Effect of union budget presentation on Indian stock market

This research paper tries to analyze the effect of budget presentation on stock market volatility for which the whole time period is divided into short term (3 days prior and 3 days post budget) medium term (15 days prior and 15 days post budget) and long term (60 days in which dummy variable was introduced). This study used closing prices of the four major indices of these exchanges to represent Indian stock market i.e. CNX Nifty, CNX Nifty Junior, S&P BSE Sensex and S&P BSE 100. This paper is based on 6 budgets presented in parliament from 2010 to 2015. Paired t test is applied for checking short term and medium term effect while C GARCH M test is applied for long term. The results revealed that budget don't have significant effect on stock market in short term. The results for medium term shows that budget have significant effect on medium term volatility of stock market for 2010, 2011, 2012, 2013 and 2014. This implies that stock market takes time to absorb the effect of budget announcement and get depicted in its prices within 15 days’ time period. The results for long term volatility also reveals that budget have no significant effect on stock market in long term.