Government Policies and Stock Market Volatility: An Event Study of Union Budget 2025-26

This paper investigates the impact of government fiscal policy, particularly the Union Budget 2025–26, on stock market volatility in India. Using an event study methodology and GARCH model, the study evaluates market behavior before and after the budget announcement across major indices such as BSE Sensex and Nifty 50, along with key sectoral indices. The results indicate that tax reforms and sectoral incentives led to heightened volatility in the immediate post-budget period. The paper highlights the importance of fiscal signals in shaping investor expectations and market movements.