How Does Split Announcement Affect Stock Liquidity? Evidence from Bursa Malaysia

S. Amir Tabibian, Zhaoyong Zhang and Mohsen Jafarian
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S. Amir Tabibian: School of Business and Law, Edith Cowan University, Joondalup WA 6027, Australia
Mohsen Jafarian: Faculty of Business and Management, UCSI University, 56000 Cheras, Kuala Lumpur, Malaysia

Risks, 2020, vol. 8, issue 3, 1-14

Abstract: 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.

Keywords: split announcement; stock liquidity; stock return; Bursa Malaysia (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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