Abstract

Efficiency of stock markets is an essential characteristic to provide fair investment opportunities to all class of investors. It suggests that no investor shall be able to make abnormal gains using any information or by way of analysis. Weakly efficient markets showcase randomness in movement of prices. Both BSE and NSE are reliable and can be considered to check the efficiency of Indian stock markets. But, BSE SENSEX being an older index facilitates better availability of data and a comparison of efficiency over the past two decades. In this modern technological era, the researcher has mainly focused on market efficiency of Indian Stock market from the announcement of stock split, bonus and rights issued by the corporate companies in BSE market. For this purpose, data has been collected from BSE from the period of January 2016 to December 2016. In order to find the efficiency of stock market, descriptive statistics have been used like mean, median, maximum, minimum, skewness, kurtosis and Jarque-Bera test for every announcement of stock split, bonus and rights issues. Further, GARCH(1,1) model also used for examining the volatility of the market. The results showed the bonus and rights issues were normally distributed and stock split was not normally distributed during the study period. The impact of past volatility on the current announcements have indicating that volatility shocks are quite persistent and takes longer time to dissipate.

Authors and Affiliations