Dividend Announcements and capital market efficiency : Evidence from the algerian stock market

The aim of the study is to examine the efficiency of the Algerian financial market by analyzing the reaction to dividend announcements between 2013 and 2022. Algeria represents a good example of small capital markets, with thin trading and rare events. To examine the market reaction, we modified the common approach to event study analysis by estimating abnormal returns based on monthly data. Our findings suggest that market information is distributed slowly and prices do not fully incorporate new information. These findings indicate that the financial market in Algeria does not satisfy the semi-strong form of market efficiency. The paper presents one of the first studies to investigate the efficiency of the Algerian financial market based on the response to dividend announcements.