Open Access Subscription Access
Open Access Subscription Access
Integration of Sectoral Indices from NSE and BSE:An Application of Co-Integration Analysis
Contributing to the meager published literature on interrelationships amongst stock market sectors of an economy, Our study examines co-integration of NSE (National Stock Exchange) sectoral stock indices and BSE sectoral indices (Auto, Bank, Energy, Financial Services, FMCG, IT, Metal and Realty). The data correspond to daily closing prices for 8 sectoral indices of the Indian stock market, covering the period between 1st January, 2011 to 30th October 2016 The study concludes on the sectoral indices from NSE and BSE where bi-variate co-integration test suggest that there is a diversification opportunity available for investor in FMCG, IT and Metal index. Further the multivariate analysis shows that among all BSE and NSE sectors, they are co-integrated that means portfolio will not be benefited due to long term relationship among NSE and BSE sectoral indices.
Co-Integration, Sectoral Indices, NSE, BSE, Portfolio.
- Agung Gusti Ngurah (2011) “Time Series Data Analysis Using Eviews”, John Wiley & Sons Pte. Ltd., New Delhi, pp. 330, pp. 331.
- Ahmed WMA. (2016) “The dynamic linkages among sector indices: the case of the Egyptian stock market” International Journal of Economics and Finance, Vol. 8, No. 4, PP. 23-38
- Ayhan K. Et. Al. (2014) “Testing for co-integration and causality between sectoral indices and euro exchange rate in Turkey” Business Management Dynamics, Vol.3, No.7, PP. 1-13
- Balarezo, J. (2010). “International diversification using co-integration and modern portfolio theory”. Master Thesis Applied Economics and Finance - Dep. of Economics, Copenhagen Business School (Unpublished Thesis)
- Gujarati N. Damodar and Sangeetha (2007) “Basic Econometrics”, The McGraw-Hill Companies, New Delhi, pp. 833-837, p. 841, p. 842.
- Gujarati N. Damodar, (2011) “Econometrics by Example”, Palgrave Macmillan Publishers Ltd., New Delhi, pp. 224-235.
- Joshi P. and Giri A. K. (2015) “Examining the Relationship between Sectoral Stock Market Indices and Sectoral Gross Domestic Product: An Empirical Evidence from India” Global Journal of Management and Business Research, Volume 15, Issue 9.
- Krishnankutty R. and Tiwari A. K. (2011) “Are the Bombay stock Exchange Sectoral indices of Indian stock market co-integrated? Evidence using fractional co-integration test” Munich Personal RePEc Archive, Journal of Emerging Financial Markets, Vol. 2, No. 1: pp. 37-45
- Maysami R. C. Et. Al. (2004) “Co-movement of Sectoral stock market indices and co-integration among dually listed companies” Jurnal Pengurusan 23, PP. 33-52
- Maysami R. C. Et. Al. (2004) “Relationship between Macroeconomic Variables and Stock Market Indices: Co-integration Evidence from Stock Exchange of Singapore’s All-S Sector Indices” Jurnal Pengurusan 23, PP. 47-77
- Spyridis T. Et. Al. (2010) “The Long-Run Relationship between Stock Indices and Economic Factors in the ASE: An Empirical Study between 1989 and 2006” International Journal Of Business, Vol. 15, Issue 4, PP. 426-442
- Vishal Deo (2014) “Investigating Co-integration between Some Indian Stock Indices” International Journal of Scientific & Engineering Research, Vol. 5, Issue 1, PP. 1869-73
- Yuksel E. and Guleryuz G. (2010) “How are The Sector Indexes are Related To ISE 100 Index: An Empirical Study on Istanbul Stock Exchange” Conference Book Publication PP 355 to 361
Abstract Views: 13
PDF Views: 0