ISSN

2321-5763 (Online)
0976-495X (Print)


Author(s): Haritika Arora

Email(s): haritika.arora@gmail.com

DOI: 10.5958/2321-5763.2017.00133.0   

Address: Haritika Arora
Assistant Professor, C K D Institute of Management and Technology, Opp. Model Town, Near Railway Station, G.T. Road, Amritsar
*Corresponding Author

Published In:   Volume - 8,      Issue - 3,     Year - 2017


ABSTRACT:
This study has made a attempt to establish the lead lag relationship between the Nifty 50 and Midcap 50 for period 1st January 2011 to 31st December 2015. For this purpose, this study have used Johansen Co-integration Test, Vector Autoregressive (VAR) Model, Variance decomposition and Impulse response function. Results revealed that there is no long term co-integrating relationship between the Nifty 50 and the Midcap 50. Further, Vector Autoregressive (VAR) Model, Variance decomposition and Impulse response function clearly provide evidence of Nifty to be influenced by its own lagged returns. On the other hand, Midcap is highly influenced by the Nifty lagged returns and then by its own returns. Hence, Nifty leads the Midcap.


Cite this article:
Haritika Arora. Lead Lag effect between Nifty 50 and Midcap 50 of Indian Stock Market. Asian J. Management; 2017; 8(3):854-858. doi: 10.5958/2321-5763.2017.00133.0


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DOI: 10.5958/2321-5763 


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