اثر سیاست تقسیم سود بر نوسانات قیمت سهم: شواهدی از بازار سهام تهران (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
سود تقسیمی پرداختی[1] است که از سوی یک شرکت به سهام داران آن داده می شود و درواقع یکی از راه های انتقال بازده به سهام داران بنگاه است. هدف این تحقیق بررسی اثر سیاست تقسیم سود بر نوسانات قیمت سهم در بازار سهام و اوراق بهادار تهران است و سیاست تقسیم سود با دو شاخص درصد پرداخت سود تقسیمی و بازده سود تقسیمی مورد ارزیابی قرار می گیرد. برای این منظور 200 شرکت بورسی انتخاب و در بازه زمانی 1398-1389 با بکارگیری رگرسیون های پانل فرضیه اثرگذاری بازده سود تقسیمی و درصد پرداخت سود تقسیمی بر نوسانات قیمت سهم آزمون می شود. نتایج تجربی نشان می دهد که رابطه معنادار معکوسی بین بازده سود تقسیمی و نوسانات قیمت سهم وجود دارد. در تصریح رگرسیونی که هر دو متغیر بازده سود تقسیمی و درصد پرداخت سود تقسیمی وجود دارد ضریب متغیر درصد پرداخت سود تقسیمی به دلیل همخطی بالا با متغیر بازده سود تقسیمی از لحاظ آماری معنادار نیست ولی با کنار گذاشتن متغیر بازده سود تقسیمی این متغیر نیز در سطح اطمینان 10% معنادار بوده و رابطه معکوسی با نوسانات قیمت سهم دارد. با توجه به اینکه بخش قابل توجهی از نوسانات بازارهای نوظهور به خصوص بازار سهام تهران تحت تأثیر نوسانات اقتصاد کلان است، با لحاظ کردن این امر اندازه ضرایب به طور قابل ملاحظه ای دستخوش تغییر می شود. [1]. PaymentDividend Policy and Stock Price Volatility: Evidence from Tehran Stock Exchange
This study examined the relationship between dividend policy (measured by dividend yield and dividend payout ratio) and stock price volatility in the Tehran Stock Exchange. Using fixed effects and random effects regression models developed by Baskin (1989) and Allen and Rachim (1996), the study analyzed the data of 200 public firms listed on the TSE that consistently paid dividends from 2010 to 2020. The results indicated a significantly negative relationship between dividend policy and stock price volatility. Additionally, firm size was negatively correlated with stock price volatility, with this relationship proving statistically significant. Consequently, managers can partly control the stock risk and influence investors’ decisions through a firm’s dividend policies. Stock price volatility in emerging markets, particularly the Tehran Stock Exchange, is substantially influenced by macroeconomic fluctuations, so considering these factors notably affects the coefficient sizes. Introduction Dividend policy has long been a central focus in financial research, especially concerning its impact on stock price volatility. As a form of return to shareholders, dividend payments play a significant role in shaping investment decisions. In this respect, the present study aimed to investigate the effect of dividend policy—measured through the dividend payout ratio and dividend yield—on stock price volatility in the Tehran Stock Exchange (TSE), using the data of 200 firms over the period from 2010 to 2019. The research aimed to address the following questions: How does the dividend payout ratio affect stock price volatility in the TSE? What is the impact of dividend yield on stock price volatility in the TSE? How do seasoned offerings and macroeconomic factors influence the relationship between dividend policy (dividend payout ratio and dividend yield) and stock price volatility? Materials and Methods The research used a sample of 200 firms listed on the TSE from 2010 to 2020 in order to examine the effect of dividend policy on stock price volatility. Using panel regression analysis, the study evaluated the effects of the dividend payout ratio and dividend yield, with control variables such as firm size, earnings volatility, debt ratio, and growth. The data was sourced from Codal (www.codal.ir) and TSETMC (www.tsetmc.com). Stock price volatility was measured through the Parkinson estimator, which calculates volatility based on weekly high and low prices, thereby minimizing distortions from daily price limits on the exchange. Results and Discussion The empirical results revealed a statistically inverse relationship between dividend yield and stock price volatility, supporting the duration effect hypothesis. Higher dividend yields contribute to more stable prices, as stocks with larger dividends are less sensitive to changes in the discount rate. This finding is consistent with earlier studies by Baskin (1989), Hussainy (2011), and Mingli et al. (2016). The relationship remains robust across different model specifications. However, no significant relationship was found between the payout ratio and stock price volatility when both dividend yield and payout ratio were included, which is likely due to multicollinearity. When dividend yield was excluded, the payout ratio became significant at the 10% level, showing an inverse relationship with volatility (Table 1). Control variables such as firm size and growth significantly influenced volatility, with higher growth correlated with higher volatility. Debt levels, initially insignificant, became significant when total debt was considered. Adjusting for seasoned equity offerings reduced the effect of dividend yield on volatility but still maintained its significance. Macroeconomic volatility, measured by TEDPIX fluctuations, had the largest impact on stock price volatility, highlighting the sensitivity of TSE to Iran's unstable macroeconomic environment. Table 1. Multicollinearity of Payout Ratio and Dividend Yield, and Its Effect on Regression Results (5) (4) (3) Variable -0.094*** (0.032) -0.088*** (0.034) DivYield -0.0046* (0.0028) 0.0015- (0.0024) PayoutRatio 0.019 (0.070) 0.023 (0.071) 0.023 (0.070) EarningVol -0.015** (0.0065) -0.015*** (0.0063) -0.015*** (0.0061) Size 0.020*** (0.0070) 0.021*** (0.0069) 0.021*** (0.0070) Growth -0.035 (0.053) -0.026 (0.053) -0.026 (0.053) DebtRatio 0.650*** (0.178) 0.652*** (0.178) 0.526*** (0.083) Constant Yes Yes Yes Time Fixed Effect Yes Yes Yes Industry Fixed Effect 1692 1692 1801 Num of Observation 0.489 0.589 1692 R2 Source: Research results Table 1 shows the results of assessing the effect of dividend policy on stock price volatility, taking into account the multicollinearity between dividend yield and payout ratio. In Specification (3), where all explanatory variables are included, a significant negative relationship is found between dividend yield and stock price volatility, while the payout ratio remains insignificant. Specification (4), which excludes the payout ratio, shows that the dividend yield remains significantly negative. In Specification (5), when dividend yield is excluded, the payout ratio becomes significant at the 10% level, suggesting the presence of multicollinearity between the two variables. The dependent variable is stock price volatility, measured using Parkinson’s method, with the models controlling for firm size, growth, debt ratio, and fixed effects. Conclusion This research examined the effect of dividend policy on stock price volatility in the TSE, using dividend yield and payout ratio as key indicators. A sample of 200 public firms listed that consistently paid dividends from 2010 to 2020 was selected, and a panel regression analysis was conducted to assess the effect of the indicators. The results revealed a significantly negative relationship between dividend yield and stock price volatility, while the payout ratio was not significant due to multicollinearity. However, when dividend yield was excluded, the payout ratio became significant at the 10% level, also showing a negative relationship with volatility. The findings support the duration, rate of return, and signaling effects, and are consistent with prior studies by Baskin (1989), Hussainy (2011), and Mingley et al. (2016). Among the control variables, firm size and growth were significant, and redefining the debt ratio to include total debt made it significant at the 10% level. The results from alternative specifications using net dividend yield and payout ratio were consistent, offering valuable insights for investors and managers in predicting and managing stock price volatility.
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