Stock market reaction to inflation announcement in the Indian stock market: A sectoral analysis

Figures & data

Table 1. Results of the empirical analysis

BANK
E.1A-W					E.4U-C					E.7U-IT
Date	ACAR	tval	AAR	tval	Date	ACAR	Tval	AAR	tval	Date	ACAR	tval	AAR	tval
−5	0.010**	2.21	0.010**	2.21	−5	−0.008***	−4.92	−0.008***	−4.92	−5	−0.005***	−3.75	−0.005***	−3.75
−4	0.003	0.49	−0.007	−1.42	−4	−0.009***	−3.06	−0.001	−0.37	−4	−0.001	−0.17	0.004	1.05
−3	0.010*	1.83	0.007**	1.99	−3	−0.012***	−2.57	−0.003	−0.75	−3	0.001	0.17	0.001	0.51
−2	0.019**	2.65	0.009*	1.94	−2	−0.015***	−2.57	−0.003	−1.13	−2	0.002	0.43	0.001	0.52
−1	0.019*	1.64	0.000	−0.05	−1	−0.015**	−2.22	0.001	0.20	−1	0.003	0.48	0.001	0.32
0	0.023***	3.03	0.004	0.79	0	−0.021**	−2.45	−0.007**	−2.32	0	0.001	0.17	−0.002	−0.56
1	0.033***	3.88	0.010*	1.9	1	−0.039***	−3.69	−0.017***	−3.69	1	0.008	1.10	0.007	1.63
2	0.037***	4.01	0.004	0.46	2	−0.041***	−3.82	−0.002	−0.60	2	−0.006	−0.50	−0.015	−1.34
3	0.037***	2.90	0.000	0.08	3	−0.035***	−3.28	0.006	1.52	3	−0.011	−0.75	−0.005	−1.14
4	0.036***	2.83	−0.001	−0.9	4	−0.027**	−2.37	0.008*	1.88	4	−0.003	−0.23	0.008*	1.95
5	0.010	0.80	−0.026***	−3.3	5	−0.027*	−1.87	0.001	0.19	5	−0.002	−0.11	0.001	0.28
E.2U-W					E.5A-C					E.8A-IT
T	ACAR	tval	AAR	tval	T	ACAR	Tval	AAR	tval	T	ACAR	tval	AAR	tval
−5	0.000	0.47	0.000	0.47	−5	0.002	0.46	0.002	0.46	−5	0.009	1.53	0.009	1.53
−4	−0.009***	−2.67	−0.009***	−3.16	−4	−0.001	−0.31	−0.003	−1.48	−4	0.005	0.84	−0.003	−1.19
−3	−0.010*	−1.87	−0.001	−0.40	−3	0.004	0.73	0.005	1.50	−3	0.019**	2.02	0.014***	3.23
−2	−0.014***	−2.74	−0.004*	−1.81	−2	0.012**	2.15	0.008***	2.77	−2	0.045***	2.77	0.026***	2.84
−1	−0.014***	−2.67	0.000	−0.22	−1	0.022***	3.27	0.010**	2.46	−1	0.057***	3.19	0.013**	2.38
0	−0.003	−0.49	0.011***	2.75	0	0.025***	2.79	0.003	1.09	0	0.062**	2.02	0.004	0.30
1	0.030***	2.72	0.034***	4.16	1	0.028**	2.20	0.003	0.48	1	0.048*	1.64	−0.014***	−2.76
2	0.044***	2.71	0.013	1.46	2	0.021	1.57	−0.007**	−2.11	2	0.049	1.61	0.001	0.24
3	0.045***	2.68	0.001	0.34	3	0.016	1.22	−0.005**	−2.47	3	0.047	1.43	−0.002	−0.62
4	0.057***	3.14	0.012**	2.36	4	0.013	0.92	−0.003	−1.56	4	0.027	0.91	−0.020**	−2.24
5	0.064***	4.19	0.007*	1.66	5	0.010	0.69	−0.004	−0.91	5	0.028	0.99	0.001	0.20
E.3O-W					E.6O-C					E.9O-IT
Date	ACAR	tval	AAR	tval	Date	ACAR	Tval	AAR	tval	Date	ACAR	tval	AAR	tval
−5	−0.012***	−2.83	−0.012***	−2.83	−5	−0.004	−1.08	−0.004	−1.08	−5	0.007**	2.03	0.007**	2.03
