Abstract
An efficient and integrated Capital Market is an important infrastructure that facilitates capital formation, which is possible only if the securities traded in the markets are priced appropriately. The efficiency with which the capital formation is carried out depends on the efficiency of the capital markets and financial institutions. A capital market is said to be efficient with respect to an information item if the prices of securities fully impound the returns implications of that item. This study has empirically examined the informational efficiency of capital market with regard to stock split announcement information released by the FMCG companies in the semistrong form of EMH. The study found that the Indian Capital market is not perfectly efficient in the semi- strong form of EMH, which can be used by the investors to make abnormal returns.
Keywords: Quarterly Announcement, Efficient Market Hypothesis, Market, Reaction/Stock Price Reaction, Abnormal Returns, Announcement Period.
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