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An Analytical Study On The Volatility of Securities Traded On Bse Sensex"
An Analytical Study On The Volatility of Securities Traded On Bse Sensex"
MR.JAYDIP DESAI
Submitted by
SAGAR PAREKH
MANISH GOLE
M.B.A-SEMESTER III/IV
DECLARATION
We Mr. SAGAR PAREKH & Mr. MANISH GOLE hereby declare that the reportfor
Comprehensive Project entitled AN ANALYTICAL STUDY ON THE
VOLATILITYOFSECURITIES TRADED ON BSE SENSEX
is a result of our own work and our indebtedness to other work
Publications, references, if any, have been duly acknowledged.
PLACE:
DATE:
PAREKH
SAGAR
MANISH GOLE
INSTITUTIONAL CERTIFICATE
PREFACE
3
The Professional training is the internal part of a MBA Program. It helps the
students understand practical aspects of Business Management in a better way
as a part of our MBA program at Shree r.r.tanti institute of management.
The theoretical knowledge & conceptual ideas are the background for the career
development but project work has also equal contribution for occur. The
sentence experience is the best teacher is very true in every field & so project
work during the course is arranged to develop the skill & attitude.
It is rightly said that practice makes a man perfect. In order to achieve excellence
and success, theoretical knowledge must be supplemented with practical
knowledge and practical work i.e. is Project work. Among the numerous
interesting things concerned with changing the understanding of management
students, this project work plays an important role in development of us.
ACKNOWLEDGEMENT
4
Firstly, we would like to thank the almighty GOD, who bestowed upon us this
opportunity for working on this project and generated the capacity to successfully
complete the project.
TABLE OF CONTENT
5
Sr. no.
Particulars
Chapter
1
Page
No.
General Information
1.1
1.2
1.3
13
Chapter 2
14
Chapter 3
Introduction of study
3.1
Literature Review
3.2
3.3
Problem Statement
3.4
Chapter 4
Research Methodology
4.1
Research Design
4.2
Sources of Data
4.3
Population
4.4
Statistical tool
Chapter 5
18
21
24
25
26
26
26
26
27
5.1
5.2
Chapter 6
18
INDUSTRY PROFILE
29
COMPANY PROFILES
31
38
Chapter 7
Findings
Chapter 8
Conclusion
Chapter 9
74
76
77
BIBILOGRAPHY
79
LIST OF TABLES
Sr.no.
TOPIC
Volatility of
10
11
12
13
14
15
16
EXECUTIVE SUMMARY
7
PAGE NO
In this topic our objective is to find out how we can make investment by analysis
of the bse sensex for only top traded 30 scrips which I selected 15 for analysis.
Volatility of securities price has important implications for firms investment and
financial decisions, valuations and investors sentiments. Price volatility of
securities has consequence for firms decisions on how much capital to issue,
type of instrument to be used when to use. Further high price volatility provides
opportunities for expropriations between various market players.
There for the study of volatility of security is very important contextual as well.
Here analytical study of volatility of securities traded on Bombay Stock Exchange
is the topic of this dissertation.
CHAPTER 1
8
World Trade
The trade volume of the world is estimated at 3% for 2003, which is less the
growth rate 3.2% for the year2002. A sharp rise in oil prices has surged the
commodity prices. Consumer goods prices in the advanced countries reached
around 1.8% as compared to 1.5% in 2002 whereas it is 5% in developing
countries for both of the years. Increase in the volume of trade is one of the
potential causes for development of capital market of the economy. Ongoing
discussions among the member countries of the World Trade Organization
9
(WTO) have to be taken into account for overall development and integration of
global capital markets.
and secondary market. The primary market deals with new or fresh issue of
securities and is, therefore, also known as new issue market; Whereas the
secondary market provides a place for purchase and sale of existing securities
and is often termed as stock market or stock exchange.
1) PRIMARY MARKET
The Primary Market consists of arrangements, which facilitate the procurement of
long term funds by companies by making fresh issue of shares and debentures.
You know that companies make fresh issue of shares and/or debentures at their
formation stage and, if necessary, subsequently for the expansion of business. It
is usually done through private placement to friends, relatives and financial
institutions or by making public issue
2) SECONDARY MARKET
The secondary market known as stock market or stock exchange plays an
equally important role in mobilizing long-term funds by providing the necessary
liquidity to holdings in shares and debentures. It provides a place where these
securities can be encased without any difficulty and delay. It is an organized
market where shares, and debentures are traded regularly with high degree of
transparency and security. In fact, an active secondary market facilitates the
growth of primary market as the investors in the primary market are assured of a
continuous market for liquidity of their holdings. The major players in the primary
market are merchant bankers, mutual funds, financial institutions, and the
individual investors; and in the secondary market you have all these and the
stockbrokers who are members of the stock exchange who facilitate the trading.
11
Sir Phiroze Jeejeebhoy was another who dominated the stock market nscene
from 1946 to 1980. His word was law and he had a great deal of influence over
both brokers and the government. The planning process started in India in 1951,
with importance being given to the formation of institutions and markets. The
Securities Contract Regulation Act 1956 became the parent regulation after the
Indian Contract Act 1872, a basic law to be followed by security markets in India.
To regulate the issue of share prices, the stock markets have had many turbulent
times in the last 140 years of their existence. The imposition of wealth and
expenditure tax in 1957 by Mr. T.T.Krishnamachari, the then finance minister, led
to a huge fall in the markets. The dividend freeze and tax on bonus issues in
1958-59 also had a negative impact. War with China in 1962 was another
memorably bad year, with the resultant shortages increasing prices all round.
This led to a ban on forward trading in commodity markets in 1966, which was
again a very bad period, together with the introduction of the Gold Control Act in
1963. The markets have witnessed several golden times too. Retail investors
began participating in the stock markets in a small way with the dilution of the
12
Source:http://www.bukisa.com/articles/442796_capital-marketsanoverview#ixzz1KgqtH7su
Indias capital markets have experienced sweeping changes since the beginning
of the last decade. Its market infrastructure has advanced while corporate
governance has progressed faster than in many other emerging market
economies. But in contrast to several developed countries and Asian economies,
Indias capital markets are still shallow, implying that further reforms are needed
to make India a world-class financial centre. At nearly 40% of GDP, the size of
Indias government bond segment is comparable to many other emerging market
economies.
13
14
ELECTRICAL EQUIPMENT
CEMENT PRODUCTS
BANKS
TELECOMMUNICATION SERVICES
ELECTRICAL EQUIPMENT REFINERIES OIL
EXPLORATION/PRODUCTION
PHARMACEUTICALS CONSTRUCTION GAS
COMPUTERS SOFTWARE
FINANCE HOUSING BANKS
AUTOMOBILES 2 AND 3 WHEELERS
ALUMINIUM ,
DIVERSIFIED
FINANCIAL INSTITUTION
CIGARETTES
STEEL AND STEEL PRODUCTS
15
The Sensex falls by 36% in a day of hectic trading. The reserve Bank of
India lowers the repo rate by 25 basis points. The government of India raises
4500 crore rupees by issuing bonds with a maturity of 10 years. So on and so
forth all these are examples of securities market at work. Most people are aware
that this market has an important bearing on modern life and glibly speak of
Dalal Street the gilt Edged Market and the Nifty with a some what vague
understanding of these terms.
16
18
Seasonality or calendar anomalies such as month of the year and day of the
week effects has remained a topic of interest for research since long time in
developed as well as developing countries. Watchel (1942) reported seasonality
in stock returns for the first time. Rozeff andKinney (1976) documented the
January effect in New York Exchange stocks for the period 1904to 1974. They
found that average return for the month of January was higher than other month
simplying pattern in stock returns. Keim (1983) along with seasonality also
studied size effects in stock returns. He found that returns of small firms were
significantly higher than large firms in January month and attributed this finding to
tax-loss-selling and information hypothesis.
UK
and
US
returns
but
not
in
German
returns.
Fountas
and
There are also evidences of day of the week effect in stock market returns. The
Monday effect was identified as early as the 1920s. Kelly (1930) based on three
years data of the US market found Monday to be the worse day to buy stocks.
Hirsch (1968) reported negative returns in his study. Cross (1973) found the
mean returns of the S&P 500 for the period 1953 and 1970 on Friday was higher
than mean return on Monday. Gibbons and Hess (1981) also studied the day of
the week effect in US stock returns of S&P 500 and CRSP indices using a
sample from 1962to 1978. Gibbons and Hess reported negative returns on
Monday and higher returns on Friday.
20
Smirlock and Starks (1986) reported similar results. Jaffe and Westerfield (1989)
studied day of the week effect on four international stock markets viz. U.K.,
Japan, Canada and Australia. They found that lowest returns occurred on
Monday in the UK and Canada. However, in Japanese and Australian market,
they found lowest return occurred on Tuesday. Brooks and Persand (2001)
studied the five southeast Asian stock markets namely Taiwan, South Korea, The
Philippines ,Malaysia and Thailand. The sample period was from 1989 to 1996.
They found that neither South Korea nor the Philippines has significant calendar
effects. However, Malaysia and Thailand showed significant positive return on
Monday and significant negative return on Tuesday. Ajayi& al. (2004) examined
eleven major stock market indices on Eastern Europe using data from 1990 to
2002. They found negative return on Monday in six stock markets and positive
return on Monday in rest of them. Pandey (2002) reported the existence of
seasonal effect in monthly stock returns of BSE Sensex in India and confirmed
the January effect. Bodla and Jindal (2006) studied Indian and US market and
found evidence of seasonality. Kumari and Mahendra (2006) studied the day of
the week effect using data from 1979 to 1998 on BSE and
NSE. They reported negative returns on Tuesday in the Indian stock market.
Moreover, they found returns on Monday were higher compared to the returns of
other days in BSE and NSE.Choudhary and Choudhary (2008) studied 20 stock
markets of the world using parametric as well as non-parametric tests. He
reported that out of twenty, eighteen markets showed significant positive return
on various day other than Monday. The scope of the study is restricted to days
of- the week effect, weekend effect and monthly effect in stock returns of S&P
CNX Nifty and select firms. The half month effect and holiday effect are not
studied here.
21
The study of volatility is always a serious concern for analysts and researchers
because high degree of volatility can affect the smooth functioning of any stock
market. It may also affect the economic growth and development of the economy
through its effect on investor's confidence and risk taking ability. The researchers
worldwide have attempted to identify the major factors affecting the level of
volatility in the stock markets.
Types of volatility
We can review volatility in three contexts:
Historical volatility
Implied volatility
Projected volatility
Historical volatility
It refers to the movements, which have been observed in a particular stock
price or index over a given period of time. The volatility can be measured by
using the past data on prices (or indices) and expressed by manner of the Beta,
and Coefficient Correlation. For this purpose, daily, monthly data may be taken.
Thus, we may determine volatility for any set of data and compare the
historical data with the prevailing conditions.
22
Implied volatility
Implied volatility is a key variable required for determining premium on
option. While the entire input variable for a model like that of Black and Scholes
can be easily observed, the standard deviation of the instantaneous rate of return
on the stock cant be observed. We may estimate its values from historical data,
but there is a second way in which its value can be inferred.
Projected volatility
This refer to the estimate of future volatility on the basis of past volatility,
current market analysis and perception of the investor. All trading in options is in
a large measure, on the basis of projected volatility.
Beta
Beta measures the non diversifiable risk. Beta shows how the price of a
security responds to market forces. In effect, the more responsive the price of a
security is to changes in the market, the higher will be its Beta. Beta is calculated
by relating the returns on a security with the return for the market. It can be
positive or negative.
Beta for each stock calculated using daily opening and closing share price
each company and corresponding daily Bombay Stock Exchange Sensex. First,
rate of returns of companies and Bombay Stock Exchange Sensex are
calculated. The calculation as follows:
Rate of Return =
opening
Share price in the opening
23
Computation of Beta:
= N XY X Y
N
Standard Deviation
This is the most commonly used measure of risk in fianc. Its
square also is widely used to find out the risk associated with a security.
Ri R
n
Computation of Variance =
i 1
n 1
Standard Deviation =
Coefficient of Correlation
Coefficient of Correlation is a statistical technique, which measures the
degree or extent to which two or more variables fluctuate with reference to one
another. Correlation analysis helps in determining the degree of relationship
between two variables but correlation does not always imply cause and effect
relationship
The Coefficient of Correlation is essentially the covariance taken not as an
absolute value but relative to the standard deviations of the individual securities.
24
2 1/ 2
26
Research Design
Methodology
It covers the type of research used in this dissertation, sample size
chosen, sample description, data collection. Each will be described
separately under the following headings.
27
CODE
NAME
SECTOR
Capital Goods
Capital Goods
Finance
Finance
Finance
Finance
FMCG
FMCG
Healthcare
Housing Related
Housing Related
Information Technology
Information Technology
Information Technology
Power
Power
Power
Telecom
Telecom
Transport Equipments
Transport Equipments
Transport Equipments
Transport Equipments
Transport Equipments
28
Sigma:
Standard Deviation:
Beta
29
CHAPTER 5
PROFILE OF THE INDUSTRY AND COMPANY
5.1INDUSTRY PROFILE
The BSE Sensex or Bombay Stock Exchange Sensitive Index is a valueweighted index composed of 30 stocks with the base April 1979. It consists of the
30 largest and most actively traded stocks, representative of various sectors, on
the Bombay Stock Exchange. These companies account for around one-fifth of
the market capitalization of the BSE.
The base value of the Sensex is 100 on April 1, 1979 and the base year of BSESENSEX is 1978-79. At irregular intervals, the Bombay Stock Exchange
authorities review and modify its composition to make sure it reflects current
market conditions.
The abbreviated form "Sensex" was coined by Deepak Mohoni around 1990
while writing market analysis columns for some of the business newspapers and
magazines. It gained popularity over the next year or two.
The software industry comprises of businesses involved in the development,
maintenance and publication of computer software. The software industry started
in the mid-1970s at the time of the personal computer revolution. The industry
also includes software services, such as training and consultancy. The largest
and most profitable of software companies are located in the United States. As of
2006, the software industry is dominated by Microsoft. Software Magazine's 500
list in 2005 shows the total amount of revenue brought in by software companies
per locale, with the highest being California due to Silicon Valley and the amount
of Fortune 500 software companies residing in that area.
There are mainly two types of businesses in the software industry; those
developing proprietary software such as Microsoft, and those developing open
30
31
goods and products. They also produce waste materials and waste heat that may
pose environmental problems or cause pollution.
housing needs. HDFC was promoted with an initial share capital of Rs. 100
million.
Hindalco industries, Hindalco Industries Limited, a flagship company of
the Aditya Birla Group, is structured into two strategic businesses Aluminium
and Copper and is an industry leader in both. A non-ferrous metals
powerhouse with a turnover of Rs.11,396 crore (FY06), Hindalco's integrated
operations and operating efficiency have positioned the company as Asia's
largest integrated primary producer of aluminium and among the most cost
efficient producers globally. Its copper smelter is today the world's largest custom
smelter at a single location.
Established in 1958, Hindalco commissioned its aluminium facility at
Renukoot in eastern U.P. in 1962 and has today grown to become the country's
largest integrated aluminium producer and ranks among the top quartile of low
cost producers in the world.
With a strategic intent to achieve vertical integration in the copper
business, Hindalco acquired two captive copper mines in Australia Nifty and
Mt. Gordon through Aditya Birla Minerals Limited
Hindustan Unilever Limited, erstwhile Hindustan Lever Limited (also called
HLL), headquartered in Mumbai, is India's largest consumer products company,
formed in 1933 as Lever Brothers India Limited. Its 41,000 employees are
headed by Mr.Harish
Manwani, the non-executive chairman of the board. HLL is the market
leader in Indian products such as tea, soaps, detergents, as its products have
become daily household name in India. The Anglo-Dutch company Unilever
owns a majority stake in Hindustan Lever Limited.
