Stock Market Reactions to Union Budget Announcements: An Econometric Assessment

Karri Srinivasu and M. Prathyusha

International Journal of Economics & Business Administration (IJEBA), 2025, vol. XIII, issue 1, 122-140

Abstract: Purpose: This study investigates the impact of Union Budget announcements on Indian stock market performance from 2000 to 2024. Design/methodology/approach: Employing event study methodology, GARCH modeling, and panel data analysis, we examine how budget announcements influence market indices and sectoral performance on the National Stock Exchange (NSE) and Bombay Stock Exchange (BSE). Findings: Our findings reveal significant abnormal returns around budget presentations, with notable sectoral heterogeneity in response patterns. Tax policy changes and fiscal expenditure announcements emerge as key drivers of market reactions. Practical implications: The paper provides nuanced insights into the evolving relationship between fiscal policy announcements and Indian equity markets, with important implications for investors, policymakers, and market regulators. Originality/value: We document an increasing market efficiency over time, with pre-budget speculation effects diminishing and post-budget adjustments occurring more rapidly in recent years.

Keywords: Union budget; event study; Indian stock market; fiscal policy; market efficiency; GARCH; sectoral analysis. (search for similar items in EconPapers)
JEL-codes: C32 E62 G14 H20 H30 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ijeba.com/journal/879/download (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ers:ijebaa:v:xiii:y:2025:i:1:p:122-140

Access Statistics for this article

More articles in International Journal of Economics & Business Administration (IJEBA) from International Journal of Economics & Business Administration (IJEBA)
Bibliographic data for series maintained by Marios Agiomavritis ().