Stock returns volatility around sector redefinition: an event case study of Malaysia listed companies

Zuriadah Ismail

Abstract

The paper aimed to examine the stock returns performance around sectors redefinition by Bursa Malaysia and how its impact on shareholders' return. The study uses a standard of event study methodology on three listed companies which previously under the sector of trading and services, and now they are classified under utilities (TNB), telecommunications and media (Maxis) and consumer products and services (Genting). From the analysis, main finding shows that shareholders' return experienced a loss by 10% during the period of 31 days. When an event study analysis was extended to different event windows, negative CARs were observed with all values were insignificant. The results suggest that the shareholders returns were influenced by information release, however, the probability of leak information before an official announcement could dedicate to the result.

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