Stock split rule changes and stock liquidity: Evidence from Bursa Malaysia

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 9 ; Pages: 1-16 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft
• Subject: Bursa Malaysia ; securities regulation ; stock liquidity ; stock split

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Tabibian, S. Amir ; Zhang, Zhaoyong ; Abdollah Ah Mand
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2021

Further information

• DOI: doi:10.3390/jrfm14090406
• Handle: http://hdl.handle.net/10419/258510
• Last update: 10.03.2025, 11:43 AM CET