Efficiency of the Indian Stock Market : Analysis of Semi-Strong Form of Bonus Information

Authors

  •   M. Bharath Assistant Professor in Commerce, Annamalai University, Annamalainagar, Chidambaram, Tamil Nadu – 608 002
  •   H. Shankar Professor and Head (Rtd.), Department of Commerce, Annamalai University Annamalainagar, Chidambaram Tamil Nadu - 608 002

Keywords:

Efficient Market Hypothesis

, Bonus Announcement, Event Study Methodology, AAR, CAAR

C12

, C20, G14

Paper Submission Date

, December 20, 2014, Paper sent back for Revision, January 4, 2015, Paper Acceptance Date, February 4, 2015.

Abstract

This paper tested the semi-strong form of efficiency of the Indian stock market on the basis of information relating to bonus announcements based upon the price reaction of stocks for a period of 10 years from 2003 - 2012. Event study methodology was applied, and an event window was constructed for a period of 41 days. The AARs and CAARs were analyzed by classifying the bonus issues into small and large sizes, to ascertain whether an opportunity was available to make abnormal returns during the price adjustment period. The results evidenced that the announcements of large size bonus were better than small size bonus announcements in terms of price adjustment indicating market efficiency in the semi strong form.

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Published

2015-03-01

How to Cite

Bharath, M., & Shankar, H. (2015). Efficiency of the Indian Stock Market : Analysis of Semi-Strong Form of Bonus Information. Indian Journal of Research in Capital Markets, 2(1), 7–18. Retrieved from https://indianjournalofmarketing.com/index.php/ijrcm/article/view/102680

Issue

Volume 2, Issue 1, January-March 2015

Section

Articles

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