1.

According to the Efficient Market Hypothesis (EMH), an operationally efficient stock market is expected to be externally and informationally efficient; th s !sec rity prices at any point in time are an nbiased reflection of all the a"ailable information# on the sec rity$s expected f t re cash flo%s and the risk in"ol"ed in o%ning s ch a sec rity (&eilly and 'ro%n ())*+ ,-). . ch a market pro"ides acc rate signals for reso rce allocation as market prices represent each sec rity$s intrinsic %orth. Market prices can at times de"iate from the sec rities$ tr e "al e, b t these de"iations are completely random and ncorrelated. .o rce+ mabh n thesis 1.REACTION OF THE STOCK MARKET TO UNION BUDGET AND MONETARY POLICY ANNOUNCEMENTS Anil Soni DAV Institut o! En"in #in" $n% T &'nolo"( )$l$n%'$# E*+$il, soni-s'$+il$.($'oo.&o+ ABSTRACT this paper sets to examine the impact of the announcement of union budget and monetary policy on the stock market. The time period covered is 10 years i.e. from the year 2000-2009. All the union budgets presented and monetary policy announcements of this period have been considered. The !" #0 share index !ensex has been taken as the indicator of the reaction of the stock market. $ogarithmic daily returns have been calculated for the entire period. Average returns have been calculated during the next and previous three% fifteen and thirty days around the announcements of union budget and monetary policy. &aired t-tests are carried out among different periods during announcement days. '-tests are also carried out to compare the last #0 days returns (ith next three fifteen and thirty days . The findings of the paper are that the union budget and monetary policy announcements have no impact on the stock market in the long run. )o(ever% in the short run impact may be either (ay i.e. positive as (ell as negative. *ey +ords, !ensex% -onetary policy% .nion budget% /olatility and trading days /nternational 0o rnal of 1rade, Economics and 2inance, 3ol.1, 4o.5, 6ecember, ()1) ()1)7)(*8 (.1esting .emi7.trong 2orm of Efficient Market Hypothesis in &elation to the /mpact of 2oreign /nstit tional /n"estors$ (2//$s) /n"estments on /ndian 9apital Market :rof. A.; <han and .ana /kram Abstract=1his paper tests the efficiency of the /ndian 9apital Market in its semi7strong form of Efficient Market Hypothesis (EMH). 1he efficiency is tested in relation to the impact of 2oreign /nstit tional /n"estors (2//$s) largely on the /ndian 9apital Market. 2or the p rpose, t%o ma>or stock indices "i?; 4ational .tock Exchange (4.E) and 'ombay .tock Exchange ('.E) that represent the /ndian 9apital Market ha"e been taken. Monthly a"erages of 4.E @ '.E and Monthly 2//$s net in"estment ha"e taken o"er the period 1 st April ())) to *)th April ()1) in order to test the efficiency of /ndian 9apital Market. <arl7:earsons$ :rod ct Moment 9orrelation 9oefficient (.imple 9orrelation) and linear regression eA ations ha"e been sed to analy?e and determine the degree and direction of the relationship bet%een the "ariables in"ol"ed. 1he res lts s ggest that the 2//$s do ha"e significant impact on /ndian 9apital Market, %hich leads to the concl sion that /ndian 9apital Market is semi7strong form efficient. 70o rnalofArts, .cience @ 9ommerce B E7/..4 (((C75DED /..4 ((*1751-( *.1E.1/4F .EM/7.1&G4F E22/9/E49H G2 /46/A4 .1G9< MA&<E1 7 A .1I6H G4 E22E91 G2 I4/G4 'I6FE1 ()1( G4 ./8 .EJE91 .E91G&AJ .1G9<.

3ishal < tch , Associate :rofessor Am>ad Ali <han 9ollege of ' siness Administration Mo nt :leasant, 'an>ara Hills, Hyderabad, /ndia A'.1&A91 /n a semi7strong efficient market, the sec rity prices reflect all p blicly a"ailable information. .emi7strong efficiency says that an /n"estor cannot earn abnormal ret rn %ith the kno%ledge of p blicly a"ailable information. /mmediately after the ' dget speech by the 2inance Minister, se"eral reports crop p on the /nternet, ne%spapers as %ell as on satellite 13 channels incl ding 4e%s and ' siness ne%s channels. 1he reports appearing in these media constr e the possible impact of the ' dget on "ario s ind strial sectors. 6oes this p blicly a"ailable information affect the sec rity prices in the manner en"isaged by the b dget analysts$K Lhat is the speed of ad> stment of sec rity prices to ' dget anno ncementsK Ising regression7based e"ent st dy methodology, %e test the semi7strong efficiency of the /ndian stock market. 1he res lts of o r st dy sho% that there is a chance to make abnormal ret rns for the in"estor and that the impact of b dget seems to be company7 specific. <ey%ords+ e"ent st dy, semi7strong efficiency, regression, b dget, stock market, e"ent cl stering. /nternational &efereed &esearch 0o rnal B %%%.researchers%orld.com B 3ol.M ///, /ss eM*((),0 ly. ()1(N-5O 5. /n"estment :erformance of 9ommon .tocks in &elation of their :rice7earnings ratios+ A 1est of the Efficient Market Hypothesis 1he 0o rnal of 2inance 3ol. 888// 4o.* 0 ne 1C--

/. Multi0l 1 nts $n% 2 $lt' &# $tion In In%i$, An +0i#i&$l $n$l(sis B( R$3 s' Ku+$# B1 4 As'o5 Y M6 A7st#$&t, 1his st dy examines the impact of media anno ncement of different e"ents on the stock market. 1he foc s is on the same gro p of companies making anno ncement of different e"ents at different period of time. 1his st dy foc ses on the same set of companies %hich has been in"ol"ed in different e"ents at different period of time. 1he sample firms in"ol"ed for st dying the different e"ents separately may be different. ' t here the denominator %ill be the same set of

