Asymmetrical Response of Stock Prices to Changes in Dividends, Empirical Analysis Based on Shenzhen and Shanghai Stock Markets
This paper decomposes the stock price into a permanent component and a temporary component, and empirically analyzes the asymmetrical response of the Shanghai and Shenzhen stock market price changes to the dividend. The results show that: The response of stock price in Shenzhen and Shanghai stock markets to dividends is asymmetric, in line with the assumption of incomplete information theory. There are significant differences in the response to changes in dividend history between Shenzhen and Shanghai stock markets. The empirical analysis from the perspective of asymmetric impact response provides a new way of thinking about the systematic risk of capital market. The dynamic reaction process of stock price shocks to dividends highlights the importance of regulators guiding listed companies to enhance the continuity, rationality and transparency of cash dividends.
