EconPapers    
Economics at your fingertips  
 

A Study of Correlations in the Stock Market

Chandradew Sharma and Kinjal Banerjee

Papers from arXiv.org

Abstract: We study the various sectors of the Bombay Stock Exchange(BSE) for a period of 8 years from April 2006 - March 2014. Using the data of daily returns of a period of eight years we make a direct model free analysis of the pattern of the sectorial indices movement and the correlations among them. Our analysis shows significant auto correlation among the individual sectors and also strong cross-correlation among sectors. We also find that auto correlations in some of the sectors persist in time. This is a very significant result and has not been reported so far in Indian context These findings will be very useful in model building for prediction of price movement of equities, derivatives and portfolio management. We show that the Random Walk Hypothesis is not applicable in modeling the Indian market and Mean-Variance-Skewness-Kurtosis based portfolio optimization might be required. We also find that almost all sectors are highly correlated during large fluctuation periods and have only moderate correlation during normal periods.

New Economics Papers: this item is included in nep-fmk
Date: 2015-04
References: Add references at CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Published in Physica A: Statistical Mechanics and its Applications (2015), pp. 321-330

Downloads: (external link)
http://arxiv.org/pdf/1504.05844 Latest version (application/pdf)

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:arx:papers:1504.05844

Access Statistics for this paper

More papers in Papers from arXiv.org
Series data maintained by arXiv administrators ().

 
Page updated 2018-03-24
Handle: RePEc:arx:papers:1504.05844