Indexing CNX NIFTY 50 Momentum Effects

Arun Kumar Misra and Sabyasachi Mohapatra
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Arun Kumar Misra: Arun Kumar Misra is Associate Professor, Finance & Accounting, Indian Institute of Technology Kharagpur, India, email: arunmisra@vgsom.iitkgp.ernet.in

Margin: The Journal of Applied Economic Research, 2015, vol. 9, issue 2, 157-178

Abstract: The empirical literature indicates that momentum-style investing is a more effective approach than value-based or growth-based strategies. To confirm this, this article makes an attempt to construct a Momentum Index for the Indian equity market. The CNX NIFTY 50 Momentum Index is designed by calculating the volatility and volume-adjusted Momentum Index for each security in the CNX NIFTY 50 Parent Index. The estimated Momentum Index returns are compared with the CNX NIFTY 50 Index in terms of volatility, Sharpe Ratio and Treynor Ratio. Using VAR methodology, and macroeconomic, firm-specific factors which influence the momentum, index returns are analysed. This study also examined the Fama–French unconditional CAPM by including the Momentum Index return as the fourth factor alongside price–earnings, price–book ratio and dividend yield in estimating excess market returns. JEL: G11, G12, G14

Keywords: Momentum Index; Momentum Score; CAPM; Clustering (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:sae:mareco:v:9:y:2015:i:2:p:157-178

DOI: 10.1177/0973801014568143

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