Impact of union budget on stock market

ISSN 0975 – 5942

Impact of Union Budgets on Indian Stock Market –A
Case Study of NSE
Gurcharan Singha and Salony Kansalb a Reader, School of Management Studies, Punjabi University, Patiala b Junior Research Fellow, School of Management Studies, Punjabi
University, Patiala

Corresponding author: [e-mail]

Abstract
This paper examines the impact of Union Budgets from 1996 to 2009 on the Stock Market as represented by S&P CNX Nifty in terms of returns and volatility. The impact on S&P CNX Nifty has been studied prior to and subsequent to budget day .The periods have been segregated into short-term, medium-term, and long-term periods. With regard to return the result proves that budgets have the maximum impact in the short term period, with some impact extending into the medium-term and no significant impact at all on long- term average returns. With regard to volatility the result indicates that the long term period after the budget tends to be more volatile than the medium-term and the short-term periods when compared to similar long-term before the budget.
Keywords: Union budget, Stock market, NIFTY

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Introduction
The movement of share price is unpredictable in any economy. Sudden ups and downs of the price of shares make people wonder watching. Certain factors are held responsible for the movement in share prices. In some studies micro variables like dividend per share, earning per share, company size and book value per share have got importance and in others, macro variables like bank rate of interest, index of industrial production, union budget, inflation rate and foreign currency have been highlighted. Hence annual budget is one such event which may have impact on stock market. In India, the budget is an annual financial statement containing the estimated receipts and expenditure of the Government of India, which has to be laid before parliament in respect of every financial year, which runs from 1st

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