Volume : IV, Issue : I, January - 2014

Optimal Portfolio Selection Using Sharpe’s Single Index Model

M. Muthu Gopalakrishnan

Abstract :

The present study aims to test whether single index model offers an appropriate explanation of stock returns on IT stocks. The sample in the present study consists of 13 actively traded scrips listed in the National Stock Exchange Limited, Bombay (NSE).The scrips in the sample are selected from NSE IT index. Having tested using regression on the excess return of S&P CNX Nifty and IT Index it is found that there is a significant relationship and a good explanation of IT index over S&P CNX Nifty. In addition to that the study investigated that there are four aggressive stocks having beta co-efficient of more than 1 such as Moser Baer India Ltd, Oracle Financial Services Software Ltd, Polaris Software Lab Ltd, Rolta India Ltd. Ultimately it is recommended that among the sample companies all the stocks are undervalued except one stock (G T L Ltd.) thus the investors can pick these stocks to revise their portfolio.

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Article: Download PDF   DOI : 10.36106/ijar  

Cite This Article:

M.Muthu Gopalakrishnan Optimal Portfolio Selection Using Sharpe’s Single Index Model Indian Journal of Applied Research, Vol.IV, Issue. I

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