Identifying Financial Bubbles in Selected Indian Sectors: An Empirical Study Using NIFTY Indices

Author(s)	Ms. Aashima Singh Rana
Country	India
Abstract	This study investigates the presence of financial bubbles within the Indian equity market, focusing on the NIFTY 50 and five major sectoral indices—NIFTY Auto, NIFTY Bank, NIFTY Financial Services, NIFTY Energy, and NIFTY Pharma—over the period from August 2011 to March 2025. Employing advanced right-tailed econometric techniques such as the Right-Tailed Augmented Dickey-Fuller (RtADF), Rolling ADF (RADF), and Supremum ADF (SADF) tests, the research explores speculative dynamics across key sectors of the Indian stock market. Analysis of 164 monthly return observations revealed that NIFTY Financial Services and NIFTY Auto yielded the highest average annual returns, while NIFTY Bank exhibited the highest volatility. All econometric tests consistently produced p-values of 1.000, indicating the absence of explosive price movements and suggesting that sectoral indices have remained stable over the study period. Regression analysis confirmed a significant positive influence of sectoral indices on overall market performance, led by Financial Services, while causality tests showed no bidirectional predictability among sectors.
Keywords	Financial Bubbles, NIFTY Indices, Econometric Analysis, Indian Stock Market
Published In	Volume 7, Issue 6, November-December 2025
Published On	2025-11-05
DOI	https://doi.org/10.36948/ijfmr.2025.v07i06.59667

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