Recently in February 2007, the company has been renamed to "Hindustan
Unilever Limited" to provide the optimum balance between maintaining the
heritage of the Company and the future benefits and synergies of global
34
alignment with the corporate name of "Unilever". This decision will be put to the
Shareholdrs for approval in next "Annual General Meeting
Larsen & Toubro Limited is India's largest engineering and construction
conglomerate, with diverse interests such as Construction,hydraulic equipments,
power services electrical and electronics, fertilizer projects,medical electronics
and information technology. It generates almost 85% of its revenue from the
construction business. Founded in 1938, the company is currently headquartered
in Mumbai, India. A strong, customer-focussed approach and the constant quest
for top-class quality have enabled the Company to attain and sustain leadership
position for over six decades
L&T has made spectacular achievements in Indian industry. Many of the
engineering projects executed by L&T have set new benchmarks in terms of
scale, sophistication and speed. So do many buildings, highways, bridges and
civil structures around the country which are widely regarded as landmarks
Maruti Udyog Ltd is one of India's leading automobile manufacturers and
the market leader in the car segment, both in terms of volume of vehicles sold
and revenue earned. Untill recently, 18.28% of the company was owned by the
government, and 54.2% by Suzuki of Japan. The Indian government held an
Initial Public Offering of 25% of the company in June of 2003. As of May 10,
2007, govt. of India sold its complete share to other financial institutions. With
this, govt. of India no longer has any stake in Maruti Udyog.
Maruti Udyog Limited (MUL) was established in February 1981, though
the actual production commenced in 1983. Through 2004, Maruti has produced
over 5 Million vehicles. Marutis are sold in India and various several other
countries, depending upon export orders. Cars similar to Marutis (but not
manufactured by Maruti Udyog) are sold by Suzuki in Pakistan and other South
Asian countries.
The company annually exports more than 30,000 cars and has an extremely
large domestic market in India selling over five hundred thousand cars annually.
35
Maruti 800, till 2004, was the India's largest selling compact car ever since it was
launched in 1983.
More than a million units of this car have been sold worldwide so far.
Currently, Maruti Alto tops the sales charts.
National Thermal Power Corporation is the largest power generation
company in India. The Forbes Global 2000 ranking for 2005 ranks it as the 5th
leading company in India and the 486th leading company in the world. It is a
public listed (Bombay Stock Exchange) Indian public sector company, with
majority shares owned by the Government of India. At present, Government of
India holds 89.5% of the total equity shares of the company and the balance
10.5% is held by FIIs, Domestic Banks, Public and others. NTPC ranks amongst
the top five companies, in terms of market capitalisation
NTPC's core business is engineering, construction and operation of power
generating plants and also providing consultancy to power utilities in India and
abroad. As on date the installed capacity of NTPC is 26, 404 MW through its 14
coal based, 7 gas based and 4 Joint Venture Projects.
NTPCs share on 31 Mar 2006 in the total installed capacity of the country
was 19.51% and it contributed 27.68% of the total power generation of the
country during 2005-06. Thus, every fourth home in India is enlightened by
NTPC. A total of 170.88 BUs of electricity was produced across all the stations of
the company in the financial year 2005-2006. The Net Profit after Tax on March
31, 2006 was INR 58, 202 million. Net Profit after Tax for the quarter ended June
30, 2006 was INR 15528 million, which is 18.65% more than the same quarter in
the previous financial year (2004-2005) where the profit was INR 13087 million
Oil and Natural Gas Corporation Limited (ONGC) (incorporated on
June 23, 1993) is a public sector petroleum company based in Dehradun, India.
It is a Fortune Global 500 company, and contributes 77% of India's crude oil
production and 81 % of India's natural gas production. It is the highest profit
making corporation in India. It was set up as a commission on August 14, 1956.
Indian government holds 74.14% equity stake in this company.
36
38
CHAPTER -6
DATA ANALYSIS AND INTERPRETATION
Table No. 1. 1
Volatility of BHEL (Capital Goods) return
Date
STOCK
PRICE
close
SENSEX
PRICE
close
03-Oct-11
321.25
16151.45
04-Oct-11
05-Oct-11
07-Oct-11
10-Oct-11
11-Oct-11
12-Oct-11
13-Oct-11
14-Oct-11
17-Oct-11
18-Oct-11
19-Oct-11
20-Oct-11
21-Oct-11
24-Oct-11
25-Oct-11
26-Oct-11
28-Oct-11
31-Oct-11
01-Nov-11
02-Nov-11
03-Nov-11
04-Nov-11
322.7
315.1
323.9
331.75
326.5
336.75
333.85
333.35
326.3
321.75
324.3
317.9
319.75
318.35
314.95
316.6
327.2
317.85
319.55
316.05
329.25
333.65
15864.86
15792.41
16232.54
16557.23
16536.47
16958.39
16883.92
17082.69
17025.09
16748.29
17085.34
16936.89
16785.64
16939.28
17254.86
17288.83
17804.8
17705.01
17480.83
17464.85
17481.93
17562.61
Stock
Return
Y (m)
0.9805
0.5578
-2.8245
0.3705
1.7332
-2.9096
2.8656
-1.5426
-0.1950
-3.8308
-0.8547
-0.4934
-1.2583
0.5473
-2.0575
-1.6034
-0.9002
1.8185
-3.5079
0.7980
-0.3006
3.7206
0.1948
Sensex
Return
X
-0.6471
-1.3672
-1.1101
0.0619
1.7343
-0.7963
1.7570
-0.9718
1.4392
-0.8867
-0.4125
1.1822
0.1478
-1.1328
-0.4237
1.4029
-0.2748
0.7467
-0.5716
-0.3416
0.6708
0.2931
-0.6382
39
X^2
0.4188
1.8693
1.2323
0.0038
3.0080
0.6341
3.0871
0.9444
2.0714
0.7862
0.1702
1.3976
0.0219
1.2833
0.1796
1.9682
0.0755
0.5575
0.3267
0.1167
0.4499
0.0859
0.4073
Y^2
X*Y
0.9615
-0.6345
0.3111
-0.7626
7.9778
3.1355
0.1373
0.0229
3.0041
3.0060
8.4661
2.3170
8.2118
5.0349
2.3796
1.4991
0.0380
-0.2806
14.6753
3.3968
0.7305
0.3526
0.2434
-0.5833
1.5832
-0.1860
0.2995
-0.6200
4.2332
0.8719
2.5710
-2.2495
0.8103
0.2474
3.3068
1.3578
12.3057
2.0051
0.6368
-0.2726
0.0904
-0.2016
13.8427
1.0905
0.0380
-0.1243
08-Nov-11
09-Nov-11
11-Nov-11
14-Nov-11
15-Nov-11
16-Nov-11
17-Nov-11
18-Nov-11
21-Nov-11
22-Nov-11
23-Nov-11
24-Nov-11
25-Nov-11
28-Nov-11
29-Nov-11
30-Nov-11
01-Dec
02-Dec
05-Dec
07-Dec
08-Dec
09-Dec
12-Dec
13-Dec
14-Dec
15-Dec
16-Dec
19-Dec
20-Dec
21-Dec
22-Dec
23-Dec
26-Dec
27-Dec
28-Dec
29-Dec
30-Dec-11
334.85
328.9
324.1
317.4
310.55
297.65
284.65
275.95
262.05
265.2
255.7
260.85
269.85
280.75
282.45
282.2
275.25
282.45
288
288.8
273.55
264.1
257.55
261.4
256.5
250.15
240.45
228.75
234.05
237.65
241.95
243.6
240.8
246.25
237.4
239
275.25
17569.53
17362.1
17192.82
17118.74
16882.67
16775.87
16461.71
16371.51
15946.1
16065.42
15699.97
15858.49
15695.43
16167.13
16008.34
16123.46
16483.45
16846.83
16805.33
16877.06
16488.24
16213.46
15870.35
16002.51
15881.14
15836.47
15491.35
15175.08
15685.21
15813.36
15738.7
15970.75
15873.95
15727.85
15543.93
15454.92
16483.45
-0.4629
-2.4628
-1.1725
-3.1821
-3.2684
-3.6452
-4.2333
-3.6420
-5.3043
-0.5656
-2.9918
1.6676
2.9090
1.3357
0.1593
0.2481
-5.3588
2.6376
1.9097
-0.4848
-5.4652
-1.8554
-4.4457
2.4484
-0.6628
-1.0594
-5.2194
-5.5519
-0.2777
-0.1473
3.9884
2.0936
-1.2458
0.5076
-0.5055
-1.8619
12.8065
-0.1374
-1.6120
0.0287
-1.3423
-1.1784
-0.5748
-1.7797
-0.0989
-2.2007
0.4340
-1.7174
0.8997
-0.5468
1.7092
-1.2620
1.5784
-0.4397
2.0945
-0.0415
0.2786
-2.0105
-0.2774
-3.0536
1.3991
-0.5202
0.6152
-2.4364
-0.3951
-1.7202
1.2589
1.6865
-0.7925
1.1808
-0.6931
-0.8044
-0.7399
-0.8323
40
0.0189
2.5986
0.0008
1.8017
1.3887
0.3304
3.1674
0.0098
4.8432
0.1884
2.9494
0.8095
0.2990
2.9214
1.5927
2.4915
0.1933
4.3868
0.0017
0.0776
4.0422
0.0770
9.3242
1.9575
0.2706
0.3784
5.9360
0.1561
2.9590
1.5848
2.8444
0.6281
1.3942
0.4805
0.6470
0.5475
0.6927
0.2143
0.0636
6.0652
3.9700
1.3747
-0.0336
10.1258
4.2712
10.6824
3.8516
13.2876
2.0953
17.9206
7.5340
13.2639
0.3602
28.1359
11.6734
0.3199
-0.2455
8.9508
5.1381
2.7810
1.5004
8.4624
-1.5906
1.7841
2.2830
0.0254
-0.2011
0.0615
0.3915
28.7164
2.3563
6.9571
5.5244
3.6470
-0.0792
0.2350
-0.1351
29.8682
10.9879
3.4424
0.5147
19.7646
13.5753
5.9944
3.4255
0.4393
0.3448
1.1223
-0.6517
27.2419
12.7165
30.8237
2.1934
0.0771
0.4777
0.0217
-0.1854
15.9076
6.7267
4.3831
-1.6592
1.5521
-1.4711
0.2577
-0.3519
0.2555
0.4066
3.4668
1.3776
164.0075
-10.6588
SUM
41.0524
BETA
S.D
1.164
2.800007706
14.1822
85.0865
VARIA
NCE
CORREL
ATION
7.8400
0.4573
558.4909
104.9189
Interpretation of BHEL
Beta of BHEL company is 1.164 which means the BHEL company share price
fluctuate more than BSE Sensex because if BHEL beta is greater than 1 than it
represent the BHEL share price is more fluctuate compare to market return, if
BHEL beta is less than its represent that BHEL share price less
fluctuate
compare to market return, if BHEL beta is equal to 1 than its shows that both
are fluctuate in same sense.
The value of correlation could be positive, negative or zero. It always varies
between the -1.0 (negative correlation) and +1.0 (positively correlation).so this is
Positive correlation so that It means that when market return increases, the
companys return also increases.
41
Table No. 1. 2
Volatility of ACC LTD. | (Housing related)
Date
STOCK
PRICE
close
SENSEX
PRICE
close
3-Oct-11
1100.25
16151.45
4-Oct-11
5-Oct-11
7-Oct-11
10-Oct-11
11-Oct-11
12-Oct-11
13-Oct-11
14-Oct-11
17-Oct-11
18-Oct-11
19-Oct-11
20-Oct-11
21-Oct-11
24-Oct-11
25-Oct-11
26-Oct-11
28-Oct-11
31-Oct-11
1-Nov-11
2-Nov-11
3-Nov-11
4-Nov-11
8-Nov-11
9-Nov-11
11-Nov-11
14-Nov-11
15-Nov-11
16-Nov-11
17-Nov-11
18-Nov-11
1100.25
1106.75
1111.75
1131.85
1133.25
1140.00
1121.10
1119.05
1109.55
1105.10
1126.40
1114.55
1117.80
1134.35
1181.15
1190.70
1221.20
1195.25
1183.95
1185.65
1210.25
1223.40
1218.45
1203.05
1218.45
1213.80
1205.80
1194.45
1156.60
1152.20
15864.86
15792.41
16232.54
16557.23
16536.47
16958.39
16883.92
17082.69
17025.09
16748.29
17085.34
16936.89
16785.64
16939.28
17254.86
17288.83
17804.80
17705.01
17480.83
17464.85
17481.93
17562.61
17569.53
17362.10
17192.82
17118.74
16882.67
16775.87
16461.71
16371.51
Stock
Return
Y (m)
0.9316
0.1136
0.5647
-0.2249
1.5771
0.1103
0.7895
-2.1185
0.3664
-0.2433
0.4615
1.4560
-0.7492
-0.5278
0.4099
4.5845
1.2220
1.7155
-1.2466
-1.3556
0.4765
2.0863
0.6825
0.5171
-1.7414
1.5388
-1.2317
0.2986
-0.7744
-2.0448
0.1996
Sensex
Return
X
X^2
Y^2
X*Y
-0.6471
0.4187
0.8678
-0.6028
-1.3672
1.8693
0.0129
-0.1553
-1.1101
1.2323
0.3189
-0.6269
0.0619
0.0038
0.0506
-0.0139
1.7343
3.0080
2.4871
2.7352
-0.7963
0.6341
0.0122
-0.0878
1.7570
3.0871
0.6233
1.3871
-0.9718
0.9444
4.4879
2.0587
1.4392
2.0714
0.1342
0.5273
-0.8867
0.7862
0.0592
0.2158
-0.4125
0.1702
0.2130
-0.1904
1.1822
1.3976
2.1198
1.7212
0.1478
