Stock market volatility during dividend announcement-A case of selected companies in construction industry in India Dr. Chitra V.1,, Dr. Hemalatha T.2 1Head & Associate Professor, Department of Management Studies, Rathinam College of Arts and Science, Coimbatore, India 2Head & Associate Professor, Dept. of Business Management, Rathinam College of Arts and Science, Coimbatore, India Online published on 13 February, 2018. Abstract The dividend is the cost of equity capital issued to equity shareholders. Dividend announcements are one of the most important events and the studies on stock market reaction to earnings information are included in the semi-strong form of Efficient Market Hypothesis (EMH). In this paper an attempt has been made to examine the share price volatility of the selected companies in Construction Industry in India. The empirical analysis has been done by using Generalised Autoregressive Conditional Heteroscedasticity (GARCH) model and GARMAN KLASS Model. It is based on daily data for the time period from January 1st 2005 to December 31st 2015. The analysis reveals that the mean of volatility is high during the pre-event period for the selected companies in Construction industry using GARCH Model and the mean of volatility is high during the post-event period for the selected companies in Construction industry using GARMAN KLASS Model in the Indian Capital market. Top Keywords GARCH, GARMAN KLASS Model, Stock Market Volatility, Construction Industry, Dividend Announcements. Top |