1 Eijmms Vol1 Issue2

EXCEL International Journal of Multidisciplinary Management Studies
Vol.1 Issue 2, November 2011, ISSN 2249 8834 Online available at http://zenithresearch.org.in/
SEMI-STRONG FORM OF PRICING EFFICIENCY OF INDIAN STOCK MARKET AN EMPIRICAL TEST IN THE CONTEXT OF STOCK-SPLIT ANNOUNCEMENTS
PRITHUL CHAKRABORTY*
*Professor, Centre for Management Studies, JIS College of Engineering, Kalyani, West Bengal, India.
ABSTRACT The exponential growth of the Indian stock market provides a huge potential for its achievement of the pricing efficiency at a higher level. The present study aims to examine whether the Indian stock market is pricing efficient in its semi-strong form. Such examination is made in the context of the price reaction to the announcement of stock splits witnessed by 17 constituent stocks of S&P CNX Nifty during the period from February 2000 to January 2010 by application of the market model of the event study methodology. Although no statistically significant abnormal return is found to be generated on and around the announcement day, the cumulative average abnormal returns for most of the time intervals in the pre- and post-announcement periods are statistically significant. However, it is observed that the cumulative average abnormal returns for the shorter time intervals around the announcement day are statistically insignificant. Thus the study fails to provide any strong and consistent evidence in support of the semi-strong form of pricing efficiency of the Indian stock market. KEYWORDS: Abnormal return, Estimation window, Event window, Pricing efficiency, Semi-strong form, Stock split. ______________________________________________________________________________ I. INTRODUCTION The basic function of a stock market, be it primary market or secondary market, is to allocate and channelize the scarce private or domestic savings and other idle resources into the most productive investment areas of the economy in a useful and economic manner. The economic development of a country greatly depends on how effectively its stock market is able to allocate the resources in most productive investment areas (i.e., allocational efficiency of the market). One of the basic conditions to be satisfied by a stock market for being an efficient one is free flow of relevant information to all market-participants, and quick and accurate reflection of all available and relevant information in the prices of the stocks (Tinic and West,1979). In a perfectly efficient market an investor cannot reap abnormal profit by having any information, even any special information not publicly available, and thereby cannot consistently beat or outperform the market. One of the important rudiments of the allocational efficiency of the stock market is its pricing efficiency. The pricing efficiency of a stock market is determined by the speed and accuracy with which all available and relevant information are incorporated in the stock prices. The condition that current stock prices reflect all available information can be expressed as follows:
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E (Pt+k / t) = E (Pt+k / Pt) where E = Expected value operator Pt = Price of the stock at time t Pt+k = Price of the stock at time t+k t = Set of information available at time t. The above equation implies that the information contained in t is impounded in the current stock price Pt and the information set, t, cannot be used by the investors to earn super-normal profits. The essential criteria of pricing efficiency are: (i) easy and economical availability of information to all buyers and sellers, (ii) presence of a large number of buyers and sellers with their easy access to the market, (iii) awareness of all investors regarding the effect of available information on the current price and (iv) capability of the market to quickly assimilate the information by adjusting the stock prices up and down (Fama,1969). The literature of capital market efficiency provide three different forms of pricing efficiency depending on the contents or coverage of the term available information which are reflected in the current stock prices. These three forms are: (i) weak form of efficiency where the contents of available information are the information contained in the historical series of prices and trading volumes, (b) semi-strong-form of market efficiency in which case all publicly available information regarding the firms under study (e.g. fundamental data on firms financial performance, corporate reports, corporate announcements relating to dividend policy, stock split, right issue, etc.) are the contents of available information and (c) strong-form of market efficiency where available information include all relevant information, public as well as private or inside. The form or level of efficiency of a market is significantly influenced by certain frictions (viz., transaction costs, information costs, information asymmetries and so on) that the market witnesses. Lower market frictions lead to an increase in the number of market participants, rise in trading volume and thereby enhancing the liquidity of the market which, in turn, facilitates free flow of information to all market participants and instantaneous and accurate adjustment of stock price to such information. Although perfectly strong form of market efficiency is a theoretical phenomenon, many empirical studies reveal that the developed markets can boast of having higher level of pricing efficiency than their counterparts in the emerging economies. Since the mid-1990s liberalization and globalization of Indian economy have brought about a radical reform and structural transformation in Indian stock market. This has been manifested by many events like establishment of the regulatory body SEBI, introduction of the online trading, formation of National Securities Clearing Corporation (NSCCL), setting up of National Securities Depositories Limited (NSDL) and Central Depository Services (India) Limited (CDSL) to facilitate demat trading, opening up of the market for portfolio investment by the foreign institutional investors (FIIs), entry of new institutions like merchant banks, mutual funds, venture capital funds, etc. and greater participation of banks and financial institutions in capital market related activities, introduction of derivatives and other innovative financial instruments in the market, permitting Indian companies to issue GDR / ADR in European and American

