Indian Stock Market Reaction to the Quarterly Earnings Information
Iqbal and T. Mallikarjunappa (2009). “Indian Stock Market Reaction to the Quarterly Earnings Information”, Indian Journal of Finance, Vol.3, No.7, July, pp.43-50.
Posted: 8 Jan 2020
Date Written: July 7, 2009
This paper examines stock market reaction to the earnings announcements by taking December 2001 quarter earnings announcement as an event. The study is based on 152 companies having minimum 20 percent foreign holdings. The companies are divided into, good news, bad news and overall portfolios. We have used event study methodology, t test, Runs test, sign test, raw returns and log returns. The behaviour of AARs and CAARs are examined for 30 days before and 31 days after the announcement of quarterly earnings. The results of the study revealed that Indian stock market reaction to the quarterly earnings announcements is slow and stock market is not semi strong form of efficient. The quarterly earnings announcement information can be used by the investors to earn abnormal profits in the Indian stock market.
Keywords: Efficient Market Hypothesis theory (EMH), excess return, Cumulative Average Abnormal Returns, quarterly earnings announcements, Indian stock market, Semi-strong from of EMH, Indian stock market response to earnings information
JEL Classification: G13, G14, G15, G18, C32, F30
Suggested Citation: Suggested Citation