A comparative analysis of various sectoral index behaviour on S&P cnx nifty index in India

Volatility in the stock return is an integral part of stock market with alternative bull and bear phases. To see the volatility of the indices, the study has been undertaken to analyse how far the sectoral indices are influenced the S & P CNX Nifty Index of National Stock Exchange (NSE). Out of the eight sectoral indices only four indices has taken for analysis due to multi-colinearilty. The CNX FMCG Index, CNX Auto Index and CNX Infrastructure Index are highly correlated with CNX Nifty Index. The period of the study is considered as the date of every sectoral Index has launched by the National stock Exchange till 30^th June 2011. The tools used for the study are correlation and ordinary least squares (OLS) regression. All the independent variables are explained well with dependent variable. In respect of OLS, all explained variables together interacted 99% with outcome variable. Out of the four explained variables CNX FMCG Index shows moderate level of coefficient of determination, followed by CNX Information Technology Index. Though CNX Infrastructure Index and CNX Auto Index shows highly significant level however they shows very low level coefficient of determination.