On November 8, 2016, the Indian government made a surprise announcement that certain currency notes (representing 86 percent of the currency then in circulation) would no longer be legal tender (although they could be deposited in banks over a limited period). The stated reason for this sudden “demonetization” was to combat tax evasion and corruption associated with “unaccounted for” cash. We compute abnormal returns for different subsamples of firms—defined by industry, ownership structure, and other characteristics—on the Indian stock market around this event. There is little evidence that sectors thought to be associated with greater tax evasion or corruption experienced significantly different returns. However, we find substantial positive returns for banks and for state‐owned enterprises (SOEs). These effects persist over longer time horizons, implying that the initial reactions do not show any indication of subsequent reversal. The bank results appear to indicate a market expectation of a persistent increase in financial depth. We also find a pattern of higher returns for industries that are characterized by a greater dependence on external finance, possibly suggesting an expectation of an easing of financial constraints. The returns for SOEs are more puzzling and we canvass a number of potential explanations, while leaving further examination of this finding to future research.

中文翻译：

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股市对印度2016年非货币化的反应

2016年11月8日，印度政府出人意料地宣布，某些纸币（占当时流通货币的86％）将不再是法定货币（尽管它们可以在有限的时间内存入银行）。出现这种突然的“非货币化”的明确原因是为了打击与“现金不足”相关的逃税和腐败行为。我们针对此事件在印度股票市场上计算了不同子样本的公司的异常收益，这些子样本由行业，所有权结构和其他特征定义。几乎没有证据表明被认为与逃税或腐败现象更大相关的部门获得了截然不同的回报。但是，我们发现银行和国有企业（SOE）都有可观的正收益。这些影响会持续更长的时间，暗示最初的反应没有显示任何随后逆转的迹象。银行的结果似乎表明市场对财务深度持续增长的预期。对于那些对外部金融的依赖性更大的行业，我们也发现了更高的回报模式，这可能表明人们有望放松金融约束。国有企业的回报令人困惑，我们探讨了许多潜在的解释，同时将这一发现进一步研究留待未来的研究。可能暗示预期将放松财务限制。国有企业的回报令人困惑，我们探讨了许多潜在的解释，同时将这一发现进一步研究留待未来的研究。可能暗示预期将放松财务限制。国有企业的回报令人困惑，我们探讨了许多潜在的解释，同时将这一发现进一步研究留待未来的研究。