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8/22/2019 Project Report Risk and Returns of Securities
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RESEARCH REPORT
ON
RISK AND RETURNS OF
SECURITIES
(A case study of selected companies)
In The Partial Fulfilment Of the requirement for award
of the Degree of
Master of Business Administration (MBA)
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CONTENTS
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CHAPTER NO. DESCRIPTION
1. INTRODUCTION TO TOPIC
2. REVIEW OF LITERATURE
3 RESEARCH METHODOLOGY
a. Data sources
b. Research design
c. Data collection
d. Need of study
e. Objectives of study
f. Scope of study
g. Limitations of study
4 DATA ANALYSIS AND INTERPRETATION
5 FINDINGS AND SUGGESTIONS
BIBLIOGRAPHY
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CHAPTER -1
INTRODUCTION
STATEMENT OF PROBLEM
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The problem undertaken to study in the present project work is to calculate returns and
risk associated with different stocks listed on NSE Stock Exchange. Returns and Risk are
calculated to study the price movements in the stock market. After doing this project one
can make decisions regarding the investment in which company one can expect
INTRODUCTION
Investment is the employment of funds with the aim of achieving additional income or
growth in value. The essential quality of an investment is that it involves waiting for a
reward. It involves the commitment of resources which have been saved or put away
from current consumption in the hope that some benefits will accrue in future. The term
Investment does not appear to be as simple as it has been defined. Investment has been
further categorized by financial experts and economists. It has also often been confused
with the term speculation. The following discussion will give an explanation of the
various ways in which investment is related or differentiated from the financial and
economic sense and how speculation differs from investment. However, it must be
clearly established that investment involves long-term commitment.
RETURNS:
A major purpose of investment is to set a return of income on the funds invested. On a
bond an investor expects to receive interest. On a stock, dividends may be anticipated.
The investor may expect capital gains from some investments and rental income from
house property.
RISK:
In the investing world, the dictionary definition of risk is the chance that an
investments actual return will be different than expected. Technically, this is measured
in statistics by Standard Deviation. Risk means you have the possibility of losing some,
or even all, of our original investment.
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Risk consists of 2 components:
1. Systematic risk (uncontrollable risk) non-diversifiable risk
2. Unsystematic risk (controllable risk) diversifiable risk
SYSTEMATIC RISK:
The risk that affects the entire market, the factors are beyond the control of the
corporate and the investor. They cannot be avoided by the investor. It is sub-divided
into.
a) Market risk
b) Interest rate risk
c) Purchase power risk
UNSYSTEMATIC RISK OF DIVERSIFIABLE RISK:
It is unique to the firm or industry. It stems from managerial inefficiency,
technological changes, consumer preferences, labour problems etc. The magnitude and
nature differs from firm to firm, industry to industry.
It can be classified into 2 types
1) Business risk
Internal risk
Fluctuations in sales
Research and development
Personal management
External risk (P,E,S,T factors)
2) Financial risk It is associated with the capital structure of the company.
RETURNS
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A major purpose of investment is to set a return of income on the funds invested. On a
bond an investor expects to receive interest. On a stock, dividends may be anticipated.
The investor may expect capital gains from some investments and rental income from
house property. Return may take several forms.
Measurement of Returns
The purpose of investment is to get a return or income on the funds invested in different
financial assets. The most important characteristics of financial assets are the size and
variability of their future returns. Since the return on income varies, various statistical
techniques are used to measure it. Over the years, may methods were adopted for
quantifying returns. These are now categorized as traditional and modern techniques of
measurement.
Traditional Method of Measurement
Computation of yield to measure a financial assets return is the simplest and oldest
technique of measurement. Yield can be both expected or estimated and actual for a
particular period. The formula used to find yield is:
Expected Cash Income
a) Estimated Yield = ----------------------------
Current Price of Asset
Cash Income
b) Actual Yield = ---------------------
Amount Invested
The yield that is calculated is for a particular period to find out the return on the amount
that is invested. For example, the annual yield on the Unit Trust Certificate is the
dividend income divided by the amount invested.
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Measuring Returns Improved Technique
The holding period yield is one of the new techniques in measuring returns. The
traditional methods did not provide a satisfactory returns measure. Some of the gaps that
were identified were: (a) that the traditional method does not distinguish between divided
and earnings portion that the traditional method does not distinguish between divided and
earnings portion that the company retains (Earnings Yield Method), (b) Dividend Yield
Method ignores the possibility of price appreciation on retained earnings. It is useful
only for those shareholders who wish to retain shares always and are not interested in
selling and anticipate that dividends are not going to change; (c) the yield to maturity is
useful only to those bond holders who will hold it to maturity. All investors may not hold
bonds till maturity for obvious reasons. These methods are thus known to serve a limited
purpose only. The better method measures return through the holding period yield. This
measure appears more rational and clearly defined. It serves two purposes: (a) It
measures that total return per rupee of the original investment, and (b) through this
method, comparisons can be drawn of any assets expected return. An asset can be
compared with other both historically and for future periods.
