Market reaction for event demonetization: A case study for India
Market reaction for event demonetization: A case study for India

Summary/Abstract: The research hypothesis for this empirical study using event study model is that the announcement of demonetization will result in immediate response in the market for the stock prices of cement manufacturing companies. Based on this hypothesis the event study is conducted to study whether there was abnormal return on cement manufacturing companies’ scripts immediately after the announcement of demonetization. Moreover, 15 major players in the industry based on their market capitalisation are selected as sample for the study. Three famous models, Market model, Market adjusted model and Mean adjusted model are used in the study. Average return for the selected companies over the last 6 months before the announcement of demonetisation is computed using market model. Coefficients alpha (α) and beta (β) are measured using this market model. Further actual return for event window period are calculated, using market model, market adjusted model and mean return model. Further Cumulative abnormal return and Mean cumulative abnormal return are also calculated. To test the significance of our results, in this study we have used one sample T test.

• Details
• Contents