2025, Vol. 6, Issue 2, Part I
Impact of earnings announcement on stock return volatility
Author(s): Karishma Yadav, Soni and Nishant Kumar
Abstract: The study examines the impact of earnings announcements on stock return volatility, with a focus on how market participants respond to new information regarding a firm's financial performance. The research focuses mainly on the large-cap companies covering 13 different sectors in the Nifty 50 index. The present study uses the stock price data from June 2019 to June 2024 covering 21 quarterly periods. GARCH methodology was used for estimating the variance series for returns volatility. Variance series of returns volatility of stocks were used to check the impact of results announcement. findings of the study reveal that earnings announcements significantly impact daily return volatility with differing impacts on PAT margin during upward and downward movements. For downward movement in PAT, the results indicate increased return volatility than that in case of up movement suggesting that negative financial news triggers stronger investors reactions. The study contributes to the existing literature by providing empirical evidence on how corporate disclosures change the market dynamics offering insights into the relationship between Investor behaviour and stock price volatility during corporate events such as earnings announcements. The results have a real-word inferences for the stakeholders marking it for better understanding of the market reactions to disclosures.
Pages: 801-808 | Views: 376 | Downloads: 116
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How to cite this article:
Karishma Yadav, Soni, Nishant Kumar. Impact of earnings announcement on stock return volatility. Asian J Manage Commerce 2025;6(2):801-808.
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