A STUDY ON EXAMINING CAUSAL RELATIONSHIP OF BROAD MARKET INDICES WITH SPECIAL REFERENCE BOMBAY STOCKS EXCHANGE

finance

The study entitled “EXAMINING CAUSAL RELATIONSHIP OF BROAD MARKET INDICES WITH SPECIAL REFERENCE BOMBAY STOCKS EXCHANGE” was carried out with the objective to examine the co-movements of Broad Market index in BSE. For the purpose of this study sample indices such as S&P BSE 100, S&P BSE 200, S&P BSE 250 LARGE MIDCAP, S&P BSE 500 and S&P BSE ALL CAP were considered. The daily return data of the selected sample indices for the period from 1st January, 2016 to 31st December, 2020 were taken for the purpose of analysis. The statistical tools such as descriptive statistics, chart and correlation were used in this study to examine the co-movement of sample indices during the study period. From the result of analysis, it is found that there was a co-movement between sample indices during the period of study. The results of correlation analysis recorded that the sample thematic indices were recorded significant relationship with each other during the study period. It indicated that the increase in one index lead to increase in other indices when there was an occurrence of positive correlation. While there was a negative correlation, it exposed the opposite reaction among the indices. It is suggested that the investor need to analyse the linkages exist between the indices of stock market. This study suggested to consider the broad market indices in make the investment portfolio. Hence, the policy makers and regulators of Indian capital markets should pay attention to the performance of the market. It guides the investors to make better portfolio diversification for the betterment of their investment.

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