ABSTRACT:- A stock is the evidence of ownership in investment in buying stocks which are expected to get capital gain. One of the attempts of the investor to get stocks or investment is by using corporation act, stock split since its stock price is affordable. The stock split is that minimal stock values are split into small ones. The purpose of the stock split is to increase stock liquidity although a company which does a stock split, its stocks do not always undergo positive effect. Some stocks even become strong after stock split although some others undergo significant weakness. The objective of this research was to find out the differences in company’s stock return in the pre and post stock split and to find out the accurate strategy of making an investment toward companies which did a stock split. The research used empirical study and applied the practice in the capital market on event study. The population was 17 companies. The result of the research on companies which did the stock split in 2017 showed that 14 companies had fulfilled the criteria as the samples. It was found that stock split did not indicate a significant difference in stock liquidity in the pre and post stock split. Stock return and abnormal stock return did not have any significant difference in pre and post stocksplit, either in each company or in the portfolio.

Keywords:- Stock Splits, Stock Return, Stock Liquidity