Does investor sentiment affect the Indian stock market? Evidence from Nifty 500 and other selected sectoral indices

Figures & data

Table 1. ADF unit root test results for stationarity.

Variables	Nifty	Auto	FMCG	IT	Metal	PSU	INDex
ADF(t)	−13.752	−12.959	−16.071	−14.852	−12.742	−14.160	12.530
p-Value	0.000	0.000	0.000	0.000	0.000	0.000	0.000
Stationarity	YES	YES	YES	YES	YES	YES	YES

Source: Authors’ compilation. Note: Test exhibits stationarity at 1% significance.

Figure 1. Trend movement of Market index (NSE Return) and sentiment index (INDex). Source: Authors’ compilation.

Table 2. Descriptive statistics for Nifty and sectorial returns for the period 2004–2021.

Variable	Mean	Median	Minimum	Maximum	Std. dev	Skewness	Kurtosis
NSERET	0.051	0.071	−1.800	1.491	0.340	−1.214	7.413
AUTO	0.055	0.083	−2.048	1.331	0.383	−1.097	5.370
FMCG	0.056	0.062	−1.104	0.779	0.271	−0.569	1.645
IT	0.010	0.083	−11.061	0.912	0.825	−11.249	148.190
METAL	0.040	0.040	−2.966	2.076	0.554	−0.805	4.843
PSU	0.021	0.013	−2.183	1.828	0.553	−0.067	1.139
INDex	0.000	0.037	−2.706	2.122	1.000	−0.280	−0.243

Note: This provides summary statistics of selected sectors’ return as well as sentiments index. Source: Authors’ compilation.

Table 3. Variation inflation factors.

Sentiment proxies	VIF
ADR	1.410
PB	2.213
PE	2.226
TURN	1.979
RSI	4.338
MFI	3.519
NIPO	1.063

Source: Authors’ compilation.

Table 4. Regression results.

Characteristics	Nifty	AUTO	FMCG	IT	Metal	PSU
Co-efficient	0.198***	0.189***	0.109***	0.200***	0.310***	0.261***
t-Stat	10.960	9.367	6.218	2.877	9.718	9.886
R^2	0.655	0.503	0.324	0.110	0.502	0.504
Adj R^2	0.645	0.488	0.304	0.084	0.488	0.489
DW statistics	2.335	2.001	2.123	2.122	2.029	2.282

Note: ***denotes significance level at 1%. Source: Authors’ compilation.