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 International Journal of Economics and Financial
Issues
ISSN: 2146-4138

available at http: www.econjournals.com

International Journal of Economics and Financial Issues, 2016, 6(1), 65-72.

Does Dividend Announcement Generate Market Signal?

Evidence from Pakistan

Ghulam Mujtaba Chaudhary1, Shujahat Haider Hashmi2*, Aqeel Younis3

1
Department of Business Administration, University of Management Sciences and Information Technology, Kotli, Azad Kashmir,
Pakisthan, 2Muhammad Ali Jinnah University, Islamabad, Pakistan, 3Muhammad Ali Jinnah University, Islamabad, Pakistan.
*Email: [email protected]

ABSTRACT
This study is aimed at investigating the signaling effect of cash dividend announcements by employing the standard event methodology over the
companies listed on Karachi Stock Exchange. The companies are randomly selected from different sectors that have announced cash dividends
during calendar year 2010 and total 30 companies are included in the study. The standard event methodology is applied to explore the impact of cash
dividend announcements upon stock returns and an event window of 15 days with dividend announcement date as the event day is constructed. The
results show that the average abnormal returns (AARs), by and large, remained positive and statistically significant in post-event window days. The
results of study tend to support dividend signaling hypothesis indicating that the dividend announcement may be used as a tool to generate positive
signals in the market.
Keywords: Dividend Announcements, Event Window, Abnormal Returns and t-Test
JEL Classifications: F65, G2

1. INTRODUCTION perception about the future growth prospects of the company

and resultantly the share prices tend to rise with increase in
The formal discussion of stock market’s reaction to dividend dividend announcements. It is widely believed that the market
payments is started with the irrelevance theory presented by reacts to dividend announcements and increase in dividend
Miller and Modigliani (1961). They argued that the value of convey positive information while decrease in dividend covey
firm is not dependent upon its dividend policy subject to the negative information to the market. This argument has been
condition that the investment policy of the company remains referred as the dividend signaling hypothesis or the information
unchanged. Before this model, Lintner (1956) documented content of dividends hypothesis (Fama et al., 1969; Miller and
the relevance of dividend payment in earning performance Rock, 1985; Ambarish et al., 1987). The investors assume the
of firms and he proposed that the firm should move towards risk of investing in common stock and they are always eager
the payment of dividend only if such increase seems to be for such announcements that may provide some return to
permanent. It is also evident from literature that the dividend them. The compensation and payment of shareholders is in the
announcements may serve as information signals and on form of dividends. Fama (1970) proposed the efficient market
the basis of such information; the investors can be able to hypothesis and he defined three degrees of market efficiency
objectively differentiate the low quality and high quality namely weak form, semi-strong form and strong form. The
firms. The dividend decision including its amount and timing security prices reflect all relevant, public information in a semi-
of payment in any company is to be made by its directors and strong form efficient market and the prices should be affected
soon after the meeting of board; it is communicated to the by a new set of information in such markets. Therefore, in a
shareholders through official window of stock exchange. On the semi-strong form efficient market; the dividend announcement
basis of dividend announcements, many investors make their news should affect the stock prices/returns.

International Journal of Economics and Financial Issues | Vol 6 • Issue 1 • 2016 65

 Chaudhary, et al.: Does Dividend Announcement Generate Market Signal? Evidence from Pakistan

