Revathi Dessertation

“POLICY ANNOUNCEMENT AND ITS IMPACT ON STOCK MARKET”
Dissertation Report submitted in partial fulfillment of the requirements for the award of
the degree of
MBA MASTER OF BUSINESS ADMINISTRATION

OF
BANGALORE CENTRAL UNIVERSITY
By
REVATHI S
MB183694
UNDER THE GUIDANCE OF
Prof. RAMGOPAL SRINIVASA
M.P BIRLA INSTITUTE OF MANAGEMENT

Bengaluru Central University
(2018-2020 Batch)
CERTIFICATE OF ORIGINALITY
This is to certify that the Dissertation titled “POLICY ANNOUNCEMENT AND ITS IMPACT ON
STOCK MARKET” is an original work of Ms. REVATHI S, bearing University Register Number
MB183694 and is being submitted in partial fulfillment for the award of the Master’s Degree
in Business Administration of Bengaluru Central University. The report has not been
submitted earlier either to this University/Institution for the fulfillment of the requirement
of a course of study. Ms. REVATHI S is guided by Prof. S. RAMGOPAL who is the Faculty
Guide as per the regulations of Bengaluru Central University.
Signature of Faculty Guide Signature of Director/Principal/HOD

Date Date
DECLARATION BY THE CANDTDATE
I REVATHI S bearing register No(MB183694) declare that the project titled

“POLICY ANNOUNCEMENT AND ITS IMPACT ON STOCK MARKET” is a
original work carried out by me under the guidance of Prof. RAMGOPAL
SRINIVASA towards the partial fulfillment of requirement for MBA program of
Bengaluru Central University. This project has not been submitted to any other
university or institution for the award of post graduate degree.
REVATHI S
Certification of Internal Guide
This is to certify that the project work titled is “POLICY ANNOUNCEMENT AND
ITS IMPACT ON STOCK MARKET” a bona fide work of Ms. REVATHI S
(Reg.No MB183694) carried out in partial the partial fulfillment of requirement for
Master of Business Administration MBA program of Bengaluru Central University,
under my guidance.
This project work is original and not submitted earlier for the award of any Degree/
Diploma or associate ship of any other university/ institution.
Prof. RAMGOPAL SRINIVASA

M P BIRLA INSTITUTE OF MANAGEMENT STUDIES
RACECOURCE ROAD BENGALURU 01.
ACKNOWLEDGMENT
We would like to express our sincere gratitude towards all the

people who have contributed their precious time and effort to help
us, without them it would have been a great difficulty for us to
understand and complete the project.
We would especially like to thank Prof. RAMGOPAL

SRINIVASA our guide for his guidance, support, motivation, and
encouragement throughout the project period this work was done. His
readiness for consultation at all times, his concern, and his assistance
even with practical things have been invaluable.
Chapters
1.Introduction  Introduction
2. Review Of Literature
 Objectives
 Importance
 Hypothesis of The Study
 Data collection
 Statement of the problem
 Tools of for data collection
3. Company Review  Fundamental of the RBI policy

 Monetary policy
 BSE NIFTY BSE AUTO, BSE
INFRASTRUCTURE, BSE IT, BSE
AUTO, BSE METAL, BSE POWER.
4. Data Analysis  Primary Data Analysed From

Questionnaires
5.Summary of Finding,
Conclusion, Suggestion
CHAPTER 1
Introduction
Financial markets and more specifically stock markets are considered as being sensitive to
changes occurring within the economy. Monetary policies are usually undertaken to revive or
maintain stability within an economy and such policies can either be expansive or restrictive
with Central banks using interest rates and funds as monetary policy instruments. Stock
valuation is completed by using the longer term cash flows related to the stocks and discounting
at the acceptable rate of interest, which is estimated by considering the overall level of interest
rates prevailing in an economy. During the expansive period, stock prices should normally be
higher, as long as the interest rates at which cash flows are discounted are going to be lower and
also there should be a lift in economic activity. A restrictive period means higher interest rates
and lower future economic activity, entailing lower stock prices. the number theory of cash
formalizes the link concerning funds and stock prices. When there's a rise within the funds,
there'll be a surplus within the quantity of cash and this may encourage people to demand more
shares and thus cause a rise in share prices. The liquidity hypothesis also suggests a positive
relationship between the variables. consistent with the policy anticipation hypothesis, to counter
the excess of capital in circulation, there would be a tightening of credit conditions, mainly
through an increase of interest rates and this is able to end in a fall available prices. The expected
inflation hypothesis also predicts an inverse relationship between the 2 variables. Background
of the Study within the current economy, most people are directly or indirectly involved within
the stock exchange. Each day, individual and institutional investors, like open-end fund
managers and insurance firm representatives, invest funds within the stock exchange. Thus, to
make a decision which stock to shop for or sell, investors got to be ready to estimate the expected
rate of return on various stocks and therefore the amount of risk inherent in each stock. On the
two other sides of the spectrum, business corporations that attempt to raise capital by offering
new securities to the market got to skills to make a decision on the worth of the new securities.
This scientific research was designed to review how the investors within the equity market
choose allocating their investment in various stocks—in other words, how they create choices
on what stocks to shop for or sell to get an optimum portfolio of stocks that maximizes their
return and minimizes their risk. Traditionally, the mandated goal of monetary policy has been
price stability and optimal output and employment within the economy. to realize this goal,
central banks can manipulate some monetary policy instruments, like by changing short-term
1
interest rates and therefore the volume of the cash supply. However, the effect of monetary
policy on the so-called real economy develops through the broad channel of monetary markets,
including the equity market. Monetary policy affects investors’ asset allocation deciding, and
subsequently, this effect is going to be transmitted into the important economy. Therefore,
knowledge of how monetary policy affects the financial market, and more specifically the equity
market, is important for understanding how monetary policy affects the broader economy.
Because stock prices are sensitive to economic conditions and their values are volatile, this
sensitivity can cause large swings available prices, cause bubbles, and damage the entire
economy Besides identifying monetary policy announcements as a crucial source of short-run
volatility within the stock exchange, this paper also addresses broader issues within the finance
literature. the prediction from a theory that it's only the surprise element of any piece of stories
that ought to affect asset prices. Indeed, perhaps the failure of the many papers within the finance
literature to detect a big relationship between market volatility and therefore the arrival of latest
information stems from the lack to appropriately distinguish what was truly new within the
information released from what had already been built into market prices. The paper is organized
as follows. subsequent section provides a quick description of the news arrival process for
monetary policy, i.e., of how monetary policy decisions are released to the general public over
the past decade. I also discuss the theoretical implications of recent changes within the news
arrival process for the way the markets react to policy announcements. The second channel
through which monetary policy decisions potentially affect market volatility relates to the
character of the choice itself. as an example, the announcement of the policy decision may reveal
new information not previously incorporated into asset prices and volatility may rise while
market participants process the newly received information I shall call this the “news” effect.
Note that while the pre-announcement effect is, by definition, independent of the policy decision
that's ultimately announced, the news effect is intimately tied thereto. especially, scrutiny of the
news effect should help determine whether monetary policy decisions constitute fundamental
news not previously built-in into stock exchange prices or whether or not they are viewed as a
reaction to information about the economy that was already within the property right. Given the
changes within the monetary policy news arrival process described during this section, and
supported the theoretical considerations just discussed, this paper formulates two working
hypotheses regarding the effect of the monetary policymaking process on the short-run volatility
of the stock exchange. To the extent that FOMC meeting days are viewed by market participants
as days of major economic news, they ought to leave an imprint on market volatility, and such
imprint should be particularly noticeable within the post-1993 sample when most policy
2
decisions were made and announced on FOMC meeting days. Also, to the extent that policy
decisions affect volatility, it's the element of surprise in such announcements that ought to matter
most. Accordingly, failure to differentiate between anticipated and unanticipated policy
decisions would tend to bias the news effect on volatility downwards. Below I describe a
modelling framework that permits for formal testing of those theoretical implications.
Interest Rate Changes
Decreases in interest rates tend to encourage economic process because the effective costs for
both capital investments and commodity falls. The IS-LM model, supported the work of John
Maynard Keynes, explains this relationship. National output is that the sum of consumption,
investment, and government spending. The equilibrium rate of interest is decided by the
intersection of two curves graphed against national output: the downward-sloping investment
and savings curve (the “IS” curve) and therefore the upward-sloping liquidity and money curve
(the “LM” curve). the previous represents the marketplace for goods and services and is
suffering from fiscal policies like changes in government expenditures and tax rates. It slopes
down because decreasing interest rates increase investment, which increases national output.
The latter represents the cash market and is suffering from monetary policy, especially the
availability of cash within the economy, as determined by Federal Reserve System policies. It
slopes up due to increased consumption, which results in increased national output, increases
the demand for cash, and increases the rate of interest people can pay for cash. The intersection
of those two curves represents the equilibrium rate of interest for a hard and fast level of state
spending, taxes, funds, and price index. Changing any of those will shift a minimum of one
among the curves and thus change the prevailing rate of interest. it's changed most frequently by
altering the cash supply. Below may be a graphical representation of this model.
The Federal Reserve System implemented several different policies to regulate interest rates,
mostly lowering them (easing them). Mushin argues that monetary policy easing may be a potent
tool to use during a crisis because it mitigates the consequences of adverse feedback loops.
Adverse feedback loops during this context are vicious cycles during which assets lose value,
which makes them less useful as collateral or investments, making their value fall even further.
Thus, easing monetary policy, which prevents large losses in asset value, should strongly impact
the economy.
3
Open market operations are one among the Fed’s most beloved tools, even during expansionary
times. Open market operations are traditionally wont to set the federal funds rate, the speed at
which depository institutions lend extra reserves to every other. By buying and selling federal
securities from these depository institutions, the Federal Reserve System changes their reserves
and thereby affects the speed at which they're going to lend to other institutions, the federal funds
rate, which determines many other interest rates. The Federal Reserve System, which is
additionally the “lender of last resort”, can also lower the discount rate, the speed at which the
Fed itself lends to depository institutions. Although this rate is about above the target federal
funds rate, lowering it eases liquidity crunches when banks cannot borrow funds from other
banks. albeit banks not got to exhaust other sources of funding before borrowing from the
Federal Reserve System, it's cheaper because the federal funds rate is usually less than discount
window rates.
Market Stability Actions
For our purposes, a market stabilization action is any kind of capital infusion from either the
Federal Reserve System or the Department of Treasury. The goal of those programs was to
stabilize financial markets. Under this category, we include three policy actions: bailouts,
liquidity programs, and guarantees. The Federal Reserve System extended loans to many
companies, including J.P. Morgan Chase and American International Group (AIG).
Furthermore, the Department of Treasury bought “troubled assets” from many financial
institutions during a program referred to as the Troubled Asset Relief Program. While experts
were initially sceptical about this program, it's been successful: additionally, to increasing credit
availability, it's even been profitable. The Treasury also invested in AIG, Chrysler, General
Motors, and mortgage servicers and implemented a number of credit programs that allowed
banks to borrow capital. The journalism highly publicized these market stabilization actions,
especially large-scale bailouts. Because these actions were a serious pillar of the us Government
decide to handle the financial crisis and involved large-scale purchases and sales of equities,
bailouts should affect the stock exchange, as they displayed the government’s commitment to
protecting America from financial destruction.
Swap Lines
To ease liquidity pressures in foreign markets, the Federal Reserve System also opened “swap
lines” or reciprocal currency arrangements with several central banks. In these reciprocal
4
currency arrangements, the foreign bank sold a given amount of its currency in exchange for
dollars with the promise to shop for it back with interest at an equivalent rate later. The foreign
banks then lent the dollars bent depository institutions within their jurisdiction. Because these
depository institutions had record items denominated in dollars but cash reserves in other
currencies, they often had to borrow dollars to finish transactions. While borrowing dollars is
usually an easy process, during the financial crisis, illiquid markets precluded this usual state of
affairs during the financial crisis, leaving foreign depository institutions without access to the
dollars they needed to hold out their transactions. At its peak, foreign currency from outstanding
swap lines accounted for 25% of the Federal Reserve’s total assets, demonstrating the extent of
the illiquidity in foreign countries.
Swap lines allowed these institutions to access rupee at reasonable interest rates. However, even
the swap lines couldn't continue with India (and other foreign) demand for rupee: High bid-to-
cover ratios, which indicate high demand, dominated the auctions for these funds. Although the
central banks do have foreign currency reserves, they weren't enough to hide the demand for
dollars. Moreover, the central banks would have crowded out and further crippled foreign
depository institutions who did have rupee to lend by lending dollars at a far better rate of
interest. Swap lines let American depository institutions and other foreign depository institutions
keep their dollars rather than lending them out, strengthening banks worldwide. Opening swap
lines successfully eased dollar lending pressures consistent with several measures.
5
Chapter 2
LITERATURE REVIEW
The random-walk theory assumes that security price is not correlated with historical prices. It
assumes that there is no trend is visible in stock price movements and they are independent.
Therefore, the Efficient Market Hypothesis theory suggests that historical prices have no
predictive capacity over the future prices. Thus, subsequent price shift should be random
(Alexander (1961); Ball and Brown (1968), Fama, (1965); Rosenstein and Wyatt (1990),
Chopra et al. (1992), Malkiel (1995), Jensen and Benington, (1970), Fama, (1970), DeBondt
and Thaler (1985), Kothari and Warner (1997), Elton et al. (1993), Collins and Dent (1984),
Seppi (1992); MacKinlay (1997), Campbell, Lo, and MacKinlay (1997), Corrado (1989),
Jensen and Ruback (1983), Charest (1978) and Jarrell, Brickley and Netter (1988)). The event
study methodology is one of the most used tool in economics, accounting and financial
research. The first event study documented in the financial literature was by James Dolley
(1933), cited in MacKinley (1997) in his article Event Studies in Economics and Finance. John
Dolley tried to explore how share prices react to stock splits announcement and found that there
was an impact to the extent of 60 percent. Later many researchers have employed this
methodology for example John H. Myers and Archie Bakay (1948), John Ashley (1962);
Subramani. M. & E. Walden (2001), Cannella and Hambrick, (1993), MacKinlay (1997);
Chaney et al. (1991), Kothari and Warner (2006), Morck and Yeung, (1992), DeFond et
al.(2010), Jeong and Lu (2008), Das, Sen and Sengupta (1998). But, what event study
methodology are we following today was outlined by Ball & Brown (1968) and Fama et al.
(1969). In simple words, event study methodology examines the behaviour of corporates‟ stock
and bond prices (returns) around specific events. Stock market attitude during general elections
was examined by researchers, for example Bialkowski et al. (2008); Zach (2003); Ray M. &
Nickles (2009), Nicholas Chen (2004); Pantzalis et al. (2000); Huang (1985), Beaulieu et al.
(2005); Liu (2007); Khalid, Ahmed et al. (2010); Gartner (1994); Gartner et al. (1995);
Acemoglu, et al. (2003); Dopke and Pierdzioch (2006); Stovall (1992); Anoop Singh (2006);
Kim and Mei (1999); Zach (2003), Gärtner and Wellershoff (1995), Leblang and Mukherjee
(2005), Leduc & Pammett (2013), Abidin & Martin (2010). Beyer et al. (2008); Nordhaus,
(1975); Li and Born (2006); MacRae, (1977); Ploeg (1984); Beaulieu et al. (2005), Bernanke
and Kuttner (2005); Martínez and Santiso (2003), Cowart (1978), Hibbs (1977), Allvine,
O‟Neill (1980); Drazen (2001) and Sturm (2013); Johnson et al. (1999) and Zhao et al. (2004).
However, Nordhaus (1975) created the first political business cycle.
6
Statement of the problem
The debate in the branch of financial economics seems to be unending and is still continuing,
especially in regard to the efficiency of the stock market. In an efficient market where everyone
has equal access to information, the price of a share can impound information quickly and
accurately. With a gradual flow of new information in an efficient market characterised by
instantaneous price adjustment, successive price changes are random. The Efficient Market
Hypothesis (EMH) states that stock prices reflect all available information so that prices are near
their intrinsic value. Market efficiency has an influence on the investment strategy of an investor.
One of the most important functions of the capital market is to canalise resources for productive
use. It can perform this function effectively only if it is able to build up investors’ confidence by
ensuring that the expected return from an investment opportunity is commensurate with the risk
associated with it both in the primary and the secondary markets. Now if the market is efficient,
trying to pick up the winner stocks will be wastage of time for the investors. Given their risk in
an efficient market, there will be no undervalued stocks offering higher than expected returns. On
the other hand, if markets are not efficient, excess returns can be made by correctly picking the
winner stocks.
Scope of the study
 The present study can be extended by collecting the primary data from retail investors
and institutional investors on calendar anomalies especially with respect to
announcement based strategies. This would give us more insight into the changing pattern
of anomalies over the period, successful trading strategies applied for finding
opportunities across the globe and lastly the degree of market efficiency and market
integration.
 The study on linearity and non-linearity of the risk and returns during various calendar
anomalies and its implications have to be studied from the angle of retail and institutional
investors. The policy implications of this study and the corrective actions that need to be
taken by the regulators can also be the area for future research.
 The analysis can also be extended to understand causal impact of sectoral indices on
broader indices and vice versa in various developed and developing countries during
various time periods.
 An event study methodology on the changing pattern of calendar anomalies can be
studied over different time frames. The important regulatory measures taken by
government and market regulators and their impact on markets for the study.
7
HYPOTHESIS OF THE STUDY
H0: There is no significance difference between the mean returns before the event (policy
announcement) and the after the (policy announcement) event. (µ1 = µ2)
H1: There is a significance difference between the mean returns before the event (policy
announcement) and the after the (policy announcement) event. (µ1 ≠ µ2)
Tools of for data collection
The F-Statistic: The F-statistic is that the test statistic for F-tests. generally, an F-statistic may
be a ratio of two quantities that are expected to be roughly equal under the null hypothesis,
which produces an F-statistic of roughly 1.
The F-statistic incorporates both measures of variability discussed above. Let's take a glance
at how these measures can work together to supply low and high F-values. check out the graphs
below and compare the width of the spread of the group means to the width of the spread within
each group.
The low F-value graph shows a case where the group means are approximate (low variability)
relative to the variability within each group. The high F-value graph shows a case where the
variability of group means is large relative to the within group variability. so as to reject the
null hypothesis that the group means are equal, we'd like a high F-value.
The T-Test
The t-test assesses whether the means of two groups are statistically different from one another.
This analysis is acceptable whenever you would like to match the means of two groups, and
particularly appropriate because the analysis for the post-test-only two-group randomized
experimental design. Statistical Analysis of the t-test The formula for the t-test may be a ratio.
the highest a part of the ratio is simply the difference between the 2 means or averages. rock
bottom part may be a measure of the variability or dispersion of the scores. This formula is
actually another example of the signal-to-noise metaphor in research: the difference between
the means is that the signal that, during this case, we expect our program or treatment
introduced into the data; rock bottom a part of the formula may be a measure of variability
that's essentially noise which will make it harder to ascertain the group difference. Figure 3
shows the formula for the t-test and the way the numerator and denominator are associated with
the distributions.
Formula for the t-test.
8
The top a part of the formula is straightforward to compute – just find the difference between
the means. rock bottom part is named the quality error of the difference. To compute it, we take
the variance for every group and divide it by the amount of individuals therein group. We add
these two values then take their root. the precise formula for the quality error of the difference
between the mean.
Data Analysis
For the aim of the Study because the current empirical study was analytical in nature, the info
for the aim of the study was hooked in to secondary sources. For the aim of the study BSE
Sensex, Nifty Fifty, BSE FMCG, BSE AUTO, BSE IT, BSE Infrastructure, BSE Power,
BSE Metal, BSE Tele Communication, and BSE Consumer Durables indices were chosen.
For study purpose, the adjusted price for the chosen indices namely BSE Sensex, Nifty Fifty,
BSE FMCG, BSE AUTO, BSE IT, BSE Infrastructure, BSE Power, BSE Metal, BSE Tele
Communication, and BSE Consumer Durables was collected from Capital line data base.
Daily returns are calculated as logarithmic differences of daily closing prices. With help of excel.
Limitation of the study
 The data collected data from website BSE various hence the info has not been validated
for its accuracy.
 Since indices are used it's not very sensitive to individual stock movement this might not
capture stock-specific relationships across the market.
 That study confine only indices to not individual stocks this generalization at the extent
of index might not reflect in individual stock.
 Hence investors cannot use this info while investing in individual stock
 The data utilized in the study its raw and unverified could have errors over looked within
the study
9
OBJECTIVES OF THE STUDY
The current has been undertaken with the following objectives.
 To examine the reaction of Indian benchmark indices (BSE Sensex, Nifty Fifty, BSE FMCG,
BSE AUTO, BSE IT, BSE Infrastructure, BSE Power, BSE Metal, BSE Tele
Communication, and BSE Consumer Durables) policy announcements.
 To examine whether there are any abnormal returns around the event date.
 To investigate the Indian stock markets reaction, reflect the market efficiency in semi strong
form or not.
Scope of the study

 The present study can be extended by collecting the primary data from retail investors and
institutional investors on calendar anomalies especially with respect to announcement
based strategies. This would give us more insight into the changing pattern of anomalies
over the period, successful trading strategies applied for finding opportunities across the
globe and lastly the degree of market efficiency and market integration.
 The study on linearity and non-linearity of the risk and returns during various calendar
anomalies and its implications have to be studied from the angle of retail and institutional
investors. The policy implications of this study and the corrective actions that need to be
taken by the regulators can also be the area for future research.
 The analysis can also be extended to understand causal impact of sectoral indices on
broader indices and vice versa in various developed and developing countries during
various time periods.
 An event study methodology on the changing pattern of calendar anomalies can be
studied over different time frames. The important regulatory measures taken by
government and market regulators and their impact on markets for the study.
10
Chapter 3
One event that catches attention of the investor community every three months is the monetary
policy that is announced by the Indian central bank, the RBI……like it did today when the RBI
announced its quarterly review for the monetary policy for 2011-12. Every move the RBI
makes, even if it is irrelevant to the long term performance of the Indian economy or financial
markets, is dissected and discussed threadbare. Leave the RBI Governor aside, expert opinions
flood the newswires from brokers, analysts, and fund managers. Even the Finance Minister
shares the limelight in giving his opinion on the RBI’s policy.
Amidst all this, the RBI Governor is either made a hero or a villain, depending on how well
he’s taken care of the market’s expectations. Now the question is – why is monetary policy such
a widely followed event in the investor community? What impact does it have on stock prices?
Let’s try to answer these questions.
But before that, let’s first understand what monetary policy really is.
In its very simplest form, monetary policy is the process by which the monetary authority of a
country – mostly a central bank like the RBI – controls the supply of money. It does this by
targeting the interest rates at which money is borrowed and lent. The ultimate target of a
monetary policy is to promote economic growth and price stability (or inflation). A typical
monetary policy is referred to as either being “expansionary” or “contractionary”. In effect, a
monetary policy is like a lever in the hands of a central bank, which it pulls up or down to
increase or reduce interest rates, which thereby impacts the money supply in an economy.
If you get a chance to listen to a business channel after the RBI announces its monetary policy –
like it did today – you would be forced to believe that the monetary policy is something on
which the future of the Indian economy or its stock markets depend. Of course, monetary policy
impacts stock prices but this is temporary and largely a knee-jerk reaction to the degree of
change in interest rate vis-à-vis the expectations.
So the stock prices won’t be impacted if the market is expecting the RBI to raise interest rate by
0.5%, and the RBI does exactly the same. Instead, stock prices will be impacted when the
11
market is expecting the RBI to raise interest rate by 0.5%, and the RBI does something else –
maybe raises rate by only 0.25% or does nothing at all.
So, it’s all about the expectations and how different it is from reality. Now you may ask –
“Doesn’t changes in interest rates impact the economy and thus the stock markets in the long
run as well?” Well, in the long run, interest rate is just one of the many variables that impact
stock prices.
Its biggest impact falls on the intrinsic value calculation of a stock. As we discussed in
yesterday’s post on intrinsic value, to value future cash flows using the discounted cash flow
method, you must discount them back to their present value. As higher interest rates make a
given future cash flow less valuable in today’s rupees, higher interest rates reduce the intrinsic
value of a stock. As you can see in the excel file, I’ve marked 2 cells in black colour – the
‘discount rate’, and the ‘intrinsic value’.
The ‘discount rate’ is the average cost of capital for a firm, and is dependent on the cost of
borrowings (interest rate) apart from the cost of equity. A rise in interest rate leads to a rise in
the discount rate. And as you check out in the excel, as you increase the discount rate from 10%
to say 12%, the intrinsic value decreases from Rs 132,514 to Rs 95,956.
In effect, higher interest rates make future cash flows less valuable in today’s rupees, and
thus reduce the intrinsic value of a stock.
The second negative impact of higher interest rate on stocks is that it makes investments
other than stocks, such as bonds, more attractive.
For instance, a bond that pays me an annual interest of 10% is always safer than a stock that
returns 12% with all the risks attached. As such, rising interest rate raises the return that I would
like to earn from stocks and reduces what I would be willing to pay for them. Under either of
the above interpretations, ‘expectations’ of higher interest rates are bad news for stocks.
Anyways, things move in the reverse direction when the ‘expectations’ are for a fall in interest
rates.
12
So all in all, we have a list of three key factors that should affect stock prices when it comes to
their relation with monetary policy and interest rates:
1. Expectations that current or future cash flows will be higher should raise stock prices.
2. Expectations that current or future interest rates will be higher should lower stock prices.
3. Expectations that lead investors to demand a higher risk premium (due to higher discount
rate) on stocks should lower stock prices.
What this simply means is that the RBI’s actions should affect stock prices only to the extent
that they affect investor expectations about cash flows, interest rates, or the riskiness of stocks.
Every other explanation you hear in the media isn’t relevant and worth your time.
In economics and political science, fiscal policy is the use of government revenue collection
(taxes or tax cuts) and expenditure (spending) to influence a country's economy. The use of
government revenues and expenditures to influence macroeconomic variables developed as a
result of the Great Depression, when the previous laissez-faire approach to economic
management became unpopular. Fiscal policy is based on the theories of the British
economist John Maynard Keynes, whose Keynesian economics theorized that government
changes in the levels of taxation and government spending influences aggregate demand and the
level of economic activity. Fiscal and monetary policy are the key strategies used by a country's
government and central bank to advance its economic objectives. The combination of these
policies enables these authorities to target inflation (which is considered "healthy" at the level in
the range 2%–3%) and to increase employment. Additionally, it is designed to try to
keep GDP growth at 2%–3% and the unemployment rate near the natural unemployment rate of
4%–5%.[1] This implies that fiscal policy is used to stabilize the economy over the course of
the business cycle.
Changes in the level and composition of taxation and government spending can affect
macroeconomic variables, including:
 aggregate demand and the level of economic activity

 saving and investment
 income distribution
 allocation of resources.
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Fiscal policy can be distinguished from monetary policy, in that fiscal policy deals with taxation
and government spending and is often administered by a government department; while
monetary policy deals with the money supply, interest rates and is often administered by a
country's central bank. Both fiscal and monetary policies influence a country's economic
performance.
BSE
Established in 1875 because the Native Share and Stock Brokers' Association, the Bombay stock
market (BSE) is Asia's first exchange and therefore the largest stock exchange in India.
• The BSE has been instrumental in developing India's capital markets by providing an efficient
platform for the Indian corporate sector to boost investment capital.
• The BSE is understood for its electronic trading system that gives fast and efficient trade
execution.
• The BSE enables investors to trade equities, currencies, debt instruments, derivatives, and
mutual funds.
• The BSE also provides other important capital market trading services like risk management,
clearing, settlement, and investor education.
NSE
• The National stock market of India Limited (NSE) is India's largest financial market and
therefore the fourth largest market by trading volume.
• The National stock market of India Limited was the primary exchange in India to supply
modern, fully automated electronic trading.
• The NSE is that the largest private wide-area network in India.
• The NSE has been a pioneer in Indian financial markets, being the primary electronic limit order
book to trade derivatives and ETFs.
BSE IT
Information technology established year February 1, 1999 and its listed date is on august 9,1999
total number of constituent companies are seventeen has played a major role in the Indian
economy during the last few years .profitable Indian companies today belong to it sector , BSE
14
had developed the BSE IT sector INDEX.. Many companies have 50%of turnover in such related
activities like IT infrastructure, IT software and training, telecommunication services and
networking infrastructure, software development and maintenance. In India IT-BPM sector is
expended at 25% over 2000. Over 60% of cost saving sector and it continue as leader in the
global sourcing industry with 52%market share.
BSE METAL
BSE METAL established year February 1, 1999 and its listed date is on august 23, 2004 total
number of constituent companies are 9 .It is designed to reflect the behaviour and performance
.in Bombay stock exchange 15 stocks of companies are listed .the constituents of BSE METAL
are COAL INDIA LTD , HINDUSTAN ZINC LTD , NIMDC LTD , SAIL LTD , JSW STEEL
LTD , NACL LTD , HINDALCO INDUSTRIES LTD etc.
BSE POWER
BSE POWER was first launched on November 9, 2007 .it is taken on January 3, 2005. the
companies categorise as power in the BSE 500 index which are good in term of training
frequency .it is recognised as one of the most significant input for economic growth. the
constituents of BSE power index are NTPC LTD, PGCI LID, BHEL LTD, TATA POWER LTD
, JSW ENERGY LTD , RELIANCE POWER LTD and OTHER(10 companies)
BSE INFRASTRUCTURE
In India top 30 Indian companies involved in infrastructure and related operation to meet invest
ability requirements. IT is launched on June 4 , 2001 to look the performance of listed equity of
companies .it is comprising of 5 infrastructure clusters they are energy , transportation , non-
banking financial institution telecommunication , utilities.
15
Chapter 4
Data Analysis
POLICY ANNOUNCEMENT
1 CUT IN INTEREST RATE
BSE TABLE SHOWING AR, CAR AND T TEST RESULTS
DAYS AR CAR T STATS DAYS AR CAR T STATS

