RT Journal Article
SR Electronic
T1 Investment Certainty and Demonetization: <em>Evidence from India</em>
JF The Journal of Private Equity
FD Institutional Investor Journals
SP 60
OP 69
DO 10.3905/jpe.2019.1.086
VO 22
IS 4
A1 Peeyush Bangur
YR 2019
UL https://pm-research.com/content/22/4/60.abstract
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