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Understanding the sectors of Indian economy for portfolio choice

Author

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  • Jaydip Sen
  • Tamal Datta Chaudhuri

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.

Suggested Citation

  • Jaydip Sen & Tamal Datta Chaudhuri, 2018. "Understanding the sectors of Indian economy for portfolio choice," International Journal of Business Forecasting and Marketing Intelligence, Inderscience Enterprises Ltd, vol. 4(2), pages 178-222.
    • Handle: RePEc:ids:ijbfmi:v:4:y:2018:i:2:p:178-222
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    Citations

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    Cited by:

    1. Jaydip Sen & Subhasis Dasgupta, 2023. "Portfolio Optimization: A Comparative Study," Papers 2307.05048, arXiv.org.
    2. Sidra Mehtab & Jaydip Sen, 2020. "A Time Series Analysis-Based Stock Price Prediction Using Machine Learning and Deep Learning Models," Papers 2004.11697, arXiv.org, revised May 2021.
    3. Sidra Mehtab & Jaydip Sen, 2020. "Stock Price Prediction Using CNN and LSTM-Based Deep Learning Models," Papers 2010.13891, arXiv.org.
    4. Jaydip Sen & Abhishek Dutta, 2022. "Design and Analysis of Optimized Portfolios for Selected Sectors of the Indian Stock Market," Papers 2210.03943, arXiv.org.
    5. Tasnim Uddin Chowdhury & Md. Shahidul Islam, 2021. "ARIMA Time Series Analysis in Forecasting Daily Stock Price of Chittagong Stock Exchange (CSE)," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 5(6), pages 214-233, June.
    6. Jaydip Sen & Sidra Mehtab, 2021. "Design and Analysis of Robust Deep Learning Models for Stock Price Prediction," Papers 2106.09664, arXiv.org.
    7. Sidra Mehtab & Jaydip Sen & Abhishek Dutta, 2020. "Stock Price Prediction Using Machine Learning and LSTM-Based Deep Learning Models," Papers 2009.10819, arXiv.org.
    8. Jaydip Sen & Arpit Awad & Aaditya Raj & Gourav Ray & Pusparna Chakraborty & Sanket Das & Subhasmita Mishra, 2022. "Stock Performance Evaluation for Portfolio Design from Different Sectors of the Indian Stock Market," Papers 2208.07166, arXiv.org.
    9. Ghosh, Indranil & Datta Chaudhuri, Tamal & Alfaro-Cortés, Esteban & Gámez Martínez, Matías & García Rubio, Noelia, 2021. "Estimating the relative effects of raw material prices, sectoral outlook and market sentiment on stock prices," Resources Policy, Elsevier, vol. 73(C).
    10. Jaydip Sen & Aditya Jaiswal & Anshuman Pathak & Atish Kumar Majee & Kushagra Kumar & Manas Kumar Sarkar & Soubhik Maji, 2023. "A Comparative Analysis of Portfolio Optimization Using Mean-Variance, Hierarchical Risk Parity, and Reinforcement Learning Approaches on the Indian Stock Market," Papers 2305.17523, arXiv.org.
    11. Jaydip Sen & Hetvi Waghela & Sneha Rakshit, 2024. "Exploring Sectoral Profitability in the Indian Stock Market Using Deep Learning," Papers 2407.01572, arXiv.org.
    12. Jaydip Sen & Arup Dasgupta & Subhasis Dasgupta & Sayantani Roychoudhury, 2023. "A Portfolio Rebalancing Approach for the Indian Stock Market," Papers 2310.09770, arXiv.org.
    13. Sidra Mehtab & Jaydip Sen, 2019. "A Robust Predictive Model for Stock Price Prediction Using Deep Learning and Natural Language Processing," Papers 1912.07700, arXiv.org.
    14. Jaydip Sen & Arup Dasgupta & Partha Pratim Sengupta & Sayantani Roy Choudhury, 2023. "A Comparative Study of Portfolio Optimization Methods for the Indian Stock Market," Papers 2310.14748, arXiv.org.
    15. Sidra Mehtab & Jaydip Sen, 2020. "Stock Price Prediction Using Convolutional Neural Networks on a Multivariate Timeseries," Papers 2001.09769, arXiv.org.
    16. Tran Phuoc & Pham Thi Kim Anh & Phan Huy Tam & Chien V. Nguyen, 2024. "Applying machine learning algorithms to predict the stock price trend in the stock market – The case of Vietnam," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-18, December.
    17. Jaydip Sen & Saikat Mondal & Sidra Mehtab, 2021. "Analysis of Sectoral Profitability of the Indian Stock Market Using an LSTM Regression Model," Papers 2111.04976, arXiv.org.
    18. Jaydip Sen & Ashwin Kumar R S & Geetha Joseph & Kaushik Muthukrishnan & Koushik Tulasi & Praveen Varukolu, 2022. "Precise Stock Price Prediction for Robust Portfolio Design from Selected Sectors of the Indian Stock Market," Papers 2201.05570, arXiv.org.
    19. Abhiraj Sen & Jaydip Sen, 2023. "Performance Evaluation of Equal-Weight Portfolio and Optimum Risk Portfolio on Indian Stocks," Papers 2309.13696, arXiv.org.
    20. Ananda Chatterjee & Hrisav Bhowmick & Jaydip Sen, 2021. "Stock Price Prediction Using Time Series, Econometric, Machine Learning, and Deep Learning Models," Papers 2111.01137, arXiv.org.

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