An Empirical Study on Impact of Stock Split Announcement in the Indian Stock Market

41 Pages Posted: 30 Aug 2021

Date Written: July 31, 2021

Abstract

Stock split is a corporate strategy to increase the liquidity of shares by dividing the shares into multiple shares. As per efficient market hypothesis ( EMH) introduced by Eugene. F. Fama says that the capital market is efficient enough to fully reflect or absorb all available information in the market. Bonus issue, dividend declaration and stock split announcement are important decisions in the stock market based on this announcement the investors make decision. This study examines the stock market reaction to stock split announcement of CNX nifty 100 companies and also examines the trend of closing price of the companies after and before the stock split announcement. An event model of pre announcement and post announcement 90 days is used for this study. We found that every piece of information in the stock market affects the stock prices either positively or negatively.

Keywords: Stock split announcement, Average abnormal return, Cumulative average abnormal return, Pre - announcement, post – announcement period, CNX Nifty 100

JEL Classification: G02, G15

Suggested Citation

Theckanathukaduppil, Athulya Shaji, An Empirical Study on Impact of Stock Split Announcement in the Indian Stock Market (July 31, 2021). Available at SSRN: https://ssrn.com/abstract=3896945 or http://dx.doi.org/10.2139/ssrn.3896945

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