Abstract

This study empirically analysed the stock price reaction and the efficiency of Indian stock market of the Nifty 50 index around the budget announcements during covid periods from 2020 to 2022 by applying event study methodology. The market efficiency was tested by employing 61 days event study window including 30 days before and 30 days after the announcement date, and the event date of the budget, while the estimation window period comprises of 120 days of the pre-event period. The market model is employed to demonstrate abnormal returns near the event date and to assist in estimating expected returns. Abnormal returns, Average abnormal returns, Cumulative average abnormal returns, and t[1]tests were applied for analysing the market efficiency on Indian budget announcements. This research paper reveals that the efficiency level of the Indian stock market is high and the investors can not make an abnormal profit over the budget announcements during Covid periods.