Capital market efficiency is related to the speed and cost to obtain information related to portofolio decision. An efficient market does not provide any opportunity to beat the market and to gain abnormal profit. This study attempts to explore whether Indonesian capital market is efficient using stock split under an event study. A smi strong efficient market means that nobody has ability to exploit private information from public data such as stock split. If the market is not efficient, investors can beat the market by employing active investment style. This study indicates that active style may worthwhile to invest in Indonesian capital market.