IDEAS home Printed from https://ideas.repec.org/a/ids/ijmefi/v12y2019i5p426-444.html
   My bibliography  Save this article

Demonetisation upshot on the volatility and returns of banking sector stocks of national stock exchange

Author

Listed:
  • Jincy K. John
  • R. Amudha
  • M. Muthukamu

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.

Suggested Citation

  • Jincy K. John & R. Amudha & M. Muthukamu, 2019. "Demonetisation upshot on the volatility and returns of banking sector stocks of national stock exchange," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 12(5), pages 426-444.
    • Handle: RePEc:ids:ijmefi:v:12:y:2019:i:5:p:426-444
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=102955
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Svetlana Balashova & Apostolos Serletis, 2021. "Oil Price Uncertainty, Globalization, and Total Factor Productivity: Evidence from the European Union," Energies, MDPI, vol. 14(12), pages 1-11, June.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijmefi:v:12:y:2019:i:5:p:426-444. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=218 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.