The objective of this study is to empirically investigate the quality firms on the basis of dividend announcements/payment
behavior of share prices in reaction to the dividend announcements, (Miller and Rock, 1985).
for listed companies of Pakistan by employing the event study
methodology and t-test methods. The event study is related to the It is widely believed that the dividend announcements convey
impact of a firm-specific corporate event on the security prices. information to the investors about the future growth prospects
The selection of companies is made in a random fashion from of the company and the share prices tend to rise with increase
different sectors with having trading of shares at Karachi Stock in dividend announcements. There is a great debate over this
Exchange (KSE) and that have made announcements of cash issue all over the world and particularly in last few years it got
dividends during calendar year 2010. The study takes the dividend significant importance. The number of studies has already been
announcement as the corporate event for the company and event conducted in this area with varying results, however, in majority
window of 15 trading days in total including −7 (pre-event days) of the studies, a direct relationship is found between the dividend
and +7 (post-event days) is constructed while taking t = 0 as the announcements and stock prices that support the idea of signal
event date. The results show significant positive impact of dividend generation by the dividend announcements. However, Baskin
announcements on AARs. The t-test value becomes positive on (1989) documented a significant negative relationship of dividend
the next day after the occurrence of event and becomes significant yield to stock price volatility in U.S. Lee (1995) observed that
as well on 2nd day after the event of dividend announcement. The the stock market significantly respond to the dividend shocks
value remained positive as well as significant for all the days, irrespective of whether it is permanent or temporary in nature.
after that mentioned above, around the event window following
the dividend announcement. The results of study are thereby Allen and Rachim (1996) found no evidence of correlation
favoring the dividend signaling/information content of dividend among dividend yield and stock price volatility in Australian
hypothesis. The findings of this study are of practical relevance listed companies whereas Below and Johnson (1996) attempted
to the researchers, practitioners and investors who are interested to observe the reaction of share prices to dividend announcements
to study the behavior of share price movements in relation to the w.r.t. the market phase and found the significant impact of market
dividend announcements or who are interested to invest in any phase upon abnormal returns because of dividend announcements.
stock. Particularly in Pakistan, the decision of small investors, by They further argued that the announcements of increase or decrease
and large, is based upon the dividend patterns and considering in dividends are perceived differently depending upon the market
this factor the managers, also uses this tactic to attract potential phase. Brucato and Smith (1997) found the positive impact of
investors in the market. The results of this study will enable dividend announcements resulting an increase in stock returns;
the companies to analyze the effect of their signaling efforts however, the dividend payout ratio and firm’s reputation matters
through dissemination of information as well as reaction patterns. in the generation of such signal. Similarly, Benartzi et al. (1997)
Moreover, the study reveals for the investors to consider and observed that the stock market participants treat the change in
incorporate the factor of signaling in their investment decisions. dividend as having information content and the dividend increase
announcement results in positive excess returns whereas the
The structure of this paper is as follows. The literature relevant dividend decline announcement results in negative abnormal
to study is described in Section 2 whereas the Section 3 discusses returns.
methodological framework with description of variables and
data. In Section 4 data analysis and results are discussed whereas Acker (1999) found the interim announcement to be perceived
Section 5 concludes the discussion with summary of findings. more significantly in comparison to the final in case of dividend
cut whereas for dividend increases, the results are documented
2. LITERATURE REVIEW in opposite to it. Nissim and Ziv (2001) documented a positive
relationship between dividend changes and earning changes. They
The theory of dividend policy originated by Miller and further argued that the change in dividend convey as new set of
Modigliani (1961) resulted in the start of a debate over information about the future profitability of the firm. Uddin and
the dividend payments by the firms and this has gained a Chowdhury (2005) concluded that the dividend announcement
considerable importance after the work of Fama et al. (1969), do not affect stock returns of the companies listed on Dhaka
Spence (1973), Leland and Pyle (1977). Spence (1973) proposed Stock Exchange and therefore no signal can be generated by
the asymmetric information problem when a party generates a the investors through dividend announcements. Amidu (2007)
signal with some relevance for the other party and that make observed the relevance of dividend policy for firm’s performance.
an adjustment in the purchasing behavior, usually by offering He documented a positive association between return on assets,
a higher price, after having an interpretation of that signal. sales growth and dividend policy but a negative relationship
Leland and Pyle (1977), on the other side, described the role was found between the return on assets, leverage and dividend-
of signals within the initial public offering process and showed payout ratio. Mubarik (2008) found a weak negative association
that the companies having better future perspectives and success of dividend announcement to share prices in listed companies
possibilities should generate clear signals while going public. of Oil and Gas sector in Pakistan. Rashid and Rahman (2008)
It was theoretically argued and empirically proved by different used the cross-sectional regression analysis to document a non-
researchers that the payment of large cash dividend by the firms significant positive relationship between volatility in stock prices
can generate a signal in the market resulting an increase in its and dividend yield in Bangladesh. Ferris et al. (2009) concluded
share prices and the investors can separate the high and low that the investors would place a high value to the stock of dividend-

66 International Journal of Economics and Financial Issues | Vol 6 • Issue 1 • 2016

 Chaudhary, et al.: Does Dividend Announcement Generate Market Signal? Evidence from Pakistan

paying firms and they may enforce the managers for dividends. and found positive reaction of stock prices against dividend
Similarly, Bhatia (2010) found a significant positive impact of announcements. However, Suparno (2013) further suggested that
dividend payment on the determinants of share price; however, there is no difference in stock return abnormal average between
this impact cannot be generalized on sector of companies jointly. before and after dividend announcement event.

