Stock split announcement and return volatility: Evidence from Malaysia
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This study examines the impact of stock split announcement on stock return volatility in Bursa Malaysia during 2004-2014. The study uses event study methodology and investigates interaction relationships between various control variables. We found significantly positive abnormal returns on both splits announcement and announcement of book closing date, while they are insignificant on the splits execution date and circular-day. The finding indicates a stronger market reaction to the split announcement and execution date in the third period (2010-2014) compared to the first (2004-2006) and second (2007-2009) period. Also, the significant and positive abnormal return on the Ex-date in the third period demonstrates the effective role of securities regulation changes and improvement. We also found a significantly positive abnormal announcement return for the sub-samples, implying that from investors' viewpoint the stock splits in Bursa Malaysia is good news.
Abstract
This study examines the impact of stock split announcement on stock return volatility in Bursa Malaysia during 2004-2014. The study uses event study methodology and investigates interaction relationships between various control variables. We found significantly positive abnormal returns on both splits announcement and announcement of book closing date, while they are insignificant on the splits execution date and circular-day. The finding indicates a stronger market reaction to the split announcement and execution date in the third period (2010-2014) compared to the first (2004-2006) and second (2007-2009) period. Also, the significant and positive abnormal return on the Ex-date in the third period demonstrates the effective role of securities regulation changes and improvement. We also found a significantly positive abnormal announcement return for the sub-samples, implying that from investors' viewpoint the stock splits in Bursa Malaysia is good news.
참고문헌 (26)
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