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A Study to Find Co-Relationship of Various Sectorial Indices Return for Different Investment Period
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The study tries to explores the co-relationship amongst various sectoral indices which include Auto, Banking, Capital goods, Consumer durable, FMCG, Health Care, Metal Power, Realty and Sensex of Bombay stock exchange This study is done using the daily index of all stock markets from 1st April 2001 to 30 April2016. In the study returns for investment period for one month, one year, three year, five year and seven year have been calculated and have been compared using Descriptive Analysis. The correlation matrix of sectoral returns for different investment period has been used to look at the relationship between indices. There exist positive correlation among various sectors when the investment period is less than five years however when the investment period is five year and more some sectors shows negative correlation in them. It also studies about the systematic and non-systematic risk for different sectors. FMCG and Health Sectors are the best sectors over this period of time in terms risk-return reward ratio whereas Power and realty sector have been the worst performer. The study also tested long term relationship by using Augmented Dicky Fuller Test (ADF) and Granger Causality lest. All sectors exhibited Non Stationary nature. Banking Sector was seen as Granger causing most of the sector whereas IT Sector was seen as the sector not having long term relationship with any other sector
Keywords
Correlation Matrix, Granger Causality Test, Jarque Bera Test, Kruscal Wallis Test, Sectoral Indices.
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