Co-movement Analysis among different Sectors of Indian Stock Market

Mohammad Athar Noor, Mohd Motasim Ali Khan Motasim Ali Khan, Mohd. Asif Khan

Abstract


The relationship between the stock markets of the developed and emerging countries has been examined extensively in the literature. However, there are very few studies in the literature that attempt to analyse cointegration among different sectors within a single stock market. Hence, this study examines the cointegration among different sectors of Indian Bombay Stock Exchange (BSE) using daily sector indices data from the period January 4, 2010 to May 21, 2013. Stock market sectors include Auto, Bankex, capital-goods, Consumer-durables, FMCG, IT, Metals, Oil & Gas, Power and Realty.

Keywords


Diversification; Portfolio; Return; Risk; Volatility

Full Text:

PDF

References


Ahmed, W. M. (2012). Comovements and causality of sector price indices: evidence of the Egyptian Stock Exchange. International Journal of Business and Emerging Markets, 4 (3), 200-222.

Al-Fayoumi, N.A., Khamees, B.A., and Al-Thuneibat, A.A. (2009). Information transmission among stock return indexes: Evidence from the Jordanian stock market. International Research Journal of Finance and Economics, 24, 194-208.

Arbeláez, H., Urrutia, J., and Abbas, N. (2001). Short-term and long-term linkages amongst the Colombian capital market indexes. International Review of Financial Analysis, 10, 237-73.

Arshanapalli, B. And J. Doukas. (1993). International stock Market linkages: Evidence from the Pre- and Post-October 1987 Period. Journal of Banking & Finance, 17, 193-208.

AuYong, H.H., Gan, C., and Treepongkaruna, S. (2004). Cointegration and causality in the Asian and emerging exchange markets: Evidence from the 1990s financial crises. International Review of Financial Analysis, 13, 479-515.

Chung, H. (2005). The contagious effects of the Asian financial crisis: Some evidence from ADR and country funds. Journal of Multinational Financial Management, 15, 67-84.

Chung, P. J. and Liu, D. J. (1994). Common stochastic trends in Pacific Rim stock markets. The Quarterly Review of Economics and Finance, 34 (3), 241-59.

Constantinou, E., Kazandjian, A., Kouretas, G., Tahmazian, V. (2008). Cointegration, causality and domestic portfolio diversification in the Cyprus stock exchange. Journal of Money, Investment and Banking, 4, 26-41.

Daly, K.J. (2003). Southeast Asian stock market linkages: Evidence from pre- and post- October 1997. ASEAN Economic Bulletin, 20 (1), 73-86.

Darbar, S.M., & Deb, P. (1997). “Co-movements in international equity markets”. The Journal of Financial Research, 20 (3), 305-322.

Ewing, B.T., Forbes, S.M. and Payne, J.E. (2003). The effects of macroeconomic shocks on sector-specific returns. Applied Economics, 35, 201-07.

Ghosh, A., Saidi R., and Johnson H. (1999). Who moves the Asia – Pacific stock markets: U.S. or Japan? Empirical evidence based on the theory of Cointegration. Financial Review, 34, 59-70.

Granger C.W.J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37, 424-38.

Granger C.W.J. (1986). Developments in the study of cointegrated economic variables. Oxford Bulletin of Economics and Statistics, 48, 213-28.

Granger C.W.J. (1988). Some recent developments in a concept of causality. Journal of Econometrics, 39, 199-211.

Grubel, M., & Fadner, K. (1971). The interdependence of international equity markets. Journal of Finance, 26, 89-94.

Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12, 231-54.

Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59, 1551-80.

Johansen, S. (1995). Likelihood-based inference in cointegrated vector autoregressive models. Oxford: Oxford University Press.

Karim, M, Z, A. (2005) “Stock Price Integration in the Malaysian Stock Market” Thammasat Economic Journal Vol.23, No.3.

Masih, A.M.M. and Masih, R. (2002). Propagative causal price transmission among international stock markets: Evidence from the pre- and post-globalization period. Global Finance Journal, 13, 63-91.

Mohamad, S., Hassan, T., and Sori, Z.M. (2006). Diversification across economic sectors and implication on portfolio investments in Malaysia. International Journal of Economics and Management, 1 (1), 155-72.

Moon, W.S. (2001). Currency crisis and stock market integration: A comparison of East Asian and European Experiences. Journal of International and Area Studies, 8 (1), 41-56.Phillips, P.C.B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75, 335–346.

Phylaktis, K. and Ravazzolo, F. (2005). Stock market linkages in Emerging markets: Implications for international portfolio diversification. Journal of International Financial Markets, Institutions and Money, 15 (2), 91-106.

Shamsuddin, A.F.M. and Kim, J.H. (2003). Integration and interdependence of stock and foreign exchange markets: an Australian perspective. Journal of International Financial Markets, Institutions and Money, 13, 237-54.

Soydemir, G. (2000). International transmission mechanism of stock market movements: Evidence from emerging capital markets. Journal of Forecasting, 19, 149-76.

Wang, Z., Kutan A., and Yang, J. (2005). Information flows within and across sectors in Chinese stock markets. The Quarterly Review of Economics and Finance, 45,767-80.




Bookmark and Share


Copyright (c) 2014 Mohammad Athar Noor, Mohd Motasim Ali Khan Motasim Ali Khan, Mohd. Asif Khan

Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.

 

All published Articles are Open Access at  https://journals.pen2print.org/index.php/ijr/ 


Paper submission: ijr@pen2print.org