{"title":"印度废钞事件对其股票市场的影响","authors":"Goutam Sutar, Krantiraditya Dhalmahapatra, Sayan Chakraborty","doi":"10.1007/s10690-022-09392-6","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"30 4","pages":"649 - 675"},"PeriodicalIF":2.5000,"publicationDate":"2022-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Impact of India’s Demonetization Episode on its Equity Markets\",\"authors\":\"Goutam Sutar, Krantiraditya Dhalmahapatra, Sayan Chakraborty\",\"doi\":\"10.1007/s10690-022-09392-6\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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.</p></div>\",\"PeriodicalId\":54095,\"journal\":{\"name\":\"Asia-Pacific Financial Markets\",\"volume\":\"30 4\",\"pages\":\"649 - 675\"},\"PeriodicalIF\":2.5000,\"publicationDate\":\"2022-10-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Asia-Pacific Financial Markets\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://link.springer.com/article/10.1007/s10690-022-09392-6\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asia-Pacific Financial Markets","FirstCategoryId":"1085","ListUrlMain":"https://link.springer.com/article/10.1007/s10690-022-09392-6","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
Impact of India’s Demonetization Episode on its Equity Markets
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.
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
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