Akbar and Baig (2010) found a statistically insignificant reaction In his study both null hypothesis (H0) were accepted and concluded
of stock prices in relation to cash dividend announcements; that dividend announcement policy does not significantly affect
however, both the average and cumulative average abnormal to stock price and abnormal return before and after dividend
returns (CAAR) are found statistically significant in case of stock announcement manufacturing companies in Indonesia Stock
dividend announcements. Asamoah (2010) found no significant Exchange. Menike (2014) added his empirical work on dividend
impact of dividend announcements on share price behavior in announcement in Colombo Stock Exchange and described that
Ghana and concluded that the Ghana stock exchange is not semi- dividend announcement is the source of critical information and
strong efficient while Nazir et al. (2010) observed a significant market respond it positively on the event day. One of more study
strong relationship between dividend policy and stock price conducted by Iqbal et al. (2014) on banking sector of Pakistan and
volatility by selecting a sample of 73 firms listed on KSE. Ali and found both positive and negative relationship between dividend
Chowdhury (2010) found no significant reaction of stock prices to and stock prices and he proved empirically that dividend has
dividend announcements in banking industry of Bangladesh and positive regression with earning per share and has negative
attributed the non-significance of announcement to the possible regression with stock prices. In the current year Abbas (2015) also
existence of insider trading in the market. Mehndiratta and Gupta extended the empirical work on dividend announcement reaction
(2010) documented that the investors can gain value in the period in Damascus Securities Exchange and research results indicated
after dividend announcement and they referred it a possibility of that most average returns are statistically insignificant, whereas
information content in dividend announcements in National Stock the CAAR are statistically significant for the whole event window.
exchange of India. Dasilas and Leventis (2011) documented a The stock reactions appear within post-event window gradually
significant positive impact of dividend announcements on the in response to the dividends announcement.
stock prices and trading volume in Athens stock exchange with
the unchanged dividend leaving the stock prices unchanged. Fuller As evident from the survey of literature, the reaction of stock
and Goldstein (2011) reported the concerns of investors with firm’s prices to dividend announcements got significance importance in
dividend policy. They found empirically the outperformance of both the academic and professional researches after the irrelevance
stocks that are paying dividends in relation to the non-dividend theory of Miller and Modigliani (1961) and particularly in last
paying stocks and this matter more in declining markets as few years a number of studies have been conducted with varying
compared to the advancing markets. Al-Yahyaee et al. (2011) results. Some studies showed a positive reaction of stock prices
supports the signaling effect of cash dividend announcements by to dividend announcements while others documented no or
documenting direct relationship between dividend announcements insignificant reaction. The study in this area is yet inconclusive.
and stock prices with the firms having no change in dividend This study is an extension of the existing studies and is conducted
experience insignificant negative returns. in the context of Pakistan for most recent period and the sample
is selected from different sectors in order to ensure a balanced
Campbell and Ohuocha (2011) found the varying effect of representation.
dividend announcements based upon trading frequently for
the companies having their own announcement date instead of
official window of the Nigerian Stock exchange. They observed 3. METHODOLOGY
the positive abnormal returns for more frequently traded stocks
whereas negative abnormal returns for less frequently traded stocks The companies listed on KSE (KSE-100 index) are selected
in response to the dividend announcements. Bougatef (2011) randomly from different sectors that have made the cash dividend
found a positive association between cash dividend payment and announcements during calendar year 2010 and posted it on the
stock returns of firms listed on Tunis stock exchange. Similarly, official window of KSE. The number of companies selected
Hussainey et al. (2011) found a positive relationship between from each sector is also dependent upon the ratio of dividend
dividend yield and stock price volatility whereas a negative link announcing companies to the total companies. A sample of 30
between dividend payout ratio and stock price volatility. Mehmood announcements is selected for the study with companies from
and Sheikh (2011) also emphasized on significance of dividend different sectors. The 4 companies are selected from each Oil
announcement towards stock market variation and found that and Gas, Chemicals, Pharma and Bio Tech and Food Producers
dividend announcements are positively value relevant and rejected Sector while 2 each from Personal Goods, Industrial Engineering,
dividend irrelevance hypothesis in KSE. Suwanna (2011) detected Non Life Insurance and General Industrial Sectors are selected.
the effect of dividend within 40 days of announcement and found Likewise, one company from each Construction and Materials,
significant positive upward stock prices in the reaction at Thai Automobile and Parts, Banks, Tobaaco, Electronic and Electrical
stock exchange that also confirmed the dividend signaling theory Equipment and Forestry and Paper sectors is selected. The data
impact on share prices. Moreover, Dharmathane (2013) explored of cash dividend announcement dates, daily stock market index
the reaction of stock prices by 137 dividend announcements with and the daily stock prices of listed companies is gathered from
a sample of 61 listed companies of Columbo stock exchange the website of KSE and ZHV Securities.