−4	−0.010*	−1.85	0.002	0.64	−4	0.001	0.12	0.004	1.37	−4	0.009	1.53	0.002	0.63
−3	−0.009	−1.41	0.002	0.41	−3	0.012**	2.42	0.011***	2.71	−3	0.015**	2.09	0.006*	1.75
−2	−0.006	−0.79	0.003	0.56	−2	0.022***	3.20	0.010*	1.86	−2	0.015**	2.28	0.000	0.14
−1	0.016	1.59	0.022***	6.50	−1	0.024***	3.42	0.002	0.76	−1	0.005	0.95	−0.010***	−3.64
0	0.017	1.10	0.001	0.19	0	0.040***	3.93	0.016***	3.65	0	0.003	0.49	−0.002	−0.76
1	0.017	1.27	0.000	−0.02	1	0.054***	4.53	0.014***	3.80	1	0.003	0.51	0.000	−0.05
2	0.026*	1.64	0.009**	2.25	2	0.060***	5.27	0.006	1.13	2	−0.003	−0.42	−0.007	−1.01
3	0.034**	2.31	0.008	1.55	3	0.074***	6.16	0.015***	4.32	3	−0.003	−0.34	0.000	0.12
4	0.042***	3.05	0.008**	2.22	4	0.077***	5.22	0.003	0.70	4	−0.019	−1.31	−0.016*	−1.77
5	0.037**	2.33	−0.005	−1.08	5	0.079***	5.22	0.002	0.39	5	−0.021	−1.48	−0.002	−1.01
ENERGY
E.1A-W					E.4U-C					E.7U-IT
Date	ACAR	tval	AAR	tval	Date	ACAR	Tval	AAR	tval	Date	ACAR	tval	AAR	tval
−5	−0.002	−0.36	−0.002	−0.36	−5	−0.013**	−2.55	−0.013**	−2.55	−5	−0.006***	−3.18	−0.006***	−3.18
−4	0.010	1.33	0.011*	1.77	−4	−0.006	−0.92	0.007**	2.18	−4	0.003	0.58	0.009	1.58
−3	0.012	1.53	0.002	0.37	−3	0.005	1.12	0.011**	2.13	−3	−0.002	−0.36	−0.005	−1.45
−2	0.013**	1.96	0.001	0.28	−2	−0.006	−0.78	−0.011***	−2.89	−2	−0.012	−1.52	−0.010***	−2.86
−1	0.013*	1.68	0.000	0.05	−1	−0.021**	−2.25	−0.015**	−2.56	−1	−0.015*	−1.91	−0.003	−1.04
0	0.008	0.65	−0.006	−1.08	0	−0.022**	−2.56	−0.002	−0.26	0	−0.017**	−2.49	−0.002	−0.72
1	0.006	0.58	−0.001	−0.22	1	−0.025**	−2.08	−0.003	−0.49	1	−0.017**	−2.44	0.000	0.00
2	0.009	0.62	0.003	0.38	2	−0.024**	−1.96	0.001	0.20	2	−0.027***	−3.85	−0.010***	−7.08
3	0.007	0.51	−0.002	−0.33	3	−0.014	−0.90	0.010	1.51	3	−0.026***	−3.54	0.000	0.07
4	0.006	0.53	−0.001	−0.15	4	−0.007	−0.37	0.008**	2.12	4	−0.025***	−3.59	0.001	0.25
5	0.012	1.00	0.005	0.97	5	−0.005	−0.35	0.001	0.27	5	−0.024***	−3.19	0.001	0.34
E.2U-W					E.5A-C					E.8A-IT
Date	ACAR	tval	AAR	tval	Date	ACAR	Tval	AAR	tval	Date	ACAR	tval	AAR	tval
−5	−0.001	−0.87	−0.001	−2.74	−5	0.003	0.81	0.003	0.81	−5	0.001	0.29	0.001	0.29
−4	0.000	−0.16	0.001	0.87	−4	−0.007	−0.76	−0.010	−1.47	−4	0.001	0.14	0.000	−0.12
−3	0.002	0.47	0.003**	2.08	−3	−0.002	−0.24	0.005*	1.65	−3	0.008	0.99	0.008	1.49
−2	−0.008	−1.56	−0.010***	−8.80	−2	0.005	0.75	0.007	1.49	−2	0.017**	2.11	0.008*	1.75
