This study aims to identify market reactions in the days around the implementation of stock split seen from stock liquidity (trading volumeactivity and bid-ask spread)and abnormal return. Identification is done by looking at the difference in average value of trading volume activity, bid-ask spread and abnormal return five days before with five days after the corporate action stock split. The population in this study was a public company that conducted stock split corporate action in the period 2015 to 2019. Sample selection is done purposive sampling with the criteria of samples of companies going public that conduct stock split corporate action and do not perform other corporate actions in the vicinity of the observation period. In addition, the shares are actively traded on IDX and the data is available during the observation period. The observation period in this study is 5 days before the stock split event up to 5 days after the stock split event. From the results of this study, it was found that there is no difference in stock liquidity measured using trading volume activity (TVA) and bid-ask spreads before and after the event stock split corporate action. There is an abnormal difference in return before and after the stock split corporate action event. The abnormal return difference occurs in a negative direction after a stock split event.

Keywords : Stock Split, Liquidity, Trading Volume Activity (TVA), Bid-Ask Spread, Abnormal Return.