Testing the Stationarity of Beta for IT Sector Stocks in Indian Stock Markets

The study's aim is to see if information technology (IT) sector stocks in Indian stock markets have a time-varying beta. The research was conducted on a sample of nine IT sector stocks listed on the Bombay Stock Exchange in India, using univariate Analysis of Covariance (ANCOVA) on betas calculated for five sub-periods over a 10-year study period: stagnant phase (April 2001 - March 2003), growth phase (April 2003 - March 2005), and boom phase (April 2005 - March 2006). (Apr. 2005 - Dec. 2007),Depression period (Jan. 2008 - Mar. 2009) and Steady phase (Jan. 2008 - Mar. 2009) (Apr. 2009 - Mar. 2011). The results show that all of the sample stocks' betas remained relatively stable over time. This implies that in Indian stock markets, beta can be assumed to be stationary for stocks in the IT industry.

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