−1	−0.002	−0.39	0.006***	7.58	−1	0.013	1.34	0.007	1.39	−1	0.021***	2.67	0.004	1.03
0	−0.019**	−2.20	−0.017***	−8.53	0	0.002	0.21	−0.011***	−3.34	0	0.022	1.51	0.001	0.10
1	−0.020	−1.52	−0.001	−0.23	1	0.012	1.11	0.010***	3.15	1	0.019	1.32	−0.003	−0.60
2	−0.020	−1.43	0.000	−0.33	2	−0.003	−0.34	−0.016***	−2.80	2	0.028*	1.73	0.009**	2.54
3	−0.018	−1.50	0.002	1.16	3	−0.010	−0.90	−0.007	−1.55	3	0.039**	2.44	0.011*	1.79
4	−0.006	−0.44	0.012***	9.96	4	−0.018	−1.62	−0.008***	−3.03	4	0.038**	2.54	−0.001	−0.14
5	−0.005	−0.26	0.001	0.75	5	−0.031**	−2.19	−0.012**	−2.53	5	0.031**	2.30	−0.007**	−2.14
E.3O-W					E.6O-C					E.9O-IT
Date	ACAR	tval	AAR	tval	Date	ACAR	Tval	AAR	tval	Date	ACAR	tval	AAR	tval
−5	0.013***	3.06	0.013***	3.06	−5	0.000	−0.02	0.000	−0.02	−5	0.001	0.25	0.001	0.25
−4	0.008	1.54	−0.005	−1.49	−4	0.017***	4.36	0.018***	4.58	−4	0.011*	1.78	0.010**	2.20
−3	0.002	0.28	−0.006	−1.19	−3	0.044***	4.70	0.027***	3.76	−3	0.003	0.34	−0.008**	−2.22
−2	−0.010	−1.50	−0.013***	−4.92	−2	0.027***	4.56	−0.017***	−3.89	−2	0.002	0.28	−0.001	−0.19
−1	0.016**	1.76	0.026***	6.33	−1	0.043***	5.89	0.015***	4.86	−1	0.008	1.17	0.006	0.96
0	0.028**	2.41	0.012*	1.78	0	0.042***	5.15	−0.001	−0.29	0	0.003	0.31	−0.005	−1.35
1	0.024***	2.67	−0.004	−0.93	1	0.041***	5.68	0.000	−0.08	1	−0.005	−0.69	−0.008***	−2.57
2	0.011	1.29	−0.012***	−2.77	2	0.052***	6.39	0.011*	1.88	2	−0.009	−1.16	−0.003	−1.18
3	0.006	0.56	−0.006	−1.46	3	0.053****	6.89	0.000	0.13	3	−0.005	−0.63	0.004	1.11
4	0.008	0.62	0.003	0.47	4	0.060***	5.19	0.008	1.25	4	0.009	0.94	0.013**	2.21
5	0.006	0.48	−0.002	−0.66	5	0.057***	6.35	−0.003	−0.33	5	0.005	0.58	−0.003*	−1.74
FMCG
E.1A-W					E.4U-C					E.7U-IT
Date	ACAR	tval	AAR	tval	Date	ACAR	Tval	AAR	tval	Date	ACAR	tval	AAR	tval
−5	−0.008	−1.25	−0.008	−1.25	−5	0.001	0.39	0.001	0.39	−5	0.000	0.00	0.000	0.00
−4	−0.009	−1.26	−0.001	−0.14	−4	0.003	0.62	0.002	0.37	−4	0.015**	2.19	0.014***	2.73
−3	−0.003	−0.29	0.006	0.89	−3	−0.002	−0.63	−0.005	−1.38	−3	0.010	0.98	−0.005	−1.15
−2	−0.001	−0.09	0.002	0.37	−2	−0.013**	−2.49	−0.011**	−2.49	−2	0.010	0.79	0.000	−0.02
−1	−0.005	−0.40	−0.004	−0.87	−1	−0.008	−0.99	0.005	0.99	−1	0.011	0.90	0.002	0.68
0	−0.002	−0.19	0.003	0.87	0	−0.012	−1.04	−0.004	−0.85	0	0.004	0.34	−0.007	−1.22
1	−0.003	−0.24	−0.001	−0.19	1	−0.012	−0.89	−0.001	−0.09	1	0.012	0.82	0.008*	1.79
2	0.001	0.12	0.004	0.99	2	−0.003	−0.20	0.009*	1.88	2	0.011	0.68	−0.002	−0.45
