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...

One of the leading criticisms of the Efficient Market Hypothesis (EMH) is the presence of so-called "anomalies", i.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do not take into account transaction costs. Their...

One of the leading criticisms of the Efficient Market Hypothesis (EMH) is the presence of so-called “anomalies”, i.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do not take into account transaction costs. Their...