Risk and returns of Indian listed firms after demonetisation

References

• Aggarwal, N., & Narayanan, S. (2017), “Impact of India’s demonetization on domestic agricultural markets”, Working paper, SSRN, Available at: https://doi.org/10.2139/ssrn.3066042
   Google Scholar
• Alam, Q. N. (2020). Impacts of macroeconomic variables on the stock market returns of South Asian Region. Canadian Journal of Business and Information Studies, 2(2), 24–30. https://doi.org/10.34104/cjbis.020.24034
   Google Scholar
• Betala, V. (2017), “Market wire: Large corporates pull through from cash shortage, demonetisation impact credit neutral”, India Ratings & Research. available at: https://www.indiaratings.co.in/PressRelease?pressReleaseID=26320&title=Market-Wire%3A-Large-Corporates-Pull-Through-from-Cash-Shortage%2C-Demonetisation-Impact-Credit-Neutral-
   Google Scholar
• Bisen, J., Kumar, S., Venkatesh, P., & Aditya, K. S. (2017). Impact of demonetization on agriculture: A case study. Indian Journal of Economics and Development, 5(2),1-11. www.iseeadyar.org
   Google Scholar
• Booth, J. R., & Booth, L. C. (1997). Economic factors, monetary policy, and expected returns on stocks and bonds. FRBSF Economic Review, 2, 32–42. https://search.proquest.com/scholarly-journals/economic-factors-monetary-policy-expected-returns/docview/208781674/se-2?accountid=38661
   Google Scholar
• Bordoloi, J. (2018). Impact of Demonetisation: Net effect. International Journal of Research Culture Society, 2(1), 6–10. https://ijrcs.org/wp-content/uploads/201801002.pdf
   Google Scholar
• Borkar, N. (2017). Here’s a list of countries that have tried demonetisation before India. Indiatimes, 23, 6. https://www.indiatimes.com/news/world/here-s-a-list-of-countries-that-have-tried-demonetisation-before-india-265743.html
   Google Scholar
• Brown, S. J., & Warner, J. B. (1980). Measuring security price performance. Journal of Financial Economics, 8(3), 205–258. https://doi.org/10.1016/0304-405X(80)90002-1
   Web of Science ®Google Scholar
• Brown, S. J., & Warner, J. B. (1985). Using daily stock returns. Journal of Financial Economics, 14(1), 3–31. https://doi.org/10.1016/0304-405X(85)90042-X
   Web of Science ®Google Scholar
• Chandrasekhar, C. P., & Ghosh, J. (2017), “What is really happening in Indian manufacturing?”,The Hindu Business Line, available at: https://www.thehindubusinessline.com/opinion/columns/c-p-chandrasekhar/what-is-really-happening-in-indian-manufacturing/article9818148.ece
   Google Scholar
• Chandrashekar, R. (2018). Macroeconomic variables and stock prices in emerging economies: A panel analysis. Theoretical and Applied Economics, 26(3), 91–100.
   Google Scholar
• Chauhan, S., & Kaushik, N. (2017). Impact of Demonetization on stock market: Event study methodology. Indian Journal of Accounting, 49(1), 127–132. https://doi.org/10.26808/rs.rmf.v2i1.01
   Google Scholar
• Chodorow-Reich, G., Gopinath, G., Mishra, P., & Narayanan, A. (2018), “Cash and the economy: Evidence from India’s Demonetization”, NBER Working Paper Series No. 25370, National Bureau of Economic Research.
   Google Scholar
• Chopra, R. (2017). Impact of Demonetization on Indian economy. Global Journal of Enterprise Information System, 9(2), 100–103. https://doi.org/10.18311/gjeis/2017/15857
   Google Scholar
• Christiano, L., & Eichenbaum, M. (1992), “Liquidity effects and the monetary transmission mechanism”, Working Paper, No. 4129, National Bureau of Economic Research, Minneapolis.
   Google Scholar
• Christiano, L. J., & Eichenbaum, M. (1995). Liquidity effects, monetary policy, and the business cycle. Journal of Money, Credit and Banking, 27(4), 1113–1136. https://doi.org/10.2307/2077793
   Web of Science ®Google Scholar
• Claessens, S., & Kose, M. A. (2017). Asset prices and macroeconomic outcomes: A survey Working No. 1718. Koç University-TÜSİAD Economic Research Forum (ERF).
