Title: Dividend announcements, share returns and trading volumes on the Johannesburg Stock Exchange

Authors: Andile Nyandeni; Alastair Marais; Kerry McCullough

Addresses: School of Accounting, Economics and Finance, University of KwaZulu-Natal, Pietermaritzburg, South Africa ' School of Accounting, Economics and Finance, University of KwaZulu-Natal, Room 13, Commerce Building, Pietermaritzburg, South Africa ' School of Accounting, Economics and Finance, University of KwaZulu-Natal, Room 334, New Arts Building, Pietermaritzburg, South Africa

Abstract: Dividend decisions are known to relate to firm value; however, empirical literature has found both positive and negative impacts on value. These impacts indicate that local context is a relevant consideration. Firm value is typically considered with share prices, however, trading volume offers additional nuance to the understanding of dividend decisions. This article analyses dividend announcement of firms listed on the Johannesburg Stock Exchange (JSE) under a market model and event study approach. We consider 869 dividend events between 1 January 2010 and 31 December 2018. Findings show support for the information content of dividends hypothesis on the JSE, revealing that dividends convey price and volume sensitive information to the market. Share prices reacted positively to 'dividend increases' and the 'no change in dividend' announcements. The 'dividend decrease' category showed a negative share price reaction. Trading volumes increase around the announcement of all three dividend events.

Keywords: dividend policy; share returns; trading volume; market model; event study; Johannesburg Stock Exchange; JSE.

DOI: 10.1504/AAJFA.2024.140934

Afro-Asian Journal of Finance and Accounting, 2024 Vol.14 No.5, pp.735 - 756

Received: 03 Aug 2021
Received in revised form: 15 Aug 2022
Accepted: 05 Oct 2022
Published online: 04 Sep 2024 *

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