The Union Budget is an important economic event in India. Causal empiricism reveals that stock market activity tends to be greatly influenced by the economic events such as budget. This paper analyzes the impact of Union Budgets on Indian stock prices as represented by the NSE Nifty. The study measured impact of budgets on the stock market considering the returns and volatility in NSE Nifty, over 5-years from 2018-2022. 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 2018 to 2022. The statistical tools Paired T-test & F –Test are conducted on average returns over the study period i.e. 3, 15 and 30 days in pre and post budget period. The study reveals that in India, the union budget mainly affects the stock market in short term mainly and medium term also. But in long term those budgets have no significant impact on stock market trend as investors are adjusted with the announcements.