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.

Document Type

Journal Article

Date of Publication

9-1-2020

Volume

8

Issue

3

Publication Title

Risks

Publisher

MDPI

School

School of Business and Law

RAS ID

32590

Funders

Sumitomo Foundation

Creative Commons License

Creative Commons Attribution 4.0 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

First Page

1

Last Page

14

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Link to publisher version (DOI)

10.3390/risks8030085