Open Access
Subscription Access
Open Access
Subscription Access
Lead Lag Effect Between Nifty 50 and Midcap 50 of Indian Stock Market
Subscribe/Renew Journal
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.
Subscription
Login to verify subscription
User
Font Size
Information
- Altay, E. (2004). Cross-autocorrelation between small and large cap portfolios in the German and Turkish stock markets. Journal of Financial Management and Analysis, 17(2), 77.
- Badrinath, S. G., Kale, J. R., and Noe, T. H. (1995). Of shepherds, sheep, and the cross-autocorrelations in equity returns. Review of Financial Studies, 8(2), 401-430.
- Boudoukh, J., Richardson, M. P., and Whitelaw, R. F. (1994). A tale of three schools: Insights on autocorrelations of short-horizon stock returns. Review of financial studies, 7(3), 539-573.
- Campbell, J. Y., Lo, A. W. C., and MacKinlay, A. C. (1997). The econometrics of financial markets. princeton University press.
- Chang, E. C., McQueen, G. R., and Pinegar, J. M. (1999). Crossautocorrelation in Asian stock markets. Pacific-Basin Finance Journal, 7(5), 471-493.
- Chui, A. C., and Kwok, C. C. (1998). CROSS‐AUTOCORRELATION BETWEEN A SHARES AND B SHARES IN THE CHINESE STOCK MARKET. Journal of Financial Research, 21(3), 333-353.
- Hou, K. (2007). Industry information diffusion and the lead-lag effect in stock returns. Review of Financial Studies, 20(4), 11131138.
- Kang, J., Liu, M. H., and Ni, S. X. (2002). Contrarian and momentum strategies in the China stock market: 1993–2000. Pacific-Basin Finance Journal, 10(3), 243-265.
- Karmakar, M. (2010). Information transmission between small and large stocks in the National Stock Exchange in India: An empirical study. The Quarterly Review of Economics and Finance, 50(1), 110-120.
- Li, Y., Greco, J. F., and Chavis, B. (2000). Lead-lag relations between A shares and H shares in the Chinese stock markets. Working Paper, California State University, Fullerton.
- Lo, A. W., and MacKinlay, A. C. (1990). When are contrarian profits due to stock market overreaction?. Review of Financial studies, 3(2), 175-205.
- Marshall, P., and Walker, E. (2002). Asymmetric reaction to information and serial dependence of short-run returns. Journal of Applied Economics, 5(2), 273-292.
- McQueen, G., Pinegar, M., and Thorley, S. (1996). Delayed reaction to good news and the cross‐autocorrelation of portfolio returns. The Journal of Finance, 51(3), 889-919.
- Mech, T. S. (1993). Portfolio returns autocorrelation. Journal of Financial Economics, 34(3), 307-344.
- Poshakwale, S., and Theobald, M. (2004). Market capitalization, cross-correlations, the lead/lag structure and microstructure effects in the Indian stock market. Journal of International Financial Markets, Institutions and Money, 14(4), 385-400.
Abstract Views: 230
PDF Views: 0