Sectoral interconnectedness in the Indian equity market

Stephen, Sony; Senthilkumar, Arunachalam

Abstract

We examine the connectedness among the sectoral equity indices in the Indian stock market. Four equity sectors of National Stock Exchange of India, viz., Automobiles, Consumer Durables, Fast Moving Consumer Goods, and Healthcare (Health) are analysed with their daily closing returns for the period 2020-2023. Time Varying Parameter Vector Auto Regression connectedness measure is employed in this study. The results show that strong connectedness exist with the sectoral equity indices in India. Among the four sectors, Consumer Durables and Healthcare are net receivers of information; Auto and FMCG are net transmitters in the connectedness network. Implications for the portfolio managers and policy makers are discussed.

• Presentation Conference Type: Conference Paper (unpublished)
• Conference Name: PAN IIM World Management Conference 2023
• Start Date: Jan 22, 2024
• End Date: Jan 24, 2024
• Acceptance Date: Dec 2, 2023
• Deposit Date: Aug 22, 2024
• Publicly Available Date: Aug 22, 2024
• Peer Reviewed: Peer Reviewed
• Public URL: https://uwe-repository.worktribe.com/output/12798957