Dynamic linkage between nifty-fifty and sectorial indices of national stock exchange
DOI:
https://doi.org/10.31150/ajebm.v3i2.148Keywords:
Granger Causality, Johansen Co-integration, Nifty-Fifty, Sectorial IndicesAbstract
The main objective of this paper is to analyze the trend and pattern of the Nifty-Fifty and sectorial indices. An attempt has been also made to find out the causal relationship among the Nifty-Fifty and NSE sectorial Indices. The unit root test and Granger-causality test has been applied to check the causal relationship between Nifty-Fifty and sectorial indices. The finding of the study shows that the financial service sector had performed better and followed by the banking sector among all the indices while the Pharma sector and the Realty sector were Under-performed in comparison to other indices. The Nifty-Fifty has been found less volatile in comparison to other sectorial indices however Realty sector indices show the highest volatility during the study period.
Downloads
References
Farooq, M., Keung, W., and Kazmi, A. (2004), “Linkage between Stock Market Prices and Exchange Rate: A Causality Analysis for Pakistan”, The Pakistan Development Review, Vol 43 No. (4), pp 639-649.
https://www.nseindia.com/products/content/equities/indices/historical_index_data.htm
https://www.moneycontrol.com/stocksmarketsindia/#nse_bsetab24
Krishnamurty, K., (2002), “Macro econometric Models for India: Past, Present and Prospects”, Economic and Political Weekly, Vol 37 No. 42, pp 4295-4308.
M, Aravind, (2017), “The Dynamic Linkage among Sectoral Indices: Evidence from Indian Stock Market”, Rajagiri Management Journal, Vol 11, No 2, pp 3-20.
Markowitz, H. (1952), “Portfolio Selection”, The Journal of Finance, Vol 7 No. 1, pp 77-91.
Maysami, R. C., Howe, L. C., and Hamzha, M. A. (2004), “Relationship between Macroeconomic Variables and Stock Market Indices: Co-integration Evidence from Stock Exchange of Singapore's All-S Sector Indices”, Jurnal Pengurusan (UKM Journal of Management), Vol. 24 No.1 pp 47-77.
Sarkar, A., Chakrabarti, G., and Sen, C. (2009), “Indian Stock Market Volatility in recent years: Transmission from Global Market, Regional Market and Traditional Domestic Sectors”, Journal of Asset Management, Vol 10 No.1, pp 63–71.
Sharpe, W.F. (1963), “A Simplified Model for Portfolio Analysis”, Management Science, Vol 9 No. 2, pp 277-293.
Singh, K., & Vashishtha, S. (2019). Empowering the power sector through uday: A study of Haryana. ZENITH International Journal of Multidisciplinary Research, 9(5), 1-7.
Singh, K., & Vashishtha, S. (2019). Performance analysis and initiative policies: a study of Indian power sector. American Journal of Economics and Business Management, 2(4), 163-179.
Singhal, S., and Ghosh, S. (2016), “Returns and Volatility Linkages between International Crude Oil Price, Metal and Other Stock Indices in India: Evidence from VAR-DCC-GARCH models”, Resources Policy, Vol 50 No 1, pp 276–288.
Tiwari, A., and Islam, F. (2012), “Are there Benefits from Sectoral Diversification in the Indian BSE Market? Evidence from Non-Parametric Test”, Indian Economic Review, Vol 47 No. 2, pp 285-305.
Vardhan, H., Sinha, P., and Vij, M. (2015), “Behavior of Indian Sectoral Stock Price Indices in the Post Subprime Crisis Period”, Journal of Advances in Management Research, Vol 12 No.1, pp 15-29.
