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Effect of Declaration of GST Rates and Changes in the GST Rates on the Sectorial Indices of National Stock Market

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  • Sai Saran C

    (Research scholar, Department of Commerce, CHRIST (Deemed to be University), Bengaluru, Karnataka, India.)

Abstract

As per the Hypothesis of efficient market, the market is sectioned in three sections in view of how efficiently the market reacts to the private and public information. The main objective of this paper is to check whether there is a presence of volatility in the market due to declaration of GST rates and the declaration of changes in the GST rates and test semi-strong efficiency of Indian stock market. It was discovered that the declaration of GST rates and declaration of changes in GST rates did create an effect on the volatility of stock market. Goods and Service Tax has replaced the existing cascading taxes levied by the governments. It is going to change the way taxes are levied which effects the sentiments of the investors which can been analysed on the reaction of the investors towards stock market. The closing prices of NSE 10 sectorial indices and Nifty index has been used for conducting the study. The study is conducted using OLS, GARCH, and TGARCH. Thus, the study is useful to the regulatory bodies, investors and portfolio managers.

Suggested Citation

  • Sai Saran C, 2018. "Effect of Declaration of GST Rates and Changes in the GST Rates on the Sectorial Indices of National Stock Market," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, vol. 9(2), pages 51-58, May.
    • Handle: RePEc:aii:ijcmss:v:09:y:2018:i:2:p:51-58
    DOI: 10.18843/ijcms/v9i2/06
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    References listed on IDEAS

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    1. Dimitrios Asteriou & Aristeidis Samitas & Dimitrios Kenourgios, 2013. "The London 2012 Olympic Games announcement and its effect on the London Stock Exchange," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 40(2), pages 203-221, May.
    2. Asim Mishra, 2005. "An Empirical Analasis of Market reaction Around the Bonus Issues in India," Finance 0505025, University Library of Munich, Germany.
    3. Dimitrios Asteriou & Aristeidis Samitas & Dimitrios Kenourgios, 2013. "The London 2012 Olympic Games announcement and its effect on the London Stock Exchange," Journal of Economic Studies, Emerald Group Publishing, vol. 40(2), pages 203-221, March.
    4. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
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    Cited by:

    1. Mahesh Dahal & Joy Das, 2021. "Governmental Announcements and Indian Stock Market: Evidence from Indian Manufacturing Sector," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 13(2), pages 134-146, December.

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    Keywords

    OLS; GST; GARCH; TGARCH; Efficient Market.;
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