0.0219
0.5613
-0.1108
-1.1328
1.2833
0.2786
0.5979
-0.4237
0.1796
0.1680
-0.1737
1.4029
1.9682
21.0178
6.4317
-0.2748
0.0755
1.4932
-0.3358
0.7467
0.5575
2.9430
1.2809
-0.5716
0.3267
1.5540
0.7125
-0.3416
0.1167
1.8377
0.4631
0.6708
0.4499
0.2271
0.3196
0.2931
0.0859
4.3528
0.6115
-0.6382
0.4073
0.4658
-0.4356
-0.1374
0.0189
0.2673
-0.0710
-1.6120
2.5986
3.0325
2.8072
0.0287
0.0008
2.3680
0.0441
-1.3423
1.8017
1.5170
1.6532
-1.1784
1.3887
0.0891
-0.3518
-0.5748
0.3304
0.5997
0.4451
-1.7797
3.1674
4.1812
3.6391
-0.0989
0.0098
0.0398
-0.0197
42
21-Nov-11
22-Nov-11
23-Nov-11
24-Nov-11
25-Nov-11
28-Nov-11
29-Nov-11
30-Nov-11
1-Dec-12
2-Dec-12
5-Dec-12
7-Dec-12
8-Dec-12
9-Dec-12
12-Dec-12
13-Dec-12
14-Dec-12
15-Dec-12
16-Dec-12
19-Dec-12
20-Dec-12
21-Dec-12
22-Dec-12
23-Dec-12
26-Dec-12
27-Dec-12
28-Dec-12
29-Dec-12
30-Dec-11
1133.10
1142.30
1131.80
1115.00
1119.40
1192.45
1159.95
1145.05
1170.75
1213.55
1205.75
1217.70
1201.65
1164.70
1122.70
1136.45
1141.90
1141.20
1127.70
1129.85
1098.60
1138.80
1138.55
1139.55
1159.85
1173.95
1166.85
1150.25
1136.35
15946.10
16065.42
15699.97
15858.49
15695.43
16167.13
16008.34
16123.46
16483.45
16846.83
16805.33
16877.06
16488.24
16213.46
15870.35
16002.51
15881.14
15836.47
15491.35
15175.08
15685.21
15813.36
15738.70
15970.75
15873.95
15727.85
15543.93
15454.92
16483.45
0.0838
0.2276
-0.2827
-0.2735
0.6745
5.0694
-2.8881
0.0917
0.9268
3.5268
-0.0207
1.7820
-1.2732
-1.3179
-4.2131
2.2262
0.5167
1.4196
-0.5720
0.2478
-3.2041
1.7475
0.4875
0.1229
1.9701
1.2735
-0.2914
-0.8476
-2.8556
12.1981
SUM
-2.2007
4.8432
0.0070
-0.1845
0.4340
0.1884
0.0518
0.0988
-1.7174
2.9494
0.0799
0.4856
0.8997
0.8095
0.0748
-0.2461
-0.5468
0.2990
0.4549
-0.3688
1.7092
2.9214
25.6988
8.6647
-1.2620
1.5927
8.3409
3.6448
1.5784
2.4915
0.0084
0.1447
-0.4397
0.1933
0.8589
-0.4075
2.0945
4.3868
12.4386
7.3868
-0.0415
0.0017
0.0004
0.0009
0.2786
0.0776
3.1757
0.4965
-2.0105
4.0422
1.6212
2.5599
-0.2774
0.0770
1.7370
0.3656
-3.0536
9.3242
17.7499
12.8648
1.3991
1.9575
4.9561
3.1147
-0.5202
0.2706
0.2670
-0.2688
0.6152
0.3784
2.0151
0.8733
-2.4364
5.9360
0.3271
1.3935
-0.3951
0.1561
0.0614
-0.0979
-1.7202
2.9590
10.2661
5.5116
1.2589
1.5848
3.0536
2.1999
1.6865
2.8444
0.2376
0.8221
-0.7925
0.6281
0.0151
-0.0974
1.1808
1.3942
3.8812
2.3262
-0.6931
0.4805
1.6217
-0.8827
-0.8044
0.6470
0.0849
0.2344
-0.7399
0.5475
0.7185
0.6272
-0.8323
0.6927
8.1546
2.3767
-14.1822
85.0865
166.3395
78.1148
BETA
S.D
VARIANCE
0.9910
1.3239
1.7527
43
CORRELATION
0.6999
Table No. 1. 3
Volatility of Bharti Airtel (Telecom) return
SENSEX
PRICE
Stock
Return
Sensex
Return
Date
STOC
K
PRICE
close
close
Y (m)
X^2
Y^2
X*Y
03-Oct-11
380.55
16151.45
1.5110
-0.6471
0.4188
2.2830
-0.9778
04-Oct-11
370
15864.86
-2.4324
-1.3672
1.8693
5.9167
3.3257
05-Oct-11
367.05
15792.41
-2.1387
-1.1101
1.2323
4.5739
2.3741
07-Oct-11
354.8
16232.54
-5.1437
0.0619
0.0038
26.4581
-0.3185
10-Oct-11
363.25
16557.23
3.0145
1.7343
3.0080
9.0869
5.2281
11-Oct-11
374.8
16536.47
2.2145
-0.7963
0.6341
4.9041
-1.7634
12-Oct-11
374.05
16958.39
-0.7619
1.7570
3.0871
0.5805
-1.3387
13-Oct-11
369.85
16883.92
-1.9197
-0.9718
0.9444
3.6852
1.8656
14-Oct-11
383.75
17082.69
3.8567
1.4392
2.0714
14.8740
5.5507
17-Oct-11
379.05
17025.09
-0.7123
-0.8867
0.7862
0.5074
0.6316
18-Oct-11
374.05
16748.29
-0.7352
-0.4125
0.1702
0.5405
0.3033
19-Oct-11
384.95
17085.34
2.8315
1.1822
1.3976
8.0176
3.3474
20-Oct-11
389.9
16936.89
2.3852
0.1478
0.0219
5.6893
0.3526
21-Oct-11
377.9
16785.64
-3.3342
-1.1328
1.2833
11.1170
3.7770
24-Oct-11
383.05
16939.28
-0.0653
-0.4237
0.1796
0.0043
0.0277
25-Oct-11
388.3
17254.86
1.1074
1.4029
1.9682
1.2263
1.5536
44
26-Oct-11
392.85
17288.83
1.1200
-0.2748
0.0755
1.2544
-0.3078
28-Oct-11
391.85
17804.8
-1.3781
0.7467
0.5575
1.8991
-1.0290
31-Oct-11
391.4
17705.01
-0.4216
-0.5716
0.3267
0.1777
0.2410
01-Nov-11
394.7
17480.83
1.2161
-0.3416
0.1167
1.4789
-0.4155
02-Nov-11
384.3
17464.85
-1.5222
0.6708
0.4499
2.3172
-1.0211
03-Nov-11
392.55
17481.93
2.1781
0.2931
0.0859
4.7440
0.6384
04-Nov-11
397.95
17562.61
2.2490
-0.6382
0.4073
5.0581
-1.4354
08-Nov-11
397.25
17569.53
0.0755
-0.1374
0.0189
0.0057
-0.0104
09-Nov-11
395.2
17362.1
-0.4428
-1.6120
2.5986
0.1961
0.7138
11-Nov-11
395.5
17192.82
1.1504
0.0287
0.0008
1.3235
0.0330
14-Nov-11
405.3
17118.74
1.8011
-1.3423
1.8017
3.2441
-2.4176
15-Nov-11
401.45
16882.67
-0.8718
-1.1784
1.3887
0.7601
1.0274
16-Nov-11
401.1
16775.87
-0.9723
-0.5748
0.3304
0.9454
0.5589
17-Nov-11
395.7
16461.71
-1.3394
-1.7797
3.1674
1.7940
2.3837
18-Nov-11
397.65
16371.51
1.4208
-0.0989
0.0098
2.0188
-0.1405
21-Nov-11
388.5
15946.1
1.1583
-2.2007
4.8432
1.3417
-2.5491
22-Nov-11
378.85
16065.42
-1.6233
0.4340
0.1884
2.6352
-0.7046
23-Nov-11
364.85
15699.97
-2.6449
-1.7174
2.9494
6.9956
4.5424
24-Nov-11
378.15
15858.49
3.4378
0.8997
0.8095
11.8184
3.0930
25-Nov-11
374.9
15695.43
-0.1600
-0.5468
0.2990
0.0256
0.0875
28-Nov-11
388.2
16167.13
2.7177
1.7092
2.9214
7.3857
4.6451
29-Nov-11
373.45
16008.34
-4.4450
-1.2620
1.5927
19.7584
5.6098
30-Nov-11
385.3
16123.46
2.6084
1.5784
2.4915
6.8035
4.1171
01-Dec-11
378.95
16483.45
-2.9028
-0.4397
0.1933
8.4260
1.2764
02-Dec-11
390.15
16846.83
2.4734
2.0945
4.3868
6.1177
5.1805
05-Dec-11
390.3
16805.33
-0.2818
-0.0415
0.0017
0.0794
0.0117
07-Dec-11
377.3
16877.06
-3.3660
0.2786
0.0776
11.3301
-0.9378
08-Dec-11
367.1
16488.24
-2.4244
-2.0105
4.0422
5.8778
4.8743
09-Dec-11
358.7
16213.46
-1.7563
-0.2774
0.0770
3.0847
0.4873
12-Dec-11
342.2
15870.35
-4.9094
-3.0536
9.3242
24.1023
14.9912
13-Dec-11
346.4
16002.51
1.7032
1.3991
1.9575
2.9010
2.3830
14-Dec-11
348.85
15881.14
0.5590
-0.5202
0.2706
0.3125
-0.2908
15-Dec-11
337
15836.47
-0.5935
0.6152
0.3784
0.3522
-0.3651
16-Dec-11
336.3
15491.35
-0.2825
-2.4364
5.9360
0.0798
0.6882
19-Dec-11
336.4
15175.08
0.7134
-0.3951
0.1561
0.5090
-0.2819
20-Dec-11
322.85
15685.21
-5.3121
-1.7202
2.9590
28.2180
9.1378
21-Dec-11
341.5
15813.36
2.7818
1.2589
1.5848
7.7387
3.5020
22-Dec-11
335.45
15738.7
-1.0583
1.6865
2.8444
1.1200
-1.7848
45
23-Dec-11
330.45
15970.75
-1.3920
-0.7925
0.6281
1.9378
1.1032
26-Dec-11
344.7
15873.95
3.1187
1.1808
1.3942
9.7260
3.6825
27-Dec-11
343.05
15727.85
-1.1514
-0.6931
0.4805
1.3258
0.7981
28-Dec-11
343.5
15543.93
-0.3785
-0.8044
0.6470
0.1432
0.3044
29-Dec-11
341.1
15454.92
-0.0586
-0.7399
0.5475
0.0034
0.0434
30-Dec-11
342.9
16483.45
0.5249
-0.8323
0.6927
0.2756
-0.4369
SUM
-9.0042
14.1822
85.0865
297.1072
85.9658
BETA
S.D
1.025732
1.982237773
VARIA
NCE
3.9293
CORREL
ATION
0.5392
46
Table No. 1. 4
Volatility of Grasim Industries ( Diversified) return
Date
STOCK
PRICE
close
SENSEX
PRICE
close
Stock
Return
Y (m)
Sensex
Return
X
X^2
Y^2
X*Y
03-Oct-11
2290.25
16151.45
-1.6483
-0.6471
0.4188
2.7169
1.0667
04-Oct-11
2292.2
15864.86
1.3175
-1.3672
1.8693
1.7358
-1.8014
05-Oct-11
2322.55
15792.41
0.9709
-1.1101
1.2323
0.9427
-1.0778
07-Oct-11
2336.45
16232.54
0.2054
0.0619
0.0038
0.0422
0.0127
10-Oct-11
2326.05
16557.23
1.0103
1.7343
3.0080
1.0207
1.7522
11-Oct-11
2330.95
16536.47
-0.1609
-0.7963
0.6341
0.0259
0.1281
12-Oct-11
2394.15
16958.39
2.6794
1.7570
3.0871
7.1794
4.7078
13-Oct-11
2326.05
16883.92
-2.9213
-0.9718
0.9444
8.5338
2.8389
14-Oct-11
2380.35
17082.69
2.3253
1.4392
2.0714
5.4070
3.3466
17-Oct-11
2334.15
17025.09
-1.5359
-0.8867
0.7862
2.3590
1.3619
18-Oct-11
2334.3
16748.29
0.0129
-0.4125
0.1702
0.0002
-0.0053
19-Oct-11
2353.35
17085.34
0.7372
1.1822
1.3976
0.5435
0.8716
20-Oct-11
2315.25
16936.89
-0.3347
0.1478
0.0219
0.1120
-0.0495
21-Oct-11
2291.15
16785.64
-1.3028
-1.1328
1.2833
1.6974
1.4759
24-Oct-11
2362.3
16939.28
2.0002
-0.4237
0.1796
4.0007
-0.8476
25-Oct-11
2458.35
17254.86
3.5939
1.4029
1.9682
12.9159
5.0419
26-Oct-11
2492.45
17288.83
1.5025
-0.2748
0.0755
2.2576
-0.4129
28-Oct-11
2541.85
17804.8
1.9435
0.7467
0.5575
3.7771
1.4511
31-Oct-11
2477.8
17705.01
-2.5446
-0.5716
0.3267
6.4750
1.4545
01-Nov-11
2492.15
17480.83
0.5658
-0.3416
0.1167
0.3201
-0.1933
02-Nov-11
2475.7
17464.85
-0.5796
0.6708
0.4499
0.3360
-0.3888
03-Nov-11
2503.45
17481.93
1.2183
0.2931
0.0859
1.4843
0.3571
04-Nov-11
2520.85
17562.61
0.4304
-0.6382
0.4073
0.1853
-0.2747
08-Nov-11
2522.15
17569.53
2.3849
-0.1374
0.0189
5.6876
-0.3277
09-Nov-11
2470.85
17362.1
-2.1106
-1.6120
2.5986
4.4547
3.4023
11-Nov-11
2469.3
17192.82
0.1701
0.0287
0.0008
0.0289
0.0049
14-Nov-11
2451.5
17118.74
-1.7744
-1.3423
1.8017
3.1486
2.3818
15-Nov-11
2455.05
16882.67
-0.5275
-1.1784
1.3887
0.2782
0.6216
16-Nov-11
2397.25
16775.87
-1.6874
-0.5748
0.3304
2.8472
0.9699
17-Nov-11
2332.6
16461.71
-1.9699
-1.7797
3.1674
3.8805
3.5059
47
18-Nov-11
2333.55
16371.51
1.3092
-0.0989
0.0098
1.7139
-0.1295
21-Nov-11
2275.45
15946.1
-1.8941
-2.2007
4.8432
3.5877
4.1685
22-Nov-11
2295.3
16065.42
0.6666
0.4340
0.1884
0.4443
0.2893
23-Nov-11
2260.15
15699.97
-1.0995
-1.7174
2.9494
1.2089
1.8882
24-Nov-11
2306.25
15858.49
0.2710
0.8997
0.8095
0.0734
0.2438
25-Nov-11
2262.35
15695.43
-1.5073
-0.5468
0.2990
2.2719
0.8242
28-Nov-11
2316.45
16167.13
0.8396
1.7092
2.9214
0.7050
1.4351
29-Nov-11
2314.6
16008.34
0.1555
-1.2620
1.5927
0.0242
-0.1963
30-Nov-11
2337.85
16123.46
1.6618
1.5784
2.4915
2.7615
2.6230
01-Dec-11
2426.95
16483.45
3.2160
-0.4397
0.1933
10.3425
-1.4141
02-Dec-11
2459.6
16846.83
1.2034
2.0945
4.3868
1.4483
2.5206
05-Dec-11
2455.75
16805.33
0.2341
-0.0415
0.0017
0.0548
-0.0097
07-Dec-11
2428.1
16877.06
-0.2945
0.2786
0.0776
0.0867
-0.0820
08-Dec-11
2405.9
16488.24
-1.3986
-2.0105
4.0422
1.9562
2.8120
09-Dec-11
2396
16213.46
0.4007
-0.2774
0.0770
0.1605
-0.1112
12-Dec-11
2316.1
15870.35
-4.1276
-3.0536
9.3242
17.0373
12.6039
13-Dec-11
2412.45
16002.51
2.6301
1.3991
1.9575
6.9175
3.6798
14-Dec-11
2398.65
15881.14
-0.0563
-0.5202
0.2706
0.0032
0.0293
15-Dec-11
2363.55
15836.47
-0.6960
0.6152
0.3784
0.4844
-0.4281
16-Dec-11
2368.2
15491.35
0.2196
-2.4364
5.9360
0.0482
-0.5350
19-Dec-11
2376.9
15175.08
1.0265
-0.3951
0.1561
1.0538
-0.4056
20-Dec-11
2347.25
15685.21
-1.1822
-1.7202
2.9590
1.3977
2.0337
21-Dec-11
2383.3
15813.36
0.9776
1.2589
1.5848
0.9558
1.2307
22-Dec-11
2407.95
15738.7
1.0362
1.6865
2.8444
1.0736
1.7475
23-Dec-11
2453.95
15970.75
1.9947
-0.7925
0.6281
3.9790
-1.5808
26-Dec-11
2477.85
15873.95
1.0029
1.1808
1.3942
1.0058
1.1842
27-Dec-11
2473.7
15727.85
0.3355
-0.6931
0.4805
0.1126
-0.2326
28-Dec-11
2462.85
15543.93
-0.2903
-0.8044
0.6470
0.0843
0.2335
29-Dec-11
2517.2
15454.92
2.3915
-0.7399
0.5475
5.7195
-1.7695
30-Dec-11
2508.55
16483.45
0.3408
-0.8323
0.6927
0.1162
-0.2837
SUM
13.3376
14.1822
85.0865
151.2227
63.7437
BETA
S.D
0.818461
1.212832762
VARIA
NCE
1.4710
48
CORREL
ATION
0.6077
Introduction of GRASIM
Beta of Grasim industries is 0.818461 which means the Grasim industry ompany
beta less than 1 means it tends to be less volatile than the market BSE Sensex.
