The relationship between a stock price and the sign up dividend payment (XD)

Abstract

The educational objective of this study was to find out the relationship between a stock price and the sign up dividend payment (XD) in the stock exchange (SET 50 index), whether the day before and the day signing the XD affects on the stock price or not. The research hypothesis states that the day before signing the XD causes the price to increase and the day signing the XD causes the price to decrease. The data used in the study collected secondary data from the daily closing price of each securities during 5 years (from 2014 to 2018) from the data base of SET (The security Exchange of Thailand) through www.setsmart.com and the data used will be in the form of time series data. The method used in the study begins with stationary test and unit root test with ADF test at Level and at First Difference. After that, the Box-Jenkin will be used to analyze the relationship between the stock price and the sign up dividend payment (XD).
The findings educational that the sign up dividend payment (XD) was according to the hypothesis that the day before signing the XD resulting in increase the stock price and the day signing the XD resulting in decrease the stock price, which can be summarized into three group as follows
Group 1 The securities at the day before signed the XD was resulting in increased the stock prices at a level of significance namely DELTA.
Group 2 The securities at the day signed the XD was resulting in decreased the stock prices at a level of significance namely ADVANC, CPN, EGCO, INTUCH, KTB, RATCH, ROBINS, SCB and TISCO.
Group 3 The securities at the day before signed the XD was resulting in increased the stock prices, and the day the securities was signed the XD, resulting in decreased the stock prices at a level significance namely BBL, GLOW, IRPC and PTTGC.