companies in"ol"ed in different e"ents Hence the st dy aims to nderstand on an empirical basis, %hich e"ents ha"e led to maxim m %ealth creation in the stock market for the companies nder st dy. 1he e"ents incl ded in the st dy are media anno ncement of mergers, takeo"ers, p blic iss e, di"idends, bon s iss e and rights iss e. 1he sample of 1)) firms %ere in"ol"ed in minim m three7e"ent anno ncement d ring the 1)7year period of 1CCC7())E Gn a comparati"e basis, the res lts s ggest that di"idend anno ncements res lted in maxim m %ealth creation among all the e"ents st died. 1here ha"e been positi"e c m lati"e abnormal ret rns effect %ith statistical significance for all the time %indo%s in the case of di"idend anno ncement. E"ents like p blic iss e and takeo"er anno ncement also doc mented positi"e c m lati"e abnormal ret rns %ith statistical significance in some of the time %indo% period. .G"er all stock market reaction to anno ncement of e"ents like bon s iss e, mergers, and right iss e %as negati"e. 1he st dy doc mented negati"e c m lati"e abnormal ret rns ret rns in different time %indo% period for bon s iss e and rights iss e. .imilarly except for the three day time %indo% of 71 to P1, merger anno ncement also had negati"e c m lati"e abnormal ret rns. 1his st dy co ld be of rele"ance for managers in the context of importance of different e"ents to%ards the ob>ecti"e of %ealth maximi?ation. 1he A estion of %hich e"ent %ill lead to appreciation of the stock %ealth and "al e creation co ld be of m ch importance for in"estors to p rs e their strategies for greater %ealth creation. .o rce+ /nternational 0o rnal of 9omp ter .cience /ss es 3ol me 1), /ss e ,, 4o (, .eptember ()1* /..4 (Gnline)+ 1DC57)-E5 /..4 (:rint)+ 1DC57)E15 /09./ :I'J/9A1/G4 8. THE )OURNAL OF FINANCE 9 VOL. :::V; NO. 1 9 MARCH 1<=> T' ?ou#n$1 o! FINANCE VOL. :::V MARCH 1<=> No. 1 @u$#t #l( Di1i% n% $n% E$#nin"s Announ& + nts $n% Sto&5'ol% #sA R tu#ns, An E+0i#i&$l An$l(sis )OSEPH AHARONY $n% ITBHAK SCARY9 Int#o%u&tion ASSUMING THAT MANAGERS POSSESS insi% in!o#+$tion $7out t' i# !i#+sA !utu# 0#os0 &ts; t' ( +$( us 1$#ious si"n$lin" % 1i& s to &on1 ( t'is in!o#+$tion to t' 0u7li&. T2o o! t' +ost i+0o#t$nt si"n$lin" % 1i& s $1$il$7l $# $#nin"s $n% %i1i% n% !i"u# s. T' Din!o#+$tion &ont nt o! %i1i% n%sD '(0ot' sis $ss #ts t'$t +$n$" #s us &$s' %i1i% n% $nnoun& + nts to si"n$l &'$n" s in t' i# E0 &t$tions $7out !utu# 0#os0 &ts o! t' !i#+.A Sin& %i1i% n% % &isions $# $l+ost sol l( $t +$n$" + ntAs %is&# tion;6 $nnoun& + nts o! %i1i% n% &'$n" s s'oul% 0#o1i% l ss $+7i"uous in!o#+$tion si"n$ls t'$n $#nin"s nu+7 #s. Fu#*t' #+o# ; "i1 n t' %is&# t n$tu# o! %i1i% n% $%3ust+ nts; si"n$ls t#$ns+itt % 7( t' s &'$n" s +$( 1 n 0#o1i% in!o#+$tion 7 (on% t'$t &on1 ( % 7( t' &o## s0on%in" $#nin"sn u+7 #s.I ! %i1i% n%s;t ' n; %o &on1 ( us !ul in!o#+$tion; in $n !!i&i nt &$0it$l +$#5 t t'is 2ill 7 # !l &t % in sto&5 0#i& &'$n" s i++ %i$t l( !ollo2in" $ 0u7li& $nnoun& + nt. It is; t' # !o# ; $n +0i#i&$l Fu stion 2' t' # %i1i% n% in!o#+$tion &ont nt is us !ul to &$0it$l +$#5 t 0$#ti&*i0$nts. A +$3o# %i!!i&ult( in $ss ssin" %i1i% n% in!o#+$tion &ont nt li s in t' !$&t t'$t %i1i% n% $n% $#nin"s $nnoun& + nts o!t n $# &los l( s(n&'#oniG %. T'us; on '$s !i#st to $% Fu$t l( i% nti!( in!o#+$tion # !l &t % in 7ot' $#nin"s $n% %i1i% n%s $n% t' n &onsi% # t' # +$in% # o! t' in!o#+$tion &on1 ( % 7( %i1i% n% $nnoun& + nts. 9 L &tu# #;G #$%u$t S &'ool o! Busin ss A%+inist#$tion; T l A1i1 Uni1 #sit(;I s#$ l; $n% Visitin" Assist$nt P#o! sso#; No#t' C$#olin$ St$t Uni1 #sit( $t R$l i"'; $n% t' ) #us$l + S&'ool o! Busin ss A%+inist#$tion; T' H 7# 2 Uni1 #sit(;$ n% t' B$n5 o! Is#$ l; ) #us$l +;I s#$ l;# s0 &ti1 l(.T ' $ut'o#s t'$n5 P#o! sso# Yo#$+ P l s o! t' ) #us$l + S&'ool o! Busin ss A%+inist#$tion $n% $n $non(+ous # ! # !o# ' l0!ul &o++ nts. An( # +$inin" ##o#s $# ; o! &ou#s ; ou#s. C

