Financial performance of bse psu index - A times series data analysis

The paper analysed the risk and return of the PSU stocks and popular indices (Nifty50 and Sensex) during the period 2003 to 2014. The study assumes importance in the context of Investors wealth destruction during 2011 - 2014. Huge drop in market capitalisation worth 6, 83,314 crore wealth including loss to government worth 5, 12,601 crore and public worth 1, 70,713 crore. The results of the study indicate that there is a difference in the volatility among three indices but there is no difference in returns. However, if we look at the risk adjusted return, the performance of PSU index measured by three parameters i.e.; Sharpe ratio, Treynor ratio and Alpha, the performance of the PSU index was poor compare to other popular indices (Nifty50 and Sensex).