This research is conducted to investigate the impact levels of dividend policy on stock prices variation in the case of the stock exchange of an emerging country - Vietnam. Data were collected from 248 listed firms on the Vietnamese stock market for the period from 2014 to 2017. By employing ordinary least squares (OLS) and quantile regression (QR), we found that there is a negative relationship between dividend policy and variation of stock prices. Some variables including income variation, long term liabilities and growth have positive relationships with stock price variation whereas firm size has no impact on it. We also found that firms using low dividend yields influence stock prices variation in a clearer way. The results of this study are important for management in emerging countries, and in this case Vietnam, to have a proper dividend policy because dividend policy is crucial information for stakeholders to make economic decisions.