Market Efficiency of Indian Stock Market : A Study of Budget Announcement in Bombay Stock Exchange

Market where all pertinent information is available to all participants at the same time, and where prices respond immediately to available information. In other words the current market price should reflect all publically available information. Under such conditions the current market price in any financial market could be the best unbiased estimate of the value of the investment. The present try to test the informational efficiency of the Indian Stock Market in the semi-strong form of efficient market hypothesis with respect to the information content of the event budget announcement for BSE 30 in the year 2016. The AARs, CAARs and t test were analysed to ascertain whether an opportunity was available to make above abnormal returns during the price adjustment period. AARs after the announcement day (except +3 day) are statistically not significant. The study reveals that the investors have not been able to earn abnormal returns in the study companies