Modelling the Relationship Between Sectoral Indices of the Stock Market in Nigeria (All Share Index vs. Other Index)
DOI:
https://doi.org/10.61143/umyu-jafr.1(1)2021.006Keywords:
Stock market, Sectoral index, Correlations analysis, Beta analysisAbstract
This study investigated the relationship between the returns of the sectoral indices using correlations analysis and beta analysis on weekly index values of sectoral indices with a base value of 157 points of specific sectors at the Nigerian Stock Exchange (NSE) from 04 October 2013 until 30 September 2016. The result shows that returns across various sectors tend to be correlated which indicated that risk diversification would be difficult. All Share Index returns have a positive relationship with the vast majority of the sectoral indices indicating that many indexes performance is alongside the 'All-share index’. Finding from the beta analysis shows that some indices are more volatile than the market while some are less volatile than the market. This study will aid investors/portfolio managers in reducing their portfolio risk, getting safe returns, providing specific investment opportunities, and direction for suitable investment decisions for the Nigerian market using such sectoral indices
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