Corporate actions: why old BSE prices look wrong

You pull ten years of history for a stock you know has done well, open the chart, and there is a cliff in the middle where the price halves overnight. Nothing happened. The company did a stock split, and this data is unadjusted.

This is the single most frequent “the data is wrong” report, and the data is not wrong — it is raw. Here is how to recognise it, and what to do about it.

What “unadjusted” means

BSE publishes the prices at which a scrip actually traded on each date. If a share traded at ₹2,000 before a 1:10 split and ₹200 after, both figures are historically accurate. What changed was the unit, not the value of your holding.

Most charting tools quietly rewrite pre-event prices so the series looks continuous. This tool does not, for two reasons. Adjusting requires a complete, correct corporate-action history — and getting that wrong introduces errors far more insidious than a visible cliff. And adjustment destroys information: the actual traded price on a date is a fact, useful for reconciling against a contract note or a tax record. A visible discontinuity you can see and handle beats a silent one you cannot.

The actions that leave marks

Stock split

The face value of the share is divided; every holder ends up with proportionally more shares. A 1:5 split takes a ₹1,000 share to ₹200. Volume jumps by roughly the same factor in the opposite direction, since the same rupee value now involves five times as many shares.

Bonus issue

Additional shares are issued free to existing holders. A 1:1 bonus roughly halves the price. Economically similar to a split from a chart’s point of view, though the accounting differs.

Rights issue

Existing holders can buy new shares at a discount. The price adjusts by less than in a split, and by an amount that depends on the subscription price and ratio. Harder to spot and harder to adjust for correctly.

Dividend

On the ex-dividend date the price typically drops by roughly the dividend amount. For a normal dividend this is small enough to look like ordinary movement. For a large special dividend it can be a visible step down that is easily mistaken for bad news.

Consolidation (reverse split)

The opposite of a split — shares are merged, so the price steps up sharply. Less common, and it produces an upward cliff, which people are less likely to question and more likely to misread as a rally.

Telling an artefact from a real crash

A genuine collapse and a split look similar in a price column alone. They look nothing alike once you check two other columns.

Signs it is a corporate action:

The ratio is suspiciously clean. Exactly ½, exactly ⅕, exactly 1/10 of the prior price.
No. of Shares moves inversely by about the same factor — price halves, volume roughly doubles.
Total Turnover is broadly unchanged across the event. This is the giveaway: the rupee value traded does not care about the unit change.
Spread H-L shrinks by the same factor, because it is an absolute rupee figure.
The move happens between two consecutive rows with no unusual Spread H-L on either day — the gap is overnight, not intraday.

Signs it is real:

The ratio is untidy — down 43.7%, not exactly half.
Turnover spikes. Panic generates volume in rupee terms, not just in share count.
Spread H-L is unusually wide on the day itself: the price moved during the session.
Elevated volatility persists for days afterwards rather than resuming normal behaviour immediately.

The turnover check is the most reliable single test. A split changes the denomination; it does not change how much money traded.

Adjusting it yourself

If you need a continuous series — for return calculations, volatility, anything cumulative — you have to adjust. The method is straightforward.

For each corporate action, work out the adjustment factor. For a 1:5 split, prices before the event should be divided by 5, so the factor is 0.2. For a 1:1 bonus, 0.5. Then multiply every price column — Open, High, Low, Close, WAP — on rows before the ex-date by that factor. Divide the share-count column by it if you want volume continuous too.

Practically, in a spreadsheet:

Find the exact ex-date and ratio from the company’s own filings or BSE’s corporate-action announcements. Do not infer the ratio from the price gap — dividends and market movement contaminate it.
Add a Factor column. Set it to 1 for every row on or after the ex-date, and to the cumulative factor for earlier rows. With multiple events, factors multiply: two 1:1 bonuses means 0.25 for rows before the earlier one.
Add adjusted price columns: =[@Close] * [@Factor], and the same for the other price fields.
Compute returns and everything downstream from the adjusted columns.

Keep the raw columns. When a figure later looks wrong, being able to compare adjusted against as-traded is what lets you find out why.

Why it matters more than it looks

An unhandled split does not just make a chart ugly — it poisons every derived number:

Daily returns. One row shows −80%. Any volatility figure computed over a window containing it is wrong, sometimes by a large multiple.
Moving averages. A 200-day average spanning the event mixes two different price scales and is meaningless for months either side.
Maximum drawdown.Will report the split as the worst drawdown in the stock’s history.
Correlation and beta. A single −80% outlier against a benchmark that did nothing that day will dominate the regression.
CAGR from first to last row. Silently and badly wrong, with no visible symptom at all. This is the dangerous one, because the output looks perfectly reasonable.

A quick screen before you trust anything: compute daily returns, sort descending by absolute value, and look at the top twenty. Corporate actions will be sitting at the top, and the clean ratios make them easy to spot. The Excel guide has the return formula.

One more caveat

Adjustment conventions vary between data providers, so an adjusted series you build will not necessarily match a third party’s adjusted series to the paisa — different providers handle dividends, rights issues and rounding differently. That is normal. What matters is that your series is internally consistent and that you know which convention you used. For anything consequential, verify the underlying corporate-action record against the company’s filings.

Keep reading

Every column in your BSE export, explained — What Open, High, Low, Close, WAP, No. of Shares, No. of Trades, Total Turnover, Deliverable Quantity, % Deli. Qty and the two Spread columns actually mean — and where people misread them.
BSE scrip codes: why the number matters more than the ticker — BSE identifies every security by a six-digit scrip code, not by symbol. What the code is, why two companies can share a ticker, and how to find the right one.
BSE groups: A, B, T, Z, X, M and what they change — BSE sorts listed scrips into groups that govern how they trade — including group T, where intraday trading is banned outright. What each letter means for the price history you just downloaded.

Or go straight to the download console and pull a file.