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This paper analyzes the impact of Union Budgets on Indian stock prices, as represented by the Sensex, the flagship index of Bombay Stock Exchange. The impact is observed in terms of returns and volatility over a 15-year period from 1991 to 2005. The statistical tests applied on returns around the time of budget and 3, 15 and 30 days' average returns around the budget show that over the years, a budget exerts the maximum impact, in terms of absolute return immediately on and around the budget day, which gradually gets reduced as one moves further away from the budget day. Volatility does not generally increase in a post-budget situation as the time period increases. The long-term period after the budget tends to be more volatile than the medium-term and short-term periods when compared to similar long-term periods before the budget.