Keywords
sectoral indices
Market efficiency
Union Budget
How to Cite
Abstract
The present empirical study examined the market efficiency within the context of sectoral reactions surrounding Union Budget Announcements. The researcher aimed to assess how quickly and efficiently sectoral indices adjust to new information presented in the Union Budget. For the study, daily closing prices of sectoral indices were observed to test the Efficient Market Hypothesis. A 15 days event window had been employed to calculate the abnormal returns of the selected index around budget announcements and to assess the level of significance, t-test was applied. The study found that the majority of event days exhibit abnormal returns lacking statistical significance, aligning with the principles of semi-strong form efficiency. This research uniquely focused on assessing market efficiency specifically during the Union Budget announcement. Additionally, existing studies analysing stock market reactions have predominantly centred on main market indicators, lacking a comprehensive examination of sectoral responses. This study fills a gap by providing a more in-depth analysis of sector-specific reactions to the Union Budget.
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