   Google Scholar
• Cook, T., & Hahn, T. (1989). The effect of changes in the federal funds rate target on market interest rates in the 1970s. Journal of Monetary Economics, 24(3), 331–351. https://doi.org/10.1016/0304-3932(89)90025-1
   Web of Science ®Google Scholar
• Corrado, C. J. (1989). A nonparametric test for abnormal security-price performance in event studies. Journal of Financial Economics, 23(2), 385–395. https://doi.org/10.1016/0304-405X(89)90064-0
   Web of Science ®Google Scholar
• Corrado, C. J., & Truong, C. (2008). Conducting event studies with Asia-Pacific security market data. Pacific-Basin Finance Journal, 16(5), 493–521. https://doi.org/10.1016/j.pacfin.2007.10.005
   Google Scholar
• Dev, S., & Mohapatra, P. (2019). Impact of Demonetization on the Indian stock market. The IUP Journal of Applied Economics, 18(4), 72–88. https://doi.org/10.1177/0971890718788226
   Google Scholar
• Dharmapala, D., & Khanna, V. S., (2018), “Stock Market Reactions to India’s 2016 Demonetization”, U of Michigan Law & Econ SSRN Research Paper No. 17-010, Available at: https://ssrn.com/abstract=2983965
   Google Scholar
• Dixit, P., Al-kake, F., & Ahmed, R. R. (2019). A critical review on short term impact of demonetisation on inclusive growth of India. Russian Journal of Agricultural and Socio-Economic Sciences, 90(6), 161–167. https://doi.org/10.18551/rjoas.2019-06.22
   Google Scholar
• Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical work. The Journal of Finance, 25(2), 383–417. https://doi.org/10.2307/2325486
   Web of Science ®Google Scholar
• Gautam, I., & Jain, S. (2019). Demonetization in India and Its Aftermath. Pragyana - International Journal of Multidisciplinary Research, 1(1), 61–66. http://himadritrust.in/pragyana/wp-content/uploads/2018/12/Demonetization-in-India-and-its-Aftermath.pdf
   Google Scholar
• Government of India, Ministry of Finance, Department of Economic Affairs (2016). “Notification of Demonetisation” [Press Release].
   Google Scholar
• Hallman, L. (2017). The Rolling Window Method: Precisions of Financial Forecasting. [Degree Project in Mathematics, KTH Royal Institute of Technology School of Engineering].
   Google Scholar
• Hillmer, S. C., & Yu, P. L. (1979). The market speed of adjustment to new information. Journal of Financial Economics, 7(4), 321–345. https://doi.org/10.1016/0304-405X(79)90002-3
   Web of Science ®Google Scholar
• Inoue, A., Jin, L., & Rossi, B. (2017). Rolling window selection for out-of-sample forecasting with time-varying parameters. Journal of Econometrics, 196(1), 55–67. https://doi.org/10.1016/j.jeconom.2016.03.006
   Web of Science ®Google Scholar
• Joshi, A. (2017), “Market Wire: Demonetisation to Derail Cement Sector Growth”, India Ratings & Research, available at: https://www.indiaratings.co.in/PressRelease?pressReleaseID=26061&title=Market-Wire%3A-Demonetisation-to-Derail-Cement-Sector-Growth
   Google Scholar
• Kohli, B., & Anand, M. (2017). Assessment of the impact of demonetization on Indian economy. International Journal of Research in Commerce & Management, 8(5), 44–47. https://ijrcm.org.in/article_info.php?article_id=7599
   Google Scholar
• Krishnan, A. (2019). “Demonetization Anniversary: Decoding the Effects of Indian Currency Notes Ban”, The Economic Times, May 21, pp. 2. Available at: https://economictimes.indiatimes.com/tdmc/your-money/demonetization-anniversary-decoding-the-effects-of-indian-currency-notes-ban/articleshow/61579118.cms?from=mdr
   Google Scholar
• Krivin, D., Patton, R., Rose, E., & Tabak, D. (2003). Determination of the Appropriate Event Window Length in Individual Stock Event Studies. SSRN Electronic Journal, 25. https://doi.org/10.2139/ssrn.466161
   Google Scholar
• Kumar, V., & Bhatia, B. S. (2018). The effect of demonetisation in Indian stock market with special reference to Sectorial Indices: An Event Study. SSRN Electronic Journal, 1–18. http://doi.org/10.2139/ssrn.3245889
   Google Scholar
• Kurov, A. (2010). Investor sentiment and the stock market’s reaction to monetary policy. Journal of Banking & Finance, 34(1), 139–149. https://doi.org/10.1016/j.jbankfin.2009.07.010
   Web of Science ®Google Scholar
• MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(March), 13–39. http://www.jstor.org/stable/2729691
   Google Scholar
• Ministry of Finance (2017), “Demonetisation: To Deify or Demonize?” Economic Survey, 2016-17.
