21
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.
 |