month. This research study on data of firms listed on the Stock Exchange of Thailand during January 2000 to July 2011. By employing short term event study approach, the results show that retail investors are likely to buy cash dividend stock, stock splits and stock dividend. While foreign and institution are majors liquidity provider for retail investors, proprietary investors avoid trading around these three events. For long term event study of cash dividend, we find positive underreact only when retail investors are net buyer. We further analyze on firm size effect and payout ratio effect for all events. The results show significant effect of both analysis occur mostly on short term study while in the long term the effect has more significant result on cash dividend. For cash dividend, we find that market reacts more positively to dividend increase.