Stock Price Volatility of NSE Thematic Consumption Index: An Econometric Analysis

Abstract

Had the Indian economy been a person, its income in 2020-21 and 2021-22 would be much less than what it was in 2019-20. This is what
the recent World Bank predictions say. There is vast, perhaps unparalleled, economic pain ahead.
The World Bank released its Global Economic Prospects report in the second week of June, expecting India’s gross domestic product
(GDP) to contract by 3.2% in 2020-21. A moderate recovery growth is expected from 3.1% in 2021-22. India is not the only country that
will face this quandary. As per the statistics, generally March and April each contributes to the sales turnover of 12% every year, but
March 2020 has witnessed a downfall of 55% year on year amidst the corona-induced lockdown. Undoubtedly, the pandemic has a
tremendous impact on these, but the industry certainly needs to cope with the current situation and some key transitions should be made
in their approach to sales, logistics, marketing to customer service. So, as an investor, we need to know how the consumption market was
just before the Covid-19 hit the Indian premise. The consumption industry is further segregated into durable, non-durable goods and
services industries.
This paper compares the price volatility of the stock prices of three firms that are into consumer goods with its related NSE Nifty
consumption index. Data has been taken from the NSE website and the time period of the study is 2015-2019. The data has further been
treated with time series analysis using multiple regression which tries to test whether there is any connection between the trends of the stock
prices of firms vis-à-vis the Nifty index of the sector. The study also attempts to identify patterns between the regressor and the
regressands.