Are the Bombay stock Exchange Sectoral indices of Indian stock market cointegrated? Evidence using fractional cointegration test

Krishnankutty, Raveesh and Tiwari, Aviral Kumar (2011): Are the Bombay stock Exchange Sectoral indices of Indian stock market cointegrated? Evidence using fractional cointegration test. Published in: Journal of Emerging Financial Markets , Vol. Vol.2, No. No. 1 (31 December 2011): pp. 37-45.

Abstract

The present study is an attempt to test whether sectoral indices of Bombay stock Exchange have diversification benefits in the same. For the analysis, we used daily data spanning from 2/1/1999to 3/31/2011. To test our hypothesis we used Fractional cointegration test. Study found that, ingeneral, no evidence of cointegration in the sectoral indices of Bombay stock Exchange and hence conclude that there is benefit to domestic investors for sectoral diversification in the Bombay stock Exchange Sectoral indices of Indian stock market.

• Item Type: MPRA Paper
• Language: English
• Keywords: BSE stock Market, Fractional cointegration test, long memory returns, sectoral,diversification benefits
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading

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