3	−0.002	−0.16	−0.004	−0.84	3	0.005	0.27	0.008	1.16	3	0.008	0.51	−0.002	−0.60
4	0.002	0.10	0.004	0.53	4	0.015	0.81	0.010***	3.20	4	0.006	0.37	−0.002	−0.59
5	−0.008	−0.35	−0.009	−1.00	5	0.013	0.84	−0.002	−0.32	5	0.005	0.30	−0.001	−0.46
E.2U-W					E.5A-C					E.8A-IT
Date	ACAR	tval	AAR	tval	Date	ACAR	Tval	AAR	tval	Date	ACAR	tval	AAR	tval
−5	0.000	0.13	0.000	0.13	−5	−0.002	−0.71	−0.002	−0.71	−5	−0.010***	−2.67	−0.010***	−2.67
−4	−0.003	−0.75	−0.004	−0.91	−4	0.001	0.14	0.003	0.65	−4	−0.017***	−3.27	−0.007**	−2.19
−3	−0.007	−0.79	−0.004	−0.69	−3	−0.001	−0.18	−0.002	−0.70	−3	−0.026***	−5.16	−0.009**	−2.25
−2	−0.016	−1.44	−0.009**	−2.29	−2	−0.010	−1.09	−0.008*	−1.87	−2	−0.032***	−5.72	−0.006*	−1.65
−1	−0.006	−0.73	0.010	1.21	−1	0.000	0.03	0.010***	3.16	−1	−0.055***	−8.78	−0.023***	−3.85
0	−0.026***	−2.74	−0.020***	−4.02	0	0.003	0.25	0.003	0.76	0	−0.073***	−6.41	−0.018***	−2.75
1	−0.038***	−3.46	−0.012	−1.60	1	0.008	0.53	0.005	1.08	1	−0.068***	−5.62	0.005	1.04
2	−0.036***	−3.41	0.002	0.49	2	0.005	0.31	−0.003	−0.66	2	−0.063***	−5.27	0.005	1.39
3	−0.041***	−4.15	−0.005	−1.63	3	−0.003	−0.20	−0.008**	−2.43	3	−0.067***	−5.92	−0.004	−1.64
4	−0.039***	−3.79	0.002	0.56	4	−0.006	−0.43	−0.003	−0.61	4	−0.065***	−6.12	0.002	0.54
5	−0.042***	−3.17	−0.003	−0.43	5	−0.018	−1.28	−0.012**	−2.09	5	−0.062***	−5.18	0.003	0.73
E.3O-W					E.6O-C					E.9O-IT
Date	ACAR	tval	AAR	tval	Date	ACAR	Tval	AAR	tval	Date	ACAR	tval	AAR	tval
−5	0.008*	1.93	0.008*	1.93	−5	−0.005	−1.16	−0.005	−1.16	−5	0.008*	1.88	0.008*	1.88
−4	0.006	1.01	−0.002	−0.58	−4	−0.007	−1.28	−0.002	−0.44	−4	0.008	1.23	0.000	0.01
−3	−0.007	−0.91	−0.013***	−4.09	−3	−0.019***	−3.37	−0.012***	−3.96	−3	0.009**	2.12	0.000	0.09
−2	−0.006	−0.65	0.001	0.26	−2	−0.024***	−4.24	−0.005**	−2.13	−2	0.011*	1.72	0.002	0.62
−1	0.008	0.79	0.014***	3.66	−1	−0.036***	−5.37	−0.011***	−3.97	−1	0.009**	2.07	−0.002	−0.53
0	0.003	0.22	−0.005	−1.03	0	−0.039***	−4.81	−0.003	−1.04	0	0.014***	3.66	0.005	1.44
1	−0.007	−0.51	−0.010**	−2.24	1	−0.042***	−5.24	−0.003	−0.63	1	0.009*	1.77	−0.005**	−2.40
2	−0.001	−0.06	0.006	1.32	2	−0.036***	−3.89	0.006	1.42	2	0.005	0.66	−0.004	−1.04
3	−0.008	−0.50	−0.007**	−1.98	3	−0.034***	−3.38	0.002	0.43	3	0.003	0.35	−0.002	−0.55
4	−0.010	−0.53	−0.002	−0.38	4	−0.036***	−3.70	−0.002	−0.76	4	−0.003	−0.36	−0.006	−1.08
5	−0.017	−0.88	−0.007**	−2.27	5	−0.028**	−2.60	0.008**	2.53	5	0.001	0.09	0.004*	1.66
Realty
E.1A-W					E.4U-C					E.7U-IT
