"Budget Announcements leads to Abnormal Returns" : FI Research Study

By: Finance India
 
GREATER NOIDA, India - April 7, 2020 - PRLog -- In a recent article titled "Impact of Budget and GDP Announcements on Indian Stock Market  Characteristics in Indian Companies" by Prof. Vivek Panwar and Prof. Ganesh Kumar  Nidugala, Professors, IIM Indore, published in the latest issue of Finance India, Quarterly Journal of Finance, Vol. XXXIII No. 4, December 2019 issue concludes that the Budget announcement leads to abnormal returns. Further sectoral level impact of budget was varied. Results were also varied depending on use of broader CNX500 stocks with CNX500 as proxy for market index as opposed to narrower Nifty stocks with Nifty as proxy for market index. Similar results were obtained for impact of release of GDP data.

Macroeconomic policy announcements such as the annual Budget and GDP data are events keenly watched by stock market participants and other economic agents. Such events first impact to the stock markets before transmitting to the real sector. In the research study, author considers the impact of Budget and GDP data on Indian stock market. Authors employ broader market index CNX500 consisting of 500 stocks covering 97.3% of market capitalization. Further, key sectoral indices such as, IT, Financial Services, Consumer goods are used to analyze the sectoral impact of policy announcements/ events. Usage of a broader index CNX500 and analysis of sector specific variations are important to cover the depth of the stock market across sectors and to come closer to any meaningful conclusion on the possibility of abnormal returns in the stock market and in specific sectors.

Previous studies relating to Indian economy have in general limited only to Nifty (which accounts for only 70.28% of the market capitalization) and did not consider the impact of macroeconomic variables/ events on the sector specific indices. In the research study, the authors used broader index, CNX500 as market index and also considered and sector specific impact of two macroeconomic events, Budget announcement and GDP data release using event study methodology.

Finance India – Quarterly Journal of Finance of Indian Institute of Finance published since 1987 is a Two Tier Triple Blind Peer Review refereed Journal of more than 400 pages. Its has an exalted Editorial Board of over 80 Experts from all over World including 6 Nobel Laureates headed by Prof. J.D. Agarwal, an eminent economist. It is indexed and abstracted by more than 36 agencies and over 200+ UGCs / Universities worldwide. Finance India is ranked at par with top international journals. Finance India, SCOPUS Indexed & UGC approved Journal, is placed at 4th best position amongst 21,000+ Journals Indexed in SJIF Journals Rank by Scientific Journal Impact Factor (SJIF) with a high SJIF Impact Factor Value for 2019 as 7.262.

https://www.financeindia.org/volumes/v33no4.htm

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