Macroeconomic Sensitivity of Blue-Chip vs. Growth Stocks in India: A Decadal Regression-Based Analysis

Abstract

By analysing the distinct ways in which blue-chip and growth stocks respond to systematic macroeconomic factors, this study addresses a significant gap in Indian financial research. Previous Indian studies often compared total stock returns but frequently blurred firm-specific characteristics with broader economic influences. Here, we use a multi-factor OLS regression on monthly returns data for the Nifty 50 (as a blue-chip benchmark) and the Nifty Midcap 150 Total Return Index (as a growth stock benchmark), covering the period 2014 to 2024. The analysis examines explicitly how these stock categories (through their betas) respond to changes in GDP growth (G), CPI-based inflation (u), and shifts in the RBI policy rate (∆I). The findings show that, with statistically significant negative coefficients, growth stocks are about twice as sensitive to high inflation and rising interest rates as blue-chip stocks. In contrast, growth stocks demonstrate stronger positive sensitivity to phases of GDP growth. These results indicate that systematic risk in the Indian equity market is complex and varies across investment types, providing valuable insights for studies on the transmission of central bank policy and dynamic asset allocation strategies.