SDM - Event Study On Corporate Actions

Event Study of corporates actions on Indian stocks using econometrics tools
Rakesh N
Student,
PG- Commerce Department, Presidency College
rocky71094@gmail.com
8884301246
Thilak Venkatesan
Asst. Professor,
PG- Commerce Department, Presidency College
v.thilak@gmail.com
9740062002
ABSTRACT
Corporate actions of a company play a pivotal role in determining the fluctuations of share prices
in and around the record date. A rational investor can use these actions for a buy or sell decision.
Corporate actions are events initiated by corporates that directly or indirectly effects the total value for the
investor. Corporate actions are aimed at increasing shareholders value in return of their investment with
the company based on their shareholding ratio. These actions are issue of bonus, splits, dividends, buy
backs etc., the literature depict that there is an impact of these corporate action on the share prices
of the listed companies. The earlier studies focussed individually on a corporate action, (say
issue of bonus and its effect on share prices). The paper focusses to consider all the major
corporate actions such as bonus issues, stock splits, and rights issues of companies listed at
National stock exchange during 2014-2016. An attempt is made to envisage the combined effect
of these corporate actions using the 31-day event period. This study also focuses on testing the
market efficiency of these corporate actions using econometrics tools such as Autocorrelation
test, Unit root test, Variance ratio test and Runs test
Key words: Corporate action, market efficiency, autocorrelation, stationarity, variance ratio test,
Runs test.
JEL Classification: C58, D53, G10, G14.

Introduction:
Research on corporate actions and market efficiency is a dominant and one of the interesting
topics in the academic world. Conducting research on corporate actions would enable the
academicians and Pr actioners to acknowledge the pattern of securities during the event period
and enable to assess those using different models. By conducting the research, the PR actioners
can delineate the strategies to gain the advantage over the market with the knowledge of market
timings and announcement of corporate actions. Although there are many studies in the field of
market efficiency, this is a combined study of market efficiency and effects of corporate actions
on listed companies in Nifty 50 index for the period of three years using the econometrics tools
such as, Augmented Dicky Fuller test, Auto correlation test, Variance Ratio test, runs test and
also test the significance of the returns generated during the event period. The pioneer in market
efficiency (Fama) has identified three forms of market efficiency namely: strong form, semi-
strong form, weak form. This paper tries to identify the effect of Indian corporate actions on the
Nifty 50 listed companies.
Statement of problem.
Although there have been studies on corporate actions globally, the combined effect of major
corporate actions such as bonus issues, rights issue, stock splits collectively have not yet been
analysed deeply.
This gap paves the way to the researches to find out whether corporate events influence shares
prices by using the econometrics tools such as, ADF test, Auto correlation, Variance ratio test,
Runs test.
Review of literature:
Rajesh Khorana et al (2016), the study was made on stock price prior and after the bonus issue
announcements. The authors have selected 34 companies from 11 sectors have been considered
in the sample period from 2006 to 2012. The results indicate that there are significant positive
abnormal returns for an eight-day period prior to bonus issue announcement in line with
evidence from developed stock market. On the announcement day there is negative AAR of
-0.01% which is very low and significant at 1% level (z value = 3.84). The results provide
stronger evidence of semi-strong efficiency of the Indian stock market.
Dr. Raja Mohan et al (2014),has attempted to examine the impact of corporate announcements
like bonus shares, right shares, on the stock prices of bank nifty using the non –parametric
test(Wilcoxon matched paired test). The authors have found out that there is significant impact
on price movements of shares & it also gives an opportunity to the investors to make the profit
during such announcements.
Subhendu Kumar Pradhan et al (2014), the authors investigated the impact of bonus
announcements on share prices of ten listed companies on BSE-200 INDEX. On conducting the
test like AAR, CAAR, T-TEST, the author witnessed six companies have positive CAAR, &four
have negative, the correlation test exerts impact on stock price due to bonus issue.& . Results
reveal that companies earn positive abnormal returns before bonus announcement and negative
abnormal returns after bonus announcement in short period. Further results reveal that share
price changes are irrelevant to market changes.
Ahasan Habib Sarkar et al (2014), the authors have made an attempt to examine the stock
price reaction to the bonus issue announcement in Dhaka Stock Exchange (DSE) in Bangladesh.
Data of all the 136 right issues from six different sectors. During 2009 to 2012 by using
combined event study methodology. Findings reveal statistically significant abnormal returns on
and around the bonus issue announcement dates which supports investors have anticipated the
informational content of the event, & gained access to inside information. The Results of this
study imply that DSE is not semi-strong form efficient with respect to past information on bonus
issue announcements.
Agnes Ogada (2014), the purpose of this study was to establish the impact of rights issue on
share returns of firms listed on the Nairobi Securities Exchange. The study adopted an event
study methodology which attempted to establish the information content of rights issue on share
returns. The population of this study was 18 companies listed in the NSE. Secondary data
collected spans 7 years from 2005-2012. Finally, results led to the conclusion that the expected
returns as well as the market returns were significantly higher after rights issue than before
rights issue concluding prediction.
Babitha Rohith (2013),the authors have made an attempt to investigate the short term behavior
of stock prices due to stock splits of listed companies in BSE for the period of January 2009 to
December 2013. The results exhibit that there is positive abnormal return on the date of
announcement with the use of statistical tools like AAR, CAAR, and T-TEST. 37 out of 56
sample companies show positive abnormal average return on the announcement day of the split.
Applying hypothesis testing, the study concludes that there are abnormal returns on the day of
the stock split announcement.
Fakru Khan, Thoufiqualla (2013), the authors have tried to analyses the impact of bonus issue
on market by taking 12 companies listed in NSE in different sectors from December 2012 to
November 2013. On conducting T-test, the authors found that 9 out of 12 companies showed
positive result, 2 companies negative, 1 company unchanged. From this we could make out that
there were no abnormal returns. The reasons for stock prices to come down before the date of the
announcement could be information leakage or actual anticipation. & also cautions investors.
Suresha.B et al (2012), the authors examined the presence of any abnormal volume on issue of
bonus shares for the period using an event study methodology for Nifty stocks from 1995 to
2011, with a view to test the efficiency of the market in absorbing the material information on
bonus issue& to understand the price pressure & liquidity around the announcement date. The
study found out that the Indian market reacts positively to bonus issues& increase in volumes of
shares traded around the bonus issues date.
Sujith Kumar S H et al, (2011) The paper examined the announcement effects of bonus
announcement and right issue on the Indian stock market during the period April 1996 to March
2011. . An event study is using a 31-day event window comprising the companies forming a part
of NIFTY are considered for the study. The authors focused to test the speed with which the
Bonus announcement and Right issue information are impounded in the share prices of nifty
constituent companies, which resulted in generating of abnormal returns for a shorter period
which is beneficial for the investor to make positive abnormal returns.
Muhammad Fayyaz Sheikh et al (2011), the authors have tried to explore the effect of cash
paid as dividend on share price. The study also exerts on announcement value. Is tested on a
sample of around100 corporate dividend announcements in Karachi Stock Exchange (KSE),
during the period of 2005 to 2009. Risk adjusted model was used to study the impact of cash
dividend. the results generated through CAAR, AAR, exhibit positively, scope for insider
trading, arbitrage opportunities.
Prithul Chakraborty (2011), the author has examined that Indian stock market is pricing
efficient in semi-strong form. The Author has made the examination of 17 stocks in S&P CNX
NIFTY during the period February 2000 to January 2010. In this paper, the author has used
market model of event study methodology. The CAAR for most of the time intervals in the pre-
and post-announcement periods are statistically significant. However, it is observed that the
CAAR 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.
Raja et al (2010),the authors made an attempt to examine the information content of bonus
issue management, & also to suggest the investment strategies for investors, fund managers,
analysts. The t-test method was used & results depicted that security prices reacted to
announcement of bonus issue (IT) companies.to conclude the study the result showed a semi-
efficient reaction to bonus announcements.
Roji George et al (2007), the authors study investigates impacts on prices of bonus issues
around announcement dates using daily return in India with the help of Market Adjusted Excess
Return Model (Balachandran and Sally (2001). It also investigates the impact of bonus ratio on
price behaviour so as to find whether large size bonus issues have more information content than
small size issues. The period of event study was January 2004 to March 2005 which collected 54
bonus issues of 50 companies listed in BSE. On conducting ANOVA, the results didn’t influence
short term price behaviour but may influence long term price behaviour.
Dr.A.K. Mishra (2004), the author has investigated the effect of bonus announcement on Indian
stock market. The period of study was June 1998 to august 2004, a sample of 46 bonus issue was
used to in this study. By using AAR method, the author found that there is positive abnormal
returns 9 days prior to the announcement date, this has given an evidence that Indian market is
semi- strong.
Roy batchelor et al (2002) working paper, the authors tried to capture the induced changes in
volatility of the stock prices, they made a study to find out a systematic pattern in result
associated with stock dividend payments. The GARCH model along with regression, CAAR,
was used to test this impact for the period of 1990-1994 of stocks listed in Istanbul stock
exchange. The study gave a result showing statistically insignificant (no systematic price
reaction), the share prices are exceptionally volatile on the date of announcement& also
informationally inefficient.
Objective of the Study
 To investigate the short-term behavior of stock prices of bonus, splits, rights, around
the announcement date using data from the National Stock Exchange.
 To test the significance of the returns around the announcement date.
 To examine the information content of bonus, splits, rights announcement made by
the Nifty constituent companies.
 To envisage whether corporate actions can be treated as events?
Sample Selection
The study intends to cover the all the companies listed in National Stock Exchange (NSE).
Which issued bonus, splits, rights during the period from January 1 st 2014 to December 31st
2016 (189) companies which satisfy the following criteria were selected for the purpose of
study. (Secondary data source)
 Availability of the dates of announcement of bonus, splits, rights issue.

