Türkiye, Gelişmiş ve Gelişmekte Olan Avrupa Ülkelerinde Hisse Senedi Fiyat Oynaklığı ve Temettü Politikası

Abstract

This study aims to investigate the impact of dividend policy applied by companies in Europe on stocks. For this, an analysis of how dividend policy affects stock price volatility has been made on the basis of four effects proposed by Baskin (1989). These four main effects are; duration, arbitrage realization, rate of return and information effects. In this context, the sample of 1.221 companies in 11 developed and developing European countries is examined in the 2013-2017 period. Countries used in the study are; Turkey, Germany, Belgium, France, the Netherlands, England, Spain, Italy, Hungary, Poland and Greece. In order to estimate stock price volatility in the analysis, dividend yield and payout ratio are used as dividend policy proxies and firm size, firm growth rate, firm earnings volatility and firm debt ratio are used as control variables. In the study, multiple regression method was applied first, and panel regression has confirmed the results. The findings of the research support the findings of Baskin and reveal that there is an inverse relationship between dividend yield (DY) and dividend payout rates (PAYOUT) and price volatility (PV). However, according to the findings, the effect of dividend yield is more dominant. Thus, it is concluded that there are strong the duration and arbitrage realization effects and weak the rates of returns and information effects in the market. These results are also valid for sub-samples in developed and emerging countries and pre and post-crisis sub-samples. The findings of this study will be useful for all players on the market.