Risk Diversification and Market Index Model

Raj S. Dhankar ()
Additional contact information
Raj S. Dhankar: University of Delhi

Chapter Chapter 15 in Risk-Return Relationship and Portfolio Management, 2019, pp 233-247 from Springer

Abstract: Abstract The study attempts to measure the relationship between riskRisk and return, and the effect of diversificationDiversification on non-market riskNon-market risk in Indian stock marketIndian stock market by applying Market Index ModelMarket index model . For the analysis, monthly adjusted opening and closing prices of composite portfolioPortfolio of BSE 100BSE 100 companies for the period June 1996 through May 2005 have been taken. We find a high positive correlation between portfolioPortfolio return and riskRisk . It also signifies that portfolioPortfolio non-market riskNon-market risk declines with diversificationDiversification . The results, so obtained, are fully coinciding with the generalization of market index modelMarket index model , and thereby hold it applicable in Indian stock marketIndian stock market , in establishing the trade-off between riskRisk and return.

Date: 2019
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:isbchp:978-81-322-3950-5_15

Ordering information: This item can be ordered from
http://www.springer.com/9788132239505

DOI: 10.1007/978-81-322-3950-5_15

Access Statistics for this chapter

More chapters in India Studies in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().