Title: How do ETF splits impact return and liquidity in India? Unveiling the effects through event study

Authors: Chanchal Saini; Ishwar Sharma; Bhawana Verma

Addresses: Department of Commerce, Indira Gandhi University, Meerpur, Rewari, Haryana, India ' Department of Commerce, Indira Gandhi University, Meerpur, Rewari, Haryana, India ' Department of Commerce, Indira Gandhi University, Meerpur, Rewari, Haryana, India

Abstract: The split event in exchange-traded funds is a relatively new phenomenon for an emerging economy like India. We investigate how split events impact the performance of Indian equity and gold ETFs in terms of returns and liquidity. We have used the standard event study methodology and the Wilcoxon signed-rank test. For the robustness of the result, we have used four different event windows, i.e., 61 days, 41 days, 21 days, and 11 days, including the event day. In the Indian context, investors consider split events a positive outlook. However, subsequent negative reactions indicate an overreaction of the market. Additionally, there is no evidence of any enhancement in liquidity. The results are helpful for short-term investors, suggesting they should clear their long positions on the split's ex-date as returns become negative after the ex-date. Moreover, they can hold a short position in ETFs about five days after the split.

Keywords: ETFs performance; liquidity; split event; event study; exchange-traded funds; India.

DOI: 10.1504/IJICBM.2026.152300

International Journal of Indian Culture and Business Management, 2026 Vol.37 No.3, pp.300 - 315

Received: 29 Dec 2023
Accepted: 07 Jan 2024
Published online: 16 Mar 2026 *

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