Document Type : Research Article



Purpose – The BSE Sensex, popularly known as SENSEX is considered as the pulse of
domestic equity markets in India. However many researchers and policy makers also
consider SENSEX as a barometer of Indian economy. The bull and bear phase of
SENSEX is seen as upturn and downturn cycles in Indian perspective. The SENSEX
consists of thirty well established stocks which are representative of various industrial
sectors of Indian economy. Available literature provides evidence of attempt by many
researchers in prediction and modelling of various market indices.Our study identifies a
natural framework to study the dynamic structure of daily returns from BSE Sensex. The
purpose of this study is to find evidence of index movement due to historical patterns or
random shocks, which describe the economic environment under which the asset price is