Abstract
This study aims to ascertain and compare factors influencing stock price volatility in terms of dividend policy, macroeconomic and company specific aspects for selected subset of listed banks in Bangladesh. Eleven years of secondary data (from 2011 to 2021) for fifteen commercial banks (representing 61.5% market capitalization of the banking sector) was acquired from diverse sources. The dependent variable chosen is stock price volatility, whereas the dividend policy is initially represented by dividend payout ratio (PRt & PRt-1), dividend yield (DYt & DYt-1). Several firm and country-specific macroeconomic indicators are used as control variables. A methodical approach followed by panel data analysis has been employed to identify a suitable model that can yield more accurate estimators. Consequently, some diagnostic tests are also performed to account for diagnosed problems: contemporaneous cross-sectional correlation, group-wise heteroskedasticity and autocorrelation; Driscoll-Kraay standard error regression model is finally applied. The study not only found significant negative impact of dividend payout ratio but also spotted a significant influence of inflation, EPS, and firm size on stock price volatility. Price volatility influenced by “No dividend policy” can be reinvestigated from the aspect of behavioral finance in the future. Furthermore, this study also sheds light on to what extent firm-specific and macroeconomic influence impact stock price volatility in Bangladesh's banking sector.
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More From: Jahangirnagar University Journal of Business Research
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