INTEGRATION OF SECTORAL INDICES FROM NSE AND BSE: AN APPLICATION OF CO-INTEGRATION ANALYSIS

摘要

Contributing to the meager published literature on interrelationships amongst stock market sectors of an economy, Our study examines co-integration of NSE (National Stock Exchange) sectoral stock indices and BSE sectoral indices (Auto, Bank, Energy, Financial Services, FMCG, IT, Metal and Realty). The data correspond to daily closing prices for 8 sectoral indices of the Indian stock market, covering the period between 1st January, 2011 to 30th October 2016 The study concludes on the sectoral indices from NSE and BSE where bi-variate co-integration test suggest that there is a diversification opportunity available for investor in FMCG, IT and Metal index. Further the multivariate analysis shows that among all BSE and NSE sectors, they are co-integrated that means portfolio will not be benefited due to long term relationship among NSE and BSE sectoral indices.