Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258038 
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 3 [Article No.:] 85 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-14
Publisher: 
MDPI, Basel
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.
Subjects: 
split announcement
stock liquidity
stock return
Bursa Malaysia
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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