The holding period yield can be used for any asset. For example, returns from savings
accounts, stocks money, real estate and bonds can be compared through this measure.
The formula for the holding period yield is:
Income payments received during the year in Rs. + Capital change for the period in Rs.
Price in rupees of original investment at the beginning of period
A look at this formula shows that the Holding Period Yield (HPY) considers
everything the investor receives over the specified period during which the asset is held
relative to what was originally invested in the assets. It also considers all income
payments; and positive and negative capital changes during the period. These are then
measured relative to the original investment in rupees. The HPY also measures past
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receipts of payments as well as for an unknown future. It is useful for comparing any
time period, it can be used on both Bond and Stocks.
Measure of Dispersion
Dispersion methods help to assess risk in receiving a reward or return on investment.
The greater the potential dispersion, the greater the risk. One of the simplest methods in
calculating dispersion is range. The range, however, has limited importance. It is useful
when there are small samples. It loses its effectiveness when the number of values in a
sample increases. The best and most effective method to find out how the data scattered
around a frequency distribution is to use the standard deviation method. This method is
related to the mean deviation and implies in this case the means as a point of reference
from which deviation occurs. The standard deviation is based on mean and it cannot
show any result without first finding out the mean. The standard deviation is recognized
by the following symbol. The standard deviation is also related to variance. Variance
is the square of standard deviation. In other words, standard deviation is the square root
of the variance. This relationship shows that they have similar statistical characteristics.
Therefore, standard deviation and variance are considered equivalent to each other as
measures of risk. For a security analyst they help in depicting dispersion of HPYs around
HPY.
There are 22 stock exchanges in India, the first being the Bombay Stock Exchange
(BSE), which began formal trading in 1875, making it one of the oldest in Asia. Over the
last few years, there has been a rapid change in the Indian securities market, especially in
the secondary market. Advanced technology and online-based transactions have
modernized the stock exchanges. In terms of the number of companies listed and total
market capitalization, the Indian equity market is considered large relative to the
countrys stage of economic development. The number of listed companies increased
from 5,968 in March 1990 to about 10,000 by May 1998 and market capitalization has
grown almost 11 times during the same period.
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The debt market, however, is almost non-existent in India even though there has
been a large volume of Government bonds traded. Banks and financial institutions have
been holding a substantial part of these bonds as statutory liquidity requirement. The
portfolio restrictions on financial institutions statutory liquidity requirement are still in
place. A primary auction market for Government securities has been created and a
primary dealer system was introduced in 1995. There are six authorized primary dealers.
Currently, there are 31 mutual funds, out of which 21 are in the private sector. Mutual
funds were opened to the private sector in 1992. Earlier, in 1987, banks were allowed to
enter this business, breaking the monopoly of the Unit Trust of India (UTI), which
maintains a dominant position. Before 1992, many factors obstructed the expansion of
equity trading. Fresh capital issues were controlled through the Capital Issues Control
Act. Trading practices were not transparent, and there was a large amount of insider
trading. Recognizing the importance of increasing investor protection, several measures
were enacted to improve the fairness of the capital market. The Securities and Exchange
Board of India (SEBI) was established in 1988. Despite the rules it set, problems
continued to exist, including those relating to disclosure criteria, lack of Brokers, capital
adequacy, and poor regulation of merchant bankers and underwriters. There have been
significant reforms in the regulation of the securities market since 1992 in conjunction
with overall economic and financial reforms. In 1992, the SEBI Act was enacted giving
SEBI statutory status as an apex regulatory body. And a series of reforms was introduced
to improve investor protection, automation of stock trading, integration of national
markets, and efficiency of market operations. India has seen a tremendous change in the
secondary market for equity. Its equity market will most likely be comparable with the
worlds most advanced secondary markets within a year or two. The key ingredients that
underlie market quality in Indias equity market are:
Exchanges based on open electronic limit order book
Nationwide integrated market with a large number of informed traders and
fluency of short or long positions.
No counterparty risk.
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Among the processes that have already started and are soon to be fully
implemented are electronic settlement trade and exchange-traded derivatives.
Before 1995, markets in India used open outcry, a trading process in which traders
shouted and hand signaled from within a pit. One major policy initiated by SEBI from
1993 involved the shift of all exchanges to screen-based trading, motivated primarily by
the need for greater transparency. The first exchange to be based on an open electronic
limit order book was the National Stock Exchange (NSE), which started trading debt
instruments in June 1994 and equity in November 1994. In March 1995, BSE shifted
from open outcry to a limit order book market. Currently, 17 of Indias stock exchanges
have adopted open electronic limit order. Before 1994, Indias stock markets were
dominated by BSE in other parts of the country.
Recent Developments and Policy Issues.
