Market efficiency is one of the thrust areas of research for academicians, professional analysts, and research scholars. A dividend announcement is considered public information which is included in the semi-strong form of the efficient market. The present paper is focused on examining the share price volatility around dividend announcements for a sample of 50 firms made from 2018 to 2022. To test the stock price movement for the sample firms, the Ordinary least square (OLS) regression model has been applied to reach the alpha and beta values and employ this value to evaluate the expected return, Abnormal return (AR), and Cumulative Average Abnormal Return (CAAR). The present event study methodology employs the S&P BSE 500 as a proxy to determine the excess return for the sample firms. The study also uses the estimation Window of 200 days (-230 to -30 days) and 61 days of event window i.e. (-30 trading days, 0day and +30 trading days) for the analysis by applying the market model. The result of the research reported that AAR is 0.15 percent on the declaration day and cumulative abnormal return (CAR) is 7.57 percent on the declaration day. Cumulative Average Abnormal Return (CAAR) is also shown a positive return which is 4.11 percent on the declaration date and 2.69 percentages for the whole event window. However, the abnormal return is small but Cumulative excess return and Cumulative average abnormal return (CAAR) provide enough evidence to exhibit the positive relation between the dividend announcement and share prices of the companies.