TABLE OF CONTENTS

Title page       -           -           -           -           -           -           -           -           -           -           i

Declaration   -           -           -           -           -           -           -           -           -           -           ii

Certification  -           -           -           -           -           -           -           -           -           -           iii

Approval Page          -           -           -           -           -           -           -           -           -           iv

Dedication     -           -           -           -           -           -           -           -           -           -           v

Acknowledgement   -           -           -           -           -           -           -           -           -           vi

Table of contents     -           -           -           -           -           -           -           -           -           vii

Abstract         -           -           -           -           -           -           -           -           -           -           x

CHAPTER ONE:  INTRODUCTION

1.1             Background to the study     -           -           -           -           -           -           -           1

1.2       Statement of the Problem    -           -           -           -           -           -           -           4

1.3       Objective of the study                     -           -           -           -           -           -           7

1.4       Research hypotheses           -           -           -           -           -           -           -           8

1.5       Significance of the study    -           -           -           -           -           -           -           9

1.6       Scope of the study   -           -           -           -           -           -           -           -           10

CHAPTER TWO: LITERATURE REVIEW

2.1       Introduction  -           -           -           -           -           -           -           -           -           11

2.2       Concept of Dividend Policy           -           -           -           -           -           -           11

2.3       Concept of Share Price Volatility -           -           -           -           -           -           12

2.4       Concept of Financial Crisis            -           -           -           -           -           -           -           14

2.5       Empirical Studies on Dividend Policy and Share Price Volatility       -           15

2.6     Theoretical Framework        -           -           -           -           -           -           -           26

CHAPTER THREE: RESEARCH METHODOLOGY

3.1       Introduction  -           -           -           -           -           -           -           -           -           32

3.2       Research Design       -           -           -           -           -           -           -           -           32

3.3       Population and Sample Size of the Study            -           -           -           -           -           32

3.4       Sources and Method of Data Collection            -            -           -           -           -           33

3.5       Techniques of Data Analysis         -           -           -           -           -           -           34

3.6       Variable Measurements and Model Specification          -           -           -           34

CHAPTER FOUR: DATA PRESENTATION AND ANALYSIS

4.1       Introduction  -           -           -           -           -           -           -           -           -           37

4.2       Descriptive Statistics           -           -           -           -           -           -           -           37

4.3       Robustness Tests      -           -           -           -           -           -           -           -           40

4.4       Presentation of Regression Results and Hypotheses Testing    -           -           43

4.5       Test of Hypotheses  -           -           -           -           -           -           -           -           46

4.6       Major findings of the study            -           -           --         --         -           -           -           51

CHAPTER FIVE: SUMMARY, CONCLUSION AND RECOMMENDATIONS

5.1       Summary       -           -           -           -           -           -           -           -           -           53

5.2       Conclusion    -           -           -           -           -           -           -           -           -           54

5.3       Recommendations - -           -           -           -           -           -           -           -           55

            REFERENCES          -           -           -           -           -           -           -           -           57

ABSTRACT

This work focused on effect of dividend policy on share price volatility of listed deposit money banks in Nigeria is to determine the effect of dividend policy on share price volatility. The data of the study is in panel form because many firms over a number of years were studied due to the nature of the study which is quantitative that is situated in positivism In order to achieve the objectives of this study, the data were first analysed using Ordinary Least Square (OLS) method of estimation but if the data failed to meet the assumptions of OLS then the data was exposed to Generalized Least Square (GLS) method of estimation where fixed and random effect were estimated. Hausman test was conducted to choose between fixed and random effect.  Multiple regression technique was employed on the panel data of the study. Gujarati and Porter (2009) justified the usage of multiple regression technique as adequate. The study has provided evidence on the effect of dividend payout ratio, dividend yield and firm size on share price volatility of listed DMBs in Nigeria. Therefore, in line with the findings and the conclusion of the study, the study recommends that there is need for the management of Deposit Money Banks in Nigeria to optimize their dividend payout ratio so that the share price volatility of the banks will be reduced as it was revealed that dividend payout ratio negatively affect the share price volatility of Deposit Money Banks in Nigeria.

CHAPTER ONE

 INTRODUCTION

1.2             Background to the study

Investment, financing and dividend policies are the main corporate finance decisions that organisations have to make (Damodaran, 2010). Dividend policy has been one of the most debated subjects in finance. Dividend decision is one of the major functional decision areas of a financial manager. Dividend is the return on investment to the shareholders who have stake in the business of a firm (Kurfi, 2003). Profit oriented businesses are established with prime intention of making profit. Part of the profit may be retained in the business for the expansion and the remaining part may be distributed to the shareholders in form of dividend. Dividend is that portion of a company’s net earnings which the directors recommend to be distributed to shareholders mostly in the proportion of their shareholdings in the company (Pandey, 2005).

Generally, dividend puts disposable income in the hands of shareholders. The dilemma is whether the management of a firm should distribute cash to shareholders or reserves the cash to finance new investments. The dividend policy decisions of firms are the primary element of corporate policy. Persistent crash in the market price of shares has become a major concern to investors and financial analysts all over the country and the world in general. Some Financial analysts attribute the crash to the firm’s non-payment of dividends which according to them made investors lose interest in trading on stocks. According to them, the objective of a firm is the maximization of shareholders wealth and once investors could not get the value of their investment, they tend to divert their funds to other investment opportunities that could yield them immediate returns. Others are of the opinion that payment of dividend has no significant influence in the determination of market prices of shares (Ordu, Ekekwe & Anyanwaokoro 2014).

Dividend payment is a major component of stock return to shareholders, and dividend payment provides a signal for a good prospect of a firm and that it complies with good corporate governance practices. The volatility of share price on the other hand is the systematic risk faced by investors who possess ordinary shares investment (Guo, 2002). Investors are by nature risk averse, and the volatility of their investment is of importance to them because it is a measure of the level of risk they are exposed to (Lashgari & Ahmadi, 2014) .Dividend payment is an issue of concern to the shareholders. Shareholders of any business expect their investment to earn a return that rewards them for bearing risk. The level of reward is expected to commensurate with the perceived riskiness of the investment (Edward, 2014).  Dividend is used as a mechanism for financial signaling to outsiders regarding stability and growth prospect.

Volatility is the rate of change in the price of a security over a given time period and, consequently, the greater the volatility the greater the risk of substantial gain or loss. If a stock is labeled as volatile, it is more difficult to forecast what the company’s future share price will be. Likewise, many investors prefer stocks that support more predictable earnings and therefore carry less risk (Profilet & Bacon 2013). Intervening variables such as financial crises have been examined by prior researchers such as Dafe (2014) and

---