$lso t'$n5 D#. D$n P$l+on o! N 2 Yo#5 Uni1 #sit( !o# 0#o1i%in" so+ %$t$ $n% Ms. H$##i t M&L$u"'lin o! No#t' C$#olin$S t$t Uni1 #sit(! o# 1 #( Et nsi1 0#o"#$n++in"&o +0ut$tions. H.M$#5 t R $&tion to Sto&5 S0lits, E1i% n& !#o+ In%i$ 9D#. Yo" s' C )os'i; 99Miss. F$l"uni H. P$n%($ A7st#$&t &esearch in I. and other E ropean co ntries doc ments that there is a significant positi"e abnormal ret rn obser"ed %ith stock split. /n this paper it has been attempted to st dy stock market reaction pertaining to stock split exec tion. 1he analysis carried o t by taking 1E) s ch firms %here stock7split inc rred d ring year ())- to ()1( indicates that there is no positi"e abnormal ret rn on the exec tion day, ho%e"er > st t%o days before the exec tion day, significant positi"e abnormal ret rn is recorded. Moreo"er contrary to e"idence fo nd in foreign co ntries, there is no positi"e abnormal ret rn on post exec tion of stock split and also after anno ncement to exec tion day. 1h s, the analysis carried o t from "ario s points of "ie% indicates that stock split does not ha"e any positi"e impact on %ealth of the share holders VolI issu 1; A0ot' osis, Ti#0u% Js N$tion$l )ou#n$l o! Busin ss R s $#&' KTN)BRL issn 6?1<*//H8 E.1esting .emi7.trong 2orm of Efficient Market Hypothesis in &elation to the /mpact of 2oreign /nstit tional /n"estors$ (2//$s) /n"estments on /ndian 9apital Market :rof. A.; <han and .ana /kram /nternational 0o rnal of 1rade, Economics and 2inance, 3ol.1, 4o.5, 6ecember, ()1) ()1)7)(*8*-* AbstractMT'is 0$0 # t sts t' !!i&i n&( o! t' In%i$n C$0it$l M$#5 t in its s +i*st#on" !o#+ o! E!!i&i nt M$#5 t H(0ot' sis KEMHL. T' !!i&i n&( is t st % in # l$tion to t' i+0$&t o! Fo# i"n Institution$l In1 sto#s KFIIJsL l$#" l( on t' In%i$n C$0it$l M$#5 t. Fo# t' 0u#0os ; t2o +$3o# sto&5 in%i& s 1iGN N$tion$l Sto&5 EE&'$n" KNSEL $n% Bo+7$( Sto&5 EE&'$n" KBSEL t'$t # 0# s nt t' In%i$n C$0it$l M$#5 t '$1 7 n t$5 n. Mont'l( $1 #$" s o! NSE 4 BSE $n% Mont'l( FIIJs n t in1 st+ nt '$1 t$5 n o1 # t' 0 #io% 1st A0#il 6>>> to ?>t' A0#il 6>1> in o#% # to t st t' !!i&i n&( o! In%i$n C$0it$l M$#5 t. K$#l* P $#sonsJ P#o%u&t Mo+ nt Co## l$tion Co !!i&i nt KSi+0l Co## l$tionL $n% lin $# # "# ssion Fu$tions '$1 7 n us % to $n$l(G $n% % t #+in t' % "# $n% %i# &tion o! t' # l$tions'i0 7 t2 n t' 1$#i$7l s in1ol1 %. T' # sults su"" st t'$t t' FIIJs %o '$1 si"ni!i&$nt i+0$&t on In%i$n C$0it$l M$#5 t; 2'i&' l $%s to t' &on&lusion t'$t In%i$n C$0it$l M$#5 t is s +i*st#on" !o#+ !!i&i nt. Index TermsMMarket Efficiency, EMH, NSE, BSE, FII C /nt. 0 Jatest 1rends 2in. Eco. .c. 3ol me ( /ss e ( 0 ne, ()1( 1,, 1esting the Efficiency of /ndian .tock Market 3is7Q73is Merger and AcA isitions 7 A .t dy of /ndian 'anking .ector A?eem Ahmad khanR1, .ana /kramS( 011epartment of commerce%Aligarh -uslim .niversity Aligarh%.ttar&radesh%2ndia-202002

1a?eemgc-)11Tgmail.com 32 1epartment of commerce%Aligarh -uslim .niversity Aligarh%.ttar&radesh%2ndia-202002 (aromaU())ETrediffmail.com Abstract-T' T' o73 &ti1 o! t' 0# s nt stu%( is to t st t' !!i&i n&( o! t' In%i$n Sto&5 M$#5 t 2it' # s0 &t to t' $nnoun& + nt o! M #" #s $n% A&Fuisitions KM4AsL in t' In%i$n B$n5in" S &to# 7( +0lo(in" t' St$n%$#% Ris5 A%3ust % E1 nt Stu%( M t'o%olo"(. In o#% # to $n$l(G t' !! &ts o! t' $nnoun& + nts o! B$n5Js M #" # $n% A&Fuisitions on Sto&5 P#i& Js Ris5 A%3ust % R$t o! R tu#n usin" 8 # & nt + #" #s $s o! 61st )$n 6>>? to 1<t' M$( 6>><. All t' $&Fui#in" 7$n5s $# it' # t#$% % on t' SENSE:; BSE 6>> o# BSE 1>>. T' t'# !o#+s o! E!!i&i nt M$#5 t H(0ot' sis KEMHL i. .; 2 $5; s +i*st#on" $n% st#on" !o#+ o! EMH $# 7 in" t st % un% # t'is stu%( in o#% # to t st t' in1 sto#Js $7ilit( to $#n 0ositi1 $7no#+$l # tu#n on t' + #" # $nnoun& + nt. S0 &i!i&$ll(; S +i*st#on" !o#+ o! EMH is 7 in" t st % in t'is stu%( to $n$l(G 'o2 Fui&5l( t' +$#5 t # $&ts to t' n 2 in!o#+$tion; E0lo#in" t' i% $ o! $n in1 sto#Js $7ilit( to $#n $n $7no#+$l # tu#n $"$inst t' +$#5 t. E1i% n& ' # su00o#ts t' !!i&i n&( o! t' +$#5 t in its s +i*st#on" !o#+ o! EMH 7( $&& 0tin" 7ot' t' null '(0ot' s s. It is o7s #1 % t'$t n it' # 7 !o# no# $!t # t' + #" # $nnoun& + nt in1 sto#s $# $7l to $#n $7no#+$lO E& ss # tu#n. Key Words, -arket "fficiency% "fficient -arket 1>.T' V$lu$tion E!! &ts o! Sto&5 S0lits $n% Sto&5 Di1i% n%s Mark .. Frinblatt, &onald L. Mas lis and .heridan 1itman S Ini"ersity of 9alifornia at Jos Angeles 0 ly 1CE5 2orthcoming+ 0o rnal of 2inancial Economics 1* (1CE5) 5D175C A7st#$&t, 1his st dy presents e"idence %hich indicates that stock prices, on a"erage, react positi"ely to stock di"idend and stock split anno ncements that are ncontaminated by other contemporaneo s firm7specific anno ncements. /n addition, it doc ments significantly positi"e excess ret rns on and aro nd the ex7dates of stock di"idends and splits. 'oth anno ncement and ex7date ret rns %ere fo nd to be larger for stock di"idends than for stock splits. Lhile the anno ncement ret rns cannot be explained by forecasts of imminent increases in cash di"idends, the paper offers se"eral signalling based explanations for them. 1hese are consistent %ith a crosssectional analysis of the anno ncement period ret rns.S 11./n"estment Management and 2inancial /nno"ations, 3ol me *, /ss e *, ())D MERGER ANNOUNCEMENTS AND INSIDER TRADING ACTIVITY IN INDIA, AN EMPIRICAL INVESTIGATION Manish Agar%al, Harminder .ingh1 A7st#$&t /nsider trading acti"ity is in"estigated prior to merger anno ncement in /ndian capital market. An attempt is made to check it o t %hether trading takes place on the basis of asymmetric and pri"ate information. 2or examining the beha"io r of stock prices a modified market model is sed to estimate the parameters for the estimation %indo%. 1hese estimates are sed to comp te a"erage ret rn and c m lati"e a"erage ret rns for the e"ent %indo%, %hich are meas res of abnormal ret rns. 'esides price r n7 ps, it is also common to see n s ally high le"els of share trading "ol me before p blic anno ncement of merger. 6aily trading "ol me pattern of the target companies is also in"estigated. 1he analysis carried o t in this st dy is based on a sample of 5( companies for %hich merger anno ncement date %as anno nced d ring the period of 1CCD71CCC.

