This research explored an impact of stock splits on the Stock Exchange of Thailand during the period of 2002 to 2009 by examining the changes of trading activity, liquidity and information asymmetry during both stock split announcement date and effective date. It was found that stock split announcements signals good news to the investors. Almost all measures of liquidity indicated increasing liquidity after stock splits. These results are consistent with both signaling hypothesis and trading range hypothesis which are frequently used to explain stock splits. However, one of illiquidity measure which is price impact ratio (return to turnover ratio) has had a significantly positive change after splits. Liquidity evidence of price impact ratio opposes the other evidences of the liquidity improvement. Moreover, information asymmetry evidences were mildly decreased after splits. This research also implies the benefits of stock split news and liquidity improvement of stocks which could have impact on investor’s investment strategy.

Thesis (M.Sc.)--Chulalongkorn University, 2012