Behind the 'Down Beta' of Indian markets

For any form of business research, a real assessment of the reliability of findings is assessed through an out-of-sample test

In November, I had authored an article in Business Standard regarding the reduced ‘Down Beta’ of Indian markets post demonetisation. This article was based on a research paper titled Reduction in Cost of Capital in Indian Markets, co-authored by Gautham Kanthasamy and Prasanna Tantri of the NSE-ISB Trading Laboratory, ISB, Hyderabad. To recap, the ‘Beta’ of any asset is a term used to quantify the movement of the asset’s price with respect to the market. Researchers further classify this Beta into two categories — up market Beta and down market Beta. Here, up Beta measures the Beta of the financial