PT  - JOURNAL ARTICLE
AU  - Peeyush Bangur
TI  - Investment Certainty and Demonetization: <em>Evidence from India</em>
AID  - 10.3905/jpe.2019.1.086
DP  - 2019 Aug 30
TA  - The Journal of Private Equity
PG  - 60--69
VI  - 22
IP  - 4
4099  - https://pm-research.com/content/22/4/60.short
4100  - https://pm-research.com/content/22/4/60.full
AB  - This article analyzes the impact of demonetization on the volatility of the Indian stock market and assesses the investment certainty in India after demonetization. A symmetric generalized autoregressive conditional heteroskedasticity (1, 1) model has been applied by incorporating a dummy variable for the event of demonetization in the conditional variance equation. This article also looks for percentage change in unconditional variance after demonetization. The results show that after demonetization, the risk related to market price decreased and the certainty of investment increased in the Indian stock market. In addition, the degree of volatility shocks declined in the post-demonetization period in comparison to the pre-demonetization period.TOPICS: Private equity, statistical methods, emerging, volatility measures