 Availability of Bonus, rights, splits issue announcement information.
 Availability of stock prices before and after the announcement.
 Confounding events are eliminated in order to derive at a reliable analysis.
The information regarding closing price, bonus rights, splits issue information, dates of bonus
issue announcements were obtained from NSE website. (http//www.nseindia.com).
Limitations of the Study
 This study is restricted with only NSE listed companies.

 The period of study is limited to 3 years (1st Jan 2014 to 31st December 2016).
 The event window consist of 61 days, which can extended as per the appetite of the
researcher.
Data methodology:
This empirical study is based on the daily closing values of companies which announced
Bonus, Stock splits, Rights, listed on National Stock Exchange during the period January 2014-
December 31st 2016.
The test used in this study are:
1. Autocorrelation.
It is also called as serial correlation is the test of serial dependency. It is the most common test
for Random Walk Hypothesis in a form of estimates of serial correlation for stock prices .The
autocorrelation test examines whether the coefficient of correlation is significantly different from
zero or is nearly zero. The former one indicates that there is an evidence of serial correlation
which indicates non-random ness in series and the latter one implies the Randomness of the
series. In this study 28 lags are selected.
H01: Bonus, splits, rights series has a serial dependency.
Ha1: Bonus, splits, rights series does not have a serial dependency.
2. Unit root test.
The augmented dicky fuller test is the augmented version of the dicky fuller for more
complicated and large set of time series model. The ADF test normally has a negative test value,
the more negative the test value, the more is rejection of null hypothesis of the test. Here the null
hypothesis is that, the time series has unit root or is non stationary. Testing the stationarity or non
– stationarity of the time series is one of the ways to test market efficiency. Unit root test is
useful test to find whether the stochastic process is stationary or not.
H02: Bonus, splits, Rights has a unit root
Ha2: Bonus, splits, Rights does not have unit root.
3. Variance ratio test.
Variance ratio test is considered more powerful and more reliable than traditional tests such as
ADF, auto correlation. There are two to calculate the variance ratio, they are Lo and McKinley,
Wald test. It is used to test whether stock prices follow a random walk. It uses the property of
RWH that when variances are compared over different periods, the variance of the incremental
should be linear in observation interval.
H03: Bonus splits, Rights has a martingale (or) non-random.
Ha3: Bonus, splits, Rights does not have a martingale (or) is random
4. Runs test.
The runs test analyses the occurrence of similar events that are separated by events that are
different.
The runs test model is important in determining whether an outcome of a trial is truly random,
especially in cases where random versus sequential data has implications for subsequent theories
and analysis. This test checks whether or not the number of runs are the appropriate number of
runs for a randomly generated series. The observations from the two independent samples are
ranked in increasing order, and each value is coded as a 1 or 2, and the total number of runs is
summed up and used as the test statistics.
H04: Data used to perform Runs test for Bonus, Splits, Rights are random (p value> 0.05)
Ha4: Data used to perform Runs test for Bonus, Splits, Rights are not random (P value< 0.05)
DATA ANALYSIS AND INTERPRETATION:
The stock prices were obtained from www. Nseindia.in for the 31 day before and after the
announcement of specified corporate actions and computed (differenced prices) with the use of
eviews7 software and tabulated in Microsoft excel.
Table.1 showing summary output of bonus announcements in the year 2014
BONUS 2014 ADF Runs test

