A Study on Semi Strong form of Efficiency of Indian Stock Market

Abstract

The Efficient Market Hypothesis (EMH) explains how information is reflected in stock prices. Among its three forms, the semi-strong form states that stock prices immediately and accurately incorporate all publicly available information. This study examines the semi-strong form efficiency of the Indian stock market by analyzing the reaction of stock prices to public announcements such as quarterly earnings, dividends, mergers, stock splits, and macroeconomic news. The study focuses on selected companies listed on the National Stock Exchange of India and Bombay Stock Exchange. Event study methodology is used to measure abnormal returns before and after public announcements. The findings indicate that stock prices in the Indian market respond rapidly to new information, although short-term abnormal returns may exist due to market imperfections, investor behavior, and information asymmetry. The study concludes that the Indian stock market exhibits partial semi-strong form efficiency, with efficiency improving due to technological advancement, regulatory reforms, and increased investor participation.