International Journal of Economics and Financial Issues | Vol 6 • Issue 1 • 2016 67

 Chaudhary, et al.: Does Dividend Announcement Generate Market Signal? Evidence from Pakistan

To investigate the signaling effect of dividend announcements, and; t =AAR/σ(AAR) or t = AAR/√Sum 2 of Steyx for
the standard event study methodology is used. The event study is Announcements/Number of Announcements (Benninga, 008).
related to the impact of a company-specific event on its stock prices
and has been used in many recent studies (Mehndiratta and Gupta, Where σ (AAR) is the standard error of AAR and is calculated as:
2010; Akbar and Baig, 2010; Bhatia, 2010). The present study uses
the dividend announcement as the corporate event for the company σ(AAR) = σ/√n 8
and an event window of 15 days is constructed to check the reaction
of stock prices to dividend announcement. An event window of 4. DATA ANALYSIS AND RESULTS
15 days is constructed with −7 (pre-dividend announcement days)
and +7 (post-dividend announcement days) while taking t = 0 as The standard event methodology is applied to study the signaling
the event date. The event study is used to find out the impact of effect of dividend announcements on stock returns of listed
announcements on respective share prices. Furthermore, the t-test is companies in Pakistan. The companies are selected randomly from
used to check the impact of dividend announcements by examining different sectors that have made the cash dividend announcements
the significance of AARs around the event window. during calendar year 2010. The 30 companies from different
sectors are selected randomly and an event window of 15 days
In the 1st step the return of both the company daily stock prices and is constructed to analyze the reaction patterns of returns in both
the market index are calculated by using the following formulae: pre-event and post-event scenarios. The list of selected companies
with the symbols is summarized in Table 1.
Rit = Ln (Pt/Pt-1)1
The daily closing stock prices of sample companies and market
Rmt = Ln (It/It-1)2 index are extracted from the official website of KSE and ZHV
securities. The daily returns are calculated by using the logarithmic
Where: function. After calculating the returns, the expected return is
Rit is the return of company and Rmt represent the market return; calculated by using the market model and for this purpose the
data of 240 days before the event window is used. The event
Pt and Pt-1are the stock prices of company whereas It and It-1 window is comprised of 15 days in total with −7 and +7 as the
represents the market index value for current and previous day; pre- and post-event days respectively while 0 as the event day.
The abnormal returns around the event window are calculated by
The expected returns are calculated by using the market model subtracting the expected return from actual return. The abnormal
as below: returns of all the companies and AARs around the event window
are summarized in Annexure 1.
E(Rit) = αi + βiRmt + εit3
The results show that the AARs have a mixed trend before the
Where αi and βi are intercept and slope respectively whereas the event date and remained negative in most of the days including
Rmt represents the market return and εit is the random error term. event day. However, after the event of dividend announcement the
The simple regression is used for this purpose and company AAR remains positive with increasing trend for all the days around
stock returns are regressed over the market returns. After this, the the event window. The t-test is used to check the significance
abnormal returns are calculated by applying the constant mean of abnormal returns around the event window. The t-test value
return model as follows: again shows a mixed trend with either insignificant or negative
significant values before the event of dividend announcement.
ARit = Rit−E(Rit)4 However, the next day after dividend announcement it becomes
positive and remained positive for all the days after the occurrence
The AAR around the event window is calculated by dividing the of dividend announcement event around the event window.
sum of abnormal returns over the number of observations as below: Moreover, the AAR become significant on the 2nd day after
dividend announcement event and remained significant for all the
AARit = ∑ARit/N5 days around event window following the dividend announcement.
The result of AAR, CAAR and t-test around the event window is
The CAAR that provides an information about the behavior of summarized in Table 2.
average prices of companies during event window is calculated
by using the formula: It is evident from the above results that the AARs become positive
a day after the dividend announcement whereas significant on
CAAR = ∑AAR 6 2nd day after the dividend announcements and then remained
positive as well as significant for all the days around event window
The parametric t-test is used to check the significance of abnormal after the dividend announcement event. The AAR on the event day
returns of individual announcements and of AARit around the remains negative as well as statistically insignificant but becomes
event window days as: positive on the next day and then shows a gradual increasing and
statistically significant trend for all the days in post-event window.
t = ARit/S.E.7 This shows that the dividend announcements generated a signal

