Abstract
This study aims to measure the impact of dividend announcement in Indian stock market and determine the factors which influencing the behaviour of stock market. This study is the nature of empirical research study. Event study has conducted with major industries viz., banking and automobile scripts listed in BSE Sensex. Excess return calculated by using input of CAPM (Capital asset pricing model), average excess return, beta, t-statistics used to determine the significance of event in the Indian stock market. Structural Equation modelling used to measure the relationship within variable and to the determination of efficient market hypothesis. Based on the analysis most of the scripts are having before effect in the market. It means reaction of information in the market place has occurs after reaching the information. Market significantly reacted with the information of dividend. Based on the structural model depicts that excess return and average excess return is the mediating factors determining the efficiency of the market. Hence it is accepted that pour Indian stock market is the nature of semi-strong form of efficiency.
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