Financial industry did not have equal access to markets and was unable to
participate in forming prices, compared with market participants in Mumbai (Bombay).
As a result, the prices in markets outside Mumbai were often different from prices in
Mumbai. These pricing errors limited order flow to these markets.
Explicit nationwide connectivity and implicit movement toward one national
market has changed this situation. NSE has established satellite communications which
give all trading members of NSE equal access to the market. Similarly, BSE and the
Delhi Stock Exchange are both expanding the number of trading terminals located all
over the country. The arbitrages are eliminating pricing discrepancies between markets.
The Indian capital market still faces many challenges if it is to promote more efficient
allocation and mobilization of capital in the economy.
Firstly, market infrastructure has to be improved as it hinders the efficient flow ofinformation and effective corporate governance. Accounting standards will have to adapt
to internationally accept accounting practices. The court system and legal mechanism
should be enhanced to better protect small shareholders rights and their capacity to
monitor corporate activities.
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Secondly, the trading system has to be made more transparent. Market
information is a crucial public good that should be disclosed or made available to all
participants to achieve market efficiency. SEBI should also monitor more closely cases of
insider trading.
Thirdly, India may need further integration of the national capital market
through consolidation of stock exchanges. The trend all over the world is to consolidate
and merge existing stock exchanges. Not all of Indias 22 stock exchanges may be able to
justify their existence. There is a pressing need to develop a uniform settlement cycle and
common clearing system that will bring an end to unnecessary speculation based on
arbitrage opportunities.
Fourthly, the payment system has to be improved to better link the banking and
securities industries. Indias banking system has yet to come up with good electronic
funds transfer (EFT) solutions. EFT is important for problems such as direct payments of
dividends through bank accounts, eliminating counterparty risk, and facilitating foreign
institutional investment. The capital market cannot thrive alone; it has to be integrated
with the other segments of the financial system. The global trend is for the elimination of
the traditional wall between banks and the securities market. Securities market
development has to be supported by overall macroeconomic and financial sector
environments. Further liberalization of interest rates, reduced fiscal deficits, fully market-
based issuance of Government securities and a more competitive banking sector will help
in the development of a sounder and a more efficient capital market in India. Capital
Market Reforms and Developments Reforms in the Capital Market Over the last few
years, SEBI has announced several far-reaching reforms to promote the capital market
and protect investor interests.
Reforms in the secondary market have focused on three main areas
structure and functioning of stock exchanges,
automation of trading and post trade systems,
And the introduction of surveillance and monitoring systems. Computerized
online trading of securities.
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And settings up of clearing houses or settlement guarantee funds were made
compulsory for stock exchanges.
Stock exchanges were permitted to expand their trading to locations outside their
jurisdiction through computer terminals. Thus, major stock exchanges in India have
started locating computer terminals in far-flung areas, while smaller regional exchanges
are planning to consolidate by using centralized trading under a federated structure.
Online trading systems have been introduced in almost all stock exchanges. Trading
is much more transparent and quicker than in the past. Until the early 1990s, the trading
and settlement infrastructure of the Indian capital market was poor. Trading on all stock
exchanges was through open outcry, settlement systems were paper-based, and market
intermediaries were largely unregulated.
The regulatory structure was fragmented and there was neither comprehensive
registration nor an apex body of regulation of the securities market. Stock exchanges
were run as brokers clubs as their management was largely composed of brokers. There
was no prohibition on insider trading, or fraudulent and unfair trade practices. Since
1992, there has been intensified market reform, resulting in a big improvement in
securities trading, especially in the secondary market for equity. Most stock exchanges
have introduced online trading and set up clearing houses/corporations. A depository hasbecome operational for scrip less trading and the regulatory structure has been overhauled
with most of the powers for regulating the capital market vested with SEBI. The Indian
capital market has experienced a process of structural transformation with operations
conducted to standards equivalent to those in the developed markets. It was opened up for
investment by foreign institutional investors (FIIs) in 1992 and Indian companies were
allowed to raise resources abroad through Global Depository Receipts (GDRs) and
Foreign Currency Convertible Bonds (FCCBs). The primary and secondary segments of
the capital market expanded rapidly, with greater institutionalization and wider
participation of individual investors accompanying this growth. However, many
problems, including lack of confidence in stock investments, institutional overlaps, and
other governance issues, remain as obstacles to the improvement of Indian capital market
efficiency.
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PRIMARY MARKET
Since 1991/92, the primary market has grown fast as a result of the removal of
investment restrictions in the overall economy and a repeal of the restrictions imposed by
the Capital Issues Control Act. In 1991/92, Rs62.15 billion was raised in the primary
market. This figure rose to Rs276.21 billion in 1994/95. Since 1995/1996, however,
smaller amounts have been raised due to the overall downtrend in the market and tighter
entry barriers introduced by SEBI for investor protection .SEBI has taken several
measures to improve the integrity of the secondary market. Legislative and regulatory
changes have facilitated the corporatization of stockbrokers. Capital adequacy norms
have been prescribed and are being enforced. A mark-to-market margin and intraday
trading limit have also been imposed. Further, the stock exchanges have put in place
circuit breakers, which are applied in times of excessive volatility. The disclosure of short
sales and long purchases is now required at the end of the day to reduce price volatility
and further enhance the integrity of the secondary market.
