The Anomaly of 28 Days Between the Ex-Dividend and Payment Dates in Taiwanese Stock Markets

Abstract

The goal of this paper is to provide new evidence on how the zero-interest rate policy implemented by the Bank of Japan has affected the sensitivity of money demand with respect to the opportunity cost of holding money. To the empirical ends of the analysis, the study makes use of the univariate conditional autoregressive value-at-risk (CAViaR) estimator to obtain robust quantile measures.The empirical findings document that the sensitivity of money demand with respect to the opportunity cost of holding money has significantly increased after the 1994 period. The results remain robust across quantile measures.

The puzzle of 16 days between the ex-dividend and payment dates

“…In the Taiwan market, the average waiting period is 32 days. Taiwanese firms tend to go exdividend on Thursdays and pay cash on Fridays (Liu and Yeats, 2015). From the perspective of corporate liquidity management, it is reasonable for a dividend-paying firm to tend to pay the cash on Fridays.…”