The Dynamic Linkage Among Sectoral Indices: Evidence from Indian Stock Market

Rajagiri Management Journal, Volume 11, Issue 2, December 2017

18 Pages Posted: 1 Mar 2018

See all articles by Aravind M

Aravind M

TKM Institute of Management

Date Written: December 20, 2017

Abstract

The sectoral indices will act as a bench marking indicator for observing the performance stocks from a particular sector. An in depth examination on causal impact of a sector on the other sectors and the market index can assist the investors and portfolio managers to a great extent in addressing some key issues relating to portfolio revision. In this study we explore the co-movements of twelve NSE sectoral indices and Nifty on a daily basis from January 2012 to December 2016. The Granger causality test produced the evidence of strong bidirectional linkage between private banking sector and nifty. With respect to IT and FMCG sectors a significant unidirectional causal affiliation was reported with Nifty. The cross sectoral examination results confirmed that irrespective of share holding pattern a strong bidirectional relation can be observed with banking stocks.

Keywords: Sectoral Indices, Descriptive Statistics, Unit Root Test, Granger Causality Test

Suggested Citation

M, Aravind, The Dynamic Linkage Among Sectoral Indices: Evidence from Indian Stock Market (December 20, 2017). Rajagiri Management Journal, Volume 11, Issue 2, December 2017, Available at SSRN: https://ssrn.com/abstract=3126747

Aravind M (Contact Author)

TKM Institute of Management ( email )

Musaliar Hills
Karuvelil
Kollam, KERALA 691 505
India

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