A Test on Semi-Strong Form of Efficiency of Telecom Services on Dividend Announcements in BSE

This study examines the reaction of stock market returns in relation to dividend announcements, using BSE Telecom Service Sectoral index companies information. Samples from BSE telecom service sectoral index selected companies namely Bharti Airtel ltd, Idea Cellular ltd, Tata Communication Itd, and Reliance Communication Itd have been selected. The Market Model using Average Abnormal Return (AAR) and Cumulative Average Abnormal Return (CAAR) are tested for the period of from 1^st April 2007 to 31^stMarch 2017. Event window of 31 days, 15 days before and 15 days after the announcement is used. Event day is represented by 0. Estimation window is used 120 days before the event window. Findings indicate that AAR shows in Idea Cellular ltd and CAAR for Bharti Airtel ltd, Idea Cellular ltd, Tata Communication ltd, and Reliance Communication Itd have declined. The study concluded that these four companies coefficients are negative and cannot fully reflect the changes on the stock price. Therefore, the Telecom Service Sector is not in Semi Strong form efficiency. The investors cannot get the abnormal returns by using this earning information during whole event window except Idea Cellular Itd. Finally, BSE Telecom Service Sectoral index companies react inefficiently in releasing of information of dividends announcements.