A Multi-Criteria Based Stock Selection Framework in Emerging Market

  • Sanjib Biswas Department of Management Studies, National Institute of Technology, West Bengal, India
  • Gautam Bandyopadhyay Department of Management Studies, National Institute of Technology, West Bengal, India
  • Dragan Pamucar University of Belgrade, Faculty of Organizational Sciences, Department of Operations Research and Statistics, Belgrade, Serbia
  • Neha Joshi Calcutta Business School, Bishnupur, West Bengal, India
Keywords: Stock performance, Portfolio selection, Logarithmic Percentage Change-driven Objective Weighting (LOPCOW), Evaluation Based on Distance from Average Solution (EDAS), Borda Count


The present study aims to compare the stock performances of the Fast Moving Consumer Goods (FMCG) and Consumer Durables (CD) firms at the Bombay Stock Exchange (BSE), India. It is evident from the extant literature that investment in the stock market depends on two broad objectives such as maximization of return while minimization of risk. Besides, investment decisions are also influenced by the behavioral nature of the investors. To this end, the current work considers the earning prospect (average market return, return on net worth, earning per share, and yield), market-centric risk (beta), market perception (price to book value, shares traded), momentum (turnover) and benchmarked performance (alpha) to set the criteria for comparison. The study period considers seven consecutive financial years to discern the performance. For the comparative analysis, a combined multi-criteria decision-making (MCDM) framework of Logarithmic Percentage Change-driven Objective Weighting (LOPCOW) (used to determine criteria weights) and Evaluation Based on Distance from Average Solution (EDAS) (for ranking) methods has been utilized. Borda Count Method (BC), Copeland Method, and Simple Additive Weighting (SAW) have been used to aggregate the year-wise rankings. The calculated weights show consistency to the modern portfolio theory as average return, beta, and return on net worth obtain higher weightage than others. It is observed that there are variations in the year-wise comparative ranking, while on aggregation, FMCG firms dominate the top positions. The analysis reveals that Avanti Feeds Ltd., Hindustan Unilever Ltd., Procter & Gamble Hygiene & Health Care Ltd., Britannia Industries Ltd., and Nestle India Ltd. are the top five performers, while Godfrey Phillips India Ltd., E I D-Parry (India) Ltd., United Breweries Ltd., Rajesh Exports Ltd., and Radico Khaitan Ltd. hold the bottom five positions during the same period. The results also indicate that, more or less, the firms having higher market capitalizations have performed well. The results obtained using the EDAS method and other popular MCDM models, such as multi-attributive border approximation area comparison (MABAC) and the Complex Proportional Assessment (COPRAS), show a significant correlation. Further, the outcome of the sensitivity analysis confirms the stability of the performance-based ranking results.


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How to Cite
Biswas, S., Bandyopadhyay, G., Pamucar, D., & Joshi, N. (2022). A Multi-Criteria Based Stock Selection Framework in Emerging Market. Operational Research in Engineering Sciences: Theory and Applications. https://doi.org/10.31181/oresta161122121b