Study on inter sector association rules in national stock exchange, India

In this paper, the stocks grouped under different sector indices under National Stock Exchange (NSE) of India are analyzed to identify any interesting relations among the sectors. Concept of Association rules is used for this analysis. Stocks are grouped into sectors based on their operations/industrial classification. Owing to their similarity in every context stock prices within a sector generally vary in the same direction. This study examines inter sector relations using association rules. Daily closing prices are used to identify the trend of stock price variation which are in turn processed using Apriori algorithm [1] to get association rules and those spanning across sectors are separated and their behavior is analyzed.