An Empirical Study of Stock Split Announcements of Select BSE Sectors Using Event Study Methodology
Journal Title: SDMIMD Journal of Management - Year 2015, Vol 6, Issue 1
Abstract
This study examines the stock market reaction to stock splits between 2002 and 2013 of 6 sectors of BSE-Auto, Bankex, Consumer Durables, FMCG, Health Care and IT sectors to find out if the Indian stock market is semi-strong efficient or not. The methodology used is event study under the market model. Samples of 14 stock splits are considered spread across 6 sectors. The results indicate that there are significant positive abnormal returns prior to split announcements. On the day of split announcement, 1 sector reacts positively (Health Care-3.3%) and the 5 react negatively (Auto -1%, Bankex -0.9%, CD -0.3%, FMCG -1%, and IT-1%). The results indicate that the null hypothesis, H<sub>0</sub>1, that there is no significant AAR around the stock split announcement dates is accepted.
Authors and Affiliations
Asha Nadig
Keywords
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- EP ID EP556377
- DOI 10.18311/sdmimd/2015/3960
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