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ISSN Print: 2394-7500, ISSN Online: 2394-5869, CODEN: IJARPF

IMPACT FACTOR (RJIF): 8.4

International Journal of Applied Research

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

The effect of demonetisation in Indian stock market: An event study of sectorial indices

Author(s)
Dr. Vipin Kumar and Bunny Singh Bhatia
Abstract
Purpose: This paper attempts to find out the effect of demonetization on various sectorial indices of Indian stock market. This paper can give insights to policy makers with respect to vulnerable sectorial index and first one of its type to do a rigorous study on four different sectorial indexes.
Methodology: This study has applied event study methodology to diagnosis the effect of demonetisation decision on four different major sectorial indexes like BSE Reality, BSE Auto, BSE FMCG and BSE Bank. Event study methodology will provide CAAR and AAR Values across the event of demonetisation.
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.
Pages: 684-691  |  325 Views  8 Downloads
How to cite this article:
Dr. Vipin Kumar, Bunny Singh Bhatia. The effect of demonetisation in Indian stock market: An event study of sectorial indices. Int J Appl Res 2017;3(8):684-691.
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