'ased on the analysis for each company indi"id ally, %e recommend in"estigation in six companies for existence of possible insider trading. 11.THE MARKET EFFICIENCY HYPOTHESIS AND THE BEHAVIOUR OF STOCK RETURNS ON THE )SE SECURITIES E:CHANGE &HG6E. I4/3E&./1H, MIND MABHUNU 0an ary ())5 ABSTRACT Lhile the Efficient Market Hypothesis (EHM) has been %idely accepted as rob st by many researchers in the field of capital markets, the hypothesis$ rob stness has been nder increased scr tiny and A estion lately. /n the light of the concerns o"er the rob stness of the EMH, the %eak form efficiency of the 0.E is tested. .tock ret rns sed in the analysis %ere controlled for thin trading and it %as disco"ered that once ret rns are controlled for thin trading, they are independent of each other across time. .ome of the pre"io s st dies fo nd the 0.E to be inefficient in the %eak form b t this research fo nd that the 0.E is efficient in the %eak form. A comparison is also made bet%een the 0.E and fo r other African stock markets and the 0.E is fo nd to be more efficient than the other markets. 1he de"elopments on the 0.E, %hich ha"e impro"ed information dissemination as %ell as the efficiency of trading, contrib ted to the impro"ement of the 0.E$s efficiency. 1he impro"ement in operational efficiency and t rno"er from the late 1CC)s has also made a ma>or contrib tion to the impro"ement in the %eak form efficiency of the 0.E. 1heory proposes that if markets are efficient then professional in"estment management is of little "al e if any; hence the position of professional in"estment managers in efficient markets is in"estigated. Altho gh the 0.E is fo nd to be efficient, at least in the %eak form, it is arg ed that achie"ing efficiency does not necessarily make the in"estment manager$s role obsolete. /n"estment managers are needed e"en %hen the market can be pro"ed to be efficient. 1(. Internationa B!siness " Economics #esearc$ %o!rna & Marc$ '(() *o !me +, N!mber , ,Leak 2orm Efficiency /n /ndian .tock Markets &akesh F pta, (E7mail+ r.g ptaTcA .ed .a ), 9entral ; eensland Ini"ersity, A stralia :arikshit <. 'as , (E7mail+ pbas Tcs .ed .a ), 9harles .t rt Ini"ersity, A stralia ABSTRACT )ypothesis of -arket "fficiency is an important concept for the investors (ho (ish to hold internationally diversified portfolios. +ith increased movement of investments across international boundaries o(ing to the integration of (orld economies% the understanding of efficiency of the emerging markets is also gaining greater importance. 2n this paper (e test the (eak form efficiency in the frame(ork of random (alk hypothesis for the t(o ma4or e5uity markets in 2ndia for the period 1991 to 2006. The evidence suggests that the series do not follo( random (alk model and there is an evidence of autocorrelation in both markets re4ecting the (eak form efficiency hypothesis 1*. 1he Efficient Market Hypothesis and /ts 9ritics by ' rton F. Malkiel, :rinceton Ini"ersity 9E:. Lorking :aper 4o. C1 April ())* /Abstract &e"ol tions often spa%n co nterre"ol tions and the efficient market hypothesis in finance is no exception. 1he intellect al dominance of the efficient7market re"ol tion has more been challenged by economists %ho stress psychological and beha"ioral elements of stock7price determination and by econometricians %ho arg e that stock ret rns are,

to a considerable extent, predictable. 1his s r"ey examines the attacks on the efficient7market hypothesis and the relationship bet%een predictability and efficiency. / concl de that o r stock markets are more efficient and less predictable than many recent academic papers %o ld ha"e s belie"e. 1I. /9G;M71) 0 ne (E7*), ()11 ((C T stin" C $5 Fo#+ Sto&5 M$#5 t E!!i&i n&( on Bo+7$( Sto&5 EE&'$n" o! In%i$ Utt$+ S$0$t !ttambsa-ate.indiraicem/ac/in Indira 0o e1e of En1ineerin1 " Mana1ement, 2!ne V$l % Ans$#i 3a eedin.ya$oo/com A i1ar$ M!s im 4ni3ersity, A i1ar$ 1he %eak form of market efficiency hypothesis (EMH) states that the stock prices reflect all the past information making technical analysis f tile and abnormal profits cannot be made by st dying the past @ present stockprices to predict f t re stock prices. Gn ()) secondary shares of '.E forming part of '.E M ()) index sing daily closing prices for ten years, %eak form market efficiency is tested tili?ing A tocorrelation analysis, J> ng M 'ox ; (J';) statistics and & ns test. 1he res lts signify that trading strategies based on historic prices cannot be sed to gain abnormal profits consistently. 1,. 99.E /nternational 0o rnal of ' siness and Management 3ol.5, 4o.*, Mar ())* Efficiency Hypothesis of the .tock Markets+ A 9ase of /ndian .ec rities Fagan 6eep .harma (9orresponding a thor) 6epartment of Management .t dies ''.' Engineering 9ollege 2atehgarh .ahib, : n>ab, /ndia 1el+ C17CC1,7(**7-*5 E7mail+ angrishgaganTgmail.com Mandeep Mahendr 6epartment of Management .t dies Fian 0yoti /nstit te of Management @ 1echnology Mohali, : n>ab, /ndia 1el+ C17CE-(7ECD7,)5 E7mail+ mandeep1(CTrediffmail.com A7st#$&t 1he paper attempts to in"estigate the "alidity of the Efficient Market Hypothesis on the /ndian .ec rities Market. /nitially, the paper disc sses the definitions and types of the EMH, as also the literat re a"ailable on the same. 1aking a sample of ele"en sec rities listed on the 'ombay .tock Exchange ('.E), the oldest stock exchange of Asia, %e apply the r ns tests and the a tocorrelation tests in order to > dge the efficiency of the .tock Markets. 1he A tocorrelation test %hen directly applied to share prices gi"es conflicting res lts %ith & ns test and th s, making it diffic lt to reach a definite concl sion. 1hen, the a tocorrelation test is applied to first differenced series, %hich gi"es satisfactory res lts./n a n tshell, it is obser"ed that the effect of stock prices for the sample companies on f t re prices is "ery meager and an in"estor cannot reap profits by sing the share price data as the c rrent share prices already reflect the effect of past share prices. 18. 66 No1 +7 # 6>>? E!! &t o! Di1i% n% Announ& + nt on S'$# 'ol% #sJ V$lu , E1i% n& !#o+ D'$5$ Sto&5 EE&'$n" Md. Hamid IddinS Abstract