COMPANY NAME 1st diff Constant trend Runs p-value
SHARON 0 0.46 0.79 12 0.002*
RAJTV 0 0.72 0.93 9 0.291
MAYUR 0 0.95 0.88 26 0.467
GMBRE 0 0.82 0.87 29 0.628
MINDTRE 0 0.57 0.31 23 0.875
GRUH 0 0.73 0.93 23 0.550
DEEPAK 0 0.95 0.68 10 0.001*
LYBBR 0 0.58 0.30 34 0.293
SHRENUJ 0 0.76 0.84 24 0.193
SHILPI 0 0.58 0.46 19 0.001*
LYPSA 0 0.31 0.85 26 0.229
SUNCHEM 0 0.66 0.99 11 0.464
THEBYKE 0 0.57 0.94 7 0.659
VIKAS 0 0.06 0.16 16 0.002*
NITIN 0 0.56 0.77 30 0.774
INFY 0 0.74 0.97 20 0.908
The above table infers that the company’s issues bonus during the year 2014 depicts that on
computing ADF test it is obvious that at 1 st difference all companies are stationary performing
the Runs test we can find out that out of 16 companies 4 companies p-values is less than 0.05
which implies non-randomness in these companies. The remaining 12 companies’ p-value is
greater than 0.05 which implies randomness in these companies.
Table 2 showing Variance ratio test for bonus companies in the year 2014
Bonus 14 Joint test Variance ratio using specified lags

COMPANY
NAME wald maz 2 5 10 30
SHARON 0.98 0.87 0.82 0.28 0.04 0.09
RAJTV 0.13 0.01 0.33 0.16 0.28 0.4
MAYUR 0.78 0.37 3.48* 2.15* 0.41 0.12
GMBRE 0.05 0.4 0.47 0.18 0.793 0.796
MINDTRE 0.95 0.77 0.72 0.49 0.37 0.34
1.587
GRUH 0 0.98 0.81 0.851 0.855 *
DEEPAK 0.00 0.27 0.49 0.57 0.8 2.31*
LYBBR 0.29 0.79 0.632 0.609 0.739 1.05*
10.19
SHRENUJ 0.00 0.01 0.83 2.93* 6.31* *
SHILPI 0.2 0.65 1.18* 1.19* 0.79 0.26
LYPSA 0.43 0.99 0.9 1.55 0.332 0.182
SUNCHEM 0.06 0.04 0.22 0.253 0.21 0.577
THEBYKE 0.85 0.52 0.61 0.06 0.07 0.08
VIKAS 0 0.63 1.61* 0.72 1.3 0.43
25.21
NITIN 0 0 19.6* 7.56* 10.86* *
INFY 0.37 0.05 0.42 0.21 0.13 0.19
The table depicts the summary output of variance ratio test performed on bonus during the year
2014. From the above table, it is evident that the variance ratios at different lags. the variance
ratios for majority companies is less than 1 which tells us that there is slight mean reversion and
possibility of prices changes in the opposite direction. The companies named Shrenuj and Nitin
ltd have variance ratio which is greater than 1 which implies that these two companies have
tendency to form trends, and changes in share prices are expected to be in same direction which
can yield investors upon right time on Investment.
Table 3. Showing summary output of bonus announcements in the year 2015
ADF Runs test

COMPANY NAME 1st diff Constant Trend Runs P-value
GODREJIND 0 0.68 0.33 32 0.88
PERSISTENT 0 0.55 0.93 17 0.37
RAIREKMOH 0 0.45 0.17 30 0.81
HCLTECH 0 0.80 0.83 22 0.57
TECHM 0 0.62 0.99 12 0.02*
AARTIDRUGS 0 0.98 0.78 23 0.03*
WABAG 0 0.99 0.65 23 0.15
INSECTICID 0 0.79 0.97 21 0.01*
VIVIDHA 0 0.52 0.94 17 0.22
INFY 0 0.58 0.90 24 0.84
CMAHENDRA 0 0.14 0.75 36 0.24
SRSLTD 0 0.60 0.76 30 0.98
RELAXO 0 0.85 0.90 22 0.57
KOTAKBANK 0 0.64 0.96 21 0.86
FEDERALBNK 0 0.65 0.99 23 0.26
MAITHANALL 0 0.84 0.80 30 0.39
AUROPHARMA 0 0.90 0.82 24 0.60
MOTHERSUMI 0 0.96 0.62 20 0.01*
MBLINFRA 0 0.81 0.84 23 0.42
DHFL 0 0.50 0.88 23 0.83
BEL 0 0.31 0.62 15 0.00*
DIVISLAB 0 0.72 0.96 21 0.36
COLPAL 0 0.51 0.84 16 0.03*
APCOTEXIND 0 0.31 0.44 32 0.81
SHIVAMAUTO 0 0.69 0.92 26 0.88
RUBYMILLS 0 0.65 0.79 27 0.55
ECLERX 0 0.57 1.00 28 0.42
VENKEYS 0 0.52 0.96 33 0.62
MARICO 0 0.80 0.91 21 0.77
ALLCARGO 0 0.77 0.83 32 0.32
Table 4. Showing Variance ratio test for bonus companies in the year 2015

COMPANY
NAME wald Maz 2 5 10 30
GODREJIND 0.08 0.01 0.3 0.23 0.11 0.095
PERSISTENT 0 0 2.28* 1.83* 1.21* 2*
RAIREKMOH 0.75 0.63 0.58 0.47 0.33 0.27
HCLTECH 0.03 0.00 0.49 0.19 0.101 0.033
TECHM 0.609 0.741 0.626 0.427 0.57 0.268
AARTIDRUGS 0 0.16 0.42 0.27 0.34 0.71
WABAG 0.2 0.09 0.38 0.42 0.33 0.47
INSECTICID 0.23 0.07 0.23 0.17 0.152 0.341
VIVIDHA 0 0 1.05* 0.64 0.71 10.73*
INFY 0.88 0.96 0.75 0.68 0.467 0.927
CMAHENDRA 0 0.7 0.51 0.59 2.23* 4.09*
SRSLTD 0 0.07 0.316 0.26 0.7 0.65
RELAXO 0 0.31 0.51 0.44 0.6 1.07
KOTAKBANK 0 0.86 0.85 0.8 1.27 2.9
FEDERALBNK 0.9 0.88 0.97 0.18 0.07 0.017
MAITHANALL 0.06 0.72 0.6 0.28 0.17 0.68
AUROPHARMA 0.66 0.26 0.5 0.25 0.079 0.069
MOTHERSUMI 0.15 0.01 0.24 0.11 0.039 0.031
MBLINFRA 0.83 0.98 0.87 0.82 0.312 0.205
DHFL 0.45 0.07 0.27 0.1 0.066 0.006
BEL 0 0.01 0.205 0.17 0.422 0.291
DIVISLAB 0.86 0.48 0.722 0.206 0.07 0.069
COLPAL 0.18 0.02 0.151 0.151 0.15 0.029
APCOTEXIND 0 0 3.68* 0.75 0.26 0.69
SHIVAMAUTO 0.41 0.347 0.49 0.522 1.066 1.13*
RUBYMILLS 0.77 0.82 0.7 0.62 0.14 0.26
ECLERX 0.03 0.01 0.07 0.22 0.16 0.06
VENKEYS 0 0 2.57* 1.74* 1.52* 4.63*
MARICO 0.49 0.13 0.45 0.35 0.16 0.117
ALLCARGO 0.18 0.97 0.903 0.48 0.531 1.055
possibility of prices changes in the opposite direction. The 6 companies have variance ratio
which is greater than 1 which implies that these companies have tendency to form trends, and
changes in share prices are expected to be in same direction which can yield investors upon right
time on Investment.
Table 5 showing summary output of bonus announcements in the year 2016
ADF Runs test

