*Ph.D. Research Scholar, Department of Management Studies, School of Management, Pondicherry University, Kalapet, Puducherry-605 014, India
**Ph.D. Research Scholar, Department of Management Studies, School of Management, Pondicherry University, Kalapet, Puducherry-605 014, India
*** Professor, Department of Economics, School of Management, Pondicherry University, Kalapet, Puducherry-605 014, India
The present study aims at testing whether price pressure hypothesis holds in the Indian market by examining the price and volume effects associated with Nifty index revisions. To this end, the study considers the revisions made to Nifty during the period September, 1996 to September, 2010. The results of event study methodology indicate that stocks added to Nifty experience positive price effect on the effective day of revision whereas those deleted experience negative price effect. There is also increased trading volume associated with both stock additions and deletions. The lack of price reversal in the post effective day period indicates that the positive (negative) price effect associated with stock additions to (deletions from) Nifty is permanent; this implies that price pressure hypothesis does not hold in the Indian market.
