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Effect of Demonetisation of on Indian High Denomination Currencies on Indian Stock Market and its Relationship with Foreign Exchange Rate

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  • N. Suresh
  • N. R. Bharathi

Abstract

This study examines the impact of the foreign exchange rate, i.e., US Dollar to Indian Rupee (USD/INR) on the Indian Stock Market Index (Nifty 50) during the demonetization of high denomination Indian currencies. A daily rate of return of Foreign exchange rate (USD/INR) and the Indian Stock Market Index (Nifty 50) were considered for the study. The Dummy variable was used to measure the effect of demonetization during Nov/Dec 2016. The period of study was restricted to 243 days from 1st April 2016 to 31st March 2017. The study reveals that there was an upward trend observed in the Indian Stock Market and the Indian currency was strengthened with the decrease in the Foreign exchange rate (USD/INR).

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  • N. Suresh & N. R. Bharathi, 2022. "Effect of Demonetisation of on Indian High Denomination Currencies on Indian Stock Market and its Relationship with Foreign Exchange Rate," Papers 2207.06963, arXiv.org.
    • Handle: RePEc:arx:papers:2207.06963
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    References listed on IDEAS

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    1. Bucevska Vesna, 2013. "An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange," Business Systems Research, Sciendo, vol. 4(1), pages 49-64, March.
    2. Marwa A. Elsherif, 2016. "Exchange Rate Volatility and Central Bank Actions in Egypt: Generalized Autoregressive Conditional Heteroscedasticity Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 6(3), pages 1209-1216.
    3. Sasikanta Tripathy & Abdul Rahman, 2013. "Forecasting Daily Stock Volatility Using GARCH Model: A Comparison Between BSE and SSE," The IUP Journal of Applied Finance, IUP Publications, vol. 19(4), pages 71-83, October.
    4. Uma Murthy & Paul Anthony & Rubana Vighnesvaran, 2016. "Factors Affecting Kuala Lumpur Composite Index (KLCI) Stock Market Return in Malaysia," International Journal of Business and Management, Canadian Center of Science and Education, vol. 12(1), pages 122-122, December.
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