| Autor: |
Verma, Ruchita, Rathore, Janaki Singh |
| Předmět: |
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| Zdroj: |
Artha Vijnana; Mar2023, Vol. 65 Issue 1, p65-77, 13p |
| Abstrakt: |
The present study investigates dynamic relationships among key sectoral indices of the Indian stock market, considering the recent shocks brought about by the Covid-19 pandemic. Aiming to determine the existence and changes in relationships among the seven selected National Stock Exchange (NSE) indices, the Augmented Dickey Fuller (ADF) test and the Johansen and Juselius approach to cointegration analysis have been employed. The Granger causality test is utilised to determine uni-directional and bi-directional relationships, as well as investigating lead-lag association among the interrelated series. Such relationships can be utilised to make predictions of lagging indices in the short run. The results indicate existence of a dynamic relationship, causality linkages and identify leading indices of sector co-movements in the Indian stock market. The findings of the present study have implications for investors and policy makers alike. It provides empirical evidence in favour of sector-focused investment management and policy development in general and highlights its importance during periods of crisis in particular. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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