Title: The dividend enigma: deciphering the effect on Indian ETF performance in stress and normal periods

Authors: Ishwar Sharma; Chanchal Saini; Komal Jindal

Addresses: Department of Commerce, Indira Gandhi University, Meerpur, Rewari Haryana – 122502, India ' Department of Commerce, Indira Gandhi University, Meerpur, Rewari Haryana – 122502, India ' Department of Management, Delhi Institute of Advanced Studies, Rohini, Delhi – 110085, India

Abstract: This study explored the effect of Dividend events on the performance of exchange-traded funds (ETFs) in India during both normal and stressful market conditions. While dividend effects on individual equities are well documented, their influence on ETF pricing dynamics - especially in emerging markets - remains underexplored. We utilised standard event study methodology and tested our findings across four event windows to ensure robustness. In addition, we employed both the t-test (parametric) and the Corrado test (non-parametric) statistics to check the significance of abnormal returns. We found that dividend events in normal situations provide profitable opportunities for short-term traders. They could take a long position before the ex-dividend date, as positive cumulative returns are observed before that date. After that date, a short position would be helpful for them in making profits. On the other hand, short-term traders have limited profitable opportunities during market stress; their best option is to earn by tracking market movements.

Keywords: ETFs performance; dividend announcement; ex-dividend; event study; ETFs; exchange-traded funds.

DOI: 10.1504/IJTGM.2025.150061

International Journal of Trade and Global Markets, 2025 Vol.21 No.5, pp.493 - 513

Received: 04 Nov 2024
Accepted: 28 Jun 2025
Published online: 28 Nov 2025 *

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