Does the Sharia-compliant Status Removal Announcement Matter? Liquidity, Trading Activities and Institutional Investors

IF 0.7 Q4 BUSINESS, FINANCE

Asian Academy of Management Journal of Accounting and Finance Pub Date : 2024-06-07 DOI:10.21315/aamjaf2024.20.1.8

Rozaimah Zainudin, Karren Lee-Hwei, Lee-Hwei Khaw

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引用次数: 0

Abstract

On 29th November 2013, the Security Commission Malaysia revised the Sharia-compliant screening policy and about 20% of the Sharia firms lost their certification for not meeting the additional criteria. Using 107 affected firms, we examine the removal announcement effect on the stocks’ liquidity and trading activities. Our analysis focuses only on the removal announcement due to the screening policy changes. We use 181 days event window for the short-term effect and multivariate panel estimation models for the long-term effect. The event study observes a decreasing trend for the liquidity measures, indicating a higher liquidity post-Sharia removal announcement among the affected stocks. Conversely, trading activities decrease substantially within the first few days post-event date before picking up gradually. The regression analysis confirms the results, but we do not find consistent results supporting the relationship between institutional investors and liquidity and trading activities. The study is among the pioneers to unfold the effect of Sharia-compliant status removal announcement due to the policy changes on the stock liquidity and trading activities within short and long-term perspectives. We also provide post-effect evidence on the change of the institutional investors due to the removal announcement on the liquidity and trading aspect.

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符合伊斯兰教法的地位取消公告重要吗？流动性、交易活动和机构投资者

2013 年 11 月 29 日，马来西亚安全委员会修订了符合伊斯兰教标准的筛选政策，约 20% 的伊斯兰教公司因不符合附加标准而失去认证。我们利用 107 家受影响的公司，研究了取消认证公告对股票流动性和交易活动的影响。我们的分析只关注因筛查政策变化而发布的取消认证公告。我们使用 181 天的事件窗口研究短期效应，使用多变量面板估计模型研究长期效应。事件研究观察到流动性指标呈下降趋势，表明受影响的股票在伊斯兰教教法取消公告发布后流动性较高。相反，交易活动在事件发生后的头几天内大幅减少，然后逐渐回升。回归分析证实了上述结果，但我们并没有发现支持机构投资者与流动性和交易活动之间关系的一致结果。本研究开创性地从短期和长期角度展开了政策变化导致的伊斯兰教法合规地位取消公告对股票流动性和交易活动的影响。我们还提供了机构投资者因取消声明对流动性和交易方面的影响而发生变化的后效应证据。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Asian Academy of Management Journal of Accounting and Finance BUSINESS, FINANCE-

CiteScore

1.50

自引率

0.00%

发文量

审稿时长

20 weeks

期刊介绍： To provide a forum for the exchange of ideas and dissemination of empirical findings and analytical research in the specialized areas of accounting and finance with special emphasis on scholarly works with policy implications for countries in the Asia Pacific. The following are some of the topical subject areas relevant to the journal (but are not limited to): Accounting • Financial reporting and accounting standards • Auditing issues • Value based accounting and its relevance • Theory of accounting firm • Environmental auditing • Corporate governance issues • Public sector accounting Finance • Valuation of financial assets • International capital flows • Ownership and agency theory • Stock market behavior • Investment and portfolio management • Islamic banking and finance • Microstructures of financial markets