Academic literature suggests that dividend payments should have no impact on shareholders value in the absence of taxes and market imperfections. )ence% companies should invest excess funds in the positive net present value pro4ects instead of paying out them to the shareholders. $iterature also suggests that market valuation of stocks depends on the expected future dividends. 2f company pays out all of the earnings% funds for future investment (ill decrease and dividend may not increase in the future. -oreover% (hen dividend is taxable% paying out more cash (ould increase the shareholders tax liability. 1espite these theoretical arguments for not paying dividends% companies often pay cash dividends to their shareholders possibly to signal information about the future earnings prospects. 7ur empirical results based on 1#8 samples of dividend paying companies listed on 1haka !tock "xchange% sho(ed that investors do not gain value from dividend announcement. 2ndeed shareholders lost about 20 percent of value over a period of #0 days prior to the dividend announcement through to #0 days after the announcement. The lost value may be partially compensated because of the current dividend yield. 7verall% the evidence tends to support the dividend irrelevancy hypothesis. "vidence also indicates that dividend payment does not signal any information to the investors% (hich needs to be further investigated. 1H. E!!i&i n&( H(0ot' sis o! t' Sto&5 M$#5 ts, A C$s o! In%i$n S &u#iti s G$"$n D 0 S'$#+$ KCo## s0on%in" $ut'o#L D 0$#t+ nt o! M$n$" + nt Stu%i s BBSB En"in #in" Coll " F$t '"$#' S$'i7; Pun3$7; In%i$ T l, <1*<<1/*6??*H?I E*+$il, $n"#is'"$"$n."+$il.&o+ M$n% 0 M$' n%#u D 0$#t+ nt o! M$n$" + nt Stu%i s Gi$n )(oti Institut o! M$n$" + nt 4 T &'nolo"( Mo'$li; Pun3$7; In%i$ T l, <1*<=H6*=<8*/>I E*+$il, +$n% 016<.# %i!!+$il.&o+ A7st#$&t T' 0$0 # $tt +0ts to in1 sti"$t t' 1$li%it( o! t' E!!i&i nt M$#5 t H(0ot' sis on t' In%i$n S &u#iti s M$#5 t. Initi$ll(; t' 0$0 # %is&uss s t' % !initions $n% t(0 s o! t' EMH; $s $lso t' lit #$tu# $1$il$7l on t' s$+ . T$5in" $ s$+0l o! l 1 n s &u#iti s list % on t' Bo+7$( Sto&5 EE&'$n" KBSEL; t' ol% st sto&5 E&'$n" o! Asi$; 2 $00l( t' #uns t sts $n% t' $uto&o## l$tion t sts in o#% # to 3u%" t' !!i&i n&( o! t' Sto&5 M$#5 ts. T' Auto&o## l$tion t st 2' n %i# &tl( $00li % to s'$# 0#i& s "i1 s &on!li&tin" # sults 2it' Runs t st $n% t'us; +$5in" it %i!!i&ult to # $&' $ % !init &on&lusion. T' n; t' $uto&o## l$tion t st is $00li % to !i#st %i!! # n& % s #i s; 2'i&' "i1 s s$tis!$&to#( # sults. In $ nuts' ll; it is o7s #1 % t'$t t' !! &t o! sto&5 0#i& s !o# t' s$+0l &o+0$ni s on !utu# 0#i& s is 1 #( + $" # $n% $n in1 sto# &$nnot # $0 0#o!its 7( usin" t' s'$# 0#i& %$t$ $s t' &u## nt s'$# 0#i& s $l# $%( # !l &t t' !! &t o! 0$st s'$# 0#i& s.

1=. S'$# P#i& $n% T#$%in" Volu+ R $&tion on Bonus Issu In!o#+$tion 9 R +($ R$+$&'$n%#$n R 1i 2 o! Lit #$tu# &amachandra (1CE,) analysed the impact of anno ncement of the iss e of bon s shares and the res lts indicate that the market corroborates the information and the price of share %as determined after taking into acco nt all a"ailable information. &ao and Feetha(1CCD) estimated c m lati"e abnormal ret rn of D.*1 percent aro nd the three days of the anno ncement of bon s. 1his pro"es that the capital market is not inherently a semi7strong form of EMH. 'arnes and Ma (())1) analysed stock price reaction to bon s iss e for 9hina by sing e"ent st dy methodology. &es lts sho%s that the iss es %ith high bon s ratio attract positi"e ret rns and the iss es %ith lo% bon s ratio are re%arded %ith negati"e ret rns. Mishra (()),) examined the stock price reaction to the information content of bon s iss e %ith a "ie% to st dy %hether the /ndian stock market is semi7strong efficient or not sing e"ent st dy methodology for sample of 5D bon s iss es. 1he res lts indicate that there are significant positi"e abnormal ret rns for a fi"e7day period prior to bon s anno ncement and emphasise semi strong efficiency of the /ndian capital market. &a>a (())C) examined the information efficiency of capital market %ith regard to bon s iss e anno ncement by the /1 companies. 1he res lt sho%ed that the sec rity prices reacted to the anno ncement of bon s iss e. Vahir (1CC() made an attempt to compare the beha"ior of more "olatile shares %ith those of less "olatile shares and fo nd that bon s iss e, di"idend per share, E:., and &'/ sec rity price index %ere the important factors infl encing the prices of eA ity shares in /ndia. 1C. An +0i#i&$l stu%( on !! &t o! 7onus $nnoun& + nt on s'$# 0#i& 1ol$tilit( $n% liFui%it( $n% its i+0$&t on +$#5 t 2 $lt' &# $tion o! in!o#+ % in1 sto#s Int#o%u&tion $n% Lit #$tu# # 1i 2 Lhen a p blicly7traded company iss es corporate action information thro gh any channel of comm nication, it is initiating a process that %ill bring act al change to its stock. 'y nderstanding these different types of processes and their effects, an in"estor can ha"e a clearer pict re of %hat a corporate action indicates abo t a companyWs financial affairs and ho% that action %ill infl ence the companyWs share price and performance. 1his kno%ledge, in t rn, %ill aid the in"estor in determining %hether to b y, sell or hold the stock in A estion. 9orporate actions are typically agreed pon by a companyWs board of directors and a thori?ed by the shareholders and informed to the shareholders from time to time. /nformed shareholders generally nderstand the market as efficient and the daily stock prices reflect the market ad> sted price for all a"ailable information of the corporate e"ents. . ch premises are hypothetical to belie"e that the market is efficient and are infl enced by the corporate actions disclos re gi"en from time to time. Inder efficient markets corporate e"ents sho ld not sho% any abnormal ret rn on or s rro nding either anno ncement date or effecti"e date of information, as it is absorbed by the market in the real time, and the c rrent prices reflect the benefits associated %ith s ch corporate e"ents, and disco nts its f t re earning benefits. E"idence a"ailable from I. . market reflects the absence of abnormal positi"e ret rn on and aro nd anno ncements as %ell as effecti"e day and increase in "ariance follo%ing ex7day.

