Financial Risk Management
Forecasting and Modeling of Indian Private Banks’ Stocks: An Econometric Analysis for Prudent Investment for Investors and Traders

Article Details
Pub. Date : Dec, 2019
Product Name : The IUP Journal of Financial Risk Management
Product Type : Article
Product Code : IJFRM41912
Author Name : Gunjit Kaur
Availability : YES
Subject/Domain : Finance Management
Download Format : PDF Format
No. of Pages : 23



The aim of the study is to explore the dynamics between the risk and return of the three private banking stocks of National Stock Exchange (NSE)—Axis, HDFC and ICICI Banks. These are high beta stocks. This paper deals with the impact of sample size on the distributional characteristics of the stock return: how risk and return of same stocks change for investors and traders. The paper emphasizes on the time horizon of the investment, which is critical and should be revised regularly. This paper tries to find the relationship between these banks with respect to the horizon of investment period. It also tries to differentiate two most important characteristics of market: the ‘time and volatility’ for trader and investor. It provides a guide for analyzing and modeling the financial time series using statistical methods for both traders and investors.


Investing and trading are two different approaches which are often confused with one another. Investment refers to long term, whereas trading is for shorter period and involves frequent buying and selling. Investing and trading in stock markets can be a risky business, hence it is often desirable to understand and monitor the price behavior and try to find probable future price movement of the stocks. It has been found out that Nifty and Sensex do not show characteristics of random walk; the empirical studies do not support the validity of weak form efficiency (Srinivasan, 2010). Stock prices are predictable. Indian stock market are not weak form efficient, signifying that there is a systematic way to exploit trading opportunities and earn high profits. This means that investors, by analyzing the past pattern of prices, can predict future movements and earn good profits. Thus, both investor and trader should study the historical rates of return on various types of securities.


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