The present study examines the Indian small-cap cycle between April 2011 and March 2022. The ordinary least squares estimate shows that investors can benefit from investing in the Nifty Small-Cap 100 index by following a proper exponential moving average strategy. The study findings also highlighted that among macroeconomic factors, ‘term spread’ might influence the Nifty Small-Cap 100 index returns (NIFSC100R). The daily returns of the Russell 2000 index, the relative change in international crude oil prices (RCO), and the relative change in the exchange rate between USD and INR (RUSDINR) show no statistically significant impact on NIFSC100R. The study also plotted a figure of the daily index movement of the Nifty Small-Cap 100 and Russell 2000 between 5 April 2011 and 22 March 2022 to compare the small-cap cycles in India and the United States. It is emphasised that while small-cap cycles in India and the United States generally resemble similar movements, the macroeconomic factors driving small-cap cycles in the two countries are different. Interestingly, it also reveals that in the case of India, unlike the United States, the impact of the COVID-19 lockdown fear factor reflects on the small-cap cycle before the actual COVID-19 lockdown imposed at the end of March 2020.