MARK-TO-MARKET MARGIN AND INTRADAY LIMIT
Under the current clearing and settlement system, if an Indian investor buys and
subsequently sells the same number of shares of stock during a settlement period, or sells
and subsequently buys, it is not necessary to take or deliver the shares. The difference
between the selling and buying prices can be paid or received. In other words, the
squaring-off of the trading position during the same settlement period results in non
delivery of the shares that the investor traded.
Thus, possible at a relatively low cost. FIIs and domestic institutional investors are,
however, not permitted to trade without delivery, since no delivery transactions are
limited only to individual investors. One of SEBIs primary concerns is the risk of
settlement chaos that may be caused by an increasing number of no delivery transactions
as the stock market becomes excessively speculative.
Accordingly, SEBI has introduced a daily mark-to-market margin and intraday
trading limit. The daily mark-to-market margin is a margin on a brokers daily position.
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The intraday trading limit is the limit to a brokers intraday trading volume. Every broker
is subject to these requirements.
Each stock exchange may take any other measures to ensure the safety of the
market. BSE and NSE impose on members a more stringent daily margin, including one
based on concentration of business. A daily mark-to-market margin is 100 percent of the
notional loss of the stockbroker for every stock, calculated as the difference between
buying or selling price and the closing price of that stock at the end of that day. However,
there is a threshold limit of 25 percent of the base minimum capital plus additional capital
kept with the stock exchange or Rs1 million, whichever is lower. Until the notional loss
exceeds the threshold limit, the margin is not payable.
This margin is payable by a stockbroker to the stock exchange in cash or as a bank
guarantee from a scheduled commercial bank, on a net basis. It will be released on the
pay-in day for the settlement period. The margin money is held by the exchange for 6-12
days. This cost the broker about 0.4-1.2 percent of the notional loss, assuming that the
brokers funding cost is about 24-36 percent (Endo 1998).
Thus, speculative trading without the delivery of shares is no longer
cost-free. Each brokers trading volume during a day is not allowed to exceed the
intraday trading limit. This limit is 33.3 times the base minimum capital deposited with
the exchange on a gross basis, i.e., purchase plus sale. In the event of brokers wishing to
exceed this limit, they have to deposit additional capital with the exchange and this
cannot be withdrawn for six months.
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INDUSTRY PROFILE
Stock exchange is an organized market place where securities are traded. These securities
are issued by the government, semi-government bodies, public sector undertakings and
companies for borrowing funds and raising resources. Securities are defined as any
monetary claims (promissory notes or I.O.U) and also include shares, debentures, bonds
and etc., if these securities are marketable as in the case of the government stock, they are
transferable by endorsement and alike movable property. They are tradable on the stock
exchange. So, are the case shares of companies.
Under the Securities Contract Regulation Act of 1956, securities trading is
regulated by the Central Government and such trading can take place only in stock
exchanges recognized by the government under this Act. As referred to earlier there are
at present 23 such recognized stock exchanges in India. Of these, major stock exchanges,
like Bombay Stock Exchange, National Stock Exchange, Inter-Connected Stock
Exchange, Calcutta, Delhi, Chennai, Hyderabad and Bangalore etc. are permanently
recognized while a few are temporarily recognized. The above act has also laid down that
trading in approved contract should be done through registered members of the exchange.
As per the rules made under the above act, trading in securities permitted to be traded
would be in the normal trading hours (10 A.M to 3.30 P.M) on working days in thetrading ring, as specified for trading purpose.Contracts approved to be traded are the
following:
Spot delivery deals are for deliveries of shares on the same day or the next day as
the payment is made.
Hand deliveries deals for delivering shares within a period of 7 to 14 days from
the date of contract.
Delivery through clearing for delivering shares with in a period of two months
from the date of the contract, which is now reduce to 15 days.(Reduced to 2 days in
demat trading)
Special Delivery deals for delivering of shares for specified longer periods as may
be approved by the governing board of the stock exchange.
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Except in those deals meant for delivery on spot basis, all the rest are to be put
through by the registered brokers of a stock exchange. The securities contracts
(Regulation) rules of 1957 laid down the condition for such trading, the trading hours,
rules of trading, settlement of disputes, etc. as between the members and of the members
with reference to their clients.
