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

Raveesh Krishnankutty and Aviral Tiwari

MPRA Paper from University Library of Munich, Germany

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.

Keywords: BSE stock Market; Fractional cointegration test; long memory returns; sectoral; diversification benefits (search for similar items in EconPapers)
JEL-codes: C58 E44 G14 (search for similar items in EconPapers)
Date: 2011-09-26, Revised 2011-12-20
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Published in Journal of Emerging Financial Markets No. 1.Vol.2(2011): pp. 37-45

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