Stock Price Behaviour Around Ex-Dividend Date: A Malaysian Case

Abstract

The paper examines the stock price behaviour around ex-dividend days. The data offers an opportunity to illuminate the dividend and tax question practises tax imputation system as opposed to the double taxation by other countries. suggests that stock prices decline by about 71.5% of the full amount was ex-dividend days. This result implies that the marginal tax bracket investors is about 28.5% evidence indicates that clientele effect exists in Malaysia, a situation to Singapore. Empirical results suggest that the clientele effect is of inverse as reported in the U.S. evidence shows that stock prices do not adjust fully to the stock dividend go ex-dividend. In fact, results point out that stock dividend creates value an arbitrager can expect to make profit when stock goes ex-dividend.