HISTORY OF STOCK EXCHANGES IN INDIA
The origin of the Stock Exchanges in India can be traced back to the later half of 19th
century. After the American Civil War (1860-61) due to the share mania of the public,
the number of brokers dealing in shares increased. The brokers organized an informal
association in Mumbai named The Native Stock and Share Brokers Association in
1875.later evolved as Bombay stock exchange. Increased activity in trade and commerce
during the First World War and Second World War resulted in an increase in the stock
trading. The Growth of Stock Exchanges suffered a set after the end of World War.
Worldwide depression affected those most of the Stock Exchanges in the early stages had
a speculative nature of working without technical strength. After independence,
government took keen interest to regulate the speculative nature of stock exchange
working. In that direction, securities and Contract Regulation Act 1956 was passed, this
gave powers to Central Government to regulate the stock exchanges. Further to develop
secondary markets in the country, stock exchanges established at Mumbai, Chennai,
Delhi, Hyderabad, Ahmedabad and Indore. The Bangalore Stock Exchange was
recognized in 1963. At present there are 23 Stock Exchanges. Till recent past, floor
trading took place in all Stock Exchanges. In the floor trading system, the trade takes
place through open outcry system during the official trading hours. Trading posts are
assigned for different securities whereby and sell activities of securities took place. This
system needs a face to face contact among the traders and restricts the trading
volume. The speed of the new information reflected on the prices was rather than the
investors. The Setting up of NSE and OTCEI (Over the counter exchange of India with
the screen based trading facility resulted in more and more Sock exchanges turning
towards the computer based trading. BSE introduced the screen based trading system in
1995, which known as BOLT (Bombay on line Trading. System) Madras Stock
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Exchange introduced Automated Network Trading System (MANTRA) on October 7,
1996 Apart from Bombay Stock Exchanges have introduced screen based trading.
FUNCTION OF STOCK EXCHANGE
MAINTAIN ACTIVE TRADING:-. Shares are traded on the stock exchanges,
enabling the investors to buy and sell securities. The prices may vary from transaction to
transaction. A continuous trading increases the liquidity or marketability of the shares
traded on the stock exchanges
Fixation of Prices: Price is determined by the transactions that flow from investors
demand and the suppliers preferences. Usually the traded prices are made known to the
public. This helps the investors to make the better decision.
Ensures safe and fair dealings: The rules, regulations and bylaws of the Stock
Exchanges provide a measure of safety to the investors. Transactions are conducted
under competitive conditions enabling the investors to get a fair deal.
Aids in financing the Industry: A continuous market for shares provides a
favorable climate for raising capital. The negotiability and transferability of the
securities, investors are willing to subscribe to the initial public offering (IPO). Thisstimulates the capital formation.
Dissemination of Information: Stock Exchanges provide information through their
various publications. They publish the share prices traded on their basis along with the
volume traded. Directory of Corporate Information is useful for the investors
assessment regarding the corporate. Handouts,handbooks and pamphlets provide
information regarding the functioning of the Stock Exchanges.
Performance Inducer: The prices of stocks reflect the performance of the traded
companies. This makes the corporate more concerned with its public image and tries to
maintain good performance.
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Self-regulating organization:
The Stock Exchanges monitor the integrity of the members, brokers, listed companies
and clients. Continuous internal audit safeguards the investors against unfair trade
practices. It settles the disputes between member brokers, investors and brokers.
REGULATORY FRAME WORK
This Securities Contract Regulation Act, 1956 and Securities and Exchange board of
India (SEB1) Act, 1992, provides a comprehensive legal framework. A 3-tier regulatory
structure comprising the ministry of finance, SEB1 and the Governing Boards of the
Stock Exchanges regulates the functioning of Stock Exchanges.
Ministry of finance
The Stock Exchange division of the Ministry of Finance has powers
related to the application of the provision of the SCR Act and licensing
of dealers in the other area. According to SEBI Act, The Ministry of
Finance has the appellate and the supervisory power over the SEBI. It
has powered to grant recognition to the Stock Exchange and regulation
of their operations. Ministry of Finance has the power to approve theappointments of executives chiefs and the nominations of the public
representatives in the government Boards of the Stock Exchanges. It
has the responsibility of preventing undesirable speculation.
The Securities and Exchange Board of India
The Securities and Exchange Board of India even though established in
the year 1988. Received statutory powers only on 30th January 1992.Under the SEBI Act, a wide variety of powers are vested in the hands of
SEBI. SEBI has the powers to regulate the business of Stock
Exchanges, other security and mutual funds. Registration and
regulation of market intermediaries are also carried out by SEBI. It has
responsibility to prohibit the fraudulent unfair trade practices and
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insider dealings. Takeovers are also monitored by the SEBI has the
multi pronged duty to promote the healthy growth of the capital
market and protect the investors.
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The Governing Board of Stock Exchanges:
The Governing Board of the Stock Exchange consists of elected members of directors,
government nominees and public representatives. Rules, by laws and regulations of the
Stock Exchange substantial powers to the executive director for maintaining efficient and
smooth day-to day functioning of Stock Exchange. The Governing Board has the
responsibility to maintain and orderly and well-regulated market.
