Stock Split Rule Changes and Stock Liquidity: Evidence from Bursa Malaysia

S. Amir Tabibian, Zhaoyong Zhang and Abdollah Ah Mand
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S. Amir Tabibian: School of Business and Law, Edith Cowan University, Joondalup, WA 6027, Australia
Abdollah Ah Mand: Department of Economics and Finance, Sunway University, Bandar Sunway, Selangor 47500, Malaysia

JRFM, 2021, vol. 14, issue 9, 1-15

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.

Keywords: stock split; stock liquidity; securities regulation; Bursa Malaysia (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2021
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