Causal Behavior of Dynamic Dividend Yield of Property Stock in Information Asymmetric Market: Evidence from South African Listed Property Stock Market

Tosin B. Fateye; Oluwaseun D. Ajayi; Cyril A. Ajayi; Abel Olaleye; Richard B. Peiser

doi:10.53383/100392

Causal Behavior of Dynamic Dividend Yield of Property Stock in Information Asymmetric Market: Evidence from South African Listed Property Stock Market

Tosin B. Fateye, Oluwaseun D. Ajayi, Cyril A. Ajayi, Abel Olaleye, Richard B. Peiser

Finance and Investment Management

Research output: Contribution to journal › Article › peer-review

Abstract

The paper investigates the dynamic behavior of the dividend yield of South African (SA) property stocks under an information asymmetric market. The vector error correction model (VECM) is used to analyze daily data on dividend yield and asymmetric market indicators including bid-ask spread, turnover, volatility index, weighted average price, and market size for the period of 2007-2017. We find that dividend payouts from the SA property stock market declined during the study period and reacted positively and sharply to shocks in the market spread. The VECM shows a statistically significant causal effect between the dynamic behavior of property stock and market spread. The market spread predicts the dynamic behavior of the dividend yield of SA property stocks in both the short and long run.

Original language	English
Pages (from-to)	501-520
Number of pages	20
Journal	International Real Estate Review
Volume	27
Issue number	4
DOIs	https://doi.org/10.53383/100392
Publication status	Published - 1 Dec 2024

Keywords

Causal Behavior
Dividend Yield
Information Asymmetry
Property Stock

ASJC Scopus subject areas

Demography
Geography, Planning and Development
Accounting
Finance
Urban Studies
Economics and Econometrics

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10.53383/100392

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title = "Causal Behavior of Dynamic Dividend Yield of Property Stock in Information Asymmetric Market: Evidence from South African Listed Property Stock Market",

abstract = "The paper investigates the dynamic behavior of the dividend yield of South African (SA) property stocks under an information asymmetric market. The vector error correction model (VECM) is used to analyze daily data on dividend yield and asymmetric market indicators including bid-ask spread, turnover, volatility index, weighted average price, and market size for the period of 2007-2017. We find that dividend payouts from the SA property stock market declined during the study period and reacted positively and sharply to shocks in the market spread. The VECM shows a statistically significant causal effect between the dynamic behavior of property stock and market spread. The market spread predicts the dynamic behavior of the dividend yield of SA property stocks in both the short and long run.",

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AU - Ajayi, Cyril A.

AU - Olaleye, Abel

AU - Peiser, Richard B.

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N2 - The paper investigates the dynamic behavior of the dividend yield of South African (SA) property stocks under an information asymmetric market. The vector error correction model (VECM) is used to analyze daily data on dividend yield and asymmetric market indicators including bid-ask spread, turnover, volatility index, weighted average price, and market size for the period of 2007-2017. We find that dividend payouts from the SA property stock market declined during the study period and reacted positively and sharply to shocks in the market spread. The VECM shows a statistically significant causal effect between the dynamic behavior of property stock and market spread. The market spread predicts the dynamic behavior of the dividend yield of SA property stocks in both the short and long run.

AB - The paper investigates the dynamic behavior of the dividend yield of South African (SA) property stocks under an information asymmetric market. The vector error correction model (VECM) is used to analyze daily data on dividend yield and asymmetric market indicators including bid-ask spread, turnover, volatility index, weighted average price, and market size for the period of 2007-2017. We find that dividend payouts from the SA property stock market declined during the study period and reacted positively and sharply to shocks in the market spread. The VECM shows a statistically significant causal effect between the dynamic behavior of property stock and market spread. The market spread predicts the dynamic behavior of the dividend yield of SA property stocks in both the short and long run.

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KW - Property Stock

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Causal Behavior of Dynamic Dividend Yield of Property Stock in Information Asymmetric Market: Evidence from South African Listed Property Stock Market

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Keywords

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