68 International Journal of Economics and Financial Issues | Vol 6 • Issue 1 • 2016

 Chaudhary, et al.: Does Dividend Announcement Generate Market Signal? Evidence from Pakistan

Table 1: Sample companies, symbols and dividend announcement dates

Serial number Company Symbol Announcement date
1 Clariant Pakistan Ltd. CPL 01/02/2010
2 Fauji Fertilizer Bin Qasim Ltd. FFBL 26/01/2010
3 ICI Pakistan Ltd. ICI 18/02/2010
4 Pakistan Gum and Chemicals Ltd. PGCL 15/03/2010
5 National Refinery Ltd. NRL 30/09/2010
6 Oil and Gas Development Company Ltd. OGDC 12/08/2010
7 Pakistan Oilfields Ltd. POL 01/10/2010
8 Pakistan State Oil Company Ltd. PSO 06/08/2010
9 Abbott Laboratories (Pakistan) Ltd. ABOT 28/01/2010
10 GlaxoSmithKline Pakistan Ltd. GLAXO 04/03/2010
11 Sanofi Aventis Pakistan Ltd. SAPL 12/02/2010
12 Searle Pakistan Ltd. SEARL 29/09/2010
13 JDW Sugar Mills Ltd. JDWS 08/01/2010
14 Mitchell’s Fruit Farms Ltd. MFFL 04/01/2010
15 Bata Pakistan Ltd. BATA 18/02/2010
16 Al‑Ghazi Tractors Ltd. AGTL 16/02/2010
17 Pakistan Engineering Company Ltd. PECO 29/09/2010
18 Packages Ltd. PKGS 17/02/2010
19 Tri‑Pack Films Ltd. TRIPF 11/02/2010
20 Pakistan Tobacco Company Ltd. PAKT 12/03/2010
21 Lucky Cement Ltd. LUCK 10/08/2010
22 Exide Pakistan Ltd. EXIDE 29/06/2010
23 Pakistan Cables Ltd. PCAL 10/08/2010
24 Bank Alfalah Ltd. BAFL 15/03/2010
25 Habib Insurance Company Ltd. HICL 07/04/2010
26 IGI Insurance Ltd. IGIIL 17/02/2010
27 Security Papers Ltd. SEPL 29/07/2010
28 Noon Pakistan Ltd. NOPK 30/09/2010
29 Pangrio Sugar Mills Ltd. PNGRS 09/12/2010
30 Shahtaj Textile Ltd. STJT 28/09/2010

Table 2: Average abnormal returns, cumulative average abnormal returns and t‑test values around the event window
Pre‑event and event window days Post‑event window days
Day AAR CAAR t‑test Day AAR CAAR t‑test
−7 0.00807 0.00807 0.31933
−6 −0.00016 0.00791 −0.0062 1 0.02837 −0.2827 1.12287
−5 0.01192 0.01984 0.47187 2 0.05721 −0.2255 2.26385
−4 −0.13195 −0.1121 −5.2216 3 0.08993 −0.1356 3.5587
−3 −0.09477 −0.2069 −3.7505 4 0.12759 −0.008 5.04927
−2 −0.05852 −0.2654 −2.3158 5 0.16104 0.15304 6.37314
−1 −0.03315 −0.2985 −1.3119 6 0.19243 0.34547 7.61516
0 −0.01255 −0.3111 −0.4966 7 0.22176 0.56723 8.77596
AAR: Average abnormal return, CAAR: Cumulative average abnormal return