1ho gh these e"idences are less consistent and more conf sing, se"eral hypotheses ha"e been presented to explain effect s rro nding bon s iss e anno ncement. .ome of them are, the signaling hypothesis (AsA ith, Healy, and :alep (1CEC), &ankine and .tice (1CC-)) and the liA idity hypothesis ('aker and :o%ell (1CC*), M scarella and 3ets ypens (1CCD)) are A ite pop lar, Apart from these se"eral st dies find that the neglected firm hypothesis pro"ides some explanation po%er as %ell (Frinblatt, Mas lis, and 1itman (1CE5), Arbel and .%anson (1CC*), and &ankine and .tice (1CC-). /n this paper, 'on s anno ncement %as taken to examine the effect of corporate actions on price and liA idity. Empirical research on the effects of a bon s iss e on the stock prices gi"es e"idence that the market reacts fa"orably to a bon s iss e. 2ama, 2ischer, 0ensen, and &oll (1CDC), 9harest (1C-E), Frinblatt, Mas lis, and 1itman (1CE5), for example, ha"e doc mented e"idence of a fa"orable reaction of the stock market to a bon s iss e in the I.. &amachandran (1CEE) and Gbaid llah (1CC() ha"e fo nd o t similar e"idences in /ndia. Empirical research has sho%n that the market generally react positi"ely to the anno ncement of bon s iss e (2oster and 3ickrey (1C-E), Loolridge (1CE*), Frinblatt et al (1CE5), Mc4ichols and 6ra"id (1CC)), Masse et al (1CC-), Ji>leblom (1CEC), 'ar7Hosef and 'ro%n (1C--)). 4 mero s st dies in /ndia ha"e dealt %ith the information content of "ario s types of anno ncements (&amachandran (1CE,), Gbaid llah (1CC(), &ao (1CC5), &ao and Feetha (1CCD), .rini"asan (())(), ' dhra>a /, :arekh : and .ingh 1 (())5), and Mishra (()),)). 6>.E!!i&i nt +$#5 t t' o#(, in # l$tion 2it' 7onus issu $nnoun& + nt in In%i$n +$#5 t Efficient Market 1heory, pioneered by E gene 2ama, attracted researchers for analysis of market efficiency in de"eloping market of /ndia. Mishra (()),) considered the bon s iss e anno ncement as the information %hich can affect the efficiency of the market and challenge the Efficient Market 1heory. 1he effect of the information of bon s iss e anno ncement is fo nd to be positi"e on the market. 1he reason %hy it is so has been explained by many different hypotheses like signalling hypothesis (2oster and 3ickrey 1C-E), cash distrib tion hypothesis (Fhosh and Loolridge 1CEE), liA idity hypothesis (Jakonishok and Je" 1CE-), and attention7 getting hypothesis (6oran and 4achtmann 1CEE). 1his paper examines the effect of bon s anno ncements and the record date of bon s iss e on the efficiency of the /ndian stock market. Hypothesis test for the difference bet%een the means of t%o samples method is sed. 2indings s pport the semi7strong form of market efficiency in case of most of the stocks. Ho%e"er, e"idence of insider trading %as obser"ed in the sample companies that do not sho% efficiency. /n case of record date the market is fo nd to be efficient. A f rther analysis of bon s anno ncement effect on liA idity and effect of anno ncement %ith f t re record date nco"ers e"idences of inefficacy. /n case7to7case company7specific market data analysis insider trading is e"ident. 61.M$#5 t E!!i&i n&( o! In%i$n Sto&5 M$#5 t P A Stu%( o! Bonus Announ& + nt in Bo+7$( Sto&5 EE&'$n" R 1i 2 o! Lit #$tu# Many st dies ha"e been made on testing the semi7strong form of efficient market hypothesis in relation to bon s iss e anno ncements. A reference to these earlier st dies %ill be rele"ant in the context of shaping the present st dy. &esearchers ha"e sho%n earlier that the market generally reacts positi"ely to bon s anno ncement. 2ama et al. (1CDC), :eterson (1C-1), 'all et al. (1C--), 2oster and 3ickrey (1C-E), Lool ridge (1CE*), Frinblat et al. (1CE5), &amachandran (1CE,), Ji>leblom (1CEC), Mc4ichols and 6ra"id (1CC)), Gbaid llah (1CC(), .rini"asan (1CC*), &ao (1CC5), .ingh. A (1CC,), Masse et al. (1CC-), Gnyango (1CCC), and Anderson et al. (())1), in their st dies ha"e established this aspect.

