Impact of India’s Demonetization Episode on its Equity Markets

IF 2.5 Q2 ECONOMICS

Asia-Pacific Financial Markets Pub Date : 2022-10-22 DOI:10.1007/s10690-022-09392-6

Goutam Sutar, Krantiraditya Dhalmahapatra, Sayan Chakraborty

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引用次数: 1

Abstract

Demonetization is an act of divesting a currency unit from its legal tender. In a developing country, the act of demonetization will have a direct influence on various sectors. An event study is an empirical analysis to investigate the effect of such unforeseen events. In this study, we investigate the impact of demonetization on the Indian stock market. For the analysis, daily data from the NIFTY 50 Index during demonetization have been analyzed within the observation of different event windows. These event windows are framed as 0–7 days, 0–14 days, and 0–30 days to understand the impact of demonetization during the analysis period 8th November 2016–21st December 2016. The study concludes that the impact of events on the Indian stock market lasted for a short time-period and the market recovered within 1 month. More precisely, in the case of demonetization, though the stock market initially viewed the event as disruptive, Cumulative Abnormal Returns bounce back to indicate that the negative financial impact was not as severe as the industry perceived.

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印度废钞事件对其股票市场的影响

去货币化是一种将货币单位从其法定货币中剥离的行为。在一个发展中国家，废除纸币的行为将对各个部门产生直接影响。事件研究是对此类不可预见事件的影响进行实证分析。在本研究中，我们调查废钞对印度股票市场的影响。为了进行分析，在不同事件窗口的观察中分析了非货币化期间NIFTY 50指数的每日数据。这些事件窗口分别为0-7天、0-14天和0-30天，以了解2016年11月8日至2016年12月21日期间废钞运动的影响。研究认为，事件对印度股市的影响持续时间较短，市场在1个月内恢复。更准确地说，在废钞令的情况下，尽管股市最初认为这一事件具有破坏性，但累积异常回报反弹表明，负面财务影响并不像行业所认为的那样严重。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Asia-Pacific Financial Markets ECONOMICS-

CiteScore

3.00

自引率

0.00%

发文量

期刊介绍： The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets