Efficient market and signaling hypothesis on Vietnam Stock Exchange 2006-2009

Abstract

Efficient market and signaling hypothesis are interesting topics that have interested many researchers. This study tests the signaling theory of dividend announcements and examines the day of the week effect for the Vietnam Stock Exchange in the period of 2006-2009. The results indicate that the announcements of dividend payments have affected the stock prices. There is a partial of significantly abnormal return, although announcements do not provide solid information to the market. The results provide evidence on the day of the week effect. The market is not weak efficiency; the stock prices do not follow random. It may provide a possibility for arbitrage in this market.