Testing the Beta Stability of Banking Sector over Various Phases in Indian Stock Market

Abstract

Our study aims at creating a banking stock portfolio which serves as a representative of all the banking stocks traded on Bombay Stock Exchange and testing the beta instability of the banking sector stock portfolio over various phases in the Indian stock market. We also evaluate the monthly stock price returns of the banking portfolio vis-a-vis the market portfolio from the period ranging from July 1994 to December 2008. The journey of Sensex during the span of past fourteen years in the post liberalization period has been divided into three phases based upon technical analysis. An attempt is made to evaluate the under/ over performance of the banking stock portfolio returns under various phases.