GST Implementation and its Effect on Indian Capital Market: A Comparative Study

Authors

  • M. Babu
  • C. Hariharan

DOI:

https://doi.org/10.33516/rb.v44i2.58-68p

Keywords:

Goods and Services Tax (GST), Fast Moving Consumer Goods (FMCG) Sector, Service Sector, GARCH (1, 1) Model and EGARCH

Abstract

Any new information about the economy is transmitted fast and it may influence the financial markets, positively or negatively. In the middle of 2017, the Indian Government implemented the Goods and Services Tax, which provided several benefits to various sectors while some sectors were adversely affected. The present study used Descriptive statistics, Augmented Dickey–Fuller (ADF) test, GARCH (1, 1) Model and EGARCH, to investigate the impact of GST implementation on Indian stock market and particularly, the study compared FMCG and Services Sector indices with sectoral indices of NSE India. The results of GARCH (1, 1) Model and EGARCH confirmed that implementation of GST influenced the Indian stock market and the negative information about GST mostly affected the Nifty FMCG and Nifty Services Sector, along with other sample sectoral indices of Indian stock market, during the Pre and Post GST implementation period. Finally, the study concluded that bad news travels fast and it increased volatility more than good news of the same. Thus the Government may organise more awareness programme to the people before the implementation of any economic policy.

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Published

2018-07-01

How to Cite

Babu, M., & Hariharan, C. (2018). GST Implementation and its Effect on Indian Capital Market: A Comparative Study. Research Bulletin, 44(2), 58–68. https://doi.org/10.33516/rb.v44i2.58-68p

Issue

Volume 44, Issue 2, July 2018

Section

Articles
Crossref
Scopus
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Europe PMC

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