The effects of stock split announcements on the stock returns in Bursa Malaysia

This study investigated the presence of abnormal returns surrounding stock split announcements and the determinants of cumulative abnormal return and the split factor. This study utilized the financial data of 45 corporations that had exercised stock splits on Bursa Malaysia from the years 2011 to 2...

Full description

Bibliographic Details
Main Authors:	Chin, Chun How, Wong, Hock Tsen
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2019
Online Access:	http://journalarticle.ukm.my/14117/ http://journalarticle.ukm.my/14117/ http://journalarticle.ukm.my/14117/1/jeko_53%282%29-4.pdf

id	ukm-14117
recordtype	eprints
spelling	ukm-141172020-02-06T13:35:54Z http://journalarticle.ukm.my/14117/ The effects of stock split announcements on the stock returns in Bursa Malaysia Chin, Chun How Wong, Hock Tsen This study investigated the presence of abnormal returns surrounding stock split announcements and the determinants of cumulative abnormal return and the split factor. This study utilized the financial data of 45 corporations that had exercised stock splits on Bursa Malaysia from the years 2011 to 2015. The dependent variables were cumulative abnormal return for 40 days, cumulative abnormal return for 60 days, and the split factor. The independent variables, dividends per share and earnings per share, represent the signalling hypothesis for the stocks in Malaysia, while the bid-ask spread and the trading volume represent the liquidity hypothesis and the market capitalization, respectively. The significance of abnormal returns surrounding stock split announcements was tested using standardized t-statistics. The determinants of cumulative abnormal return and the split factor were determined based on Ordinary Least-Squares (OLS) multivariate regression and Stepwise Least-Squares. The empirical results show that there was a statistically significant positive abnormal return on day 1 [+1] after the stock split announcements. Dividend per share was found to have a statistically significant relationship with the cumulative abnormal return; thus supporting the signalling hypothesis. Bid-ask spread and trading volume were the main determinants of cumulative abnormal return, supporting the liquidity hypothesis under a different estimation window. Bid-ask spread was the only important determinant for the split factor. The results of this study could help investors and policymakers to design policies to improve the overall market efficiency in Malaysia, particularly to increase the effectiveness of information disclosure regarding Malaysian stocks. Penerbit Universiti Kebangsaan Malaysia 2019 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/14117/1/jeko_53%282%29-4.pdf Chin, Chun How and Wong, Hock Tsen (2019) The effects of stock split announcements on the stock returns in Bursa Malaysia. Jurnal Ekonomi Malaysia, 53 (2). pp. 1-14. ISSN 0127-1962 http://www.ukm.my/fep/jem/content/2019-2.html
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	This study investigated the presence of abnormal returns surrounding stock split announcements and the determinants of cumulative abnormal return and the split factor. This study utilized the financial data of 45 corporations that had exercised stock splits on Bursa Malaysia from the years 2011 to 2015. The dependent variables were cumulative abnormal return for 40 days, cumulative abnormal return for 60 days, and the split factor. The independent variables, dividends per share and earnings per share, represent the signalling hypothesis for the stocks in Malaysia, while the bid-ask spread and the trading volume represent the liquidity hypothesis and the market capitalization, respectively. The significance of abnormal returns surrounding stock split announcements was tested using standardized t-statistics. The determinants of cumulative abnormal return and the split factor were determined based on Ordinary Least-Squares (OLS) multivariate regression and Stepwise Least-Squares. The empirical results show that there was a statistically significant positive abnormal return on day 1 [+1] after the stock split announcements. Dividend per share was found to have a statistically significant relationship with the cumulative abnormal return; thus supporting the signalling hypothesis. Bid-ask spread and trading volume were the main determinants of cumulative abnormal return, supporting the liquidity hypothesis under a different estimation window. Bid-ask spread was the only important determinant for the split factor. The results of this study could help investors and policymakers to design policies to improve the overall market efficiency in Malaysia, particularly to increase the effectiveness of information disclosure regarding Malaysian stocks.
format	Article
author	Chin, Chun How Wong, Hock Tsen
spellingShingle	Chin, Chun How Wong, Hock Tsen The effects of stock split announcements on the stock returns in Bursa Malaysia
author_facet	Chin, Chun How Wong, Hock Tsen
author_sort	Chin, Chun How
title	The effects of stock split announcements on the stock returns in Bursa Malaysia
title_short	The effects of stock split announcements on the stock returns in Bursa Malaysia
title_full	The effects of stock split announcements on the stock returns in Bursa Malaysia
title_fullStr	The effects of stock split announcements on the stock returns in Bursa Malaysia
title_full_unstemmed	The effects of stock split announcements on the stock returns in Bursa Malaysia
title_sort	effects of stock split announcements on the stock returns in bursa malaysia
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2019
url	http://journalarticle.ukm.my/14117/ http://journalarticle.ukm.my/14117/ http://journalarticle.ukm.my/14117/1/jeko_53%282%29-4.pdf
first_indexed	2023-09-18T20:06:23Z
last_indexed	2023-09-18T20:06:23Z
_version_	1777407186029248512

The effects of stock split announcements on the stock returns in Bursa Malaysia

Similar Items