The Ex-Dividend Day Stock Price Behavior in the Chinese Stock Market

24 Pages Posted: 15 Jun 2002

See all articles by Nickolaos G. Travlos

Nickolaos G. Travlos

University of Surrey; ALBA Graduate Business School

Nikolaos T. Milonas

National and Kapodistrian University of Athens - Faculty of Economics; Cardiff University Business School

Jason Zezhong Xiao

Cardiff Business School, Cardiff University

Cunkai Tan

Cardiff University - Cardiff Business School

Date Written: April 17, 2002

Abstract

This paper analyzes the ex-dividend day stock price behavior in the Chinese stock market. This market, where dividends could be either taxable or non-taxable, allows us to examine the impact of tax effects while keeping any microstructure factors constant. The findings from non-taxable stocks show that their price, on the ex-dividend day, falls by an amount that equals the dividend. For the taxable sample, stock prices of small dividend yield stocks drop proportionally to the dividend paid. For the large dividend yield stocks, the price adjustment depends on the effective tax rate on dividend income. The overall findings are consistent with the tax hypothesis.

Keywords: Dividends; Ex-dividend day; Dividend puzzle

JEL Classification: G12; G35

Suggested Citation

Travlos, Nickolaos G. and Milonas, Nikolaos T. and Xiao, Jason Zezhong and Tan, Cunkai, The Ex-Dividend Day Stock Price Behavior in the Chinese Stock Market (April 17, 2002). EFMA 2002 LONDON MEETINGS. Available at SSRN: https://ssrn.com/abstract=314881 or http://dx.doi.org/10.2139/ssrn.314881

Nickolaos G. Travlos (Contact Author)

University of Surrey ( email )

Guildford
Guildford, Surrey GU2 5XH
United Kingdom

ALBA Graduate Business School ( email )

Athinas Ave. & 2A Areos Str.
Vouliagmeni 166 71, Athens
Greece

HOME PAGE: http://www.alba.edu.gr

Nikolaos T. Milonas

National and Kapodistrian University of Athens - Faculty of Economics ( email )

8 Pesmazoglou street
GR-10559 Athens
Greece

Cardiff University Business School

Aberconway Building
Colum Drive
Cardiff, CF10 3EU
United Kingdom

Jason Zezhong Xiao

Cardiff Business School, Cardiff University ( email )

Aberconway building
Colum Drive
Cardiff, CF10 3EU
United Kingdom

Cunkai Tan

Cardiff University - Cardiff Business School ( email )

Aberconway Building
Colum Drive
Cardiff, CF10 3EU
United Kingdom

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