Understanding the sectors of Indian economy for portfolio choice
by Jaydip Sen; Tamal Datta Chaudhuri
International Journal of Business Forecasting and Marketing Intelligence (IJBFMI), Vol. 4, No. 2, 2018

Abstract: The objective of this work is to ascertain sectoral characteristics of stock market indices of India through time series decomposition. It is postulated that different sectors in an economy do not behave uniformly and sectors differ from each other in terms of their trend patterns, their seasonal characteristics and also their randomness. The R programming language is used for decomposing the time series of the sectoral indices as well as indices of stocks. Based on our approach, we also provide a framework of forecasting that can be applied on various sectors of an economy and also on individual stocks in the sectors. Results indicate that the behavioral patterns of stocks largely follow those exhibited by the respective sectors to which they belong. The forecasting methods are found to be robust and accurate in forecasting the pattern of index movements of the sectors and the individual stocks.

Online publication date: Wed, 14-Feb-2018

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