IDEAS home Printed from https://ideas.repec.org/a/aii/ijcmss/v09y2018i2p51-58.html
   My bibliography  Save this article

Effect of Declaration of GST Rates and Changes in the GST Rates on the Sectorial Indices of National Stock Market

Author

Listed:
  • Sai Saran C

    (Research scholar, Department of Commerce, CHRIST (Deemed to be University), Bengaluru, Karnataka, India.)

Abstract

As per the Hypothesis of efficient market, the market is sectioned in three sections in view of how efficiently the market reacts to the private and public information. The main objective of this paper is to check whether there is a presence of volatility in the market due to declaration of GST rates and the declaration of changes in the GST rates and test semi-strong efficiency of Indian stock market. It was discovered that the declaration of GST rates and declaration of changes in GST rates did create an effect on the volatility of stock market. Goods and Service Tax has replaced the existing cascading taxes levied by the governments. It is going to change the way taxes are levied which effects the sentiments of the investors which can been analysed on the reaction of the investors towards stock market. The closing prices of NSE 10 sectorial indices and Nifty index has been used for conducting the study. The study is conducted using OLS, GARCH, and TGARCH. Thus, the study is useful to the regulatory bodies, investors and portfolio managers.

Suggested Citation

  • Sai Saran C, 2018. "Effect of Declaration of GST Rates and Changes in the GST Rates on the Sectorial Indices of National Stock Market," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, vol. 9(2), pages 51-58, May.
    • Handle: RePEc:aii:ijcmss:v:09:y:2018:i:2:p:51-58
    DOI: 10.18843/ijcms/v9i2/06
    as

    Download full text from publisher

    File URL: http://scholarshub.net/index.php/ijcms/article/view/48/42
    Download Restriction: no
    File URL: http://scholarshub.net/index.php/ijcms/article/view/48
    Download Restriction: no
    File URL: https://libkey.io/10.18843/ijcms/v9i2/06?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Dimitrios Asteriou & Aristeidis Samitas & Dimitrios Kenourgios, 2013. "The London 2012 Olympic Games announcement and its effect on the London Stock Exchange," Journal of Economic Studies, Emerald Group Publishing, vol. 40(2), pages 203-221, March.
    2. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    3. Dimitrios Asteriou & Aristeidis Samitas & Dimitrios Kenourgios, 2013. "The London 2012 Olympic Games announcement and its effect on the London Stock Exchange," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 40(2), pages 203-221, May.
    4. Asim Mishra, 2005. "An Empirical Analasis of Market reaction Around the Bonus Issues in India," Finance 0505025, University Library of Munich, Germany.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mahesh Dahal & Joy Das, 2021. "Governmental Announcements and Indian Stock Market: Evidence from Indian Manufacturing Sector," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 13(2), pages 134-146, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lakshmi. B & Rebecca J Alex, 2018. "Effect of GST Rate Announcement on Sectorial Indices of National Stock Exchange," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, vol. 9(1), pages 29-36, January.
    2. Krystian M. Zawadzki & Marcin Potrykus, 2023. "Stock Markets’ Reactions to the Announcement of the Hosts. An Event Study in the Analysis of Large Sporting Events in the Years 1976–2032," Journal of Sports Economics, , vol. 24(6), pages 759-800, August.
    3. Dimitrios Kourtidis & Željko Šević & Prodromos Chatzoglou, 2016. "Mood and stock returns: evidence from Greece," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 43(2), pages 242-258, May.
    4. Abhay Kumar & Rashmi Soni & Iqbal Thonse Hawaldar & Meghna Vyas & Vaibhav Yadav, 2020. "The Testing of Efficient Market Hypotheses: A Study of Indian Pharmaceutical Industry," International Journal of Economics and Financial Issues, Econjournals, vol. 10(3), pages 208-216.
    5. Christiane Goodfellow & Dirk Schiereck & Steffen Wippler, 2013. "Are behavioural finance equity funds a superior investment? A note on fund performance and market efficiency," Journal of Asset Management, Palgrave Macmillan, vol. 14(2), pages 111-119, April.
    6. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    7. Nam, Kiseok & Pyun, Chong Soo & Kim, Sei-Wan, 2003. "Is asymmetric mean-reverting pattern in stock returns systematic? Evidence from Pacific-basin markets in the short-horizon," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(5), pages 481-502, December.
    8. Ito, Akitoshi, 1999. "Profits on technical trading rules and time-varying expected returns: evidence from Pacific-Basin equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 283-330, August.
    9. Carlo Rosa & Giovanni Verga, 2006. "The Impact of Central Bank Announcements on Asset Prices in Real Time: Testing the Efficiency of the Euribor Futures Market," CEP Discussion Papers dp0764, Centre for Economic Performance, LSE.
    10. Xianfeng Jiang & Yongdong Shi, 2006. "The Impact of Insider Trading on the Secondary Market with Order-Driven System," Annals of Economics and Finance, Society for AEF, vol. 7(1), pages 129-143, May.
    11. Aaryan Gupta & Vinya Dengre & Hamza Abubakar Kheruwala & Manan Shah, 2020. "Comprehensive review of text-mining applications in finance," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-25, December.
    12. Thomas Delcey, 2019. "Samuelson vs Fama on the Efficient Market Hypothesis: The Point of View of Expertise [Samuelson vs Fama sur l’efficience informationnelle des marchés financiers : le point de vue de l’expertise]," Post-Print hal-01618347, HAL.
    13. Ariane Szafarz, 2015. "Market Efficiency and Crises:Don’t Throw the Baby out with the Bathwater," Bankers, Markets & Investors, ESKA Publishing, issue 139, pages 20-26, November-.
    14. Hong, Harrison & Rady, Sven, 2002. "Strategic trading and learning about liquidity," Journal of Financial Markets, Elsevier, vol. 5(4), pages 419-450, October.
    15. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of US stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 04/13, Instituto Universitario de Análisis Económico y Social.
    16. Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
    17. Ortiz-Cruz, Alejandro & Rodriguez, Eduardo & Ibarra-Valdez, Carlos & Alvarez-Ramirez, Jose, 2012. "Efficiency of crude oil markets: Evidences from informational entropy analysis," Energy Policy, Elsevier, vol. 41(C), pages 365-373.
    18. Andrey Shternshis & Piero Mazzarisi & Stefano Marmi, 2022. "Efficiency of the Moscow Stock Exchange before 2022," Papers 2207.10476, arXiv.org, revised Jul 2022.
    19. David Peón & Anxo Calvo, 2012. "Using Behavioral Economics to Analyze Credit Policies in the Banking Industry," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 145-160.
    20. Veith, Stefan & Werner, Jörg R. & Zimmermann, Jochen, 2009. "Capital market response to emission rights returns: Evidence from the European power sector," Energy Economics, Elsevier, vol. 31(4), pages 605-613, July.

    More about this item

    Keywords

    OLS; GST; GARCH; TGARCH; Efficient Market.;
    All these keywords.

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aii:ijcmss:v:09:y:2018:i:2:p:51-58. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mr. Asif Anjum (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.