Impact of Demonetization on Stocks Market in Indian Industries · reflected immediately in security...

Impact of Demonetization on Stocks Market in

Indian Industries 1Angelin Kiruba and

2S. Vasantha

1School of Management Studies,

Vels University, Chennai.

[email protected] 2School of Management Studies,

Vels University, Chennai, India.

[email protected]

Abstract 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”. Demonetization in India

affected stock market, where market indices dropped to six months low in

the week following the announcement of demonetization. BSE crashed

around 1689 points and NIFTY over 541 points. Hence there is a need to

understand how much the demonetization has affected the stock prices and

to analyse the stock price movement pre and post demonetization. The

study investigates the reaction of investors to demonetization releases as

reflected in the price movements of common stocks during a

demonetization. The event study methodology is used with stockprices to

measure the stock market reaction by creating Cumulative Abnormal

Returns.

The Objectives of the study were to measure the returns of the selected

stocks, pre and post demonetisation, using Holding Period Return and to

find the expected returns of the selected stocks pre-and post -

demonetisation, using CAR to study the impact of Demonetization on stock

prices of selected sectors. This study focuses on impact of demonetization

on stock prices of 5 selected sectors, Logistics, Hotel, Domestic Appliance,

Personal Care and Food Processing. 5 companies in each sector were

considered for this study. The closing prices of stocks were used to find the

International Journal of Pure and Applied MathematicsVolume 118 No. 5 2018, 99-115ISSN: 1311-8080 (printed version); ISSN: 1314-3395 (on-line version)url: http://www.ijpam.euSpecial Issue ijpam.eu

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returns, starting from 1st July 2016 to 30th November 2016 which consists of

data of 4 months before demonetization and 1 month after demonetization.

MacKinlay (1997) argues that "given rationality in the marketplace, the

effects of an event will be reflected immediately in security prices” Since the

reaction of shareholders are always happen immediately after an event,

post study has been conducted with one month data.

Key Words:Demonetisation, stock market, Event study, Impact analysis.

International Journal of Pure and Applied Mathematics Special Issue

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1. Introduction

Demonetization is the act of stripping a currency unit of its status as legal

tender. It occurs whenever there is a change of national currency. The current

form or forms of money is pulled from circulation and retired, often to be -

replaced with new notes or coins. Demonetization is necessary whenever there

is a need to change national currency. The highest demonetization note printed

by the Reserve Bank of India, Rs 10,000 note was demonetized in January 1946

and again in January 1978. On 8 November 2016, the Government of India

announced the demonetisation of all ₹500 and ₹1,000 banknotes. RBI

announced around 99% of demonetized amount has been deposited into banks

i.e., Rs15.28 trillion out of Rs15.44 trillion as on Aug 31, 2017. 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

sudden nature of the announcement and the prolonged cash shortages in the

weeks that followed created significant disruption throughout the economy,

threatening economic output. A resultant impact on stock market was also well

expected. The ministry‟s note added that demonetisation had resulted in a 24.5%

increase in the number of income tax returns filed till August 5. RBI‟s report

also sheds further light on other aspects of the demonetisation move such as its

costs. The cumulative effect of the decrease in income and increase in

expenditure effectively halved RBI‟s net profit to Rs 30,663 crore from Rs

65,880 crore a year ago. The central bank transferred almost its entire profit to

the government.

Demonetization leads to a situation where the country would suddenly feel short

of the money that it needed to enable the transactions. This leads to decrease in

prices of goods and services. Until money comes into circulation the purchasing

power of people would negatively impact the prices in various industries, it

could be real estate, Automobiles, steel, cement, etc. which in turn affect the

prices of stocks negatively.

2. Significance of the Study

Cash transactions are the norm in India with around 96% transactions conducted

in cash. With such a high degree of reliance on cash, the impact of

demonetization on FMCG industry, Logistics, domestic appliances are much

larger than envisaged by management pundits and think tanks. The fall in off

take is driven by urban India (-3.1 per cent in November versus October), while

rural India has managed to stay flat at 0.4 per cent mainly due to smaller packs,

smaller currency transactions and flourishing barter system. Hotels are among

the least affected sectors post-demonetisation. In fact, the economy hotels have

reported a rise in bookings and revenue per available room (RevPAR) this year

compared to last year. At Tata Group‟s budget hotel chain Ginger, for instance,

the occupancy rate this December has gone up by more than 10%, compared to

last year, registering over 3% overall growth to clock an aggregate of 70%. This


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has reflected in the price of stock in Hotels, Personal care, Logistics & transport,

domestic appliances and food processing sector. Hence, the study has been

made to study the impact of demonetization on these stock prices.