Date	ACAR	tval	AAR	tval	Date	ACAR	tval	AAR	tval	Date	ACAR	tval	AAR	tval
−5	−0.013	−1.60	−0.013	−1.59	−5	0.007	0.83	0.007	0.83	−5	−0.001	−0.05	−0.001	−0.05
−4	0.018	1.39	0.031**	2.56	−4	0.011	1.00	0.003	0.38	−4	0.001	0.05	0.001	0.17
−3	0.035**	2.05	0.017	0.97	−3	0.006	0.45	−0.005	−0.96	−3	−0.008	−0.44	−0.008**	−2.08
−2	0.032	1.57	−0.003	−0.15	−2	−0.020	−1.22	−0.025***	−5.59	−2	−0.006	−0.28	0.002	0.33
−1	0.031	1.60	−0.001	−0.05	−1	−0.032*	−1.88	−0.012**	−2.01	−1	−0.015	−0.67	−0.010	−1.29
0	0.061**	2.17	0.030	1.11	0	−0.045***	−2.57	−0.013*	−1.95	0	−0.011	−0.49	0.004	1.02
1	0.062**	2.38	0.002	0.07	1	−0.098***	−4.31	−0.053***	−2.92	1	−0.013	−0.64	−0.002	−0.45
2	0.087**	2.52	0.024	0.74	2	−0.091***	−4.32	0.007	0.93	2	−0.010	−0.38	0.003	0.46
3	0.080**	2.39	−0.007	−0.22	3	−0.096***	−4.06	−0.005	−0.61	3	−0.007	−0.23	0.003	0.64
4	0.107***	3.02	0.027	0.80	4	−0.087***	−3.10	0.009	1.05	4	0.015	0.46	0.022***	3.03
5	0.069**	2.04	−0.038	−1.16	5	−0.079***	−3.12	0.008	1.69	5	0.024	0.68	0.009**	2.10
E.2U-W					E.5A-C					E.8A-IT
Date	ACAR	tval	AAR	tval	Date	ACAR	tval	AAR	tval	Date	ACAR	tval	AAR	tval
−5	0.001	0.52	0.001	0.52	−5	0.005	0.60	0.005	0.60	−5	0.000	0.08	0.000	0.08
−4	−0.003	−0.73	−0.004	−0.86	−4	0.011	1.19	0.006*	1.64	−4	−0.006	−0.98	−0.006*	−1.80
−3	0.002	0.18	0.005	0.63	−3	0.004	0.33	−0.007	−1.05	−3	−0.078***	−3.65	−0.072***	−3.22
−2	0.005	0.44	0.003	0.89	−2	0.012	0.85	0.008	1.28	−2	−0.083***	−5.42	−0.005	−0.55
−1	0.000	0.03	−0.005	−1.04	−1	0.014	1.03	0.002	0.43	−1	−0.082***	−5.23	0.001	0.07
0	0.009	0.60	0.008	1.53	0	0.014	0.78	0.000	0.00	0	−0.113***	−5.38	−0.031**	−2.22
1	0.066***	3.65	0.058***	4.65	1	0.025	1.07	0.010	1.41	1	−0.115***	−7.14	−0.002	−0.16
2	0.083***	4.02	0.017**	2.46	2	−0.012	−0.60	−0.036***	−4.69	2	−0.111***	−6.66	0.003	0.28
3	0.085***	3.67	0.003	0.33	3	−0.006	−0.29	0.006	1.41	3	−0.104***	−5.78	0.007	1.15
4	0.089***	3.40	0.003	0.37	4	0.034	1.55	0.040***	2.93	4	−0.119***	−5.94	−0.015*	−1.77
5	0.119***	4.94	0.031***	3.16	5	0.032	1.62	−0.003	−0.36	5	−0.097***	−4.49	0.022**	2.16
E.3O-W					E.6O-C					E.9O-IT
Date	ACAR	tval	AAR	tval	Date	ACAR	tval	AAR	tval	Date	ACAR	tval	AAR	tval
−5	0.003	0.69	0.003	0.69	−5	−0.003	−0.56	−0.003	−0.56	−5	0.014	1.49	0.014	1.49
−4	0.011***	2.60	0.008**	2.01	−4	0.027***	3.33	0.030***	3.64	−4	0.001	0.07	−0.014**	−2.38
−3	−0.002	−0.59	−0.013**	−2.20	−3	0.032***	3.25	0.005	0.54	−3	0.029*	1.79	0.028*	1.79
