Announcement of union budget: An event study on paradigm shift in returns of the national stock market of India

Abstract

As the present market conditions are rapidly changing, continous research work is conducted to understand the impact of various economic and non-economic events on the stock returns of various firms listed on stock exchanges in different countries. This study took into consideration the effect of Budget announcement on BSE Sensex and stocks of five different sectors, i.e., Reliance Energy from the Energy sector, Wipro Ltd. from the IT sector, ACC Ltd. from the Cement sector, Unitech Ltd. from the construction sector and Tata Steel Ltd. from the Steel sector for a period of three years from 2016 to 2019. To study the effect, paired sample t-test is applied on the log returns of BSE Sensex and the stocks for three windows, 1 month before and after the budget announcement. This study will analyse whether the event in concern has an effect on the stock returns or not. The findings depicted that event taken into consideration have no effect on the returns of the BSE Sensex/stock in the given window. These results are particularly important and useful for not only the retail investors but also institutional investors as it will help both investors to decide whether to invest or hold investment during the time of budget announcement.