Multi-factor estimation of stock index movement: a case analysis of NIFTY 50, National Stock Exchange of India

Multi-index research in investtment management attempted to predict change in share price based on market index, industry index and variables. This model can be extended for predicting movements in the secondary capital market. It has been studied in this paper whether Nifty can be predicted using bond index, future price of NYMEX Light Sweet Crude, US$ / INR exchange rate, Nikkei 225, benchmark index of Japanese capital market which captures US market sentiment and offers early morning market cues in Asian trading, S&500, benchmark index of the US market. Observing the trend of betas, it is concluded that appreciation of Indian currency against US$ has not affected the market growth; and also crude prices (although high crude price would affect national GDP) and stock index are not inversely related. Indian stock index is also influenced by the US market cues.