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Indexing CNX NIFTY 50 Momentum Effects

Author

Listed:
  • Arun Kumar Misra

    (Arun Kumar Misra is Associate Professor, Finance & Accounting, Indian Institute of Technology Kharagpur, India, email: arunmisra@vgsom.iitkgp.ernet.in)

  • Sabyasachi Mohapatra

    (Sabyasachi Mohapatra is PhD Research Scholar, Indian Institute of Technology Kharagpur, India.)

Abstract

The empirical literature indicates that momentum-style investing is a more effective approach than value-based or growth-based strategies. To confirm this, this article makes an attempt to construct a Momentum Index for the Indian equity market. The CNX NIFTY 50 Momentum Index is designed by calculating the volatility and volume-adjusted Momentum Index for each security in the CNX NIFTY 50 Parent Index. The estimated Momentum Index returns are compared with the CNX NIFTY 50 Index in terms of volatility, Sharpe Ratio and Treynor Ratio. Using VAR methodology, and macroeconomic, firm-specific factors which influence the momentum, index returns are analysed. This study also examined the Fama–French unconditional CAPM by including the Momentum Index return as the fourth factor alongside price–earnings, price–book ratio and dividend yield in estimating excess market returns. JEL: G11, G12, G14

Suggested Citation

  • Arun Kumar Misra & Sabyasachi Mohapatra, 2015. "Indexing CNX NIFTY 50 Momentum Effects," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 9(2), pages 157-178, May.
    • Handle: RePEc:sae:mareco:v:9:y:2015:i:2:p:157-178
    DOI: 10.1177/0973801014568143
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    References listed on IDEAS

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    More about this item

    Keywords

    Momentum Index; Momentum Score; CAPM; Clustering;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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