3. Literature Review

A Parliamentary panel report in April 2017 stated that rural households and

honest taxpayers were the worst hit by demonetisation. It said that it was not just

the poor that suffered, but the manufacturing sector was impacted too.

According to the panel, demonetisation created significant disruption throughout

economy, because it was carried out without prior study or research.

Rajanish Kumar (2017) examined the effect of demonetization on stocks in

terms of EPS. The author has compared the EPS of companies before and after

demonetization and estimated the EPS for next quarter i.e. January to March to

analyse the long term impact of demonetization and has given an opinion that

there is no negative impact of demonetisation in the long term.

Kailash Bathija and Krishna Eluri (2017) analysed the impact of

demonetization on stock market. The main reason behind this move was to curb

black money and stop terrorism funding. They have found out that the share

prices fell around 6 % on 9th November as a combined effect of demonetization

and US Presidency election. In November, foreign investors sold around $3

billion value stocks. According to the authors, “this impact is for short term,

BSE Sensex would rise to 26560 by the end of the month of December”. They

have also predicted that it would reach 28500 by mid of 2017 and 29600 by the

end of 2017 and NSE nifty would rise to 8775 points.

Narendra Nathan (2017) explained that demonetization and US presidential

election affected Indian stock market. The day after these changes the BSE

opened with a loss of 1300 points and recovered slowly after a week. This move

created opportunity to buy value stocks which give higher returns in future. It

means that the impact is temporary or for short period and stock market would

recover slowly.

Manas Chakravarty (2017)reports that investor feels that the impact of

demonetisation on stock market is temporary as lower interest may offset

adverse effects. Not only this move by central government has affected the

market, along with this the US presidency election has also affected the market.

The rise in the US bond yield has led to flow of money from market like India

and other growing market.

Sukanta Sarkar (2010)conducted a study on the parallel economy in India:

Causes, impacts & government initiatives in which the researcher focused on the

existence of causes and impacts of black money in India. According to the

study, the main reason behind the generation of black money is the Indian

Political System i.e. Indian govt. just focused on making committees rather than

to implement it. The study concludes that laws should be implemented properly


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to control black money in our economy.

Tax Research Team (2016)in their working paper stated in favour of

demonetization Its main objective is to analyze the impact of demonetization on

Indian economy. This paper shows the impact of such a move on the availability

of credit, spending, level of activity and government finances.

Arpit Guru and Shruti Kahanijow (2010) researcher analysed the black

money income? Need for amendment in DTAA &ITEA and analysed that black

money is spread everywhere in India up to a large extent which continuously

stashed towards abroad in a very large amount. The researcher also identified

how black money had caused menaces in our economy and in what ways it is

used.

4. Event Study

The event study is an important research tool in economics and finance. The aim

of event study analysis is to determine whether there is any relationship between

the event and the fluctuation of stock price by monitoring the changing of stock

price and the occurrence of abnormal returns. Event study methods exploit the

fact that, given rationality in the marketplace, the effects of an event will be

reflected immediately in security prices and the impact can be measured by

examining security prices surrounding the event. The roots of event study go

back to Dolly (1939), who was the first to introduce event study analysis to the

public. He examined the effects of stock splits to stock prices, but this theory

has been significantly developed since the 1960s. The path-breaking event study

conducted by Fama, Fisher, Jensen, and Roll (1969) innovated the methodology

used in event studies since then. Even the most cursory perusal of event studies

carried out over the past four decades reveals a striking fact: the basic statistical

format of event studies has not changed over time. It is still based on the table

layout in the classic stock split event study of Fama et al. (1969). The key focus

is still on measuring the sample securities‟ mean and cumulative mean abnormal

return around the time of an event.

Since the 1980s, the performance of event study methodology has been the

subject of a number of studies. The main concern of this research is to analyse

the power and the degree of specification of test statistics used in short-run and

long-run event studies. Brown and Warner (1985), Dyckman, Philbrick, and

Stephan (1984), Campbell and Wasley (1993) and Cowan and Sergeant (1996)

analyse how the particular properties of daily stock returns affect the

performance of several test statistics used in short-run event studies. On the

other hand, Barber and Lyon (1997), Kothari and Warner (1997), Brav (2000)

and Jegadeesh and Karceski (2004) examine the performance of alternative test

statistics used in long-run event studies.

The main idea of the theory is that stock markets, i.e. investors, react to new

information released by a company immediately. If there is any lag in the

response of prices to an event, it is short-lived. The reason for this is that


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investors notice these „anomalies‟ and buy or sell stocks and it disappears.

