Impact of demonetization on stock price volatility of public sector banks in India: Special reference to BSE

Abstract

This research paper investigates the impact of Demonetization on public sector banks stock price volatility in BSE. The purpose of the above objective, this study used the secondary daily closing stock price data of selected top five largest public sectors banks in India in 2018, based on their market capitalization, for the period of two years, after demonetarization i.e., from 01st January 2017 to 31st December, 2018. The statistical tools and models such as descriptive statistics, ADF, GARCH (1,1) Model and graphical price movement diagram were used for estimating the public sector banks stock price movements and Volatility during the study period. It is found that all the sample public sector banking stocks may not be benefited from demonetization impact. Finally this study conclude that the stock prices of selected public sector banks initially, the effect of demonetization announcement was seen for a short duration but slowly the market recovered and bounced back to normal.