COMPANY NAME 1st diff constant trend Runs P-value
KOTHARIPRO 0 0.66 0.44 24 0.06
MINDTREE 0 0.65 0.94 15 0.19
RAMASTEEL 0 0.58 0.95 11 0.46
TIDEWATER 0 0.69 0.99 9 0.00*
VIVIDHA 0 0.01 0.21 12 0.00*
DISHMAN 0 0.46 0.88 23 0.29
GMBREW 0 0.32 0.91 26 0.16
ITC 0 0.96 0.79 31 0.81
HATSUN 0 0.99 0.77 29 0.63
BPCL 0 0.82 0.93 24 0.89
GANESHHOUC 0 0.79 0.79 28 0.88
GRINDWELL 0 0.71 0.94 11 0.46
BERGEPAINT 0 0.68 0.75 29 0.76
KTIL 0 0.94 0.75 30 0.83
PFC 0 0.82 0.92 25 0.87
MENONBE 0 0.86 0.88 28 0.39
NBVENTURES 0 0.44 0.71 33 0.20
TECHNO 0 0.84 0.81 23 0.59
BAJFINANCE 0 0.94 0.75 9 0.29
SYMPHONY 0 0.49 0.77 16 0.02*
HINDPETRO 0 0.55 0.86 13 0.01*
RECLTD 0 0.79 0.94 24 0.34
8KMILES 0 0.62 0.99 16 0.03*
IOC 0 0.74 0.94 27 0.85
ALANKIT 0 0.56 0.89 31 0.98
SUNILHITEC 0 0.09 0.35 17 0.02*
INDIANHUME 0 0.50 0.84 19 0.06
ONGC 0 0.77 1.00 24 0.46
BALMLAWRIE 0 0.93 0.78 13 0.08
ENGINERSIN 0 0.85 0.86 26 0.64
Table 6 showing Variance ratio test for bonus companies in the year 2016.

COMPANY
KOTHARIPRO 0 0.017 0.21 0.6 0.54 1.51
MINDTREE 0.91 0.88 0.89 0.34 0.31 0.2
RAMASTEEL 0.41 0.06 0.4 0.26 0.15 0.07
TIDEWATER 0 0.05 1.83* 0.28 0.09 0.02
DISHMAN 0 0.131 0.41 0.19 0.52 0.83
GMBREW 0 0.7 0.46 0.47 0.33 0.911
ITC 0.07 0.54 0.582 0.584 0.317 0.476
HATSUN 0.05 0.04 0.306 0.349 0.303 0.605
BPCL 0.34 0.04 0.43 0.235 0.123 0.023
GANESHHOUC 0.00 0.95 0.72 1.191* 1.29* 1.7*
GRINDWELL 0.6 0.63 0.95 0.08 0.12 0.13
BERGEPAINT 0 0.74 0.68 0.55 0.51 0.68
KTIL 0.79 0.97 1.13* 0.607 0.05 0.464
PFC 0 0.67 0.648 0.423 0.551 0.648
MENONBE 0.56 0.65 0.97 0.134 0.146 0.057
NBVENTURES 0.8 0.38 0.47 0.29 0.09 0.02
TECHNO 0.34 0.37 0.523 0.35 0.158 0.28
BAJFINANCE 0.00 0.31 0.57 0.22 0.49 0.63
SYMPHONY 0 0.1126 0.4 0.711 0.82 1.22
HINDPETRO 0.53 0.65 0.81 0.23 0.35 0.42
RECLTD 0.68 0.26 0.55 0.28 0.12 0.05
8KMILES 0.09 0.02 0.196 0.26 0.205 0.056
IOC 0.00 0.00 0.178 0.396 0.361 0.339
ALANKIT 0 0.73 0.68 1.58* 2.28* 3.59*
SUNILHITEC 0.84 0.95 0.99 0.79 0.19 0.05
INDIANHUME 0.09 0.01 0.22 0.231 0.157 0.131
ONGC 0.374 0.1 0.483 0.187 0.144 0.154
BALMLAWRIE 0 0 2.944* 0.3581 0.3588 0.221
ENGINERSIN 0.45 0.07 0.4 0.187 0.127 0.067
possibility of prices changes in the opposite direction. The 5 companies have variance ratio
time on Investment.
Table 7 showing summary output of Splits announcements in the year 2014
splits 14 ADF Runs test

COMPANY NAME 1st diff constant trend Runs p-value
AXISBANK 0 0.75 0.92 8 0.60
HAVELLS 0 0.62 0.97 13 0.26
MANINFRA 0 0.64 0.96 13 0.80
J&KBANK 0 0.48 0.83 11 0.11
ALKYLAMINE 0 0.88 0.91 29 0.41
ATULAUTO 0 0.96 0.83 34 0.51
PANAMAPET 0 0.72 0.99 21 0.54
LAOPALA 0 0.78 0.99 17 0.08
ASTRAL 0 0.96 0.77 17 0.00*
SHIVAMAUTO 0 0.87 0.81 15 0.19
SBIN 0 0.75 0.94 9 0.28
SURANAT&P 0 0.42 0.83 27 0.63
GODFRYPHLP 0 0.72 0.93 7 0.66
ICICIBANK 0 0.78 0.89 5 0.01*
JKTYRE 0 0.90 0.78 19 0.17
PNB 0 0.78 0.87 15 0.29
BSLIMITED 0 0.53 0.87 12 0.09
KSCL 0 0.79 0.94 19 0.97
SWANENERGY 0 0.39 0.78 13 0.78
RSYSTEMS 0 0.94 0.86 9 0.03*
Table 8 showing Variance ratio test for Splits companies in the year 2014
splits 14 Joint test Variance ratio using specified lags