markets and so on. All these have increased the depth and vibrancy of the Indian stock market. This is evident from a substantial rise in the market capitalization of equity shares on Indian bourses from Rs.5,07,272 crore at the end of 1995-96 to Rs.1,21,74,792 crore at the end of 200910 (i.e, 24 times rise over a period of 14 years), an exponential growth in turnover from Rs.2,27,368 crore in 1995-96 to Rs.55,18,470 crore in 2009-10 (i.e., about 2327% growth over a period of 14 years), a spectacular increase in the traded value ratio ( i.e. total turnover to GDP ratio) from 39.33% in 2002-03 to 89.50% in 2009-10 and so on. With the growing aspirations of the domestic as well as foreign investors for participating in Indian stock market, increasing rate of information flow in the market by the courtesy of information and communication technology, immense opportunities for trading in a wide range of stocks, stock indices and corresponding derivatives, wide scope is there for the Indian stock market to improve the level of its pricing efficiency and thereby stimulating the economic growth of the country. This provides a fillip to the research community to empirically examine the pricing efficiency of the Indian stock market. Although a number of empirical works have been carried out in this field, most of these have focused on the weak form of pricing efficiency of the market and relatively a smaller number of studies have come to our notice investigating the efficiency of the Indian stock market in its semi-strong form. The present study modestly attempts to empirically examine whether the Indian stock market is pricing efficient at semistrong level in the context of the impact of the stock split announcements on the price behaviour of the related stocks. The outcome of the study may be useful to the investors and portfolio managers in formulating suitable investment strategies and risk management strategies. Moreover, the study may provide pertinent information to the market regulators and policy makers in adopting appropriate measures and policies so that the market can properly perform its role in the matter of risk transference and price discovery. II. PLAN OF THE STUDY The remainder of the paper is organized as follows. A brief review of the available literature on the subject is made in Section 3. Section 4 outlines the study period, constitution of the sample for data collection and the type of data. Section 5 discusses the methodology applied for accomplishing the objective of the study and Section 6 analyzes the empirical results. Concluding remarks are provided in Section 7. III. LITERATURE SURVEY A wide number of studies have been conducted across the world to examine the applicability of semi-strong form of efficient market hypothesis to the stock markets of many developed as well as emerging economies in the context of different corporate events like announcements of stock split, stock dividend, right issue, financial results, etc. and also in the context of different macro economic and market-related news like announcement of monetary policy, purchase of shares by corporate insiders, foreign institutional investments in capital market and so on. The pioneer study in this field was made by Fama, Fisher, Jensen and Roll (1969) who examined the reaction of stock prices around the announcement date of stock splits. They found evidence of high abnormal risk adjusted stock returns prior to the announcement of stock split and no such evidence following the split. Their study confirmed the semi-strong form of efficiency of the www.zenithresearch.org.in

