Year: 2024
Type: conference-paper
Abstract: We examine the connectedness among the sectoral equity indices in the Indian stock market. Four equity sectors of National Stock Exchange of India, viz., Automobiles, Consumer Durables, Fast Moving Consumer Goods, and Healthcare (Health) are analysed with their daily closing returns for the period 2020-2023. Time Varying Parameter Vector Auto Regression connectedness measure is employed in this study. The results show that strong connectedness exist with the sectoral equity indices in India. Among the four sectors, Consumer Durables and Healthcare are net receivers of information; Auto and FMCG are net transmitters in the connectedness network. Implications for the portfolio managers and policy makers are discussed.
Authors: Stephen, Sony, Senthilkumar, Arunachalam
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7204337232
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