COMPANY NAME wald Maz 2 5 10 30
AXISBANK 0.1 0.07 0.36 0.26 0.67 0.43
HAVELLS 0 0.9 0.83 0.55 1.29* 1.43*
MANINFRA 0 0.01 2.09* 2.63* 4.22* 6.21*
J&KBANK 0.03 0.00 0.04 0.14 0.06 0.13
ALKYLAMINE 0.43 0.24 0.51 0.39 0.35 0.54
ATULAUTO 0.91 0.56 0.57 0.3 0.14 0.24
PANAMAPET 0 0.47 0.94 0.26 2.02 NA
LAOPALA 0.4 0.06 0.44 0.22 0.09 0.16
ASTRAL 0.62 0.38 0.68 0.16 0.07 0.107
SHIVAMAUTO 0 0.057 1.35* 1.13* 3.56* 5.66*
SBIN 0.88 0.62 0.62 0.42 0.09 0.04
SURANAT&P 0 0 6.25 0.8 1.91* 0.68
GODFRYPHLP 0.71 0.65 0.89 0.23 0.25 0.137
ICICIBANK 0.81 0.44 0.67 0.18 0.16 0.71
JKTYRE 0 0.74 0.59 0.48 1.05* 1.37*
PNB 0.27 0.29 0.47 0.46 0.4 0.79
BSLIMITED 0.93 0.89 0.69 0.3 0.112 0.102
KSCL 0.08 0.01 0.37 0.1 0.157 0.136
SWANENERGY 0.99 0.99 1.04* 0.59 0.14 0.06
RSYSTEMS 0.98 0.85 0.82 0.4 0.2 0.05
The table depicts the summary output of variance ratio test performed on splits during the year
2014. From the above table it is evident that the variance ratios at different lags. the variance
possibility of prices changes in the opposite direction. Out of 6 companies which had variance
ratio > 1, named Shivam auto and maninfra ltd implies that these two companies have tendency
to form trends, and changes in share prices are expected to be in same direction which can yield
investors upon right time on Investment.
Table 9 showing summary output of Splits announcements in the year 2015

COMPANY NAME 1st diff constant trend Runs p-value
HATHWAY 0 0.61 0.97 12 0.09
BERGEPAINT 0 0.93 0.76 31 0.97
RSSOFTWARE 0 1.00 0.61 25 0.31
CORPBANK 0 0.72 0.95 7 0.10
BANKBARODA 0 0.62 0.99 15 0.29
TATACOFFEE 0 0.59 0.93 7 0.10
POLYMED 0 0.77 0.95 23 0.64
HIKAL 0 0.60 1.00 13 0.08
TECHM 0 0.56 0.91 12 0.02*
AJANTPHARM 0 0.99 0.77 23 0.21
GRANULES 0 0.70 0.99 8 0.00*
KANSAINER 0 0.50 0.86 11 0.49
KSERASERA 0 0.74 0.89 14 0.08
PITTILAM 0 0.80 0.88 30 0.74
TWL 0 0.19 0.48 15 0.07
FCL 0 0.93 0.80 23 0.88
JMTAUTOLTD 0 0.34 0.31 22 0.08
SIGNET 0 0.78 0.93 17 0.22
ITDCEM 0 0.79 0.91 13 0.27
AEGISCHEM 0 0.54 0.87 16 0.38
ALANKIT 0 0.57 0.91 16 0.38
CADILAHC 0 0.64 0.96 14 0.69
BATAINDIA 0 0.49 0.88 25 0.63
LAMBODHARA 0 0.78 0.81 22 0.12
SARLAPOLY 0 0.50 0.82 17 0.69
SHILPAMED 0 0.64 0.96 24 0.62
NATCOPHARM 0 0.64 0.97 7 0.66
AVANTIFEED 0 0.34 0.70 15 0.48
JAMNAAUTO 0 0.61 0.90 27 0.31
JKIL 0 0.57 0.92 16 0.00*
SMSPHARMA 0 0.80 0.89 13 0.25
INDTERRAIN 0 0.78 0.86 21 0.77
The above table infers that the company’s issues splits during the year 2015 depicts that on

COMPANY NAME wald maz 2 5 10 30
HATHWAY 0.83 0.86 0.92 0.11 0.19 0.06
BERGEPAINT 0.26 0.80 0.68 0.80 0.69 1.91*
RSSOFTWARE 0.39 0.26 0.50 0.36 0.27 0.40
CORPBANK 0.61 0.46 0.43 0.48 0.11 0.16
BANKBARODA 0.42 0.09 0.36 0.12 0.15 0.05
TATACOFFEE 0.74 0.38 0.54 0.14 0.04 0.10
POLYMED 0.9 0.92 0.98 0.52 0.17 0.34
HIKAL 0 0.76 0.63 0.61 1.04* 2.57*
TECHM 0 0.8 0.63 0.52 0.67 0.41
AJANTPHARM 0.07 0.01 0.32 0.37 0.10 0.02
GRANULES 0 0.19 0.51 0.44 0.65 1.07*
KANSAINER 0.7 0.71 0.90 0.21 0.30 0.32
KSERASERA 0.37 0.24 0.64 0.24 0.31 0.21
PITTILAM 0.45 0.81 0.26 0.20 0.57 1.27*
TWL 0 0.13 0.46 0.97 1.85* 5.12*
FCL 0 0.21 0.34 0.18 0.30 0.20
JMTAUTOLTD 0.03 0.00 0.40 0.30 0.33 0.53
SIGNET 0.21 0.16 0.56 0.90 1.36 2.69
ITDCEM 0.01 0.92 0.72 0.39 0.50 0.74
AEGISCHEM 0 0.87 0.80 0.40 0.68 0.82
ALANKIT 0 0.89 0.67 0.51 0.54 1.20*
CADILAHC 0 0.92 1.01* 0.28 0.56 0.85
BATAINDIA 0 0.82 0.29 1.40* 1.46* 2.79*
LAMBODHARA 0 0.17 0.47 0.36 0.42 0.29
SARLAPOLY 0.56 0.22 0.45 0.66 0.64 0.81
SHILPAMED 0 0.34 0.42 0.19 0.28 0.40
NATCOPHARM 0.08 0.06 0.08 0.23 0.15 0.07
AVANTIFEED 0.09 0.01 0.36 0.12 0.35 0.54
JAMNAAUTO 0.15 0.04 0.36 0.12 0.36 0.54
JKIL 0.79 0.53 0.60 0.24 0.25 0.23
SMSPHARMA 0.03 0.00 0.84 0.41 0.70 0.72
INDTERRAIN 0.31 0.65 0.56 0.90 1.37* 2.69*
2015. From the above table it is evident that the variance ratios at different lags. the variance
possibility of prices changes in the opposite direction. The 19 companies( *) have variance ratio
time on Investment
Table 11. Showing summary output of Splits announcements in the year 2016

