Dividend signals, market imperfections and speculative bubble dynamics in an emerging market: Empirical evidence from the Moroccan stock market

This study examines the relationship between dividend policy and speculative dynamics in an emerging stock market. Using a balanced panel of 33 firms listed on the Casablanca Stock Exchange over 2003–2025, the analysis combines GSADF/BSADF procedures with econometric models of three dimensions: entry into an explosive state, speculative intensity, and exit from that state. Dividend policy is measured by the dividend-payment decision, Payout ratio, and Dividend Yield. The results reveal no systematic and robust association between these three measures and any of the speculative dimensions examined. This conclusion remains broadly unchanged when dividend variables are lagged, alternative definitions of the intensity indicator are considered, its dynamics are accounted for, and the GSADF/BSADF specification is varied. Accordingly, none of the three hypotheses receives robust empirical support. Although dividends may retain informational, disciplinary, or shareholder-remuneration functions, they do not, on their own, constitute a sufficiently stable determinant of speculative dynamics. Given the annual data and the constructed nature of the intensity indicator, the results should be interpreted as conditional associations rather than causal effects. The study contributes to bridging the literature on dividend policy with research on speculative behavior in emerging markets.