Impact of Demonetization and Volatility Behaviour of Broad Market Indices of Indian Stock Market
Keywords:
Broad Market Indices, Stock Market, Demonetisation and GARCH ModelAbstract
The present study proposes to analyze the volatility behavior of Indian stock market, during pre and post demonetization period. In the period of demonetization, midcap and small cap industries, indices were mostly volatile. The study selected Small cap Index, Midcap Index, Nifty50 Index and India VIX of NSE as sample indices. The required daily prices of the sample indices were collected from official website of NSE and it was collected for the period of two years during Pre and Post Demonetization announcement. Descriptive statistics and GARCH (1, 1) Model were used for the analysis. It is interesting to note that among the sample indices, Nifty indices were highly volatile.
References
Bordo, M. D., Meissner, C. M., & Weidenmier, M. D. (2009). Identifying the effects of an exchange rate depreciation on country risk: Evidence from a natural experiment. Journal of International Money and Finance, 28(6), 1022-1044.
Davies, Ronald B., and Zuzanna Studnicka (2017). The Heterogeneous Impact of Brexit: Early Indications from the FTSE, CESifo, Working Paper No. 6478.
Dharmapala, D., & Khanna, V. S. (2018). Stock Market Reactions to India's 2016 Demonetization: Implications for Tax Evasion, Corruption, and Financial Constraints.
Fernholz, R. T., Mitchener, K. J., & Weidenmier, M. (2017). Pulling up the tarnished anchor: The end of silver as a global unit of account. Journal of International Money and Finance, 74, 209-228.
Gibson, J., Stillman, S., & Le, T. (2008). CPI bias and real living standards in Russia during the transition. Journal of Development Economics, 87(1), 140-160.
Jain, Shailesh Kumar, Chandra Shekhar, and Sunil Deshpande (2017). Market Reaction to Demonetization: An Empirical Study using Event Study Technique, International Educational Scientific Research Journal, 3, no. 5: 39-44.
Kumar, Rajnish (2017). Effect of Demonetization on Analysts’ Estimates: A Natural Experiment, Working paper, available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2949789.
Singh, P., Sawhney, R. S., & Kahlon, K. S. (2017). Sentiment analysis of demonetization of 500 & 1000 rupee banknotes by Indian government. ICT Express.
Tschoegl, A. E. (2010). The international diffusion of an innovation: The spread of decimal currency. The Journal of Socio-Economics, 39(1), 100-109.
Wagner, Alexander F., Richard J. Zeckhauser, and Alexandre Ziegler (2017). Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade, Journal of Financial Economics, forthcoming.
Wang, G. J., Xie, C., Jiang, Z. Q., & Stanley, H. E. (2016). Extreme risk spillover effects in world gold markets and the global financial crisis. International Review of Economics & Finance, 46, 55-77.
