STOCK MARKET REACTION TO THE UNION BUDGET ANNOUNCEMENT IN INDIA: AN EVENT STUDY APPROACH

Abstract

Beating the market is impossible, according to the efficient market hypothesis (EMH), because existing share prices always encompass and represent all relevant information. An efficient market builds the boldness of the investors. It states that no individual investor can attain abnormal returns on the announcement of any information because the exchange quickly adjusts itself to the new information. The main purpose of this study is to investigate the impact of the union budget announcement on 1st Feb 2022 by Indias Finance Minister, Nirmala Sitharaman on S&P BSE Sensex stocks considering the S&P BSE 500 as a proxy market by applying the event study technique. According to the research, the introduction of the Union Budget had a positive impact on security returns. KEYWORDS: Union Budget, Event Study, EMH, Abnormal Return, Proxy Market