So it is a less risky for investment.standard deviation of Grasim. Is
1.212832762So and correlation is 0.607702558so this is Positive correlation so
that It means that when market return increases, the companys return also
increases.
Table No. 1. 5
Volatility of HDFC Bank | Finance. Return
SENSEX
PRICE
Stock
Return
Sensex
Return
Date
STOC
K
PRICE
close
close
Y (m)
X^2
Y^2
X*Y
03-Oct-11
458.45
16151.45
-1.4287
-0.6471
0.4188
2.0413
0.9246
04-Oct-11
450.3
15864.86
-1.0215
-1.3672
1.8693
1.0435
1.3967
05-Oct-11
438.35
15792.41
-2.7261
-1.1101
1.2323
7.4318
3.0263
07-Oct-11
449.8
16232.54
-1.1561
0.0619
0.0038
1.3365
-0.0716
10-Oct-11
454.55
16557.23
0.3630
1.7343
3.0080
0.1318
0.6296
11-Oct-11
457.65
16536.47
-0.0765
-0.7963
0.6341
0.0058
0.0609
12-Oct-11
467.15
16958.39
1.5306
1.7570
3.0871
2.3426
2.6892
13-Oct-11
470.45
16883.92
0.1169
-0.9718
0.9444
0.0137
-0.1136
14-Oct-11
474.15
17082.69
0.7276
1.4392
2.0714
0.5294
1.0472
17-Oct-11
477.85
17025.09
0.4813
-0.8867
0.7862
0.2317
-0.4268
18-Oct-11
476.8
16748.29
0.3775
-0.4125
0.1702
0.1425
-0.1557
19-Oct-11
491.1
17085.34
1.8530
1.1822
1.3976
3.4335
2.1906
20-Oct-11
489.5
16936.89
-0.0919
0.1478
0.0219
0.0085
-0.0136
21-Oct-11
486.3
16785.64
-0.6683
-1.1328
1.2833
0.4466
0.7571
24-Oct-11
484.1
16939.28
-1.4253
-0.4237
0.1796
2.0316
0.6040
25-Oct-11
468.75
17254.86
-3.2533
1.4029
1.9682
10.5842
-4.5641
26-Oct-11
471.9
17288.83
-0.5510
-0.2748
0.0755
0.3036
0.1514
28-Oct-11
482.5
17804.8
0.0000
0.7467
0.5575
0.0000
0.0000
49
31-Oct-11
489.05
17705.01
1.2371
-0.5716
0.3267
1.5304
-0.7071
01-Nov-11
481.95
17480.83
-0.6328
-0.3416
0.1167
0.4005
0.2162
02-Nov-11
483.05
17464.85
0.8591
0.6708
0.4499
0.7381
0.5763
03-Nov-11
480.8
17481.93
-0.2496
0.2931
0.0859
0.0623
-0.0732
04-Nov-11
482.1
17562.61
-0.8090
-0.6382
0.4073
0.6544
0.5163
08-Nov-11
484.7
17569.53
0.1444
-0.1374
0.0189
0.0209
-0.0198
09-Nov-11
477.45
17362.1
-1.7908
-1.6120
2.5986
3.2068
2.8867
11-Nov-11
463.95
17192.82
-1.0561
0.0287
0.0008
1.1154
-0.0303
14-Nov-11
470.7
17118.74
0.3612
-1.3423
1.8017
0.1304
-0.4848
15-Nov-11
471.8
16882.67
0.3815
-1.1784
1.3887
0.1456
-0.4496
16-Nov-11
465.95
16775.87
-1.2984
-0.5748
0.3304
1.6859
0.7464
17-Nov-11
458.85
16461.71
-1.3403
-1.7797
3.1674
1.7964
2.3854
18-Nov-11
457.7
16371.51
-0.0218
-0.0989
0.0098
0.0005
0.0022
21-Nov-11
444.9
15946.1
-3.1468
-2.2007
4.8432
9.9022
6.9252
22-Nov-11
443.8
16065.42
-1.1717
0.4340
0.1884
1.3729
-0.5086
23-Nov-11
426.7
15699.97
-3.5857
-1.7174
2.9494
12.8569
6.1580
24-Nov-11
429.95
15858.49
0.4535
0.8997
0.8095
0.2057
0.4081
25-Nov-11
431.5
15695.43
1.2051
-0.5468
0.2990
1.4523
-0.6589
28-Nov-11
440.8
16167.13
0.1815
1.7092
2.9214
0.0329
0.3102
29-Nov-11
434.4
16008.34
-1.9797
-1.2620
1.5927
3.9194
2.4985
30-Nov-11
441.45
16123.46
2.3899
1.5784
2.4915
5.7114
3.7723
01-Dec-11
453.45
16483.45
-0.5624
-0.4397
0.1933
0.3162
0.2473
02-Dec-11
465.75
16846.83
2.0934
2.0945
4.3868
4.3823
4.3845
05-Dec-11
462.25
16805.33
-0.5949
-0.0415
0.0017
0.3539
0.0247
07-Dec-11
465.95
16877.06
-0.2253
0.2786
0.0776
0.0508
-0.0628
08-Dec-11
453.9
16488.24
-2.7539
-2.0105
4.0422
7.5840
5.5368
09-Dec-11
444.8
16213.46
-0.7419
-0.2774
0.0770
0.5504
0.2058
12-Dec-11
431.9
15870.35
-4.1908
-3.0536
9.3242
17.5627
12.7968
13-Dec-11
436.4
16002.51
1.9248
1.3991
1.9575
3.7050
2.6930
14-Dec-11
433.85
15881.14
-1.4175
-0.5202
0.2706
2.0094
0.7374
15-Dec-11
431.35
15836.47
-0.1275
0.6152
0.3784
0.0163
-0.0784
16-Dec-11
415.95
15491.35
-4.5799
-2.4364
5.9360
20.9753
11.1584
19-Dec-11
406.05
15175.08
-1.8840
-0.3951
0.1561
3.5495
0.7443
20-Dec-11
414.1
15685.21
1.9802
-1.7202
2.9590
3.9212
-3.4063
21-Dec-11
435.3
15813.36
2.1365
1.2589
1.5848
4.5645
2.6896
22-Dec-11
443
15738.7
2.4831
1.6865
2.8444
6.1656
4.1878
23-Dec-11
437.6
15970.75
-0.7998
-0.7925
0.6281
0.6397
0.6339
26-Dec-11
443.45
15873.95
-0.0113
1.1808
1.3942
0.0001
-0.0133
50
27-Dec-11
439.6
15727.85
-1.0009
-0.6931
0.4805
1.0018
0.6938
28-Dec-11
439.65
15543.93
-0.0796
-0.8044
0.6470
0.0063
0.0640
29-Dec-11
430.65
15454.92
-1.8925
-0.7399
0.5475
3.5815
1.4003
30-Dec-11
427.05
16483.45
-0.9250
-0.8323
0.6927
0.8555
0.7698
SUM
27.9876
-14.1822
85.0865
160.7920
78.0086
VARIAN
CE
1.4623
CORRE
LATION
BETA
S.D
0.873478831
1.2092483
0.6497
Date
STOC
K
PRICE
close
SENSEX
PRICE
close
Stock
Return
Sensex
Return
Y (m)
X^2
Y^2
X*Y
03-Oct-11
124.15
16151.45
-4.2690
-0.6471
0.4188
18.2246
2.7626
04-Oct-11
124.7
15864.86
1.8444
-1.3672
1.8693
3.4019
-2.5218
05-Oct-11
120.15
15792.41
-5.7012
-1.1101
1.2323
32.5038
6.3289
07-Oct-11
125.95
16232.54
0.3573
0.0619
0.0038
0.1277
0.0221
10-Oct-11
127.45
16557.23
1.1377
1.7343
3.0080
1.2944
1.9732
11-Oct-11
130.25
16536.47
0.5758
-0.7963
0.6341
0.3316
-0.4585
51
12-Oct-11
132.85
16958.39
0.8656
1.7570
3.0871
0.7493
1.5209
13-Oct-11
128.85
16883.92
-4.3073
-0.9718
0.9444
18.5531
4.1859
14-Oct-11
128.65
17082.69
0.6607
1.4392
2.0714
0.4365
0.9509
17-Oct-11
130.1
17025.09
0.1537
-0.8867
0.7862
0.0236
-0.1363
18-Oct-11
125.45
16748.29
-1.4747
-0.4125
0.1702
2.1747
0.6083
19-Oct-11
127.65
17085.34
0.2742
1.1822
1.3976
0.0752
0.3241
20-Oct-11
124.75
16936.89
-0.2806
0.1478
0.0219
0.0787
-0.0415
21-Oct-11
121.65
16785.64
-3.1648
-1.1328
1.2833
10.0161
3.5851
24-Oct-11
123.45
16939.28
-1.0936
-0.4237
0.1796
1.1959
0.4634
25-Oct-11
125.5
17254.86
0.9163
1.4029
1.9682
0.8397
1.2855
26-Oct-11
128.25
17288.83
1.2865
-0.2748
0.0755
1.6552
-0.3536
28-Oct-11
142.2
17804.8
5.5556
0.7467
0.5575
30.8642
4.1481
31-Oct-11
136.35
17705.01
-3.9971
-0.5716
0.3267
15.9765
2.2847
01-Nov-11
135.85
17480.83
0.9569
-0.3416
0.1167
0.9157
-0.3269
02-Nov-11
136.2
17464.85
1.9090
0.6708
0.4499
3.6441
1.2805
03-Nov-11
135.7
17481.93
0.4053
0.2931
0.0859
0.1643
0.1188
04-Nov-11
139
17562.61
0.1799
-0.6382
0.4073
0.0323
-0.1148
08-Nov-11
139.65
17569.53
-0.1790
-0.1374
0.0189
0.0320
0.0246
09-Nov-11
134.5
17362.1
-4.5353
-1.6120
2.5986
20.5691
7.3110
11-Nov-11
128.7
17192.82
-5.6721
0.0287
0.0008
32.1728
-0.1627
14-Nov-11
125.85
17118.74
-4.1716
-1.3423
1.8017
17.4025
5.5995
15-Nov-11
125.5
16882.67
-0.0398
-1.1784
1.3887
0.0016
0.0469
16-Nov-11
123.25
16775.87
-1.7850
-0.5748
0.3304
3.1862
1.0260
17-Nov-11
122.75
16461.71
-1.4257
-1.7797
3.1674
2.0325
2.5373
18-Nov-11
123.7
16371.51
1.5764
-0.0989
0.0098
2.4850
-0.1559
21-Nov-11
119.1
15946.1
-2.8128
-2.2007
4.8432
7.9116
6.1901
22-Nov-11
121.8
16065.42
1.4778
0.4340
0.1884
2.1840
0.6414
23-Nov-11
119.5
15699.97
-0.5858
-1.7174
2.9494
0.3431
1.0060
24-Nov-11
118
15858.49
-1.3136
0.8997
0.8095
1.7254
-1.1818
25-Nov-11
113.6
15695.43
-3.2130
-0.5468
0.2990
10.3236
1.7568
28-Nov-11
124.05
16167.13
7.1745
1.7092
2.9214
51.4738
12.2628
29-Nov-11
122.6
16008.34
-1.5498
-1.2620
1.5927
2.4017
1.9558
30-Nov-11
122.65
16123.46
1.3453
1.5784
2.4915
1.8098
2.1235
01-Dec-11
131.2
16483.45
1.2957
-0.4397
0.1933
1.6789
-0.5698
02-Dec-11
135.3
16846.83
3.7694
2.0945
4.3868
14.2084
7.8949
05-Dec-11
136.25
16805.33
1.7248
-0.0415
0.0017
2.9748
-0.0715
07-Dec-11
137.55
16877.06
0.1818
0.2786
0.0776
0.0330
0.0506
08-Dec-11
130.65
16488.24
-4.0949
-2.0105
4.0422
16.7683
8.2329
52
09-Dec-11
131.95
16213.46
3.7514
-0.2774
0.0770
14.0732
-1.0407
12-Dec-11
123.55
15870.35
-8.2962
-3.0536
9.3242
68.8275
25.3330
13-Dec-11
129.45
16002.51
5.5620
1.3991
1.9575
30.9358
7.7817
14-Dec-11
127.3
15881.14
-1.5711
-0.5202
0.2706
2.4683
0.8172
15-Dec-11
127.2
15836.47
2.3192
0.6152
0.3784
5.3786
1.4267
16-Dec-11
125.6
15491.35
-1.7118
-2.4364
5.9360
2.9302
4.1706
19-Dec-11
124.7
15175.08
0.5613
-0.3951
0.1561
0.3151
-0.2218
20-Dec-11
119.15
15685.21
-5.3294
-1.7202
2.9590
28.4027
9.1676
21-Dec-11
123
15813.36
-0.8943
1.2589
1.5848
0.7998
-1.1258
22-Dec-11
122.55
15738.7
1.2648
1.6865
2.8444
1.5997
2.1331
23-Dec-11
121.75
15970.75
-1.1910
-0.7925
0.6281
1.4184
0.9438
26-Dec-11
121.1
15873.95
-1.2799
1.1808
1.3942
1.6382
-1.5113
27-Dec-11
119.6
15727.85
-1.1288
-0.6931
0.4805
1.2741
0.7824
28-Dec-11
116.6
15543.93
-2.3156
-0.8044
0.6470
5.3620
1.8626
29-Dec-11
117.2
15454.92
1.4505
-0.7399
0.5475
2.1040
-1.0732
30-Dec-11
115.75
16483.45
-2.2462
-0.8323
0.6927
5.0455
1.8695
31.0970
14.1822
85.0865
507.5706
135.7237
SUM
BETA
S.D
1.570618156
2.681583867
VARIA
NCE
7.1909
CORRE
LATION
0.6405
53
SENSEX
PRICE
Stock
Return
Sensex
Return
Date
STOC
K
PRICE
close
close
Y (m)
03-Oct-11
334.45
16151.45
-1.3604
04-Oct-11
327.05
15864.86
05-Oct-11
322.05
07-Oct-11
X^2
Y^2
X*Y
-0.6471
0.4188
1.8508
0.8804
-2.0486
-1.3672
1.8693
4.1968
2.8009
15792.41
-1.2265
-1.1101
1.2323
1.5043
1.3616
329.2
16232.54
0.3645
0.0619
0.0038
0.1329
0.0226
10-Oct-11
332.4
16557.23
0.4212
1.7343
3.0080
0.1774
0.7305
11-Oct-11
326.55
16536.47
-2.0058
-0.7963
0.6341
4.0233
1.5972
12-Oct-11
329.65
16958.39
1.2589
1.7570
3.0871
1.5849
2.2119
13-Oct-11
326.75
16883.92
-1.0099
-0.9718
0.9444
1.0200
0.9815
14-Oct-11
332.1
17082.69
1.5357
1.4392
2.0714
2.3583
2.2102
17-Oct-11
333.1
17025.09
-0.4953
-0.8867
0.7862
0.2454
0.4392
18-Oct-11
330.55
16748.29
-0.2420
-0.4125
0.1702
0.0586
0.0998
19-Oct-11
331.55
17085.34
-0.1056
1.1822
1.3976
0.0111
-0.1248
20-Oct-11
331.35
16936.89
0.1056
0.1478
0.0219
0.0112
0.0156
21-Oct-11
326.1
16785.64
-1.8093
-1.1328
1.2833
3.2734
2.0496
24-Oct-11
336.35
16939.28
2.2447
-0.4237
0.1796
5.0386
-0.9512
25-Oct-11
340.4
17254.86
1.5570
1.4029
1.9682
2.4242
2.1843
26-Oct-11
342.85
17288.83
0.3938
-0.2748
0.0755
0.1550
-0.1082
28-Oct-11
349.45
17804.8
1.5310
0.7467
0.5575
2.3439
1.1431
31-Oct-11
375.25
17705.01
6.4624
-0.5716
0.3267
41.7621
-3.6938
01-Nov-11
135.85
17480.83
0.9569
-0.3416
0.1167
0.9157
-0.3269
02-Nov-11
136.2
17464.85
1.9090
0.6708
0.4499
3.6441
1.2805
03-Nov-11
135.7
17481.93
0.4053
0.2931
0.0859
0.1643
0.1188
04-Nov-11
139
17562.61
0.1799
-0.6382
0.4073
0.0323
-0.1148
08-Nov-11
139.65
17569.53
-0.1790
-0.1374
0.0189
0.0320
0.0246
09-Nov-11
134.5
17362.1
-4.5353
-1.6120
2.5986
20.5691
7.3110
11-Nov-11
128.7
17192.82
-5.6721
0.0287
0.0008
32.1728
-0.1626
14-Nov-11
125.85
17118.74
-4.1716
-1.3423
1.8017
17.4025
5.5995
15-Nov-11
125.5
16882.67
-0.0398
-1.1784
1.3887
0.0016
0.0470
54
16-Nov-11
123.25
16775.87
-1.7850
-0.5748
0.3304
3.1862
1.0260
17-Nov-11
122.75
16461.71
-1.4257
-1.7797
3.1674
2.0325
2.5373
18-Nov-11
123.7
16371.51
1.5764
-0.0989
0.0098
2.4850
-0.1559
21-Nov-11
119.1
15946.1
-2.8128
-2.2007
4.8432
7.9116
6.1901
22-Nov-11
121.8
16065.42
1.4778
0.4340
0.1884
2.1840
0.6414
23-Nov-11
119.5
15699.97
-0.5858
-1.7174
2.9494
0.3431
1.0060
24-Nov-11
118
15858.49
-1.3136
0.8997
0.8095
1.7254
-1.1818
25-Nov-11
113.6
15695.43
-3.2130
-0.5468
0.2990
10.3236
1.7568
28-Nov-11
124.05
16167.13
7.1745
1.7092
2.9214
51.4738
12.2628
29-Nov-11
122.6
16008.34
-1.5498
-1.2620
1.5927
2.4017
1.9558
30-Nov-11
122.65
16123.46
1.3453
1.5784
2.4915
1.8098
2.1235
01-Dec-11
131.2
16483.45
1.2957
-0.4397
0.1933
1.6789
-0.5698
02-Dec-11
135.3
16846.83
3.7694
2.0945
4.3868
14.2084
7.8949
05-Dec-11
136.25
16805.33
1.7248
-0.0415
0.0017
2.9748
-0.0715
07-Dec-11
137.55
16877.06
0.1818
0.2786
0.0776
0.0330
0.0506
08-Dec-11
130.65
16488.24
-4.0949
-2.0105
4.0422
16.7683
8.2329
09-Dec-11
131.95
16213.46
3.7514
-0.2774
0.0770
14.0732
-1.0407
12-Dec-11
123.55
15870.35
-8.2962
-3.0536
9.3242
68.8275
25.3330
13-Dec-11
129.45
16002.51
5.5620
1.3991
1.9575
30.9358
7.7818
14-Dec-11
127.3
15881.14
-1.5711
-0.5202
0.2706
2.4683
0.8173
15-Dec-11
127.2
15836.47
2.3192
0.6152
0.3784
5.3786
1.4267
16-Dec-11
125.6
15491.35
-1.7118
-2.4364
5.9360
2.9302
4.1706
19-Dec-11
124.7
15175.08
0.5613
-0.3951
0.1561
0.3151
-0.2218
20-Dec-11
119.15
15685.21
-5.3294
-1.7202
2.9590
28.4027
9.1676
21-Dec-11
123
15813.36
-0.8943
1.2589
1.5848
0.7998
-1.1258
22-Dec-11
122.55
15738.7
1.2648
1.6865
2.8444
1.5997
2.1331
23-Dec-11
121.75
15970.75
-1.1910
-0.7925
0.6281
1.4184
0.9439
26-Dec-11
121.1
15873.95
-1.2799
1.1808
1.3942
1.6382
-1.5113
27-Dec-11
119.6
15727.85
-1.1288
-0.6931
0.4805
1.2741
0.7824
28-Dec-11
116.6
15543.93
-2.3156
-0.8044
0.6470
5.3620
1.8626
29-Dec-11
117.2
15454.92
1.4505
-0.7399
0.5475
2.1040
-1.0732
30-Dec-11
115.75
16483.45
-2.2462
-0.8323
0.6927
5.0455
1.8695
SUM
14.8655
14.1822
85.0865
441.2202
122.6420
BETA
S.D
1.457506
2.508442833
VARIA
NCE
6.2923
55
CORRE
LATION
0.6299
Interpretation of HUL
Beta of Hindustan Uni Lever is 1.457506which means the Hindustan Uni Lever
beta is greater than 1 means it tends to be more volatile than the market BSE
Sensex.
