The effect on stock price of inclusion in or exclusion from FTSE4GOOD Bursa Malaysia

Abstract

The purpose of this study is to test the sensitivity of investors towards the Environmental, Social, and Governance movement in Malaysia towards the announcement of inclusion in or exclusion from FTSE4Good Bursa Malaysia. The data were sourced from the firms’ historical prices and public announcements by Bursa Malaysia. This study adopted an event study methodology research approach as it examined the announcement of inclusion in and exclusion from the FTSE4Good Bursa Malaysia. The findings indicate that investors are more sensitive towards deletion announcements compared to inclusion announcements from the index. This study makes a modest contribution to knowledge by suggesting a framework to understand corporate ESG investment practice in FTSE4Good Bursa Malaysia listed firms based on the study’s findings and a review of the literature. Arising from this framework, suggestions are made for further research to use the latest data and compare the progress of FTSE4Good Bursa Malaysia with other FTSE4Good Indices in other emerging countries to find the loophole in our journey towards sustainability. KEY CONCEPTS: Announcement Effect, ESG Stocks, FTSE4Good