The Stock Market is said to act as a barometer of any country’s economic health. Investors who invest their money in stock market always keen to know about the various economic variables which are going to take place in the near future.  Union Budget is the most watched activity waited by all sectors. This paper examines the impact of Union Budget on BSE’s Sensex and NSE’s Nifty Index. The impact is measured in terms of daily average returns and volatility over short term, medium term and long term period in pre and post budget period. The data has been collected for five budget periods from 2015 to 2019. The statistical tools Paired T-test is conducted on average returns over the study period i.e. 3, 15 and 30 days in pre and post budget period. With regard to volatility the result indicates the moderate period tends to be more volatile than short and long periods. In this study main focus of researchers is on return and volatility impact with different time period.

KEYWORDS:  Union Budget, Sensex, Nifty, Return, Volatility, Stock Market.