−2	−0.004	−0.39	−0.002	−0.20	−2	0.027**	2.51	−0.005	−1.12	−2	0.014	0.99	−0.015***	−2.69
−1	0.011	0.87	0.015**	2.03	−1	0.037***	3.27	0.010*	1.76	−1	0.000	0.01	−0.014**	−2.35
0	0.013	1.02	0.002	0.26	0	0.024***	3.03	−0.013*	−1.79	0	−0.003	−0.23	−0.003	−0.82
1	−0.004	−0.25	−0.017***	−2.65	1	−0.016	−0.45	−0.040	−1.21	1	−0.009	−0.40	−0.006	−0.46
2	0.010	0.71	0.014*	1.94	2	0.001	0.05	0.017	1.60	2	−0.008	−0.28	0.001	0.06
3	−0.006	−0.42	−0.016***	−2.83	3	0.004	0.14	0.003	0.50	3	−0.005	−0.20	0.003	0.47
4	0.021	1.21	0.027***	2.67	4	−0.018	−0.65	−0.022**	−2.07	4	−0.004	−0.13	0.002	0.43
5	0.027	1.21	0.006	0.59	5	−0.004	−0.15	0.014	1.60	5	0.009	0.32	0.013***	4.59
Services
E.1A-W					E.4U-C					E.7U-IT
Date	ACAR	tval	AAR	tval	Date	ACAR	tval	AAR	tval	Date	ACAR	tval	AAR	tval
−5	−0.005***	−7.43	−0.005***	−7.43	−5	−0.006***	−3.89	−0.006***	−3.89	−5	−0.007**	−2.37	−0.007**	−2.37
−4	−0.004***	−4.66	0.000	0.58	−4	−0.003	−0.87	0.004	1.42	−4	−0.005	−1.24	0.002	0.81
−3	−0.001	−0.64	0.004***	5.93	−3	−0.005	−1.45	−0.002	−1.16	−3	−0.006	−1.17	−0.001	−0.31
−2	0.004***	3.72	0.005***	9.06	−2	−0.008**	−1.99	−0.003	−1.27	−2	−0.009	−1.47	−0.003	−1.54
−1	0.002	1.18	−0.003***	−4.62	−1	−0.010**	−2.09	−0.003	−0.99	−1	−0.007	−1.04	0.001	0.43
0	−0.001	−0.39	−0.002***	−4.42	0	−0.017***	−3.05	−0.006**	−2.15	0	−0.003	−0.47	0.004	1.61
1	0.004**	2.45	0.004***	7.77	1	−0.026***	−3.55	−0.010***	−2.89	1	−0.001	−0.09	0.003	1.03
2	0.008***	5.68	0.005***	6.59	2	−0.030***	−4.48	−0.003	−1.34	2	−0.008	−1.02	−0.008*	−1.87
3	0.011***	6.40	0.003***	5.29	3	−0.030***	−4.85	0.000	−0.11	3	−0.012	−1.34	−0.004*	−1.71
4	0.011***	6.24	0.000	−0.44	4	−0.026***	−4.01	0.004	1.37	4	−0.008	−0.98	0.004*	1.72
5	−0.004**	−2.24	−0.015***	−16.88	5	−0.022***	−3.05	−0.001*	1.68	5	−0.012	−1.24	−0.004	−1.42
E.2U-W					E.5A-C					E.8A-IT
Date	ACAR	tval	AAR	tval	Date	ACAR	tval	AAR	tval	Date	ACAR	tval	AAR	tval
−5	−0.002	−13.70	−0.002***	−13.70	−5	0.001	0.31	0.001	0.31	−5	0.002	0.56	0.002	0.56
−4	−0.004***	−9.61	−0.002***	−4.83	−4	−0.003	−0.99	−0.004	−1.24	−4	−0.002	−0.49	−0.003	−1.54
−3	−0.006***	−8.95	−0.002***	−3.63	−3	0.002	0.53	0.005*	1.92	−3	−0.003	−0.41	−0.001	−0.22
−2	−0.009***	−10.78	−0.003***	−5.82	−2	0.004	1.19	0.002	0.90	−2	0.008	0.66	0.011**	1.96
−1	−0.009***	−11.07	0.000	−1.30	−1	0.011**	2.56	0.007***	2.58	−1	0.005	0.38	−0.002	−0.72
0	−0.012***	−12.28	−0.003***	−4.73	0	0.011**	2.05	−0.001	−0.45	0	0.008	0.43	0.003	0.39
