Abstract
The present paper attempts to explain the impact of demonetization on Returns of NSE Sectoral Indices using historical volatility. Demonetization is one of the historic events not only within the economy but also even beyond borders of the nation. The recent economic surgical strike on November 8, 2016 instrumented by Government of India (GOI) in order to limit black money circulation stunned the markets. To study the impact of demonetization as one of the effects on India Incorporation, in this research, differences between returns of NSE Sectoral indices with respect to Auto, FMCG, Bank and Realty by using various historical volatility tools. The study found that there was no significant difference in historical volatility of Auto and Realty Indices but significant difference was observed in Bank and FMCG Indices.
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