So it is a more risky for investment.standard deviation of Hindustan Uni Lever Is
2.508442833 and correlation is 0.629948332 is Positive correlation so that It
means that when market return increases, the companys return also increases.
Date
STOCK
PRICE
close
SENSEX
PRICE
close
Stock
Return
Y (m)
Sensex
Return
X
X^2
Y^2
X*Y
03-Oct-11
809.35
16151.45
1.1552
-0.6471
0.4188
1.3346
-0.7476
04-Oct-11
777.9
15864.86
-3.4837
-1.3672
1.8693
12.1364
4.7631
05-Oct-11
784.45
15792.41
0.4398
-1.1101
1.2323
0.1934
-0.4882
07-Oct-11
795.95
16232.54
0.4334
0.0619
0.0038
0.1879
0.0268
10-Oct-11
806.1
16557.23
1.9352
1.7343
3.0080
3.7452
3.3564
11-Oct-11
798.5
16536.47
-1.6281
-0.7963
0.6341
2.6506
1.2964
12-Oct-11
808.05
16958.39
1.1076
1.7570
3.0871
1.2268
1.9461
13-Oct-11
798.9
16883.92
-1.7649
-0.9718
0.9444
3.1150
1.7152
14-Oct-11
805.6
17082.69
1.0675
1.4392
2.0714
1.1396
1.5364
17-Oct-11
810.55
17025.09
0.5367
-0.8867
0.7862
0.2880
-0.4759
18-Oct-11
805.65
16748.29
-0.1552
-0.4125
0.1702
0.0241
0.0640
19-Oct-11
810.4
17085.34
0.0494
1.1822
1.3976
0.0024
0.0584
20-Oct-11
800.2
16936.89
-1.3497
0.1478
0.0219
1.8216
-0.1995
21-Oct-11
801.1
16785.64
0.0125
-1.1328
1.2833
0.0002
-0.0141
24-Oct-11
808.8
16939.28
0.0989
-0.4237
0.1796
0.0098
-0.0419
56
25-Oct-11
853.2
17254.86
5.0340
1.4029
1.9682
25.3411
7.0622
26-Oct-11
849.45
17288.83
-0.0647
-0.2748
0.0755
0.0042
0.0178
28-Oct-11
868.5
17804.8
0.9787
0.7467
0.5575
0.9579
0.7307
31-Oct-11
863.2
17705.01
-0.7878
-0.5716
0.3267
0.6206
0.4503
01-Nov-11
834.05
17480.83
-2.5118
-0.3416
0.1167
6.3093
0.8581
02-Nov-11
838.7
17464.85
0.5604
0.6708
0.4499
0.3140
0.3759
03-Nov-11
838.3
17481.93
-0.5607
0.2931
0.0859
0.3143
-0.1643
04-Nov-11
835.05
17562.61
-0.7125
-0.6382
0.4073
0.5077
0.4548
08-Nov-11
833.65
17569.53
-0.7977
-0.1374
0.0189
0.6363
0.1096
09-Nov-11
813
17362.1
-3.3210
-1.6120
2.5986
11.0293
5.3536
11-Nov-11
838.4
17192.82
3.1489
0.0287
0.0008
9.9153
0.0903
14-Nov-11
790.4
17118.74
-6.9079
-1.3423
1.8017
47.7190
9.2723
15-Nov-11
759
16882.67
-4.3478
-1.1784
1.3887
18.9036
5.1236
16-Nov-11
773.35
16775.87
0.4332
-0.5748
0.3304
0.1876
-0.2490
17-Nov-11
758.55
16461.71
-2.1686
-1.7797
3.1674
4.7029
3.8595
18-Nov-11
737.8
16371.51
-3.0089
-0.0989
0.0098
9.0538
0.2976
21-Nov-11
717.7
15946.1
-2.7031
-2.2007
4.8432
7.3066
5.9487
22-Nov-11
709.6
16065.42
-1.4656
0.4340
0.1884
2.1480
-0.6361
23-Nov-11
695.55
15699.97
-1.3730
-1.7174
2.9494
1.8852
2.3580
24-Nov-11
713.4
15858.49
1.8783
0.8997
0.8095
3.5281
1.6899
25-Nov-11
706.3
15695.43
-0.0991
-0.5468
0.2990
0.0098
0.0542
28-Nov-11
713.65
16167.13
-0.1822
1.7092
2.9214
0.0332
-0.3114
29-Nov-11
725.05
16008.34
0.9723
-1.2620
1.5927
0.9455
-1.2271
30-Nov-11
723.85
16123.46
0.4283
1.5784
2.4915
0.1834
0.6760
01-Dec-11
729.8
16483.45
-1.8224
-0.4397
0.1933
3.3212
0.8013
02-Dec-11
748.05
16846.83
1.7713
2.0945
4.3868
3.1374
3.7099
05-Dec-11
750.05
16805.33
0.2733
-0.0415
0.0017
0.0747
-0.0113
07-Dec-11
757.45
16877.06
0.9836
0.2786
0.0776
0.9674
0.2740
08-Dec-11
730.15
16488.24
-3.8143
-2.0105
4.0422
14.5488
7.6687
09-Dec-11
703.75
16213.46
-2.0249
-0.2774
0.0770
4.1001
0.5617
12-Dec-11
684.05
15870.35
-3.7936
-3.0536
9.3242
14.3913
11.5839
13-Dec-11
700.3
16002.51
2.4989
1.3991
1.9575
6.2446
3.4962
14-Dec-11
675.55
15881.14
-3.6193
-0.5202
0.2706
13.0991
1.8827
15-Dec-11
665.55
15836.47
-0.5184
0.6152
0.3784
0.2687
-0.3189
16-Dec-11
659.3
15491.35
-1.0162
-2.4364
5.9360
1.0327
2.4759
19-Dec-11
652.45
15175.08
-1.5403
-0.3951
0.1561
2.3727
0.6086
20-Dec-11
650.95
15685.21
-0.4685
-1.7202
2.9590
0.2195
0.8060
21-Dec-11
689.8
15813.36
4.0302
1.2589
1.5848
16.2421
5.0735
57
22-Dec-11
693.3
15738.7
4.0819
1.6865
2.8444
16.6621
6.8844
23-Dec-11
696.4
15970.75
0.4882
-0.7925
0.6281
0.2384
-0.3869
26-Dec-11
702.1
15873.95
0.3632
1.1808
1.3942
0.1319
0.4289
27-Dec-11
703.6
15727.85
-0.0426
-0.6931
0.4805
0.0018
0.0296
28-Dec-11
686.75
15543.93
-2.3662
-0.8044
0.6470
5.5990
1.9033
29-Dec-11
686.6
15454.92
0.3787
-0.7399
0.5475
0.1434
-0.2802
30-Dec-11
683.05
16483.45
-0.9882
-0.8323
0.6927
0.9766
0.8225
SUM
-26.2694
-14.1822
85.0865
284.2057
103.0044
VARIAN
CE
3.5451
CORREL
ATION
BETA
S.D
1.184265
1.882836062
0.6483
58
Date
STOCK
PRICE
close
SENSEX
PRICE
close
Stock
Return
Y (m)
Sensex
Return
X
X^2
Y^2
X*Y
03-Oct-11
164.7
16151.45
-1.2143
-0.6471
0.4188
1.4746
0.7858
04-Oct-11
163.95
15864.86
-0.2135
-1.3672
1.8693
0.0456
0.2919
05-Oct-11
163.9
15792.41
-0.2746
-1.1101
1.2323
0.0754
0.3048
07-Oct-11
166.6
16232.54
-0.8403
0.0619
0.0038
0.7062
-0.0520
10-Oct-11
170.5
16557.23
1.9941
1.7343
3.0080
3.9766
3.4585
11-Oct-11
176.45
16536.47
3.3437
-0.7963
0.6341
11.1805
-2.6626
12-Oct-11
177.1
16958.39
0.6211
1.7570
3.0871
0.3858
1.0913
13-Oct-11
173.7
16883.92
-2.1877
-0.9718
0.9444
4.7859
2.1260
14-Oct-11
173
17082.69
0.0000
1.4392
2.0714
0.0000
0.0000
17-Oct-11
168.45
17025.09
-2.7011
-0.8867
0.7862
7.2959
2.3950
18-Oct-11
168.45
16748.29
0.2671
-0.4125
0.1702
0.0714
-0.1102
19-Oct-11
171.9
17085.34
2.0942
1.1822
1.3976
4.3858
2.4758
20-Oct-11
171.4
16936.89
-0.1750
0.1478
0.0219
0.0306
-0.0259
21-Oct-11
169.25
16785.64
-1.0340
-1.1328
1.2833
1.0691
1.1713
24-Oct-11
171.15
16939.28
-0.2921
-0.4237
0.1796
0.0853
0.1238
25-Oct-11
173.6
17254.86
1.3537
1.4029
1.9682
1.8325
1.8991
26-Oct-11
174.25
17288.83
0.1148
-0.2748
0.0755
0.0132
-0.0315
28-Oct-11
178.6
17804.8
0.1960
0.7467
0.5575
0.0384
0.1463
31-Oct-11
179.35
17705.01
0.1951
-0.5716
0.3267
0.0381
-0.1115
01-Nov-11
177.6
17480.83
-0.5068
-0.3416
0.1167
0.2568
0.1731
02-Nov-11
176.05
17464.85
-0.5396
0.6708
0.4499
0.2912
-0.3620
03-Nov-11
178
17481.93
1.0955
0.2931
0.0859
1.2001
0.3211
04-Nov-11
179.55
17562.61
-0.0278
-0.6382
0.4073
0.0008
0.0178
08-Nov-11
177.75
17569.53
-0.3094
-0.1374
0.0189
0.0957
0.0425
09-Nov-11
174.4
17362.1
-2.6376
-1.6120
2.5986
6.9570
4.2519
11-Nov-11
173.7
17192.82
-0.1727
0.0287
0.0008
0.0298
-0.0050
14-Nov-11
172.65
17118.74
-1.3322
-1.3423
1.8017
1.7747
1.7881
15-Nov-11
169.95
16882.67
-1.7946
-1.1784
1.3887
3.2208
2.1149
16-Nov-11
169.25
16775.87
-0.4431
-0.5748
0.3304
0.1964
0.2547
17-Nov-11
165.25
16461.71
-1.7852
-1.7797
3.1674
3.1868
3.1771
18-Nov-11
162.8
16371.51
-1.9656
-0.0989
0.0098
3.8636
0.1944
21-Nov-11
156.4
15946.1
-3.5806
-2.2007
4.8432
12.8204
7.8798
22-Nov-11
155.75
16065.42
-1.5730
0.4340
0.1884
2.4744
-0.6828
23-Nov-11
156.65
15699.97
0.6064
-1.7174
2.9494
0.3678
-1.0415
59
24-Nov-11
158.65
15858.49
1.0085
0.8997
0.8095
1.0171
0.9074
25-Nov-11
156.95
15695.43
-1.2743
-0.5468
0.2990
1.6238
0.6968
28-Nov-11
159.55
16167.13
-0.2194
1.7092
2.9214
0.0481
-0.3749
29-Nov-11
158.25
16008.34
-1.1058
-1.2620
1.5927
1.2229
1.3956
30-Nov-11
162.05
16123.46
2.5609
1.5784
2.4915
6.5584
4.0423
01-Dec-11
166.3
16483.45
0.7517
-0.4397
0.1933
0.5650
-0.3305
02-Dec-11
172.2
16846.83
3.4262
2.0945
4.3868
11.7392
7.1761
05-Dec-11
175.9
16805.33
2.3309
-0.0415
0.0017
5.4330
-0.0967
07-Dec-11
170.25
16877.06
-2.7900
0.2786
0.0776
7.7842
-0.7773
08-Dec-11
166.35
16488.24
-1.6531
-2.0105
4.0422
2.7329
3.3237
09-Dec-11
166.15
16213.46
1.2940
-0.2774
0.0770
1.6745
-0.3590
12-Dec-11
163.15
15870.35
-2.9727
-3.0536
9.3242
8.8371
9.0774
13-Dec-11
166.7
16002.51
2.3395
1.3991
1.9575
5.4734
3.2732
14-Dec-11
163.1
15881.14
-1.1649
-0.5202
0.2706
1.3571
0.6060
15-Dec-11
166.4
15836.47
2.0433
0.6152
0.3784
4.1749
1.2569
16-Dec-11
161.05
15491.35
-3.1357
-2.4364
5.9360
9.8324
7.6397
19-Dec-11
160.5
15175.08
-0.9034
-0.3951
0.1561
0.8162
0.3569
20-Dec-11
154.85
15685.21
-4.2622
-1.7202
2.9590
18.1663
7.3318
21-Dec-11
160.3
15813.36
2.3082
1.2589
1.5848
5.3277
2.9057
22-Dec-11
163.8
15738.7
1.7094
1.6865
2.8444
2.9221
2.8830
23-Dec-11
158.5
15970.75
-1.5773
-0.7925
0.6281
2.4878
1.2500
26-Dec-11
160.6
15873.95
0.9963
1.1808
1.3942
0.9925
1.1764
27-Dec-11
156.95
15727.85
-1.9433
-0.6931
0.4805
3.7764
1.3470
28-Dec-11
161.15
15543.93
1.6755
-0.8044
0.6470
2.8072
-1.3477
29-Dec-11
160.8
15454.92
-0.4353
-0.7399
0.5475
0.1895
0.3221
30-Dec-11
160.6
16483.45
0.5915
-0.8323
0.6927
0.3499
-0.4923
14.1207
14.1822
85.0865
182.1366
84.5896
CORREL
ATION
SUM
BETA
S.D
VARIA
NCE
0.9940986
1.407204178
1.9802
60
0.6721
Interpretation of NTPC
Beta of NTPC is 0.9940986which means the NTPC beta is less than 1 means it
tends to be less volatile than the market BSE Sensex.
