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An investigation into the changes in price momentum after share ex-dividend dates
This paper examines changes in share price momentum by comparing the share price momentum before and after the ex-dividend date. The study was conducted using price data from shares comprising the Johannesburg Stock Exchange (JSE) Shareholder Weighted Top 40 Index on 30 June 2015. Share price moment...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2016
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| _version_ | 1867613256577712128 |
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| access_status_str | Open Access |
| author | Marais, Wynand |
| author2 | West, Darron |
| author_browse | Marais, Wynand West, Darron |
| author_facet | West, Darron Marais, Wynand |
| author_sort | Marais, Wynand |
| collection | Thesis |
| description | This paper examines changes in share price momentum by comparing the share price momentum before and after the ex-dividend date. The study was conducted using price data from shares comprising the Johannesburg Stock Exchange (JSE) Shareholder Weighted Top 40 Index on 30 June 2015. Share price momentum changes were considered over 10 business days, 21 business days and 90 business days before and after the ex-dividend date. The results of the study are as follows: The share price momentum tends to be positive before and after the ex-dividend date. On average, the share price momentum is positive more frequently before the ex-dividend date than afterwards. Comparing before and after ex-dividend date share price momentum, there was no statistically significant difference over 10 and 21 business days. When comparing before and after ex-dividend date share price momentum over 90 business days, a statistically significant difference exists. The reasons for the respective statistically significant and non-significant differences are speculative and are not addressed in this paper. These occurrences could be investigated as further areas of research. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/20729 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:15.376Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/20729 An investigation into the changes in price momentum after share ex-dividend dates Marais, Wynand West, Darron Finance and Tax This paper examines changes in share price momentum by comparing the share price momentum before and after the ex-dividend date. The study was conducted using price data from shares comprising the Johannesburg Stock Exchange (JSE) Shareholder Weighted Top 40 Index on 30 June 2015. Share price momentum changes were considered over 10 business days, 21 business days and 90 business days before and after the ex-dividend date. The results of the study are as follows: The share price momentum tends to be positive before and after the ex-dividend date. On average, the share price momentum is positive more frequently before the ex-dividend date than afterwards. Comparing before and after ex-dividend date share price momentum, there was no statistically significant difference over 10 and 21 business days. When comparing before and after ex-dividend date share price momentum over 90 business days, a statistically significant difference exists. The reasons for the respective statistically significant and non-significant differences are speculative and are not addressed in this paper. These occurrences could be investigated as further areas of research. 2016-07-25T11:37:28Z 2016-07-25T11:37:28Z 2016 Master Thesis Masters MCom http://hdl.handle.net/11427/20729 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Finance and Tax Marais, Wynand An investigation into the changes in price momentum after share ex-dividend dates |
| thesis_degree_str | Master's |
| title | An investigation into the changes in price momentum after share ex-dividend dates |
| title_full | An investigation into the changes in price momentum after share ex-dividend dates |
| title_fullStr | An investigation into the changes in price momentum after share ex-dividend dates |
| title_full_unstemmed | An investigation into the changes in price momentum after share ex-dividend dates |
| title_short | An investigation into the changes in price momentum after share ex-dividend dates |
| title_sort | investigation into the changes in price momentum after share ex dividend dates |
| topic | Finance and Tax |
| url | http://hdl.handle.net/11427/20729 |
| work_keys_str_mv | AT maraiswynand aninvestigationintothechangesinpricemomentumaftershareexdividenddates AT maraiswynand investigationintothechangesinpricemomentumaftershareexdividenddates |