A Study on Effect of Information Efficiency on Investors Behaviour Towards Trading at National Stock Exchange of India

Abstract

The efficiency of any stock market is predominantly measured by the information efficiency which is closely related to the information in stock markets. The present study empirically analyzed the effect of information efficiency of corporate announcements such as Dividend, Bonus, Rights, Split and Earnings announcements from the companies listed at National Stock Exchange of India on market prices of stock. The study has proposed a conceptual framework that incorporates the variables like investors behaviour which is influenced by investors awareness, investors attitude and role of media in securities market. The study has depended on both primary and secondary data. The researcher has used simple random sampling method for sampling of investors and judgmental sampling method for sampling of companies. For the purpose analysis of primary data relevant tools like ANOVA Randomized block design, MANOVA, Factor analysis, discriminant analysis and Structural equation modeling were used. The secondary data that is the market fluctuations in stock prices before and after the release of particular information by the companies is analysed by the event study method using CAAR analysis and Run test. The results reveal that the demographic characteristics like gender and age of investors have a significant influence over the factors relating to investors awareness. Based on the results, it is concluded that there is no significant relationship between investor s experience in stock market and opinion about volatility of market after the announcements like dividend, bonus, rights and split. A one-way MANOVA for independent variable investment strategy revealed a significant multivariate main effect on usage of fundamental and technical analysis. Path analysis suggested the demographic profile of investors had a strong effect on investors attitude and behaviour.