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Arora, Haritika
- Lead Lag Effect Between Nifty 50 and Midcap 50 of Indian Stock Market
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Authors
Affiliations
1 C K D Institute of Management and Technology, Opp. Model Town, Near Railway Station, G.T. Road, Amritsar, IN
1 C K D Institute of Management and Technology, Opp. Model Town, Near Railway Station, G.T. Road, Amritsar, IN
Source
Asian Journal of Management, Vol 8, No 3 (2017), Pagination: 854-858Abstract
This study has made a attempt to establish the lead lag relationship between the Nifty 50 and Midcap 50 for period 1st January 2011 to 31st December 2015. For this purpose, this study have used Johansen Co-integration Test, Vector Autoregressive (VAR) Model, Variance decomposition and Impulse response function. Results revealed that there is no long term co-integrating relationship between the Nifty 50 and the Midcap 50. Further, Vector Autoregressive (VAR) Model, Variance decomposition and Impulse response function clearly provide evidence of Nifty to be influenced by its own lagged returns. On the other hand, Midcap is highly influenced by the Nifty lagged returns and then by its own returns. Hence, Nifty leads the Midcap.Keywords
Johansen Co-Integration Test, Impulse Response Function, Variance Decomposition and Vector Autoregressive (VAR) Model.
References
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Abstract Views :173 |
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Authors
Affiliations
1 C K D Institute of Management and Technology, Opp. Model Town, Near Railway Station, G.T. Road, Amritsar, IN
1 C K D Institute of Management and Technology, Opp. Model Town, Near Railway Station, G.T. Road, Amritsar, IN
Source
Asian Journal of Management, Vol 8, No 3 (2017), Pagination: 893-900Abstract
This paper examines Intraday market return patterns for Nifty 50 on the Indian stock market for the search of time and seasonal anomalies for Pre-Rolling settlement period and Post rolling settlement period. In light of all the consequences, it has been concluded from this study that there exists a significant time of the day effect exposed in two effects - the open jump effect and persistent end of session effect. The first 20 minutes of opening is significant for all days of the week, additionally, for Wednesday first 35 minutes is evident for pre-rolling settlement period. But in post rolling settlement period, only the first 20 minutes are found to have significant returns for all trading days. Further, the persistent end of session effect is seen for all trading days except for Monday (for Pre-Rolling settlement period) and Wednesday (for Post-Rolling settlement period).Keywords
End of Session Effect, Intraday Return, Open Jump Effect, Rolling Settlement.References
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