GREENPLY 0 0.71 0.94 11 0.46
MOLDTKPAC 0 0.06 0.10 22 0.38
PRAKASHSTL 0 0.31 0.74 18 0.05
RAMASTEEL 0 0.56 0.93 11 0.47
TIDEWATER 0 0.69 0.99 9 0.00
PRECWIRE 0 0.48 0.77 21 0.14
WELSPUNIND 0 0.61 0.95 13 0.27
VIVIMEDLAB 0 0.68 0.97 10 0.17
NBCC 0 0.52 0.85 13 0.38
LUXIND 0 0.68 0.96 7 0.66
SOLARINDS 0 0.63 0.98 8 0.60
KTIL 0 0.94 0.75 30 0.83
PNCINFRA 0 0.60 0.95 13 0.38
PILITA 0 0.96 0.88 17 0.37
VGUARD 0 0.89 0.80 11 0.46
0.4
0.40
BAJFINANCE 0 9 7 0.10
TRENT 0 0.83 0.87 5 0.76
MINDAIND 0 0.79 0.97 9 0.29
JMTAUTOLTD 0 0.37 0.79 31 0.15
KAJARIACER 0 0.88 0.65 21 0.23
GRASIM 0 0.73 0.90 11 0.54
8KMILES 0 0.62 0.99 16 0.03
GAL 0 0.93 0.69 21 0.38
CAPLIPOINT 0 0.87 0.84 20 0.57
VIJIFIN 0 0.99 0.77 11 0.54
BHAGERIA 0 0.47 0.39 25 0.12
ICIL 0 0.65 0.99 15 0.19
KARURVYSYA 0 0.11 0.11 11 0.47
CGCL 0 0.29 0.68 19 0.34
KPRMILL 0 0.89 0.77 24 0.84
SUNILHITEC 0 0.09 0.35 17 0.02
KNRCON 0 0.59 0.91 17 0.18
ALANKIT 0 0.30 0.52 26 0.58
GULPOLY 0 0.64 1.00 8 0.00
The above table infers that the company’s issues splits during the year 2016depicts that on

COMPANYNAME wald maz 2 5 10 30
GREENPLY 0 0.99 0.81 0.79 0.96 1.31*
MOLDTKPAC 0.8 0.5 0.58 0.13 0.08 0.02
PRAKASHSTL 0 0.23 1.07* 1.97* 1.85* 3.97*
RAMASTEEL 0.41 0.06 0.41 0.26 0.15 0.07
TIDEWATER 0 0.05 1.83* 0.28 0.09 0.02
PRECWIRE 0 0.56 0.59 1.02* 1.61* 2.57*
WELSPUNIND 0 0.99 0.93 0.85 1.11* 1.36*
VIVIMEDLAB 0.86 0.99 1.06* 0.56 0.71 0.66
NBCC 0.89 0.63 0.70 0.19 0.11 0.02
LUXIND 0.29 0.91 0.84 0.20 0.44 0.95
SOLARINDS 0.65 0.61 0.54 0.38 0.72 0.83
KTIL 0.79 0.97 1.13* 0.60 0.05 0.46
PNCINFRA 0.4 0.15 0.44 0.33 0.31 0.39
PILITA 0.29 0.05 0.49 0.32 0.11 0.19
VGUARD 0.00 0.38 1.52* 0.42 0.26 0.80
BAJFINANCE 0.01 0.33 0.56 0.19 0.38 0.37
TRENT 0.79 0.34 0.57 0.34 0.12 0.03
MINDAIND 0.53 0.1 0.46 0.22 0.21 0.06
JMTAUTOLTD 0 0.84 0.65 1.16* 0.82 1.50*
KAJARIACER 0.67 0.98 0.79 0.56 0.58 0.41
GRASIM 0.75 0.47 0.57 0.23 0.25 0.03
8KMILES 0.09 0.02 0.19 0.26 0.20 0.05
GAL 0 0 2.03* 2.66* 5.28* 12.34*
CAPLIPOINT 0.00 0.00 0.10 0.41 0.31 0.63
VIJIFIN 0.55 0.18 0.48 0.22 0.21 0.55
BHAGERIA 0.06 0 0.53 0.17 0.08 0.02
ICIL 0.66 0.24 0.48 0.28 0.12 0.16
KARURVYSYA 0 0.005 1.70* 3.42* 2.76* 5.07*
CGCL 0 0 2.67* 7.83* 11.67* 20.31*
KPRMILL 0 0.029 1.34* 1.62* 2.84* 6.31*
SUNILHITEC 0.83 0.95 0.99 0.79 0.19 0.05
KNRCON 0.92 0.59 0.55 0.28 0.17 0.12
ALANKIT 0 0.27 0.46 0.48 1.11* 1.53*
GULPOLY 0.203 0.069 0.34 0.32 0.17 0.22
2016. From the above table it is evident that the variance ratios at different lags. The variance
ratios out of 34 companies include 20 companies where variance ratio is less than 1 which tells
us that there is slight mean reversion and possibility of prices changes in the opposite direction.
The remaining 14 companies have variance ratio which is greater than 1 which implies that these
companies have tendency to form trends, and changes in share prices are expected to be in same
direction which can yield investors upon right time on Investment.
Table 13 showing summary output of Rights announcements in the year 2014
rights 14 ADF Runs test

COMPANY NAME 1st diff Constant Trend Runs p-value
MUKANDLTD 0 0.21 0.19 38 0.12
WHEELS 0 0.91 0.70 32 0.89
IL&FSTRANS 0 0.97 0.79 23 0.04*
EASUNREYRL 0 0.75 0.89 31 0.80
TATAPOWER 0 0.21 0.19 31 0.91
RAMCOSYS 0 0.00 0.00 28 0.42
INDHOTEL 0 0.85 0.82 27 0.20
LAKSHVILAS 0 0.85 0.75 28 0.73
NEULANDLAB 0 0.64 0.36 26 0.12
NCC 0 0.35 0.42 37 0.17
MIRCELECTR 0 0.99 0.77 27 0.16
FEL 0 0.27 0.27 29 0.55
FELDVR 0 0.13 0.10 34 0.58
The above table infers that the company’s issues Rights during the year 2014 depicts that on
computing ADF test it is obvious that at 1st difference all companies are stationary on
performing the Runs test we can find out that out of 13 companies only 1 company has p-values
is less than 0.05 which implies non-randomness in these companies. The remaining 12
companies’ p-value is greater than 0.05 which implies randomness in these companies.
Table 14 showing Variance ratio test for Rights companies in the year 2014
Rights 14 Joint test Variance ratio using specified lags

