Year 2019, Volume 11 , Issue 2, Pages 38 - 57 2019-09-25

Demonetization and Its Effects on BSESENSEX and Some Sectoral Indices: An Exploratory Econometric Analysis

Debabrata MUKHOPADHYAY [1] , Nityananda SARKAR [2]


This study has carried out somepreliminary time series analyses to examine the impacts of demonetization which was carried outin India on 8 November 2016, on the well-known Indian stock index, BSESENSEX,and four major sectoral indices viz., BSE BANKEX,BSE Auto, BSE Reality and BSE Smallcap,using daily level time series data covering the period 1January 2016 to 31May2017. Apart from examining the stationarity/nonstationarity property and existence of structural breaks after demonetizationin these series, the paper has also studied the trend behavior and returns models for both the pre- and post-demonetization periods. This study has found that while there is more than one break in all the five series at their level values, there is only one structural break after demonetization.  It has also been found that the trend function for all the index series broadly gives support to this finding of one break after demonetization. Further, some changes have also been observed in the stationary models for the two sub-periods of pre- and post-demonetization for all but BSE Auto index. Finally, except for BSESENSEX to some extent, no change in the status of stationarity/nonstationarity in the pre- and post- demonetization periods has been found in the other series. 

-Perron multiple break points test, demonetization, stationarity, structural breaks
  • Bai, J., and P. Perron. 1998. “Estimating and Testing Linear Models with Multiple Structural Changes.” Econometrica66, no. 1: 47–78
Primary Language en
Subjects Management
Journal Section Articles
Authors

Author: Debabrata MUKHOPADHYAY (Primary Author)
Institution: West Bengal State University
Country: India


Author: Nityananda SARKAR
Institution: Indian Statistical Institute
Country: India


Dates

Publication Date : September 25, 2019

Bibtex @research article { ier473544, journal = {International Econometric Review}, issn = {1308-8793}, eissn = {1308-8815}, address = {Şairler Sokak, No:32/C, Gaziosmanpaşa, Ankara}, publisher = {Econometric Research Association}, year = {2019}, volume = {11}, pages = {38 - 57}, doi = {10.33818/ier.473544}, title = {Demonetization and Its Effects on BSESENSEX and Some Sectoral Indices: An Exploratory Econometric Analysis}, key = {cite}, author = {MUKHOPADHYAY, Debabrata and SARKAR, Nityananda} }
APA MUKHOPADHYAY, D , SARKAR, N . (2019). Demonetization and Its Effects on BSESENSEX and Some Sectoral Indices: An Exploratory Econometric Analysis. International Econometric Review , 11 (2) , 38-57 . DOI: 10.33818/ier.473544
MLA MUKHOPADHYAY, D , SARKAR, N . "Demonetization and Its Effects on BSESENSEX and Some Sectoral Indices: An Exploratory Econometric Analysis". International Econometric Review 11 (2019 ): 38-57 <https://dergipark.org.tr/en/pub/ier/issue/49294/473544>
Chicago MUKHOPADHYAY, D , SARKAR, N . "Demonetization and Its Effects on BSESENSEX and Some Sectoral Indices: An Exploratory Econometric Analysis". International Econometric Review 11 (2019 ): 38-57
RIS TY - JOUR T1 - Demonetization and Its Effects on BSESENSEX and Some Sectoral Indices: An Exploratory Econometric Analysis AU - Debabrata MUKHOPADHYAY , Nityananda SARKAR Y1 - 2019 PY - 2019 N1 - doi: 10.33818/ier.473544 DO - 10.33818/ier.473544 T2 - International Econometric Review JF - Journal JO - JOR SP - 38 EP - 57 VL - 11 IS - 2 SN - 1308-8793-1308-8815 M3 - doi: 10.33818/ier.473544 UR - https://doi.org/10.33818/ier.473544 Y2 - 2019 ER -
EndNote %0 International Econometric Review Demonetization and Its Effects on BSESENSEX and Some Sectoral Indices: An Exploratory Econometric Analysis %A Debabrata MUKHOPADHYAY , Nityananda SARKAR %T Demonetization and Its Effects on BSESENSEX and Some Sectoral Indices: An Exploratory Econometric Analysis %D 2019 %J International Econometric Review %P 1308-8793-1308-8815 %V 11 %N 2 %R doi: 10.33818/ier.473544 %U 10.33818/ier.473544
ISNAD MUKHOPADHYAY, Debabrata , SARKAR, Nityananda . "Demonetization and Its Effects on BSESENSEX and Some Sectoral Indices: An Exploratory Econometric Analysis". International Econometric Review 11 / 2 (September 2019): 38-57 . https://doi.org/10.33818/ier.473544
AMA MUKHOPADHYAY D , SARKAR N . Demonetization and Its Effects on BSESENSEX and Some Sectoral Indices: An Exploratory Econometric Analysis. IER. 2019; 11(2): 38-57.
Vancouver MUKHOPADHYAY D , SARKAR N . Demonetization and Its Effects on BSESENSEX and Some Sectoral Indices: An Exploratory Econometric Analysis. International Econometric Review. 2019; 11(2): 57-38.