IDEAS home Printed from https://ideas.repec.org/a/taf/oaefxx/v8y2020i1p1723827.html
   My bibliography  Save this article

Stock market reaction to inflation announcement in the Indian stock market: A sectoral analysis

Author

Listed:
  • Gurmeet Singh
  • Lakshmi Padmakumari
  • David McMillan

Abstract

This study investigates the reaction of stock returns to the inflation announcement using time series data from 2012 to 2018. To check the market efficiency or semi-strong efficiency of the Indian Stock Market for inflation announcement, we have used an event study methodology. We selected nine events based on consensus estimate and actual inflation number; we put events into subgroups based on over-estimation, under-estimation, and accurate estimation. We performed an event study on inflation-sensitive sectors such as Banking, Energy, Realty, Service, and FMCG. To check for the above objectives, we calculated Average Abnormal Return (AAR), Cumulative Abnormal Return (CAR), and Cumulative Average Abnormal Return (CAAR). The finding of the study suggests that there are considerable abnormal returns, which are a function of the sector and the regime. Some sectors are more sensitive to inflation announcements, and some regimes are again more sensitive to inflation announcements.

Suggested Citation

  • Gurmeet Singh & Lakshmi Padmakumari & David McMillan, 2020. "Stock market reaction to inflation announcement in the Indian stock market: A sectoral analysis," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1723827-172, January.
    • Handle: RePEc:taf:oaefxx:v:8:y:2020:i:1:p:1723827
    DOI: 10.1080/23322039.2020.1723827
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/23322039.2020.1723827
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/23322039.2020.1723827?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
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    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:taf:oaefxx:v:8:y:2020:i:1:p:1723827. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/OAEF20 .

    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.