'alachandran 'alasingham (())1) examined the share price reaction to anno ncement of bon s share iss es of A stralian companies. 1hey fo nd that the magnitit de of price reaction to bon s iss e anno ncements is statistically related to the si?e of bon s iss es and pre7 anno ncement effect. Madh ri Malhotra et al. (())*) pro"ided e"idence to s pport signaling hypotheses by examining the relationship bet%een bon s iss e anno ncement and stock price reaction. 1he st dy concl ded that there is a negati"e reaction after the bon s iss e anno ncement, con"eying that the market nder reacts after the anno ncement. 3andana F pta (())*) in a st dy in"ol"ing a sample of 15, bon s iss es examined the anno ncement effects of bon s iss es on eA ity share prices in /ndia. 'ased on the res lts the st dy concl ded that the /ndian .tock market %as efficient in its semi7strong form. ' dhra>a et al. (())5) in their st dy on '.E s ggested that abnormal ret rns in stock prices aro nd the bon s iss e anno ncement data, o"er three day trading period starting one day before the anno ncement is significant at C, per cent confidence le"el. /t also says that m ch of the information in the bon s anno ncement gets impo nded into stocks by the time of the anno ncement of the bon s iss e. Mishra (()),) examined the reaction of the stock price to the information content of bon s iss es and fo nd that the stock starts sho%ing positi"e abnormal ret rns eight to nine days before the anno ncement date. 1his co ld be d e to the leakage of the informational content. 1his paper lends s pport to the hypothesis that /ndian stock market is efficient in its semi7strong form. Madh ri Malhotra et al. (())-) in their st dy has examined the share price reaction to the anno ncement of bon s iss e for a sample of /ndian companies. 'on s iss e anno ncement yielded negati"e abnormal ret rns aro nd the anno ncement date. 1here is a negati"e reaction after the bon s iss e anno ncement con"eying that the market nder reacts after the anno ncement. /t %as also obser"ed that there is no information leakage prior to the anno ncement. .atya>it 6har and .%eta 9hhaochharia (())C) examined the effects of t%o types of e"ents, bon s iss e and stock split in the /ndian stock market. 1he abnormal ret rns %ere calc lated sing the 9apital Asset :ricing Model and t7tests %ere cond cted to test the significance. 9onsistent %ith the existing literat re, the t%o e"ents %ere fo nd to be associated %ith significantly positi"e anno ncement effect. Gn the %hole, the paper finds e"idence of semi7 strong form of efficiency in the /ndian stock market. <o st bh <anti &ay (()1)) in his st dy concl des that the /ndian stock market is efficient in its semi7 strong form %ith respect to bon s iss e anno ncements only. Anirban Fhatak (()11) in his st dy to in"estigate of semi strong form of market efficiency had limited himself to the st dy of %ell de"eloped stock markets. 1he aim of this paper %as to examine the stock price reaction to information release of bon s iss es or stock splits %ith a "ie% to ascertain %hether the /ndian stock market is efficient in its semi7strong form or not. 1he res lts sho%ed, that %as positi"e abnormal ret rn of (.)EX %ith confidence le"el of C)X on e"ent date %hich is the bon s iss e anno ncements date. Market reacts positi"ely on the anno ncement date and after that there is mixed reaction in the market. 1herefore, this e"idence strongly confirms that the /ndian .tock Market is efficient in its semi strong form of efficient market hypothesis. An e"ent st dy is an empirical analysis that is normally sed to assess the effect of an e"ent on stock ret rns. 1he earlier st dies by applying e"ent st dy %ere taken p by .harpe (1CD*), 'all and 'ro%n (1CDE), 2ama et al. (1CDC), 'ra%n and Larner (1CE,), Henderson (1CC)). 1he anno ncement effect on the price %as calc lated by the standard market model sing the e"ent st dy methodology (9raig Mac<inlay 1CC-). 1his methodology is sed for the analysis in this st dy.

1he present st dy is expected to help in"estors in general and small and medi m in"estors in partic lar, by %ay of assessing efficiency of the stock market thro gh st dying the share price mo"ement at the time of bon s iss e anno ncement. ((.A:0&'M 3ol me 1, /ss e * (6ecember, ()1)) /..4 (((C751)5 .ri <rishna /nternational &esearch @ Ed cational 9onsorti m http+YY%%%.skirec.com 7 1-E 7 A STUDY OF DIVIDEND ANNOUNCEMENTS ON STOCK RETURNS OF POPULARLY TRADED COMPANIES IN INDIA P$#ul B'$ti$; L &tu# # //JM '7.chool 4e% 6elhi. A7st#$&t The popularly traded companies are the most preferred choice of investors for investing in stocks. This is observed if (e randomly check the trading fre5uency of these stocks at stock exchanges. The reactions on daily% monthly% 5uarterly and yearly basis are the expected outcomes in stock prices (hen announcements are floated on the trading floor. )o(ever% the magnitude of variation may vary (ith the type of ne(s% company% industry% stock etc. The focus of the present study lies on the financial year 2009-09 for finding out significant change in the abnormal stock returns before and after dividend announcement by sample companies (hich are listed at :!" 2ndia. The study has used event study (ith constant mean return model to find out impact on daily data. The reactions on abnormal returns for dividend announcements are further empirically investigated (ith statistical tests 6?. L %s Uni1 #sit( Busin ss S&'ool 1HE A44GI49EME41 E22E91 G2 9A.H 6/3/6E46+ E3/6E49E 2&GM 1I&</.H 9A:/1AJ MA&<E1 Ey p <adiogl 6issertation s per"isor+ 6r. /ain 9lacher Month and year of s bmission+ A g st, ())E Lord co nt+ 1*,)*ABSTRACT 1his st dy analyses the anno ncement effect of cash di"idends on share prices in the 1 rkish capital markets. /t is in"estigated %hether cash di"idend anno ncements res lt in an abnormal ret rn aro nd the anno ncement day in /stanb l .tock Exchange. 1he abnormal ret rns %hich are calc lated sing the market ad> sted model, bet%een t7 , and tP1, days e"ent %indo%s are sed to test this effect. /n the regression, a di"idend per share is regressed on the abnormal ret rns in the e"ent %indo%s from t7, to tP1, days. 1he st dy ses data of **) e"ents for EE companies from ())* to ())-. 1he main findings of the st dy are; first, there is a significant negati"e relationship bet%een cash di"idends and abnormal ret rns after the anno ncement. 1he anno ncement of a higher cash di"idend per share res lts in significant a higher negati"e abnormal ret rn and the anno ncement of a lo%er cash di"idend per share res lts in significant a lo%er negati"e abnormal ret rn. /n the case of only cash di"idends anno ncements, the anno ncement of a cash di"idend itself has a significant effect on share prices. /n the e"ent st dy analysis, only the anno ncement of cash di"idends decrease res lts in a significant abnormal positi"e ret rn in the e"ent %indo%s after the anno ncement day. .econd, the ad> stment of prices to ne% information starts on the anno ncement day and it contin es at least 1, days. 1he most significant price ad> stment takes place in the first three days. 1hird, there is no significant relationship bet%een cash di"idends and abnormal ret rns prior to the anno ncement day %hich implies that there is no significant information leakage prior to the information becoming p blicly a"ailable. 1he obser"ed negati"e relationship bet%een cash di"idends and abnormal share ret rns after the anno ncement on the /stanb l .tock Exchange can be explained by the tax clientele effect. /n 1 rkey capital gains are taxed at lo%er than the di"idend yields. .hareholders therefore prefer earnings to be retained rather than paid o t as a di"idend. .ince the res lts doc ment that there is no information leakage prior to the anno ncement day, the reg lation and s per"ision of the capital markets in 1 rkey can be said to be effecti"e and efficient in pre"enting insider trading in relation to cash di"idends.

