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  • Sector Analysis and Portfolio Optimisation: The Indian Experience

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    68382_1.pdf (297.1Kb)
    Author(s)
    Gupta, Rakesh
    K. Basu, Parikshit
    Griffith University Author(s)
    Gupta, Rakesh
    Year published
    2009
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    Abstract
    With changing global financial environment and emergence of new economic powers in recent decades, diversification of investment portfolios at country and sector levels assumed additional significance. Optimum portfolio selection within a capital market is primarily based on the best risk-return trade-off among the industry sectors. Literature suggests that much of market volatility can be attributed to substantial increase in sector specific and sub-sector specific risks. This research has estimated the dynamics of correlations of stock market returns between industry sectors in India using Asymmetric DCC GARCH model and ...
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    With changing global financial environment and emergence of new economic powers in recent decades, diversification of investment portfolios at country and sector levels assumed additional significance. Optimum portfolio selection within a capital market is primarily based on the best risk-return trade-off among the industry sectors. Literature suggests that much of market volatility can be attributed to substantial increase in sector specific and sub-sector specific risks. This research has estimated the dynamics of correlations of stock market returns between industry sectors in India using Asymmetric DCC GARCH model and tested efficient portfolios that generates returns above the market average. Analysis of daily and monthly market data for the period April 1997 to April 2007 on a sample of 10 industry sectors selected randomly indicates that investors can substantially improve their reward to risk as compared with the market returns. Major contributions of this research are two fold. It used a computationally efficient model for estimating correlations that can incorporate the changes in correlations over time and it applied the model for the Indian market where research is extremely inadequate.
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    Journal Title
    International Business and Economics Research journal
    Volume
    8
    Issue
    1
    Publisher URI
    http://journals.cluteonline.com/index.php/IBER/article/view/3096
    Copyright Statement
    © 2009 The Clute Institute. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
    Subject
    Investment and Risk Management
    Business and Management
    Marketing
    Publication URI
    http://hdl.handle.net/10072/37888
    Collection
    • Journal articles

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