There have been numerous studies conducted by researchers on the Indian capital market efficiency. Most of the studies have attempted to study the Indian capital market in weak form and semi strong form of efficiency with various corporate announcements like stock split, buy back of shares, mergers and acquisitions etc. This paper has made an attempt to study the key rates and ratios of Reserve Bank of India on pricing of stocks with special reference to Automobile industry listed on NSE. The sample taken for the study includes 9 top companies based on market capitalisation in the automobile industry. Event study methodology using CAAR has been used to analyse the data. A 30 day event window around the announcement date and 244 days stock prices have been taken to find intercept, slope and standard error before the announcement date. At 5% level of significance, the study concludes that the Indian capital market is inefficient to changes in key rates and ratios of RBI.
Keywords
Capital Market Efficiency, CAAR t Test.
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