1	−0.001	−0.83	0.010***	10.15	1	0.012*	1.91	0.002	0.66	1	0.016	0.98	0.008	1.55
2	0.005***	2.82	0.007***	7.49	2	0.005	0.65	−0.008***	−3.33	2	0.014	0.82	−0.001	−0.51
3	0.008***	4.13	0.003***	5.74	3	0.004	0.62	−0.001	−0.30	3	0.015	0.82	0.001	0.25
4	0.007***	3.47	−0.001	−1.08	4	0.003	0.43	−0.001	−0.38	4	0.005	0.30	−0.010**	−2.24
5	0.015***	6.59	0.007***	10.32	5	0.008	1.28	0.006*	1.87	5	0.006	0.37	0.001	0.41
E.3O-W					E.6O-C					E.9O-IT
Date	ACAR	tval	AAR	tval	Date	ACAR	tval	AAR	tval	Date	ACAR	tval	AAR	tval
−5	−0.002***	−3.38	−0.002***	−3.38	−5	0.001	0.23	0.001	0.23	−5	0.003	1.25	0.003	1.25
−4	−0.007***	−6.11	−0.005***	−4.97	−4	0.001	0.26	0.000	0.10	−4	0.005	1.52	0.003	1.16
−3	−0.003***	−2.91	0.003***	6.89	−3	−0.002	−0.57	−0.003	−0.79	−3	0.006*	1.65	0.001	0.38
−2	−0.006***	−5.34	−0.003***	−4.50	−2	0.000	0.04	0.003	0.84	−2	0.007*	1.94	0.001	0.70
−1	−0.001	−0.57	0.005***	2.88	−1	0.001	0.14	0.001	0.21	−1	0.005	1.22	−0.002	−0.64
0	−0.007***	−3.47	−0.006***	−9.11	0	0.008	1.13	0.007***	2.87	0	0.003	0.77	−0.002	−1.08
1	−0.014***	−6.03	−0.006***	−9.38	1	0.018**	2.04	0.010***	3.18	1	0.004	0.69	0.001	0.21
2	−0.016***	−6.43	−0.002***	−4.04	2	0.013	1.17	−0.005	−1.39	2	0.001	0.07	−0.003	−0.90
3	−0.013***	−4.95	0.003***	4.08	3	0.013	0.92	0.000	0.00	3	0.004	0.34	0.003	0.85
4	−0.014***	−4.37	−0.001	−1.18	4	0.013	0.85	0.000	−0.02	4	0.000	0.00	−0.003	−0.78
5	−0.017***	−5.07	−0.002***	−5.09	5	0.018	1.18	0.006*	1.86	5	0.001	0.05	0.001	0.29

Table B1. Details of events undertaken for the study

Release Date	Actual	Forecast	Over or Under-estimation/Accurate	Source	Inflation targeting?
14 February 2012	6.60%	6.60%	Accurate	WPI	No
14 September 2012	7.55%	6.95%	Underestimation	WPI	No
15 April 2013	5.96%	6.40%	Overestimation	WPI	No
12 August 2014	7.96%	7.40%	Underestimation	CPI	No
12 September 2014	7.80%	7.80%	Accurate	CPI	No
13 October 2014	6.46%	7.20%	Overestimation	CPI	No
12 May 2016	5.39%	5.00%	Underestimation	CPI	Yes
15 November 2016	4.20%	4.20%	Accurate	CPI	Yes
12 October 2017	3.28%	3.60%	Overestimation	CPI	Yes

Source: https://in.investing.com/economic-calendar/indian-cpi-973.

Figure 1. AVG CAR of banking sector

Figure 2. AVG CAR of energy sector

Figure 3. AVG CAR of FMCG sector

Figure 4. AVG CAR of realty sector

Figure 5. AVG CAR of service sector

Figure A1. Depicting the composition of WPI & CPI

Source: CIEL.