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  return. Martusa (2007) examined the relation between dividend yield and stock return. 
  Martusa  took the samples from 34  manufacturing  companies  listed in  Jakarta  Stock 
  Exchange (BEJ) from 1999 to 2004, and  used the regression to analyse as the data. 
  The  result  of  this  research  indicated  that  there  is  a  negative  relationship  between 
  dividend  yield  and  stock  return, while  dividend  policy does  not affect stock  return 
  significantly.  
    Another corresponding research about the impact of dividend policy on stock 
  prices was conducted by Adesola and Okwong (2009). They took the samples from 27 
  Nigeria quoted companies during 10 years ( from 1996 to 2006) . The result affirmed 
  the  Dividend Signalling  Theory  in  which  dividend  has  an  immense  contribution  in 
  determining  share  market  price.  Besides  that,  it  confirmed  a  positive  relationship 
  between  dividend  payout  and  stock  return,  while  dividend  yield  has  a  negative 
  relationship with stock return. On the contrary, Martusa (2007) did the research about 
  the impact of  dividend yield towards  stock  return  supposed that dividend  policy do 
  not  have  significant eff ect towards  stock  return.  The  latest  study was conducted by 
  Hussainey  et  al.,(2011).  This  study  focused  on  stock  market 
in  South  East  Asia 
  countries,  encompassing  Sri-Lanka,  Pakistan,  and  India.    The  result  showed  the 
  positive  relation  between  dividend yield  and  stock  return,  whereas  dividend payout 
  ratio and stock price indicate negative relationship. 
    According to  Hussainey et al.,(2011) and  Adesola & Okwong  (2009) , there 
  are  several  supporting  factors  that  influence  stock  return,  such  as  size  of  firm, 
  growth, leverage, and liquidity ratio. Thus, those factors are included  as the control 
  variables in the research. 
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