Record Details

An Investigation of the Structural Characteristics of the Indian IT Sector and the Capital Goods Sector – An Application of the R Programming in Time Series Decomposition and Forecasting

Journal of Insurance and Financial Management

View Archive Info
 
 
Field Value
 
Title An Investigation of the Structural Characteristics of the Indian IT Sector and the Capital Goods Sector – An Application of the R Programming in Time Series Decomposition and Forecasting
 
Creator Sen, Jaydip
Datta Chaudhuri, Tamal
 
Description Time series analysis and forecasting of stock market prices has been a very active area of research over the last two decades. Availability of extremely fast and parallel architecture of computing and sophisticated algorithms has made it possible to extract, store, process and analyze high volume stock market time series data very efficiently. In this paper, we have used time series data of the two sectors of the Indian economy – Information Technology (IT) and Capital Goods (CG) for the period January 2009 – April 2016 and have studied the relationships of these two time series with the time series of DJIA indices, NIFTY indices and the US Dollar to Indian Rupees exchange rate. We established by graphical and statistical tests that while the IT sector of India has a strong association with DJIA indices and the Dollar to Rupee exchange rate, the Indian CG sector exhibits a strong association with the NIFTY indices. We contend that these observations corroborate our hypotheses that the Indian IT sector is strongly coupled with the world economy whereas the CG sector of India is the reflection of India’s internal economic growth. We also present several models of regression between the time series which exhibit strong association among them. The effectiveness of these models have been demonstrated by very low values of their forecasting errors.    
 
Publisher Journal of Insurance and Financial Management
 
Contributor —
 
Date 2016-06-14
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://journal-of-insurance-and-financial-management.com/index.php/JIFM/article/view/37
 
Source Journal of Insurance and Financial Management; Vol 1, No 4 (2016): Journal of Insurance and Financial Management
2371-2112
 
Language eng
 
Relation https://journal-of-insurance-and-financial-management.com/index.php/JIFM/article/view/37/pdf
 
Rights Copyright (c) 2016 Jaydip Sen
http://creativecommons.org/licenses/by/4.0