Impact of demonetization on share price volatility in India: A comparison between SBI and PNB

This study measures how the SBI and PNB bank share price influenced by the demonetization during the study period. The period of study is from 1^st December 2016 to 31^st November 2018. This study is solely focused on secondary sources like closing stock price of SBI and PNB daily. Here the author considers different statistical tools like ADF test, Descriptive statistics, GARCH model and run test to find out the demonetization effect on volatility of share prices. Here the study reveals that both the banks stock prices are influenced by the demonetization effect. Both banks share prices found normally distributed and followed stationarity. It is concluded that PNB banks stock price is highly volatile in comparison to SBI share prices during the study period.