Shiller (2003) says that the efficient market theory, as it is commonly expressed,

asserts that when irrational optimists buy a stock, smart money sells, and when

irrational pessimists sell a stock, smart money buys, thereby eliminating the

effect of the irrational traders on market price. But this smart money system

does not work successfully all the time. Throughout history, we have seen asset

bubbles all around the world and the „system‟ has failed.

5. Methods and Analysis of Data

According to Mitchell, Netter (1994) and MacKinlay (1997), event study is

done "using financial market data" to "measure the impact of a specific event on

the value of a firm". He argues that "given rationality in the marketplace, the

effects of an event will be reflected immediately in security prices. Thus a

measure of the event's economic impact can be constructed using security prices

observed over a relatively short time period". It is important to note that short -

horizon event studies are more reliable than long horizon event studies as the

latter have many limitations. Hence to identify the immediate effect short

horizon is used.

This is to analyse the impact of demonetization on stock market which includes

before demonetization, event window is referred as demonetization month and

post event window is referred to as post demonetization situations.

1.To investigate the behaviour of the prices after the event day. Event study is

employed to test the following hypotheses:

Ho: Expected abnormal return is zero for each stock for each day before the

event window.

H1: Expected abnormal return is different from zero for each stock for each day

after the event window.

2. Realised return, CAR and ANOVA analysis has been carried out in the study

to find out an impact on stock returns during the period.

Holding Period Return (HPR)

HPR is the total return received from holding an asset or portfolio of assets over

a period of time, generally expressed as a percentage.

Holding Period Return = (End of Period Value – Initial Value) / Initial Value *

100

Cumulative Abnormal Return

The 'market model' is one of the most common models used. It builds on the

actual returns of a reference market and the correlation of the firm's stock with

the reference market. Equation (1) describes the model formally. The abnormal

return on a distinct day within the event window represents the difference

between the actual stock return (Ri,t) on that day and the normal return, which is


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predicted based on two inputs; the typical relationship between the firm's stock

and its reference index (expressed by the α and β parameters), and the actual

reference market's return (Rm,t).

ARi,t=Ri,t−(αi+βiRm,t) (1)

Such an analysis performed for multiple events of the same event type (i.e., a

sample study) may yield typical stock market response patterns, which have

been at the centre of prior academic research. Typical abnormal returns

associated with a distinct point of time before or after the event day are defined

as follows.

AAR=1N∑i=1NARi,t (2)

To measure the total impact of an event over a particular period of time (termed

the 'event window'), one can add up individual abnormal returns to create a

'cumulative abnormal return'. Equation (2) formally shows this practice. The

most common event window found in research is a three day event window

starting at t1=−1 and ending at t2=1.

CAR(t1,t2)=∑t=t1t2ARi,t (3)

This Study using the CAR analysis to find the difference among three intervals.

That is (i) Zero represent the event time (ii) -1 to -10 represent the pre - event

(iii) 1 to 5 represent the post event which are mentioned under the category pf

“event time”.

6. Industry Specific CAR Analysis

(i)Transport and Logistics Industry

In the estimation window, only container corp and Interglobe Ave companies

are shown negative CAR before the event period and in the event window all the

companies CAR values got reduced which is clearly shown in the chart. That

means 100% logistics companies are affected during demonetisation period.

Event Time Jet Airways SpiceJet Aeges Container Corp Interglobe Ave Average

-10.00 3.640116279 -4.043604651 0.052906977 2.312093023 4.91627907 1.37555814

-9.00 6.180232558 -5.487209302 -1.494186047 2.224186047 -1.76744186 -0.068883721

-8.00 10.87034884 -3.930813953 -1.99127907 -7.94372093 -9.201162791 -2.439325581

-7.00 5.060465116 -5.674418605 -2.588372093 -21.99162791 -4.684883721 -5.975767442

-6.00 -2.449418605 -7.018023256 -2.685465116 -27.91953488 -13.66860465 -10.7482093

-5.00 1.590697674 -5.611627907 -2.43255814 -24.28744186 -13.85232558 -8.918651163

-4.00 5.930813953 -5.505232558 -0.129651163 -29.21534884 -18.23604651 -9.431093023

-3.00 6.670930233 -4.098837209 -5.426744186 -29.26325581 -21.01976744 -10.62753488