market as the reaction of stock splits occurred quickly and, therefore, the investors were not able to earn super normal profit by purchasing stocks on the split date. This finding is endorsed by Charest (1978). The studies of Ball and Brown (1968) and Brown and Kennely (1972) based on the impact of earning announcements on price movement also provided results in conformity with the semi-strong form of efficient market hypothesis. Ormos (2002) made an event study on the price movement of the Hungarian capital market for the period 1991-2000 to examine whether the market was efficient in strong form or semi-strong form and got the results in support of the latter one. Hadi (2006) empirically investigated the level of efficiency of the Jordanian market around the release of accounting information on profitability, liquidity and solvency of 15 industrial firms listed on the Jordon stock exchange and reported that the accounting numbers had significant impact on stock returns and on release of the accounting information the market reacted with mixed signals. The work of Asbell and Bacon (2000) assessed the speed with which stock prices reacted to the news of insider purchases and the investors ability to earn abnormal return by acting on such news on and around the announcement date. Applying the standard event study on the risk adjusted returns of 25 stocks traded on New York Stock Exchange and NASDAQ, the work failed to prove the market efficiency at semi-strong level as the risk adjusted price returns of the sample stocks were found to be significantly and positively affected around the insider purchase date and thus providing the investors with a scope of earning above normal returns. Foster and Vickrey (1978), Woolridge (1983), Grinblatt et al. (1984), Lakonishok and Vermaelen (1986), Abeyratana, et al. (1993), etc. reported considerable positive abnormal returns around the announcement dates of stock dividends which are inconsistent with the semi-strong form of market efficiency. We come across a few studies made in the context of the Indian stock market. Gupta (2003) examined the semi-strong form of efficiency of Indian stock market in the event of the announcement of bonus issues of 145 stocks during the period from 1995 to 2000 and found evidence in favour of semi-strong form of pricing efficiency. Analyzing the stock price data of 43 IT companies announcing stock splits during the financial years 2000-01 to 2006-07, Raja, et al. (2009) found that the market effectively absorbed the information content of the stock split announcements before the announcement days. But in the post-announcement period the market was not able to fully capture such information immediately and thereby enabling the investors to make abnormal returns. So they concluded that the market in respect of IT companies was not perfectly pricing efficient in its semi-strong form. Applying Karl-Pearsons product moment correlation coefficient and linear regression analysis on the monthly averages of BSE Sensex and NSE Nifty over the period from 01-08-2000 to 30-04-2010, Khan and Sana (2010) found that with every moment in the FIIs investments there was an instant reaction over the BSE and NSE allowing no scope to the investors to outperform the market and hence they concluded that the FIIs investments had significant role in achieving semi-strong form of efficiency of the Indian capital market. Agrawal (2007) investigated whether monetary policy announcements contained any informational value to the stock market in achieving pricing efficiency in the semi-strong form by conducting event study on 50 constituent stocks of CNX Nifty index over the period from 01-01-2006 to 31-08-2007. The study documented that the impact of the announcement on the stock price on the event day was not consistently significant because sometimes such announcements had already been discounted by the market in advance. However both in the pre- and post-announcement periods, significantly positive (negative) abnormal returns were observed for good (bad) news and, therefore, the study failed to confirm the efficiency of the Indian stock market in its semi-strong form. The studies of Rao (1994),

Obaidullah (1992), Mishra (2005), etc. on the price reaction of the market around the announcement day of bonus issues provided strong evidence of semi-strong form of market efficiency as the information got impounded in the prices of the respective stocks within a short period. Gupta and Gupta (2007), Kaur (2010) and Ray (2011) found evidence of positive abnormal returns around the announcement of stock splits and, therefore, drew the inference that the Indian stock market was pricing inefficient in its semi-strong form as the investors could make abnormal returns around the stock split announcements. IV. DATA AND DATA SOURCES
To conduct the study a sample has been drawn comprising 17 S&P CNX Nifty constituent stocks in respect of which stock split announcements were made on different dates in the period from February 2000 to January 2010. Selection of the stocks for constitution of the sample is based on two criteria: (i) stocks should not witness any other major corporate event surrounding the respective stock split announcement dates in order to ensure that the outcome of the study is not contaminated through other events, and (ii) the event windows (i.e., a period of 41 days comprising 20 pre-event days, the stock split announcement day called the event day and 20 post-event days) of the stocks should not overlap in calendar time in order to ensure that there is no correlation across the returns of different stocks. The daily closing prices of the sample stocks have been collected for two periods: (i) the event window and (ii) the period of 180 trading days prior to the event window (hereafter referred to as estimation window). The daily closing values of S&P CNX Nifty, the prime barometer of the National Stock Exchange (NSE) and the second prime stock index of the Indian stock market, for the aforementioned periods have also been taken into consideration in the study. The study is based on 3978 data points relating to 17 sample stocks and S&P CNX Nifty. All the aforementioned data have been collected from the website of the NSE (www.nseindia.com). The information relating to stock splits and their announcement dates have been gathered from the Capitaline database. V. METHODOLOGY
For accomplishment of the objective of the study, the following null hypothesis (H0) and alternative hypothesis (H1) are set: H0: No abnormal return is generated by the stock on the stock split announcement day or event day (day 0) and in the pre- event period (day -20 to day -1) and post-event period (day +1 to day +20). H1: Abnormal return is generated by the stock on the stock split announcement day or event day (day 0) and in the pre- event period (day -20 to day -1) and post-event period (day +1 to day +20). Acceptance of the null hypothesis implies that the information content of the stock split announcement is impounded in the prices of the related stock so instantaneously and accurately that the investors do not find any opportunity to get any abnormal return from the stock. This signifies the pricing efficiency of the market at its semi-strong level. The price movement in the pre-event period has been considered in the study because sometimes information leakage may happen prior to the announcement day of stock split. In this case, such information may be

