THE IMPACT OF DIVIDEND POLICY ON STOCK PRICE VOLATILITY IN THE TEHRAN STOCK EXCHANGE

Abstract

The main purpose of this study is to examine the impact of dividend policy on share price volatility
in Tehran Stock Exchange. The numbers of statistic community are 470 companies in Tehran Stock
Exchange. We select 51 companies from these statistic communities during 2007 to 2012 by
restricting the companies that meet some Criteria for doing the research. In this study to evaluate
the changes in stock used Parkinson's stock price volatility. The statistical model used was
multivariable regression model and for testing compound data (panel) were used. Before analyzing
the data, Unit root test, Chaw test and Hausman test for Stationary tests of the variables, Select
panel data in pooling data and the fixed effects model was chosen. Then the fixed effects model to
test the research hypotheses. The result indicated at the error level on 5%, Dividend payout ratio has
a significantly negative effect on stock price volatility and asset growth rate has a significantly
positive effect on stock price volatility. Also variables leverage, earning volatility and company size
on stock price volatility is not significant effect.