So it is a less risky for investment.standard deviation of
1.407204178and correlation
NTPC Is
means that when market return increases, the companys return also increases
Date
STOCK
PRICE
close
SENSEX
PRICE
close
Stock
Return
Y (m)
Sensex
Return
X
X^2
Y^2
X*Y
03-Oct-11
1318.25
16151.45
-2.1809
-0.6471
0.4188
4.7564
1.4113
04-Oct-11
1337
15864.86
1.3912
-1.3672
1.8693
1.9354
-1.9021
05-Oct-11
1343.65
15792.41
-0.6810
-1.1101
1.2323
0.4637
0.7560
07-Oct-11
1393.45
16232.54
0.9652
0.0619
0.0038
0.9317
0.0598
10-Oct-11
1386.3
16557.23
-0.4833
1.7343
3.0080
0.2336
-0.8382
11-Oct-11
1409.7
16536.47
0.7519
-0.7963
0.6341
0.5654
-0.5988
12-Oct-11
1443.45
16958.39
1.7216
1.7570
3.0871
2.9638
3.0248
13-Oct-11
1418.3
16883.92
-2.2351
-0.9718
0.9444
4.9955
2.1721
14-Oct-11
1407.8
17082.69
-0.6535
1.4392
2.0714
0.4271
-0.9405
17-Oct-11
1379.9
17025.09
-2.6886
-0.8867
0.7862
7.2286
2.3840
18-Oct-11
1349.15
16748.29
-1.3082
-0.4125
0.1702
1.7115
0.5397
19-Oct-11
1399.6
17085.34
2.9616
1.1822
1.3976
8.7708
3.5011
20-Oct-11
1385.05
16936.89
0.3646
0.1478
0.0219
0.1329
0.0539
21-Oct-11
1336
16785.64
-3.7425
-1.1328
1.2833
14.0064
4.2396
24-Oct-11
1294.4
16939.28
-4.2954
-0.4237
0.1796
18.4507
1.8202
25-Oct-11
1336.75
17254.86
2.9138
1.4029
1.9682
8.4901
4.0878
26-Oct-11
1350.65
17288.83
0.3591
-0.2748
0.0755
0.1289
-0.0987
28-Oct-11
1413.25
17804.8
2.1263
0.7467
0.5575
4.5212
1.5876
31-Oct-11
1413.25
17705.01
-0.0531
-0.5716
0.3267
0.0028
0.0303
01-Nov-11
1390.2
17480.83
-0.4999
-0.3416
0.1167
0.2499
0.1708
02-Nov-11
1387.3
17464.85
1.1605
0.6708
0.4499
1.3468
0.7785
03-Nov-11
1380.85
17481.93
-0.4454
0.2931
0.0859
0.1984
-0.1305
61
04-Nov-11
1392.85
17562.61
-0.2980
-0.6382
0.4073
0.0888
0.1902
08-Nov-11
1391.65
17569.53
-0.6000
-0.1374
0.0189
0.3600
0.0824
09-Nov-11
1376
17362.1
-1.5988
-1.6120
2.5986
2.5563
2.5774
11-Nov-11
1330.65
17192.82
-2.2170
0.0287
0.0008
4.9149
-0.0636
14-Nov-11
1326.1
17118.74
-1.7269
-1.3423
1.8017
2.9821
2.3179
15-Nov-11
1288.8
16882.67
-2.9562
-1.1784
1.3887
8.7394
3.4837
16-Nov-11
1236.7
16775.87
-3.2587
-0.5748
0.3304
10.6189
1.8731
17-Nov-11
1232.5
16461.71
-0.0974
-1.7797
3.1674
0.0095
0.1733
18-Nov-11
1243
16371.51
1.4401
-0.0989
0.0098
2.0738
-0.1424
21-Nov-11
1226.3
15946.1
-1.9082
-2.2007
4.8432
3.6412
4.1994
22-Nov-11
1226.25
16065.42
-0.0612
0.4340
0.1884
0.0037
-0.0266
23-Nov-11
1191.35
15699.97
-2.4048
-1.7174
2.9494
5.7832
4.1300
24-Nov-11
1224.2
15858.49
2.7120
0.8997
0.8095
7.3548
2.4400
25-Nov-11
1265.8
15695.43
3.7447
-0.5468
0.2990
14.0225
-2.0475
28-Nov-11
1279.3
16167.13
-0.1798
1.7092
2.9214
0.0323
-0.3073
29-Nov-11
1273.35
16008.34
-0.6636
-1.2620
1.5927
0.4404
0.8375
30-Nov-11
1268.8
16123.46
0.3783
1.5784
2.4915
0.1431
0.5971
01-Dec-11
1294.7
16483.45
-0.7956
-0.4397
0.1933
0.6329
0.3498
02-Dec-11
1310.75
16846.83
0.9346
2.0945
4.3868
0.8734
1.9574
05-Dec-11
1314.4
16805.33
0.9282
-0.0415
0.0017
0.8615
-0.0385
07-Dec-11
1331
16877.06
0.7663
0.2786
0.0776
0.5873
0.2135
08-Dec-11
1262.95
16488.24
-5.2298
-2.0105
4.0422
27.3510
10.5147
09-Dec-11
1227
16213.46
-1.6300
-0.2774
0.0770
2.6569
0.4522
12-Dec-11
1194.85
15870.35
-4.0214
-3.0536
9.3242
16.1719
12.2796
13-Dec-11
1171.65
16002.51
-1.3699
1.3991
1.9575
1.8765
-1.9166
14-Dec-11
1159.5
15881.14
-0.5606
-0.5202
0.2706
0.3143
0.2916
15-Dec-11
1136.35
15836.47
-1.1968
0.6152
0.3784
1.4324
-0.7362
16-Dec-11
1075.8
15491.35
-6.8042
-2.4364
5.9360
46.2977
16.5778
19-Dec-11
1032.1
15175.08
-3.6721
-0.3951
0.1561
13.4845
1.4508
20-Dec-11
979.1
15685.21
-5.1680
-1.7202
2.9590
26.7083
8.8900
21-Dec-11
1001.15
15813.36
0.1149
1.2589
1.5848
0.0132
0.1446
22-Dec-11
1009.35
15738.7
1.4217
1.6865
2.8444
2.0213
2.3978
23-Dec-11
1008.7
15970.75
-0.8328
-0.7925
0.6281
0.6935
0.6600
26-Dec-11
1025.75
15873.95
0.7555
1.1808
1.3942
0.5709
0.8921
27-Dec-11
1028.8
15727.85
-0.2819
-0.6931
0.4805
0.0795
0.1954
28-Dec-11
1029.75
15543.93
0.4904
-0.8044
0.6470
0.2405
-0.3945
29-Dec-11
1000.5
15454.92
-2.3388
-0.7399
0.5475
5.4701
1.7305
30-Dec-11
995.1
16483.45
-0.9949
-0.8323
0.6927
0.9898
0.8280
SUM
-43.7317
-14.1822
85.0865
295.6040
99.1632
62
BETA
S.D
1.086769653
1.842685257
VARIAN
CE
3.3955
CORRE
LATION
0.6050
Interpretation of L & T
Beta of Larsen & Toubro is 1.086769653 which means the Larsen & Toubro beta
is more than 1 means it tends to be more volatile than the market BSE Sensex.
So it is a more risky for investment.standard deviation of Larsen & Toubro Is
1.842685257 and correlation
means that when market return increases, the companys return also increases.
Date
STOCK
PRICE
close
SENSEX
PRICE
close
Stock
Return
Y (m)
Sensex
Return
X
X^2
Y^2
X*Y
03-Oct-11
788.2
16151.45
-0.7866
-0.6471
0.4188
0.6187
0.5090
04-Oct-11
772.4
15864.86
-1.6831
-1.3672
1.8693
2.8327
2.3011
05-Oct-11
767.25
15792.41
-0.8667
-1.1101
1.2323
0.7512
0.9622
07-Oct-11
801.45
16232.54
1.9278
0.0619
0.0038
3.7162
0.1194
10-Oct-11
827.9
16557.23
2.9774
1.7343
3.0080
8.8650
5.1639
11-Oct-11
825.85
16536.47
-1.2290
-0.7963
0.6341
1.5105
0.9787
12-Oct-11
849.5
16958.39
2.4132
1.7570
3.0871
5.8235
4.2400
13-Oct-11
846.85
16883.92
-0.3720
-0.9718
0.9444
0.1384
0.3615
14-Oct-11
866.8
17082.69
2.9072
1.4392
2.0714
8.4521
4.1842
17-Oct-11
833.2
17025.09
-4.2967
-0.8867
0.7862
18.4615
3.8098
18-Oct-11
820
16748.29
-0.6098
-0.4125
0.1702
0.3718
0.2515
63
19-Oct-11
842.3
17085.34
2.0658
1.1822
1.3976
4.2674
2.4421
20-Oct-11
838.4
16936.89
0.5844
0.1478
0.0219
0.3416
0.0864
21-Oct-11
835.4
16785.64
-0.4309
-1.1328
1.2833
0.1857
0.4882
24-Oct-11
846.25
16939.28
-0.1950
-0.4237
0.1796
0.0380
0.0826
25-Oct-11
875
17254.86
2.5143
1.4029
1.9682
6.3216
3.5273
26-Oct-11
873.35
17288.83
-0.4179
-0.2748
0.0755
0.1747
0.1148
28-Oct-11
898
17804.8
0.1114
0.7467
0.5575
0.0124
0.0831
31-Oct-11
877.75
17705.01
-2.3754
-0.5716
0.3267
5.6425
1.3577
01-Nov-11
860.55
17480.83
-0.9819
-0.3416
0.1167
0.9642
0.3355
02-Nov-11
871.45
17464.85
1.8877
0.6708
0.4499
3.5633
1.2662
03-Nov-11
884.6
17481.93
1.8257
0.2931
0.0859
3.3331
0.5351
04-Nov-11
879.6
17562.61
-2.4443
-0.6382
0.4073
5.9746
1.5600
08-Nov-11
881.85
17569.53
0.2098
-0.1374
0.0189
0.0440
-0.0288
09-Nov-11
864.55
17362.1
-2.9553
-1.6120
2.5986
8.7338
4.7640
11-Nov-11
883.85
17192.82
2.8229
0.0287
0.0008
7.9686
0.0809
14-Nov-11
875.15
17118.74
-1.6454
-1.3423
1.8017
2.7074
2.2086
15-Nov-11
862.7
16882.67
-0.9621
-1.1784
1.3887
0.9256
1.1338
16-Nov-11
848.95
16775.87
-1.3369
-0.5748
0.3304
1.7874
0.7685
17-Nov-11
810.65
16461.71
-4.2373
-1.7797
3.1674
17.9551
7.5412
18-Nov-11
808.05
16371.51
0.9900
-0.0989
0.0098
0.9802
-0.0979
21-Nov-11
786.85
15946.1
-1.7856
-2.2007
4.8432
3.1884
3.9296
22-Nov-11
795.05
16065.42
1.0628
0.4340
0.1884
1.1296
0.4613
23-Nov-11
773.75
15699.97
-1.9709
-1.7174
2.9494
3.8845
3.3848
24-Nov-11
774.2
15858.49
-0.1033
0.8997
0.8095
0.0107
-0.0930
25-Nov-11
754
15695.43
-1.9761
-0.5468
0.2990
3.9051
1.0805
28-Nov-11
783
16167.13
2.4266
1.7092
2.9214
5.8882
4.1475
29-Nov-11
765
16008.34
-2.3268
-1.2620
1.5927
5.4140
2.9365
30-Nov-11
778.8
16123.46
2.8505
1.5784
2.4915
8.1256
4.4994
01-Dec-11
798.5
16483.45
-0.0063
-0.4397
0.1933
0.0000
0.0028
02-Dec-11
810.8
16846.83
1.5787
2.0945
4.3868
2.4923
3.3065
05-Dec-11
807.35
16805.33
-0.0372
-0.0415
0.0017
0.0014
0.0015
07-Dec-11
809.2
16877.06
0.2286
0.2786
0.0776
0.0523
0.0637
08-Dec-11
779.2
16488.24
-3.0416
-2.0105
4.0422
9.2512
6.1152
09-Dec-11
755.45
16213.46
-1.8863
-0.2774
0.0770
3.5581
0.5233
12-Dec-11
727.9
15870.35
-4.5611
-3.0536
9.3242
20.8033
13.9275
13-Dec-11
742.6
16002.51
2.7067
1.3991
1.9575
7.3263
3.7869
14-Dec-11
741.7
15881.14
0.5123
-0.5202
0.2706
0.2625
-0.2665
15-Dec-11
748.7
15836.47
2.1905
0.6152
0.3784
4.7981
1.3475
64
16-Dec-11
723
15491.35
-3.9557
-2.4364
5.9360
15.6479
9.6377
19-Dec-11
735.85
15175.08
2.1676
-0.3951
0.1561
4.6983
-0.8564
20-Dec-11
713.55
15685.21
-3.7068
-1.7202
2.9590
13.7405
6.3764
21-Dec-11
747.25
15813.36
2.4423
1.2589
1.5848
5.9648
3.0746
22-Dec-11
754.75
15738.7
1.6827
1.6865
2.8444
2.8314
2.8379
23-Dec-11
746.45
15970.75
-1.6813
-0.7925
0.6281
2.8267
1.3324
26-Dec-11
760.95
15873.95
1.4390
1.1808
1.3942
2.0707
1.6991
27-Dec-11
753.25
15727.85
-1.5732
-0.6931
0.4805
2.4749
1.0904
28-Dec-11
738.55
15543.93
-1.7399
-0.8044
0.6470
3.0272
1.3995
29-Dec-11
712.9
15454.92
-2.9457
-0.7399
0.5475
8.6772
2.1795
30-Dec-11
692.9
16483.45
-2.9009
-0.8323
0.6927
8.4149
2.4144
SUM
19.4993
14.1822
85.0865
273.9289
131.4715
BETA
S.D
1.552133406
1.860071268
VARIA
NCE
3.4599
CORRE
