Abstract
Regulators use securities market surveillance as an essential tool to guard against market manipulation, safeguard investors, and maintain the effectiveness of the markets. In an effort to thwart open market manipulation SEBI in consultation with the exchanges has put in place a unique surveillance mechanism known as Additional Surveillance Measures (ASM). The short-term impact of this surveillance measure on stock prices and trading volume is examined in this study, using event study methodology. The sample data consists of 245 instances, where companies were subject to ASM surveillance actions for a brief period. The results of the study show that the Cumulative Abnormal Return (CAR) on the stocks decreased after inclusion into STASM and the same persisted after exclusion also. However, the average abnormal volume (AAV) changed significantly in the pre- and post-event period.
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