-2.00 25.01104651 -0.19244186 1.126162791 -42.71116279 -7.853488372 -4.923976744

-1.00 27.90116279 0.963953488 3.629069767 -37.99906977 -11.3372093 -3.368418605

0.00 27.44127907 1.170348837 5.231976744 -44.76697674 -11.57093023 -4.498860465

1.00 3.681395349 -3.623255814 -20.26511628 -71.17488372 -87.05465116 -35.68730233

2.00 -9.378488372 -3.866860465 -17.0622093 -71.5027907 -67.48837209 -33.85974419

3.00 0.811627907 -1.960465116 -17.00930233 -61.88069767 -47.12209302 -25.43218605

4.00 43.10174419 1.995930233 -16.00639535 -36.48860465 -11.05581395 -3.690627907

5.00 51.14186047 3.602325581 -14.00348837 -28.85651163 41.71046512 10.71893023

Transport and Logistics Industry


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(ii) Hotels

Out of selected 5 companies, Indian Tourism D and Indian Hotels has been

shown the positive result after the announcement of demonetisation. Hotels –

EIH, Leela and Mahindra Holida shares are affected during the event window. It

means that 60% hotel industries were affected during demonetisation.


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(iii) Personal Care

In the estimation window, Dabur India in personal care sector have shown

negative CAR before the event period. After the announcement of

demonetisation Dabur India, Colgate and Marico shares also affected. HUL and

Godrej Consumer shares got increased after the event window. Even though, the

share values affected on the event window, after three days, all the share values

are started increasing.

(iv)Food Processing

In the estimation window, only Britannia company in food processing sector

have shown negative CAR before the event period and in the event window. All

the companies CAR values got increased after the event window. That means

100% food processing company‟s performance got increased during

demonetisation. As per Maslow‟s theory, since it is a basic needs of people,

there were no fluctuation to the investor to invest on this sector which is created

big improvement after the demonetisation.


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(v) Domestic Appliances

In the estimation window, Bajaj, Butterfly and Howkins on the domestic

appliances companies sector have shown Positive CAR before the event period

and in the event window. TTK Prestige and Viaan Ind companies shares shows

the same performance before and after the event. It means that there is no

impact in this sector because of dementisation.


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Logistics and Transport is the most benefited sector by this demonetization

because it was really challenging to make the cash transactions due to the

demonetisation. People were concentrating on purchasing food processing stuff

for their basic needs and daily needs. Since there is no possibility in reduction in

food items, investors are shown their interest to buy the basic need commodities.

Event Time Logistics Hotels Personal Care Food Processing Domestic Appliances

-10.00 1.37555814 -0.986724806 4.349930233 31.2532093 -39.0404186

-9.00 -0.068883721 -1.218449612 6.289860465 55.9164186 -23.28883721

-8.00 -2.439325581 -1.065174419 5.491790698 21.45962791 -12.85725581

-7.00 -5.975767442 -3.106899225 -0.80827907 -16.45716279 -54.07567442

-6.00 -10.7482093 -2.973624031 0.141651163 -2.373953488 -82.74809302

-5.00 -8.918651163 -2.483682171 1.997581395 18.98925581 -69.88851163

-4.00 -9.431093023 -0.632073643 5.757511628 24.03246512 -90.11893023

-3.00 -10.62753488 2.54620155 9.81744186 38.04567442 9.914651163

-2.00 -4.923976744 3.406143411 8.063372093 81.18888372 24.64423256

-1.00 -3.368418605 2.557751938 14.47930233 121.002093 39.40381395

0.00 -4.498860465 1.537693798 13.11523256 146.4153023 67.10339535

1.00 -35.68730233 -6.845697674 -1.218837209 82.64851163 87.00897674

2.00 -33.85974419 -5.524089147 3.271093023 124.6917209 110.3425581

3.00 -25.43218605 -3.020813953 24.68702326 267.9549302 133.2521395

4.00 -3.690627907 0.37746124 40.68295349 425.4781395 252.9217209

5.00 10.71893023 2.134069767 30.47488372 451.8613488 301.3513023


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During the event time, hotels sectors are also affected, but after three days the

share values are got increased in the share market. When comparing with prior

and after the performance of shares of all the industries, after demonetisation the

performance growth is very higher than the pre demonetisation.

The real effect is on retail sector where transactions happen in the form of cash

and people faced difficulties to meet their daily needs. One of the major sectors

affected by demonetization was real estate. Experts say, there has been 40%

drop in sales in cities like Mumbai, Bengaluru, Chennai, Kolkata etc. as a result

of which stock prices had also come down, but these fluctuations were

temporary and it is more of behavioural investment because people were

hesitating to invest in real estate.

