INTERLINKAGES BETWEEN THE MUTUAL FUND PERFORMANCE AND THE BENCHMARK MARKET RETURNS (NIFTY FIFTY AND SENSEX INDEX RETURNS)Journal: International Journal of Management (IJM) (Vol.12, No. 1)
Publication Date: 2021-01-31
Authors : Meetu Chawla Naaz Gorowara;
Page : 345-357
Keywords : Correlation; Causality; Benchmark indices; Explanatory power;
Correlation and causality are the two key facets to understand interlinkages between Mutual funds and benchmark index. Hence this paper has tried to investigate the interlinkages associated with equity mutual funds with benchmark stock index in India. It has also attempted to look for presence of causality lying in the behaviour of equity funds. This paper resolves around the correlation and causality if any exists between the returns provided by the selected equity schemes and the benchmark index returns namely BSE SENSEX returns and Nifty 50. Monthly closing NAV's of Equity funds along with benchmark indices ( BSE Sensex, Nifty 50) are examined for a period from April 1, 2008 till February 29, 2020. Results exhibited that there exists significant correlation between the mutual fund returns and the benchmark returns (nifty returns and Sensex returns). Explanatory power is also quantified to show the impact of benchmark index on mutual fund returns. The Lead lag relationship is identified with the help of Granger Causality test. Results revealed that no significant causality relationship between the different selected mutual funds and the market index.
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