-30 -0.00038 -0.00038 -0.04825 0 -0.00749 0.014871 -0.95199
-29 -0.00109 -0.00147 -0.13922 1 -0.0023 0.012567 -0.293
-28 -0.00891 -0.01038 -1.13266 2 -0.00097 0.011601 -0.12284
-27 -0.01648 -0.02686 -2.09631 3 -0.01396 -0.00236 -1.77545
-26 0.009994 -0.01687 1.270916 4 -0.00336 -0.00572 -0.42743
-25 0.019457 0.002586 2.474378 5 0.001766 -0.00396 0.224551
-24 0.004491 0.007077 0.571081 6 0.015729 0.011773 2.000294
-23 -0.00688 0.000197 -0.87493 7 -0.00896 0.002815 -1.13918
-22 -0.01252 -0.01232 -1.59214 8 0.004322 0.007137 0.549578
-21 0.006641 -0.00568 0.844578 9 0.002273 0.00941 0.289053
-20 -0.01925 -0.02493 -2.4477 10 0.005955 0.015365 0.757328
-19 0.002732 -0.0222 0.347452 11 0.002353 0.017718 0.299198
-18 -0.00469 -0.02689 -0.59697 12 0.011328 0.029046 1.440618
-17 0.008542 -0.01835 1.086313 13 0.007655 0.036701 0.973484
-16 0.003987 -0.01436 0.507034 14 -0.00055 0.036153 -0.06973
-15 0.002721 -0.01164 0.346067 15 -0.0085 0.02765 -1.08128
-14 -0.00158 -0.01322 -0.20104 16 0.001958 0.029608 0.248979
-13 -0.00495 -0.01817 -0.62939 17 -0.00101 0.028602 -0.12796
-12 0.007117 -0.01105 0.905067 18 -0.00016 0.028438 -0.02086
-11 -0.00636 -0.01741 -0.80826 19 -0.001 0.027435 -0.12756
-10 -0.01785 -0.03526 -2.2704 20 0.019538 0.046973 2.484727
-9 0.001851 -0.03341 0.235399 21 0.004615 0.051588 0.586832
-8 -0.01283 -0.04624 -1.63131 22 0.002581 0.054169 0.328235
-7 0.052635 0.006396 6.693684 23 -0.00112 0.053048 -0.14248
-6 0.02761 0.034006 3.511157 24 0.002519 0.055567 0.320341
16
-5 0.000856 0.034862 0.108868 25 -0.00171 0.053855 -0.21779
-4 -0.01416 0.020705 -1.8004 26 0.005294 0.059149 0.673254
-3 0.010504 0.031209 1.335836 27 0.003253 0.062402 0.413683
-2 -0.00406 0.02715 -0.51614 28 -0.00839 0.054014 -1.06668
-1 -0.00479 0.022356 -0.60962 29 0.000276 0.05429 0.03504
30 -0.0002 0.054094 -0.02491
Analysis: The data has been collected for a period of thirty days before and after the event, that
is the date of policy1 cut in interest rate announcement. The policy announcement date was on
1.10.2019. The above table shows abnormal returns and cumulative abnormal returns and t stats
for the 30 days’ event window (-30 to 0 to +30).
In case of announcement policy CUT IN INTEREST RATE , it was observed that the highest
Abnormal Return (AR) recorded in the pre-event period ranging from the lowest value of
0.052635 on day -7 with a t value of 6.693684 (statistically significant) followed by an AR of
0.02761on -6th day with a t value of 3.511157 (statistically significant) and for -25th day with an
AR of 0.019457with a t value of 2.474378 (statistically significant) and with least AR of -0.01903
on day -13 with a t value of -2.2583782 (statistically significant) . However, after the event day
BSE has recorded the highest abnormal return on day 14 0.0527868 with a t value of 6.26457661
(statistically significant) followed by day 15 with AR of 0.027814 with a t value of 3.30088097
(statistically significant) and on 27th day AR was 0.0159855 with a t value of 1.89710821
(statistically not significant) and on 11th day with least AR was -0.017643 with a t value of -
2.0938271 (statistically significant) and with least AR of -0.019136on day 1 with a t value of -
2.2710173 (statistically significant). However, on the event day the Recorded AR was 0.0068537
with a t value of 0.81338077 (statistically not significant).
Graph showing CAR
CAR
0.08
0.06
0.04
0.02
0
-0.02 -30-28-26-24-22-20-18-16-14-12-10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.04
-0.06
17
In above graph 0 is the event day on which policy announcement was made. Event window in the
above diagram is restricted to 60 days. -1 to -30 days are dated before the announcement and
from 1 to 30 days are dated after the announcement of policy.
1) There is an impact of policy announcement news on the stock returns which is evident from
the cumulative abnormal returns curve around the event day.
2) The table shows that the cumulative abnormal returns around event day.
3) The graph shows that the cumulative abnormal returns, were volatile but was on a raising phase
before the event day. However, it was started falling just three days before the event on the event
day there was a sharp dip and gone into negative phase and it has been started recovering.
In order to verify the variance before and after the event F test has been conducted with the
following hypothesis:
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2
Table showing F stats for variance for 3, 7, 15 and 30 days
Pre event Post event Pre event Post event

Variance 7.44E-05 5.11E-05 Variance 0.000535 8.71E-05
Observations 3 3 Observations 7 7
df 2 2 df 6 6
F 1.456998 F 6.146966
P(F<=f) one-tail 0.407001 P(F<=f) one-tail 0.021965
F Critical one-tail 19 F Critical one-tail 4.283866
Pre event Post event 2 Pre event Post event 2

Variance 0.000315 6.12E-05 Variance 0.000209 4.66E-05
df 14 14 df 29 29
F 5.143034 F 4.489279
P(F<=f) one-tail 0.002082 P(F<=f) one-tail 6.09E-05
F Critical one-tail 2.483726 F Critical one-tail 1.860811
It is evident from the above table that the calculated F value was 1.456998which is less than the
F Critical 19.0 (for 3 days’ event window). Therefore, we cannot reject the null hypothesis. The
18
calculated F value was 6.146966which is more than the F Critical 4.283866 (for 7 days’ event
window). Therefore, we can reject the null hypothesis. The calculated F value was
5.143034which is more than the F Critical 2.483726 (for 15 days’ event window). Therefore,
we cannot reject the null hypothesis. The calculated F value was 4.489279which is more than
the F Critical 1.860811 (for 30 days’ event window). Therefore, we can reject the null
hypothesis.
F> F Critical = Reject Null
F < F Critical = Accept Null
In order to verify the significance of mean returns between the before and after the event
student t test has been conducted with the following hypothesis:
H0: µ1 = µ2
H1: µ1 ≠ µ2
Table showing for t test results for difference in mean for 3, 7, 15 and 30 days
Mean 0.000551 -0.00574 Mean 0.009799 -0.00172

t Stat 0.973042 P(T<=t) one-tail 0.128256
t Critical two-tail 2.776445 t Critical two-tail 2.306004

Mean 0.002448 0.000852 Mean 0.000745 0.001307
t Critical one-tail 1.729133 t Critical one-tail 1.682878
It is evident from the above table that the mean return before the event period was 0.000551 and
after the event was-0.00341 and calculated t value was 0.973042which is less than the t Critical
2.776445(for 3 days’ event window). Therefore, we cannot reject the null hypothesis. The mean
return before the event period was0.009799and after the event was -0.00172and calculated t value
was 0.128256 which is less than the t Critical 2.306004 (for 7 days’ event window). Therefore,
we cannot reject the null hypothesis. The mean return before the event period was 0.002448and
after the event was 0.000852and calculated t value was 1.729133which is less than the t Critical
2.093024 (for 15 days’ event window). Therefore, we cannot reject the null hypothesis. The mean
return before the event period was 0.000745and after the event was -0.001307 and calculated t
value was 1.682878which is less than the t Critical 2.019541 (for 30 days’ event window).
Therefore, we cannot reject the null hypothesis.
19
T > T Critical = Reject Null
T < T Critical = Accept Null
TABLE SHOWING CAR AND T TEST RESULTS FOR 2, 5. 10, 20 AND 30 DAYS.
Day CAR t stats Day CAR t stats Day CAR t stats
-2 -0.00265 -0.19267 2 -0.00345 -0.25105 (-2+2) -0.00688 -0.31694
-5 -0.02028 -0.9341 5 0.000835 0.038445 (-5+5) -0.02024 -0.62832
-10 -0.00767 -0.24976 10 -0.07759 -2.526** (-10+10) -0.08605 -1.933*
-20 0.068559 1.57871 20 -0.10628 -2.447** (-20+20) -0.03851 -0.6194
-30 -0.05745 -1.08017 30 -0.10706 -2.012** (-30+30) -0.1653 -2.179**
For the purpose of the current study we have used two factor model It is evident from the above
that CAR OF BSE for -2 days period was -0.00265 with t stats of -0.19267 (statistically not
sig), followed by -5 days event window with CAR of -0.02028with t stats of -0.9341
(statistically not sig), followed by -10 days event window with CAR -0.00767with t stats of -
0.24976 ( statistically not sig), followed by -20 days event window with CAR of 0.068559with
t stats of -1.57871 (statistically not sig), followed by -30 days event window with CAR -0.05745
with t stats of -1.08017 (statistically not sig). CAR for 2 days event window was -0.00345with t
stats of --0.25105 (statistically not sig), followed by 5 days event window with CAR 0.000835
with t stats of 0.038445 (statistically not sig), followed by 10 days event window with CAR of -
0.07759 with t stats of -2.526** (statistically sig at 5% ), followed by 20 days event window
with CAR --0.10628with t stats of -2.012** (statistically sig at 5%), followed by 30 days event
window with CAR -0.10706 with t stats of -0.31694 (statistically not sig). For CAR of (-2, +2)
window was --0.00688with t stats of -1.933* (statistically not sig), followed by (-5,+5) window
with CAR --0.02024with t stats of -0.62832 (statistically not sig), followed by (-10,+10) window
with CAR of -0.08605with t stats of -1.933* (statistically sig at 1%), followed by (-20,+20)
window with CAR -0.03851 with t stats of -0.6194 (statistically not sig), followed by (-30,+30)
window with CAR -0.1653 with t stats of -2.179** (statistically sig at 5%).
20
NIFTY TABLE SHOWING AR, CAR AND T TEST RESULTS

-30 -0.00093 -0.00093 -0.10828 0 -0.00813 0.022813 -0.94467
-29 -0.00238 -0.00331 -0.27601 1 0.002798 0.025611 0.32511
-28 -0.01039 -0.01369 -1.20707 2 -0.00479 0.02082 -0.55667
-27 -0.0167 -0.03039 -1.94015 3 -0.01455 0.00627 -1.69074
-26 0.011749 -0.01864 1.365254 4 -0.00383 0.002443 -0.44473
-25 0.019265 0.000623 2.238631 5 0.001764 0.004207 0.204998
-24 0.004957 0.00558 0.576029 6 0.015578 0.019785 1.810155
-23 -0.00689 -0.00131 -0.80043 7 -0.00788 0.011904 -0.91575
-22 -0.01081 -0.01211 -1.25573 8 0.00441 0.016314 0.512455
-21 0.006553 -0.00556 0.761435 9 0.003317 0.019632 0.385497
-20 -0.01905 -0.02461 -2.21386 10 0.006289 0.02592 0.730743
-19 0.00292 -0.02169 0.339278 11 0.003211 0.029131 0.373141
-18 -0.00185 -0.02355 -0.21541 12 0.010447 0.039579 1.213997
-17 0.008595 -0.01495 0.998751 13 0.007894 0.047472 0.917276
-16 0.004931 -0.01002 0.572972 14 -0.00036 0.047114 -0.04167
-15 -0.00045 -0.01047 -0.05232 15 -0.00614 0.040978 -0.71295
-14 0.001657 -0.00882 0.192569 16 0.001065 0.042043 0.12375
-13 -0.00509 -0.01391 -0.59177 17 -0.00173 0.040313 -0.20103
-12 0.0082 -0.00571 0.952905 18 -0.00078 0.039534 -0.09051
-11 -0.0058 -0.01151 -0.67405 19 -0.00078 0.038759 -0.09015
-10 -0.01726 -0.02877 -2.00607 20 0.01744 0.056199 2.026606
-9 0.001892 -0.02688 0.219807 21 0.004169 0.060368 0.484492
-8 -0.01236 -0.03924 -1.43571 22 0.003558 0.063926 0.413439
-7 0.052681 0.013446 6.121722 23 -0.0006 0.063327 -0.06961
-6 0.028387 0.041833 3.298606 24 0.003588 0.066915 0.416926
-5 -0.00027 0.041561 -0.03162 25 -0.00222 0.064692 -0.25833
-4 -0.0138 0.027757 -1.60398 26 0.004056 0.068748 0.471296
-3 0.011796 0.039554 1.370765 27 0.002805 0.071553 0.325942
-2 -0.00473 0.034822 -0.54984 28 -0.00876 0.062795 -1.01766
-1 -0.00388 0.030942 -0.4508 29 0.000354 0.063149 0.041115
30 -3.5E-05 0.063114 -0.0041
21
In case of announcement policy 1 CUT IN INTEREST RATE, it was observed that the highest
Abnormal Return (AR) recorded in the Pre event -7th day highest AR was 0.052681 and t value
was found 6.1212721514(statistically significant) and -6th day AR was 0.028387 and t value
3.295606372 (statistically significant)
-25th day AR 0.019265 and t value 2.238630694 (statistically significant) -10th day AR was
0.01726 and t value found -2.0060685 (statistically significant) and the least AR -0.01905 its t
value is -2.21386224 (statistically significant) the post event 20th day AR was 0.01744 and its t
value 2.02660596 (statistically significant) the event day AR WAS -0.00813 and its t value -
.04466528 (statistically not significant).
Graph showing CAR
CAR
0.15
0.1
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
In above graph 0 is the event day on which dividend announcement was made. Event window in
the above diagram is restricted to 60 days. -1 to -30 days are dated before the announcement and
before the event day. After the event there is raising and its started huge hike.
22
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

df 2 2 df 6 6
F 12.65518 F 11.44006

df 14 14 df 29 29
F 4.66151 F 3.272175
It is evident from the above table that the calculated F value was 1.72221which is less than the F
Critical 19.0 (for 3 days’ event window). Therefore, we cannot reject the null hypothesis. The
calculated F value was 2.086045 which is less than the F Critical 4.283866 (for 7 days’ event
window). Therefore, we can accept the null hypothesis. The calculated F value was which 2.71103
is more than the F Critical 2.483726 (for 15 days’ event window). Therefore, we cannot reject the
null hypothesis. The calculated F value was 2.25438which is more than the F Critical 1.860811
(for 30 days’ event window). Therefore, we cannot reject the null hypothesis.
H0: µ1= µ2
23
H1: µ1 ≠ µ2

Mean 0.002897 -0.00415 Mean -0.00287 0.011688
t Stat 1.216098 t Stat -1.78093

Mean 0.004777 0.002188 Mean 0.002449 0.001192
t Stat 0.5844 t Stat 0.47372
It is evident from the above table that the mean return before the event period was 0.002897and
after the event was-0.00415and calculated t value was 1.216098 which is less than the t Critical
return before the event period was -0.00287 and after the event was 0.011688 and calculated t
value was -1.78093which is less than the t Critical 2.306004 (for 7 days’ event window).
Therefore, we cannot reject the null hypothesis. The mean return before the event period was
0.004777and after the event was 0.002188and calculated t value was 0.5844which is less than the
t Critical 2.085963 (for 15 days’ event window). Therefore, we cannot reject the null hypothesis.
The mean return before the event period was 0.002449and after the event was 0.001192and
calculated t value was 0.47372which is less than the t Critical 2.014103 (for 30 days’ event
window). Therefore, we cannot reject the null hypothesis.
-2 -0.00861 -0.66378 2 -0.00199 -0.15361 (-2,+2) -0.01873 -0.91329
-5 -0.01089 -0.53092 5 -0.01861 -0.90706 (-5,+5) 0.037428 1.230216
-10 0.04245 1.463392 10 0.003107 0.107115 (-10,+10) 0.066458 1.580953
-20 0.036505 0.889835 20 0.033386 0.813815 (-20,+20) 0.061761 1.051477
-30 0.030942 0.615846 30 0.040301 0.802101 (-30,+30) 0.063114 0.880919
that CAR OF Nifty for -2 days period was -0.00861with t stats of -0.66378 (statistically not
24
sig), followed by -5 days event window with CAR of -0.01089 with t stats of -0.53092
(statistically not sig), followed by -10 days event window with CAR 0.04245 with t stats of -
1.463392 ( statistically not sig), followed by -20 days event window with CAR of 0.036505
with t stats of 0.889835 (statistically not sig), followed by -30 days event window with CAR
0.030942with t stats of 0.615846 (statistically not sig). CAR for 2 days event window was --
0.00199 with t stats of -0.15361 (statistically not sig), followed by 5 days event window with
CAR -0.01861with t stats of -0.90706 (statistically not sig), followed by 10 days event window
with CAR of 0.033386 with t stats of 0.107115 (statistically not sig ), followed by 20 days
event window with CAR 0.033386 with t stats of 0.802101 (statistically not sig), followed by
30 days event window with CAR -0.01873 with t stats of 0.802101(statistically not sig). For
CAR of (-2, +2) window was -0.02166 with t stats of -0.91329 (statistically not sig), followed
by (-5,+5) window with CAR 0.037428with t stats of 1.230216 (statistically not sig), followed
by (-10,+10) window with CAR of 0.066458 with t stats of 1.580953 (statistically not sig),
followed by (-20,+20) window with CAR 0.061761with t stats of 1.051477 (statistically not sig),
followed by (-30,+30) window with CAR 0.063114with t stats of 0.880919 (statistically not sig).
BSE FMCG TABLE SHOWING AR, CAR AND T TEST RESULTS
DAYS AR CAR T STAST DAYS AR CAR T STAST

-30 -0.00189 -0.00189 -0.22989 0 -0.00878 0.064683 -1.0699
-29 -0.00701 -0.0089 -0.85364 1 0.001286 0.065969 0.156661
-28 -0.00689 -0.01579 -0.83929 2 0.001569 0.067538 0.191111
-27 -0.00108 -0.01686 -0.13094 3 -0.01531 0.05223 -1.86455
-26 -0.0068 -0.02366 -0.82798 4 -0.00504 0.047192 -0.61365
-25 0.015316 -0.00834 1.865614 5 0.000896 0.048089 0.109198
-24 0.010042 0.0017 1.223229 6 0.00075 0.048839 0.091386
-23 -0.00403 -0.00233 -0.49101 7 -0.00422 0.044623 -0.51355
-22 -0.00521 -0.00754 -0.63431 8 0.009857 0.05448 1.200681
-21 0.017332 0.009793 2.111097 9 0.005355 0.059835 0.652232
-20 -0.01512 -0.00532 -1.84133 10 0.010415 0.07025 1.268638
-19 -0.00152 -0.00685 -0.18537 11 -0.00059 0.069665 -0.07128
-18 0.001456 -0.00539 0.17729 12 0.013361 0.083026 1.627448
-17 -0.0015 -0.00689 -0.18276 13 0.007498 0.090524 0.913257
-16 0.008696 0.001805 1.059185 14 9.63E-05 0.09062 0.011724
25
-15 6.17E-05 0.001867 0.007517 15 0.006889 0.097509 0.839154
-14 -0.00344 -0.00157 -0.41896 16 0.005406 0.102915 0.658465
-13 -0.00646 -0.00803 -0.78683 17 -0.00439 0.098526 -0.53459
-12 0.000458 -0.00757 0.055747 18 -0.00327 0.095261 -0.39775
-11 0.006772 -0.0008 0.824847 19 0.004778 0.100039 0.581983
-10 -0.00388 -0.00469 -0.47312 20 -6.1E-05 0.099978 -0.00743
-9 0.004439 -0.00025 0.540671 21 0.005724 0.105701 0.697203
-8 -0.0081 -0.00835 -0.98708 22 0.011613 0.117314 1.414514
-7 0.039122 0.03077 4.765274 23 0.001012 0.118326 0.123238
-6 0.042087 0.072857 5.126451 24 0.004188 0.122514 0.510076
-5 0.004941 0.077798 0.601872 25 -0.00568 0.116832 -0.69201
-4 -0.01302 0.064776 -1.58617 26 0.003221 0.120054 0.392396
-3 0.005643 0.070419 0.68735 27 0.000134 0.120187 0.016264
-2 0.000211 0.07063 0.02575 28 0.003653 0.12384 0.44493
-1 0.002836 0.073466 0.345414 29 -0.01799 0.105852 -2.19111
30 -0.00542 0.100432 -0.66015
The pre event 6th day the highest AR was 0.042087 and the t value is 5.126451 its statistically
significant the next highest value of pre event 7th day AR was found 0.039122 and the t value is
4.765274 statistically significant and least AR found 21 st day AR was 0.017332 and its t value
2.111097 statistically significant and the event day AR was -0.00878 and the t value -1.0699
statistically not significant.
Graph showing CAR
CAR
0.3
0.25
0.2
0.15
0.1
0.05
0
-0.05 -30-28-26-24-22-20-18-16-14-12-10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
26
before the event day. After the event there is raising and its started huge hike.
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

df 2 2 df 6 6
F 5.083265 F 20.43149

Variance 0.0011 0.000145 Variance 0.00065 0.000156
df 14 14 df 29 29
F 7.575012 F 4.155154
27
calculated F value was 20.43149 which is more than the F Critical 4.283866 (for 7 days’ event
window). Therefore, we can reject the null hypothesis. The calculated F value was which
7.575012is more than the F Critical 2.483726 (for 15 days’ event window). Therefore, we cannot
reject the null hypothesis. The calculated F value was 4.155154which is more than the F Critical
1.860811 (for 30 days’ event window). Therefore, we cannot reject the null hypothesis.
H0: µ1= µ2
H1: µ1 ≠ µ2

Mean 0.002039 -0.00115 Mean 0.012166 -0.00036
t Stat 0.237891 t Stat 0.74561

Mean 0.003936 0.005515 Mean 0.003163 0.004112
t Stat -0.17327 t Stat -0.18301
return before the event period was 0.012166 and after the event was -0.00036 and calculated t
value was 0.74561 which is less than the t Critical 2.364624 (for 7 days’ event window).
0.003936 and after the event was 0.005515 and calculated t value was -0.17327 which is less than
the t Critical 2.100922 (for 15 days’ event window). Therefore, we cannot reject the null
hypothesis. The mean return before the event period was 0.003163and after the event was
28
0.004112and calculated t value was -0.18301which is less than the t Critical 2.018082 (for 30
days’ event window). Therefore, we cannot reject the null hypothesis.

-2 0.003047 0.241754 2 0.002855 0.226518 (-2,+2) -0.00288 -0.14458
-5 0.000609 0.030574 5 -0.01659 -0.83263 (-5,+5) 0.071053 2.4036**
-10 0.074269 2.635*** 10 0.005568 0.19754 (-10,+10) 0.083274 2.0388**
-20 0.063673 1.597469 20 0.035295 0.885502 (-20,+20) 0.090184 1.580269
-30 0.073466 1.504941 30 0.035749 0.732319 (-30,+30) 0.100432 1.442777
that CAR OF BSE FMCG for -2 days period was 0.003047with t stats of 0.241754 (statistically
not sig), followed by -5 days event window with CAR of -0.02028with t stats of -0.9341
2.635*** ( statistically sig AT 10%), followed by -20 days event window with CAR
of 0.063673 with t stats of 1.597469 (statistically not sig), followed by -30 days event window
with CAR -0.073466 with t stats of 1.504941 (statistically not sig). CAR for 2 days event window
was -0.002855 with t stats of 0.226518 (statistically not sig), followed by 5 days event window
with CAR -0.01659with t stats of -0.83263 (statistically not sig), followed by 10 days event
window with CAR of 0.005568 with t stats of 0.19754 (statistically not sig ), followed by 20
days event window with CAR 0.035295 with t stats of 0.885502 (statistically not sig), followed
by 30 days event window with CAR -0.10706 with t stats of 0.136031 (statistically not sig). For
by (-5, +5) window with CAR 0.071053with t stats of 2.4036** (statistically sig at 5%), followed
by (-10, +10) window with CAR of 0.083274 with t stats of 2.0388** (statistically not sig),
followed by (-20, +20) window with CAR -0.090184with t stats of 1.580269 (statistically not
sig), followed by (-30, +30) window with CAR 0.100432with t stats of 1.442777 (statistically
not sig).
29
BSE AUTO TABLE SHOWING AR, CAR AND T TEST RESULTS
DAYS AR CAR T STAT DAYS AR CAR T STAT

-30 -0.00596 -0.00596 -0.43703 0 -0.00079 0.094097 -0.05811
-29 0.014114 0.008149 1.034163 1 0.00426 0.098357 0.312112
-28 -0.00642 0.001733 -0.47012 2 0.004309 0.102666 0.315713
-27 -0.01518 -0.01345 -1.11256 3 -0.01201 0.090651 -0.88035
-26 0.020358 0.006908 1.49169 4 -0.00471 0.085945 -0.34483
-25 0.00382 0.010728 0.279918 5 0.003174 0.089119 0.232559
-24 0.020704 0.031431 1.517024 6 0.014227 0.103346 1.042472
-23 -0.01962 0.011812 -1.43755 7 -0.01175 0.091597 -0.86089
-22 -0.00678 0.005029 -0.49706 8 0.004286 0.095883 0.31407
-21 0.006145 0.011174 0.450249 9 0.017615 0.113498 1.290731
-20 -0.01355 -0.00238 -0.99302 10 0.023226 0.136725 1.701868
-19 -0.0177 -0.02008 -1.29692 11 -0.00085 0.135878 -0.06203
-18 0.020112 3.35E-05 1.473669 12 0.030036 0.165914 2.200815
-17 0.025922 0.025956 1.899409 13 0.012533 0.178447 0.918358
-16 0.009895 0.03585 0.725013 14 0.000944 0.179391 0.069184
-15 0.000848 0.036698 0.062132 15 -0.00257 0.176819 -0.18846
-14 0.034471 0.07117 2.525827 16 0.012772 0.189591 0.935846
-13 -0.01839 0.052779 -1.34751 17 -0.00179 0.187804 -0.13095
-12 0.012998 0.065777 0.9524 18 -0.00291 0.184889 -0.21358
-11 -0.0061 0.059675 -0.44715 19 0.015738 0.200627 1.153144
-10 -0.03762 0.022056 -2.75648 20 0.000506 0.201133 0.037077
-9 5.45E-05 0.02211 0.003993 21 0.042982 0.244115 3.149451
-8 -0.01238 0.009729 -0.90719 22 -0.00131 0.242809 -0.09566
-7 0.09619 0.105919 7.04815 23 0.004604 0.247414 0.337368
-6 0.025354 0.131273 1.857794 24 -0.00801 0.239402 -0.58703
-5 -0.00364 0.127634 -0.26664 25 -0.01239 0.227008 -0.9082
-4 -0.03886 0.088774 -2.84744 26 -0.00237 0.224635 -0.17383
-3 0.026353 0.115126 1.930944 27 0.002012 0.226647 0.147441
-2 -0.01272 0.102409 -0.93186 28 -0.00232 0.224329 -0.16989
-1 -0.00752 0.094891 -0.55088 29 -0.00435 0.219984 -0.31837
30 -0.00254 0.217444 -0.1861
30
Event day 0 AR -0.00079 and the t stats -0.05811 (statistically not significant). Pre event -7 AR
0.09619 T stats 7.04815(statistically significant) Pre event -14 AR 0.034471 T stats
2.525827(statistically significant) Pre event -10 AR -0.03762 T stats -2.75648(statistically
significant) Pre event -4 AR -0.03886 T stats -2.84744(statistically significant) Post event 21 AR
0.042982 T stats 3.149451(statistically significant) Post event 12 AR 0.030036 T
stasts2.200815(statistically significant).
Graph showing CAR
CAR
0.1
0.05
0
-30-28-26-24-22-20-18-16-14-12-10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
-0.1
day there was a sharp dip and gone into negative phase and it has been volatile
31
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2
Table No 4.

df 2 2 df 6 6
F 13.55234 F 13.6652

df 14 14 df 29 29
F 1.976728 F 2.012181
32
H0: µ1= µ2
H1: µ1 ≠ µ2

Mean 0.004148 0.001645 Mean -0.0006 -0.00184
t Stat 0.260845 t Stat 0.160046

Mean -0.0019 -0.00469 Mean 0.000261 -0.00075
t Stat 0.439266 t Stat 0.279238
after the event was0.001645 and calculated t value was 0.260845 which is less than the t Critical
return before the event period was -0.0006 and after the event was -0.00184 and calculated t value
was 0.160046 which is less than the t Critical 2.364624 (for 7 days’ event window). Therefore,
we cannot reject the null hypothesis. The mean return before the event period was -0.0019 and
after the event was -0.00469 and calculated t value was 0.439266 which is less than the t Critical
return before the event period was 0.000261and after the event was -0.00075and calculated t
-2 -0.02024 -1.21892 2 0.008568 0.516115 (-2,+2) -0.01246 -0.47471
-5 -0.03638 -1.38605 5 -0.00498 -0.18967 (-5,+5) 0.07705 1.979
-10 0.035216 0.948653 10 0.042627 1.148305 (-10,+10) 0.143804 2.673***
-20 0.083717 1.594662 20 0.107035 2.0388** (-20,+20) 0.189959 2.527***
-30 0.094891 1.475815 30 0.123347 1.91838* (-30,+30) 0.217444 2.371**
that CAR OF BSE AUTO for -2 days period was -0.02024 with t stats of -1.21892(statistically
33
not sig), followed by -5 days event window with CAR of -0.03638 with t stats of -1.38605
0.083717with t stats of 1.475815 (statistically not sig). CAR for 2 days event window was -
0.008568 with t stats of 0.516115 (statistically not sig), followed by 5 days event window with
CAR -0.00498 with t stats of -0.18967 (statistically not sig), followed by 10 days event window
with CAR of 0.042627with t stats of 1.148305 (statistically not sig), followed by 20 days event
window with CAR 0.107035 with t stats of 2.0388** (statistically sig at 5%), followed by 30
days event window with CAR 0.123347 with t stats of 1.91838* (statistically sig at 1%). For
by (-5,+5) window with CAR 0.07705 with t stats of 1.979 (statistically not sig), followed by (-
10,+10) window with CAR of 0.143804 with t stats of 2.673*** (statistically sig at 10%),
followed by (-20,+20) window with CAR 0.189959with t stats of 2.527*** (statistically sig at
10%), followed by (-30,+30) window with CAR 0.217444with t stats of 2.371** (statistically
sig at 5%).
BSE IT TABLE SHOWING AR, CAR AND T TEST RESULTS

-30 0.002574 0.002574 0.228457 0 -0.01537 -0.00753 -1.36375
-29 0.014105 0.016679 1.251773 1 0.002286 -0.00525 0.202853
-28 0.000486 0.017165 0.043124 2 -0.003 -0.00824 -0.26585
-27 0.002816 0.019981 0.249911 3 0.005646 -0.0026 0.501028
-26 0.012253 0.032234 1.087416 4 -0.00607 -0.00867 -0.53873
-25 0.004074 0.036308 0.361592 5 0.001458 -0.00721 0.129406
-24 -0.01472 0.021584 -1.30673 6 -0.01004 -0.01725 -0.8909
-23 0.011399 0.032983 1.011649 7 -0.0032 -0.02045 -0.28382
-22 -0.00077 0.032216 -0.06811 8 0.015803 -0.00464 1.402489
-21 0.007737 0.039953 0.686657 9 -0.00894 -0.01358 -0.79336
-20 0.001113 0.041066 0.098796 10 -0.00772 -0.0213 -0.68501
-19 0.003041 0.044108 0.269913 11 0.006999 -0.0143 0.621154
-18 -0.00061 0.043501 -0.05387 12 0.001423 -0.01288 0.126273
-17 0.001172 0.044673 0.103997 13 0.007715 -0.00517 0.684726
34
-16 -0.00831 0.036359 -0.73778 14 -0.00024 -0.00541 -0.02143
-15 -0.00031 0.036044 -0.02794 15 -0.07248 -0.07789 -6.43261
-14 -0.01394 0.022101 -1.23746 16 0.011209 -0.06668 0.994761
-13 -0.00649 0.015609 -0.57613 17 -0.00699 -0.07367 -0.61995
-12 0.009562 0.025171 0.848593 18 0.009153 -0.06451 0.812301
-11 0.002238 0.027409 0.198604 19 0.005852 -0.05866 0.519393
-10 -0.00578 0.021625 -0.51332 20 -0.00058 -0.05924 -0.05107
-9 0.003239 0.024864 0.287479 21 0.016936 -0.0423 1.502986
-8 -0.01281 0.012057 -1.13659 22 0.01412 -0.02818 1.253152
-7 -0.01021 0.001846 -0.90619 23 0.017958 -0.01022 1.593734
-6 -0.03347 -0.03163 -2.97053 24 -0.0091 -0.01932 -0.80721
-5 0.023523 -0.0081 2.08758 25 0.009694 -0.00962 0.860336
-4 0.003491 -0.00461 0.309837 26 -0.00611 -0.01573 -0.54216
-3 -0.00512 -0.00973 -0.45397 27 0.004743 -0.01099 0.420971
-2 -0.00511 -0.01483 -0.45315 28 0.003486 -0.0075 0.30934
-1 0.022665 0.007832 2.011425 29 -0.01565 -0.02315 -1.38888
30 -0.00679 -0.02994 -0.60275
Event day 0 AR -0.01537 T STATS -1.36375(statistically not significant). Pre event day-5 AR 0.023523
T STATS 2.08758(statistically significant) Pre event day -1AR 0.022665T STATS
2.011425(statistically significant) Pre event day -6 AR -0.03347T STATS -2.97053(statistically
significant) Post event Day15 AR -0.07248T STATS -6.43261 (statistically significant).
Graph showing CAR
CAR
0.08
0.06
0.04
0.02
0
-0.02 -30-28-26-24-22-20-18-16-14-12-10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.04
35
before the event day. However, it was started fallen just three third day after the event it has raised
on ninth day were consistency in falling.
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

