The crises of US had led to shocks and collapses in many countries. This paper intends to study the impact of recession on efficiency and volatility of Indian stock market. This paper uses the closing prices of all the major indices of NSE and BSE to represent Indian stock market. For efficiency, ACF test and run test were applied. EGARCH-M model is used to study the impact of recession on volatility of stock market. The insignificant coefficient of variance in conditional mean equation of EGARCH-M implies that the market doesn’t provide higher returns during the high volatility period. The results of EGARCH-M model showed that effect of bad news on stock market volatility has become insignificant for most of the indices in recession period. There is increase in the persistence of volatility. The result of ACF test reported efficiency in CNX 100, S&P CNX Defty, S&P CNX 500, BSE100, BSE 200 and BSE 500 during recession. While the run test reported weak form efficiency in returns of S&P CNX Nifty, CNX Nifty Junior, CNX 100, S&P CNX 500 and CNX Midcap and weak form inefficiency in S&P CNX Defty, BSE200 and BSE 500 in recession period. Originality/value: This paper will be useful for both investors and regulators in decision making.