A split happens when part of the network follows incompatible rules after a hard-fork and neither side backs down. Both chains carry identical history up to the split block, then diverge forever.
Markets usually price a split well before it happens, and badly. The minority chain typically trades at a small fraction of the original, liquidity is thin on both sides for days, and exchanges may halt deposits, meaning you cannot move coins when you most want to.
Traders should also plan for replay-attack risk, where a transaction broadcast on one chain is valid on the other. Wait for exchanges to confirm replay protection before moving anything post-split.