Testing the Stationarity of Beta for IT Sector Stocks in Indian Stock Markets
Mihir Dash *
Alliance University, Bangalore, India.
Silky Sonthalia Sundarka
Alliance University, Bangalore, India.
*Author to whom correspondence should be addressed.
Abstract
The objective of the study is to test for time-varying beta for information technology (IT) sector stocks in Indian stock markets. The study was performed using a sample of nine IT sector stocks listed on the Bombay Stock Exchange, India, through the application of univariate Analysis of Covariance (ANCOVA) on betas calculated for five sub-periods within a study period of 10 years: Stagnant phase (Apr. 2001 - Mar. 2003), Growth phase (Apr. 2003 - Mar. 2005), Boom phase (Apr. 2005 - Dec. 2007), Depression phase (Jan. 2008 - Mar. 2009), and Steady phase (Apr. 2009 - Mar. 2011). The results indicate that the betas were relatively stationary over time for all of the sample stocks. This suggests that beta can be taken to be stationary for IT sector stocks in Indian stock markets.
Keywords: Time-varying beta, IT sector, Indian stock markets, univariate ANCOVA