Impact of Demonetisation on Indian Stock Market: with special referance to NSE

Demonetization is an act of seizing a currency unit of its status as legal tender. Demonetization is necessary whenever there is a need to change national currency. The government claimed that the action would “curtail the shadow economy and crack down on the use of illicit and counterfeit cash to fund illegal activity and terrorism”. The Objectives of the study were (a) to measure the returns of the NIFTY 50 stocks, pre and post demonetisation, using BETA(b)to find the expected returns of the selected stocks pre and post demonetisation, using ANOVA model and (c) to study the impact of Demonetization on stock prices of NIFTY 50. This study focuses on impact of demonetization on stock prices of 15 selected sectors, Automobiles, Banking, Consumer Durables, Telecommunication and Real Estate. 15 companies in each sector were considered for this study. The closing prices of stocks for last 1 year were used to find the returns, starting from 8th October 2015 to 8th 2017 which consists of data of 30 days before demonetization and 30 days after demonetization. Realised return, NSE companies returns, NIFTY 50 returns has been carried out in the study. Using ANOVA on the BETA the three windows, it was concluded that demonetisation had no impact on stock returns during the study period.