Abstract
A capital market in which stock prices fully reflect all available information can be termed as informationally efficient market. A number of studies have empirically tested the response of security prices to the release of different information. The objective of this study is to find evidence of semi-strong form of efficiency in the Indian stock market. The paper examines the share price reaction to bonus issue announcements around the announcement date by using the event study methodology. Bonus announcements of companies listed on the Bombay Stock Exchange in 2010 and 2011 is taken as a sample for the study. The abnormal returns are calculated using the Market Model and t-tests is conducted to test the significance.
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