COMPANY wald Maz 2 5 10 30
NAME
MUKANDLTD 0 0.85 1.03* 0.58 1.32* 3.03*
WHEELS 0.96 0.93 0.83 0.38 0.27 0.12
IL&FSTRANS 0.35 0.67 0.61 0.52 0.79 0.99
EASUNREYRL 0.54 0.15 0.41 0.19 0.071 0.076
TATAPOWER 0 0.85 1.03* 0.58 1.32* 3.03*
RAMCOSYS 0 0.022 2.03* 2.05* 3.62* 6.35*
INDHOTEL 0.01 0.00 0.06 0.38 0.27 0.152
LAKSHVILAS 0.00 0.00 1 2.7* 3.54* 5.73*
NEULANDLAB 0.75 0.3 0.56 0.18 0.07 0.04
NCC 0.32 0.99 1.18* 0.87 0.3 0.54
MIRCELECTR 0.77 0.31 0.11 0.24 0.022 0.107
FEL 0 0.106 0.41 0.35 0.54 0.49
FELDVR 0.95 0.81 0.674 0.179 0.101 0.259
The table depicts the summary output of variance ratio test performed on rights issue during the
year 2014. From the above table it is evident that the variance ratios at different lags. the
variance ratios for majority companies is less than 1 which tells us that there is slight mean
reversion and possibility of prices changes in the opposite direction. The 5 companies have
variance ratio which is greater than 1 which implies that these companies have tendency to form
trends, and changes in share prices are expected to be in same direction which can yield investors
upon right time on Investment.

CANFINHOME 0 0.29 0.44 35 0.27
SBT 0 0.28 0.53 35 0.06
GMRINFRA 0 0.56 0.39 25 0.14
ZEEMEDIA 0 0.65 0.57 35 0.19
TATAMOTORS 0 0.58 0.99 35 0.27
TATAMTRDVR 0 0.37 0.66 34 0.51
IL&FSTRANS 0 0.36 0.49 42 0.01*
ASHIMASYN 0 0.38 0.49 33 0.70
The above table infers that the company’s issues rights during the year 2015 depicts that on
Table 16. Showing Variance ratio test for Rights companies in the year 2015

COMPANY NAME wald maz 2 5 10 30
CANFINHOME 0.93 0.91 0.77 0.31 0.15 0.09
SBT 0.01 0.00 0.31 0.39 0.28 0.6
GMRINFRA 0.1 0.16 2.91* 1.02* 0.54 0.46
ZEEMEDIA 0 0.99 1.17* 0.97 0.83 0.82
TATAMOTORS 0.41 0.29 0.36 0.25 0.09 0.39
TATAMTRDVR 0.78 0.95 1.11* 0.48 0.31 0.04
IL&FSTRANS 0.24 0.8 1.44* 0.43 0.2 0.02
ASHIMASYN 0.62 0.9 0.71 0.64 0.77 0.85
The table 16 depicts the summary output of variance ratio test performed on rights during the
year 2015. From the above table it is evident that the variance ratios at different lags. The
variance ratios out of 8 companies 4 companies have variance ratio which is less than 1 that tells
us that there is slight mean reversion and possibility of prices changes in the opposite direction.
The remaining 4 companies have variance ratio which is greater than 1 which implies that these
companies have tendency to form trends, and changes in share prices are expected to be in same
direction which can yield investors upon right time on Investment.

COMPANY NAME 1st diff Constant Trend Runs p-value
JMCPROJECT 0 0.51 0.77 34 0.46
SPARC 0 0.68 0.63 26 0.14
SINTEX 0 0.68 0.35 26 0.16
CREST 0 0.35 0.18 37 0.06
KTKBANK 0 0.53 0.96 30 0.91
ORIENTPPR 0 0.91 0.86 33 0.80
The above table infers that the company’s issues rights during the year 2016 depicts that on
the Runs test we can find out that all the companies p-value is greater than 0.05 which implies
randomness in these companies.
Table 18 showing Variance ratio test for Rights companies in the year 2016

COMPANY
JMCPROJECT 0.96 0.76 0.58 0.35 0.08 0.09
SPARC 0.00 0.01 0.15 0.25 0.35 0.36
SINTEX 0.05 0.00 0.26 0.21 0.15 0.1
CREST 0.19 0.05 0.2 0.27 0.46 0.4
KTKBANK 0.65 0.17 0.36 0.11 0.05 0.04
ORIENTPPR 0.95 0.77 0.64 0.3 0.17 0.009
The table depicts the summary output of variance ratio test performed on rights during the year
possibility of prices changes in the opposite direction.
Autocorrelation test: (sample): Infosys (Bonus 2015)
From the above table it is evident that since the autocorrelation and partial auto correlation
values at all the 28 lags are zero or nearly zero which implies that there is no serial correlation.
The probability value at all lags are greater than 0.05 which implies that there is no serial
correlation... this comprehends to accept the alternate hypothesis of autocorrelation i, e. Bonus,
splits, Rights does not have a serial dependency
The same analysis has been performed to the 189 companies considered in this study for the rest
188 companies and were observed the same analysis.
FINDINGS
From the above analysis it is evident that the results from autocorrelation depicts that there is
no serial correlation. The results from ADF test that the corporate actions by considering closing
prices of all share prices are stationary at first difference (using differenced prices for analysis)
which implies that significance of p- value to be less than 0.05 is fulfilled for all the 189
companies.
The variance ratio test, suggest that the variance ratio computed at different lag periods are
mostly combination of mean reversion in majority cases where VR<1, there is a tendency to
form trends along with price changes in the same direction in some cases where VR>1.
The results from Runs test conveys that 161 companies have randomness in the data and 28
companies p values <0.05 which implies that there is no randomness in these companies. On
comparing the percentages, it is notable that 85% of the corporate actions are random and
remaining 15% are non-random.
Summary of runs test