(5. 1he /I: 0o rnal of Applied 2inance Arindam F pta and 6ebashis < nd 4o"emberW

)D 1his paper analy?es the impact of Inion ' dgets on /ndian stock prices, as represented by the .ensex, the flagship index of 'ombay .tock Exchange. 1he impact is obser"ed in terms of ret rns and "olatility o"er a 1,7year period from 1CC1 to ()),. 1he statistical tests applied on ret rns aro nd the time of b dget and *, 1, and *) daysW a"erage ret rns aro nd the b dget sho% that o"er the years, a b dget exerts the maxim m impact, in terms of absol te ret rn immediately on and aro nd the b dget day, %hich grad ally gets red ced as one mo"es f rther a%ay from the b dget day. 3olatility does not generally increase in a post7b dget sit ation as the time period increases. 1he long7term period after the b dget tends to be more "olatile than the medi m7term and short7term periods %hen compared to similar long7term periods before the b dget. (,.&esearchers Lorld Journal of Arts, Science & Commerce Z E*ISSN 666<*I8=8 Z ISSN
66?1*I1H6

TESTING SEMI*STRONG EFFICIENCY OF INDIAN STOCK MARKET * A STUDY ON EFFECT OF UNION BUDGET 6>16 ON SI: SELECT SECTORAL STOCKS *is$a K!tc$!, Associate :rofessor Am>ad Ali <han 9ollege of ' siness Administration Mo nt :leasant, 'an>ara Hills, Hyderabad, /ndia ABSTRACT /n a semi7strong efficient market, the sec rity prices reflect all p blicly a"ailable information. .emi7strong efficiency says that an /n"estor cannot earn abnormal ret rn %ith the kno%ledge of p blicly a"ailable information. /mmediately after the ' dget speech by the 2inance Minister, se"eral reports crop p on the /nternet, ne%spapers as %ell as on satellite 13 channels incl ding 4e%s and ' siness ne%s channels. 1he reports appearing in these media constr e the possible impact of the ' dget on "ario s ind strial sectors. 6oes this p blicly a"ailable information affect the sec rity prices in the manner en"isaged by the b dget analysts$K Lhat is the speed of ad> stment of sec rity prices to ' dget anno ncementsK Ising regression7based e"ent st dy methodology, %e test the semi7strong efficiency of the /ndian stock market. 1he res lts of o r st dy sho% that there is a chance to make abnormal ret rns for the in"estor and that the impact of b dget seems to be company7 specific.
(D. THE EFFECT OF DIVIDEND POLICY ON THE MARKET PRICE OF SHARES

IN NIGERIA, CASE STUDY OF FIFTEEN @UOTED COMPANIES B( 5r/ %/ %/ Adefi a 5e-artment of Acco!ntancy, 4ni3ersity of Maid!1!ri, 5r/ %/ A/ 6 adi-o and %/6 Adeoti, Bot$ of t$e 5e-artment of B!siness Administration, 4ni3ersity of I orin ABSTRACT 1he iss e of ho% m ch a company sho ld pay its stockholders, as di"idend is one that has been of concern to managers for a long time. 1he optimal di"idend policy of a firm may be defined as the best di"idend pay o t ratio the firm can adopt. ' t, %hat does !best# mean in this conceptK .ince the ob>ecti"e of the firm is to increase the %ealth of its stockholders, the best di"idend policy is the one that increases shareholders %ealth by the greatest amo nt. /t is therefore necessary, to nderstand the nat re of the relationship bet%een di"idend and

"al e of the firm. /t is in the light of this that the st dy examines the possible effects of a firm$s di"idend policy on the market price of its common stock. /n so doing, the methodology adopted %as :erson$s :rod ct Mo"ement 9orrelation to e"al ate the data collected from the fifteen st died companies. 1he st dy re"ealed among other things that, both internal and external factors affect di"idend policy and hence a holistic approach to di"idend policy becomes ine"itable if a generally acceptable decision is to be taken. Gn this note the st dy recommended inter alias that policy makers sho ld be %ell "ersed in the kno%ledge of those interacti"e forces %ithin their en"ironment %hich m st be considered in order to arri"e at a s stainable di"idend policy for the generality of the interested parties.

(-. &EA91/G4 G2 1HE .1G9< MA&<E1 1G I4/G4 'I6FE1 A46 MG4E1A&H :GJ/9H A44GI49EME41. Anil .oni 6A3 /nstit te of Engineering and 1echnology 0alandhar E7mail+ soniUshamilaTyahoo.com A'.1&A91 1his paper sets to examine the impact of the anno ncement of nion b dget and onetary policy on the stock market. 1he time period co"ered is 1) years i.e. from the year ()))7 ())C. All the nion b dgets presented and monetary policy anno ncements of this period ha"e been considered. 1he '.E *) share index .ensex has been taken as the indicator of the reaction of the stock market. Jogarithmic daily ret rns ha"e been calc lated for the entire period. A"erage ret rns ha"e been calc lated d ring the next and pre"io s three, fifteen and thirty days aro nd the anno ncements of nion b dget and monetary policy. :aired t7tests are carried o t among different periods d ring anno ncement days. 27tests are also carried o t to compare the last *) days ret rns %ith next three fifteen and thirty days. 1he findings of the paper are that the nion b dget and monetary policy anno ncements ha"e no impact on the stock market in the long r n. Ho%e"er, in the short r n impact may be either %ay i.e. positi"e as %ell as negati"e. (E. Sto&5 M$#5 t R $&tion to t' Union Bu%" t 6>1>*11,A S &to#$l An$l(sis
:and ranga 3enkataram l SFa"esana 0o rnal of Management
G%ner$s 4ame + 3ignana 0yothi /nstit te of Management : blished by + 3ignana 0yothi /nstit te of Management 3ignana 0yothi 4agar, 'ach pally, 3ia < katpally, Hyderabad 7 ,)))C). Andhra :radesh. :h+)5)7(*)55C)1Y)( E7mail+ directorT">im.ed .in
Lebsite+ ">im.ed .in Editor + 6r. <amal Fhosh &ay :rinter + Mr. :. 4arendra :rinted at + :ragati Gffset :"t. Jtd., 4o.1-, &ed Hills, Hyderabad 7 ,))))5. Andhra :radesh. :hone+ )5)7(**)5E*-.

3ol. / /ss e. * 0 ly 7 6ecember ()1)

A7st#$&t
1he Inion ' dget is a most important e"ent in of economic policy of a co ntry. 1he fiscal iss es s ch as taxation, expendit re, fiscal deficit are ob"io sly important for macro economics. Fo"ernments ha"e often chosen the ' dget speech as a platform for anno ncing important ne%

policy initiati"es, and for o tlining some plans for forthcoming economic policies. .tock markets are said to be efficient %hen they react to gi"en information. .tock Markets respond to nion b dget. Gne of the important e"ent to %hich the stock markets react is nion b dget. As per as /ndian .tock market is concerned, %hich is one of the most sensiti"e stock markets in the %orld, responds to the Inion ' dget A ickly. An attempt has been made in this paper to analyse the reaction of the /ndian .tock Market to the Inion ' dget ()1)711, '.E .ensex and .ectorl /ndices mo"ement.