The impact of dividend policy on stock price volatility

Abstract

Research on the impact of dividend policy on stock price volatility is often of significant importance to stock investors and corporate managers. This study aims to determine the impact of dividend policy on stock price volatility of enterprises, while also considering the influence of other factors within the company, including firm size, earnings volatility, long-term debt ratio, and asset growth rate, as well as macroeconomic events such as Covid-19 and other global special events. The study uses data collected from 345 companies listed on the Ho Chi Minh Stock Exchange (HOSE) and the Hanoi Stock Exchange (HNX) from 2014 to 2023 (with 3,450 observations). Applying OLS, FEM, and REM models for panel data, combined with the FGLS regression method, the analysis results show that the dividend policy has an inverse impact on stock price volatility. Additionally, events such as the Covid-19 pandemic and global macroeconomic events like Brexit, the US-China trade war, and the US presidential election also have certain impacts on stock price volatility. This provides suggestions for corporate managers and helps shareholders gain a broader perspective on the factors affecting stock price volatility, thereby making appropriate investment decisions in the Vietnamese stock market