Document Type
Journal Article
Publication Title
Risks
Volume
8
Issue
3
First Page
1
Last Page
14
Publisher
MDPI
School
School of Business and Law
RAS ID
32590
Funders
Sumitomo Foundation
Abstract
© 2020 by the authors. Licensee MDPI, Basel, Switzerland. This study examines the impact of stock splits on stock liquidity in Bursa Malaysia from 2004–2018. The study uses event study methodology and investigates liquidity changes, the role of liquidity, and the relationship between abnormal returns and liquidity as well. We found a significant liquidity improvement on the splits announcement, announcement of book closing date and split execution date (Ex-date), while it declined after the split Ex-date. The findings also indicate that firms with a low-level liquidity prior to split announcements experienced an increase in liquidity after Ex-date. Using panel data analysis, we find that the fixed effect model is more appropriate than the pooled OLS, and the abnormal announcement returns are driven by stock liquidity.
DOI
10.3390/risks8030085
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 License.
Comments
Tabibian, S. A., Zhang, Z., & Jafarian, M. (2020). How Does Split Announcement Affect Stock Liquidity? Evidence from Bursa Malaysia. Risks, 8(3), 85. https://doi.org/10.3390/risks8030085