Footnote:
In: MSRUAS-Journal of Management and Commerce, Vol. 1, Issue 1, September 2014
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 1, 2014 erstellt
Description:
The Indian Stock Market has several important indices including the BSE Sensex, the CNX Nifty, BSE small cap, BSE mid cap, and BSE500, each offering a different type of risk and return characteristic. The researcher is particularly interested in the behaviour of these five indices as regards their average return and their standard deviation over the time of available data. Also of interest is the co-relation between these indices. By observing the standard deviation of these indices and the number of abnormal observations, the investor can get a sense of which index is more suited for their risk appetite. Also of concern to the investor is the risk adjusted return for each of the indices. The lower the risk adjusted return for any security or asset, the less likely an investor is going to invest in it.For the purpose of studying the historical return, the monthly data of the five indices was obtained from the yahoo finance portal. These data were used to derive average return as well as standard deviation for each of the indices. The average monthly return and standard deviation of monthly return were measured for each index in question. The coefficient of variance was also calculated for each index. Findings indicate that the BSE Sensex is the best in terms of return as well as in coefficient of variance while the BSE Small cap is the lowest in terms of returns as well as coefficient of variance. The indices selected are highly positively correlated when using returns from same time period; therefore diversification across indices would unlikely lead to benefit for the investor