Demonetisation upshot on the volatility and returns of banking sector stocks of national stock exchange Online publication date: Fri, 11-Oct-2019
by Jincy K. John; R. Amudha; M. Muthukamu
International Journal of Monetary Economics and Finance (IJMEF), Vol. 12, No. 5, 2019
Abstract: Demonetisation, the tool used by the Indian government, to battle the income earned surreptitiously when it decided to enforce by announcing after the trading hours of the Indian equity market on 8 November, 2016. The data relating to the price behaviour of the selected stocks for the period of six months before and after the demonetisation process were considered for the study. It was found that the Indian banking industry was able to deliver positive returns even during the post demonetisation period. In order to understand the pre and post level of volatility, triggered by the rarest economic event i.e., ‘demonetisation’, hitting the Indian economy, the study was done by aptly applying the GARCH (1,1) model and was found that the private sector banking stocks were more volatile than the public sector banking stocks and this scenario was found to repeat during the post demonetisation period too.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Monetary Economics and Finance (IJMEF):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com
Our Blog 
Follow us on Twitter 
Visit us on Facebook