discounted by the market well before the announcement day and the impact of the information is reflected in the stock prices before the event. To test the above hypotheses the risk-adjusted event study method has been used. To appraise the events impact on the price movement, the event study requires a measure of abnormal return (AR). For each stock i and day t in the event window we calculate abnormal return (ARit) as follows: ARit = Rit E(Rit) .. . (1) where Rit = actual return of stock i for day t [calculated as difference between the values of the stocks closing prices of day t and day t-1 or ln( Pit) ln (Pit-1)] E(Rit) = expected return of stock i for day t. In financial literature a number of approaches are found to be used in calculating the expected return of a stock. The present study adopts the following risk-adjusted market model [Sharp (1964)] because this model helps reduce the variance of the abnormal return by removing the portion of the return that is related to variation in the markets return: Rit = i + iRmt + it . .. . (2) where Rit = day t return on stock i Rmt = day t return on the market portfolio [in the present case difference between the logarithmic values of the S&P CNX Niftys closing values of day t and day t-1 or ln( Iit) ln (Iit-1)] it = residual error term with zero mean and constant variance. The parameters of the model (2), i and i, are estimated over the estimation period using the ordinary least squares (OLS) technique. www.zenithresearch.org.in The expected return of stock i for day t of the event window, E (Rit), is obtained by putting the value of Rmt and the respective OLS estimates of i and i in the following equation: E(Rit)= i + iRmt . (3) In order to eliminate the effect of abnormal return(s) of any particular stock(s), average abnormal return for each day of the event window (AARt) is calculated as follows:
N
AARt =
AR it
i 1
where N = total number of stocks in the sample (17 in the present case).

In order to draw overall inference about the reaction of stock prices to the announcement of the event, the cumulative average abnormal return (CAAR) is calculated over a time interval (k1, k2) as follows:
k2
CAAR(k1,k2) =
t k1
AAR t
where -20 k1 < k2 +20 Following Asquith (1983), the t-statistic for AARt as given below is used for testing the null hypothesis: t=
AAR t S .E .
where S.E. = Standard error =
( AR it
AAR t ) 2
N 1
The following t-statistic as recommended by Campbell, Lo and MacKinlay is considered for finding out the statistical significance of cumulative average abnormal return: t=
CAAR ( k 1, k 2 ) S .E .
N 2 i , ( k 1, k 2 )
where S.E. = Standard error =

2 i , ( k 1, k 2 )
i 1
N2
= variance of the abnormal returns of stock i for (k1, k2) period
N = number of stocks in the sample www.zenithresearch.org.in If the calculated value t-statistic of AARt ( CAAR(K1,K2) ) exceeds the critical value of t at a chosen level of significance ( = 1% or 5%) and for (N-1) i.e., 16 degree of freedom, the null hypothesis is rejected denoting statistically significant average abnormal return (cumulative average abnormal return) being generated by the stocks on / around the event day and hence pricing inefficiency of the market in its semi-strong form. VI. EMPIRICAL RESULTS Table 1 depicts the average abnormal return (AAR) for each day of the event window for the overall sample and the corresponding computed values of the t-statistic. It is observed that the AARs of almost all days of the event window are very close to zero. In the pre-event period the AARs range from the lowest value of -0.0067 on day -20 to the highest value of 0.0199 on day 3. On the announcement day itself (day 0) the AAR is -0.0060 and in the post-event period the