The Governing body of the Stock Exchange consists of 13 members of which
Six members of the Stock Exchange are elected by the members of the Stock
Exchange.
Central Government nominates not more than three members.
The board nominates three public representatives.
SEBI nominates persona not exceeding three and
The Stock Exchange appoints one Executive Director.
One third of the elected members retire at annual general meeting (AGM). The retired
member can offer himself for election if he is not elected for two consecutive years. If a
member serves in the governing body for two years consecutively, he should refrain
offering himself for another two years.
The members of the governing body elect the president and vice-president. It needs to
approval from the Central Government or the Board. The office tenure for the president
and vice-president is on year. They can offer themselves for re-election, if they have not
held for two consecutive years. In that case they can offer themselves for re-election after
a gap of one-year period.
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NATIONAL STOCK EXCHANGE
The National Stock Exchange (NSE) of India became operational in the capital market
segment on third November 1994 in Mumbai. The genesis of the NSE lies in the
recommendations of the pherwani committee (1991). Apart from the NSE. It had
recommended for the establishment of National Stock market System also. The
committee pointed out some major defects in the Indian stock market.
The defects specified are.
Lack of liquidity in most of the markets in terms of depth and breadth.
Lack of ability to develop markets for debt.
Lack of infrastructure facilities and outdated trading system.
Lack of transparency in the operations that affect investors confidence.
Outdated settlement system that are inadequate to cater to the growing volume,
leading to delays.
Lack of single market due to the inability of various stock exchanges to function
cohesively with legal structure and regulatory framework.
These factors led to the establishment of the NSE.
The main objectives of NSE are as follows
To establish a nationwide trading facility for equities, debt and hybrid instruments
To ensure equal access investors all over the country through appropriate
communication network.
To provide a fair, efficient and transparent securities market to investors using an
electronic communication network.
To enable shorter settlement cycle and book entry settlement system.
To meet current international standards of securities market.
Promoters of NSE: IDBI, ICICI, IFCI, LIC, GIC, SBI, Bank of Baroda. Canara Bank,
Corporation Bank, Indian Bank, Oriental Bank of Commerce. Union Bank of India,
Punjab National Bank, Infrastructure Leasing and Financial Services, Stock Holding
Corporation of India and SBE capital market are the promoters of NSE.
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MEMBERSHIP
Membership is based on factors such as capital adequacy, corporate structure, track
record, education, experience etc. Admission is a two-stage process with applicants
requiring going through a written examination followed by an interview. A committee
consisting of experienced people from the industry to assess the applicants capability to
operate as an exchange member, interviews candidates. The exchange admits members
separately to Wholesale Debt Market (WDM) segment and the capital market segment.
Only corporate members are admitted on the debt market segment whereas individuals
and firms are also eligible on the capital market segment. Eligibility criteria for trading
membership on the segment of WDM are as follows.
The persons eligible to become trading members are bodies corporate, companies
Institutions including subsidiaries of banks engaged in financial services and such
other
Persons or entities as may be permitted form time to time by RBI/SEBI.
The whole-time directors should possess at least two years experience in any
activity related to banking or financial services or treasury.
The applicant must possess a minimum net worth of Rs.2 cores.
The applicant must be engaged solely in the business of securities and must not be
engaged in any fund-based activities.
The securities market achieves one of the most important functions of channeling idle
resources to productive resources or from less productive resources to more productive
resources. Hence in the broader context the people who save and investors who invest
focus more towards the economys abilities to invest and save respectively. This
enhances savings and investments in the economy, the two pillars for economic growth.
The Indian Capital Market has come a long way in this process and with a strong
regulator it has been able to usher an era of a modern capital market regime. The past
decade in many ways has been remarkable for securities market in India. It has grown
exponentially as measured in terms of amount raised from the market, the number of
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listed stocks, market capitalization, trading volumes and turnover on stock exchanges,
and investor population. The market has witnessed fundamental institutional changes
resulting in drastic reduction in transaction costs and significant improvements in
efficiency, transparency and safety.
Dependence on Securities Market
Three main sets of entities depend on securities market- the corporate, the government &
households. While the corporate and governments raise resources from the securities
market to meet their obligations, the households invest their savings in securities.
Primary Market & Secondary Market
The securities market comprises two segments- primary market (new issues, offer for
sale) & secondary market (trading of stocks). There are two major types of issuers who
issue securities. The corporate entities issue mainly debt and equity instruments (shares,
debentures, etc.), while the governments (central and state governments) issue debt
securities (dated Securities, treasury bills). The two major exchanges, namely the NSE
and the BSE provide trading of securities.
