Forecasting index movements: A study with reference to selected nse sectoral indices.

The present study is to forecast Index Movement of selected samples indices listed in NSE. For the purpose of analysis, four important sectoral indices namely NSE Auto, NSE FMCG, NSE IT and NSE Pharma were selected, using descriptive statistics, Stationarity Test, Normality Test, Volatility Test and Rescaled Range Analysis for forecasting of Index Movements.. The daily index prices of the selected sample were collected from the official NSE website (www.nseindia.com). The period of study was 12 years from 1^st April 2005 to 31^st March 2017, From the analysis it is concluded that Information flow determines the intensity of returns for Investors. Hence careful evaluation of market information and its sensitivity can help investors retains and earn higher returns in stock markets.