AARs range from the lowest value of -0.0410 on day 10 to the highest one of 0.0095 on day 9. The computed t-values of all AARs are lower than 2.58, the critical value of t-statistic at 1% level of significance and for 16 degree of freedom and also lower than 1.75, the critical t- value at 5% level of significance and for the same degree of freedom. This implies statistically insignificant average abnormal returns being generated by the sample stocks in the event window and hence the acceptance of the null hypothesis (H0: no abnormal return is generated by the stocks on the event day and in the pre- and post-event periods). In other words, the information content of the stock-split announcement is so quickly impounded in the daily prices of the stocks in the event window that no scope is there to earn abnormal returns from the stocks. Even on the event day (Day 0) also no evidence of significant price reaction to the announcement of stock split is found. This is in conformity with the semi-strong form of pricing efficiency of the market. TABLE 1: AVERAGE ABNORMAL RETURNS (AARt) OF EVENT WIDOW AND COMPUTED T - VALUES Day -20 -19 -18 -17 -16 -15 -14 -13 -12 -11 -10 -9 -8 -7 AARt -0.0067 0.0050 -0.0050 0.0064 0.0019 0.0148 0.0071 -0.0032 0.0057 0.0003 0.0060 -0.0021 0.0055 -0.0002 t-value -0.413 0.319 -0.193 0.219 0.071 0.271 0.265 -0.174 0.284 0.019 0.198 -0.066 0.206 -0.008 Day 1 2 3 4 5 6 7 8 9 10 11 12 13 14 AARt 0.0064 0.0028 0.0025 -0.0056 -0.0008 0.0011 0.0049 -0.0078 0.0095 -0.0410 -0.0002 -0.0336 0.0005 0.0021 t-value 0.271 0.062 0.065 -0.219 -0.034 0.039 0.199 -0.319 www.zenithresearch.org.in 0.289 -0.254 -0.007 -0.315 0.015 0.093

-6 -5 -4 -3 -2 -1 0
0.0078 -0.0016 -0.0041 0.0199 0.0081 0.0144 -0.0060
0.185 -0.064 -0.130 0.508 0.224 0.420 -0.172
15 16 17 18 19 20
0.0060 -0.0058 -0.0272 -0.0103 -0.0169 -0.0056
0.229 -0.158 -0.339 -0.270 -0.492 -0.373
The graphical presentation of the above AARs (Figure 1) also shows that the AARs are not significantly different from zero in almost all days of the event window (day -20 to day +20).
Figure 1: Daily Average Abnormal Return (AAR) in Event Window
0.03 0.02 0.01 0 AAR -0.01 -0.02 -0.03 -0.04 -0.05 Days
Sometimes the reaction of the stock prices to the announcement of an event is not prominently reflected in the behaviour of AAR of a specific day. The real impact of any event is realized by the investors through accumulated abnormal returns of a time interval before, after and around the event day. Therefore, we consider cumulative average abnormal returns (CAARs) corresponding to certain time intervals within the event window as presented in Table 2.