in the market and investors can be able to earn abnormal returns bonus issues, etc. The dividend announcement is considered as
through trading in stocks following the dividend announcement. the important news for the company shareholders and is expected
However, the dissemination of information is not much rapid as to have a change in their behavior towards company after such
it should be in an informationally efficient market. announcement. The reaction of shareholders may be positive,
negative or unchanged depending upon the nature of news
5. CONCLUSION and circumstances. Generally, it is believed that the dividend
increasing events are considered as the good news whereas the
The dividend irrelevance model of Miller and Modigliani (1961) dividend decreasing events are considered as the bad news and is
in which they argued that the dividend policy is irrelevant in accordingly reflected in stock prices/returns.
perfect capital markets while keeping the investment policy of
company fixed and efficient market hypothesis by Fama (1970) There are number of studies in this area with varying results.
in which he referred the stock price movements in response to The present study focused on the signaling effect of dividend
different type of information as the efficiency of market; opened announcements over a sample of 30 companies listed on KSE and
a room of research for both the academicians and professionals. are selected randomly from different sectors. The cash dividend
The main focus of studies in this area is to examine the reaction announcements of sample companies during calendar year 2010
pattern of stock market participants to different kind of news such is used as an event and the reaction of market participants to this
as dividend announcements, mergers and acquisitions, right issues, event is analyzed by applying the standard event methodology.

International Journal of Economics and Financial Issues | Vol 6 • Issue 1 • 2016 69

 Chaudhary, et al.: Does Dividend Announcement Generate Market Signal? Evidence from Pakistan

