STUDY ON TESTING THE STATIONARITY AND CO-INTEGRATION AMONG THE SECTORAL INDICES OF NATIONAL STOCK EXCHANGE OF INDIA
Journal: International Journal of Mechanical Engineering and Technology(IJMET) (Vol.9, No. 7)Publication Date: 2018-12-28
Authors : M. RAJA M. MUTHU GOPALAKRISHNAN PRATHIBHA RAJ; VIJAYA BHASKAR - View IJMET INFLUENCE OF QUINOLINE ON PERFORMANCE FCC CATALYST; ADDITIVES FOR CRACKING OF N-HEXANE Download PDF Abstract Reference JITENDRA KUM;
Page : 505-515
Keywords : Sectoral Indices; Stock Market Return; National stock Exchange; Cointegration; Normality.;
Abstract
The Stock Market is a market for the trading of company stocks. It is an organized market place where members of the organization gather to trade company stocks and other securities. An index is important to measure the performance of investments against a relevant market index. Sectoral indices serve as a benchmark for measuring the performance of the stocks or portfolios. This study explores stationarity and cointegration relationship among stock market returns and the eight important NSE sectoral indices for the period of January 2013 to December 2017. Sectoral Index series indicates the existence of co integration among the sectoral indices of NSE. Co integration exists in long run equilibrium and in short run they diverge from each other or they have disequilibrium. This study is useful to find out the determinant factors of the National Stock Exchange and led lag relationship among the Sectoral Indices in National Stock Exchange.
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