Sectoral correlations and interlinkages: NSE

Title

Sectoral correlations and interlinkages: NSE

Creator

Florence M.A.; Dibin K.K.; Victor V.

Description

An efficient portfolio is a well-diversified portfolio that gives the investor opportunities to earn money and provide cover against risks. Understanding the intersectoral linkages and correlations among various sectors in a stock market will help an investor to diversify the portfolio and reduce risk efficiently. This study aims at examining the underlying linkages and correlations among eight sectors in the Indian National Stock Exchange (NSE) using a Granger causality test under VAR environment. The results of the study based on nine years' data from 2009 to 2018 show that an effective portfolio can have two classifications -stocks from Pharma and Media as group one (defensive stocks) and picks from IT, Bank, Financial Services, Realty, Auto and FMCG sector as group two (somewhat Cyclical). The study further proves that the usual definition for cyclical and defensive sectors have undergone some profound changes. 2020 SCMS Group of Educational Institutions. All rights reserved.

Source

SCMS Journal of Indian Management, Vol-17, No. 3, pp. 94-102.

Date

2020-01-01

Publisher

SCMS Group of Educational Institutions

Subject

ADF Test; Granger causality; Intersectoral linkages; Portfolio Diversification

Coverage

Florence M.A., Department of Economics, St. Michael's College, Cherthala, Alappuzha, India; Dibin K.K., Department of MBA, SCMS, School of Technology and Management, Kochi, India; Victor V., Department of Economics, CHRIST (Deemed to be University), Bangalore, Karnataka, India

Rights

Restricted Access

Relation

ISSN: 9733167

Format

Online

Language

English

Type

Article

Identifier

https://www.scopus.com/inward/record.uri?eid=2-s2.0-85099625216&partnerID=40&md5=d724412e355e85b271a1c47ff3f902a7