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Saji, T. G.
- Sector Effects in Emerging Market Returns:Evidence from India
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Authors
Affiliations
1 Department of Commerce and Management Studies, Government College, Thrissur 680014, Kerala, IN
1 Department of Commerce and Management Studies, Government College, Thrissur 680014, Kerala, IN
Source
Artha Vijnana: Journal of The Gokhale Institute of Politics and Economics, Vol 56, No 3 (2014), Pagination: 402-417Abstract
This paper sheds light on the implications of the changing structure of stock returns for asset management. Using latest stock market data, under Engle Granger (EG) cointegration framework, it finds absence of stock return correlations among industrial sectors in India. The findings provide clear evidence of the diversification over unrelated sectors which yield more efficient portfolios than diversification over firms. Mean-variance analysis of a set of experimental portfolios further confirms the prediction on portfolio choice with multi-sector consideration. The study suggests analysis of the risk return indifference curves of the investors for matching the portfolio performance with investor utilities.- Can Macroeconomic Factors Lead Stock Returns in India?
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Authors
T. G. Saji
1,
S. Harikumar
2
Affiliations
1 Post-Graduate Department of Commerce and Management Studies, Government College, Thrissur 680014, IN
2 Department of Applied Economics, Cochin University of Science and Technology, Cochin 682022, Kerala, IN
1 Post-Graduate Department of Commerce and Management Studies, Government College, Thrissur 680014, IN
2 Department of Applied Economics, Cochin University of Science and Technology, Cochin 682022, Kerala, IN