The effects of stock split announcements on return and liquidity of stocks listed on Ho Chi Minh Stock Exchange

Abstract

The objective of this study is to measure effects of stock split announcements on return and liquidity
of stocks listed on Ho Chi Minh Stock Exchange (HOSE). Using event study methodology with the data set of
237 stock split events of 150 listed companies on HOSE during the period from 2015 to 2017, results derived
from statistical tests show that stock prices increase 0,59% in the trading day following the announcements
date of stock split. The increasing of stock prices lasts 10 days after announcements dates. In addition, this
study finds that the split annoucement has positive effects on the liquidity of stocks. Specifically, the trading
volume of stocks continuously increases during the studied period. Especially, it sharply increases in 2 trading
days after the announcement dates.