Date of Publication :28th February 2023

Abstract: Abstract— In the contemporary landscape of financial research, the study of the stock market's efficiency in the context of risk management has garnered significant attention. This examination holds particular relevance in emerging markets like India, where the Indian stock market and its various sectors play pivotal roles. Consequently, our research delves into the intricate dynamics between sectoral indices and the Nifty fifty index, a barometer of the National Stock Exchange of India representing the broader market. The sectoral indices offer a true gauge of sector-specific growth, while the Nifty fifty index encapsulates the overall market performance.
The study undertakes a comprehensive analysis of distinct sectoral indices and their associations with the overarching Nifty index. To facilitate this investigation, we collected daily closing prices for these indices from January 2009 to December 2021, sourced from the National Stock Exchange's official website. Our analysis harnesses econometric tools to glean insights into these relationships.
The initial stages of our analysis, involving correlation and regression analyses, reveal a robust interdependence between the Nifty index and sectoral indices. To corroborate these findings, we employ cointegration tests, followed by Granger Causality tests, offering empirical support for the observed relationships.

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