Impact of industry events on Indian bank's stocks

Ing. Naineel Shah

Master's thesis

Abstract:

The main objective of the thesis is to perform an event study using historical stock price data to figure out whether the events (1. Demonetisation of the currency, 2. Implementation of GST [Goods and Service Tax], and 3. Corporate Tax Cut) that occurred between 2016 and 2019 had a significant impact on the stock prices. The theoretical part focuses on concepts used to justify the choice of the banks, and why certain parameters were chosen over others. The practical portion concentrates on gathering data, analyzing the data set through descriptive, correlation, and regression analysis, and determining whether the three events mentioned above showed a significant price change.

Abstract:

The main objective of the thesis is to perform an event study using historical stock price data to figure out whether the events (1. Demonetisation of the currency, 2. Implementation of GST [Goods and Service Tax], and 3. Corporate Tax Cut) that occurred between 2016 and 2019 had a significant impact on the stock prices. The theoretical part focuses on concepts used to justify the choice of the banks, and why certain parameters were chosen over others. The practical portion concentrates on gathering data, analyzing the data set through descriptive, correlation, and regression analysis, and determining whether the three events mentioned above showed a significant price change.

Keywords

Cumulative, Abnormal, Returns,, Market, Model, Event, Study,, Window,, Estimation, Window

Language used: English

Date on which the thesis was submitted / produced: 10. 5. 2024

Thesis defence

• Date of defence: 18. 6. 2024
• Supervisor: prof. Ing. Štefan Lyócsa, PhD.
• Reader: prof. Ing. Eva Horvátová, CSc.

Masaryk University

Faculty of Economics and Administration

Master programme / field:
Finance / Finance