INDIAN BANKING CORRELATION ANALYSIS
The 20 day rolling correlation analysis has been performed on banks which are major constituents of both Bank Nifty and Finnifty starting from Jan 2017 to May 2023. Some interesting conclusions drawn out are as follows:
* The correlation between Bank Nifty and Finnifty during certain times has dropped below 0.8 from the usual median of 0.96.
* Kotak Bank amongst other banks is least correlated to other banks.
* HDFC is second least correlated banks amongst other bank with showing median correlation of above 0.5 with Kotak bank.
* ICICI Bank is highly correlated to Axis and SBI Bank with correlation greater than 0.6
* Please note that perfect correlation does not exist due to idiosyncratic factors.