TESTING SEMI-STRONG EFFICIENCY OF INDIAN STOCK MARKET - A STUDY ON EFFECT OF UNION BUDGET 2012 ON SIX SELECT SECTORAL STOCKS
Keywords:
event study, semi-strong efficiency, regression, budget, stock market, event clusteringAbstract
In a semi-strong efficient market, the security prices reflect all publicly available information. Semi-strong efficiency says that an Investor cannot earn abnormal return with the knowledge of publicly available information. Immediately after the Budget speech by the Finance Minister, several reports crop up on the Internet, newspapers as well as on satellite TV channels including News and Business news channels. The reports appearing in these media construe the possible impact of the Budget on various industrial sectors. Does this publicly available information affect the security prices in the manner envisaged by the budget analysts’? What is the speed of adjustment of security prices to Budget announcements? Using regression-based event study methodology, we test the semi-strong efficiency of the Indian stock market. The results of our study show that there is a chance to make abnormal returns for the investor and that the impact of budget seems to be company- specific.
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