Variance 1.74E-05 4.14E-06 Variance 6.11E-05 2.92E-05
df 2 2 df 6 6
F 4.208687 F 2.089351

df 14 14 df 29 29
F 2.268074 F 1.579053
36
calculated F value was 2.089351which is less than the F Critical 4.283866 (for 7 days’ event
window). Therefore, we can accept the null hypothesis. The calculated F value was which
2.268074is less than the F Critical 2.483726 (for 15 days’ event window). Therefore, we can reject
the null hypothesis. The calculated F value was 1.579053which is more than the F Critical 1.860811
H0: µ1= µ2
H1: µ1 ≠ µ2

Mean -0.00051 -0.00439 Mean 0.000564 -0.00237
t Stat 1.448681 t Stat 0.885107

Mean 0.00048 0.00187 Mean 0.001052 0.000282
t Stat -0.41998 t Stat 0.305509
It is evident from the above table that the mean return before the event period was -0.00051and
0.00048and after the event was 0.00187 and calculated t value was -0.41998 which is less than
hypothesis. The mean return before the event period was 0.001052 and after the event was
37
0.000282and calculated t value was 0.305509 which is less than the t Critical 2.004045 (for 30
-2 0.017559 1.225352 2 1.225352 -0.04954 (-2,+2) 0.001482 0.065412
-5 0.039457 1.741523 5 1.741523 0.014277 (-5,+5) -0.04871 -1.44953
-10 -0.01958 -0.61099 10 -0.61099 -0.4297 (-10,+10) -0.03775 -0.81291
-20 -0.03212 -0.70887 20 -0.70887 -1.14097 (-20,+20) -0.09919 -1.52883
-30 0.007832 0.141121 30 0.141121 -0.4038 (-30,+30) -0.02994 -0.37839
that CAR OF BSE IT for -2 days period was 0.017559with t stats of 1.225352 (statistically not
sig), followed by -5 days event window with CAR of 0.039457 with t stats of 1.741523
(statistically not sig), followed by -10 days event window with CAR -0.01958 with t stats of --
0.61099 ( statistically not sig), followed by -20 days event window with CAR of -0.03212 with
t stats of -0.70887 (statistically not sig), followed by -30 days event window with CAR 0.007832
with t stats of 0.141121 (statistically not sig). CAR for 2 days event window was 1.225352 with
t stats of -0.04954 (statistically not sig), followed by 5 days event window with CAR
1.741523with t stats of 0.014277 (statistically not sig), followed by 10 days event window with
CAR of --0.61099 with t stats of -0.4297 (statistically not sig), followed by 20 days event
window with CAR -0.70887 with t stats of -1.14097 (statistically not sig), followed by 30 days
event window with CAR 0.141121 with t stats of -0.4038 (statistically not sig). For CAR of (-2,
+2) window was -0.001482with t stats of 0.065412 (statistically not sig), followed by (-5, +5)
window with CAR --1.44953with t stats of -0.03775 (statistically not sig), followed by (-10,
+10) window with CAR of -0.03775 with t stats of -0.81291 (statistically not sig), followed by
(-20, +20) window with CAR -0.09919with t stats of 1.52883 (statistically not sig), followed by
(-30,+30) window with CAR -0.02994 with t stats of -0.37839 (statistically not sig).
38
BSE POWER TABLE SHOWING AR, CAR AND T TEST RESULTS

-30 0.010867 0.010867 0.970209 0 -0.01221 0.019356 -1.08972
-29 0.002723 0.01359 0.243156 1 -8.9E-05 0.019267 -0.00796
-28 -0.00881 0.004782 -0.78641 2 -0.00466 0.014608 -0.41602
-27 -0.01304 -0.00825 -1.16396 3 -0.00842 0.006183 -0.75219
-26 -0.01324 -0.02149 -1.18197 4 0.016252 0.022435 1.45107
-25 0.009997 -0.0115 0.89257 5 -0.00013 0.022302 -0.01188
-24 0.016485 0.004989 1.471861 6 0.00288 0.025182 0.257108
-23 0.016199 0.021188 1.446289 7 -0.00188 0.023304 -0.16767
-22 -0.01506 0.006124 -1.34496 8 0.01209 0.035394 1.079441
-21 0.003523 0.009647 0.31457 9 -0.01031 0.025084 -0.9205
-20 -0.00567 0.003979 -0.50612 10 0.00749 0.032574 0.668727
-19 -0.0226 -0.01862 -2.01812 11 0.026239 0.058813 2.34272
-18 0.005246 -0.01338 0.468353 12 0.001603 0.060416 0.143083
-17 0.016958 0.003579 1.514088 13 0.007745 0.068161 0.691517
-16 0.020789 0.024368 1.856086 14 -0.01224 0.055926 -1.09238
-15 0.002718 0.027086 0.242699 15 -0.00852 0.047411 -0.7603
-14 0.000203 0.02729 0.01815 16 0.003712 0.051123 0.331432
-13 -0.00526 0.022034 -0.46924 17 0.003923 0.055046 0.350302
-12 0.012571 0.034604 1.122339 18 0.004981 0.060027 0.444704
-11 -0.00596 0.028648 -0.53181 19 0.002203 0.06223 0.196712
-10 -0.01328 0.015364 -1.18601 20 0.001 0.063231 0.089304
-9 0.007196 0.02256 0.642487 21 -0.00038 0.062852 -0.03379
-8 -0.00646 0.016102 -0.5766 22 -0.00258 0.060273 -0.23025
-7 0.008344 0.024446 0.744953 23 0.000971 0.061245 0.086738
-6 -0.00332 0.021124 -0.29658 24 -0.00093 0.060317 -0.08283
-5 0.001064 0.022188 0.094997 25 -0.01341 0.046905 -1.19749
-4 0.010895 0.033083 0.972718 26 0.002047 0.048951 0.182742
-3 0.001777 0.03486 0.158612 27 -0.0119 0.03705 -1.0626
-2 -0.00117 0.033689 -0.10449 28 -0.00588 0.031165 -0.52541
-1 -0.00213 0.031562 -0.18995 29 -0.00726 0.023903 -0.64837
30 0.003904 0.027807 0.348557
39
Event day 0 AR -0.01221T stats -1.08972 (statistically not significant). Pre event -19 AR -0.0226
T stats -2.01812 (statistically significant) Post event 11 AR 0.026239 T stats 2.34272 (statistically
significant)
Graph showing CAR
CAR
0.08
0.06
0.04
0.02
0
-30-28-26-24-22-20-18-16-14-12-10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.02
-0.04
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2
40

df 2 2 df 6 6
F 4.208687 F 2.089351

df 14 14 df 29 29
F 2.268074 F 1.579053
2.268074 is more than the F Critical 2.483726 (for 15 days’ event window). Therefore, we cannot
reject the null hypothesis. The calculated F value was 1.579053 which is less than the F Critical
1.860811 (for 30 days’ event window). Therefore, we can reject the null hypothesis.
H0: µ1= µ2
H1: µ1 ≠ µ2
41
Mean -0.00051 -0.00439 Mean 0.000564 -0.00237
t Stat 1.448681 t Stat 0.885107

Mean 0.00048 0.00187 Mean 0.001052 0.000282
t Stat -0.41998 t Stat 0.305509
It is evident from the above table that the mean return before the event period was -0.000551 and
-2 -0.0033 -0.22225 2 -0.00475 -0.32004 (-2,+2) -0.02025 -0.86321
-5 0.010437 0.444888 5 0.002946 0.125565 (-5,+5) 0.003926 0.112827
-10 0.002914 0.087818 10 0.013218 0.39838 (-10,+10) 0.037856 0.787338
-20 0.021914 0.467038 20 0.043874 0.935046 (-20,+20) 0.053583 0.797583
-30 0.031562 0.549211 30 0.008451 0.147052 (-30,+30) 0.027807 0.339336
that CAR OF BSE POWER for -2 days period was 0.017559with t stats of 1.225352 (statistically
not sig), followed by -5 days event window with CAR of 0.039457 with t stats of 1.741523
42
t stats of -0.70887 (statistically not sig), followed by -30 days event window with CAR 0.007832
with t stats of 0.141121 (statistically not sig). CAR for 2 days event window was 1.225352 with
t stats of -0.04954 (statistically not sig), followed by 5 days event window with CAR
CAR of --0.61099 with t stats of -0.4297 (statistically not sig), followed by 20 days event
window with CAR -0.70887 with t stats of -1.14097 (statistically not sig), followed by 30 days
event window with CAR 0.141121 with t stats of -0.4038 (statistically not sig). For CAR of (-2,
+2) window was -0.001482with t stats of 0.065412 (statistically not sig), followed by (-5, +5)
window with CAR --1.44953with t stats of -0.03775 (statistically not sig), followed by (-10, +10)
window with CAR of -0.03775 with t stats of -0.81291 (statistically not sig), followed by (-20,
+20) window with CAR -0.09919with t stats of 1.52883 (statistically not sig), followed by (-30,
+30) window with CAR -0.02994 with t stats of -0.37839 (statistically not sig).
BSE INFRATRACTURE TABLE SHOWING AR, CAR AND T TEST RESULTS
DAYS AR CAR T STAS DAYS AR CAR T STAS

-30 0.002899 0.002899 0.234228 0 -0.01678 0.012032 -1.35594
-29 -0.00343 -0.00053 -0.27678 1 0.000952 0.012984 0.076915
-28 -0.00914 -0.00967 -0.73875 2 -0.01154 0.001448 -0.93219
-27 -0.0257 -0.03537 -2.07695 3 -0.01079 -0.00934 -0.8716
-26 -0.02013 -0.0555 -1.62641 4 0.01863 0.009292 1.50546
-25 0.018949 -0.03655 1.531227 5 -0.00447 0.004818 -0.36156
-24 0.022068 -0.01448 1.783223 6 0.000278 0.005096 0.022429
-23 0.020806 0.006325 1.68132 7 0.006927 0.012022 0.559736
-22 -0.01656 -0.01023 -1.33816 8 0.010292 0.022314 0.831651
-21 -0.00128 -0.01151 -0.10329 9 -0.00154 0.020778 -0.1241
-20 -0.00125 -0.01276 -0.10065 10 0.006485 0.027264 0.524055
-19 -0.02251 -0.03527 -1.81923 11 0.027943 0.055206 2.257983
-18 0.010593 -0.02468 0.856008 12 5.55E-05 0.055262 0.004484
-17 0.013895 -0.01078 1.122801 13 -0.00125 0.054016 -0.10065
-16 0.017658 0.006874 1.426924 14 -0.00595 0.048064 -0.48102
-15 0.011491 0.018365 0.928521 15 -0.0117 0.036359 -0.94582
-14 -0.00615 0.012214 -0.49705 16 0.014194 0.050553 1.147004
-13 0.000407 0.012621 0.032908 17 0.008608 0.059162 0.69562
-12 0.007073 0.019694 0.571557 18 0.004282 0.063444 0.346007
43
-11 -0.00469 0.015 -0.37932 19 -0.00179 0.061654 -0.14461
-10 -0.01958 -0.00458 -1.58256 20 0.006255 0.067909 0.505468
-9 -0.00126 -0.00585 -0.10198 21 -0.00737 0.060537 -0.59574
-8 -0.01516 -0.02101 -1.22522 22 0.004171 0.064708 0.33705
-7 0.041851 0.020843 3.381899 23 0.000381 0.065089 0.030771
-6 0.029136 0.049979 2.354406 24 -0.01142 0.053669 -0.92278
-5 -0.00673 0.043249 -0.54382 25 0.002068 0.055738 0.167134
-4 -0.01095 0.032302 -0.88456 26 -0.02138 0.034353 -1.72804
-3 0.014251 0.046554 1.151608 27 -0.00376 0.030591 -0.30399
-2 -0.01436 0.032196 -1.16019 28 -0.00214 0.028446 -0.17333
-1 -0.00338 0.028812 -0.27345 29 0.002843 0.031289 0.229715
30 -0.0005 0.030792 -0.04016
Event day 0 AR -0.01678 T stats-1.35594 (statistically not significant). Pre event -7 AR 0.041851
T stats 3.381899 (statistically significant) Pre event -6 AR 0.029136 T stats 2.354406 (statistically
significant) Pre event -27 AR -0.0257 T stats -2.07695 (statistically significant) Post event 11 AR
0.027943 T stats 2.257983 (statistically significant).
Graph showing CAR
CAR
0.1
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
-0.1
44
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

Variance 0.000208 4.9E-05 Variance 0.000472 0.000111
df 2 2 df 6 6
F 4.247159 F 4.255015

Variance 0.000287 0.000124 Variance 0.000271 9.61E-05
df 14 14 df 29 29
F 2.317117 F 2.823115
is less than the F Critical 2.483726 (for 15 days’ event window). Therefore, we can reject the null
45
hypothesis. The calculated F value was 2.823115 which is more than the F Critical 1.860811 (for
30 days’ event window). Therefore, we cannot reject the null hypothesis.
H0: µ1= µ2
H1: µ1 ≠ µ2

Mean -0.00116 -0.00712 Mean 0.007117 -1.4E-06
t Stat 0.643482 t Stat 0.780133

Mean 0.001463 0.001622 Mean 0.00096 0.000625
t Stat -0.03046 t Stat 0.095768
after the event was -0.00712and calculated t value was 0.643482which is less than the t Critical
return before the event period was 0.007117and after the event was -1.4E-06 and calculated t
0.001463and after the event was 0.001622and calculated t value was -0.03046 which is less than
0.000625and calculated t value was 0.095768which is less than the t Critical 2.011741 (for 30
46
-2 -0.01774 -1.15762 2 -0.01058 -0.69061 (-2,+2) -0.04511 -1.86139
-5 -0.02117 -0.87349 5 -0.00721 -0.29772 (-5,+5) 0.012264 0.341205
-10 0.013812 0.403049 10 0.015231 0.444455 (-10,+10) 0.061108 1.230506
-20 0.040325 0.832064 20 0.055877 1.15295 (-20,+20) 0.079422 1.144575
-30 0.028812 0.485413 30 0.018759 0.316049 (-30,+30) 0.030792 0.363803
that CAR OF BSE INFRATRACTURE for -2 days period was -0.01774with t stats of -0.19267
(statistically not sig), followed by -5 days event window with CAR of -0.02117 with t stats of
--0.87349 (statistically not sig), followed by -10 days event window with CAR 0.013812 with t
stats of 0.403049 ( statistically not sig), followed by -20 days event window with CAR
with CAR 0.028812with t stats of 0.485413 (statistically not sig). CAR for 2 days’ event window
was -0.01058 with t stats of -0.69061 (statistically not sig), followed by 5 days’ event window
with CAR -0.00721with t stats of -0.29772 (statistically not sig), followed by 10 days’ event
window with CAR of 0.015231 with t stats of 0.444455 (statistically not sig), followed by 20
days’ event window with CAR 0.055877 with t stats of 1.15295 (statistically not sig), followed
by 30 days event window with CAR 0.018759with t stats of 0.316049 (statistically not sig). For
CAR of (-2, +2) window was -0.04511with t stats of -1.86139 (statistically not sig), followed by
(-5, +5) window with CAR 0.012264with t stats of 0.341205 (statistically not sig), followed by
(-10, +10) window with CAR of 0.061108with t stats of 1.230506 (statistically not sig), followed
by (-20, +20) window with CAR 0.079422with t stats of 1.144575 (statistically not sig), followed
by (-30,+30) window with CAR 0.030792with t stats of 0.363803 (statistically not sig).
BSE METAL TABLE SHOWING AR, CAR AND T TEST RESULTS

-30 -0.00709 -0.00709 -0.45237 0 -0.01279 0.04116 -0.8162
-29 -0.00388 -0.01097 -0.24764 1 -0.02522 0.015936 -1.6096
-28 -0.01385 -0.02482 -0.88401 2 -0.01463 0.001307 -0.93353
-27 -0.02996 -0.05478 -1.91173 3 -0.00861 -0.0073 -0.54926
-26 -0.03408 -0.08886 -2.17442 4 0.024003 0.016702 1.531698
-25 0.041851 -0.04701 2.670627 5 -0.01498 0.001719 -0.9561
-24 -0.01188 -0.05889 -0.75818 6 0.023138 0.024857 1.476465
-23 0.023171 -0.03572 1.478572 7 0.012414 0.037271 0.792191
47
-22 -0.03516 -0.07088 -2.24378 8 0.015194 0.052466 0.969573
-21 0.011499 -0.05938 0.733746 9 -0.00211 0.050352 -0.13486
-20 0.01902 -0.04036 1.213706 10 0.011538 0.06189 0.736277
-19 -0.02835 -0.06871 -1.80882 11 0.022276 0.084166 1.421465
-18 0.016771 -0.05194 1.07019 12 -0.00437 0.079796 -0.27887
-17 0.022367 -0.02957 1.427299 13 -0.00188 0.077921 -0.11967
-16 0.020169 -0.0094 1.28705 14 -0.00473 0.073186 -0.30215
-15 0.002355 -0.00704 0.150273 15 -0.00349 0.069697 -0.2226
-14 0.023362 0.016318 1.490761 16 0.046516 0.116213 2.968293
-13 -0.00049 0.015824 -0.03152 17 -0.00232 0.113892 -0.1481
-12 0.015996 0.03182 1.020759 18 -0.00205 0.111841 -0.13092
-11 0.001108 0.032929 0.07073 19 0.023903 0.135744 1.525321
-10 -0.02599 0.006938 -1.65851 20 0.032321 0.168065 2.062479
-9 0.014831 0.021769 0.946399 21 -0.0072 0.160867 -0.4593
-8 -0.0141 0.007673 -0.89949 22 0.008999 0.169867 0.574261
-7 0.060222 0.067896 3.842926 23 0.009713 0.17958 0.619805
-6 0.012548 0.080444 0.800724 24 -0.01571 0.163866 -1.0027
-5 -0.01404 0.066404 -0.89592 25 0.000582 0.164448 0.037153
-4 -0.0262 0.040201 -1.67205 26 -0.02191 0.142543 -1.39786
-3 0.043709 0.08391 2.789145 27 -0.01809 0.124456 -1.15415
-2 -0.02566 0.058251 -1.63733 28 -0.00286 0.121595 -0.18257
-1 -0.0043 0.053951 -0.27445 29 0.018514 0.140109 1.1814
30 -0.00677 0.133339 -0.43197
Event day 0AR -0.01279T stats -0.8162(statistically not significant). Pre event -7AR 0.060222T
stats 3.842926(statistically significant) Pre event -3AR 0.043709T stats 2.789145 (statistically
significant) Pre event -25 AR 0.041851 T stats 2.670627 (statistically significant) Pre event -26
AR -0.03408 T stats -2.17442 (statistically significant) Pre event -22 AR -0.03516 T stats -
48
2.24378 (statistically significant) Post event 16 AR 0.046516 T stats 2.968293 (statistically
significant) Post event 20 AR 0.032321 T stats 2.062479 (statistically significant).
Graph showing CAR
CAR
0.2
0.15
0.1
0.05
0
-0.05 -30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.1
-0.15
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

df 2 2 df 6 6
F 17.83448 F 2.880749
49

df 14 14 df 29 29
F 2.70882 F 2.057208
2.70882 is more than the F Critical 2.483726 (for 15 days’ event window). Therefore, we cannot
reject the null hypothesis. The calculated F value was 2.057208 which is more than the F Critical
H0: µ1= µ2
H1: µ1 ≠ µ2

Mean 0.004583 -0.01615 Mean 0.006611 -0.00056
t Stat 0.983782 t Stat 0.480021

Mean 0.004223 0.001902 Mean 0.001798 0.003073
t Stat 0.30483 t Stat -0.23288
50
after the event was -0.01615and calculated t value was 0.983782 which is less than the t Critical
0.004223 and after the event was 0.001902 and calculated t value was 0.30483 which is less than
0.003073and calculated t value was -0.23288 which is less than the t Critical 2.006647 (for 30
BSE TELE COMMUNICATION TABLE SHOWING AR, CAR AND T TEST RESULTS

-30 0.004701 0.004701 0.304594 0 -0.04559 -0.01174 -2.95357
-29 0.002231 0.006932 0.144562 1 -0.01404 -0.02578 -0.90989
-28 -0.00608 0.000848 -0.39422 2 -0.01357 -0.03935 -0.87904
-27 -0.01708 -0.01623 -1.10665 3 0.003666 -0.03568 0.23752
-26 -0.01451 -0.03075 -0.94029 4 0.048565 0.012884 3.146538
-25 0.014727 -0.01602 0.954168 5 0.036999 0.049883 2.397216
-24 0.005122 -0.0109 0.331836 6 0.008737 0.05862 0.566084
-23 -0.02236 -0.03325 -1.44849 7 0.022487 0.081107 1.456945
-22 -0.0037 -0.03696 -0.23986 8 -0.02181 0.059296 -1.41316
-21 0.002435 -0.03452 0.157756 9 0.006709 0.066005 0.434651
-20 0.002676 -0.03184 0.173409 10 0.000355 0.066359 0.022969
-19 -0.02506 -0.05691 -1.62386 11 -0.01776 0.048602 -1.15049
-18 0.018889 -0.03802 1.223827 12 -0.03062 0.017985 -1.98368
-17 0.003646 -0.03437 0.236196 13 -0.00637 0.011611 -0.41302
-16 0.006932 -0.02744 0.449159 14 -0.0168 -0.00519 -1.0882
-15 0.017634 -0.00981 1.142537 15 -0.05259 -0.05778 -3.40759
-14 0.005828 -0.00398 0.377627 16 0.00892 -0.04886 0.577963
-13 -0.01667 -0.02065 -1.08028 17 0.019042 -0.02982 1.233717
-12 -0.00505 -0.0257 -0.32699 18 0.014704 -0.01511 0.952655
51
-11 0.001718 -0.02398 0.111325 19 0.021067 0.005954 1.364941
-10 -0.0117 -0.03568 -0.75788 20 0.014891 0.020845 0.964796
-9 -0.00407 -0.03974 -0.26353 21 -0.02695 -0.00611 -1.74622
-8 0.00212 -0.03762 0.137328 22 0.006824 0.000717 0.442143
-7 0.050661 0.013036 3.282363 23 -0.01423 -0.01351 -0.92185
-6 -0.01106 0.001978 -0.7165 24 0.008821 -0.00469 0.571549
-5 -0.00567 -0.0037 -0.36759 25 -0.01126 -0.01595 -0.72949
-4 -0.01857 -0.02226 -1.20311 26 -0.02766 -0.04361 -1.79204
-3 0.006642 -0.01562 0.430325 27 0.080664 0.037056 5.226259
-2 0.011429 -0.00419 0.740505 28 0.033894 0.07095 2.19599
-1 0.038044 0.03385 2.464907 29 0.082232 0.153182 5.327888
30 -0.00179 0.151387 -0.1163
Event day 0 AR -0.04559 T stats-2.95357 (statistically not significant). Pre event -7 AR 0.050661
significant) Post event 29 AR 0.082232 T stats 5.327888 (statistically significant) Post event 27
AR 0.080664 T stats 5.226259 (statistically significant) Post event 4 AR 0.048565 T stats
3.146538 (statistically significant)Post event 5 AR 0.036999 T stats 2.397216 (statistically
significant)Post event 28 AR 0.033894T stats 2.19599 (statistically significant) Post event 12 AR
-0.03062 - T stats 1.98368(statistically significant) Post event 15 AR -0.05259 - T stats 3.40759
(statistically significant).
Graph showing CAR
0.2
0.15
CAR
0.1
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
-0.1
52
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

Mean 0.018705 -0.00798 Mean 0.010211 0.013263
df 2 2 df 6 6
F 2.811516 F 1.139749

Mean -0.00307 0.004086 Mean 0.005437 0.001128
df 14 14 df 29 29
F 1.79641 F 3.362812
It is evident from the above table that the calculated F value was 2.811516 which is less than the F
53
H0: µ1= µ2
H1: µ1 ≠ µ2

Mean 0.018705 -0.00798 Mean 0.010211 0.013263
t Stat 2.346488 t Stat -0.2295

Mean 0.004086 -0.00307 Mean 0.001128 0.005437
t Stat 0.856065 t Stat -0.68717
return before the event period was 0.010211and after the event was 0.013263 and calculated t
value was -0.2295 which is less than the t Critical 2.178813 (for 7 days’ event window).
0.004086 and after the event was -0.00307 and calculated t value was 0.856065 which is less than
54
-2 -0.02996 -1.61801 2 -0.03985 -2.152** (-2,+2) -0.0826 -2.82***
-5 -0.02649 -0.90493 5 -0.03944 -1.34717 (-5,+5) 0.028962 0.666945
-10 0.021022 0.507733 10 0.02073 0.500694 (-10,+10) 0.058027 0.967121
-20 0.113331 1.9355** 20 0.126905 2.1673** (-20,+20) 0.227445 2.712***
-30 0.053951 0.752314 30 0.092179 1.285394 (-30,+30) 0.133339 1.303936
that CAR OF BSE TELE COMMUNICATION for -2 days period was -0.02996with t stats of -
1.61801 (statistically not sig), followed by -5 days event window with CAR of -1.61801 with
t stats of --0.90493 (statistically not sig), followed by -10 days event window with CAR
0.021022 with t stats of 0.507733 ( statistically not sig), followed by -20 days event window with
CAR of 0.113331 with t stats of 1.9355** (statistically sig at 5%), followed by -30 days event
window with CAR 0.053951with t stats of 0.752314 (statistically not sig). CAR for 2 days event
window was -0.03985 with t stats of -2.152** (statistically sig at 5%), followed by 5 days event
window with CAR -0.03944with t stats of -1.34717 (statistically not sig), followed by 10 days
event window with CAR of 0.02073with t stats of 0.500694 (statistically not sig), followed by
20 days event window with CAR 0.126905 with t stats of 2.1673** (statistically sig at 5%),
followed by 30 days event window with CAR 0.092179with t stats of 1.285394 (statistically not
sig). For CAR of (-2, +2) window was -0.0826 with t stats of -2.82***(statistically sig at 10%),
followed by (-5, +5) window with CAR 0.028962with t stats of 0.666945 (statistically not sig),
followed by (-10, +10) window with CAR of 0.058027with t stats of 0.967121 (statistically not
sig), followed by (-20, +20) window with CAR 0.227445with t stats of 2.712*** (statistically
sig at 10%), followed by (-30, +30) window with CAR 0.133339with t stats of 1.303936
(statistically not sig).
55
BSE CONSUMER DURABLES TABLE SHOWING AR, CAR AND T TEST RESULTS

-30 -0.00853 -0.00853 -0.76223 0 0.000436 0.098342 0.038912
-29 0.01375 0.005216 1.228133 1 0.005397 0.103739 0.482074
-28 0.003403 0.008619 0.303935 2 -0.02355 0.080187 -2.10359
-27 -0.01949 -0.01088 -1.74124 3 0.010069 0.090256 0.899344
-26 -0.00213 -0.013 -0.18985 4 -0.00381 0.086447 -0.34019
-25 0.011235 -0.00177 1.003481 5 -0.00125 0.085201 -0.11135
-24 0.012496 0.010729 1.116098 6 0.000724 0.085925 0.064677
-23 0.011445 0.022175 1.022286 7 -0.00037 0.085553 -0.03321
-22 -0.00803 0.014147 -0.717 8 0.007667 0.09322 0.684842
-21 -0.00377 0.010375 -0.33693 9 0.003259 0.09648 0.29111
-20 0.006344 0.016719 0.56663 10 0.005019 0.101498 0.448268
-19 -0.02791 -0.01119 -2.49276 11 0.013233 0.114732 1.181946
-18 -0.015 -0.02619 -1.33935 12 0.014195 0.128926 1.267831
-17 0.006831 -0.01935 0.610089 13 0.006937 0.135863 0.619564
-16 0.009533 -0.00982 0.851512 14 0.004748 0.140611 0.424075
-15 0.009458 -0.00036 0.844779 15 -0.0194 0.121212 -1.73264
-14 0.002269 0.001906 0.202672 16 0.004603 0.125815 0.411097
-13 -0.00599 -0.00409 -0.53538 17 -0.01118 0.114632 -0.99877
-12 0.017828 0.013739 1.592317 18 0.005073 0.119706 0.45314
-11 0.01178 0.02552 1.052187 19 -0.01366 0.10605 -1.21967
-10 -0.00222 0.023298 -0.19839 20 -0.0057 0.100348 -0.50935
-9 0.006172 0.029471 0.551287 21 -0.01389 0.08646 -1.24041
-8 -0.00893 0.020542 -0.79751 22 -0.05535 0.031114 -4.94342
-7 0.071635 0.092177 6.398335 23 0.005956 0.03707 0.531998
-6 0.030486 0.122664 2.722994 24 -0.00028 0.036791 -0.02492
-5 -0.00956 0.113108 -0.85354 25 -0.00017 0.036618 -0.0155
-4 -0.0162 0.096905 -1.44719 26 0.002635 0.039253 0.235385
-3 0.013679 0.110584 1.221779 27 0.007804 0.047057 0.697017
-2 -0.00115 0.109437 -0.10242 28 -0.00147 0.045589 -0.1311
-1 -0.01153 0.097906 -1.02995 29 0.001585 0.047173 0.141529
30 -0.00132 0.045856 -0.11767
56
event day 0 AR 0.000436 T stats 0.038912 (statistically not significant). Pre event -7 AR
0.071635 T stats 6.398335 (statistically significant) Pre event -6 AR 0.030486 T stats 2.722994
(statistically significant) Pre event-19 AR -0.02791 T stats -2.49276 (statistically significant) Post
event22 AR -0.05535 T stats -4.94342 (statistically significant).
Graph showing CAR
0.2
CAR
0.15
0.1
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
-0.1
57
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

Mean 0.018705 -0.00798 Mean 0.010211 0.013263
df 2 2 df 6 6
F 2.811516 F 1.139749

Mean -0.00307 0.004086 Mean 0.005437 0.001128
df 14 14 df 29 29
F 1.79641 F 3.362812
H0: µ1= µ2
H1: µ1 ≠ µ2
58

Mean 0.018705 -0.00798 Mean 0.010211 0.013263
t Stat 2.346488 t Stat -0.2295

Mean 0.004086 -0.00307 Mean 0.001128 0.005437
t Stat 0.856065 t Stat -0.68717
return before the event period was 0.010211 and after the event was 0.013263 and calculated t
0.001128 and after the event was -0.00307 and calculated t value was 0.856065 which is less than
59
-2 0.049473 2.704*** 2 -0.02761 -1.50937 (-2,+2) -0.02372 -0.82022
-5 0.031873 1.101951 5 0.061619 2.1304** (-5,+5) 0.090338 2.1057**
-10 0.05783 1.413779 10 0.078095 1.90921* (-10,+10) 0.057729 0.973908
-20 0.068371 1.181911 20 0.032581 0.563219 (-20,+20) 0.055365 0.668458
-30 0.03385 0.477784 30 0.163123 2.3024** (-30,+30) 0.151387 1.498496
that CAR OF BSE CONSUMER DURABLES for -2 days period was 0.049473 with t stats of
2.704***(statistically sig at 10%), followed by -5 days event window with CAR of 0.031873
0.05783 with t stats of -1.413779 ( statistically not sig), followed by -20 days event window with
CAR of 0.068371with t stats of 1.181911 (statistically not sig), followed by -30 days event
window with CAR 0.03385 with t stats of 0.477784 (statistically not sig). CAR for 2 days event
window was -0.02761 with t stats of -1.50937 (statistically not sig), followed by 5 days event
window with CAR 0.061619 with t stats of 2.1304** (statistically sig at 5%), followed by 10
days event window with CAR of -0.078095with t stats of 1.90921* (statistically sig at 1% ),
followed by 20 days event window with CAR 0.163123with t stats of 0.563219 (statistically not
sig), followed by 30 days event window with CAR 0.163123 with t stats of 2.3024**
(statistically not sig). For CAR of (-2, +2) window was -0.02372with t stats of -0.82022
(statistically not sig), followed by (-5, +5) window with CAR 0.090338 with t stats of 2.1057**
(statistically not sig), followed by (-10, +10) window with CAR of 0.055365with t stats of
0.668458 (statistically not sig), followed by (-20, +20) window with CAR 0.151387with t stats
of 1.498496 (statistically not sig), followed by (-30, +30) window with CAR -0.01331 with t
stats of -0.15709 (statistically not sig).
60
POLICY 2 7 BIG BANK MERGERS
TABLE SHOWING AR, CAR AND T TEST RESULTS