TABLE 2: CUMULATIVE AVERAGE ABNORMAL RETURNS (CAART) OF CERTAIN TIME INTERVALS AND COMPUTED T - VALUES Time Interval Day -20 to day -1 (-20,-1) Day -15 to day -1 (-15, -1) Day -10 to day -1 (-10, -1) Day -5 to day -1 (-5, -1) Day 1 to day 5 Day 1 to day 10 Day 1 to day 15 Day 1 to day 20 Day -5 to day 5 (1, 5) (1, 10) (1, 15) (1, 20) (-5, 5) 0.0801 0.0785 0.0538 0.0368 0.0053 -0.0281 -0.0533 -0.1192 0.0360 0.0198 0.0193 -0.0451 CAAR t-value 10.9468* 10.0655* 6.8151* 4.7915* 0.7169 -1.9334** -3.7792* -8.9200* 4.4111* 1.7076 1.7072 -4.1999*
Day -10 to day 10 (-10, 10) Day -15 to day 15 (-15, 15) Day -20 to day 20 (-20, 20)
* Significant at 1% level of significance. ** Significant at 5% level of significance. It appears from Table 2 that in the post-event period the null hypothesis is accepted in the shortest time interval (1, 5) only because statistically insignificant CAAR is found in that period. The same picture is found in two time intervals (-10, 10) and (-15, 15) surrounding the event day. This indicates quick impounding of the information content of stock split announcement in the prices in those periods which supports semi-strong form of pricing efficiency. However, in all time intervals in the pre-event period and in the time interval (-5, 5) around the event day, significantly positive CAARs are found to be generated. This might be due to the fact that on leakage of the stock split information prior to the announcement day, exuberance grows among the informed investors to buy such stock in consequence of which its prices rise abnormally leading to significant abnormal returns. It also reveals that the market is slow in impounding the information content of the stock split announcement in the prices of the stock. The CAARs of the longer time intervals (1, 15) and (1, 20) in the post-event period are statistically significant but negative. This may be due to the correction process of the over-reacting investors. Thus the findings based on CAARs fail to provide any strong evidence in support of the semi-strong form of pricing efficiency of the market although in the shorter time intervals around the event day
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and in the post-event time interval closest to the event day we find the prices to follow semistrong form of efficient market hypothesis. VII. CONCLUSION The paper attempts to examine the semi-strong form of pricing efficiency of the Indian stock market in relation to the impact of the stock split announcements on the price behaviour of the related stocks using a sample of 17 constituent stocks of S&P CNX Nifty that witnessed stock split announcements at different times in the period from February 2000 to January 2010. The market model of event study methodology is applied to appraise the returns of the sample stocks in the event window of 41 days. The analysis based on the average abnormal returns of the stocks clearly reveals that no statistically significant abnormal return is created on and around the stock split announcement day. This entices us to support the semi-strong form of pricing efficiency of the market. But while considering the cumulative average abnormal returns for certain time intervals in the event window, we find some inconsistency in the results. The cumulative average abnormal returns in the shortest time interval (day 1 to day 5) in the postevent period and in two intervals around the event day viz., (day -10 to day 10) and (day -15 to day 15) are found to be statistically insignificant providing no scope to the investors to consistently outperform the market. This evidences the semi-strong form of pricing efficiency of the market. But a doubt may arise about the pervasiveness of such pricing efficiency when all the time intervals of the pre-event period are found to generate statistically significant and positive cumulative average abnormal returns. Perhaps this is due to significant upward movement in prices caused by the buying pressure from the exuberant investors on leakage of the stock split information prior to the announcement day and lack of speed in incorporating the information in the prices in the pre-event period. This, of course, is not in compliance with the semi-strong form of efficient market hypothesis. Further, the statistically significant and negative cumulative average abnormal returns in most of the time intervals in the post-event period indicate delay in impounding the information content of stock split announcement in the prices and the correction process of the over-reacting investors and hence pricing inefficiency of the market. Thus unlike the works of Gupta (2003), Raja, et al. (2009), etc. and like the works of Gupta and Gupta (2007), Kaur (2010), etc. our study fails to arrive at a full-proof result regarding the pricing efficiency of the Indian stock market in its semi-strong form. It is true that more authoritative results could have been obtained, had the study been based on higher size of sample. However, it may be suggested that the market regulators, stock exchange authority and the policy makers should take all possible measures for identifying and removing the snags and lacuna in the regulatory framework, micro structure and other operational aspects of the market for improving transparency in trading activities and removing informational asymmetry and other market frictions which are the impediments on the way of achieving pricing efficiency of the stock market. REFERENCES 1. Abeyratana, G., A.A. Lonie, D.M. Power and C. D. Sinclair (1993), The Stock Market Reaction to Dividend Announcements: A UK Study of a Complex Market Signal, Paper Work, University of Dundee.
