CORPORATE CRIME ANNOUNCEMENT EFFECTS ON STOCK PERFORMANCE: AN EMPIRICAL STUDY IN MALAYSIA

An in-depth investigation of the effects of announcement of corporate crime on firm performance focusing on stock market performance among public enterprises in malaysia has been conducted. a sample of 7 large, established public companies charged for committing corporate crime by securities commission from the period of 1999 to 2005 in malaysia were identified and examined. using the event-study methodology proposed by rao (1997), monthly average abnormal returns (aars) and cumulative average abnormal returns (caars) for the sample of 8 announcements of separate crimes ranging from 12 months prior to and 6 months after the announcement dates are determined. empirical result indicates that the stock market is informationally inefficient in malaysia and investors do react to announcement of corporate crime.