Macroeconomic policy announcements such as the annual Budget and GDP data are events keenly watched by stock market participants and other economic agents. Such events first impact to the stock markets before transmitting to the real sector. In this study we considered the impact of Budget and GDP data on Indian stock market. We employed broader market index CNX500 consisting of 500 stocks covering 97.3% of market capitalization. Further, key sectoral indices such as, IT, Financial Services, Consumer goods are used to analyze the sectoral impact of policy announcements/ events. Usage of a broader index CNX500 and analysis of sector specific variations are important to cover the depth of the stock market across sectors and to come closer to any meaningful conclusion on the possibility of abnormal returns in the stock market and in specific sectors. ©Indian Institute of Finance.