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An Analysis of Systematic Risk and Performance through Changing Market Volatility and Sectors

Vol 8 , Issue 1 , January - June 2021 | Pages: 61-79 | Research Paper  

 
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https://doi.org/10.17492/jpi.mudra.v8i1.812104


Author Details ( * ) denotes Corresponding author

1. * Tarini Bakshi, Portfolio Manager, Department of Investment Team, Prime Venture, Bengaluru, Karnataka, India (tarinisarah@gmail.com)

The paper aims to analyse the trend of systematic risk of fifty listed securities and chart changes across periods of differing market volatility and across sectors. The paper specifically focuses on beta as a measure of risk and follows the monthly and quarterly values across a period of nearly three years, including turbulent trading periods during the pandemic. An array of sectors in the cross section allows for a control variable that can cut through size and industry sensitivity to cyclic movements. Sector analysis is also performed to assess changing investor interest in particular securities against the backdrop of changing macro-economic factors. The paper also delves into the relationship between performance of stock and beta, trying to ascertain if there is a clear correlation between a category of beta (high or low) and performance, and whether this relationship continues to exist through shifting volatility and trends in the market.

Keywords

Systematic risk; Market volatility; Beta resilience; Sticky beta; Trend reversal; Security performance; Idiosyncratic volatility.

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