-30 -0.01411 -0.01411 -1.675 0 0.006854 -0.03616 0.813381
-29 -0.00811 -0.02222 -0.96232 1 -0.01914 -0.05529 -2.27102
-28 -0.00229 -0.02451 -0.27125 2 0.003006 -0.05229 0.356717
-27 -0.00311 -0.02761 -0.36858 3 -0.00438 -0.05667 -0.51979
-26 0.000304 -0.02731 0.036125 4 0.008763 -0.0479 1.039971
-25 0.001076 -0.02623 0.127741 5 0.004198 -0.04371 0.49825
-24 -0.00536 -0.03159 -0.63616 6 0.002943 -0.04076 0.349324
-23 -0.00756 -0.03916 -0.89764 7 -0.00131 -0.04208 -0.15575
-22 0.004174 -0.03498 0.495358 8 -0.00474 -0.04681 -0.56202
-21 -0.01078 -0.04576 -1.27911 9 0.007328 -0.03948 0.869643
-20 0.003279 -0.04248 0.389084 10 -0.0062 -0.04568 -0.73566
-19 -0.00674 -0.04922 -0.79957 11 -0.01764 -0.06333 -2.09383
-18 0.00564 -0.04358 0.669387 12 0.002062 -0.06126 0.244679
-17 -0.00764 -0.05122 -0.90615 13 -0.01264 -0.07391 -1.50051
-16 0.014998 -0.03622 1.77995 14 0.052787 -0.02112 6.264577
-15 0.007339 -0.02888 0.870942 15 0.027814 0.006694 3.300881
-14 0.002346 -0.02653 0.278401 16 0.001013 0.007706 0.120181
-13 -0.01903 -0.04556 -2.25838 17 -0.01391 -0.0062 -1.65057
-12 0.014354 -0.03121 1.703508 18 0.01068 0.004478 1.267458
-11 -0.00061 -0.03182 -0.07216 19 -0.00388 0.000598 -0.46051
-10 -0.00082 -0.03264 -0.09719 20 -0.00456 -0.00397 -0.54171
-9 -0.0001 -0.03274 -0.01202 21 -0.00739 -0.01136 -0.87715
-8 -0.00095 -0.03369 -0.11266 22 -0.00226 -0.01362 -0.26791
-7 -0.00863 -0.04232 -1.02438 23 -0.00073 -0.01434 -0.08639
-6 -0.01627 -0.05859 -1.93075 24 -0.01365 -0.02799 -1.61948
-5 0.009997 -0.04859 1.186466 25 -0.00319 -0.03118 -0.37866
-4 0.019742 -0.02885 2.342961 26 0.001868 -0.02931 0.221709
-3 0.004652 -0.02419 0.552113 27 0.015985 -0.01333 1.897108
-2 -0.0066 -0.03079 -0.78313 28 -0.00871 -0.02204 -1.03386
61
-1 -0.01222 -0.04301 -1.45003 29 0.004619 -0.01742 0.5482
30 0.002464 -0.01495 0.292399
Analysis: The data has been collected for a period of thirty days before and after the event, that is
the date of policy 2 7 big bank merger announcement. The policy announcement date was on
In case of announcement policy 7 BIG BANK MERGER, it was observed that the highest
Abnormal Return (AR) recorded in the pre-event period ranging from the lowest value of
0.0197423on day -4 with a t value of 2.34296081 (statistically significant) followed by an AR of
0.0149983 on -16th day with a t value of 1.77994967 (statistically not significant) and for -12th day
with an AR of 0.0143542 with a t value of 1.70350847 (statistically not significant) and with least
AR of -0.01903 on day -13 with a t value of -2.2583782 (statistically significant) . However, after
the event day BSE has recorded the highest abnormal return on day 14 0.0527868 with a t value
of 6.26457661 (statistically significant) followed by day 15 with AR of 0.027814 with a t value
of 3.30088097 (statistically significant) and on 27th day AR was 0.0159855 with a t value of
1.89710821 (statistically not significant) and on 11th day with least AR was -0.017643 with a t value
of -2.0938271 (statistically significant) and with least AR of -0.019136on day 1 with a t value of -
Graph showing CAR
CAR
0.02
0
-0.02 -30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.04
-0.06
-0.08
62
1) There is an impact of policy announcement news on the stock returns which is evident from the
cumulative abnormal returns curve around the event day.
day there was a sharp dip and gone into negative phase and it has been started recovering only
after 14th day.
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

df 2 2 df 6 6
F 1.72221 F 2.086045

df 14 14 df 29 29
63
F 2.71103 F 2.25438
null hypothesis. The calculated F value was 2.25438which is more than the F Critical 1.860811 (for
H0: µ1= µ2
H1: µ1 ≠ µ2

Mean -0.00472 -0.00684 Mean -0.00133 -0.00085
t Stat 0.258471 t Stat -0.08079

Mean -0.00045 0.002857 Mean -0.00143 0.000707
t Stat -0.60929 t Stat -0.70234
64
was -0.08079 which is less than the t Critical 2.178813 (for 7 days’ event window). Therefore, we
cannot reject the null hypothesis. The mean return before the event period was -0.00045and after
the event was 0.002857and calculated t value was -0.60929which is less than the t Critical
return before the event period was -0.00143 and after the event was -0.000707and calculated t
-2 -0.00035 -0.02593 2 -0.0004 -0.03032 (-2,+2) 0.000121 0.005759
-5 0.001775 0.084169 5 0.003449 0.163596 (-5,+5) 0.002949 0.094286
-10 0.001395 0.046797 10 0.000682 0.022864 (-10,+10) 0.001402 0.03245
-20 0.000772 0.018304 20 -0.00314 -0.07457 (-20,+20) -0.0015 -0.02486
-30 0.012677 0.245463 30 -0.01179 -0.22831 (-30,+30) 0.001757 0.023863
that CAR OF BSE for -2 days period was -0.00035with t stats of -0.02593 (statistically not
0.046797 ( statistically not sig), followed by -20 days event window with CAR of 0.000772 with
t stats of 0.018304 (statistically not sig), followed by -30 days event window with CAR 0.012677
with t stats of 0.245463 (statistically not sig). CAR for 2 days event window was -0.0004 with t
stats of -0.03032 (statistically not sig), followed by 5 days event window with CAR 0.003449with
t stats of 0.163596 (statistically not sig), followed by 10 days event window with CAR
of 0.000682 with t stats of 0.022864 (statistically not sig), followed by 20 days event window
with CAR -0.00314 with t stats of -0.07457 (statistically not sig), followed by 30 days event
window with CAR -0.01179with t stats of -0.22831 (statistically not sig). For CAR of (-2, +2)
window was 0.000121 with t stats of 0.005759 (statistically not sig), followed by (-5, +5) window
with CAR 0.002949with t stats of 0.094286 (statistically not sig), followed by (-10, +10) window
with CAR of 0.001402 with t stats of 0.03245 (statistically not sig), followed by (-20, +20)
65
window with CAR -0.0015 with t stats of -0.02486 (statistically not sig), followed by (-30, +30)
window with CAR 0.001757with t stats of 0.023863 (statistically not sig).
NIFTY

-30 -0.01527 -0.01527 -1.77796 0 0.006338 -0.05325 0.737805
-29 -0.00676 -0.02203 -0.78673 1 -0.01917 -0.07242 -2.23155
-28 -0.0026 -0.02464 -0.3032 2 0.002648 -0.06978 0.308229
-27 -0.00506 -0.0297 -0.58958 3 -0.00216 -0.07194 -0.25187
-26 -0.00119 -0.03089 -0.13811 4 0.008373 -0.06357 0.974609
-25 0.002315 -0.02857 0.269489 5 0.004718 -0.05885 0.549139
-24 -0.00887 -0.03744 -1.03243 6 -0.00067 -0.05952 -0.07842
-23 -0.00942 -0.04686 -1.09674 7 0.00139 -0.05813 0.161826
-22 0.004656 -0.04221 0.541969 8 -0.00531 -0.06344 -0.61785
-21 -0.01106 -0.05327 -1.28764 9 0.007988 -0.05545 0.929779
-20 0.001929 -0.05134 0.224552 10 -0.00596 -0.06142 -0.69408
-19 -0.00791 -0.05925 -0.92034 11 -0.01748 -0.07889 -2.03422
-18 0.005706 -0.05354 0.664222 12 0.001679 -0.07721 0.195435
-17 -0.00861 -0.06215 -1.00208 13 -0.01254 -0.08976 -1.46004
-16 0.013685 -0.04847 1.59304 14 0.052524 -0.03723 6.11403
-15 0.007282 -0.04118 0.847629 15 0.02818 -0.00905 3.28026
-14 0.002138 -0.03905 0.248843 16 -0.00043 -0.00949 -0.05051
-13 -0.01925 -0.0583 -2.24082 17 -0.01405 -0.02354 -1.63572
-12 0.014099 -0.0442 1.641141 18 0.011617 -0.01192 1.352216
-11 -0.00086 -0.04506 -0.09992 19 -0.00491 -0.01683 -0.572
-10 -0.00046 -0.04552 -0.0535 20 -0.00411 -0.02094 -0.47835
-9 -0.00121 -0.04672 -0.14059 21 -0.00823 -0.02918 -0.95838
-8 -0.00253 -0.04925 -0.29411 22 0.002739 -0.02644 0.318877
-7 -0.01066 -0.05991 -1.24094 23 -0.00503 -0.03147 -0.58537
-6 -0.01691 -0.07682 -1.96875 24 -0.01486 -0.04633 -1.72983
-5 0.011731 -0.06509 1.365506 25 -0.004 -0.05033 -0.46583
-4 0.018982 -0.04611 2.209594 26 0.001653 -0.04868 0.192442
66
-3 0.004791 -0.04132 0.557644 27 0.015322 -0.03335 1.783542
-2 -0.00717 -0.04849 -0.83427 28 -0.00813 -0.04148 -0.94598
-1 -0.0111 -0.05959 -1.29258 29 0.004116 -0.03736 0.479071
30 0.003123 -0.03424 0.363579
Analysis: -
The data has been collected for a period of thirty days before and after the event, that is the date
of big bank merger announcement. The policy announcement date was on 30.8.2019. The above
shows abnormal returns and cumulative abnormal returns and t stats for the 30 days’ event window
(-30 to 0 to +30).
In case of 7 BIG BANK MERGER, it was observed that the highest Abnormal Return (AR)
recorded in the pre-event period ranging from the lowest value of 0.018982 on day -4 with a t value
of 2.2095937 (statistically significant) followed by an AR of 0.014099 on -12th day with a t value
of 1.641141 (statistically not significant) and for -16th day with an AR of 0.013685 with a t value
of 1.5930397 (statistically not significant) and with least AR of -0.01691 on day -6 with a t value of
-1.968752 (statistically significant) and with least AR of -0.01925 on day -13 with a t value of -
2.240815 (statistically significant). However, after the event day NIFTY has recorded the highest
abnormal return on day 14 0.052524 with a t value of 6.11403 (statistically significant) followed
by day 15 with AR of 0.02818 with a t value of 3.28026 (statistically significant) and on 27th day
AR was 0.015322 with a t value of 1.785421 (statistically not significant) and on 11th day with least
AR was -0.01748 with a t value of -2.034216 (statistically significant) and with least AR of -0.01917
day 1 with a t value of -2.231555 (statistically significant). However, on the event day the Recorded
AR was 0.006338 with a t value of 0.7378054 (statistically not significant).
Graph showing CAR
CAR
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
-0.1
67
3) The graph shows that the cumulative abnormal returns, were volatile but was on a raising
phase before the event day. However, it was started falling just three days before the event on the
event day there was a sharp dip and gone into negative phase and it has been started recovering
only after 11th day.
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

df 2 2 df 6 6
F 1.917748 F 2.295118

df 14 14 df 29 29
68
F 2.606131 F 2.170696
H0: µ1= µ2
H1: µ1 ≠ µ2

Mean -0.00449 -0.00623 Mean -0.00148 -0.0007
t Stat 0.21257 t Stat -0.12841

Mean -0.00074 0.002947 Mean -0.00199 0.000634
t Stat -0.67816 t Stat -0.85076
69
cannot reject the null hypothesis. The mean return before the event period was -0.00074 and after
the event was 0.002947 and calculated t value was -0.67816 which is less than the t Critical
return before the event period was -0.00199 and after the event was 0.000634and calculated t value
was -0.85076 which is less than the t Critical 2.007584 (for 30 days’ event window). Therefore,
we cannot reject the null hypothesis.
-2 -0.01882 -1.44731 2 -0.01613 -1.24066 (-2,+2) -0.02809 -1.36662
-5 0.015575 0.75764 5 -0.00755 -0.36721 (-5,+5) -0.01387 -0.45476
-10 -0.0112 -0.38509 10 -0.00952 -0.32761 (-10,+10) -0.02853 -0.67713
-20 0.00275 0.066892 20 0.032191 0.782962 (-20,+20) 0.041795 0.709992
-30 -0.04301 -0.85417 30 0.021203 0.42107 (-30,+30) -0.01495 -0.20828
that CAR OF NIFTY for -2 days period was -0.01882with t stats of -1.44731 (statistically not
sig), followed by-5 days event window with CAR of 0.015575 with t stats of 0.75764
0.38509 ( statistically not sig), followed by-20 days event window with CAR of 0.00275 with t
stats of 0.066892 (statistically not sig), followed by -30 days event window with CAR -
0.04301with t stats of -0.85417 (statistically not sig). CAR for 2 days’ event window was -
0.01613with t stats of -1.24066 (statistically not sig), followed by5 days event window with CAR
-0.00755with t stats of -0.36721 (statistically not sig), followed by10 days event window with
CAR of -0.00952 with t stats of -0.32761 (statistically not sig), followed by 20 days’ event
window with CAR 0.032191 with t stats of 0.782962 (statistically not sig), followed by 30 days’
event window with CAR 0.021203with t stats of 0.42107 (statistically not sig). For CAR of (-2,
+2) window was -0.02809with t stats of -0.45476 (statistically not sig), followed by (-5, +5)
window with CAR -0.01387with t stats of -0.45476 (statistically not sig), followed by (-10, +10)
window with CAR of -0.02853with t stats of -0.67713 (statistically not sig), followed by (-20,+20)
window with CAR 0.041795with t stats of 0.709992 (statistically not sig), followed by (-30,+30)
window with CAR -0.01495with t stats of -0.20828 (statistically not sig).
70
FMCG

-30 -0.01469 -0.01469 -1.78602 0 0.017241 -0.00985 2.096386
-29 -0.0143 -0.02899 -1.73832 1 -0.01515 -0.02501 -1.8425
-28 0.012356 -0.01663 1.502359 2 -0.00164 -0.02665 -0.19996
-27 0.002003 -0.01463 0.243548 3 0.001311 -0.02534 0.159425
-26 -0.00215 -0.01678 -0.26198 4 -0.0016 -0.02694 -0.19395
-25 0.005242 -0.01154 0.637373 5 0.008606 -0.01833 1.046408
-24 -0.00622 -0.01776 -0.75667 6 -3.4E-05 -0.01836 -0.0041
-23 -0.00336 -0.02113 -0.40907 7 -0.00356 -0.02192 -0.43281
-22 0.005905 -0.01522 0.718036 8 -0.00655 -0.02847 -0.79647
-21 -0.00371 -0.01894 -0.45161 9 0.000368 -0.02811 0.044777
-20 -0.00239 -0.02132 -0.29048 10 0.006711 -0.02139 0.816001
-19 -0.00491 -0.02623 -0.59685 11 -0.00397 -0.02537 -0.4831
-18 0.002656 -0.02358 0.3229 12 0.004349 -0.02102 0.528855
-17 -0.00372 -0.0273 -0.45258 13 -0.00818 -0.0292 -0.99447
-16 0.010734 -0.01657 1.305152 14 0.039064 0.009867 4.749796
-15 0.00519 -0.01138 0.631101 15 0.042001 0.051868 5.106926
-14 0.001052 -0.01032 0.127881 16 0.004881 0.056749 0.59344
-13 -0.01976 -0.03009 -2.40313 17 -0.01313 0.043617 -1.59671
-12 0.00806 -0.02203 0.980056 18 0.005572 0.049189 0.677536
-11 -0.00011 -0.02213 -0.01277 19 0.000139 0.049329 0.016941
-10 0.003406 -0.01873 0.414113 20 0.002737 0.052065 0.332755
-9 -0.00201 -0.02074 -0.24469 21 -0.00881 0.043254 -1.07139
-8 -0.00706 -0.0278 -0.85877 22 0.001284 0.044538 0.156124
-7 -0.00701 -0.03482 -0.85281 23 0.001465 0.046003 0.178152
-6 -0.00117 -0.03598 -0.14186 24 -0.01545 0.030551 -1.87884
-5 -0.00678 -0.04276 -0.82401 25 -0.00511 0.025445 -0.62082
-4 0.015187 -0.02757 1.846636 26 0.000865 0.02631 0.105135
-3 0.009979 -0.01759 1.213375 27 0.000637 0.026946 0.07742
-2 -0.00416 -0.02175 -0.50555 28 -0.00432 0.022622 -0.5258
71
-1 -0.00535 -0.0271 -0.6499 29 0.009722 0.032344 1.182079
30 0.005276 0.03762 0.641498
Analysis:
The data has been collected for a period of thirty days before and after the event,
that is the date of 7 big bank merger announcement. The policy announcement date was on
30.8.2019. The above shows abnormal returns and cumulative abnormal returns and t stats for the
30 days’ event window (-30 to 0 to +30).
of 1.8466364 (statistically not significant) followed by an AR of 0.012356 on -28th day with a t
value of 1.5023586 (statistically not significant) and for -16th day with an AR of 0.010734 with a t
value of 1.305152 (statistically not significant) and with least AR of -0.01976 on day -13 with a t
value of -2.403134 (statistically significant. However, after the event day BSE FMCG has recorded
the highest abnormal return on day 15th 0.042001 with a t value of 5.1069261 (statistically
significant) followed by day 14th with AR of 0.039064 with a t value of 4.7497958 (statistically
significant) and on 29th day AR was 0.009722 with a t value of 1.1820786 (statistically not
significant). However, on the event day the Recorded AR was 0.017241 with a t value of 2.0963856
(statistically significant).
Graph showing CAR
CAR
0.1
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
72
3) The graph shows that the cumulative abnormal returns, were volatile but was on a raising phase before
the event day. However, it was started falling just three days before the event on the event day there was a
sharp dip and gone into negative phase and it has been started recovering only after 14 th day.
In order to verify the variance before and after the event F test has been conducted with
the following hypothesis:
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2
Variable 1 Variable 2 Variable 1 Variable 2

df 2 2 df 6 6
F 1.060094 F 1.561917
Variable 1 Variable 2 Variable 1 Variable 2

df 14 14 df 29 29
F 3.498839 F 2.37923
73
3.498839is more than the F Critical 2.483726 (for 15 days’ event window). Therefore, we cannot
reject the null hypothesis. The calculated F value was 2.37923which is more than the F Critical
H0: µ1= µ2
H1: µ1 ≠ µ2

Mean 0.000159 -0.00516 Mean 0.000101 -0.00172
t Stat 0.753179 t Stat 0.424858

Mean -0.0007 0.004115 Mean -0.0009 0.001582
t Stat -1.03329 t Stat -0.92207
It is evident from the above table that the mean return before the event period was -0.0007and after
the event was0.004115and calculated t value was -1.03329 which is less than the t Critical
return before the event period was 0.000101and after the event was -0.00172and calculated t value
was 0.424858which is less than the t Critical 2.178813 (for 7 days’ event window). Therefore, we
74
the event was 0.004115and calculated t value was -1.03329which is less than the t Critical
return before the event period was -0.0009and after the event was 0.001582and calculated t value
was -0.92207 which is less than the t Critical 2.008559 (for 30 days’ event window). Therefore,
we cannot reject the null hypothesis.

-2 -0.01827 -1.40181 2 -0.01652 -1.26766 (-2,+2) -0.02846 -1.38077
-5 0.017232 0.836161 5 -0.0056 -0.27156 (-5,+5) 0.001061 0.034709
-10 -0.00774 -0.26549 10 -0.00816 -0.28008 (-10,+10) -0.03338 -0.79024
-20 -0.00632 -0.15334 20 0.032309 0.783871 (-20,+20) 0.032327 0.547782
-30 -0.05959 -1.18047 30 0.019012 0.37661 (-30,+30) -0.03424 -0.47569
that CAR OF BSE FMCG for -2 days period was -0.01827with t stats of -1.40181 (statistically
not sig), followed by -5 days event window with CAR of 0.017232 with t stats of 0.836161
t stats of -0.15334 (statistically not sig), followed by -30 days event window with CAR -
0.05959with t stats of -1.18047 (statistically not sig). CAR for 2 days’ event window was --
0.01652 with t stats of -1.26766 (statistically not sig), followed by 5 days’ event window with
CAR -0.0056with t stats of -0.27156 (statistically not sig), followed by 10 days’ event window
with CAR of -0.00816 with t stats of -0.28008 (statistically not sig), followed by 20 days’ event
window with CAR 0.032309 with t stats of 0.783871 (statistically not sig), followed by 30 days
event window with CAR 0.019012with t stats of 0.37661 (statistically not sig). For CAR of (-2,
+2) window was -0.02846with t stats of -1.38077 (statistically not sig), followed by (-5, +5)
window with CAR 0.001061with t stats of 0.034709 (statistically not sig), followed by (-10, +10)
window with CAR of -0.03338with t stats of -0.79024 (statistically not sig), followed by (-20,
+20) window with CAR 0.032327with t stats of 0.547782 (statistically not sig), followed by (-30,
+30) window with CAR -0.03424with t stats of -0.47569 (statistically not sig).
75
BSE AUTO

-30 -0.03124 -0.03124 -2.38288 0 0.006077 -0.01962 0.463491
-29 0.004628 -0.02662 0.352977 1 -0.01337 -0.033 -1.0199
-28 -0.0051 -0.03172 -0.38914 2 -0.01792 -0.05091 -1.36634
-27 -0.01822 -0.04994 -1.38959 3 0.019797 -0.03112 1.509795
-26 -0.00056 -0.0505 -0.04254 4 0.025834 -0.00528 1.970239
-25 0.020528 -0.02997 1.565584 5 0.00983 0.004548 0.749677
-24 -0.03507 -0.06504 -2.6743 6 0.000757 0.005305 0.057723
-23 -0.02002 -0.08506 -1.52705 7 0.034268 0.039573 2.613401
-22 0.015934 -0.06912 1.215223 8 -0.01846 0.021113 -1.40783
-21 0.002977 -0.06615 0.227022 9 0.012934 0.034047 0.986431
-20 0.012551 -0.0536 0.957211 10 -0.00603 0.028012 -0.46023
-19 -0.00619 -0.05979 -0.47198 11 -0.03768 -0.00967 -2.87368
-18 0.012901 -0.04688 0.983896 12 -8.5E-06 -0.00968 -0.00065
-17 -0.01981 -0.0667 -1.51115 13 -0.01238 -0.02206 -0.94408
-16 0.026058 -0.04064 1.987314 14 0.096271 0.074215 7.342012
-15 0.021534 -0.01911 1.64229 15 0.025307 0.099521 1.930005
-14 0.003919 -0.01519 0.298877 16 -0.00357 0.095951 -0.27231
-13 -0.04099 -0.05618 -3.12622 17 -0.03902 0.056934 -2.97562
-12 0.015175 -0.041 1.157336 18 0.026375 0.083308 2.011451
-11 0.000549 -0.04045 0.041881 19 -0.0127 0.070607 -0.96869
-10 0.010415 -0.03004 0.794265 20 -0.00763 0.062981 -0.58159
-9 -0.00619 -0.03623 -0.47218 21 -0.00057 0.062406 -0.04382
-8 0.014209 -0.02202 1.083661 22 0.004596 0.067002 0.350484
-7 -0.00664 -0.02866 -0.50603 23 0.004179 0.071181 0.318731
-6 -0.01526 -0.04392 -1.16362 24 -0.01233 0.05885 -0.94044
-5 0.020798 -0.02312 1.586154 25 -0.00467 0.054179 -0.35624
-4 0.003576 -0.01954 0.272708 26 0.003374 0.057553 0.257316
-3 0.02076 0.001219 1.583244 27 0.014053 0.071606 1.071755
-2 -0.01985 -0.01863 -1.51409 28 -0.0119 0.059707 -0.90745
76
-1 -0.00707 -0.0257 -0.53897 29 0.004012 0.063719 0.305948
30 0.0176 0.081319 1.342283
Analysis:
recorded in the pre-event period ranging from the lowest value of 0.026058 on day -16th with a t
value of 1.9873144 (statistically significant) followed by an AR of 0.021534 on -15th day with a t
value of 1.5861541 (statistically not significant) and with least AR of -0.03124 on day -30th with a
t value of -2.382877 (statistically significant) and with least AR of -0.03507 on day -24 with a t
value of -2.6743 (statistically significant) and with least AR of -0.04099 on day -13 with a t value
of -3.126223 (statistically significant). However, after the event day BSE AUTO has recorded the
highest abnormal return on day 14 0.096271 with a t value of 7.3420122 (statistically
significant) followed by day 7 with AR of 0.034268 with a t value of 2.6134014 (statistically
significant) and on 18th day AR was 0.026375 with a t value of 2.0114515 (statistically
significant) and on 4th day with AR was 0.025834 with a t value of 1.9702387 (statistically
significant) and with least AR of -0.03768 day 11 with a t value of -2.873684 (statistically
(statistically not significant).
Graph showing CAR
0.5 CAR
0
-30-28-26-24-22-20-18-16-14-12-10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.5
77
after 13th day.
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

df 2 2 df 6 6
F 1.01735 F 1.460544

78
df 14 14 df 29 29
F 3.219166 F 1.895854
null hypothesis. The calculated F value was 1.895854 which is more than the F Critical 1.860811
H0: µ1= µ2
H1: µ1 ≠ µ2

Mean -0.00205 -0.00383 Mean -0.00053 0.008457
t Stat 0.105273 t Stat -0.92912

Mean 0.000996 0.007943 Mean -0.00086 0.003365
t Stat -0.7456 t Stat -0.75395
after the event was-0.00383and calculated t value was 0.105273which is less than the t Critical
79
0.000996 and after the event was 0.007943 and calculated t value was -0.7456which is less than
hypothesis. The mean return before the event period was -0.00086and after the event was -
0.003365and calculated t value was -0.75395which is less than the t Critical 2.005746 (for 30 days’
event window). Therefore, we cannot reject the null hypothesis.
-2 -0.0095 -0.74646 2 -0.0168 -1.31951 (-2,+2) -0.00906 -0.45007
-5 0.008887 0.441503 5 -0.00848 -0.42108 (-5,+5) 0.000738 0.024722
-10 -0.00496 -0.17435 10 -0.01154 -0.4054 (-10,+10) -0.00028 -0.00676
-20 -0.00816 -0.2027 20 0.061919 1.538097 (-20,+20) 0.071001 1.231808
-30 -0.0271 -0.54955 30 0.047474 0.962866 (-30,+30) 0.03762 0.535086
that CAR OF BSE AUTO for -2 days period was -0.0095with t stats of -0.74646 (statistically not
sig), followed by -5 days event window with CAR of 0.008887 with t stats of 0.441503 (statistically
not sig), followed by -10 days event window with CAR -0.00496 with t stats of -0.24976 (
statistically not sig), followed by -20 days event window with CAR of -0.00816 with t stats of -
0.2027 (statistically not sig), followed by -30 days event window with CAR -0.0271with t stats of
-0.54955 (statistically not sig). CAR for 2 days event window was -0.0168 with t stats of -1.31951
(statistically not sig), followed by 5 days event window with CAR -0.00848with t stats of -0.42108
(statistically not sig), followed by 10 days event window with CAR of 0.061919 with t stats of
1.538097 (statistically not sig), followed by 20 days event window with CAR --0.061919 with t stats
of -0.73437(statistically not sig), followed by 30 days event window with CAR -0.047474with t
stats of 0.962866 (statistically not sig). For CAR of (-2, +2) window was -0.00906with t stats of -
0.45007 (statistically not sig), followed by (-5, +5) window with CAR -0.000738with t stats of
0.024722 (statistically not sig), followed by (-10, +10) window with CAR of -0.00028 with t stats
of -0.00676 (statistically not sig), followed by (-20,+20) window with CAR 0.071001with t stats of
80
1.231808 (statistically not sig), followed by (-30,+30) window with CAR 0.03762with t stats of
0.535086 (statistically not sig).
BSE IT

-30 -0.00653 -0.00653 -0.5686 0 0.007812 0.046323 0.680293
-29 0.003225 -0.0033 0.280805 1 0.001643 0.047967 0.143093
-28 0.001507 -0.0018 0.131223 2 0.002842 0.050809 0.247481
-27 -0.00474 -0.00653 -0.41239 3 -0.00099 0.04982 -0.08613
-26 0.008563 0.002029 0.74567 4 0.001209 0.051029 0.10529
-25 -0.00885 -0.00682 -0.77072 5 -0.00823 0.042796 -0.71692
-24 0.006032 -0.00079 0.525237 6 -0.00028 0.042512 -0.02468
-23 0.006916 0.006126 0.602238 7 -0.01412 0.028392 -1.22954
-22 0.008087 0.014214 0.704236 8 -0.00642 0.021972 -0.55912
-21 -0.01759 -0.00337 -1.5313 9 0.009644 0.031616 0.839797
-20 0.007199 0.003827 0.626838 10 0.002563 0.034178 0.223142
-19 0.011665 0.015492 1.015813 11 -0.0057 0.028481 -0.49615
-18 -0.00375 0.011739 -0.32682 12 0.003322 0.031803 0.289317
-17 0.002452 0.014191 0.213506 13 -0.0126 0.019199 -1.09755
-16 0.017528 0.03172 1.526354 14 -0.00986 0.009337 -0.85878
-15 -0.00209 0.029634 -0.18164 15 -0.03336 -0.02402 -2.90492
-14 0.002508 0.032142 0.218424 16 0.023849 -0.00017 2.076704
-13 -0.0279 0.004245 -2.42919 17 0.003401 0.003227 0.296193
-12 0.011546 0.015792 1.005444 18 -0.00487 -0.00165 -0.42449
-11 -0.00047 0.015325 -0.04065 19 -0.00488 -0.00653 -0.4247
-10 -0.00955 0.005773 -0.83176 20 0.022665 0.01614 1.973641
-9 0.002355 0.008128 0.205042 21 -0.01476 0.001376 -1.2856
-8 0.014481 0.022609 1.260965 22 0.003106 0.004482 0.270448
-7 0.000281 0.022889 0.024439 23 -0.00303 0.001447 -0.26428
-6 0.002879 0.025768 0.250699 24 0.00526 0.006708 0.458068
-5 0.013265 0.039034 1.155117 25 -0.00581 0.000902 -0.50558
81
-4 0.003823 0.042857 0.332885 26 0.002027 0.002929 0.176528
-3 -0.01442 0.028436 -1.25572 27 -0.01016 -0.00723 -0.88474
-2 0.011166 0.039602 0.972345 28 -0.00327 -0.01051 -0.28516
-1 -0.00109 0.038511 -0.09503 29 0.015496 0.00499 1.349344
30 -0.00877 -0.00378 -0.76345
Analysis:
value of 1.5263536 (statistically not significant) followed by an AR of 0.014481 on -8th day with a
t value of 1.2609646 (statistically not significant) and for -5th day with an AR of 0.013265 with a t
value of 1.1551175 (statistically not significant) and with least AR of -0.0279 on day -13th with a t
value of -2.429788 (statistically significant).However, after the event day BSE IT has recorded the
significant) and on 15th day with AR was -0.03336 with a t value of -2.904919 (statistically
significant) However, on the event day the Recorded AR was 0.007812 with a t value of 0.6802927
Graph showing CAR
CAR
0.1
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.1
82
day there was a sharp dip and gone into negative phase.
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