The event study methodology is related to the impact of different Financial and Strategic Decisions, 9(3), 15-26.
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Annexure 1: Abnormal returns around the event window
Companies Days around the event window
−7 −6 −5 −4 −3 −2 −1 0 1 2 3 4 5 6 7
CPL −0.00355 −0.00734 −0.00323 0.00189 0.00981 0.00839 0.02057 −0.04968 −0.01409 −0.00544 0.02676 0.02713 −0.00125 −0.01027 −0.02751
FFBL 0.01511 0.04040 −0.01892 −0.00126 0.00132 0.04853 0.02760 0.00454 −0.00919 0.00248 0.00402 0.01826 0.00579 −0.01539 −0.02424
ICI −0.00118 −0.00731 0.00055 −0.00512 −0.00111 −0.00768 −0.00548 −0.01587 −0.01204 −0.01087 −0.00280 0.00652 −0.00134 −0.00847 −0.01601
PGCL −0.00393 0.04813 −0.00495 −0.05874 0.05565 −0.04813 0.04378 −0.05331 −0.00243 −0.04854 −0.04126 −0.04097 0.01000 −0.00817 0.03595
NRL −0.00239 0.00708 −0.00454 −0.01854 0.01367 −0.00322 0.03190 −0.01498 −0.00012 0.00113 0.02170 0.02446 −0.00882 0.01134 0.02242
OGDC 0.00133 −0.00382 0.00645 0.00846 0.00123 −0.01733 −0.00303 −0.01189 −0.00262 −0.00044 0.00650 0.00548 0.00412 −0.00179 −0.00319
POL −0.00670 0.00328 0.00060 0.00295 −0.00168 0.00343 0.00157 −0.01182 0.01055 0.01043 0.00105 −0.00790 0.00673 −0.00205 0.01245
PSO −0.00552 0.00035 0.03851 −0.00893 0.00076 0.00788 −0.00742 −0.02980 −0.01984 0.02064 −0.00316 0.01364 0.00141 0.01053 −0.00854
ABOT −0.00054 −0.01369 0.04767 −0.02075 0.00858 −0.00910 −0.02146 −0.03857 −0.02491 0.00565 −0.00045 −0.00700 −0.01052 0.01147 −0.01467
GLAXO 0.00980 −0.03172 0.02549 −0.01268 −0.03572 −0.00452 −0.04118 −0.01659 0.00305 0.04191 0.03562 −0.00516 0.00553 −0.00416 0.00796
SAPL 0.04286 0.02990 0.04407 0.02499 0.01560 −0.00257 0.00048 0.02968 0.01898 −0.01976 −0.01368 0.00880 0.01824 −0.01125 −0.02117
SEARL 0.03398 −0.01723 0.00990 0.00671 −0.00222 −0.00920 0.01860 −0.02528 0.01192 −0.00121 0.00071 −0.00412 0.00704 0.00354 −0.00318
JDWS 0.00079 −0.01473 −0.00138 0.04603 0.03490 0.04197 −0.03189 −0.04334 −0.00974 −0.00914 −0.02090 −0.01010 −0.01176 0.00328 0.02858
MFFL −0.00104 0.03671 0.00097 −0.09236 0.00051 0.03705 −0.04802 −0.00653 −0.01594 −0.05261 −0.04760 −0.00719 0.02373 −0.01715 0.04872
BATA −0.01615 0.01896 −0.00281 −0.02880 0.02627 −0.00754 −0.02028 −0.01890 −0.06512 0.03414 −0.01187 0.00308 0.00038 −0.05113 −0.03125
AGTL 0.02594 −−0.01224 −0.00778 0.00093 −0.01097 0.03130 0.00901 −0.05093 −0.03128 0.00256 −0.02782 0.01208 −0.00602 −0.00435 0.01327
PECO −0.00159 −0.00066 0.00052 −0.00029 0.01545 0.04492 −0.05239 0.00407 0.01549 −0.00107 −0.00086 0.00254 −0.00088 −0.00209 −0.00297
PKGS 0.00410 −0.00434 0.00425 0.00221 0.00297 −0.01040 −0.01059 −0.01892 −0.00985 −0.01425 −0.02103 0.00016 −0.00072 −0.02201 −0.00883
TRIPF 0.00069 0.05088 0.01411 0.00599 −0.02248 −0.02749 0.04984 0.04323 0.03170 −0.03540 −0.01022 0.01304 −0.00446 0.05121 −0.02306
PAKT 0.02463 −0.01956 0.01220 0.00190 0.00668 −0.00120 0.02011 −0.01077 −0.02646 0.02867 0.02217 −0.01770 −0.02034 0.02975 −0.05249
LUCK −0.01042 0.00046 −0.00361 0.01858 −0.00261 −0.00967 −0.01145 0.00159 −0.00442 0.02720 0.03116 0.00678 0.00212 −0.00591 0.01531
EXIDE 0.03126 0.01145 0.00969 −0.02397 −0.02779 0.00889 −0.02338 0.01191 0.00308 0.00636 −0.00912 0.00422 0.00444 −0.02467 −0.00387
PCAL 0.01408 −0.01297 −0.03111 0.01695 −0.01304 0.03177 0.01734 −0.05637 0.03354 −0.04534 0.00759 −0.05737 0.04344 −0.03100 0.02901
BAFL 0.01543 −0.01358 −0.01494 0.02163 0.00656 −0.00439 −0.05877 0.03774 −0.01734 −0.00562 −0.01240 0.00233 0.00682 −0.00117 0.00786
HICL 0.02020 −0.01176 0.00076 −0.01190 0.00952 0.03742 0.04174 −0.06387 0.03025 −0.00697 −0.00686 0.00752 −0.00087 0.01600 0.00613
IGIIL 0.01494 0.04024 0.05116 −0.03267 −0.00127 −0.01067 −0.01492 −0.05816 −0.05392 −0.05325 −0.04651 −0.03894 −0.00338 0.03195 −0.00655
SEPL 0.04860 −0.00668 −0.02005 −0.00085 0.00167 0.02031 −0.01107 0.05619 0.03326 −0.02630 −0.00092 0.00417 −0.00872 0.00334 0.00851
NOPK −0.03684 −0.04536 0.05146 0.04945 0.00229 0.03991 0.05050 0.00311 −0.09153 −0.00244 −0.04776 −0.04835 −0.05173 0.00141 −0.04973
PNGRS −0.01529 −0.03409 0.09309 0.02713 −0.03607 0.00010 0.03091 −0.03807 0.05493 −0.03863 −0.04805 0.03858 −0.01969 0.00081 −0.05631
Chaudhary, et al.: Does Dividend Announcement Generate Market Signal? Evidence from Pakistan

STJT 0.04348 −0.03547 0.05960 −0.00926 0.00359 −0.00290 −0.03025 0.05260 0.04368 −0.03055 0.00368 0.00135 0.00306 0.01168 −0.00802
AAR 0.00807 −0.00016 0.01192 −0.13195 −0.09477 −0.05852 −0.03315 −0.01255 0.02837 0.05721 0.08993 0.12759 0.16104 0.19243 0.22176

International Journal of Economics and Financial Issues | Vol 6 • Issue 1 • 2016