A Comparative Analysis of Mutual Funds and Stock Market Behaviour in India: Evidence from Trend, Risk–Return, and CAPM Framework (2007–2022)

Abstract

This study investigates long-term trend, growth, and risk-return flow of the Nifty 50 Index and selected equity & debt mutual funds in India over the period 2007–2022. The study evaluates the performance and market sensitivity of mutual funds, by applying advanced econometric techniques, like Augmented Dickey-Fuller (ADF) unit root tests, correlation analysis, regression modelling, Capital Asset Pricing Model (CAPM), and portfolio optimization through efficient frontier analysis. The Results shows that equity mutual funds have higher returns and strong market linkage, while debt mutual funds provide stability & diversification benefits. The results confirms the appropriateness of Modern Portfolio Theory and CAPM in the Indian scenario and offer important implications for investors and policymakers.