Does cultural economics affect country’s competitiveness?

Abstract

The Fast-Moving Consumer Goods (FMCG) sector is regarded as one of the most resilient sectors in the Indian economy due to its stable demand and defensive characteristics. This study examines the share price movement and volatility behaviour of selected FMCG companies listed on the National Stock Exchange (NSE) of India, namely Hindustan Unilever Limited, ITC Limited, Nestle India Limited, Tata Consumer Products Limited, and Britannia Industries Limited, during the period January 2016 to April 2026. The study employs technical indicators, including Moving Average (MA), Rate of Change (ROC), and Relative Strength Index (RSI), to evaluate price trends and momentum. Further, volatility characteristics are analysed using the Augmented Dickey-Fuller (ADF) test, ARCH-LM test, GARCH (1, 1), GARCH-M (1, 1), and EGARCH (1,1) models. The empirical findings reveal significant volatility clustering and persistent conditional variance across all selected stocks, indicating that current volatility is influenced by past shocks. HUL and Nestle India exhibit the highest volatility persistence, whereas Britannia Industries and Tata Consumer Products demonstrate significant asymmetric responses to negative information. The GARCH-M results indicate an insignificant risk-return relationship, suggesting that returns are driven more by business fundamentals than by short-term market risk. The study contributes to the literature by integrating technical analysis and GARCH-family models to provide a comprehensive understanding of price movement, volatility persistence, risk-return dynamics, and asymmetric volatility behaviour in the Indian FMCG sector. The findings offer useful implications for investors, portfolio managers, and researchers in designing risk management and portfolio diversification strategies.

Keyword : FMCG Stocks, Technical Indicators, Volatility Clustering, GARCH Models, EGARCH, Risk-Return Relationship, NSE India