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Asian Journal of Management
Year : 2017, Volume : 8, Issue : 3
First page : ( 854) Last page : ( 858)
Print ISSN : 0976-495X. Online ISSN : 2321-5763.
Article DOI : 10.5958/2321-5763.2017.00133.0

Lead lag effect between nifty 50 and midcap 50 of indian stock market

Arora Haritika*

Assistant Professor, C K D Institute of Management and Technology, Opp. Model Town, Near Railway Station, G.T. Road, Amritsar

*Corresponding Author E-mail: haritika.arora@gmail.com

Online published on 22 September, 2017.


This study has made a attempt to establish the lead lag relationship between the Nifty 50 and Midcap 50 for period 1st January 2011 to 31st December 2015. For this purpose, this study have used Johansen Co-integration Test, Vector Autoregressive (VAR) Model, Variance decomposition and Impulse response function. Results revealed that there is no long term co-integrating relationship between the Nifty 50 and the Midcap 50. Further, Vector Autoregressive (VAR) Model, Variance decomposition and Impulse response function clearly provide evidence of Nifty to be influenced by its own lagged returns. On the other hand, Midcap is highly influenced by the Nifty lagged returns and then by its own returns. Hence, Nifty leads the Midcap.



Johansen Co-integration Test, Impulse response function, Variance decomposition and Vector Autoregressive (VAR) Model.


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