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2. Agrawal, G. (2007), Monetary Policy Announcements and Stock Price Behavior: Empirical Evidence from CNX Nifty, Decision, Vol.34, No.2, Pp.133-153. 3. Asbell, D.J. and F.W. Bacon (2010), Insider Trading: A Test of Market Efficiency, Proceedings of ASBBS Annual Conference, Vol. 17, No.1, Las Vegas, February 2010, Pp.174-181. 4. Asquith (1983), Merger bids, uncertainty and stockholder returns, Journal of Financial Economics, Vol.11, Pp.51-83. 5. Ball, R. and P. Brown (1968), An Empirical Evaluation of Accounting Income Numbers, Journal of Accounting Research, Pp. 159-178. 6. Brown, P. and J.W. Kennlly (1972), The information contents of quarterly earnings: An extension and some further evidence, Journal of Business, 45, Pp.403-415. 7. Campbell, J.Y., A.W. Lo and A.C. MacKinlay, The Econometrics of Financial Markets, Princeton University Press, Princeton, New Jersey, Pp. 161-162. 8. Charest, G. (1978), Split Information, Stock Returns and Market Efficiency I, Journal of Financial Economics, Vol. 6, Pp. 265-296. 9. Fama, E., L. Fisher, M. Jensen, and R. Roll (1969), The Adjustment of Stock Prices to New Information, International Economic Review, 10(1), Pp.1-21. 10. Foster, T.W. and D. Vickrey (1978), The Information Content of Stock Dividend Announcements, Accounting Review, Vol.53, No.2, Pp.360-370. 11. Grinblatt, M.S., R.W.Masulis and S. Titman (1984), The Valuation Effects of Stock Splits and Stock Dividens, Journal of Financial Economics, Vol.13, No.4, Pp.461-490. 12. Gupta, A. and O.P. Gupta (2007), Market Reaction to Stock Splits: Evidence from India, The IUP Journal of Applied Finance, Vol.13, No.1, Pp.5-22. 13. Gupta, V. (2003), Announcement Effects of Bonus Issues on Equity Prices: The Indian Experiences, Indian Journal of Finance and Research, Vol.13, No.1&2. 14. Hadi, M.M., (2006), Review of Capital Market Efficiency: Some Evidence from Jordanian Market, International Research Journal of Finance and Economics, 3, Pp.13-26. 15. Kaur, P. (2010), Valuation Effect of Stock Split in India: Case of BSE Sensex Constituents, Finance India, Vol.XXIV, No.3, Pp.813-831. 16. Khan, A.Q. and Sana, I. (2010), Testing Semi-Strong Form of Efficient Market Hypothesis in Relation to the Impact of Foreign Institutional Investors (FIIs) Investments on Indian Capital Market, International Journals of Trade, Economics and Finance, Vol. 1, No.4, Pp.373-379. www.zenithresearch.org.in
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17. Lakonishok, J and T.Vermaelen (1986), Tax Induced Trading Around Ex-Dividends Days, Journal of Financial Economics, Vol.16, No.3, Pp.287-319. 18. Mishra, A.K. (2005), An Empirical Analysis of Market Reaction around the Bonus Issues in India, The IUP Journal of Applied Finance, Vol.11, No.7, Pp.21-39. 19. Obaidullah, M. (1992), How Do Stock Prices React to Bonus Issues? Vikalpa, Vol.17, No.1, Pp.17-22. 20. Ormos, M, Semi-Strong Form of Market Efficiency in the Hungarian Capital Markets, International Conference on An Enterprise Odyssey: Economics and Business in the New Millennium 2002, Graduate School of Economics and Business, University of Zagreb, Croatia. 21. Raja, M., J.C. Sudhahar and M. Selvam (2009), Testing the Semi-Strong Form Efficiency of Indian Stock Market with Respect to Information Content of Stock Split Announcement A Study in IT Industry, International Research Journal of Finance and Economics, Issue 25 (http://www.eurojournals.com/finance.htm). 22. Rao, S.N. (1994), The Adjustment of Stock Prices to Corporate Financial Policy Announcements, Finance India, Vol.8, No.4, Pp.941-953. 23. Ray, K. K. (2011), Market Reaction to Bonus Issues and Stock Splits in India: An Empirical Study, The IUP Journal of Applied Finance, Vol.17, No.1, Pp.54-69. 24. Sharpe, W.F. (1964), Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, Vol. XIX, No.3, Pp.425-442. 25. Tinic, S.M. and R.R. West (1979), Investing in Securities : An Efficient Market Approach, Addison Wesle, New York. 26. Woolridge, J.R. (1983), Stock Dividends as Signals, Journal of Financial Research, Vol.6, No.1, Pp.1-12.
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EXCEL International Journal of Multidisciplinary Management Studies

EXCEL International Journal of Multidisciplinary Management Studies

EXCEL International Journal of Multidisciplinary Management Studies

EXCEL International Journal of Multidisciplinary Management Studies

EXCEL International Journal of Multidisciplinary Management Studies

EXCEL International Journal of Multidisciplinary Management Studies

EXCEL International Journal of Multidisciplinary Management Studies

where S.E. = Standard error =

where S.E. = Standard error =

= variance of the abnormal returns of stock i for (k1, k2) period

EXCEL International Journal of Multidisciplinary Management Studies

EXCEL International Journal of Multidisciplinary Management Studies

0.0078 -0.0016 -0.0041 0.0199 0.0081 0.0144 -0.0060

0.185 -0.064 -0.130 0.508 0.224 0.420 -0.172

0.0060 -0.0058 -0.0272 -0.0103 -0.0169 -0.0056

0.229 -0.158 -0.339 -0.270 -0.492 -0.373

EXCEL International Journal of Multidisciplinary Management Studies

EXCEL International Journal of Multidisciplinary Management Studies

EXCEL International Journal of Multidisciplinary Management Studies

EXCEL International Journal of Multidisciplinary Management Studies

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