Analysis of the Impact of the Union Budget Announcements on the Indian Stock Market: A Fractal Perspective

ArXiv ID: 2502.15787 “View on arXiv”

Authors: Unknown

Abstract

The stock market closely monitors macroeconomic policy announcements, such as annual budget events, due to their substantial influence on various economic participants. These events tend to impact the stock markets initially before affecting the real sector. Our study aims to analyze the effects of the budget on the Indian stock market, specifically focusing on the announcement for the year 2024. We will compare this with the years 2023, 2022, and 2020, assessing its impact on the NIFTY50 index using average abnormal return (AAR) and cumulative average abnormal return (CAAR) over a period of -15 and +15 days, including the budget day. This study utilizes an innovative approach involving the fractal interpolation function, paired with fractal dimensional analysis, to study the fluctuations arising from budget announcements. The fractal perspective on the data offers an effective framework for understanding complex variations.

Keywords: Fractal Interpolation, Fractal Dimensional Analysis, Event Study, Abnormal Returns, Macroeconomic Policy, Equities / Stocks (NIFTY50 Index)

Complexity vs Empirical Score

  • Math Complexity: 7.5/10
  • Empirical Rigor: 3.0/10
  • Quadrant: Lab Rats
  • Why: The paper employs advanced mathematical concepts like fractal interpolation functions and box dimension analysis, requiring dense theoretical derivations. However, the empirical component is limited to a basic event study on a single index with AAR/CAAR metrics, lacking rigorous out-of-sample backtesting, robustness checks, or implementation details for live trading.
  flowchart TD
    A["Research Goal: Analyze Union Budget 2024 impact on NIFTY50<br>using Fractal Interpolation & Dimensional Analysis"] --> B["Data Collection<br>NIFTY50 Index Data (-15 to +15 days)"]
    B --> C["Event Study Methodology<br>Calculate AAR & CAAR"]
    C --> D["Fractal Interpolation<br>Smooth and interpolate returns"]
    D --> E["Fractal Dimensional Analysis<br>Assess complexity/volatility"]
    E --> F{"Outcomes"}
    F --> G["2024 Budget Impact<br>Identified specific sector/stock effects"]
    F --> H["Comparative Analysis<br>2024 vs 2023, 2022, 2020"]
    F --> I["Volatility Insights<br>Fractal dimension reveals market stability"]