Variance 0.000164 3.84E-06 Variance 8.28E-05 3.91E-05
df 2 2 df 6 6
F 42.63961 F 2.11773

df 14 14 df 29 29
F 1.16938 F 1.243234
83
It is evident from the above table that the calculated F value was 42.63961 which is more than the
F Critical 19.0 (for 3 days’ event window). Therefore, we can reject the null hypothesis. The
hypothesis. The calculated F value was 1.243234 which is less than the F Critical 1.860811 (for 30
days’ event window). Therefore, we can reject the null hypothesis.
H0: µ1= µ2
H1: µ1 ≠ µ2

Mean -0.00145 0.001165 Mean 0.002272 -0.00256
t Stat -0.3497 t Stat 1.158403

Mean 0.000453 -0.00469 Mean 0.001284 -0.00167
t Stat 1.304716 t Stat 1.077262
after the event was0.001165and calculated t value was -0.3497 which is less than the t Critical
return before the event period was 0.002272and after the event was -0.00256 and calculated t value
84
cannot reject the null hypothesis. The mean return before the event period was 0.000453 and after
the event was -0.00469 and calculated t value was 1.304716 which is less than the t Critical
return before the event period was 0.001284and after the event was --0.00167 and calculated t
BSE POWER TABLE SHOWING AR, CAR AND T TEST RESULTS

-30 -0.00661 -0.00661 -0.59328 0 -0.00607 -0.08443 -0.54505
-29 -0.01636 -0.02297 -1.46877 1 -0.02305 -0.10748 -2.0684
-28 0.003384 -0.01959 0.303764 2 0.004901 -0.10258 0.439864
-27 0.000664 -0.01893 0.059632 3 0.016465 -0.08611 1.477762
-26 0.011532 -0.00739 1.035076 4 0.020409 -0.0657 1.831758
-25 -0.01284 -0.02023 -1.15227 5 0.002364 -0.06334 0.212206
-24 -0.00149 -0.02173 -0.13413 6 -0.00016 -0.0635 -0.0142
-23 -0.00384 -0.02556 -0.34446 7 -0.00567 -0.06917 -0.50891
-22 -0.01201 -0.03757 -1.07785 8 0.012208 -0.05696 1.095692
-21 -0.00882 -0.04639 -0.79158 9 -0.00634 -0.0633 -0.56932
-20 0.005895 -0.0405 0.529122 10 -0.01375 -0.07706 -1.23455
-19 -0.00144 -0.04194 -0.1295 11 0.006837 -0.07022 0.613681
-18 -0.01327 -0.05521 -1.19132 12 -0.00687 -0.07709 -0.61626
-17 -0.02603 -0.08124 -2.33615 13 0.007983 -0.0691 0.716537
-16 0.009111 -0.07213 0.817746 14 -0.00367 -0.07278 -0.32976
-15 -0.00171 -0.07384 -0.15322 15 0.000676 -0.0721 0.060695
-14 0.01319 -0.06065 1.183889 16 0.010467 -0.06164 0.939409
-13 -0.00253 -0.06317 -0.2267 17 0.001413 -0.06022 0.126838
-12 -0.02715 -0.09032 -2.43663 18 -0.00152 -0.06174 -0.13619
-11 0.006334 -0.08399 0.568515 19 -0.00251 -0.06425 -0.22545
85
-10 0.01048 -0.07351 0.94062 20 -0.01259 -0.07684 -1.13031
-9 0.002334 -0.07117 0.209491 21 -0.00047 -0.07732 -0.04245
-8 -0.0092 -0.08038 -0.82607 22 -0.00502 -0.08234 -0.45101
-7 -0.01347 -0.09385 -1.20896 23 -0.00881 -0.09116 -0.79093
-6 -0.01367 -0.10751 -1.22653 24 0.015864 -0.07529 1.42386
-5 0.009592 -0.09792 0.860932 25 -0.00054 -0.07583 -0.04874
-4 0.015997 -0.08192 1.435762 26 0.002491 -0.07334 0.223572
-3 0.015845 -0.06608 1.422179 27 -0.00227 -0.07561 -0.20342
-2 -0.01546 -0.08154 -1.38756 28 0.011691 -0.06392 1.049309
-1 0.003177 -0.07836 0.285115 29 -0.01072 -0.07464 -0.96234
30 0.007099 -0.06754 0.637156
Analysis:
of 1.4357616 (statistically not significant) followed by an AR of 0.015845 on -3rd day with a t
value of 1.1838887 (statistically not significant) and with least AR of -0.02603 on day -17 with a t
value of -2.336146 (statistically significant) and with least AR of -0.02715 on day -12 with a t value
of -2.436632 (statistically significant). However, after the event day BSE POWER has recorded
the highest abnormal return on day 4 0.020409 with a t value of 1.8317576 (statistically not
significant) followed by day 3 with AR of 0.016465 with a t value of 1.4777615 (statistically not
significant) and on 1st day with least AR was -0.02305 with a t value of -2.068399 (statistically
significant). However, on the event day the Recorded AR was -0.00607 with a t value of -0.545052
86
Graph showing CAR
CAR
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
-0.1
-0.15
day there was a sharp dip and gone into negative phase.
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

df 2 2 df 6 6
87
F 1.66401 F 1.025917

df 14 14 df 29 29
F 1.304164 F 1.447006
H0: µ1= µ2
H1: µ1 ≠ µ2

Mean 0.001187 -0.00056 Mean 0.000288 0.002181
t Stat 0.117756 t Stat -0.24717
88
Mean -0.00042 0.000822 Mean -0.00261 0.000563
t Stat -0.27688 t Stat -1.13788
after the event was-0.00056and calculated t value was 0.117756which is less than the t Critical
return before the event period was 0.000288 and after the event was 0.002181 and calculated t
Therefore, we cannot reject the null hypothesis. The mean return before the event period was -
hypothesis. The mean return before the event period was -0.00261 and after the event was -
-2 -0.02692 -1.6828* 2 -0.03129 -1.9559* (-2,+2) -0.05213 -2.061**
-5 0.018214 0.720109 5 0.024172 0.955692 (-5,+5) 0.068467 1.82504*
-10 0.014753 0.412451 10 0.047636 1.331763 (-10,+10) 0.026555 0.512294
-20 0.040446 0.799555 20 0.082605 1.63296* (-20,+20) 0.129128 1.78285*
-30 -0.0257 -0.41485 30 0.100943 1.62931* (-30,+30) 0.081319 0.920483
that CAR OF BSE POWER for -2 days period was -0.02692with t stats of -0.19267 (statistically
sig at 1%), followed by -5 days event window with CAR of 0.018214 with t stats of 0.720109
0.412451 ( statistically not sig), followed by -20 days event window with CAR of 0.040446 with
t stats of 0.799555 (statistically not sig), followed by -30 days event window with CAR -0.0257
with t stats of -0.41485 (statistically not sig). CAR for 2 days event window was -0.03129 with t
stats of -1.9559* (statistically sig at 1%), followed by 5 days event window with CAR 0.024172
with t stats of 0.955692 (statistically not sig), followed by 10 days event window with CAR of -
0.047636with t stats of 1.331763 (statistically not sig ), followed by 20 days event window with
89
CAR 0.082605 with t stats of 1.63296* (statistically sig at 1%), followed by 30 days event
window with CAR 0.100943with t stats of 1.62931* (statistically sig at 1%). For CAR of (-2, +2)
window was -0.05213 with t stats of -2.061** (statistically sig at 5%), followed by (-5, +5)
window with CAR 0.068467with t stats of 1.82504* (statistically sig at 1%), followed by (-10,
+10) window with CAR of 0.026555 with t stats of 0.512294 (statistically not sig), followed by
(-20, +20) window with CAR 0.129128with t stats of 1.78285* (statistically not sig), followed by
(-30, +30) window with CAR 0.081319with t stats of 0.920483 (statistically not sig).
BSE INFRASTRUCTURE
DAY AR CAR T STAS DAY AR CAR T STAS

-30 -0.00435 0.000109 -0.3526 0 -0.00174 -0.12776 -0.14108
-29 -0.02057 -0.02046 -1.66604 1 -0.0233 -0.15106 -1.8871
-28 -0.00887 -0.02933 -0.71828 2 0.010271 -0.14079 0.831948
-27 0.003891 -0.02544 0.315192 3 0.013689 -0.1271 1.108767
-26 -0.00258 -0.02801 -0.20869 4 0.017186 -0.10991 1.392053
-25 -0.01714 -0.04516 -1.38861 5 0.010991 -0.09892 0.890268
-24 -0.00229 -0.04745 -0.18562 6 -0.00642 -0.10534 -0.52032
-23 -0.00061 -0.04805 -0.04905 7 -8.6E-05 -0.10543 -0.00699
-22 -0.01355 -0.06161 -1.09765 8 0.006572 -0.09886 0.532354
-21 -0.01695 -0.07856 -1.37312 9 -0.00535 -0.10421 -0.43323
-20 0.009897 -0.06866 0.801644 10 -0.02009 -0.12429 -1.62706
-19 -0.00867 -0.07733 -0.70253 11 -0.00176 -0.12606 -0.14283
-18 -0.00805 -0.08539 -0.65223 12 -0.01574 -0.1418 -1.27487
-17 -0.02276 -0.10814 -1.84329 13 0.041182 -0.10062 3.335646
-16 0.016541 -0.0916 1.339772 14 0.028616 -0.072 2.317895
-15 -0.00866 -0.10026 -0.70112 15 -0.00739 -0.07938 -0.59818
-14 0.004398 -0.09586 0.356264 16 -0.01134 -0.09072 -0.91836
-13 -0.00362 -0.09948 -0.29297 17 0.01365 -0.07707 1.105648
-12 -0.02488 -0.12435 -2.01492 18 -0.01495 -0.09202 -1.21102
-11 0.01438 -0.10997 1.164744 19 -0.00383 -0.09586 -0.31045
90
-10 0.002734 -0.10724 0.221463 20 -0.01761 -0.11347 -1.42646
-9 -0.00373 -0.11097 -0.30248 21 9.19E-05 -0.11338 0.00744
-8 -0.00983 -0.1208 -0.79614 22 -0.01174 -0.12512 -0.95093
-7 -0.02602 -0.14682 -2.10764 23 -0.0114 -0.13652 -0.92357
-6 -0.02062 -0.16744 -1.66982 24 0.017982 -0.11854 1.456492
-5 0.017858 -0.14958 1.446494 25 -0.00487 -0.12341 -0.3948
-4 0.021779 -0.1278 1.764041 26 2.41E-05 -0.12339 0.001953
-3 0.020165 -0.10764 1.633366 27 0.006369 -0.11702 0.515887
-2 -0.01686 -0.1245 -1.36568 28 0.009964 -0.10705 0.807109
-1 -0.00152 -0.12602 -0.12322 29 -0.00209 -0.10914 -0.16911
30 0.005973 -0.10317 0.48384
Analysis:
The data has been collected for a period of thirty days before and after the event, that is the
date of 7 big bank merger announcement. The policy announcement date was on 30.8.2019. The
above shows abnormal returns and cumulative abnormal returns and t stats for the 30 days’ event
window (-30 to 0 to +30).
recorded in the pre-event period ranging from the lowest value of 0.0217787 on day -4 with a t
value of 1.764041 (statistically not significant) followed by an AR of 0.0201654 on -3rd day with
a t value of 1.633366 (statistically not significant) and for -5th day with an AR of 0.0178583 with a
t value of 1.446494 (statistically not significant) and with least AR of -0.024876 on day -12 with a
t value of -2.01492 (statistically significant) and with least AR of -0.026021 on day -7 with a t value
of -2.10764 (statistically significant). However, after the event day BSE INFRASTRUCTURE has
recorded the highest abnormal return on day 13th 0.0411815 with a t value of 3.335646 (statistically
significant) followed by day 14th with AR of 0.0286165 with a t value of 2.317895 (statistically
significant). However, on the event day the Recorded AR was -0.001742 with a t value of -0.14108
91
Graph no 4. Graph showing CAR
CAR
0.05
0
-0.05 -30-28-26-24-22-20-18-16-14-12-10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.1
-0.15
-0.2
day there was a sharp dip and gone into negative phase and it has been NOT started recovering.
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

df 2 2 df 6 6
F 1.207102 F 2.115298
92

df 14 14 df 29 29
F 1.244923 F 1.149979
1.244923is less than the F Critical 2.483726 (for 15 days’ event window). Therefore, we can reject
the null hypothesis. The calculated F value was 1.149979 which is less than the F Critical 1.860811
(for 30 days’ event window). Therefore, we can reject the null hypothesis.
H0: µ1= µ2
H1: µ1 ≠ µ2

Mean 0.000595 0.000221 Mean -0.00075 0.00319
t Stat 0.02343 t Stat -0.41334
93
Mean -0.00229 0.003225 Mean -0.00435 0.00082
t Stat -0.89463 t Stat -1.41312
after the event was0.000221and calculated t value was 0.02343 which is less than the t Critical
return before the event period was -0.00075 and after the event was 0.00319 and calculated t value
was -0.41334which is less than the t Critical 2.178813 (for 7 days’ event window). Therefore, we
cannot reject the null hypothesis. The mean return before the event period was --0.00229 and after
the event was 0.003225and calculated t value was -0.89463 which is less than the t Critical 2.048407
(for 15 days’ event window). Therefore, we cannot reject the null hypothesis. The mean return
before the event period was -0.00435and after the event was -0.00082and calculated t value was -
1.41312which is less than the t Critical 2.001717 (for 30 days’ event window). Therefore, we cannot
reject the null hypothesis.
-2 0.010075 0.672654 2 0.004485 0.299459 (-2,+2) 0.022373 0.944702
-5 0.012743 0.538062 5 -0.00353 -0.14896 (-5,+5) 0.018853 0.53672
-10 0.023186 0.692283 10 -0.01215 -0.36263 (-10,+10) 0.023675 0.487799
-20 0.041883 0.884259 20 -0.03018 -0.63726 (-20,+20) 0.019512 0.287715
-30 0.038511 0.663872 30 -0.0501 -0.86367 (-30,+30) -0.00378 -0.04567
that CAR OF BSE INFRASTRTURE for -2 days period was 0.010075with t stats of 0.672654
(statistically not sig), followed by -5 days event window with CAR of 0.012743 with t stats of
0.538062 (statistically not sig), followed by -10 days event window with CAR 0.023186 with t
stats of -0.692283 ( statistically not sig), followed by -20 days event window with CAR
with CAR 0.038511with t stats of 0.663872 (statistically not sig). CAR for 2 days event window
was -0.004485 with t stats of 0.299459(statistically not sig), followed by 5 days event window
with CAR -0.00353 with t stats of -0.14896 (statistically not sig), followed by 10 days event
94
window with CAR of --0.01215 with t stats of -0.36263 (statistically not sig), followed by 20
days event window with CAR -0.03018 with t stats of -0.63726 (statistically not sig), followed
by 30 days event window with CAR -0.0501with t stats of -0.86367 (statistically not sig). For
CAR of (-2, +2) window was 0.022373 with t stats of 0.944702 (statistically not sig), followed by
(-5, +5) window with CAR -0.018853with t stats of 0.53672 (statistically not sig), followed by (-
10, +10) window with CAR of 0.023675with t stats of 0.487799 (statistically not sig), followed
by (-20, +20) window with CAR 0.019512with t stats of 0.287715 (statistically not sig), followed
by (-30, +30) window with CAR -0.00378with t stats of -0.04567 (statistically not sig).
BSE METAL

-30 0.003879 0.003879 0.256201 0 0.018406 -0.17235 1.21562
-29 -0.02282 -0.01894 -1.50695 1 -0.02877 -0.20112 -1.90004
-28 -0.01243 -0.03137 -0.82122 2 0.016042 -0.18507 1.0595
-27 0.019852 -0.01152 1.311084 3 0.021562 -0.16351 1.424046
-26 -0.00356 -0.01508 -0.23487 4 0.01954 -0.14397 1.290482
-25 -0.02308 -0.03816 -1.52456 5 0.001743 -0.14223 0.115135
-24 -0.00586 -0.04402 -0.38702 6 0.022601 -0.11963 1.49263
-23 0.002626 -0.0414 0.173456 7 -0.00111 -0.12074 -0.07327
-22 -0.02961 -0.07101 -1.95572 8 0.015386 -0.10535 1.01612
-21 -0.03161 -0.10262 -2.08749 9 0.000599 -0.10475 0.039566
-20 0.028399 -0.07422 1.875574 10 -0.0266 -0.13135 -1.75673
-19 -0.03031 -0.10453 -2.00204 11 0.014221 -0.11713 0.939185
-18 -0.01753 -0.12206 -1.15754 12 -0.01466 -0.13179 -0.96796
-17 -0.01067 -0.13273 -0.70475 13 0.059723 -0.07207 3.944343
-16 0.010975 -0.12175 0.72481 14 0.01195 -0.06012 0.789209
-15 -0.02555 -0.1473 -1.68727 15 -0.01455 -0.07466 -0.96085
-14 0.008918 -0.13838 0.588946 16 -0.02689 -0.10155 -1.77561
-13 -0.0062 -0.14458 -0.40921 17 0.043164 -0.05839 2.850718
-12 -0.01597 -0.16055 -1.05484 18 -0.02621 -0.08459 -1.73087
95
-11 0.035598 -0.12495 2.351044 19 -0.00495 -0.08954 -0.32664
-10 -0.00792 -0.13287 -0.52317 20 -0.01318 -0.10272 -0.8707
-9 -0.00462 -0.13749 -0.30498 21 -0.0256 -0.12832 -1.69058
-8 -0.01434 -0.15183 -0.94715 22 -0.01544 -0.14376 -1.01942
-7 -0.03069 -0.18252 -2.02686 23 -0.00914 -0.1529 -0.60378
-6 -0.03469 -0.21722 -2.29133 24 0.02349 -0.12941 1.551364
-5 0.04163 -0.17559 2.749383 25 -0.01566 -0.14507 -1.03426
-4 -0.01263 -0.18822 -0.83426 26 0.022364 -0.12271 1.476996
-3 0.022653 -0.16557 1.496059 27 0.011841 -0.11086 0.782041
-2 -0.0359 -0.20147 -2.37129 28 0.014469 -0.09639 0.955592
-1 0.010718 -0.19075 0.707851 29 -0.00269 -0.09909 -0.17768
30 0.010935 -0.08815 0.722173
Analysis:
of 2.7493832 (statistically significant) followed by an AR of 0.035598on -11th day with a t value
of 2.3510441 (statistically significant) and for -20th day with an AR of 0.028399 with a t value
of 1.875574 (statistically not significant) and with least AR of -0.03031 on day -19th with a t value
of -2.002044 (statistically significant) and with least AR of -0.03069 on day -7 with a t value of -
2.026861 (statistically significant) and with least AR of -0.03161 on day -21 with a t value of -
2.371287 (statistically significant). However, after the event day BSE METAL has recorded the
96
significant). However, on the event day the Recorded AR was 0.018406with a t value of 1.21562
CAR
0.05
0
-0.05 -30-28-26-24-22-20-18-16-14-12-10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.1
-0.15
-0.2
-0.25
after 12th day.
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2
97
df 2 2 df 6 6
F 1.256626 F 2.777357

df 14 14 df 29 29
F 1.158863 F 1.043845
null hypothesis. The calculated F value was 1.043845 which is less than the F Critical 1.860811
H0: µ1= µ2
H1: µ1 ≠ µ2
98
Mean -0.00084 0.002945 Mean -0.00556 0.007373
t Stat -0.1583 t Stat -0.94869

Mean -0.0046 0.006512 Mean -0.00636 0.002807
t Stat -1.30126 t Stat -1.64963
It is evident from the above table that the mean return before the event period was -0.00084 and
Therefore, we cannot reject the null hypothesis. The mean return before the event period was -
hypothesis. The mean return before the event period was -0.00636 and after the event was -
-2 -0.01228 -0.79481 2 -0.01814 -1.1741 (-2,+2) -0.0365 -1.49378
-5 0.029151 1.193014 5 0.021093 0.86324 (-5,+5) 0.006928 0.191156
-10 0.005626 0.162813 10 0.007375 0.213408 (-10,+10) -0.00591 -0.11812
-20 -0.03197 -0.65415 20 0.007588 0.155278 (-20,+20) -0.03045 -0.43522
-30 -0.07836 -1.30922 30 0.016892 0.28222 (-30,+30) -0.06754 -0.79137
99
0.24976 ( statistically not sig), followed by -20 days event window with CAR of 0.068559with
with t stats of -1.08017 (statistically not sig). CAR for 2 days event window was -0.00345with t
stats of -0.79504 (statistically not sig), followed by 5 days event window with CAR 0.000835
with t stats of -0.82034(statistically not sig), followed by 10 days event window with CAR of -
0.07759 with t stats of -2.526** (statistically sig at 5% ), followed by 20 days event window with
CAR --0.10628with t stats of -0.73437(statistically not sig), followed by 30 days event window
with CAR -0.10706 with t stats of 0.136031 (statistically not sig). For CAR of (-2, +2) window
was -0.02166 with t stats of -0.89266 (statistically not sig), followed by (-5, +5) window with
CAR -0.02818 with t stats of -0.78297 (statistically not sig), followed by (-10, +10) window with
CAR of -0.03145 with t stats of -0.6324 (statistically not sig), followed by (-20, +20) window
with CAR -0.0501 with t stats of -0.72102(statistically not sig), followed by (-30,+30) window
with CAR -0.01331 with t stats of -0.15709 (statistically not sig).
BSE TELECOMMUNICATION

-30 -0.00692 0.002678 -0.46053 0 0.002442 -0.06783 0.162463
-29 -0.01401 -0.01133 -0.93216 1 -0.02506 -0.09289 -1.66696
-28 -0.00851 -0.01984 -0.56611 2 0.018511 -0.07438 1.23137
-27 0.006179 -0.01367 0.411045 3 0.003172 -0.07121 0.210981
-26 -0.00335 -0.01701 -0.22255 4 0.006678 -0.06453 0.444258
-25 -0.01284 -0.02985 -0.85424 5 0.017403 -0.04713 1.157655
-24 -0.00328 -0.03313 -0.21828 6 0.00541 -0.04172 0.359852
-23 -0.00044 -0.03357 -0.0291 7 -0.01691 -0.05863 -1.12487
-22 -0.02883 -0.0624 -1.91751 8 -0.00528 -0.06391 -0.35106
-21 0.008798 -0.0536 0.585284 9 0.001615 -0.06229 0.107419
-20 -0.01565 -0.06925 -1.04102 10 -0.01193 -0.07422 -0.79332
-19 -0.0231 -0.09235 -1.53698 11 -0.0043 -0.07852 -0.28587
-18 0.035981 -0.05637 2.393523 12 0.001952 -0.07656 0.129867
100
-17 0.01728 -0.03909 1.14952 13 0.05057 -0.02599 3.364007
-16 0.018616 -0.02048 1.238367 14 -0.01127 -0.03727 -0.74995
-15 -0.00735 -0.02783 -0.48897 15 -0.00578 -0.04304 -0.38424
-14 0.016526 -0.0113 1.099309 16 -0.01889 -0.06193 -1.25658
-13 -0.00307 -0.01437 -0.20424 17 0.006494 -0.05544 0.432002
-12 -0.04426 -0.05864 -2.94457 18 0.011276 -0.04416 0.750064
-11 0.025577 -0.03306 1.70139 19 0.037771 -0.00639 2.512573
-10 0.004193 -0.02887 0.278919 20 -0.04554 -0.05194 -3.02965
-9 0.001843 -0.02702 0.122567 21 -0.01398 -0.06591 -0.92978
-8 -0.00616 -0.03318 -0.40985 22 -0.01404 -0.07996 -0.93416
-7 -0.01746 -0.05065 -1.16157 23 0.003531 -0.07643 0.23488
-6 -0.01475 -0.0654 -0.98141 24 0.048456 -0.02797 3.223387
-5 0.014984 -0.05042 0.996756 25 0.036686 0.008716 2.440381
-4 0.004716 -0.0457 0.313727 26 0.008302 0.017019 0.552286
-3 -0.02247 -0.06817 -1.4948 27 0.022304 0.039322 1.483667
-2 -0.0041 -0.07227 -0.27259 28 -0.02218 0.017137 -1.47577
-1 0.001992 -0.07028 0.132479 29 0.00652 0.023658 0.433749
30 0.000133 0.023791 0.00886
Analysis:
window (-30 to 0 to +30)
value of 2.3935225 (statistically significant) followed by an AR of 0.025577 on -11th day with a t
value of 1.2383666 (statistically not significant). However, after the event day BSE
TELECOMMUNICATION has recorded the highest abnormal return on day 13 0.05057 with a t
value of 3.3640075 (statistically significant) followed by day 24 with AR of 0.048456 with a
101
t value of 3.2233868 (statistically significant) and on 19th day AR was 0.037771 with a t value of
2.5125725 (statistically significant) and on 25th day with AR was 0.036686 with a t value of
2.4403806 (statistically significant) and with least AR of -0.04554 day 20 with a t value of -3.029648
(statistically significant). However, on the event day the Recorded AR was 0.002442 with a t value
of 0.1624627 (statistically not significant).
CAR
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
-0.1
In above graph 0 is the event day on which dividend announcement was made. Event window in the above
diagram is restricted to 60 days. -1 to -30 days are dated before the announcement and from 1 to 30 days
are dated after the announcement of policy.
after 22th day.
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2
102

df 2 2 df 6 6
F 3.011689 F 1.484971

df 14 14 df 29 29
F 1.090948 F 1.634733
hypothesis. The calculated F value was1.634733which is more than the F Critical 1.860811 (for 30
H0: µ1= µ2
H1: µ1 ≠ µ2
103

Mean -0.00819 -0.00113 Mean -0.0053 0.001315
t Stat -0.47988 t Stat -0.82038

Mean -0.00332 0.001653 Mean -0.00266 0.003054
t Stat -0.77466 t Stat -1.143
after the event was-0.00113and calculated t value was -0.47988 which is less than the t Critical
cannot reject the null hypothesis. The mean return before the event period was -0.00332 and after
the event was 0.001653 and calculated t value was -0.77466 which is less than the t Critical 2.048407
before the event period was -0.00266 and after the event was -0.003054 and calculated t value was
-1.143 which is less than the t Critical 2.001717 (for 30 days’ event window). Therefore, we cannot
-2 -0.01838 -1.12269 2 -0.01303 -0.79563 (-2,+2) -0.03315 -1.28053
-5 0.04142 1.59999 5 0.028839 1.114002 (-5,+5) -0.01432 -0.37297
-10 -0.01604 -0.43825 10 0.003465 0.094655 (-10,+10) -0.03082 -0.58098
-20 -0.04746 -0.91666 20 0.014293 0.276056 (-20,+20) -0.03491 -0.47091
-30 -0.13048 -2.057** 30 0.024593 0.387834 (-30,+30) -0.10763 -1.19028
104
(statistically not sig), followed by -10 days event window with CAR -0.01604 with t stats of -
t stats of --0.91666 (statistically not sig), followed by -30 days event window with CAR -0.13048
with t stats of -2.057** (statistically not sig). CAR for 2 days event window was -0.01303 with t
stats of --0.79563 (statistically not sig), followed by 5 days event window with CAR 0.028839
with t stats of 1.114002 (statistically not sig), followed by 10 days event window with CAR
of 0.003465with t stats of 0.094655 (statistically not sig), followed by 20 days event window
with CAR --0.014293 with t stats of 0.276056 (statistically not sig), followed by 30 days event
window with CAR -0.024593with t stats of 0.387834 (statistically not sig). For CAR of (-2, +2)
window was -0.03315with t stats of -1.28053 (statistically not sig), followed by (-5,+5) window
with CAR --0.01432with t stats of -0.37297 (statistically not sig), followed by (-10,+10) window
with CAR of -0.03082with t stats of -0.58098 (statistically not sig), followed by (-20,+20)
window with CAR -0.03491with t stats of -0.47091 (statistically not sig), followed by (-30,+30)
window with CAR -0.10763with t stats of -1.19028 (statistically not sig).
BSE CONSUMER DURABLES

-30 -0.00512 -0.00512 -0.45144 0 0.006187 -0.02668 0.545405
-29 -0.01695 -0.02207 -1.49382 1 -0.02835 -0.05503 -2.49879
-28 0.001365 -0.0207 0.12033 2 -0.01498 -0.07001 -1.32062
-27 -0.00737 -0.02807 -0.64948 3 0.006957 -0.06305 0.613287
-26 0.006709 -0.02136 0.591359 4 0.0094 -0.05365 0.828628
-25 -0.01098 -0.03234 -0.9676 5 0.009298 -0.04435 0.81964
-24 0.002705 -0.02963 0.238407 6 0.002331 -0.04202 0.205463
-23 0.004203 -0.02543 0.37047 7 -0.00615 -0.04817 -0.54194
-22 -0.01565 -0.04108 -1.37929 8 0.017667 -0.0305 1.557281
-21 -0.00768 -0.04876 -0.67728 9 0.011469 -0.01904 1.010973
-20 -0.00536 -0.05413 -0.4729 10 -0.00238 -0.02142 -0.2102
-19 0.001951 -0.05218 0.17194 11 0.006011 -0.01541 0.529827
-18 0.007133 -0.04504 0.628757 12 -0.00916 -0.02457 -0.80785
105
-17 -0.02045 -0.06549 -1.80276 13 0.071309 0.046735 6.285823
-16 0.011512 -0.05398 1.014801 14 0.030307 0.077042 2.671536
-15 -0.00678 -0.06076 -0.59774 15 -0.00987 0.067174 -0.86988
-14 0.004343 -0.05642 0.382843 16 -0.01626 0.050917 -1.43303
-13 0.013081 -0.04334 1.153094 17 0.01342 0.064337 1.18295
-12 -0.00805 -0.05139 -0.70958 18 -0.0014 0.062938 -0.12328
-11 0.009292 -0.0421 0.819074 19 -0.01164 0.051296 -1.0262
-10 -0.00837 -0.05046 -0.73749 20 -4.8E-05 0.051248 -0.00425
-9 0.013776 -0.03669 1.214357 21 0.004885 0.056134 0.430626
-8 0.00306 -0.03363 0.269717 22 -0.02342 0.032711 -2.06471
-7 -0.01948 -0.05311 -1.71692 23 0.009795 0.042506 0.86343
-6 -0.00227 -0.05538 -0.20051 24 -0.00411 0.038392 -0.36266
-5 0.010497 -0.04488 0.925327 25 -0.00131 0.037082 -0.1154
-4 0.012542 -0.03234 1.105538 26 0.000805 0.037887 0.070932
-3 0.011147 -0.02119 0.982616 27 -0.00059 0.037299 -0.05188
-2 -0.00799 -0.02919 -0.70459 28 0.007676 0.044974 0.67662
-1 -0.00368 -0.03287 -0.32453 29 0.003048 0.048023 0.268689
30 0.004847 0.05287 0.427251
Analysis:
In case of POLICY 3 7 BIG BANK MERGER, it was observed that the highest Abnormal Return
(AR) recorded in the pre-event period ranging from the lowest value of 0.013776 on day -9th with
a t value of 1.2143566 (statistically not significant) followed by an AR of 0.013081 on -13th day
with a t value of 1.1530939 (statistically not significant) and for -4th day with an AR of 0.012542
with a t value of 1.1055384 (statistically not significant). However, after the event day BSE
106
CONSUMER DURABLE Shas recorded the highest abnormal return on day 13 0.071309 with a t
1.5572808 (statistically not significant) and on 22nd day with least AR was -0.02342 with a t value
of -2.064705 (statistically significant) and with least AR of -0.02835 day 1 with a t value of -
2.498791 (statistically significant). However, on the event day the Recorded AR was 0.006187 with
a t value of 0.5454049 (statistically not significant)
0.1 CAR
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.1
after 12th day.

