The union budget is said to be the most watched event in economic policy making in our country. The Government tries to design the union budget in such a way that, it helps the economy to move upwards. Casual empirical studies shows that stock markets tend to be influenced by the budget. The budget expectations tends to affect Bank Nifty due to trading on both pre and post budget. The Indian stock market is found to react strongly to new information due to lack of transparency of information leading to a less than efficient market. The present study attempts to study the causal relationship between budget announcements and stock prices. It also studies the volatility and the impact of pre and post budget to establish the efficiency of one of the sectorial indices of NSE, i.e., BANK NIFTY.