Vol. 3, Issue 8, Part J (2017)

Findings: With the help of event study, we are able to find out that banking index shows high positive abnormal return post demonetisation. Whereas Reality index shows sharp decline after the announcement. The adversely affected sectors are automobile sector and reality sector. Automobile sector have shown negative CAAR of -10.54% for (-21, +10) days after announcement, whereas BSE BANK have shown positive CAAR of 4.99% for (-21, +8) days after announcement. Banking sector has seen boom after demonetisation. Reality index have shown negative CAAR of -18.39% for (-21, +8) days after announcement on the other hand, FMCG sector is not much affected by demonetisation. The interesting finding is that index shows negative abnormal return prior to the announcement of demonetisation.