7. Impact of Demonetization on

Stock Prices of Selected Sectors

Using ANOVA

(i)Transport and Logistics Hypothesis

H0: (μ1 = μ2 = μ3) Mean return are equal there is no changes in the stock

values.

H1: Mean returns are not equal. There is a change in the share values after the

demonetisation.

Inference

Given Sig.< 0.05, (Value = 0.025), accept H1 hypothesis that mean returns of

the stocks in the three windows are not equal. From the multiple comparison

table also, the mean returns are significantly different. It means that share values

returns are changed during the demonetisation in the transport sector.

(ii)Hotels

Inference

Given Sig.> 0.05, (Value = 0.80), accept H0 null hypothesis that mean returns

of the stocks in the three windows are equal. From the multiple comparison

table also, the mean returns are not significantly different. It means that the

mean value of share return is not changed before, after and during the

DF Sum of Squares Mean Square F Significance F

Between Groups 1 31.20977071 31.20977071 1.414995516 0.254012318

Within Groups 14 308.7902293 22.05644495

Total 15 340


Between Groups 1 1.453250203 1.453250203 0.060096583 0.809900277

Within Groups 14 338.5467498 24.1819107

Total 15 340


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demonetisation in the hotel sector.

(iii)Personal Care

Inference


the stocks in the three windows are not equal. Since the multiple comparison

table mean returns are significantly different, It means that share values returns

are changed during the demonetisation in the personal care sector.

(iv) Food Processing

Inference




are changed during the demonetisation in the food processing sector.

(v)Domestic Appliances

Inference




are changed during the demonetisation in the domestic appliances sector.

8. Remarks and Findings

Considering the various sectors which are exposed to demonetization, there are

methodology were used to find out how all these sectors are performed during

the demonetisation period. In this study, logistics and transport has been

affected the most during the demonetisation. As per the research done by the

quickhop logistics, logistics companies are affected more than two months after

the demonetisation. But promoting cashless transactions for payment of money

helped the customers, and also customer‟s adaptability to new changes which

were avoided the major fluctuations in the logistics shares. Even though the

Hotel industry are affected during the demonetisation period, it started gaining

the returns after few days . However the shares values of all sectors got affected


Between Groups 1 156.4417774 156.4417774 11.9318266 0.003871806

Within Groups 14 183.5582226 13.11130162

Total 15 340


Between Groups 1 223.7060915 223.7060915 26.9307767 0.000137199

Within Groups 14 116.2939085 8.306707753

Total 15 340


Between Groups 1 250.455027 250.455027 39.15765 0.00002

Within Groups 14 89.54497304 6.396069503

Total 15 340


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during the period.

In food processing, domestic appliances and personal care are the basic needs

for all the people, which shares in the peak level during the demonetisation.

However in these sectors, small industries are affected like the other sectors

which was identified by the economic time‟s research.

The current study is done to analyse whether the demonetization has affected the

stock market or not.

As proved by this study the demonetization had an impact on the stock prices

only on the unstructured sectors like hotels and logistics however there is no

impact on high level manufacturing organisation of personal care, domestic

appliance and food processing. However all the industries share returns got

started increasing after few days of demonetisation and also the shares values

got increased more than the previous periods which is the very good effect for

the shareholders and the county‟s economy growth.

9. Scope for Further Study

The study can be extended to all sectors and up to a period of one year post

demonetisation. Also macro-economic factors during the period, which could

have an impact on the stock prices, could be considered.

10. Conclusion

The impact on stock market is temporary i.e. the prices of stocks were

fluctuating in the week of announcement of demonetization. In ecommerce,

online payment, card payment, mobile wallet payment on delivery of goods can

be better options to retain customers and dealers. In hotels and the transport and

logistics sectors, providing cash at tourist destinations and availability of card

payment system can be factors to be considered to attract tourists and to

maintain present revenue for the government. In hotel sectors, they can

improvising services on ecommerce which will avoid such scenario in future.

Since demonetization has not affected the stocks of the selected sectors,

investors need not worry about their investment and it was a better opportunity

for investors and speculators to purchase stocks at lower prices when they were

trading at lower prices in the week of announcement of demonetization.

Speculators who buy at lower prices with the expectations of selling them at

higher prices in future had expected that this move would drastically affect the

market and the impact would be long period but this study proved that

demonetization had no impact on stock market. The demand for goods and

services of different sectors was low but it was temporary and recovered with

more money in circulation. As expected by some investors, there should have

been a greater impact on stock market where according to some investors the

impact is for short term. The same has been proven in the study.


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