The paper is an attempt to understand the nature of movements in share prices of FMCG companies in India and to find out the relationship between FMCG companies share prices and the FMCG index. Share prices of the FMCG companies during the period of 2012-17 (5 years) has been taken for the purpose of study.The correlation between the FMCG companies and the FMCG index has been tested with the and prediction strength of the share price movement, explained by FMCG index, has been measure by FMCG index with the help of co-efficient of determination and by fitting linear regression equation. A sample of total 38 companies representing FMCG index has been made for the purpose of study. Log returns for the securities and the FMCG index has been computed by taking the closing prices of the shares and the index.