Impact of Hindenburg Report on Indian Stock Market: An Event Study Approach and Cross-sectional Analysis

Altaf Mallik; Sanjay Kumar Singh

Impact of Hindenburg Report on Indian Stock Market: An Event Study Approach and Cross-sectional Analysis

Author(s)	Altaf Mallik, Dr. Sanjay Kumar Singh
Country	India
Abstract	The present research examines the impact Hindenburg Research report (published on 23 January 2023) on the sectoral indices of National Stock Exchange NSE. To analyse the impact of the report event study methodology has been used. The paper uses an estimation window of 200 days with an elected event window of 21 days (t-10 to t+10) and Nifty-50 as the benchmark index to calculate the normal return based on the market model. Based on normal returns, Abnormal returns were also calculated and based on abnormal return the average abnormal returns (AAR). The cumulative average abnormal returns (CAAR) were also calculated. All these were analysed to measure the magnitude and timing of different sectoral indices. The exposure of different sectors to such reports were analysed using Beta and R-squared to measure cross sectional differences and market integration. The statistical results shows that the CAAR was negative on the event day and declined rapidly till t+7 days and stabilized after that to -2.5% to -2.9% before levelling off which indicate the report had a significant impact yet a timebound impact and this is in alignment of the semi-strong form of efficiency. The response of the report was asymmetric as it shows varied reaction of the selected sectors. The three most badly impacted sectors were Oil & Gas, PSU Banks and Metals as they showed the largest negative CARs, while some sectors such as IT, Auto and FMCG were moderately impacted as they showed the smallest negative CARs, indicating that investors started shifting their portfolio into sectors which were defensive and globally diversified. The sectoral indices show either no movement or only normal movement before the event, indicating that there was no information leakage. The analysis of the relationship between beta and CAR along with the moderately high R-squared values, suggest that the market responses were driven by governance- and exposure-based variables, rather than the market-based variable. Additionally, this paper shows that such reports have a spillover effect in an emerging market environment, as the impact felt beyond the Adani Group after the release of the report.
Keywords	Hindenburg Report; Short Selling; Event Study; Sectoral Indices; Indian Stock Market
Published In	Volume 7, Issue 4, July-August 2025
Published On	2025-07-11

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Impact of Hindenburg Report on Indian Stock Market: An Event Study Approach and Cross-sectional Analysis

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