A STUDY OF AUTOCORRELATION OF NIFTY ENERGY INDEX TO PREDICT MARKET SENTIMENT

Avik Ghosh; Suman Sourav

Volume : VIII, Issue : IX, September - 2019

A STUDY OF AUTOCORRELATION OF NIFTY ENERGY INDEX TO PREDICT MARKET SENTIMENT

Avik Ghosh, Suman Sourav

Abstract :

The study is aimed at targeting one of the key sectors of Indian stock market i.e. Energy Sector. As NIFTY Energy Index defines the health of the sector and the sentiment of the investors, we have undergone detailed study of the index with an objective to assess various statistical parameters inbuilt in the data series of 3 years with 742 data points. As the sector is strategically important to the macroeconomic aspects of the country, the emphasis was more on the evaluation of trend of the sectoral index return and its dependence on its past data. As the Indian economy and its macroeconomic framework depends on import volume of Crude Oil, this analysis strongly poses the possible bi–directional causality between the Oil price and Energy Index based on the forecasted market sentiment. Establishment of positive outcome from the statistical modelling and analysis of the NIFTY Energy Index returns had guided us to predict the direction of the index and forecast investor sentiment in the sector.