The main purpose of this paper is to apply Johansen's vector error-correction model (VECM) to investigate the existence of the dividend signalling effect in the Singapore aggregate market through impulse response analysis, forecast error variance decomposition and Granger-causality test. Our...

This paper applies Johansen’s vector error-correction model (VECM) to investigate for the existence of the dividend signalling effect in the Singapore aggregate market through impulse response analysis, forecast error variance decomposition and granger-causality test. Our findings show that a...