Short-term market reaction to inflation announcement: evidence from the Indian stock market

Gurmeet Singh and Balasubramanian G

Macroeconomics and Finance in Emerging Market Economies, 2022, vol. 15, issue 1, 86-108

Abstract: This study investigates the reaction of stock returns to inflation announcements during the inflation switching regime from 2012 to 2018. In this paper, we have compared the broader market index NIFTY 500 vs. narrower market index NIFTY 50, and closing price vs. opening price. The study also checks if the state of the economy influences the stock market reaction. The finding of the study suggests that there are considerable abnormal returns. From a market efficiency perspective, we observe markets have become more efficient post the IT regime for both the stock market indices and also for both sets of prices.

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/17520843.2020.1828965 (text/html)
Access to full text is restricted to subscribers.

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:taf:macfem:v:15:y:2022:i:1:p:86-108

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REME20

DOI: 10.1080/17520843.2020.1828965

Access Statistics for this article

Macroeconomics and Finance in Emerging Market Economies is currently edited by Subrata Sarkar and Ashima Goyal

More articles in Macroeconomics and Finance in Emerging Market Economies from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().