Bonus Splits rights total Percentage
Random 60 76 25 161 85.19
Non-random 16 10 2 28 14.81
Total companies 76 86 27 189 100
CONCLUSION
On performing the econometrics on the 189 companies which made a corporate actions
announcement during the year 2014-16 on the NSE listed companies comprehend that the events
don’t have serial dependency by performing autocorrelation test. The results from the ADF test
infers that the bonus splits, rights issues made have a unit root. the inference attained from
variance ratio test depicts that there is mean reversion in majority of companies and few
companies have tendency to form trends and move in same direction based upon the
performance, yield gained by investors. The output obtained from performing runs test, conveys
that majority of companies are random on announcement of corporate actions which concludes
that on performing all these test on the NSE listed companies which made a corporate action
during the period of 2014-2016 is a “SEMI- STRONG form of market efficiency”.
Suggestions / Scope for further research:
Despite of conducting the event study here are some of the suggestions where in further research
can be done:
 A comparative event study can be made to test the efficiency of international stock
exchanges.
 The event study can be conducted by using advanced econometrics models such as,
GARCH, ARIMA, vector error correction model, VAR model to assess the contribution
factor in determining the individual event studies.
 A explorative research can be conducted on stock market indices listed stocks which
have undergone corporate actions (domestic and global)
 Further research can be done on other events namely, mergers and acquisitions, initial
public offerings, elections, budgets, global economic crisis, other corporate actions
namely Buy back of shares and dividend issues.
 The period of study can be increased as desired by the researcher (5, 10,).
 In this study in order to derive the abnormal returns, the authors used alpha and beta as
constant to determine the expected returns and to check the significance, however, further
research can be done by considering the factors such as return on investments, volume of
trade during the event period.
References:
Ahsan, A. M., Chowdhury, M. A. R., & Sarkar, M. A. H. (2013). An Empirical Study on Market
Reaction around the Bonus Issues Announcements in Bangladesh. International Journal
of Economics and Finance, 6(1), 82.
Vikkraman, p. market reaction to right issue and bonus issue in India–an empirical study.
Adnan, A. T. M., & Hossain, A. (2016). Impact of M&A Announcement on Acquiring and
Target Firm’s Stock Price: An Event Analysis Approach. International Journal of
Finance and Accounting, 5(5), 228-232.
Mishra, A. (2005). An empirical analysis of market reaction around the bonus issues in India.
Khurana, R., & Warne, D. P. Stock Price Adjustments to Selected Corporate Announcements: A
Study of Bonus Issue Announcements.
Mahmood, S., Sheikh, M. F., & Ghaffari, A. (2011). Dividend Announcements and Stock
Returns: An event study on Karachi stock exchange. Interdisciplinary Journal of
Contemporary Research in Business, 56.
Rohit, B., Pinto, P., & Shakila, B. (2013). Market Reaction to Bonus Announcements: Empirical
Evidence from Bombay Stock Exchange. Adarsh Journal of Management Research,
6(1), 28-38.
Ogada, A. (2014). Impact of Rights Issue on Share Returns of Firms Listed On the Nairobi
Securities Exchange.
Raja, M., & Sudhahar, J. C. (2010). An empirical test of Indian stock market efficiency in
respect of bonus announcement. Asia Pacific Journal of Finance and Banking Research,
4(4), 1.
Suresha, B., & Naidu, G. (2012). An empirical study on effect of bonus announcement on share
price volatility and liquidity and its impact on market wealth creation of informed
investors in Bangalore with special reference to CNX NIFTY stocks of NSE.
International Journal of Marketing and Technology, 2(9), 38.
Ramachandran, R. (2013). A Study on Semi-Strong Efficiency of Indian Stock Market.

International Journal of Scientific and Research Publications, 3(9), 1-3.
Roji, G., Charles, V., & Saj, R. (2007). Indian Context: bonus issue and share price.
Barnes, M. L., & Ma, S. (2002). The behaviour of China's stock prices in response to the
proposal and approval of bonus issues.
Batchelor, R., & Orakcioglu, I. (2003). Event-related GARCH: the impact of stock dividends in
Turkey. Applied Financial Economics, 13(4), 295-307.
Prakash, A. S. (2016). Revisiting Stock Market Efficiency-A Theoretical

Perspectives. Adhyayan: A Journal of Management Sciences, 4(2).
Arulvel, K. K., Balaputhiran, S., Ramesh, S., & Nimalathasan, B. Market Efficiency or Not: A
Study of Emerging Market of Colombo Stock Exchange (CSE) in Sri Lanka.
ADAOGLU, C., & LASFER, M. The Market Valuation of Bonus Distributions in an

Inflationary Environment.
Ryaly, Venkata Rajasekhar, GV Subba Raju, and Bhargava Urlankula. "Testing the Weak-Form
Market Efficiency in the Indian Stock Market: Evidence from the Bombay Stock
Exchange Index (BSE) Sensex." Indian Journal of Finance 11.3 (2017): 26-40.

SDM - Event Study On Corporate Actions

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Event Study of corporates actions on Indian stocks using econometrics tools

JEL Classification: C58, D53, G10, G14.

Objective of the Study

 Availability of the dates of announcement of bonus, splits, rights issue.

Limitations of the Study

 This study is restricted with only NSE listed companies.

The test used in this study are:

H01: Bonus, splits, rights series has a serial dependency.

2. Unit root test.

Ha2: Bonus, splits, Rights does not have unit root.

3. Variance ratio test.

H03: Bonus splits, Rights has a martingale (or) non-random.

Table.1 showing summary output of bonus announcements in the year 2014

BONUS 2014 ADF Runs test

Bonus 14 Joint test Variance ratio using specified lags

ADF Runs test

Bonus 15 Joint test Variance ratio using specified lags

Table 5 showing summary output of bonus announcements in the year 2016

ADF Runs test

Bonus 16 Joint test Variance ratio using specified lags

splits 14 ADF Runs test

splits 14 Joint test Variance ratio using specified lags

splits 15 ADF Runs test

splits 15 Joint test Variance ratio using specified lags

splits 16 ADF Runs test

splits 16 Joint test Variance ratio using specified lags

Table 13 showing summary output of Rights announcements in the year 2014

rights 14 ADF Runs test

Rights 14 Joint test Variance ratio using specified lags

Table 15 showing summary output of Rights announcements in the year 2015

rights 15 ADF Runs test

Rights 15 Joint test Variance ratio using specified lags

Table 17 showing summary output of Rights announcements in the year 2016

rights 16 ADF Runs test

Rights 16 Joint test Variance ratio using specified lags

Autocorrelation test: (sample): Infosys (Bonus 2015)

Summary of runs test

Suggestions / Scope for further research:

Ramachandran, R. (2013). A Study on Semi-Strong Efficiency of Indian Stock Market.

Prakash, A. S. (2016). Revisiting Stock Market Efficiency-A Theoretical

ADAOGLU, C., & LASFER, M. The Market Valuation of Bonus Distributions in an

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