Abstract
Much of the efficient market literature is actually concerned with the speed with which information is impounded into security prices. In case a firm announces that earnings will be three times larger than expected next year with no additional investment on the part of the firm, the share price should go up to reflect this increase in value. The efficient market hypothesis does not deny the usefulness of this kind of information. An attempt has been made in this paper to test the semi-strong form of efficient market hypothesis by studying the effect of major economic and other Indian events on Mumbai Stock Exchange SENSEX having immediate increase/decrease in its value on the very day the event occurs and information is received by the market.
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