   Google Scholar
• Mishkin, F. S. (1995). Symposium on the monetary transmission mechanism. Journal of Economic Perspectives, 9(4), 3–10. https://doi.org/10.1257/jep.9.4.3
   Web of Science ®Google Scholar
• Nag, A. (2016). Lost Due to Demonetisation. Economic & Political Weekly, 51(48), 18–21. https://www.epw.in/system/files/pdf/2016_51/48/Lost_Due_To_Demonetisation_0.pdf
   Google Scholar
• Ndlovu, B., Faisa, F., Resatoglu, G., & Tursoy, T. (2018). The impact of macroeconomic variables on stock returns: A case of the Johannesburg stock exchange. Romanian Statistical Review, 6(2), 87–104. https://www.researchgate.net/profile/Turgut-Tursoy/publication/325877382_The_Impact_Macroeconomic_Variables_on_Stock_Returns_A_Case_of_the_Johannesburg_Stock_Exchange/links/5b2a5feb4585150c63410677/The-Impact-Macroeconomic-Variables-on-Stock-Returns-A-Case-of-the-Johannesburg-Stock-Exchange.pdf
   Google Scholar
• Nurasyikin, J., Shahnaz, I., & Syamimi, A. M. (2017). Macroeconomic variables and stock market returns: Panel analysis from selected ASEAN countries. International Journal of Economics and Financial Issues, 7(1), 37–45. http:%0Awww.econjournals.com
   Google Scholar
• Parab, N., & Reddy, Y. V. (2020). A cause and effect relationship between FIIs, DIIs and stock market returns in India: Pre- and post-demonetization analysis. Future Business Journal, 6(1), 10. https://doi.org/10.1186/s43093-020-00029-6
   Web of Science ®Google Scholar
• Pervez, A., & Khan, A. M. (2017). How the demonetization impacted stock indices in India. International Journal of Research in Commerce & Management, 8(10), 90–92. https://ijrcm.org.in/article_info.php?article_id=8075
   Google Scholar
• Ramiah, V., Cam, M.-A., Calabro, M., Maher, D., & Ghafouri, S. (2010). Changes in equity returns and volatility across different Australian industries following the recent terrorist attacks. Pacific-Basin Finance Journal, 18(1), 64–76. https://doi.org/10.1016/j.pacfin.2009.07.001
   Web of Science ®Google Scholar
• Raza, S., & Munir, S. (2020). Did demonetization affects Indian stock market? A short-term analysis. SSRN Electronic Journal, 1–19. https://doi.org/10.2139/ssrn.3522052
   Google Scholar
• Reserve Bank of India. (2016), “Reserve Bank of India Annual Report 2015-16”.
   Google Scholar
• Reserve Bank of India (2017a), “Macroeconomic Impact of Demonetisation- A Preliminary Assessment”, Reserve Bank of India Occasional Papers, Available at: https://doi.org/10.2478/v10117-012-0018-4
   Google Scholar
• Rogoff, K. S. (2017). The Curse of Cash. Princeton University Press.
   Google Scholar
• Sathyanarayana, S., & Gargesha, S. (2017). “The Impact of Policy Announcement on Stock Market Volatility: Evidence from Currency Demonetisation in India”. IOSR Journal of Business and Management, 19(1), 47–63. https://doi.org/10.9790/487X-1901074763
   Google Scholar
• Shanmugam, V., & Irshad VK, M. (2017), “An Event Study on the Impact of RBI’s Monetary Policy Announcements and Demonetization on the NSE Bond Indices”, SSRN. Available at: https://doi.org/10.2139/ssrn.3059514
   Google Scholar
• Sharma, J. (2017). Demonetization in India - A study of intent, agenda, and impact on Indian economy. Pranjana:The Journal of Management Awareness, 20(1), 39–47. https://doi.org/10.5958/0974-0945.2017.00004.8
   Google Scholar
• Sinha, S. K. (2016), “Market Wire: Black Day for Black Money – Structural Benefits of Demonetisation Outweigh Short Term Agony”, India Ratings & Research. Available at: https://indiaratings.co.in/PressRelease?pressReleaseID=25042&title=Market-Wire%3A-Black-Day-for-Black-Money-%E2%80%93-Structural-Benefits-of-Demonetisation-Outweigh-Short-Term-Agony
   Google Scholar
• Sunil, T., & Shenoy, S. V. (2017). Impact of demonetization on stocks of selected sectors – an event study. International Journal of Research in Finance and Marketing (IJRFM), 7(5), 29–38.
   Google Scholar
• Thanh, S. D., Canh, N. P., & Maiti, M. (2020). Asymmetric effects of unanticipated monetary shocks on stock prices: Emerging market evidence. Economic Analysis and Policy, 65(November), 40–55. https://doi.org/10.1016/j.eap.2019.11.005
   Web of Science ®Google Scholar
• Thorbecke, W. (1997). On stock market returns and monetary policy. The Journal of Finance, 52(2), 635–654. https://doi.org/10.1111/j.1540-6261.1997.tb04816.x
   Web of Science ®Google Scholar
• Ullah, G. M. W., Islam, A., Alam, M. S., & Khan, M. K. (2017). Effect of macroeconomic variables on stock market performance of SAARC countries. Asian Economic and Financial Review, 7(8), 770–779. https://doi.org/10.18488/journal.aefr.2017.78.770.779
   Google Scholar
• Upadhyay, D., & Suvarna, S. W. (2018), “Impact of Demonetization on the Indian Stock Market”, Paradigm, Available at: https://doi.org/10.1177/0971890718788226
   Google Scholar
• Verma, N., & Verma, T. L. (2017), “Demonetization and Possibility to Transform Real Estate Business in India”, Working paper, SSRN, Available at: https://ssrn.com/abstract=3012407.
   Google Scholar
• Yashoda (2017). Demonetization and its impact. International Journal of Research in Commerce & Management, 8(8), 65–67. https://ijrcm.org.in/article_info.php?article_id=7898
   Google Scholar