Performance analysis of stock markets had always been an evergreen area of research with new tools and results emerging almost every day. The introduction of sectoral indices in Indian capital market in January, 1996 has turned the attention of the researchers towards comparative performance analysis of different industries in India. An attempt is thereby made in the paper to compare and contrast the risk return characteristics of ten major industrial sectors which account for 88.74% of the economy's industrial production. A comparative analysis is done on the annual returns, total risk, systematic risk, abnormal returns and correlation of each sectoral index. It was observed that the sectoral indices exhibited significant difference in their risk return characteristics and they also followed business cycles of recession, recovery and boom in their performance. The common pattern of high return related to high risk and low return related to low risk was also observed in the sectoral indices.
Abnormal Returns, Beta, Sectoral indices, Systematic Risk, Volatility
