  We study the various sectors of the Bombay Stock Exchange(BSE) for a period
of 8 years from April 2006 - March 2014. Using the data of daily returns of a
period of eight years we make a direct model free analysis of the pattern of
the sectorial indices movement and the correlations among them. Our analysis
shows significant auto correlation among the individual sectors and also strong
cross-correlation among sectors. We also find that auto correlations in some of
the sectors persist in time. This is a very significant result and has not been
reported so far in Indian context These findings will be very useful in model
building for prediction of price movement of equities, derivatives and
portfolio management. We show that the Random Walk Hypothesis is not applicable
in modeling the Indian market and Mean-Variance-Skewness-Kurtosis based
portfolio optimization might be required. We also find that almost all sectors
are highly correlated during large fluctuation periods and have only moderate
correlation during normal periods.
