Returns & Volatility of Sectoral Indices of Nifty: Pre and Post Recession


Dr. T. Peddanna

viii,268 p.; 2021

Includes bibliographical references

ISBN-13/ EAN: 978-93-88121-37-8 (Hardbound)

ISBN-10: 93-88121-37-6 (Hardbound)

INR 1395.00


LC Subject heading

1. Stock exchanges–India. 

2. Stock price indexes–India.


Bisac Sub: BUS036060 / Business and Economics /Investments / Securities-Stock

About the Book

“Generally, the fund managers prefer to include Nifty-listed securities in their portfolio, because they are the leading stocks of the nation, using these companies constructed 11 sectors of stock indices. On the whole, the analysis of 12-year data starting from April 2002 to March 2014 established two phases of sectoral indices of Nifty; they are pre and post-recession periods in the light of sub-prime financial crisis that cropped up across the globe during 2008-09. As this study revealed sector-wise return exposure under different economic conditions, it helps investors to diversify their funds to various sectors which give average return to their portfolios and at lower risk element. However, this study is helped in understanding the risk-return relationship between different sectors of Nifty, as well as ARCH and GARCH models to estimate the volatility in the near future in great detail. The direction of the Nifty index is mainly determined by a few sectors in the long run like Bank, Pharma and Capital Goods indices. Finally, this study is enabled the investors to understand the risk and returns of sectoral indices of Nifty to make effective portfolio decisions under different economic conditions to sustain the portfolio with the same objectives till its tenure.

 This book is useful for Portfolio Managers, Fund Managers, Investment Managers and Policy makers, Academicians, Research scholars; Post graduate students and other commerce and Management students those working on Returns and volatility of stock market indices and securities.”

About the Author

Dr. T. Peddanna, M.Com., NET, JRF-UGC, Ph.D., presently working as Assistant Professor of commerce, Department of Commerce at Girraj Government Degree College (Autonomous) Nizamabad, District Nizamabad, Telangana State. He has 16 years of rich experience in teaching and research. He was published few international and national articles as well as presented many papers in International and National Seminars and Conferences in the area of Accounts and Finance. He has been working as resource person to the Centre for Entrepreneurship Development (CED-ALEAP India), Hyderabad. He was awarded Ph.D. degree from the Department of Commerce, College of Commerce and Business Management, Osmania University, Hyderabad for his research contribution on “A Study on Returns and Volatility of Sectoral Indices of Nifty”-An analysis of pre and post recession period” under the guidance of Prof. S.V. Satyanarayana, former Dean, Chairman, Board of Studies (BOS) and Head, Department of Commerce Osmania University Hyderabad. This book intention is to give aware of Stock market (NSE Nifty) returns and Volatility during pre and post recession period of 2002-2008 and 2008-2014 to formulate effective portfolio decisions and use it as input for discharge many decisions pertaining to stock market investments.


Acknowledgement–Introduction–Conceptual Framework for Construction of Sectoral Indices of Nifty–Returns of Sectoral Indices of Nifty–Volatility of Sectoral Indices of Nifty Using GARCH Model–Relationship among Sectoral Indices of Nifty–Analysis of Causality Among Sectoral Indices Of Nifty–Findings, Conclusion and Suggestions–Bibliography

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