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

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  • Krishnankutty, Raveesh
  • Tiwari, Aviral Kumar

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.

Suggested Citation

  • Krishnankutty, Raveesh & Tiwari, Aviral Kumar, 2011. "Are the Bombay stock Exchange Sectoral indices of Indian stock market cointegrated? Evidence using fractional cointegration test," MPRA Paper 48590, University Library of Munich, Germany, revised 20 Dec 2011.
    • Handle: RePEc:pra:mprapa:48590
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    References listed on IDEAS

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    More about this item

    Keywords

    BSE stock Market; Fractional cointegration test; long memory returns; sectoral; diversification benefits;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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