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The effect on stock price inclusion or exclusion from the FTSE4good Bursa Malaysia

Mohd Sabri, Heidi Maryssa and Mohd Nasarudin, Ahmad Fawwaz and Azrai Azaimi Ambrose, Azniza Hartini (2022) The effect on stock price inclusion or exclusion from the FTSE4good Bursa Malaysia. Management and Accounting Review, 21 (3). pp. 91-110. ISSN 2600-7975 E-ISSN 2550-1895

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The fight for sustainability in finance is a conundrum that divides opinions among market participants. Given its potential hefty increase in the cost of operation, there is a perception that a sustainable investment could slow down financial returns. This leads one to wonder how market participants will respond to sustainable-related announcements. To address the issue, this study investigated the sensitivity of investors towards the Environmental, Social, and Governance (ESG) movement in Malaysia by examining the announcement effect of inclusion or exclusion of a firm from the FTSE4Good Bursa Malaysia Index by employing an event study analysis. Our findings indicated that investors are sensitive to both announcements, but stock price adjusts faster towards deletion announcements compared to inclusion announcements from the index. This study enriches the literature on semi-strong market efficiency although slight evidence suggests possible overreaction and momentum trading. The study also showed that Malaysian investors are sensitive to ESG announcements, as the inclusion (exclusion) of stock is met with positive (negative) effects on returns.

Item Type: Article (Journal)
Uncontrolled Keywords: Announcement Effect, ESG Stocks, FTSE4Good, Efficient Market
Subjects: H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button): Kulliyyah of Economics and Management Sciences > Department of Finance
Kulliyyah of Economics and Management Sciences
Depositing User: Dr Ahmad Fawwaz Mohd Nasarudin
Date Deposited: 07 Dec 2022 16:01
Last Modified: 07 Dec 2022 16:01
URI: http://irep.iium.edu.my/id/eprint/101730

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