107
df 2 2 df 6 6
F 3.151908 F 1.439114

df 14 14 df 29 29
F 4.983959 F 3.066992
H0: µ1= µ2
H1: µ1 ≠ µ2

Mean -0.00018 -0.01212 Mean 0.000108 -0.00307
108
t Stat 1.011559 t Stat 0.45143

Mean 0.001408 0.006257 Mean -0.0011 0.002652
t Stat -0.74667 t Stat -1.00532
return before the event period was0.000108and after the event was -0.00307 and calculated t value
the event was 0.006257 and calculated t value was -0.74667 which is less than the t Critical
return before the event period was -0.0011 and after the event was -0.002652and calculated t value
cannot reject the null hypothesis.
-2 -0.02519 -1.34322 2 -0.01273 -0.67873 (-2,+2) -0.01951 -0.65797
-5 0.026464 0.892584 5 0.030118 1.015857 (-5,+5) -0.0064 -0.14554
-10 -0.0658 -1.56935 10 0.040995 0.977719 (-10,+10) 0.005704 0.093872
-20 -0.08814 -1.48641 20 0.069625 1.17418 (-20,+20) -0.00011 -0.00127
-30 -0.19075 -2.62*** 30 0.084197 1.159378 (-30,+30) -0.08815 -0.85123
109
with t stats of -2.62*** (statistically sig at 10%). CAR for 2 days event window was -0.01273
with t stats of -0.67873 (statistically not sig), followed by 5 days event window with CAR
CAR of 0.040995 with t stats of 0.977719 (statistically not sig), followed by 20 days event
window with CAR 0.069625 with t stats of 1.17418 (statistically not sig), followed by 30 days
event window with CAR 0.084197 with t stats of 1.159378 (statistically not sig). For CAR of (-
2, +2) window was -0.01951with t stats of -0.65797 (statistically not sig), followed by (-5, +5)
window with CAR -0.0064with t stats of -0.14554 (statistically not sig), followed by (-10, +10)
window with CAR of 0.005704 with t stats of 0.093872 (statistically not sig), followed by (-20,
+20) window with CAR -0.00011with t stats of -0.00127 (statistically not sig), followed by (-30,
+30) window with CAR -0.08815 with t stats of -0.85123 (statistically not sig).
110
POLICY 3: CUT IN REPO RATE DATE (4TH OCTOBER 2019)
BSE SENSEX
TABLE SHOWING AR, CAR AND T STATS RESULTS

-30 -0.01645 -0.01645 -2.09726 0 -0.01389 0.009072 -1.77129
-29 0.009961 -0.00648 1.270295 1 -0.00334 0.005734 -0.42568
-28 0.019518 0.013033 2.488967 2 0.001766 0.0075 0.225224
-27 0.004511 0.017544 0.575207 3 0.015781 0.02328 2.012356
-26 -0.00682 0.010724 -0.86973 4 -0.00891 0.014371 -1.13618
-25 -0.01245 -0.00173 -1.58806 5 0.004387 0.018757 0.559397
-24 0.006678 0.004948 0.851607 6 0.002303 0.02106 0.293641
-23 -0.01924 -0.0143 -2.45401 7 0.006012 0.027072 0.766624
-22 0.002789 -0.01151 0.355698 8 0.002383 0.029455 0.303898
-21 -0.00462 -0.01613 -0.5896 9 0.011363 0.040818 1.449055
-20 0.008582 -0.00755 1.094364 10 0.007662 0.04848 0.977054
-19 0.004024 -0.00352 0.513087 11 -0.00051 0.04797 -0.06501
-18 0.002761 -0.00076 0.352136 12 -0.00847 0.039496 -1.08059
-17 -0.00153 -0.00229 -0.19452 13 0.001995 0.041491 0.254423
-16 -0.00491 -0.0072 -0.62638 14 -0.00098 0.040515 -0.12451
-15 0.007153 -4.7E-05 0.912196 15 -0.00012 0.040399 -0.01479
-14 -0.00634 -0.00638 -0.80813 16 -0.00096 0.039442 -0.12205
-13 -0.01782 -0.0242 -2.27204 17 0.019569 0.059011 2.495487
-12 0.001887 -0.02231 0.240676 18 0.004659 0.06367 0.59408
-11 -0.0128 -0.03511 -1.6323 19 0.0026 0.06627 0.331521
-10 0.052652 0.017538 6.714231 20 -0.00106 0.065212 -0.13488
-9 0.027644 0.045182 3.525177 21 0.002563 0.067775 0.326835
-8 0.000874 0.046056 0.111512 22 -0.00168 0.066098 -0.21384
-7 -0.01411 0.031948 -1.79909 23 0.005327 0.071425 0.679274
-6 0.010529 0.042477 1.342661 24 0.003304 0.074728 0.421268
-5 -0.00403 0.038444 -0.5143 25 -0.00835 0.066374 -1.06537
-4 -0.00475 0.033693 -0.60589 26 0.000309 0.066683 0.039433
-3 -0.00749 0.026205 -0.95488 27 -0.00016 0.06652 -0.02081
-2 -0.00232 0.023882 -0.29612 28 -0.00639 0.060127 -0.81523
-1 -0.00092 0.022962 -0.1174 29 0.004086 0.064213 0.520992
30 0.000285 0.064498 0.036406
Analysis:
that is the date of policy announcement. The policy announcement date was on 04-10-2019. The
111
above table No. 4.1 shows abnormal returns and cumulative abnormal returns and t stats for the 30
days’ event window (-30 to 0 to +30).
In case of BSE SENSEX, it was observed that the highest Abnormal Return (AR) recorded in the
pre-event period ranging from the lowest value 0.052732 on day –10th with a t value of 6.597583
(statistically significant) followed by an AR of 0.028346 on -9th day with AR t value of 3.546567
(statistically significant) and for -28th day with an AR of 0.019085with a t value of 2.387832
(statistically significant). However, after the event day BSE SENSEX has recorded the highest
abnormal return 0.017418 on 17th day with t value 0.017418 followed by 3rd day with AR
of 0.027644 with a t value of 3.525177 (statistically significant) and on -28th day AR was 0.019518
with a t value of 1.932734 (statistically significant ). However, on the event day the Recorded AR
was -0.01478with a t value of -0.01478 (statistically not significant). Post event 25th day AR -0.00879
and the t stats -1.10018 statistically not significant.
Graph showing CAR
CAR
0.1
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
after 2nd day.
112
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2
PRE EVENT POST EVENT PRE EVENT POST EVENT

df 2 2 df 6 6
F 8.191327 F 1.066344

Variance 0.000319 4.35E-05 Variance 0.000209 4E-05
df 14 14 df 29 29
F 7.336249 F 5.208123
window). Therefore, we can accept the null hypothesis. The calculated F value was 7.336249which
H0: µ1= µ2
H1: µ1 ≠ µ2
113

Mean -0.00358 0.004736 Mean -0.0033 0.002571
t Stat -1.37311 t Stat -1.44637

Mean 0.002011 0.002088 Mean 0.000765 0.001848
t Stat -0.01581 t Stat -0.37594
the event was 0.002088 and calculated t value was -0.01581is less than the t Critical 2.100922 (for
15 days’ event window). Therefore, we cannot reject the null hypothesis. The mean return before
the event period was 0.000765and after the event was 0.001848and calculated t value was -0.37594
which is less than the t Critical 2.021075 (for 30 days’ event window). Therefore, we cannot reject
the null hypothesis.
-2 -0.01167 -0.74628 2 -0.04333 -2.7697 (-2,+2) -0.04882 -1.9735*
-5 0.022512 0.910098 5 -0.01767 -0.71449 (-5,+5) 0.020677 0.563579
-10 0.009229 0.263828 10 0.005261 0.150383 (-10,+10) 0.012113 0.238951
-20 0.015894 0.321284 20 0.077929 1.575261 (-20,+20) 0.100011 1.411957
-30 -0.03287 -0.54248 30 0.07955 1.312953 (-30,+30) 0.05287 0.611939
sig), followed by -5 days event window with CAR of 0.022512with t stats of 0.910098
114
(statistically not sig), followed by -10 days event window with CAR 0.009229with t stats of
with t stats of 0.321284 (statistically not sig), followed by -30 days event window with CAR -
0.03287 with t stats of -0.54248(statistically not sig). CAR for 2 days’ event window was -
0.04333with t stats of -2.7697 (statistically not sig), followed by 5 days’ event window with CAR
0.01767 with t stats of -0.71449(statistically not sig), followed by 10 days’ event window with
CAR of 0.005261 with t stats of 0.150383(statistically sig at 5%), followed by 20 days’ event
window with CAR 0.077929 with t stats of 1.575261 (statistically not sig), followed by 30 days’
event window with CAR 0.07955 with t stats of 1.312953 (statistically not sig). For CAR of (-2,
+2) window was -0.04882 with t stats of -1.9735* (statistically sig at 1%), followed by (-5, +5)
window with CAR 0.020677 with t stats of 0.563579 (statistically not sig), followed by (-10, +10)
window with CAR of 0.012113 with t stats of 0.238951 (statistically not sig), followed by (-20,
+20) window with CAR 0.100011 with t stats of 1.411957 (statistically not sig), followed by (-
30, +30) window with CAR 0.05287 with t stats of 0.611939 (statistically not sig).
NIFTY
-30 -0.01676 -0.01676 -2.09633 0 -0.01478 0.018762 -1.84933
-29 0.012054 -0.0047 1.508195 1 -0.00381 0.014953 -0.47654
-28 0.019085 0.014384 2.387832 2 0.001899 0.016853 0.237656
-27 0.00499 0.019375 0.624387 3 0.015448 0.0323 1.932734
-26 -0.00706 0.012314 -0.88342 4 -0.00799 0.024307 -1.00008
-25 -0.01101 0.0013 -1.37801 5 0.004209 0.028516 0.526582
-24 0.006498 0.007798 0.81304 6 0.0033 0.031816 0.412926
-23 -0.01893 -0.01113 -2.3686 7 0.006132 0.037948 0.767202
-22 0.00276 -0.00837 0.345317 8 0.003191 0.041139 0.399189
-21 -0.00208 -0.01046 -0.2607 9 0.010402 0.051541 1.301492
-20 0.008526 -0.00193 1.066737 10 0.007995 0.059536 1.000298
-19 0.004878 0.002948 0.610364 11 -0.00042 0.059115 -0.0527
-18 -0.00052 0.002426 -0.06523 12 -0.00615 0.052968 -0.76909
-17 0.001506 0.003933 0.188459 13 0.001008 0.053976 0.126175
-16 -0.00515 -0.00122 -0.64416 14 -0.00175 0.052229 -0.21864
-15 0.008149 0.006933 1.019535 15 -0.00089 0.051338 -0.1115
-14 -0.00576 0.001174 -0.72055 16 -0.00088 0.05046 -0.10976
-13 -0.01731 -0.01614 -2.16619 17 0.017418 0.067878 2.179234
115
-12 0.00184 -0.0143 0.230255 18 0.004077 0.071955 0.510119
-11 -0.01236 -0.02666 -1.54649 19 0.003598 0.075554 0.450206
-10 0.052732 0.026072 6.597583 20 -0.00079 0.074767 -0.09849
-9 0.028346 0.054418 3.546567 21 0.003497 0.078263 0.437477
-8 -0.00023 0.054188 -0.0288 22 -0.00227 0.075992 -0.28415
-7 -0.01392 0.040267 -1.74172 23 0.004023 0.080016 0.50339
-6 0.011805 0.052073 1.477042 24 0.00268 0.082695 0.335258
-5 -0.00473 0.047346 -0.59143 25 -0.00879 0.073902 -1.10018
-4 -0.00396 0.043383 -0.49576 26 0.000316 0.074218 0.03956
-3 -0.00798 0.035402 -0.99855 27 -6.8E-05 0.07415 -0.00847
-2 0.00303 0.038432 0.379038 28 -0.00676 0.067389 -0.84599
-1 -0.00489 0.033543 -0.61166 29 0.002611 0.07 0.326723
30 0.000579 0.070579 0.072467
In case of NIFTY, it was observed that the highest Abnormal Return (AR) recorded in the pre-
event period ranging from the lowest value 0.052732on day –10th with a t value of 6.597583
(statistically significant) followed by an AR of 0.028346 on -9th day with AR t value of 3.546567
(statistically significant). However, after the event day NIFTY has recorded the highest abnormal
return 0.017418 on 17th day with t value 0.017418 followed by 3rd day with AR of 0.027644 with
a t value of 3.525177 (statistically significant) and on -28th day AR was 0.019518 with a t value
of 1.932734 (statistically significant). However, on the event day the Recorded AR was -
0.01478with a t value of -0.01478 (statistically not significant). Post event 25th day AR -0.00879
Graph showing CAR
CAR
0.2
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.2
CAR
116
after 2nd day.
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

Mean 0.004513 -0.00328 Mean -0.00295 0.002741
df 2 2 df 6 6
F 3.033408 F 1.217903

Mean 0.002317 0.002172 Mean 0.001118 0.001727
df 14 14 df 29 29
F 8.364518 F 5.92941
window). Therefore, we can accept the null hypothesis. The calculated F value was 7.336249which
117
H0: µ1= µ2
H1: µ1 ≠ µ2

Mean -0.00328 0.004513 Mean -0.00295 0.002741
t Stat -1.18349 t Stat -1.35438

Mean 0.002317 0.002172 Mean 0.001118 0.001727
t Stat 0.029626 t Stat -0.21289
return before the event period was -0.00295 and after the event was 0.002741and calculated t value
the event was 0.002172 and calculated t value was 0.029626 which is less than the t Critical
118
-2 -0.00324 -0.25205 2 -0.00157 -0.12218 (-2,+2) -0.0187 -0.91951
-5 -0.01952 -0.95934 5 0.009686 0.476132 (-5,+5) 0.083594 2.770***
-10 0.058076 2.0187** 10 0.039408 1.36985 (-10,+10) -0.00569 -0.13638
-20 0.039092 0.960844 20 0.05614 1.379889 (-20,+20) 0.081342 1.396387
-30 0.022962 0.46082 30 0.055426 1.112349 (-30,+30) 0.064498 0.907751
sig), followed by -5 days event window with CAR of -0.01952with t stats of -0.95934(statistically
not sig), followed by -10 days event window with CAR 0.058076with t stats of 2.0187**(
statistically not sig), followed by -20 days event window with CAR of 0.039092with t stats of
0.960844(statistically not sig), followed by -30 days event window with CAR 0.022962 with t stats
of 0.46082 (statistically not sig). CAR for 2 days’ event window was -0.00157with t stats of -0.12218
(statistically not sig), followed by 5 days’ event window with CAR 0.009686 with t stats of
0.476132(statistically not sig), followed by 10 days’ event window with CAR of 0.039408 with t
stats of 1.36985 (statistically sig at 5%), followed by 20 days’ event window with CAR 0.5614
with t stats of 1.379889(statistically not sig), followed by 30 days’ event window with CAR -
0.055426with t stats of 1.112349(statistically not sig). For CAR of (-2, +2) window was -0.0187.
with t stats of -0.91951 (statistically not sig), followed by (-5, +5) window with CAR
0.083594with t stats of 2.770*** (statistically not sig), followed by (-10, +10) window with CAR
of -0.00569 with t stats of -0.13638 (statistically not sig), followed by (-20, +20) window with
CAR 0.081342 with t stats of 1.396387 (statistically not sig), followed by (-30, +30) window with
CAR 0.064498 with t stats of 0.907751 (statistically not sig).
119
BSE FMCG

-30 -0.00121 -0.00121 -0.14293 0 -0.01559 0.064457 -1.84571
-29 -0.00662 -0.00783 -0.7838 1 -0.0051 0.059353 -0.60442
-28 0.015081 0.007255 1.785922 2 0.00093 0.060283 0.110147
-27 0.009989 0.017245 1.182916 3 0.000558 0.060841 0.066054
-26 -0.00426 0.012985 -0.50446 4 -0.00439 0.056447 -0.52032
-25 -0.00547 0.007518 -0.64731 5 0.009604 0.066051 1.137311
-24 0.017204 0.024722 2.037248 6 0.005258 0.071309 0.622696
-23 -0.0151 0.009626 -1.78767 7 0.0102 0.081509 1.207888
-22 -0.00174 0.007886 -0.20602 8 -0.00068 0.080825 -0.08105
-21 0.001178 0.009064 0.139473 9 0.013241 0.094066 1.567996
-20 -0.00164 0.007423 -0.1943 10 0.007502 0.101568 0.888412
-19 0.008569 0.015993 1.014773 11 -3.9E-05 0.101529 -0.0046
-18 -8.1E-05 0.015912 -0.00955 12 0.006798 0.108327 0.804967
-17 -0.00365 0.012262 -0.43222 13 0.005276 0.113603 0.62478
-16 -0.00659 0.005673 -0.78028 14 -0.00449 0.109117 -0.53117
-15 0.000332 0.006005 0.03931 15 -0.00344 0.105675 -0.4077
-14 0.006725 0.01273 0.796426 16 0.004669 0.110343 0.552852
-13 -0.00401 0.008722 -0.4747 17 -0.00023 0.110114 -0.02715
-12 0.004313 0.013035 0.510789 18 0.005623 0.115737 0.665878
-11 -0.00819 0.004845 -0.96985 19 0.011453 0.127189 1.356208
-10 0.039083 0.043928 4.62824 20 0.000964 0.128154 0.114215
-9 0.041971 0.085899 4.970195 21 0.003945 0.132099 0.467223
-8 0.004895 0.090795 0.5797 22 -0.00584 0.126259 -0.69167
-7 -0.0132 0.077591 -1.56363 23 0.003099 0.129357 0.366959
-6 0.005569 0.08316 0.659486 24 2.42E-05 0.129382 0.002864
-5 0.000134 0.083293 0.015829 25 0.003464 0.132846 0.410229
-4 0.002683 0.085977 0.317756 26 -0.0181 0.114745 -2.14348
-3 -0.00874 0.077238 -1.03486 27 -0.00553 0.109212 -0.65527
-2 0.001402 0.07864 0.166019 28 0.000109 0.10932 0.01288
-1 0.001403 0.080043 0.166197 29 -0.00569 0.103632 -0.67358
30 -0.00488 0.098756 -0.57745
Analysis:
120
In case of NIFTY, it was observed that the highest Abnormal Return (AR) recorded in the pre-
event period ranging from the lowest value of 0.0390833on day -24 with a t value of 4.62824
(statistically significant) followed by an AR of 0.011206 on -10TH day with a t value of 4.62824
(statistically significant). However, after the event day BSE AUTO has recorded the highest
abnormal return on . However, on the event day the Recorded AR was 0.007979428 with a t value
of -0.936912112 (statistically not significant).
Graph showing CAR
CAR
6
4
2
0
-2 -30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-4
day there was a dip and gone into volatile phase and its volatile.
121
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2
df 2 2 df 6 6
F 2.998335 F 1.207269

df 14 14 df 29 29
F 6.832834 F 3.72494
calculated F value was 1.207269 which is greater than the F Critical 4.283866 (for 7 days’ event
window). Therefore, we can reject the null hypothesis. The calculated F value was 6.832834 which
122
H0: µ1 = µ2
H1: µ1 ≠ µ2
PRE EVENT Variable 2 PRE EVENT Variable 2

Mean -0.00198 -0.00121 Mean -0.00154 0.002436
t Stat -0.19788 t Stat -1.14515
PRE EVENT Variable 2 PRE EVENT Variable 2

Mean 0.004958 0.002748 Mean 0.002668 0.001143
t Stat 0.514213 t Stat 0.587438
after the event was-0.00121and calculated t value was -0.19788 which is less than the t Critical
0.004958 and after the event was 0.002748 and calculated t value was 0.514213 which is less than
hypothesis. The mean return before the event period was 0.002668 and after the event was -
-2 -0.00186 -0.14418 2 -0.00191 -0.14806 (-2,+2) -0.01855 -0.90974
-5 -0.01853 -0.90877 5 0.009754 0.478362 (-5,+5) 0.086196 2.850***
-10 0.060203 2.0877** 10 0.040774 1.414005 (-10,+10) -0.00145 -0.03471
-20 0.044 1.078951 20 0.056005 1.373332 (-20,+20) 0.085223 1.459599
123
-30 0.033543 0.671598 30 0.051817 1.03748 (-30,+30) 0.070579 0.991012
sig), followed by -5 days event window with CAR of -0.01853with t stats of -0.90877 (statistically
not sig), followed by -10 days event window with CAR 0.060203with t stats of 2.0877** (
statistically not sig), followed by -20 days event window with CAR of -0.044with t stats of
stats of 0.671598 (statistically not sig). CAR for 2 days event window was -0.00191with t stats of -
0.14806 (statistically not sig), followed by 5 days event window with CAR 0.009754 with t stats
of 0.478362(statistically not sig), followed by 10 days event window with CAR of -0.04077 with
t stats of 1.414005 (statistically sig at 5% ), followed by 20 days event window with CAR
0.056005with t stats of 1.373332(statistically not sig), followed by 30 days event window with
CAR 0.051817 with t stats of 1.03748 (statistically not sig). For CAR of (-2, +2) window was -
0.01885 with t stats of -0.90974 (statistically not sig), followed by (-5, +5) window with CAR
0.086196with t stats of 2.850*** (statistically not sig), followed by (-10, +10) window with CAR
of -0.00145 with t stats of -0.3471 (statistically not sig), followed by (-20, +20) window with CAR
0.085223 with t stats of 1.459599(statistically not sig), followed by (-30, +30) window with CAR
0.070579 with t stats of 0.991012 (statistically not sig).
BSE AUTO
DAYS AR CAR T SATS DAYS AR CAR T SATS

-30 -0.01502 -0.01502 -1.18491 0 -0.01207 0.094766 -0.9522
-29 0.020985 0.005964 1.655405 1 -0.00444 0.090321 -0.35062
-28 0.003829 0.009794 0.302076 2 0.003584 0.093905 0.282745
-27 0.020984 0.030778 1.655341 3 0.0143 0.108205 1.128042
-26 -0.0196 0.011177 -1.5462 4 -0.01165 0.096551 -0.91936
-25 -0.00681 0.004367 -0.53719 5 0.004268 0.100819 0.336691
-24 0.006314 0.010681 0.498057 6 0.017832 0.11865 1.406646
-23 -0.01316 -0.00248 -1.0382 7 0.023265 0.141915 1.835263
-22 -0.01767 -0.02014 -1.39351 8 -0.00063 0.141281 -0.05007
-21 0.020057 -8.8E-05 1.582217 9 0.030217 0.171497 2.383639
-20 0.026073 0.025985 2.056741 10 0.0129 0.184398 1.017643
-19 0.010066 0.036051 0.794057 11 0.001103 0.1855 0.086976
-18 0.000995 0.037046 0.078527 12 -0.00235 0.183151 -0.18528
124
-17 0.034517 0.071563 2.722893 13 0.012938 0.196089 1.020625
-16 -0.01822 0.05334 -1.43756 14 -0.00157 0.194518 -0.12396
-15 0.01317 0.06651 1.038938 15 -0.00282 0.191698 -0.22243
-14 -0.00581 0.060699 -0.45845 16 0.015934 0.207633 1.256981
-13 -0.03744 0.023254 -2.95384 17 0.000615 0.208248 0.048504
-12 0.000227 0.023481 0.017932 18 0.043192 0.251439 3.407183
-11 -0.01215 0.011332 -0.95842 19 -0.00118 0.250254 -0.09346
-10 0.096492 0.107824 7.611817 20 0.004894 0.255148 0.386046
-9 0.025541 0.133365 2.014815 21 -0.00801 0.247135 -0.6321
-8 -0.00335 0.130018 -0.26407 22 -0.01227 0.234862 -0.96815
-7 -0.03877 0.091246 -3.05855 23 -0.0022 0.232667 -0.17319
-6 0.026602 0.117848 2.098526 24 0.002209 0.234876 0.174259
-5 -0.01247 0.105374 -0.98398 25 -0.00224 0.232636 -0.17671
-4 -0.00739 0.097988 -0.58263 26 -0.00415 0.228483 -0.32756
-3 -0.00037 0.097622 -0.02888 27 -0.00235 0.226134 -0.18535
-2 0.004793 0.102415 0.378071 28 0.001481 0.227614 0.116794
-1 0.004422 0.106837 0.348799 29 -0.00014 0.227479 -0.0107
30 0.005767 0.233246 0.454946
Analysis:
In case of BSE AUTO, it was observed that the highest Abnormal Return (AR) recorded in the
pre-event period ranging from the lowest value of 0.01127 on day - 20 with a t value
of 1.323241 (statistically not significant) followed by an AR of 0.011206 on 26th day with a t value
of 1.25086 (statistically not significant). However, after the event day BSE AUTO has recorded
the highest abnormal return on followed by 25th day with AR of 0.013901with a t value
of 1.632167 (statistically not significant) and on 7th day AR was 0.01259 with a t value
of 1.632167 (statistically not significant ). However, on the event day the Recorded AR
was 0.007979428 with a t value of -0.936912112 (statistically not significant).
125
Graph showing CAR
CAR
0.3
0.2
0.1
0
-30-28-26-24-22-20-18-16-14-12-10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.1
event day there was a sharp dip and gone into negative phase and it has been started recovering.
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

Variance 8.84E-05 8.28E-06 Variance 0.000398 0.000155
df 2 2 df 6 6
F 10.6827 F 2.559036
126
df 14 14 df 29 29
F 7.416086 F 4.316891
H0: µ1 = µ2
H1: µ1 ≠ µ2
PRE EVENT Variable 2 PRE EVENT POST EVENT

Mean 0.002949 0.00448 Mean -0.00331 0.006736
t Stat -0.26953 t Stat -1.1301

Mean 0.003566 0.006462 Mean 0.003561 0.004616
t Stat -0.33287 t Stat -0.20556
after the event was0.00448and calculated t value was -0.26953which is less than the t Critical
127
cannot reject the null hypothesis. The mean return before the event period was 0.003566and after
the event was 0.006462and calculated t value was 0.006462which is less than the t Critical

-2 0.002805 0.221646 2 -0.00417 -0.32977 (-2,+2) -0.01695 -0.8472
-5 -0.00312 -0.15573 5 0.001594 0.079652 (-5,+5) 0.096723 3.258***
-10 0.075198 2.656*** 10 0.037111 1.311248 (-10,+10) 0.022427 0.546828
-20 0.070979 1.77334* 20 0.063697 1.591414 (-20,+20) 0.11909 2.0780**
-30 0.080043 1.63283* 30 0.034299 0.699682 (-30,+30) 0.098756 1.412791
that CAR OF BSE for -2 days period was 0.002805 with t stats of 0.221646 (statistically not
(statistically not sig), followed by -10 days event window with CAR -0.075198with t stats of
2.656***( statistically not sig), followed by -20 days event window with CAR of 0.070979with
t stats of 1.77334* (statistically not sig), followed by -30 days event window with CAR 0.080043
with t stats of 1.63283* (statistically not sig). CAR for 2 days event window was -0.00417with t
stats of -0.32977 (statistically not sig), followed by 5 days event window with CAR 0.001594
with t stats of 0.079652 (statistically not sig), followed by 10 days event window with CAR
of 0.037111with t stats of 1.311248 (statistically sig at 5% ), followed by 20 days event window
with CAR 0.063697with t stats of 1.591414 (statistically not sig), followed by 30 days event
window with CAR 0.034299 with t stats of 0.699682 (statistically not sig). For CAR of (-2, +2)
window was -0.01695with t stats of -0.8472 (statistically not sig), followed by (-5, +5) window
128
with CAR 0.096723 with t stats of 3.258*** (statistically not sig), followed by (-10, +10) window
with CAR of 0.022427with t stats of 0.546828 (statistically not sig), followed by (-20, +20)
window with CAR 0.11909 with t stats of 2.0780** (statistically not sig), followed by (-30, +30)
window with CAR 0.098756 with t stats of 1.412791 (statistically not sig).
BSE IT

-30 0.002305 0.002305 0.215597 0 0.005372 -0.03647 0.502474
-29 0.011239 0.013544 1.051188 1 -0.00669 -0.04315 -0.62554
-28 0.00373 0.017274 0.348899 2 0.000679 -0.04247 0.063504
-27 -0.01536 0.001911 -1.4369 3 -0.01045 -0.05293 -0.97756
-26 0.011045 0.012957 1.033077 4 -0.00363 -0.05656 -0.33998
-25 -0.00107 0.011883 -0.10039 5 0.015489 -0.04107 1.448685
-24 0.00722 0.019103 0.675288 6 -0.00951 -0.05058 -0.88933
-23 0.000355 0.019458 0.033181 7 -0.00809 -0.05868 -0.75713
-22 0.00267 0.022127 0.249686 8 0.006435 -0.05224 0.601894
-21 -0.00088 0.021245 -0.08249 9 0.000892 -0.05135 0.083473
-20 0.000675 0.02192 0.063092 10 0.006983 -0.04436 0.653165
-19 -0.00883 0.013087 -0.8262 11 -0.00075 -0.04511 -0.06991
-18 -0.00081 0.012278 -0.07566 12 -0.07306 -0.11817 -6.83332
-17 -0.01433 -0.00205 -1.34009 13 0.010695 -0.10748 1.000284
-16 -0.00701 -0.00906 -0.65537 14 -0.00755 -0.11503 -0.70652
-15 0.009041 -1.6E-05 0.845605 15 0.008716 -0.10631 0.815185
-14 0.001588 0.001572 0.148551 16 0.005305 -0.10101 0.496181
-13 -0.00631 -0.00473 -0.58993 17 -0.00103 -0.10204 -0.09612
-12 0.002718 -0.00202 0.254192 18 0.016374 -0.08566 1.531513
-11 -0.01339 -0.01541 -1.25258 19 0.013655 -0.07201 1.277214
-10 -0.01087 -0.02628 -1.017 20 0.01731 -0.0547 1.619038
-9 -0.03401 -0.06029 -3.1809 21 -0.00943 -0.06413 -0.88184
-8 0.022872 -0.03742 2.139309 22 0.009228 -0.0549 0.86311
-7 0.003061 -0.03436 0.286332 23 -0.00664 -0.06153 -0.62059
-6 -0.00572 -0.04008 -0.53502 24 0.004196 -0.05734 0.392447
-5 -0.0057 -0.04578 -0.53359 25 0.003066 -0.05427 0.286801
-4 0.022187 -0.0236 2.075184 26 -0.01619 -0.07046 -1.51455
-3 -0.01616 -0.03976 -1.51184 27 -0.00733 -0.0778 -0.68579
-2 0.001373 -0.03839 0.128467 28 -0.00053 -0.07833 -0.04959
-1 -0.00345 -0.04184 -0.32289 29 0.000837 -0.07749 0.078265
30 0.010157 -0.06733 0.950019
129
Analysis:
In case of BSE IT, it was observed that the highest Abnormal Return (AR) recorded in the pre-
event period ranging from the lowest value of 0.01127 on day - 20 with a t value
of 1.25086 (statistically not significant). However, after the event day BSE IT has recorded the
highest abnormal return on followed by 25th day with AR of 0.013901with a t value
Graph showing CAR
CAR
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
-0.1
-0.15
130
event day there was a sharp dip and gone into negative phase and it has been started recovering.
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

df 2 2 df 6 6
F 2.560388 F 1.702182
PRE POST PRE POST

EVENT EVENT EVENT EVENT
df 14 14 df 29 29
F 2.054382 F 2.01988
F Critical one- F Critical one-
tail 2.483726 tail 1.860811
is less than the F Critical 2.483726 (for 15 days’ event window). Therefore, we cannot reject the
null hypothesis. The calculated F value was 2.01988 which is less than the F Critical 1.860811 (for
30 days’ event window). Therefore, we can reject the null hypothesis.
131
H0: µ1 = µ2
H1: µ1 ≠ µ2

