Predictive modeling of CNX Nifty 200 from a valuation perspective

Abstract

In the current scenario it has always been a difficult task to predict the value of the share market index. The study is being conducted to predict the direction of the stock price index movement. Accurate forecast of the stock index movement helps the investors to acquire the opportunities for gaining profit in stock exchanges. This paper has examined the relationship between the closing price of NSE 200 and the set of three valuation ratios i.e. Price Earnings ratio (P/E), Price to Book ratio (P/B) and Dividend Yield. Closing price of NSE 200 is the dependent variable and P/E, P/B and Dividend Yield are the independent variables. In this study we have used 1048 observations for the period from April 2015 to June 2018. The values have been collected from the NSE website. The collected data were exploratory data which has been measured through Multiple Regression analysis. The analysis shows that Price Earnings ratio, Price to Book ratio and Dividend Yield are significant determinant factors to predict the closing price of NSE 200.