Document Type
Journal Article
Publication Title
Journal of Risk and Financial Management
Publisher
MDPI
School
School of Business and Law
RAS ID
39725
Funders
Sumitomo Foundation
Abstract
We test the impact of stock split rule changes on liquidity behavior in Bursa Malaysia during 2004–2020. Using event study methodology, this study examines stock liquidity on and around stock split days through three subperiods of study, including the first (2004–2006), second (2007–2009), and third (2010–2020) period. We find that liquidity improvement is short-lived in the first and second periods, while it is a long-lived phenomenon in the third period. Firms in the first and second period experienced liquidity improvement only on the split announcement day, while it lasts up to a year after the Ex-date for firms in the third period. Our findings also show a liquidity improvement after the Ex-date only in the third period for the groups of firms categorized based on the liquidity, split factor, and other simultaneous announcements. The findings suggest a positive effect of stock split rule changes implemented by the Securities Commission.
DOI
10.3390/jrfm14090406
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 License.
Comments
Tabibian, S. A., Zhang, Z., & Ah Mand, A. (2021). Stock split rule changes and stock liquidity: Evidence from Bursa Malaysia. Journal of Risk and Financial Management, 14(9), article 406. https://doi.org/10.3390/jrfm14090406