Study of Relationship between Large-Cap Equity Funds Returns in India and Benchmark Returns

Sanjiwani Jayant Kumar, Hitesh Punjabi and Ashish Mahadik
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Sanjiwani Jayant Kumar: K J. Somaiya Institute of Management and Research, Mumbai, India
Hitesh Punjabi: K J. Somaiya Institute of Management and Research, Mumbai, India
Ashish Mahadik: K J. Somaiya Institute of Management and Research, Mumbai, India

Economics and Applied Informatics, 2018, issue 3, 47-56

Abstract: Large cap equity funds are very popular amongst the retail investors because they offer stability and sustainable returns, over a period of time. This study investigates relationship between Indian stock market index and large cap mutual funds of growth category over the period of ten years. This study has been carried out to confirm the strength positive relationship dynamics of the mutual funds and what is the range of actual contribution of index in the returns of mutual funds. To understand as to what extend effect can be visible; various tests have been carried out across 5 open-ended Equity large cap funds. After series of tests were conducted like arithmetic mean, correlation, standard deviation, causality test, co-integration analysis and vector auto regression (VAR), which concluded that unrelated to any other factors, index returns have strong positive relationship with mutual funds returns in India and contribute significantly in majority of large cap equity mutual funds returns.

Keywords: Vector Auto Regression (VAR); Causality test; Cointegration; Large-Cap Equity Funds; Open-ended; Stock Market Index (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:ddj:fseeai:y:2018:i:3:p:47-56

DOI: 10.26397/eai1584040916

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