The objective of the
study is to test for time-varying beta for information technology (IT) sector
stocks in Indian stock markets. The study was performed using a sample of nine
IT sector stocks listed on the Bombay Stock Exchange, India, through the
application of univariate Analysis of Covariance (ANCOVA) on betas calculated
for five sub-periods within a study period of 10 years: Stagnant phase (Apr. 2001
- Mar. 2003), Growth phase (Apr. 2003 - Mar. 2005), Boom phase (Apr. 2005 -
Dec. 2007), Depression phase (Jan. 2008 - Mar. 2009), and Steady phase (Apr.
2009 - Mar. 2011). The results indicate that the betas were relatively
stationary over time for all of the sample stocks. This suggests that beta can
be taken to be stationary for IT sector stocks in Indian stock markets.
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