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Assessment of Market Efficiency of Agricultural Sector Stocks in India: An Analysis

Vol 7 , Issue 1 , January - June 2020 | Pages: 1-15 | Research Paper  

 
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https://doi.org/10.17492/mudra.v7i1.195414


Author Details ( * ) denotes Corresponding author

1. Parul Bhatia, Assistant Professor, Department of Finance, Apeejay School of Management, Delhi, Delhi, India (parul.bhatia84@gmail.com)
2. * Ajay Kumar Patel, Associate Professor, Department of Finance, Jaipuria School of Business, Ghaziabad, Uttar Pradesh, India (ajaypatel83@gmail.com)

The present study attempts to investigate the market efficiency of Indian agricultural sector companies commonly listed at Bombay Stock Exchange and National Stock Exchange with the available data from 2001 to 2010. The companies have been studied in line with the announcement of dividends and its impact before and after, on abnormal stock returns using event study methodology and paired sample t-test. The Wilcoxon sign rank test is applied to test the results. 76 stocks have been randomly selected according to their market capitalization out of which 39 have fallen in the conditioned sample. The study finds that as per dividend pay-out in varied windows, agriculture sector’s market is efficient; still, dividends may not be the only factor for an increase or decrease in stock returns. Thus, the efficiency of the market will not help in predicting the future return based on the historical return of the companies in the agriculture sector.

Keywords

Market efficiency; Dividend; Stock returns

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