LATION
0.8578
65
Date
STOCK
PRICE
close
SENSEX
PRICE
close
Stock
Return
Y (m)
Sensex
Return
X
X^2
Y^2
X*Y
03-Oct-11
1862.75
16151.45
-1.1891
-0.6471
0.4188
1.4140
0.7695
04-Oct-11
1786.7
15864.86
-3.6380
-1.3672
1.8693
13.2350
4.9740
05-Oct-11
1715.3
15792.41
-5.1711
-1.1101
1.2323
26.7403
5.7404
07-Oct-11
1751.85
16232.54
-0.6365
0.0619
0.0038
0.4051
-0.0394
10-Oct-11
1754.55
16557.23
-0.3106
1.7343
3.0080
0.0965
-0.5387
11-Oct-11
1765.1
16536.47
-0.4476
-0.7963
0.6341
0.2003
0.3564
12-Oct-11
1872.25
16958.39
4.9272
1.7570
3.0871
24.2776
8.6572
13-Oct-11
1886.95
16883.92
0.2623
-0.9718
0.9444
0.0688
-0.2549
14-Oct-11
1882.5
17082.69
0.4515
1.4392
2.0714
0.2039
0.6499
17-Oct-11
1891.8
17025.09
-0.4334
-0.8867
0.7862
0.1879
0.3843
18-Oct-11
1863.4
16748.29
-0.3918
-0.4125
0.1702
0.1535
0.1616
19-Oct-11
1919.1
17085.34
1.5215
1.1822
1.3976
2.3151
1.7987
20-Oct-11
1934.45
16936.89
2.1582
0.1478
0.0219
4.6580
0.3191
21-Oct-11
1948.6
16785.64
0.4208
-1.1328
1.2833
0.1771
-0.4767
24-Oct-11
1907.55
16939.28
-3.5359
-0.4237
0.1796
12.5029
1.4984
25-Oct-11
1840.45
17254.86
-4.3223
1.4029
1.9682
18.6824
-6.0638
26-Oct-11
1866.95
17288.83
0.4794
-0.2748
0.0755
0.2298
-0.1317
28-Oct-11
1907
17804.8
-0.7918
0.7467
0.5575
0.6270
-0.5912
31-Oct-11
1906.7
17705.01
-0.6451
-0.5716
0.3267
0.4161
0.3687
01-Nov-11
1902.2
17480.83
0.4311
-0.3416
0.1167
0.1858
-0.1473
02-Nov-11
1908.95
17464.85
1.2546
0.6708
0.4499
1.5741
0.8416
03-Nov-11
1934.5
17481.93
1.6800
0.2931
0.0859
2.8225
0.4924
04-Nov-11
1964.25
17562.61
0.3335
-0.6382
0.4073
0.1112
-0.2128
08-Nov-11
1997.55
17569.53
1.3166
-0.1374
0.0189
1.7335
-0.1809
09-Nov-11
1862.5
17362.1
-8.1450
-1.6120
2.5986
66.3405
13.1298
11-Nov-11
1797.65
17192.82
-3.4684
0.0287
0.0008
12.0299
-0.0995
14-Nov-11
1753.05
17118.74
-4.1613
-1.3423
1.8017
17.3166
5.5856
15-Nov-11
1729.9
16882.67
-0.9307
-1.1784
1.3887
0.8662
1.0968
16-Nov-11
1764.9
16775.87
1.9973
-0.5748
0.3304
3.9891
-1.1481
17-Nov-11
1757.5
16461.71
-0.3528
-1.7797
3.1674
0.1244
0.6278
66
18-Nov-11
1725.5
16371.51
-1.7096
-0.0989
0.0098
2.9229
0.1691
21-Nov-11
1673.05
15946.1
-3.0394
-2.2007
4.8432
9.2377
6.6888
22-Nov-11
1688.65
16065.42
0.5122
0.4340
0.1884
0.2624
0.2223
23-Nov-11
1654.3
15699.97
-0.9490
-1.7174
2.9494
0.9007
1.6299
24-Nov-11
1653.25
15858.49
-0.2268
0.8997
0.8095
0.0515
-0.2041
25-Nov-11
1690.7
15695.43
2.5374
-0.5468
0.2990
6.4385
-1.3874
28-Nov-11
1776.9
16167.13
2.9208
1.7092
2.9214
8.5312
4.9923
29-Nov-11
1756.5
16008.34
-1.6225
-1.2620
1.5927
2.6327
2.0477
30-Nov-11
1762.85
16123.46
0.8424
1.5784
2.4915
0.7096
1.3297
01-Dec-11
1819.25
16483.45
0.3985
-0.4397
0.1933
0.1588
-0.1752
02-Dec-11
1886.5
16846.83
3.4190
2.0945
4.3868
11.6898
7.1610
05-Dec-11
1908.6
16805.33
1.3937
-0.0415
0.0017
1.9424
-0.0578
07-Dec-11
1936.7
16877.06
1.2754
0.2786
0.0776
1.6266
0.3553
08-Dec-11
1865.85
16488.24
-3.8133
-2.0105
4.0422
14.5411
7.6667
09-Dec-11
1863.95
16213.46
1.8268
-0.2774
0.0770
3.3371
-0.5068
12-Dec-11
1773.1
15870.35
-6.0854
-3.0536
9.3242
37.0319
18.5821
13-Dec-11
1787.2
16002.51
1.5779
1.3991
1.9575
2.4897
2.2076
14-Dec-11
1784.65
15881.14
0.0364
-0.5202
0.2706
0.0013
-0.0189
15-Dec-11
1744.5
15836.47
-0.6019
0.6152
0.3784
0.3623
-0.3703
16-Dec-11
1680.45
15491.35
-4.3709
-2.4364
5.9360
19.1044
10.6491
19-Dec-11
1631.55
15175.08
-2.2892
-0.3951
0.1561
5.2406
0.9044
20-Dec-11
1582.8
15685.21
-3.1084
-1.7202
2.9590
9.6622
5.3471
21-Dec-11
1623.1
15813.36
0.0062
1.2589
1.5848
0.0000
0.0078
22-Dec-11
1668.45
15738.7
3.2635
1.6865
2.8444
10.6505
5.5041
23-Dec-11
1648.35
15970.75
-1.7381
-0.7925
0.6281
3.0210
1.3775
26-Dec-11
1664.65
15873.95
1.3606
1.1808
1.3942
1.8514
1.6066
27-Dec-11
1642.9
15727.85
-1.5887
-0.6931
0.4805
2.5238
1.1012
28-Dec-11
1609.7
15543.93
-0.9691
-0.8044
0.6470
0.9392
0.7795
29-Dec-11
1627.05
15454.92
1.7854
-0.7399
0.5475
3.1878
-1.3211
30-Dec-11
1619.5
16483.45
-1.1670
-0.8323
0.6927
1.3620
0.9713
SUM
-31.4604
-14.1822
85.0865
376.0958
114.8265
VARIAN
CE
4.9933
CORRE
LATION
BETA
S.D
1.313894344
2.234576313
67
0.6264
Interpretation of SBI
Beta of State Bank of India is 1.313894344 which means the State Bank of India
beta is more than 1 means it tends to be more volatile than the market BSE
Sensex.
So it is a more risky for investment.standard deviation of State Bank of India Is
2.234576313and correlation
means that when market return increases, the companys return also increases.
SENSEX
PRICE
Stock
Return
Sensex
Return
Date
STOC
K
PRICE
close
close
X^2
Y^2
X*Y
03-Oct-11
04-Oct-11
05-Oct-11
07-Oct-11
10-Oct-11
11-Oct-11
12-Oct-11
13-Oct-11
14-Oct-11
17-Oct-11
18-Oct-11
19-Oct-11
20-Oct-11
21-Oct-11
24-Oct-11
25-Oct-11
26-Oct-11
513.35
516.25
519.5
517.5
516.6
516.2
516.55
502.35
502.5
497.85
501.4
514.45
501.4
496.6
505.05
509.9
516
16151.45
15864.86
15792.41
16232.54
16557.23
16536.47
16958.39
16883.92
17082.69
17025.09
16748.29
17085.34
16936.89
16785.64
16939.28
17254.86
17288.83
0.8474
0.6295
-0.8085
-0.8696
-0.2323
-0.3487
-0.6679
-2.5779
0.9950
-1.4362
1.4759
1.8369
-1.5257
-1.2888
1.5939
0.8727
0.7752
-0.6471
-1.3672
-1.1101
0.0619
1.7343
-0.7963
1.7570
-0.9718
1.4392
-0.8867
-0.4125
1.1822
0.1478
-1.1328
-0.4237
1.4029
-0.2748
0.4188
1.8693
1.2323
0.0038
3.0080
0.6341
3.0871
0.9444
2.0714
0.7862
0.1702
1.3976
0.0219
1.2833
0.1796
1.9682
0.0755
0.7180
0.3963
0.6536
0.7561
0.0540
0.1216
0.4461
6.6455
0.9901
2.0626
2.1782
3.3743
2.3278
1.6609
2.5405
0.7616
0.6009
-0.5484
-0.8607
0.8975
-0.0538
-0.4029
0.2777
-1.1735
2.5052
1.4321
1.2734
-0.6088
2.1716
-0.2256
1.4599
-0.6754
1.2243
-0.2130
68
28-Oct-11
31-Oct-11
01-Nov-11
02-Nov-11
03-Nov-11
04-Nov-11
08-Nov-11
09-Nov-11
11-Nov-11
14-Nov-11
15-Nov-11
16-Nov-11
17-Nov-11
18-Nov-11
21-Nov-11
22-Nov-11
23-Nov-11
24-Nov-11
25-Nov-11
28-Nov-11
29-Nov-11
30-Nov-11
01-Dec-11
02-Dec-11
05-Dec-11
07-Dec-11
08-Dec-11
09-Dec-11
12-Dec-11
13-Dec-11
14-Dec-11
15-Dec-11
16-Dec-11
19-Dec-11
20-Dec-11
21-Dec-11
22-Dec-11
23-Dec-11
26-Dec-11
27-Dec-11
28-Dec-11
514.4
501.1
504.95
511.85
513.6
503.6
496.8
475.4
468.1
483.9
468.5
473.05
453.25
458.4
447.4
445.9
429.4
428.95
440.6
449.4
452.35
434.8
444.1
442.4
436.4
437.75
418.65
415.9
405.75
406.2
400.85
383.95
380.25
383.5
395.35
406.95
421.55
405.5
401.65
410.75
405
17804.8
17705.01
17480.83
17464.85
17481.93
17562.61
17569.53
17362.1
17192.82
17118.74
16882.67
16775.87
16461.71
16371.51
15946.1
16065.42
15699.97
15858.49
15695.43
16167.13
16008.34
16123.46
16483.45
16846.83
16805.33
16877.06
16488.24
16213.46
15870.35
16002.51
15881.14
15836.47
15491.35
15175.08
15685.21
15813.36
15738.7
15970.75
15873.95
15727.85
15543.93
-1.2830
-2.4546
0.9803
2.3151
0.5062
-2.6608
-2.4557
-3.9125
-1.4740
1.6326
-3.3191
-0.2008
-3.9934
1.8325
-2.3692
-1.5923
-3.1905
-0.2448
1.2710
0.9791
-1.8901
-4.1858
-6.1247
-0.8024
-1.0541
-0.9595
-4.8609
0.5771
-3.3272
0.8124
-1.2848
-2.8780
-1.5122
1.1604
2.6306
1.3392
4.4004
-3.2182
-1.3320
2.3737
-0.3704
69
0.7467
-0.5716
-0.3416
0.6708
0.2931
-0.6382
-0.1374
-1.6120
0.0287
-1.3423
-1.1784
-0.5748
-1.7797
-0.0989
-2.2007
0.4340
-1.7174
0.8997
-0.5468
1.7092
-1.2620
1.5784
-0.4397
2.0945
-0.0415
0.2786
-2.0105
-0.2774
-3.0536
1.3991
-0.5202
0.6152
-2.4364
-0.3951
-1.7202
1.2589
1.6865
-0.7925
1.1808
-0.6931
-0.8044
0.5575
0.3267
0.1167
0.4499
0.0859
0.4073
0.0189
2.5986
0.0008
1.8017
1.3887
0.3304
3.1674
0.0098
4.8432
0.1884
2.9494
0.8095
0.2990
2.9214
1.5927
2.4915
0.1933
4.3868
0.0017
0.0776
4.0422
0.0770
9.3242
1.9575
0.2706
0.3784
5.9360
0.1561
2.9590
1.5848
2.8444
0.6281
1.3942
0.4805
0.6470
1.6462
6.0251
0.9610
5.3598
0.2563
7.0801
6.0305
15.3076
2.1728
2.6653
11.0164
0.0403
15.9471
3.3579
5.6133
2.5354
10.1793
0.0599
1.6154
0.9586
3.5726
17.5212
37.5125
0.6439
1.1111
0.9205
23.6280
0.3330
11.0701
0.6600
1.6506
8.2828
2.2866
1.3464
6.9200
1.7935
19.3638
10.3571
1.7742
5.6345
0.1372
-0.9580
1.4030
-0.3349
1.5529
0.1484
1.6982
0.3374
6.3070
-0.0423
-2.1914
3.9113
0.1154
7.1070
-0.1812
5.2141
-0.6911
5.4793
-0.2202
-0.6950
1.6735
2.3854
-6.6071
2.6931
-1.6807
0.0437
-0.2673
9.7729
-0.1601
10.1597
1.1366
0.6683
-1.7704
3.6842
-0.4584
-4.5251
1.6859
7.4215
2.5505
-1.5728
-1.6453
0.2979
29-Dec-11
30-Dec-11
403.65
405.25
15454.92
16483.45
-0.3344
-0.8267
-0.7399
-0.8323
0.5475
0.6927
0.1119
0.6834
0.2475
0.6880
SUM
42.0306
14.1822
85.0865
282.4315
60.8613
BETA
S.D
VARI
ANCE
Correl
ation
0.62304
2.0707
4.2879
0.3542
Laboratories beta is less than 1 means it tends to be less volatile than the
market BSE Sensex.