Mean -0.00608 -0.00549 Mean -0.00063 -0.00317
t Stat -0.0963 t Stat 0.451269

Mean -0.00219 -0.00466 Mean -0.00139 -0.00103
t Stat 0.381876 t Stat -0.10082
after the event was0.00448and calculated t value was -0.26953which is less than the t Critical
132
-2 0.009214 0.553152 2 -0.00086 -0.05166 (-2,+2) -0.00372 -0.14113
-5 -0.01101 -0.41807 5 0.006053 0.229818 (-5,+5) 0.173066 4.430***
-10 0.095505 2.5640** 10 0.089632 2.4063** (-10,+10) 0.049786 0.922352
-20 0.106924 2.029** 20 0.160382 3.044*** (-20,+20) 0.255236 3.384***
-30 0.106837 1.65598* 30 0.13848 2.146** (-30,+30) 0.233246 2.5354**
that CAR OF BSE IT for -2 days period was 0.009214 with t stats of 0.553152 (statistically not
2.5640** ( statistically sig at 5%), followed by -20 days event window with CAR of 0.106924
with t stats of 2.029** (statistically sig at 5%), followed by -30 days event window with CAR
0.106837 with t stats of 1.65598* (statistically sig at 1%). CAR for 2 days event window was -
0.00086with t stats of -0.05166 (statistically not sig), followed by 5 days event window with
CAR 0.006053 with t stats of 0.229818 (statistically not sig), followed by 10 days event window
with CAR of 0.089632 with t stats of 2.4063** (statistically sig at 5% ), followed by 20 days
event window with CAR 0.160382with t stats of 3.044*** (statistically not sig), followed by 30
days event window with CAR 0.13848 with t stats of 2.146** (statistically sig at 5%). For CAR
of (-2, +2) window was -0.00372 with t stats of -0.14113 (statistically not sig), followed by (-5,
+5) window with CAR 0.173066with t stats of 4.430*** (statistically sig at 10%), followed by (-
10, +10) window with CAR of 0.049786 with t stats of 0.922352 (statistically not sig), followed
by (-20, +20) window with CAR 0.255236 with t stats of 3.384*** (statistically sig at 5%),
followed by (-30, +30) window with CAR 0.233246with t stats of 2.5354** (statistically sig at
5%).
BSE POWER

-30 -0.00878 -0.00878 -0.79168 0 -0.00508 0.000615 -0.45796
-29 -0.01246 -0.02125 -1.12307 1 -0.00852 -0.00791 -0.76809
-28 -0.01275 -0.034 -1.1492 2 0.016169 0.008262 1.457187
-27 0.010157 -0.02384 0.915385 3 0.000101 0.008363 0.00914
-26 0.017879 -0.00596 1.611234 4 0.002802 0.011165 0.252492
133
-25 0.015603 0.00964 1.40613 5 -0.00196 0.009205 -0.17663
-24 -0.01504 -0.0054 -1.35545 6 0.012165 0.02137 1.096307
-23 0.002825 -0.00257 0.254628 7 -0.01004 0.011326 -0.90517
-22 -0.00552 -0.0081 -0.49756 8 0.007446 0.018772 0.671004
-21 -0.0219 -0.03 -1.97383 9 0.026475 0.045247 2.385986
-20 0.004522 -0.02548 0.40756 10 0.001294 0.046541 0.11661
-19 0.018425 -0.00705 1.6605 11 0.007869 0.05441 0.709187
-18 0.020583 0.013533 1.854959 12 -0.01213 0.042284 -1.09282
-17 0.002129 0.015661 0.19183 13 -0.00871 0.033578 -0.78458
-16 -0.00028 0.015386 -0.02482 14 0.004311 0.037889 0.388544
-15 -0.00495 0.010432 -0.44646 15 0.004807 0.042697 0.433228
-14 0.012111 0.022543 1.091415 16 0.004738 0.047435 0.427016
-13 -0.00606 0.016478 -0.54657 17 0.001508 0.048943 0.135861
-12 -0.01215 0.00433 -1.09479 18 0.001156 0.050098 0.104146
-11 0.006675 0.011005 0.601592 19 0.000176 0.050274 0.01589
-10 -0.00625 0.004754 -0.56336 20 -0.00293 0.047345 -0.264
-9 0.007848 0.012601 0.707228 21 0.00068 0.048025 0.061283
-8 -0.00394 0.008664 -0.35481 22 -0.00152 0.046504 -0.13713
-7 0.000972 0.009636 0.087559 23 -0.01338 0.033126 -1.20561
-6 0.011398 0.021034 1.02723 24 0.001605 0.034731 0.14468
-5 0.001324 0.022359 0.119349 25 -0.01188 0.022852 -1.07052
-4 -0.00186 0.020497 -0.16781 26 -0.00595 0.016907 -0.53577
-3 -0.00227 0.018227 -0.20454 27 -0.00682 0.010084 -0.61494
-2 -0.01229 0.005936 -1.10769 28 0.003783 0.013867 0.340953
-1 -0.00024 0.005697 -0.02154 29 0.009424 0.023291 0.849304
30 -0.0028 0.020495 -0.25199
Analysis:
In case of BSE POWER, it was observed that the highest Abnormal Return (AR) recorded in the
of 1.25086 (statistically not significant). However, after the event days POWER has recorded the
highest abnormal return on followed by 25th day with AR of 0.013901with a t value
134
of 1.632167 (statistically not significant). However, on the event day the Recorded AR
Graph showing CAR
CAR
0.06
0.04
0.02
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.02
-0.04
before the event day. and it has been started recovering.
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

Variance 0.000157 4.16E-05 Variance 9.64E-05 4.85E-05
df 2 2 df 6 6
F 3.771895 F 1.986403
135

df 14 14 df 29 29
F 1.945558 F 1.532943
calculated F value was 1.986403which is greater than the F Critical 4.283866 (for 7 days’ event
window). Therefore, we can reject the null hypothesis. The calculated F value was 1.945558which
is less than the F Critical 2.483726 (for 15 days’ event window). Therefore, we cannot reject the
null hypothesis. The calculated F value was 1.532943which is less than the F Critical 1.860811 (for
H0: µ1 = µ2
H1: µ1 ≠ µ2

Mean -0.00493 0.002583 Mean -0.00042 0.00153
t Stat -0.92356 t Stat -0.42948

Mean -0.00065 0.002805 Mean 0.00019 0.000663
t Stat -1.02878 t Stat -0.186
136
before the event period was 0.00019 and after the event was 0.000663 and calculated t value was -
0.186 which is less than the t Critical 2.003241 (for 30 days’ event window). Therefore, we cannot
-2 -0.00208 -0.14618 2 -0.00601 -0.42256 (-2,+2) -0.00272 -0.12077
-5 -0.00176 -0.0783 5 -0.00461 -0.20489 (-5,+5) -0.02896 -0.86824
-10 -0.02643 -0.83115 10 -0.0079 -0.24842 (-10,+10) -0.05788 -1.25609
-20 -0.06308 -1.40283 20 -0.01823 -0.40543 (-20,+20) -0.07594 -1.17951
-30 -0.04184 -0.75965 30 -0.03087 -0.56044 (-30,+30) -0.06733 -0.85735
not sig), followed by -10 days event window with CAR -0.02643with t stats of -0.83115 (
statistically not sig), followed by -20 days event window with CAR of -0.06308with t stats of -
1.40283 (statistically not sig), followed by -30 days event window with CAR -0.04184with t stats
of -0.75965 (statistically not sig). CAR for 2 days event window was -0.00601with t stats of -0.42256
(statistically not sig), followed by 5 days event window with CAR -0.00461 with t stats of -0.20489
(statistically not sig), followed by 10 days event window with CAR of -0.0079with t stats of -
0.24842 (statistically sig at 5% ), followed by 20 days event window with CAR -0.01823with t
stats of -0.40543 (statistically not sig), followed by 30 days event window with CAR -0.03087 with
t stats of -0.56044 (statistically not sig). For CAR of (-2, +2) window was --0.00272with t stats of -
137
0.12077 (statistically not sig), followed by (-5,+5) window with CAR -0.02896 with t stats of -
0.86824 (statistically not sig), followed by (-10,+10) window with CAR of -0.05788 with t stats of
-1.25609 (statistically not sig), followed by (-20,+20) window with CAR -0.07594 with t stats of -
1.17951 (statistically not sig), followed by (-30,+30) window with CAR -0.06733 with t stats of -
BSE INFRASTRUCTURE

-30 -0.00885 -0.00885 -0.7045 0 -0.0116 0.007161 -0.92365
-29 -0.02569 -0.03454 -2.04455 1 -0.01055 -0.00339 -0.83956
-28 -0.01998 -0.05452 -1.59066 2 0.018893 0.015507 1.503907
-27 0.019541 -0.03498 1.555484 3 -0.0044 0.011111 -0.34995
-26 0.022063 -0.01291 1.756221 4 0.000247 0.011357 0.01963
-25 0.021064 0.008149 1.676702 5 0.007122 0.01848 0.566931
-24 -0.01656 -0.00841 -1.31783 6 0.010316 0.028795 0.821136
-23 -0.00132 -0.00972 -0.10483 7 -0.00134 0.027451 -0.10703
-22 -0.0011 -0.01082 -0.08723 8 0.006646 0.034097 0.529064
-21 -0.02215 -0.03297 -1.76305 9 0.028284 0.062381 2.251393
-20 0.010613 -0.02235 0.844819 10 0.00022 0.062601 0.017552
-19 0.013829 -0.00853 1.100758 11 -0.0011 0.061503 -0.08744
-18 0.01779 0.009264 1.4161 12 -0.00576 0.055745 -0.45832
-17 0.011643 0.020907 0.926753 13 -0.01163 0.044119 -0.92545
-16 -0.00617 0.014739 -0.49095 14 0.014298 0.058417 1.138148
-15 0.000555 0.015294 0.044169 15 0.008711 0.067129 0.693438
-14 0.007226 0.02252 0.575198 16 0.004548 0.071677 0.362023
-13 -0.00443 0.018093 -0.35237 17 -0.0018 0.069872 -0.14364
-12 -0.01943 -0.00134 -1.54659 18 0.006359 0.076231 0.506209
-11 -0.00111 -0.00244 -0.08825 19 -0.00721 0.069017 -0.57431
-10 -0.01495 -0.0174 -1.19021 20 0.004348 0.073364 0.346073
-9 0.04213 0.024733 3.353575 21 0.000443 0.073807 0.035273
-8 0.029303 0.054036 2.332531 22 -0.01125 0.06256 -0.89526
-7 -0.00646 0.047574 -0.51436 23 0.002238 0.064799 0.178182
-6 -0.01087 0.036699 -0.86563 24 -0.02127 0.043533 -1.69274
-5 0.014479 0.051178 1.152528 25 -0.00358 0.039949 -0.28531
-4 -0.01414 0.037043 -1.12518 26 -0.00211 0.037842 -0.16769
-3 -0.00327 0.033773 -0.26025 27 0.003 0.040842 0.238799
-2 -0.01638 0.017392 -1.30394 28 -0.00026 0.040585 -0.02047
-1 0.001372 0.018765 0.109225 29 0.007751 0.048336 0.616973
138
30 -0.00438 0.043953 -0.34888
Analysis:
In case of BSE INFRASTRACTURE, it was observed that the highest Abnormal Return (AR)
recorded in the pre-event period ranging from the lowest value of 0.01127 on day - 20 with a t
value of 1.323241 (statistically not significant) followed by an AR of 0.011206 on 26th day with a
INFRASTRUCTURE has recorded the highest abnormal return on followed by 25th day with AR
of 0.013901with a t value of 1.632167 (statistically not significant) and on 7th day AR
was 0.01259 with a t value of 1.632167 (statistically not significant ) . However, on the event day
the Recorded AR was 0.007979428 with a t value of -0.936912112 (statistically not significant).
CAR
0.1
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
-0.1
139
before the event day. However, it was started raising pre event it has been started recovering.
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

df 2 2 df 6 6
F 2.844824 F 1.144499

df 14 14 df 29 29
F 2.444281 F 2.99884
is more than the F Critical 2.483726 (for 15 days’ event window). Therefore, we cann reject the
null hypothesis. The calculated F value was 2.99884 which is less than the F Critical 1.860811 (for
30 days’ event window).

140
H0: µ1 = µ2
H1: µ1 ≠ µ2

Mean -0.00609 0.001317 Mean -0.00504 0.002899
t Stat -0.71085 t Stat -1.44893

Mean 0.000268 0.003998 Mean 0.000625 0.001226
t Stat -0.70611 t Stat -0.16994
-2 -0.01253 -0.84789 2 0.007646 0.517422 (-2,+2) -0.00997 -0.42649
-5 -0.01534 -0.6564 5 0.00859 0.367614 (-5,+5) 0.035536 1.025346
-10 -0.00531 -0.16064 10 0.045926 1.389812 (-10,+10) 0.029683 0.619859
-20 0.035695 0.76382 20 0.04673 0.999954 (-20,+20) 0.077343 1.155926
141
-30 0.005697 0.099536 30 0.01988 0.347339 (-30,+30) 0.020495 0.251124
statistically not sig), followed by -20 days event window with CAR of 0.035695with t stats of -
0.76382 (statistically not sig), followed by -30 days event window with CAR 0.005697 with t stats
of 0.099536 (statistically not sig). CAR for 2 days event window was 0.007646with t stats of
0.517422 (statistically not sig), followed by 5 days event window with CAR 0.00859 with t stats
of 0.367614 (statistically not sig), followed by 10 days event window with CAR of 0.045926 with
t stats of 1.389812 (statistically sig at 5% ), followed by 20 days event window with CAR
0.04673with t stats of 0.999954 (statistically not sig), followed by 30 days event window with CAR
0.01988 with t stats of 0.347339 (statistically not sig). For CAR of (-2, +2) window was -0.00997
with t stats of -0.42649 (statistically not sig), followed by (-5,+5) window with CAR 0.035536with
t stats of 1.025346 (statistically not sig), followed by (-10,+10) window with CAR of 0.029683
with t stats of 0.619859 (statistically not sig), followed by (-20,+20) window with CAR 0.077343
with t stats of 1.155926 (statistically not sig), followed by (-30,+30) window with CAR
0.020495with t stats of 0.251124 (statistically not sig).
BSE METAL
DAYS ER CAR T STATS DAYS ER CAR T STATS

-30 -0.01428 -0.01428 -0.85292 0 -0.0153 -0.00355 -0.91367
-29 -0.03057 -0.04485 -1.82584 1 -0.00907 -0.01262 -0.54172
-28 -0.0346 -0.07945 -2.06663 2 0.023557 0.010933 1.406964
-27 0.041626 -0.03783 2.486165 3 -0.01555 -0.00462 -0.92896
-26 -0.01251 -0.05033 -0.74703 4 0.022494 0.017874 1.343482
-25 0.022721 -0.02761 1.357019 5 0.011923 0.029796 0.712097
-24 -0.03578 -0.0634 -2.13715 6 0.014587 0.044384 0.871247
-23 0.01085 -0.05255 0.648007 7 -0.00261 0.041776 -0.15577
-22 0.018498 -0.03405 1.104789 8 0.011024 0.052799 0.658394
-21 -0.02872 -0.06277 -1.7156 9 0.021882 0.074681 1.306914
-20 0.016161 -0.04661 0.965265 10 -0.00488 0.069799 -0.29161
-19 0.0217 -0.02491 1.296049 11 -0.0024 0.067399 -0.14332
-18 0.019635 -0.00528 1.17272 12 -0.00523 0.062172 -0.31219
142
-17 0.001834 -0.00344 0.109541 13 -0.00406 0.058113 -0.24241
-16 0.022728 0.019285 1.357436 14 0.045963 0.104076 2.745201
-15 -0.00102 0.018267 -0.06078 15 -0.00287 0.101202 -0.17169
-14 0.015476 0.033743 0.924329 16 -0.0025 0.098706 -0.14908
-13 0.000665 0.034408 0.039719 17 0.02327 0.121976 1.389854
-12 -0.02651 0.007899 -1.58331 18 0.031768 0.153744 1.897392
-11 0.014311 0.02221 0.854749 19 -0.00772 0.146029 -0.46079
-10 -0.01458 0.007632 -0.87069 20 0.008495 0.154524 0.507367
-9 0.059787 0.067419 3.570841 21 0.009132 0.163656 0.545412
-8 0.012037 0.079456 0.718945 22 -0.01622 0.147435 -0.96879
-7 -0.01448 0.064973 -0.86501 23 7.35E-05 0.147509 0.00439
-6 -0.02678 0.038196 -1.59932 24 -0.02245 0.12506 -1.34079
-5 0.043239 0.081434 2.582482 25 -0.01859 0.106469 -1.11033
-4 -0.02613 0.055302 -1.56079 26 -0.00346 0.103011 -0.20655
-3 -0.00485 0.050455 -0.28949 27 0.017996 0.121008 1.074854
-2 -0.01315 0.037309 -0.78516 28 -0.00723 0.113776 -0.4319
-1 -0.02556 0.011744 -1.52689 29 0.005014 0.11879 0.299454
30 -0.02076 0.098029 -1.23995
Analysis:
In case of BSE METAL, it was observed that the highest Abnormal Return (AR) recorded in the
of 1.25086 (statistically not significant). However, after the event day BSE METAL has recorded
the highest abnormal return followed by 25th day with AR of 0.013901with a t value
of 1.632167 (statistically not significant ) . However, on the event day the Recorded AR
143
CAR
0.2
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.2
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2

df 2 2 df 6 6
F 4.041164 F 2.528154

df 14 14 df 29 29
144
F 2.468812 F 2.314917
hypothesis. The calculated F value was 2.314917 which is less than the F Critical 1.860811 (for 30
H0: µ1 = µ2
H1: µ1 ≠ µ2

Mean -0.01452 -0.00036 Mean -0.00967 0.006476
t Stat -1.04788 t Stat -1.46155

Mean -0.0005 0.006984 Variable 1 Variable 2
t Stat -0.94371 t Stat -0.54491
145
-2 -0.01501 -0.97673 2 0.008346 0.543138 (-2,+2) -0.01827 -0.75182
-5 -0.01793 -0.73817 5 0.011319 0.465853 (-5,+5) 0.065046 1.80496*
-10 0.02121 0.61727 10 0.05544 1.613501 (-10,+10) 0.031012 0.622826
-20 0.051732 1.064613 20 0.066203 1.36241 (-20,+20) 0.106332 1.528326
-30 0.018765 0.3153 30 0.036792 0.618213 (-30,+30) 0.043953 0.517927
not sig), followed by -10 days event window with CAR 0.02121with t stats of 0.61727 ( statistically
not sig), followed by -20 days event window with CAR of 0.051732with t stats of 1.064613
(statistically not sig), followed by -30 days event window with CAR 0.018765 with t stats of 0.3153
(statistically not sig). CAR for 2 days’ event window was 0.008346with t stats of 0.543138
(statistically not sig), followed by 5 days’ event window with CAR 0.011319 with t stats of 0.465853
(statistically not sig), followed by 10 days’ event window with CAR of 0.05544 with t stats of
1.613501 (statistically not sig), followed by 20 days’ event window with CAR -0.066203with t stats
of 1.36241 (statistically not sig), followed by 30 days event window with CAR 0.036792 with t stats
of 0.618213 (statistically not sig). For CAR of (-2, +2) window was -0.01827 with t stats of -0.75182
(statistically sig at 1%), followed by (-5, +5) window with CAR 0.065046 with t stats of 1.80496*
(statistically not sig), followed by (-10, +10) window with CAR of 0.031012 with t stats of
0.622826 (statistically not sig), followed by (-20, +20) window with CAR 0.106332 with t stats of
1.528326 (statistically not sig), followed by (-30,+30) window with CAR 0.043953 with t stats of
146
BSE TELECOMMUNICATION

-30 -0.00538 -0.00538 -0.3495 0 -0.01359 -0.03222 -0.88235
-29 -0.01693 -0.02231 -1.09943 1 0.004263 -0.02796 0.276892
-28 -0.01411 -0.03642 -0.91614 2 0.04921 0.021253 3.196046
-27 0.016034 -0.02038 1.041332 3 0.037273 0.058526 2.420784
-26 0.00523 -0.01515 0.339663 4 0.008792 0.067319 0.571036
-25 -0.02172 -0.03687 -1.41076 5 0.022997 0.090315 1.493573
-24 -0.00358 -0.04045 -0.23225 6 -0.02165 0.06867 -1.4058
-23 0.002475 -0.03798 0.160717 7 0.00721 0.07588 0.468265
-22 0.003095 -0.03488 0.20098 8 0.000796 0.076676 0.051691
-21 -0.02421 -0.05909 -1.5726 9 -0.01698 0.059698 -1.10267
-20 0.019047 -0.04005 1.23702 10 -0.0302 0.029494 -1.96165
-19 0.00363 -0.03642 0.235754 11 -0.00587 0.023628 -0.38096
-18 0.007315 -0.0291 0.475061 12 -0.01652 0.007107 -1.07295
-17 0.018057 -0.01105 1.172748 13 -0.05227 -0.04516 -3.3946
-16 0.005912 -0.00513 0.383994 14 0.009245 -0.03591 0.600435
-15 -0.01626 -0.02139 -1.05599 15 0.019694 -0.01622 1.279032
-14 -0.00462 -0.02602 -0.30019 16 0.014791 -0.00143 0.960634
-13 0.002373 -0.02364 0.154111 17 0.021394 0.019963 1.389442
-12 -0.01127 -0.03491 -0.73187 18 0.015325 0.035288 0.995274
-11 -0.00364 -0.03855 -0.23651 19 -0.02648 0.008808 -1.71975
-10 0.002659 -0.03589 0.17267 20 0.007067 0.015875 0.458966
-9 0.051339 0.015444 3.33426 21 -0.01376 0.002111 -0.89393
-8 -0.01061 0.004838 -0.68882 22 0.009281 0.011392 0.602751
-7 -0.00502 -0.00018 -0.32588 23 -0.0109 0.00049 -0.70807
-6 -0.01831 -0.01849 -1.18901 24 -0.02718 -0.0267 -1.76555
-5 0.007217 -0.01127 0.468689 25 0.080858 0.054163 5.251469
-4 0.011993 0.000723 0.778901 26 0.034327 0.08849 2.229414
-3 0.038391 0.039114 2.493393 27 0.082831 0.171321 5.379609
-2 -0.04467 -0.00555 -2.90102 28 -0.00118 0.170139 -0.07678
-1 -0.01308 -0.01864 -0.84961 29 -0.02015 0.149994 -1.30838
30 -0.01599 0.134006 -1.03836
Analysis:
above table shows abnormal returns and cumulative abnormal returns and t stats for the 30 days’
event window (-30 to 0 to +30).
147
In case of it was observed that the highest Abnormal Return (AR) recorded in the pre-event period
ranging from the lowest value of 0.01127 on day - 20 with a t value of 1.323241 (statistically not
significant) followed by an AR of 0.011206 on 26th day with a t value of 1.315763 (statistically not
significant) and for -4th day with an AR of 0.010653 with a t value of 1.25086 (statistically not
significant). However, after the event day has recorded the highest abnormal return on followed
by 25th day with AR of 0.013901with a t value of 1.632167 (statistically not significant) and on
7th day AR was 0.01259 with a t value of 1.632167 (statistically not significant ). However, on the
event day the Recorded AR was 0.007979428 with a t value of -0.936912112 (statistically not
significant).
CAR
0.2
0.15
0.1
0.05
0
-0.05 -30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.1
after the event day. However, it was started raising pre event it has been started recovering.
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2
148
df 2 2 df 6 6
F 3.242538 F 1.252967

df 14 14 df 29 29
F 1.309494 F 2.665728
hypothesis. The calculated F value was 2.665728which is more than the F Critical 1.860811 (for
H0: µ1 = µ2
H1: µ1 ≠ µ2

Mean -0.00645 0.030249 Mean -0.00335 0.015443
t Stat -1.32559 t Stat -1.41566
149
Mean -0.0009 0.001067 Variable 1 Variable 2
Variance 0.000527 0.000689 Mean -0.00062 0.005541
t Stat -0.21844 t Stat -0.94705
return before the event period was0.009799and after the event was -0.00172and calculated t value
was 0.128256 which is less than the t Critical 2.306004 (for 7 days’ event window). Therefore, we
-2 -0.03871 -2.08925 2 0.014487 0.781862 (-2,+2) -0.03952 -1.34904
-5 -0.02645 -0.9029 5 0.03335 1.138366 (-5,+5) 0.047588 1.095162
-10 -0.01047 -0.25261 10 0.073352 1.77045* (-10,+10) -0.00525 -0.08739
-20 0.074517 1.271784 20 0.158077 2.697*** (-20,+20) 0.217296 2.590***
-30 0.011744 0.163659 30 0.101583 1.415576 (-30,+30) 0.098029 0.958
statistically not sig), followed by -20 days event window with CAR of 0.074517with t stats of
stats of 0.781862 (statistically not sig). CAR for 2 days event window was 0.014487with t stats of
-0.79504 (statistically not sig), followed by 5 days event window with CAR 0.03335 with t stats
150
of 1.138366 (statistically not sig), followed by 10 days event window with CAR of 0.073352
with t stats of 1.77045* (statistically sig at 1% ), followed by 20 days event window with CAR
0.158077with t stats of 2.697*** (statistically sig at 10%), followed by 30 days event window
with CAR 0.101583 with t stats of 1.415576 (statistically not sig). For CAR of (-2, +2) window
was -0.03952 with t stats of -1.34904 (statistically not sig), followed by (-5,+5) window with CAR
0.047588with t stats of 1.095162 (statistically not sig), followed by (-10,+10) window with CAR
of -0.00525 with t stats of -0.08739 (statistically not sig), followed by (-20,+20) window with
CAR 0.217296 with t stats of 2.590*** (statistically sig at 10%), followed by (-30,+30) window
with CAR 0.098029 with t stats of 0.958 (statistically not sig).


-30 0.003152 0.003152 0.263858 0 -0.02259 0.080249 -1.8906
-29 -0.01882 -0.01566 -1.57507 1 0.009997 0.090246 0.836787
-28 -0.00188 -0.01754 -0.15705 2 -0.00396 0.086284 -0.33168
-27 0.009967 -0.00757 0.834316 3 -0.00077 0.08551 -0.06479
-26 0.013248 0.005674 1.108935 4 0.001566 0.087075 0.131043
-25 0.01131 0.016985 0.946751 5 -0.0003 0.086778 -0.02484
-24 -0.00731 0.00968 -0.6115 6 0.008323 0.095101 0.696679
-23 -0.0029 0.006775 -0.24314 7 0.003349 0.09845 0.280307
-22 0.006574 0.013349 0.550274 8 0.005209 0.103659 0.436064
-21 -0.02841 -0.01506 -2.37774 9 0.012815 0.116475 1.072736
-20 -0.01433 -0.02938 -1.19923 10 0.014373 0.130847 1.203075
-19 0.007791 -0.02159 0.652182 11 0.007176 0.138023 0.600642
-18 0.009824 -0.01177 0.822327 12 0.004825 0.142848 0.403865
-17 0.00968 -0.00209 0.81028 13 -0.01893 0.12392 -1.58435
-16 0.003062 0.000974 0.256311 14 0.004987 0.128907 0.417461
-15 -0.00576 -0.00478 -0.48192 15 -0.01079 0.118113 -0.90358
-14 0.018046 0.013263 1.510576 16 0.004909 0.123022 0.410916
-13 0.011611 0.024874 0.971951 17 -0.01287 0.110153 -1.07717
-12 -0.00201 0.022865 -0.16815 18 -0.00532 0.104835 -0.4452
-11 0.006389 0.029254 0.534828 19 -0.01368 0.091151 -1.14541
-10 -0.0089 0.020352 -0.74523 20 -0.05521 0.035944 -4.62122
-9 0.071428 0.09178 5.978989 21 0.006482 0.042425 0.54257
-8 0.030658 0.122438 2.566249 22 -0.00013 0.042299 -0.01059
-7 -0.00973 0.112711 -0.81421 23 -1.3E-05 0.042286 -0.00109
151
-6 -0.01571 0.097002 -1.31494 24 0.002969 0.045255 0.248491
-5 0.013645 0.110647 1.142161 25 0.007939 0.053194 0.664563
-4 -0.00116 0.109484 -0.09729 26 -0.00086 0.052333 -0.07208
-3 -0.01118 0.098302 -0.936 27 0.001789 0.054122 0.149741
-2 -0.00018 0.098124 -0.01489 28 -0.00139 0.052729 -0.11655
-1 0.004711 0.102835 0.394335 29 -0.00631 0.046423 -0.52784
30 -0.01061 0.035812 -0.88822
Analysis:
above table shows abnormal returns and cumulative abnormal returns and t stats for the 30 days’
event window (-30 to 0 to +30).
In case CONSUMER DURABLES, it was observed that the highest Abnormal Return (AR)
value of 1.25086 (statistically not significant). However, after the event day BSE CONSUMER
DURABLES has recorded the highest abnormal return on followed by 25th day with AR
was 0.01259 with a t value of 1.632167 (statistically not significant ) . However, on the event day
the Recorded AR was 0.007979428 with a t value of -0.936912112 (statistically not significant).
CAR
0.2
0.15
0.1
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
152
H0: σ21 = σ2 2
H1: σ21 ≠ σ2 2
Table No 4.2

df 2 2 df 6 6
F 1.238441 F 4.089215

df 14 14 df 29 29
F 6.174579 F 1.890097
153
null hypothesis. The calculated F value was 1.890097which is less than the F Critical 1.860811 (for
H0: µ1 = µ2
H1: µ1 ≠ µ2

Mean -0.00222 0.001753 Mean -0.0028 0.0026
t Stat -0.62828 t Stat -1.25864

Mean 0.006791 0.002524 Mean 0.003428 -0.00148
t Stat 0.703674 t Stat 1.225417
154
-2 0.004533 0.306577 2 0.006034 0.40811 (-2,+2) -0.01202 -0.51409
-5 0.005834 0.249527 5 0.006529 0.279272 (-5,+5) 0.101593 2.929***
-10 0.073581 2.2254** 10 0.050598 1.530374 (-10,+10) 0.051068 1.065862
-20 0.117892 2.5213** 20 -0.04431 -0.94756 (-20,+20) 0.051 0.761807
-30 0.102835 1.79574* 30 -0.04444 -0.77597 (-30,+30) 0.035812 0.438559
that CAR OF BSE for -2 days period was 0.004533 with t stats of 0.306577 (statistically not
sig), followed by -5 days event window with CAR of 0.005834with t stats of 0.249527
2.2254** ( statistically not sig), followed by -20 days event window with CAR of 0.117892with t
stats of 2.5213** (statistically not sig), followed by -30 days event window with CAR 0.102835
with t stats of 1.79574* (statistically not sig). CAR for 2 days event window was 0.006034with t
stats of 0.40811 (statistically not sig), followed by 5 days event window with CAR 0.006529with
t stats of 0.279272 (statistically not sig), followed by 10 days event window with CAR of 0.050598
with t stats of 1.530374 (statistically sig at 5% ), followed by 20 days event window with CAR -
0.04431with t stats of -0.94756 (statistically not sig), followed by 30 days event window with CAR
-0.04444 with t stats of -0.77597 (statistically not sig). For CAR of (-2, +2) window was -0.01202
with t stats of -0.51409 (statistically not sig), followed by (-5, +5) window with CAR 0.101593 with
t stats of 2.929*** (statistically not sig), followed by (-10, +10) window with CAR of 0.051068
with t stats of 1.065862 (statistically not sig), followed by (-20, +20) window with CAR 0.051 with
t stats of 0.761807 (statistically not sig), followed by (-30, +30) window with CAR 0.035812 with
t stats of 0.438559 (statistically not sig).
155
CHAPTER 5
SUMMARY OF FINDINGS, CONCLUSION AND SUGGESTIONS
5.1 A BRIEF SUMMARY OF FINDINGS

POLICY ANNOUNCEMENT 1: CUT IN INTEREST RATE
 BSE SENSEX:
It was observed that the highest Abnormal Return (AR) recorded in the pre-event period ranging
from the lowest value of 0.052635 on day -7 with a t value of 6.693684 (statistically significant)
followed by an AR of 0.02761on -6th day with a t value of 3.511157 (statistically significant) and
for -25th day with an AR of 0.019457with a t value of 2.474378 (statistically significant) and with
least AR of -0.01903 on day -13 with a t value of -2.2583782 (statistically significant). However,
after the event day BSE has recorded the highest abnormal return on day 14 0.0527868 with a t
t value of 3.30088097 (statistically significant) and on 27th day AR was 0.0159855 with a t value
of 1.89710821 (statistically not significant) and on 11th day with least AR was -0.017643 with a t
value of -2.0938271 (statistically significant) and with least AR of -0.019136on day 1 with a t
value of -2.2710173 (statistically significant). However, on the event day the Recorded AR
was 0.0068537 with a t value of 0.81338077 (statistically not significant).
F test results: as the computed F value is greater than the F critical value, hence, the researcher
reject the null hypothesis for 7,15 and 30 days’ event window. And the computed F value is less
than F critical value, hence the researcher not rejects the null hypothesis for 3 days’ event window.
T test results: As the computed t value is less than the t critical value, hence, the researcher did not
 NSE NIFTY:
it was observed that the highest Abnormal Return (AR) recorded in the Pre event -7th day highest
AR was 0.052681 and t value was found 6.1212721514(statistically significant) and -6th day AR
was 0.028387 and t value 3.295606372 (statistically significant)-25th day AR 0.019265 and t value
2.238630694 (statistically significant) -10th day AR was 0.01726 and t value found -2.0060685
(statistically significant) and the least AR -0.01905 its t value is -2.21386224 (statistically
156
significant) the post event 20th day AR was 0.01744 and its t value 2.02660596 (statistically
significant) the event day AR WAS -0.00813 and its t value -.04466528 (statistically not
significant).
than F critical value, hence the researcher not rejects the null hypothesis for 3 days event window.
 BSE FMCG:
The pre event 6th day the highest AR was 0.042087 and the t value is 5.126451 its statistically
significant the next highest value of pre event 7th day AR was found 0.039122 and the t value is
4.765274 statistically significant and least AR found 21st day AR was 0.017332 and its t value
2.111097 statistically significant and the event day AR was -0.00878 and the t value -1.0699
statistically not significant.
than F critical value, hence the researcher not rejects the null hypothesis for 3 days’ event window.
t test results: As the computed t value is less than the t critical value, hence, the researcher did not
 BSE AUTO:
Event day 0 AR -0.00079 and the t stats -0.05811 (statistically not significant). Pre event -7 AR
0.09619 T stats 7.04815(statistically significant) Pre event -14 AR 0.034471 T stats
2.525827(statistically significant) Pre event -10 AR -0.03762 T stats -2.75648(statistically
significant) Pre event -4 AR -0.03886 T stats -2.84744(statistically significant) Post event 21 AR
0.042982 T stats 3.149451(statistically significant) Post event 12 AR 0.030036 T
stasts2.200815(statistically significant).
157
rejects the null hypothesis for 3 and 15 days’ event window. And the computed F value is less than
the F critical value, hence, the researcher did not reject the null hypothesis for 7 and 30 days event
window.
 BSE IT:
Event day 0 AR -0.01537T STATS -1.36375(statistically not significant). Pre event day-5 AR
0.023523 T STATS 2.08758(statistically significant) Pre event day -1AR 0.022665T STATS
2.011425(statistically significant) Pre event day -6 AR -0.03347T STATS -2.97053(statistically
significant) Post event day15 AR -0.07248T STATS -6.43261 (statistically significant).
F test results: as the computed F value is less than the F critical value, hence, the researcher did
not reject the null hypothesis. F value is less than the F critical value, hence, the researcher did not
reject the null hypothesis for 30 days’ event window.
 BSE POWER:
Event day 0 AR -0.01221T stats -1.08972 (statistically not significant). Pre event -19 AR -0.0226 T stats
-2.01812 (statistically significant) Post event 11 AR 0.026239 T stats 2.34272 (statistically significant)
rejects the null hypothesis.
 BSE INFRASTRTURE:
158
Event day 0 AR -0.01678 T stats-1.35594 (statistically not significant). Pre event -7 AR 0.041851 T
stats 3.381899 (statistically significant) Pre event -6 AR 0.029136 T stats 2.354406 (statistically
significant) Pre event -27 AR -0.0257 T stats -2.07695 (statistically significant) Post event 11 AR
rejects the null hypothesis for 3 and 30 days’ event window. And the computed F value is less than
the F critical value, hence, the researcher did not reject the null hypothesis for 7 and 15 days event
window.
 BSE METAL:
Event day 0AR -0.01279T stats -0.8162(statistically not significant). Pre event -7AR 0.060222T stats
3.842926(statistically significant) Pre event -3AR 0.043709T stats 2.789145 (statistically significant)
Pre event -25 AR 0.041851 T stats 2.670627 (statistically significant) Pre event -26 AR -0.03408 T
stats -2.17442 (statistically significant) Pre event -22 AR -0.03516 T stats -2.24378 (statistically
significant) Post event 16 AR 0.046516 T stats 2.968293 (statistically significant) Post event 20 AR
not reject the null hypothesis.
BSE TELE COMMUNICATION.