Laws governing capital market
The four main legislations governing the securities market are:
a) The SEBI Act, 1992 which establishes SEBI to protect investors and develop and
regulate the Markets.
b) The Companies Act, 1956, which sets out the code of conduct for the corporate
sector in relation to issue, allotment and transfer of securities, and disclosures to be made
in public issues.
c) The Securities Contracts (Regulation) Act, 1956, read with the Securities
Contracts (Regulation) Rules, 1957 which provide for regulation of transactions in
securities through control over stock exchanges, and
d) The Depositories Act, 1996 which provides for electronic maintenance and
transfer of ownership of demat securities.
Regulators
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SEBI is the primary regulator of the Securities Market and the entities operating therein.
The SEBI Act and the Depositories Act are mostly administered by SEBI. The rules
under the securities laws are framed by government and regulations by SEBI. All these
are administered by SEBI. The powers under the Companies Act relating to issue and
transfer of securities and non-payment of dividend are administered by SEBI in case of
listed public companies and public companies proposing to get their securities listed
Nifty 50
The 50 stocks that were most favored by institutional investors in the 1960s and 1970s.
Companies in this group were usually characterized by consistent earnings growth and
high P/E ratios. The Nifty-50 stocks got their notoriety in the bull markets of the 1960s
and early 1970s. They became known as "one-decision" stocks because investors were
told. They could buy and hold forever.
Examples of Nifty-50 stocks included General Electric, Coca-Cola, and IBM. However,
part of this list included companies that have been troubled in the last decade, such as
Xerox and Polaroid.
Nifty Junior
The CNX Nifty Junior is an index for companies on the National Stock Exchange of
India. It consists of 50 companies representing approximately 10% of the traded value of
all stocks on theNational Stock Exchange of India. The CNX Nifty Junior is owned and
operated by India Index Services and Products Ltd. It is quoted using the symbol
NSMIDCP.
The CNX Nifty Junior and the S&P CNX Nifty represent the 100 most liquid
commodities traded on the National Stock Exchange of India. Together, they form a
disjoint set; that is to say, no one company can be listed on both indices simultaneously.
Equity
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Stock or any other security representing an ownership interest.
On the balance sheet, the amount of the funds contributed by the owners (the
stockholders) plus the retained earnings (or losses). Also referred to as "shareholder's
equity. In the context of margin trading, the value of securities in a margin account
minus what has been borrowed from the brokerage. In the context of real estate, the
difference between the current market value of the property and the amount the owner
still owes on the mortgage. Thus, it is the amount, if any; the owner would receive after
selling a property and paying off the mortgage.
Equity is a term whose meaning depends very much on the context. In general,
you can think of equity as ownership in any asset after all debts associated with that asset
are paid off. For example, a car or house with no outstanding debt is considered the
owner's equity since he or she can readily sell the items for cash. Stocks are equity
because they represent ownership of a company, whereas bonds are classified as debt
because they represent an obligation to pay and not ownership of assets.
Market Value
The current quoted price at which investors buy or sell a share of common stock
or a bond at a given time. Also known as "market price The market capitalization plus
the market value of debt. Sometimes referred to as "total market value".
In the context of securities, market value is often different from book value because the
market takes into account future growth potential. Most investors who use fundamental
analysis to pick stocks look at a company's market value and then determine whether or
not the market value is adequate or if it's undervalued in comparison to its book value, net
assets or some other measure.
Stock
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A type of security that signifies ownership in a corporation and represents a claim on part
of the corporations assets and earnings. There are two main types of stock: common and
preferred. Common stock usually entitles the owner to vote at shareholders' meetings and
to receive dividends. Preferred stock generally does not have voting rights, but has a
higher claim on assets and earnings than the common shares. For example, owners of
preferred stock receive dividends before common shareholders and have priority in the
event that a company goes. Bankrupt and is liquidated. Also known as
"shares" or "equity".
A holder of stock (a shareholder) has a claim to a part of the corporation's assets and
earnings. In other words, a shareholder is an owner of a company. Ownership is
determined by the number of shares a person owns relative to the number of outstanding
shares. For example, if a company has 1,000 shares of stock outstanding and one person
owns 100 shares, that person would own and have. Claim to 10% of the companys assets
Stocks are the foundation of nearly every portfolio. Historically, they have outperformed
most other investments over the long run.
Shareholder
Any person, company, or other institution that owns at least 1 share in a company. A
shareholder may also be referred to as a stockholder.
Shareholders are the owners of a company. They have the potential to profit if the
company does well, but that comes with the potential to lose if the company does poorly.
Share
A unit of ownership interest in a corporation or financial asset. While owning shares in
a business does not mean that the shareholder has direct control over the business's day-
to-day operations, being a shareholder does entitle the possessor to an equal distribution
in any profits, if any are declared in the form of dividends. The two main types of shares
are common shares and preferred shares.