So it is a less risky for investment. Standard deviation of Ranbaxy Laboratories Is
2.070734721 and correlation
means that when market return increases, the companys return also increases.
stock
Date
open
STOCK
PRICE
close
SENSEX
PRICE
close
Stock
Return
Y
Sensex
Return
X
X^2
Y^2
X*Y
03-Oct-11
1024.95
1044
16151.45
1.824713
-0.64712
0.41877
3.329576
-1.18082
04-Oct-11
1036
1045.95
15864.86
0.951288
-1.36724
1.869333
0.904949
-1.30064
05-Oct-11
1052.25
1043.5
15792.41
-0.83852
-1.11009
1.2323
0.703123
0.930838
07-Oct-11
1070
1048.7
16232.54
-2.03109
0.061913
0.003833
4.125311
-0.12575
10-Oct-11
1048.3
1065.3
16557.23
1.595795
1.734348
3.007963
2.54656
2.767663
11-Oct-11
1071.05
1041.2
16536.47
-2.86688
-0.7963
0.634095
8.219026
2.282902
12-Oct-11
1064
1079.35
16958.39
1.422152
1.757006
3.087072
2.022517
2.498731
13-Oct-11
1095
1090.8
16883.92
-0.38504
-0.97181
0.944419
0.148255
0.374185
14-Oct-11
1088.6
1134.5
17082.69
4.045835
1.439235
2.071396
16.36878
5.822906
17-Oct-11
1150
1119.8
17025.09
-2.69691
-0.88669
0.786222
7.273324
2.391327
18-Oct-11
1062
1033.5
16748.29
-2.75762
-0.41252
0.170173
7.604467
1.137573
70
19-Oct-11
1043.5
1048.7
17085.34
0.495852
1.182183
1.397557
0.245869
0.586188
20-Oct-11
1036
1044.7
16936.89
0.832775
0.147843
0.021858
0.693514
0.12312
21-Oct-11
1052
1048.25
16785.64
-0.35774
-1.13281
1.283266
0.127977
0.405252
24-Oct-11
1057
1079.35
16939.28
2.070691
-0.42375
0.179563
4.28776
-0.87745
25-Oct-11
1086.1
1099.3
17254.86
1.200764
1.402909
1.968154
1.441834
1.684563
26-Oct-11
1101
1095.55
17288.83
-0.49747
-0.2748
0.075516
0.247473
0.136705
28-Oct-11
1116.5
1119.65
17804.8
0.281338
0.746653
0.55749
0.079151
0.210062
31-Oct-11
1118
1114.2
17705.01
-0.34105
-0.57159
0.326715
0.116316
0.194942
01-Nov-11
1100
1107.5
17480.83
0.677201
-0.34163
0.116712
0.458601
-0.23135
02-Nov-11
1095.05
1106.3
17464.85
1.016903
0.670776
0.44994
1.034092
0.682114
03-Nov-11
1100
1103.45
17481.93
0.312656
0.293103
0.085909
0.097754
0.09164
04-Nov-11
1117.2
1099.1
17562.61
-1.6468
-0.63823
0.407339
2.711957
1.05104
08-Nov-11
1100.95
1103.5
17569.53
0.231083
-0.1374
0.018878
0.053399
-0.03175
09-Nov-11
1111
1123
17362.1
1.068566
-1.61202
2.598599
1.141834
-1.72255
11-Nov-11
1102
1130.8
17192.82
2.546869
0.028675
0.000822
6.486544
0.073031
14-Nov-11
1136
1126.5
17118.74
-0.84332
-1.34227
1.801693
0.711189
1.131965
15-Nov-11
1127.8
1122.95
16882.67
-0.4319
-1.17843
1.388691
0.186536
0.508961
16-Nov-11
1122.2
1116.2
16775.87
-0.53754
-0.57481
0.330411
0.288947
0.308984
17-Nov-11
1114.7
1113
16461.71
-0.15274
-1.77971
3.167353
0.02333
0.271833
18-Nov-11
1109.95
1088.05
16371.51
-2.01278
-0.09889
0.009779
4.051264
0.199046
21-Nov-11
1085
1064.95
15946.1
-1.88272
-2.20073
4.843196
3.544625
4.143346
22-Nov-11
1068
1084.55
16065.42
1.525979
0.434038
0.188389
2.32861
0.662332
23-Nov-11
1083
1062.4
15699.97
-1.93901
-1.71739
2.949435
3.759744
3.330033
24-Nov-11
1069.75
1089.25
15858.49
1.790223
0.899707
0.809473
3.204897
1.610676
25-Nov-11
1088.4
1062.95
15695.43
-2.39428
-0.54678
0.298972
5.732577
1.309153
28-Nov-11
1074
1089.15
16167.13
1.390993
1.709209
2.921395
1.934861
2.377497
29-Nov-11
1094.4
1090.7
16008.34
-0.33923
-1.26203
1.592719
0.115078
0.42812
30-Nov-11
1089
1113.1
16123.46
2.165124
1.578445
2.49149
4.687764
3.417531
01-Dec-11
1135
1134.75
16483.45
-0.02203
-0.43971
0.193348
0.000485
0.009687
02-Dec-11
1130
1175.5
16846.83
3.870693
2.094459
4.38676
14.98227
8.10701
05-Dec-11
1172
1179.55
16805.33
0.640075
-0.04147
0.00172
0.409695
-0.02655
07-Dec-11
1177.2
1179.1
16877.06
0.16114
0.278603
0.07762
0.025966
0.044894
08-Dec-11
1166.3
1177.3
16488.24
0.934341
-2.01052
4.042206
0.872994
-1.87852
09-Dec-11
1170.95
1171.7
16213.46
0.06401
-0.27742
0.076964
0.004097
-0.01776
12-Dec-11
1174.2
1179.9
15870.35
0.483092
-3.05356
9.324203
0.233378
-1.47515
13-Dec-11
1169
1179.7
16002.51
0.90701
1.399093
1.957461
0.822668
1.268992
14-Dec-11
1179
1179.8
15881.14
0.067808
-0.52018
0.270584
0.004598
-0.03527
15-Dec-11
1170
1182.6
15836.47
1.065449
0.615162
0.378425
1.135182
0.655424
16-Dec-11
1180.5
1143.5
15491.35
-3.23568
-2.43639
5.936006
10.46962
7.883384
19-Dec-11
1143.5
1142.55
15175.08
-0.08315
-0.39508
0.156085
0.006913
0.032849
20-Dec-11
1141
1133.1
15685.21
-0.6972
-1.72019
2.959049
0.486091
1.19932
71
21-Dec-11
1149
1159.9
15813.36
0.939736
1.258893
1.584811
0.883104
1.183027
22-Dec-11
1148
1149
15738.7
0.087032
1.686549
2.844446
0.007575
0.146784
23-Dec-11
1150
1156.3
15970.75
0.544841
-0.79251
0.628064
0.296852
-0.43179
26-Dec-11
1152.3
1187.9
15873.95
2.996885
1.180784
1.39425
8.981321
3.538673
27-Dec-11
1186
1176.75
15727.85
-0.78606
-0.69315
0.480454
0.617896
0.544858
28-Dec-11
1169.9
1169.15
15543.93
-0.06415
-0.80437
0.64701
0.004115
0.0516
29-Dec-11
1161.1
1165.35
15454.92
0.364697
-0.7399
0.547456
0.133004
-0.26984
30-Dec-11
1175
1161.25
16483.45
-1.18407
-0.83229
0.692709
1.402019
0.985491
9.548638
S.D
-14.1822
VARIAN
CE
85.08652
Correlati
on
144.8192
59.19107
SUM
BETA
0.751803
0.567785
Interpretation of TCS
Beta of TCS is 0.751803 which means the TCS beta is less than 1 means it
tends to be less volatile than the market BSE Sensex.
So it is a less risky for investment. Standard deviation of TCS Is
1.545421337and correlation
means that when market return increases, the companys return also increases.
Date
STOCK
PRICE
close
SENSEX
PRICE
close
Stock
Return
Y
Sensex
Return
X
X^2
Y^2
X*Y
03-Oct-11
268.55
04-Oct-11
264.4
16151.45
1.9736
-0.6471
0.4188
3.8949
-1.2771
15864.86
-1.2670
-1.3672
1.8693
1.6053
1.7323
05-Oct-11
264.2
15792.41
0.3028
-1.1101
1.2323
0.0917
-0.3361
07-Oct-11
264.45
16232.54
-1.3424
0.0619
0.0038
1.8021
-0.0831
10-Oct-11
273.5
16557.23
3.4735
1.7343
3.0080
12.0651
6.0242
72
11-Oct-11
268.35
16536.47
-0.9875
-0.7963
0.6341
0.9752
0.7864
12-Oct-11
270.5
16958.39
0.5545
1.7570
3.0871
0.3075
0.9743
13-Oct-11
265
16883.92
-3.0566
-0.9718
0.9444
9.3428
2.9704
14-Oct-11
266.65
17082.69
0.6188
1.4392
2.0714
0.3829
0.8906
17-Oct-11
269.5
17025.09
0.5566
-0.8867
0.7862
0.3098
-0.4935
18-Oct-11
263.6
16748.29
-1.8778
-0.4125
0.1702
3.5263
0.7746
19-Oct-11
268.35
17085.34
1.5838
1.1822
1.3976
2.5083
1.8723
20-Oct-11
266.8
16936.89
-0.0750
0.1478
0.0219
0.0056
-0.0111
21-Oct-11
265.4
16785.64
-0.6217
-1.1328
1.2833
0.3865
0.7043
24-Oct-11
276.25
16939.28
2.4796
-0.4237
0.1796
6.1486
-1.0507
25-Oct-11
276.7
17254.86
0.1626
1.4029
1.9682
0.0264
0.2282
26-Oct-11
276.2
17288.83
-0.2896
-0.2748
0.0755
0.0839
0.0796
28-Oct-11
284.6
17804.8
1.6163
0.7467
0.5575
2.6124
1.2068
31-Oct-11
278.2
17705.01
-2.8037
-0.5716
0.3267
7.8609
1.6026
01-Nov-11
277.95
17480.83
0.7016
-0.3416
0.1167
0.4922
-0.2397
02-Nov-11
278.25
17464.85
0.4852
0.6708
0.4499
0.2354
0.3254
03-Nov-11
277.95
17481.93
0.0899
0.2931
0.0859
0.0081
0.0264
04-Nov-11
277.65
17562.61
-1.2966
-0.6382
0.4073
1.6812
0.8275
08-Nov-11
278
17569.53
-3.0576
-0.1374
0.0189
9.3486
0.4201
09-Nov-11
271.25
17362.1
-3.0415
-1.6120
2.5986
9.2506
4.9029
11-Nov-11
265.8
17192.82
-2.3326
0.0287
0.0008
5.4409
-0.0669
14-Nov-11
261.2
17118.74
-1.9142
-1.3423
1.8017
3.6643
2.5694
15-Nov-11
258.8
16882.67
-1.2365
-1.1784
1.3887
1.5289
1.4571
16-Nov-11
263.3
16775.87
1.2533
-0.5748
0.3304
1.5708
-0.7204
17-Nov-11
257.35
16461.71
-2.5840
-1.7797
3.1674
6.6772
4.5988
18-Nov-11
259.25
16371.51
0.5786
-0.0989
0.0098
0.3348
-0.0572
21-Nov-11
252.25
15946.1
-3.6472
-2.2007
4.8432
13.3019
8.0264
22-Nov-11
251.85
16065.42
-0.4566
0.4340
0.1884
0.2085
-0.1982
23-Nov-11
246.3
15699.97
-2.3143
-1.7174
2.9494
5.3558
3.9745
24-Nov-11
253.45
15858.49
2.5449
0.8997
0.8095
6.4764
2.2896
25-Nov-11
251.85
15695.43
-1.1713
-0.5468
0.2990
1.3720
0.6405
28-Nov-11
261.65
16167.13
2.2358
1.7092
2.9214
4.9989
3.8215
29-Nov-11
257.9
16008.34
-1.5898
-1.2620
1.5927
2.5273
2.0063
30-Nov-11
265.8
16123.46
3.6870
1.5784
2.4915
13.5938
5.8197
01-Dec-11
266.05
16483.45
-1.9733
-0.4397
0.1933
3.8940
0.8677
02-Dec-11
268.05
16846.83
0.3731
2.0945
4.3868
0.1392
0.7814
05-Dec-11
268.6
16805.33
-0.1489
-0.0415
0.0017
0.0222
0.0062
07-Dec-11
273
16877.06
1.8315
0.2786
0.0776
3.3544
0.5103
08-Dec-11
266.8
16488.24
-1.9490
-2.0105
4.0422
3.7987
3.9186
09-Dec-11
261.7
16213.46
-0.8407
-0.2774
0.0770
0.7067
0.2332
12-Dec-11
257.45
15870.35
-2.5053
-3.0536
9.3242
6.2767
7.6502
73
13-Dec-11
255.35
16002.51
-0.6462
1.3991
1.9575
0.4175
-0.9041
14-Dec-11
252
15881.14
-1.0714
-0.5202
0.2706
1.1480
0.5573
15-Dec-11
251.25
15836.47
0.4975
0.6152
0.3784
0.2475
0.3061
16-Dec-11
250.1
15491.35
-1.4794
-2.4364
5.9360
2.1886
3.6044
19-Dec-11
247.3
15175.08
-1.6983
-0.3951
0.1561
2.8844
0.6710
20-Dec-11
253.2
15685.21
1.2441
-1.7202
2.9590
1.5477
-2.1400
21-Dec-11
260.65
15813.36
1.5922
1.2589
1.5848
2.5350
2.0044
22-Dec-11
264.75
15738.7
2.5496
1.6865
2.8444
6.5003
4.3000
23-Dec-11
261.55
15970.75
-1.7014
-0.7925
0.6281
2.8947
1.3484
26-Dec-11
262.25
15873.95
0.4766
1.1808
1.3942
0.2272
0.5628
27-Dec-11
263.55
15727.85
0.3984
-0.6931
0.4805
0.1587
-0.2762
28-Dec-11
260.55
15543.93
-0.5565
-0.8044
0.6470
0.3097
0.4476
29-Dec-11
258.45
15454.92
-0.9867
-0.7399
0.5475
0.9735
0.7300
30-Dec-11
256.95
16483.45
-0.4281
-0.8323
0.6927
0.1833
0.3563
Sum
-19.0875
-14.1822
85.0865
182.4121
82.5542
Correlati
on
BETA
S.D
VARIA
NCE
0.954831914
0.0000
0.0000
0.6501
Interpretation of ONGC
Beta of ONGC is 0.954831914 which means the ONGC beta is less than 1
means it tends to be less volatile than the market BSE Sensex.
So it is a less risky for investment.standard deviation of ONGC Is 1.728818046
and correlation is 0.650060411is Positive correlation so that It means that when
market return increases, the companys return also increases
74
CHEPTER -7
FINDINGS
Company Name
Beta
1.164
1.0867
HDFC Bank
0.8735
ACC LTD
0.9909
1.3139
1.4575
0.7518
ONGC Ltd.
0.9548
1.5521
NTPC Ltd.
0.9941
1.1843
Grasim Industry
0.8185
Ranbaxy Laboratories
0.623
Bharti Airtel
1.5706
1.026
75
S.D
Rank
(beta
Correlation wise)
2.8
0.4573
10
1.8427
0.605
1.2092
0.6497
1.3239
0.6999
2.2346
0.6264
12
2.5084
0.6299
13
1.5454
0.5678
2.6816
0.6405
15
1.7288
0.65
1.86
0.8578
14
1.4072
0.6721
1.8828
0.6483
11
1.2128
0.6077
2.0707
0.3542
1.9822
5392
Beta of BHEL company is 1.164 which means the BHEL company share price
fluctuate more than BSE Sensex because if BHEL beta is greater than 1 than it
represent the BHEL share price is more fluctuate compare to market return, if
BHEL beta is less than its represent that BHEL share price less fluctuate
compare to market return, if BHEL beta is equal to 1 than its shows that both
are fluctuate in same sense.
The value of correlation could be positive, negative or zero. It always varies
between the -1.0 (negative correlation) and +1.0 (positively correlation).so this is
Positive correlation so that It means that when market return increases, the
companys return also increases.
76
CHEPTER - 8
Conclusion
In the year 1978, the base year, the Sensex was 100 and now its more
than 17316. it shows that the volatility is very high. When compared with
Nifty of NSE. The price volatility is very high in Sensex.
The study also shows that most of the companies in the Sensex are less
volatile that Sensex movement.
77
CHEPTER-9
SUGGESTION & RECOMMANDATION
The company stock was highly volatile in the last 3 month and the stock
price was moving up and down based on the industry fluctuation. To keep
it as the company must try to improve the financial performance which will
improve the company's performance as a whole.
Specially beta rank from 1 to 5 are those securities which heading portfolio
risk.
Securities rank in yellow box which show that securities are move with
market return (Sensex) , it denoted that if market id positive then securities
return is also positive and vice versa market return is negative then
securities return is also negatives.
Beta rank from 6 to 10 is those securities it may can be use for hedging
portfolio.
as per price volatility of various securities who's beta is show in RED box
those securities are useful to investors for speculate them portfolio.
79
BIBILOGRAPHY
Book refer :1. Reilly/Brown, Investments- Analysis and Portfolio Management, Cengage
Learning Eighth Edition.
3. Business statistics
Authors-: ken black
80