Event day 0 AR -0.04559 T stats-2.95357 (statistically not significant). Pre event -7 AR
0.050661 T stats 3.282363 (statistically significant) Pre event -1 AR 0.038044 T stats 2.464907
(statistically significant) Post event 29 AR 0.082232 T stats 5.327888 (statistically significant)
Post event 27 AR 0.080664 T stats 5.226259 (statistically significant) Post event 4 AR 0.048565
T stats 3.146538 (statistically significant)Post event 5 AR 0.036999 T stats 2.397216
(statistically significant)Post event 28 AR 0.033894T stats 2.19599 (statistically significant) Post
159
event 12 AR -0.03062 - T stats 1.98368(statistically significant) Post event 15 AR -0.05259 - T
stats 3.40759 (statistically significant).
BSE CONSUMER DURABLES.

Event day 0 AR 0.000436 T stats 0.038912 (statistically not significant). Pre event -7 AR 0.071635
significant) Pre event-19 AR -0.02791 T stats -2.49276 (statistically significant) Post event22 AR -
0.05535 T stats -4.94342 (statistically significant).
POLICY 2 – 7 BIG BANKS MERGER:
BSE SENSEX:
BSE has recorded the highest abnormal return on day 14 0.0527868 with a t value of 6.26457661
160
(statistically not significant) and on 11th day with least AR was -0.017643 with a t value of -
2.0938271 (statistically significant) and with least AR of -0.019136on day 1 with a t value of -
not reject the null hypothesis for 3 and 7 days’ event window. And the computed F value is greater
than the F critical value, hence, the researcher rejects the null hypothesis for 15 and 30 days’ event
window.
NIFTY:
NIFTY has recorded the highest abnormal return on day 14 0.052524 with a t value of 6.11403
(statistically significant) and on 27th day AR was 0.015322 with a t value of 1.785421 (statistically
not significant) and on 11th day with least AR was -0.01748 with a t value of -2.034216 (statistically
window.
BSE FMCG:
BSE FMCG has recorded the highest abnormal return on day 15th 0.042001 with a t value
of 5.1069261 (statistically significant) followed by day 14th with AR of 0.039064 with a t value
161
1.1820786 (statistically not significant). However, on the event day the Recorded AR
was 0.017241 with a t value of 2.0963856 (statistically significant).
window.
BSE AUTO:
BSE AUTO has recorded the highest abnormal return on day 14 0.096271 with a t value
2.0114515 (statistically significant) and on 4th day with AR was 0.025834 with a t value of
1.9702387 (statistically significant) and with least AR of -0.03768 day 11 with a t value of -
rejects the null hypothesis for 15 and 30 days event window. And the computed F value is less
than the F critical value, hence, the researcher did not reject the null hypothesis for 3 and 7days
event window.
BSE IT:
BSE IT has recorded the highest abnormal return on day 16 0.023849 with a t value of 2.0767043
(statistically not significant) and on 15th day with AR was -0.03336 with a t value of -2.904919
162
(statistically significant) However, on the event day the Recorded AR was 0.007812 with a t value
of 0.6802927 (statistically not significant).
reject the null hypothesis for 3days’ event window.
BSE POWER:
BSE POWER has recorded the highest abnormal return on day 4 0.020409 with a t value
of 1.8317576 (statistically not significant) followed by day 3 with AR of 0.016465 with a t value
of 1.4777615 (statistically not significant) and on 24th day AR was 0.015864 with a t value of
1.4238599 (statistically not significant) and on 1st day with least AR was -0.02305 with a t value
of -2.068399 (statistically significant). However, on the event day the Recorded AR was -0.00607
with a t value of -0.545052 (statistically not significant).
BSE INFRASTRCTURE:
BSE INFRASTRUCTURE has recorded the highest abnormal return on day 13th 0.0411815 with
a t value of 3.335646 (statistically significant) followed by day 14th with AR of 0.0286165 with a
1.456492 (statistically not significant). However, on the event day the Recorded AR was -
0.001742 with a t value of -0.14108 (statistically not significant).
163
BSE METAL:
BSE METAL has recorded the highest abnormal return on day 13 0.059723 with a t value
of 2.8507182 (statistically significant) and on 24th day AR was 0.02349 with a t value of 1.5513638
(statistically not significant). However, on the event day the Recorded AR was 0.018406with a t
value of 1.21562 (statistically not significant).
BSE TELE COMMUNICATION:

BSE TELECOMMUNICATION has recorded the highest abnormal return on day 13 0.05057 with
a t value of 3.3640075 (statistically significant) followed by day 24 with AR of 0.048456 with a
t value of 3.2233868 (statistically significant) and on 19th day AR was 0.037771 with a t value
of 2.5125725 (statistically significant) and on 25th day with AR was 0.036686 with a t value of
rejects the null hypothesis.
BSE CONSUMER DURABLES:
164
BSE CONSUMER DURABLE Shas recorded the highest abnormal return on day 13 0.071309
with a t value of 6.2858235 (statistically significant) followed by day 14 with AR of 0.030307
with a t value of 2.6715365 (statistically significant) and on 8th day AR was 0.017667 with a
t value of 1.5572808 (statistically not significant) and on 22nd day with least AR was -0.02342
with a t value of -2.064705 (statistically significant) and with least AR of -0.02835 day 1 with a t
value of -2.498791 (statistically significant). However, on the event day the Recorded AR
was 0.006187 with a t value of 0.5454049 (statistically not significant)
POLICY 3 CUT IN REPO RATE DATE (4TH OCTOBER 2019)

BSE SENSEX:
BSE SENSEX has recorded the highest abnormal return 0.017418 on 17th day with t value
0.017418 followed by 3rd day with AR of 0.027644 with a t value of 3.525177 (statistically
significant) and on -28th day AR was 0.019518 with a t value of 1.932734 (statistically significant).
However, on the event day the Recorded AR was -0.01478with a t value of -0.01478 (statistically
not significant). Post event 25th day AR -0.00879 and the t stats -1.10018 statistically not
significant.
not reject the null hypothesis for 15 and 30 days’ event window. And the computed F value is
greater than the F critical value, hence, the researcher rejects the null hypothesis for 3 and 7 days’
event window.
NIFTY:
165
NIFTY, it was observed that the highest Abnormal Return (AR) recorded in the pre-event period
ranging from the lowest value 0.052732on day –10th with a t value of 6.597583 (statistically
significant) followed by an AR of 0.028346 on -9th day with AR t value of 3.546567 (statistically
significant) and for -28th day with an AR of 0.019085with a t value of 2.387832 (statistically
significant). However, after the event day NIFTY has recorded the highest abnormal return
0.017418 on 17th day with t value 0.017418 followed by 3rd day with AR of 0.027644 with a
t value of 3.525177 (statistically significant) and on -28th day AR was 0.019518 with a t value
of 1.932734 (statistically significant). However, on the event day the Recorded AR was -
0.01478with a t value of -0.01478 (statistically not significant). Post event 25th day AR -0.00879
event window.
BSE FMCG:
BSE FMCG, it was observed that the highest Abnormal Return (AR) recorded in the pre-event
period ranging from the lowest value of 0.0390833on day -24 with a t value of 4.62824 (statistically
significant) followed by an AR of 0.011206 on -10TH day with a t value of 4.62824 (statistically
significant) and for -9th day with an AR of 0.041971with a t value of 4.970195 (statistically
significant). However, after the event day BSE FMCG has recorded the highest abnormal return
on. However, on the event day the Recorded AR was 0.007979428 with a t value of -
0.936912112 (statistically not significant).
event window.
166
BSE AUTO:
BSE AUTO, it was observed that the highest Abnormal Return (AR) recorded in the pre-event
period ranging from the lowest value of 0.01127 on day - 20 with a t value of 1.323241 (statistically
not significant) followed by an AR of 0.011206 on 26th day with a t value of 1.315763 (statistically
not significant) and for -4th day with an AR of 0.010653 with a t value of 1.25086 (statistically not
significant). However, after the event day BSE AUTO has recorded the highest abnormal return
on day 29 (0.01901) with a t value of 2.232026 (statistically significant) followed by 25th day with
AR of 0.013901with a t value of 1.632167 (statistically not significant) and on 7th day AR
was 0.01259 with a t value of 1.632167 (statistically not significant ). However, on the event day the
Recorded AR was 0.007979428 with a t value of -0.936912112 (statistically not significant).
event window.
BSE IT:
BSE IT has recorded the highest abnormal return on followed by 25th day with AR of 0.013901with
a t value of 1.632167 (statistically not significant) and on 7th day AR was 0.01259 with a t value
BSE POWER:
167
BSE POWER, it was observed that the highest Abnormal Return (AR) recorded in the pre-event
period ranging from the lowest value of 0.01127 on day - 20 with a t value of 1.323241 (statistically
not significant) followed by an AR of 0.011206 on 26th day with a t value of 1.315763 (statistically
not significant) and for -4th day with an AR of 0.010653 with a t value of 1.25086 (statistically not
significant). However, after the event days POWER has recorded the highest abnormal return
on followed by 25th day with AR of 0.013901with a t value of 1.632167 (statistically not
significant) and on 7th day AR was 0.01259 with a t value of 1.632167 (statistically not significant ).
However, on the event day the Recorded AR was 0.007979428 with a t value of -
0.936912112 (statistically not significant).
BSE INFRASTRUCTURE:
In case of BSE INFRASTRACTURE, it was observed that the highest Abnormal Return (AR)
INFRASTRUCTURE has recorded the highest abnormal return on followed by 25th day with AR
BSE METAL:
168
In case of BSE METAL, it was observed that the highest Abnormal Return (AR) recorded in the
of 1.25086 (statistically not significant). However, after the event day BSE METAL has recorded
the highest abnormal return followed by 25 th day with AR of 0.013901with a t value
BSE TELE COMMUNICATION:

In case of it was observed that the highest Abnormal Return (AR) recorded in the pre-event period
ranging from the lowest value of 0.01127 on day - 20 with a t value of 1.323241 (statistically not
significant) followed by an AR of 0.011206 on 26th day with a t value of 1.315763 (statistically not
significant) and for -4th day with an AR of 0.010653 with a t value of 1.25086 (statistically not
significant). However, after the event day has recorded the highest abnormal return on followed
by 25th day with AR of 0.013901with a t value of 1.632167 (statistically not significant) and on
7th day AR was 0.01259 with a t value of 1.632167 (statistically not significant ). However, on the
event day the Recorded AR was 0.007979428 with a t value of -0.936912112 (statistically not
significant).
169
BSE CONSUMER DURABLES:

CONSUMER DURABLES, it was observed that the highest Abnormal Return (AR) recorded in
the pre-event period ranging from the lowest value of 0.01127 on day - 20 with a t value
of 1.25086 (statistically not significant). However, after the event day BSE CONSUMER
DURABLES has recorded the highest abnormal return on followed by 25th day with AR
event window.
170
5.2 CONCLUSION
The current empirical study “policy announcement and its impact on stock market” “it has been
undertaken to understand the impact of policy announcement on the risk (volatility) and the return
(mean) components of stock market adjusted volume on domestic stock market indices. In order
to realize the stated objectives, the researcher has collected the data from 01-4-2019 to 31-12-2019
from the capital line data base. An event study methodology has been employed to ascertain the
abnormal returns (AR) and student t test has been used to test the significance. For the purpose of
the study the date on which the policy announcement came out were taken as the event date (t =
0). The thirty-one days enclosing the referendum (i.e., t = - 30..., 0…..., +30) is labeled as the event
window.
The current study taken 3 major policy announcement
Policy 1 cut interest rate
The current study revealed that on the event day only one indices (BSE Tele communication)
reported statistically significant abnormal return. However, for day one none Second day none.
Third day none
F value for three days even window for indices have not reported statically significant variance
followed by BSE Sensex, Nifty Fifty, BSE FMCG, BSE AUTO, BSE Infrastructure have
reported significant volatility for seven days’ event window. Similarly, for fifteen days’ event
window BSE Sensex, Nifty Fifty, BSE FMCG, BSE Infrastructure, BSE Metal have reported
significant volatility. For thirty days’ event window BSE Sensex, Nifty Fifty, BSE FMCG, BSE
AUTO, BSE IT, BSE Metal, BSE Tele Communication, and BSE Consumer Durables).
Policy 2 7 big bank mergers
The current study revealed that on the event day seven indices namely (Nifty, BSE FMCG, BSE
Auto, BSE Power, BSE Infrastructure, BSE Metal, BSE Consumer Durables) reported
statistically significant abnormal return. However, for day one – BSE Auto have reported
statically significant abnormal return. Second day none. Third day none
F value for three days even window for indices have BSE IT reported statically significant
variance followed by have NOT reported significant volatility for seven days’ event
171
window. Similarly, for fifteen days’ event window BSE Sensex, Nifty Fifty, BSE FMCG, BSE
AUTO have reported significant volatility. For thirty days’ event window BSE Sensex, Nifty
Fifty, BSE FMCG, BSE AUTO.
Policy3 Cut in Repo Rate
The current study revealed that on the event day none of the indices reported not statistically
significant abnormal return. However, for day one none of the indices have not reported statically
significant abnormal return. Second day 2 two indices are found namely BSE, BSE Tele
communication) have been statistically significant. Third day two indices are found namely BSE,
BSE Tele communication) have been statistically significant.
F value for three and fifteen days even window for indices have not reported statically significant
variance Similarly, for fifteen days’ event window BSE Sensex, Nifty Fifty, BSE FMCG, BSE
AUTO, BSE Consumer Durables have reported significant volatility. For thirty days’ event
window BSE Sensex, Nifty Fifty, BSE FMCG, BSE AUTO, BSE IT, BSE Infrastructure,
BSE Metal, BSE Tele Communication, and BSE Consumer Durables).
The current study, that the policy announcement as its impact on stock market as a noticeable
effect on the Indian stock market especially 10 domestic indices. By the analysis we noticed that
there was a significant variance during the policy announcement after the announcement there
were abnormal returns and these returns were statistically significant on the next day and even for
few stocks it was statistically significant on the event day also had effect on the day after. Even
the f-test result says that there was high flightiness in the stock prices. Therefore, it is advisable
to the parties in the stock market to have a grip on their stocks and have a strong holding which
is risk free and also reasonable returns. This type of announcement should be taken on a serious
note by the advisories so the investors will not face the difficult situation.
172
SUGGESTION 5.3
POLICY ANNOUNCEMENT 1
BSE
CAR
0.1
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
-0.1
The current study clearly revealed that there was a significant volatility before and after the for all
the quarters and it in turn affected the abnormal returns. By the current study we noticed that there
was a mild significant effect on the stock volatility after the Policy announcement and also the
abnormal returns were not statistically significant. The f-test and t-test result says that there was
high peachiness in the stock prices. Therefore, it is advisable to the participants to be extra cautious
before the policy announcement decision. One can notice on the graph that the volatility was
normal and before the event signifies the insider trading and speculation activities before the
announcement. This type of announcement should be taken on a serious note by the participants
so that they do not face risk while buying and selling the stock or it is advisable for the participants
to cover the risk exposure in derivatives market.
One can notice on the graph that the volatility was normal and raised before the event signifies the
insider trading and speculation activities before the announcement and there was a positive impact
on prices.
One can notice on the graph that the volatility was high before the event but on the event day there
was sharp decreases and again dip in price signifies the insider trading and speculation activities
before the announcement.
NIFTY
173
CAR
0.15
0.1
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
on prices.
BSE FMCG
CAR
0.3
0.2
0.1
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.1
174
on prices. One can notice on the graph that the volatility was high before the event but on the event
day there was sharp decreases and again increased in price signifies the insider trading and
speculation activities before the announcement.
BSE AUTO
CAR
0.1
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
-0.1
175
on prices.
before the announcement. And event to negative phase.
BSE IT
CAR
0.08
0.06
0.04
0.02
0
-0.02 -30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.04
was significant effect on the stock volatility after the Policy announcement and also the abnormal
returns were not statistically significant. The f-test and t-test result says that there was high
peachiness in the stock prices. Therefore, it is advisable to the participants to be extra cautious
on prices.
176
was sharp decreases and again price has increased signifies the insider trading and speculation
activities before the announcement.
BSE POWER
CAR
0.08
0.06
0.04
0.02
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.02
-0.04
abnormal returns were statistically significant. The f-test and t-test result says that there was high
on prices.
177
BSE INFRASTRACTURE
CAR
0.1
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
-0.1
on prices.
BSE METAL
CAR
0.2
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.2
178
on prices.
was sharp decreases and again increased in price signifies the insider trading and speculation
BSE TELE COMMUNICATION
0.2
CAR
0.1
0
-30-28-26-24-22-20-18-16-14-12-10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.1
179
on prices.
0.2
CAR
0.1
0
-30-28-26-24-22-20-18-16-14-12-10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.1
180
on prices.
POLICY 2 7 BIG BANKS MERGERS
BSE
CAR
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
-0.1
The current study clearly revealed that there was a significant volatility before and after the Policy
announcement for all the quarters and it in turn affected the abnormal returns. By the
current study we noticed that there was significant effect on the stock volatility after the Policy
announcement and also the abnormal returns were statistically significant. The f-test and t-test
result says that there was high peachiness in the stock prices. Therefore, it is advisable to the
participants to be extra cautious before the Policy announcement decisions. One can notice on the
graph that the volatility was high before the event signifies the insider trading and speculation
activities before the announcement. This type of announcement should be taken on a serious note
by the participants so that they do not face risk while buying and selling the stock or it is advisable
for the participants to cover the risk exposure in derivatives market.
One can notice on the graph that the volatility was high before the event signifies the insider trading
and speculation activities before the announcement and there was a negative impact on prices.
One can notice on the graph that the volatility was low before the event but on the event day there
was sharp dip and again dip in price signifies the insider trading and speculation activities before
the announcement.
181
NIFTY
CAR
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
-0.1
the announcement.
BSE FMCG
CAR
0.1
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
182
was sharp dip and again increase in price signifies the insider trading and speculation activities
BSE AUTO
0.2 CAR
0.1
0
-30-28-26-24-22-20-18-16-14-12-10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.1
183
BSE IT
CAR
0.1
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
current study we noticed that there was mild significant effect on the stock volatility after the
Policy announcement and also the abnormal returns were not statistically significant. The f-test
and t-test result says that there was high peachiness in the stock prices. Therefore, it is advisable
to the participants to be extra cautious before the Policy announcement decisions. One can notice
on the graph that the volatility was high before the event signifies the insider trading and
speculation activities before the announcement. This type of announcement should be taken on a
serious note by the participants so that they do not face risk while buying and selling the stock or
it is advisable for the participants to cover the risk exposure in derivatives market.
184
BSE POWER
CAR
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
-0.1
-0.15
the announcement.
185
BSE INFRATRACTURE
CAR
0.05
0
-0.05 -30-28-26-24-22-20-18-16-14-12-10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.1
-0.15
-0.2
the announcement.
BSE METAL
CAR
0.2
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.2
-0.4
186
the announcement.
CAR
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
-0.1
187
and after the announcement.
0.1 CAR
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.1
188
the announcement.
Policy 3 Cut in Repo Rate
BSE
CAR
0.1
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
189
NIFTY
CAR
0.2
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.2
CAR
F table
BSE FMCG
CAR
10
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-10
190
the announcement.
BSE AUTO
CAR
0.4
0.2
0
-30-28 -26 -24 -22-20 -18 -16 -14-12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.2
191
BSE IT
CAR
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
-0.1
-0.15
192
the announcement.
BSE POWER
CAR
0.06
0.04
0.02
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.02
-0.04
193
BSE INFRASTRACTURE
CAR
0.1
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
-0.1
BSE METAL
CAR
0.2
0.1
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.1
194
CAR
0.2
0.1
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.1
195
was sharp dip and again volatile price signifies the insider trading and speculation activities before
the announcement.
CAR
0.2
0.15
0.1
0.05
0
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
-0.05
196
REFERENCE
 Indian Institute of Management Calcutta Working Paper Series
 Is the Stock Market impervious to Monetary Policy Announcements: Evidence from

Emerging India
 The Impact of Policy Announcement on Stock Market Volatility: Evidence from

Currency Demonetisation in India Dr. S. Sathyanarayana1 , Prof. Sudhindra Gargesha2 ,
1Associate Professor, MP Birla Institute of Management, Bangalore 2 Joint director, MP
Birla Institute of Management,
 Response of Stock Markets to Monetary Policy: An Asian Stock Market Perspective

 Monetary Policy and the Stock Market: Some International evidence Christos Ioannidis a
and Alexandros Kontonikas b*
197
Work done dairy
Date Signature
14th April synopsis submission
9th May 1st progress report

started with 1st chapter
with introduction and
literature review studies
of the dissertation report
15thMay 3rd chapter company

information and the
primary data collection
started with the help of
questionnaire support of
google forms
30th May Data collection in

process and working on
the alignment of primary
data.
4th June data analysis
1st July alignment of dissertation

reports
20th July conclusion finding of

summary process
3rd August suggestion bibliography

economy. to realize this goal, central banks can
Plagiarism Checker X Originality Report manipulate some monetary policy instruments, like
by
changing short-term interest rates and therefore the
volume of the cash supply. However, the effect of
monetary policy on the so-called real economy
Plagiarism Quantity: 6% Duplicate develops through the broad channel of monetary
markets,
Sources found:
Date Wednesday, July 01, 2020
Click on the highlighted sentence to see sources.
Words 1812 Plagiarized Words / Total 31710 Words
Sources More than 72 Sources Identified. Internet Pages

Low Plagiarism Detected - Your Document needs Optional <1% http://www.iosrjournals.org/iosr-jef/pap
Remarks
Improvement.
<1% https://www.telegraph.co.uk/business/202
CHAPTER 1 Introduction Financial markets and more specifically stock markets are considered as being sensitive to
<1% https://www.researchgate.net/publication
changes occurring within the economy. Monetary policies are usually undertaken to revive or maintain stability
<1% https://www.researchgate.net/publication
within an economy and such policies can either be expansive or restrictive with Central banks using interest rates and
funds as monetary policy instruments. Stock valuation is completed by using the longer term cash flows related to the <1% https://princehenryblog.wordpress.com/20
stocks and discounting at the acceptable rate of interest, which is estimated by considering the overall level of <1% https://scholarworks.waldenu.edu/cgi/vie
interest rates prevailing in an economy. During the expansive period, stock prices should normally be higher, as long
<1% https://scholarworks.waldenu.edu/cgi/vie
as the interest rates at which cash flows are discounted are going to be lower and also there should be a lift in
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economic activity.
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number theory of cash formalizes the link concerning funds and stock prices. When there's a rise within the funds, <1% https://study.com/academy/answer/gdp-is
there'll be a surplus within the quantity of cash and this may encourage people to demand more shares and thus
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cause a rise in share prices. The liquidity hypothesis also suggests a positive relationship between the variables.
<1% http://doe.gov.in/sites/default/files/Ma
consistent with the policy anticipation hypothesis, to counter the excess of capital in circulation, there would be a
tightening of credit conditions, mainly through an increase of interest rates and this is able to end in a fall available <1% https://www.economicsdiscussion.net/dema
prices. <1% https://www.vox.com/2014/6/20/18079946/f
<1% http://neweconomicperspectives.org/2013/
The expected inflation hypothesis also predicts an inverse relationship between the 2 variables. Background of the
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Study within the current economy, most people are directly or indirectly involved within the stock exchange. Each
day, individual and institutional investors, like open-end fund managers and insurance firm representatives, invest <1% https://quizlet.com/73652356/monetary-po
funds within the stock exchange. Thus, to make a decision which stock to shop for or sell, investors got to be ready to <1% https://www.investopedia.com/terms/f/fed
estimate the expected rate of return on various stocks and therefore the amount of risk inherent in each stock. On <1% https://www.treasury.gov/press-center/pr
the two other sides of the spectrum, business corporations that attempt to raise capital by offering new securities to
<1% https://pdfs.semanticscholar.org/56e3/7a
the market got to skills to make a decision on the worth of the new securities.
<1% https://www.researchgate.net/scientific-
This scientific research was designed to review how the investors within the equity market choose allocating their <1% http://iosrjournals.org/iosr-jbm/papers/
investment in various stocksin other words, how they create choices on what stocks to shop for or sell to get an <1% https://www.bartleby.com/essay/The-Curre
optimum portfolio of stocks that maximizes their return and minimizes their risk. Traditionally, the mandated goal of <1% http://ijcem.in/wp-content/uploads/2017/
monetary policy has been price stability and optimal output and employment within the
<1% https://en.m.wikipedia.org/wiki/Market_(

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“POLICY ANNOUNCEMENT AND ITS IMPACT ON STOCK MARKET”

MBA MASTER OF BUSINESS ADMINISTRATION

M.P BIRLA INSTITUTE OF MANAGEMENT

Guide as per the regulations of Bengaluru Central University.

Signature of Faculty Guide Signature of Director/Principal/HOD

I REVATHI S bearing register No(MB183694) declare that the project titled

Prof. RAMGOPAL SRINIVASA

We would like to express our sincere gratitude towards all the

We would especially like to thank Prof. RAMGOPAL

3. Company Review  Fundamental of the RBI policy

4. Data Analysis  Primary Data Analysed From

Interest Rate Changes

Market Stability Actions

Tools of for data collection

Formula for the t-test.

Limitation of the study

Scope of the study

 aggregate demand and the level of economic activity

• The NSE is that the largest private wide-area network in India.

1 CUT IN INTEREST RATE

BSE TABLE SHOWING AR, CAR AND T TEST RESULTS

DAYS AR CAR T STATS DAYS AR CAR T STATS

Graph showing CAR

Table showing F stats for variance for 3, 7, 15 and 30 days

Pre event Post event Pre event Post event

Pre event Post event 2 Pre event Post event 2

Mean 0.000551 -0.00574 Mean 0.009799 -0.00172

Pre event Post event Pre event Post event

DAYS AR CAR T STATS DAYS AR CAR T STATS

Table showing F stats for variance for 3, 7, 15 and 30 days

Pre event Post event Pre event Post event

Pre event Post event Pre event Post event

Pre event Post event Pre event Post event

Pre event Post event Pre event Post event

BSE FMCG TABLE SHOWING AR, CAR AND T TEST RESULTS

DAYS AR CAR T STAST DAYS AR CAR T STAST

Table showing F stats for variance for 3, 7, 15 and 30 days

Pre event Post event Pre event Post event

Pre event Post event Pre event Post event

Pre event Post event Pre event Post event

Pre event Post event Pre event Post event

Day CAR t stats Day CAR t stats Day CAR t stats

DAYS AR CAR T STAT DAYS AR CAR T STAT

Graph showing CAR

Table showing F stats for variance for 3, 7, 15 and 30 days

Pre event Post event Pre event Post event

Pre event Post event Pre event Post event

Pre event Post event Pre event Post event

Pre event Post event Pre event Post event

BSE IT TABLE SHOWING AR, CAR AND T TEST RESULTS

DAYS AR CAR T STATS DAYS AR CAR T STATS

Table showing F stats for variance for 3, 7, 15 and 30 days

Pre event Post event Pre event Post event

Pre event Post event Pre event Post event

Pre event Post event Pre event Post event

Pre event Post event Pre event Post event

DAYS AR CAR T STATS DAYS AR CAR T STATS

Graph showing CAR

Pre event Post event Pre event Post event

Pre event Post event Pre event Post event

Pre event Post event Pre event Post event

BSE INFRATRACTURE TABLE SHOWING AR, CAR AND T TEST RESULTS

DAYS AR CAR T STAS DAYS AR CAR T STAS

Graph showing CAR