{"title":"Investment Certainty and Demonetization: Evidence from India","authors":"P. Bangur","doi":"10.3905/jpe.2019.1.086","DOIUrl":null,"url":null,"abstract":"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: Security analysis and valuation, statistical methods, emerging markets, risk management","PeriodicalId":43579,"journal":{"name":"Journal of Private Equity","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2019-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Private Equity","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jpe.2019.1.086","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
引用次数: 1
Abstract
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: Security analysis and valuation, statistical methods, emerging markets, risk management
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The Journal of Private Equity (JPE) gives you in-depth analysis of today"s most innovative strategies and techniques in private equity and venture capital. It shows you the what, how and why of successful deals with detailed explanations, probing analysis, and real-life case studies—and shows you how to immediately apply them to your own deals.
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