Authors: Isha Rawal; Renu Vashisth
Addresses: School of Business Studies, Vivekananda Institute of Professional Studies, AU Block, Outer Ring Road, Pitampura, Delhi – 110034, India ' School of Business Studies, Vivekananda Institute of Professional Studies, AU Block, Outer Ring Road, Pitampura, Delhi – 110034, India
Abstract: Stock market pattern has been an imperative area of research for the academicians, stock brokers, investors and policy makers. This paper explores the impact of announcement certain significant triggering events like demonetisation of Rs. 500 and Rs. 1,000 notes on S&P CNX Nifty of National Stock Exchange of India and SENSEX of Bombay Stock Exchange of India. The study has attempted to identify the difference in the impact of said event on the aforementioned major stock indices of India for short, medium and long-term ending on 18th November 2016, 30th December 2016 and 31st January 2017, respectively. Event study methodology has been deployed for the purpose of analysis. It has been revealed that there is no significant difference in the expected and actual returns of Sensex and Nifty in all the time durations after the announcement of demonetisation news.
Keywords: demonetisation; S&P CNX Nifty; BSE Sensex; event study; gold and dollar; volatility spill-over; event's impact; asset classes.
International Journal of Technology Transfer and Commercialisation, 2017 Vol.15 No.2, pp.224 - 234
Received: 15 May 2017
Accepted: 27 Jun 2017
Published online: 20 Oct 2017 *