Causal Behavior of Dynamic Dividend Yield of Property Stock in Information Asymmetric Market: Evidence from South African Listed Property Stock Market

The paper investigates the dynamic behavior of the dividend yield of South African (SA) property stocks under an information asymmetric market. The vector error correction model (VECM) is used to analyze daily data on dividend yield and asymmetric market indicators including bid-ask spread, turnover, volatility index, weighted average price, and market size for the period of 2007-2017. We find that dividend payouts from the SA property stock market declined during the study period and reacted positively and sharply to shocks in the market spread. The VECM shows a statistically significant causal effect between the dynamic behavior of property stock and market spread. The market spread predicts the dynamic behavior of the dividend yield of SA property stocks in both the short and long run.