Impact of Information Flow on Stock Market Movement: Event Study on the Dissemination of Timely Information in Indian Economy

There has been significant work in the area of efficient market theory, information spill over, long and short term memory of time series data, rationality of markets and linkages of economic variables to the stock market returns. This study connects the all these dimensions market and thereby empirically testing the impact of information flow and information processing ability of the market using an Event Study approach. The findings suggest that inflation, oil prices, money supply, gold prices have a significant impact on the volatility of stock market. The amount of variation shown by all of them taken together is low as observed in the combined regression equation. Thus, it leads to an opportunity for future research on what other factor accounts for the stock volatility apart from these macro-economic factors.