In the last decade, financial reforms have led to creditable growth in the Indian stock market. Even every day, it is touching new highs and the predications are all above from the current level. Interestingly, experts link market decline with correction of stock prices. Researchers and practitioners evaluate exceptional positive hit or negative shock through fundamental and technical analysis gap. Market behavior is very uncertain as it is related to investor sentiments. However, sentiment must be backed by calculation. This paper attempted to evaluate the performance of and mutual relationships among various Bombay Stock Exchange (BSE) indices. The study will certainly contribute towards accurate estimation of returns. A secondary data based study was conducted to cross assess the co-movement of BSE indices namely BSE SENSEX, BSE100, BSE200, BSE500, BSE Mid Cap, and BSE Small Cap for a period from 1st April 2008 to 31st March 2014. Daily closed series values were taken for all the indexes. Various econometric tools such as ADF unit root, Johnson co-integration, VAR model, Granger causality, and Vector decomposition and so forth were employed to analyze data and evaluate findings so as to shed light on the critical relationships among BSE indices.

1. Aggarwal, R., Inclan, C., & Leal, R. (1999). Volatility in emerging stock markets. Journal of Financial and Quantitative Analysis, 34 (01), 33-55.
2. Antoniou, A., Petmezas, D., & Zhao, H. (2007). Bidder gains and losses of firms involved in many acquisitions. Journal of Business Finance & Accounting, 34 (7-8), 1221-1244.
3. Arestis, P., & Demetriades, P. (1997). Financial development and economic growth: Assessing the evidence. The Economic Journal, 107 (442), 783-799.
4. Arouri, M. E. H., & Nguyen, D. K. (2009). Time varying characteristics of cross market linkages with empirical application to Gulf stock markets. Managerial Finance, 36 (1), 57-70.
5. Bandivadekar, S., & Ghosh, S. (2003). Derivatives and volatility on Indian stock markets. Reserve Bank of India Occasional Papers, 24 (3), 187-201.
6. Bhattacharya, K., Sarkar, N., & Mukhopadhyay, D. (2003). Stability of the day of the week effect in return and in volatility at the Indian capital market: A GARCH approach with proper mean specification. Applied Financial Economics, 13 (8), 553-563.
7. Chandra, A. (2012). Cause and effect between FII trading behaviour and stock market returns : The Indian experience. Journal of Indian Business Research, 4 (4), 286-300.
8. Dadhich, G., Chotia, V., & Chaudhry, O. (2015). Impact of foreign institutional investments on stock market volatility in India. Indian Journal of Finance, 9 (10), 22 - 35. doi:10.17010/ijf/2015/v9i10/79561
9. Gentzoglanis, A. (2007). Financial integration, regulation and competitiveness in Middle East and North Africa countries. Managerial Finance, 33 (7), 461-476.
10. Hussain, F., Hamid, K., Akash, R. S. I., & Khan, M. I. (2011). Day of the week effect and stock returns: Evidence from Karachi Stock Exchange-Pakistan. Far East Journal of Psychology and Business, 3 (1), 25-31.
11. Joshi, S. S. (2013). Correlation and co-integration of BRIC countries' stock markets. Indian Journal of Finance, 7 (4), 42-48.
12. Karim, B. A., Kassim, N. A. M., & Arip, M. A. (2010). The subprime crisis and Islamic stock markets integration. International Journal of Islamic and Middle Eastern Finance and Management, 3 (4), 363-371.
13. Karmakar, M. (2007). Asymmetric volatility and risk-return relationship in the Indian stock market. South Asia Economic Journal, 8 (1), 99-116.
14. Kumar, S. (2012). A first look at the properties of India's volatility index. International Journal of Emerging Markets, 7 (2), 160-176.
15. Levine, R. & Zervos, S. (1996). Stock market development and long-run growth. The World Bank Economic Review, 10 (2), 323-339.
16. Maditinos, D., Šević, Ž., & Theriou, N. (2007). Investors' behaviour in the Athens Stock Exchange (ASE). Studies in Economics & Finance, 24 (1), 32-50.
17. Majid, M. S. A., Meera, A. K. M., Omar, M. A., & Aziz, H. A. (2009). Dynamic linkages among ASEAN-5 emerging stock markets. International Journal of Emerging Markets, 4 (2), 160-184.
18. Masih, A., & Masih, R. (1997). A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages. Applied Financial Economics, 7 (1), 59-74.
19. Meric, G., Pati, N., & Meric, I. (2011). Co-movements of the Indian stock market with other stock markets : Implications for portfolio diversification. Indian Journal of Finance, 5 (10), 13-20.
20. Mukherjee, P., Bose, S., & Coondoo, D. (2002). Foreign institutional investment in the Indian equity market: An analysis of daily flows during January 1999-May 2002. Money & Finance, 2.9 (10), 9-10.
21. Murthy, K. B., & Singh, A. K. (2013). Do foreign institutional investors really drive the Indian stock market? Asia-Pacific Journal of Management Research and Innovation, 9 (1), 45-53.
22. Pandey, A. (2005). Volatility models and their performance in Indian capital markets. Vikalpa, 30 (2), 27 - 46.
23. Paramati, S. R., & Gupta, R. (2013). An empirical analysis of stock market performance and economic growth: Evidence from India. DOI : <a href=http://dx.doi.org/10.2139/ssrn.2335996 target="_blank">http://dx.doi.org/10.2139/ssrn.2335996</a>
24. Poshakwale, S. (1996). Evidence on weak form efficiency and day of the week effect in the Indian stock market. Finance India, 10 (3), 605-616.
25. Prasad, S., & Verma, A. (2013). Size and returns: A study of the Indian stock market. Indian Journal of Finance, 7 (5), 5 -13.
26. Priscilla, L. (2013). Decoupled or not? What drives Chinese stock markets : Domestic or global factors? Journal of Accounting and Finance,13 (4), 40-54.
27. Razdan, A. (2002). Scaling in the Bombay stock exchange index. Pramana – Journal of Physics, 58 (3), 537-544.
28. Seth, N., & Sharma, A. (2015). International stock market efficiency and integration. Journal of Advances in Management Research, 12 (2), 88-106.
29. Sinha, D., & Macri, J. (2001). Financial development and economic growth: The case of eight Asian countries. Economia Internazionale, 54 (2), 219-234.
30. Tayde, M., & Rao, S.V.D.N. (2011). Do foreign institutional investors (FIIs) exhibit herding and positive feedback trading in Indian stock markets? in N. Boubakri & J.-C. Cosset (eds.), Institutional investors in global capital markets (International Finance Review, Volume 12, pp. 169 - 185). Emerald Group Publishing Limited. doi:10.1108/S1569-3767(2011)0000012009
31. Valadkhani, A., & Chancharat, S. (2008). Dynamic linkages between Thai and international stock markets. Journal of Economic Studies, 35 (5), 425-441.