Market Efficiency on Trial- A Semi-Strong Form Analysis of BSE

This study examines the reaction of stock market returns in relation to dividend announcements, using BSE SENSEX company’s information. Samples from BSE SENSEX selected 30 companies have been selected for research. The Market Model using Average Abnormal Return (AAR) and Cumulative Average Abnormal Return (CAAR) are tested for the period of from 1ST APRIL 2013 TO 31ST MARCH 2023. Event window of 31 days, 15 days before and 15 days after the announcement is used. Event day is represented by 0. Estimation window is used 120 days before the event window. Findings indicate that AAR shows BSE Sensex index that have been declined. The study concluded that BSE Sensex coefficients are negative and cannot fully reflect the changes on the stock price. Therefore, the BSE SENSEX is not in Semi Strong form efficiency. Finally, BSE SENSEX companies react inefficiently in releasing of information of dividends announcements.