In the past, shareholders received a physical paper stock certificate that indicated that
they owned "x" shares in a company. Today, brokerages have electronic records that
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show ownership details. Owning a paperless share makes conducting trades a simpler and
more streamlined process, which is a far cry from the days were stock certificates needed
to be taken to a. Brokerage before a trade could be conducted. While shares
are often used to refer to the stock of a corporation, shares can also represent ownership
of other classes of financial assets, such as mutual funds.
Risk- Risk is defined as uncertainty in outcomes
The chance that an investment's actual return will be different than expected. This
includes the possibility of losing some or all of the original investment. It is usually
measured by calculating the standard deviation of the historical returns or average
returns of a specific investment. A fundamental idea in finance is the relationship
between risk and return. The greater the amount of risk that an investor is willing to take
on, the greater the potential return. The reason for this is that investors need to. be
compensated for taking on additional risk
Stock Option
A privilege, sold by one party to another, that gives the buyer the right, but not the
obligation, to buy (call) or sell (put) a stock at an agreed-upon price within a. certain
period or on a specific date. In the U.K., it is known as a "share option. American
options can be exercised anytime between the date of purchase and the expiration date.
European options may only be redeemed at the expiration date. Most exchange-traded
stock options are American.
Security
An instrument representing ownership (stocks), a debt agreement (bonds), or the rights to
ownership (derivatives).A security is essentially a contract that can be assigned a value
Andrade.
Examples of a security include a note, stock, preferred share, bond, debenture, option,
future, swap, right, warrant, or virtually any other financial asset.
Closing Price
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The final price at which a security is traded on a given trading day. The closing price
represents the most up-to-date valuation of a security until trading commences again on
the next trading day.
CHAPTER-3
REVIEW
OF
LITERATURE
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REVIEW OF LITERATURE
Dunn and Theisen (1983) rank the annual performance of 201 institutional portfolios
for the period 1973 through 1982 without controlling for fund risk. They found noevidence that funds performed within the same quartile over the ten-year period. They
also found that ranks of individual managers based on 5-year compound returns revealed
no consistency.
Grinblatt and Titman (1992) analyze performance of 279 funds over the period of 1975
to 1984 using a benchmark technique and find evidence that performance differences
between funds persists over time.
Hendricks, Patel, and Zeckhauser (1993) study 165 no-load growth-oriented funds
over the period 1974 to 1988 and obtain similar results. In a study of 728 mutual fund
returns over the period 1976 to 1988.
Volkman and Wohar (1995) extend this analysis to examine factors that impact
performance persistence. Their data consists of 322 funds over the period 1980 to 1989,
and shows performance persistence is negatively related to size and negatively related to
levels of management fees.
Bauman and Miller (1995) studied the persistence of pension and investment fund
performance by type of investment organization and investment style. They employed a
quartile ranking technique because they noted that "investors pay particular attention to
consultants' and financial periodicals' investment performance rankings of mutual funds
and pension funds" (Bauman & Miller, 1995, p. 79). They found that portfolios managed
by investment advisors showed more consistent performance (measured by quartile
rankings) over market cycles and that funds managed by banks and insurance companies
showed the least consistency. They suggest that this result may be caused by a higher
turnover in the decision-making structure in these less consistent funds. This study
controls for the effects of turnover of key decision makers by restricting the sample to
those funds with the same manager for the entire period of study.
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Kahn and Rudd 1995 study of 300 equity funds and 195 bond funds between 1983 and
1993, only the bond funds show evidence of persistence.
Car hart (1997) shows that expenses and common factors in stock returns such as beta,
market capitalization, one-year return momentum, and whether the portfolio is value or
growth oriented "almost completely" explain short term persistence in risk-adjusted
returns. He concludes that his evidence does not "support the existence of skilled or
informed mutual fund portfolio managers".
Detzel and Weigand (1998) use a regression residual technique to control for the effects
of investment style, size and expense ratios. They find, after controlling for these
variables, no evidence of performance persistence.
Mishra (2002) measured mutual fund performance using lower partial moment. In this
paper, measures of evaluating portfolio performance based on lower partial moment are
developed. Risk from the lower partial moment is measured by taking into account only
those states in which return is below a pre-specified target rate like risk-free rate.
Jack L. Treynor has suggested a new predictor of mutual fund performance, one that
differs from virtually all those used previously by incorporating the volatility of a fund's
return in a simple yet meaningful manner.
S.Narayan Rao evaluated performance of Indian mutual funds in a bear market through
relative performance index, risk-return analysis, Treynors ratio, Sharpes ratio, Sharpes
measure , Jensens measure, and Famas measure. The study used 269 open-ended
schemes (out of total schemes of 433) for computing relative performance index. Then
after excluding funds whose returns are less than risk-free returns, 58 schemes are finally
used for further analysis. The results of performance measures suggest that most of
mutual fund schemes in the sample of 58 were able to satisfy investors expectations by
giving excess returns over expected returns based on both premium for systematic risk
and total risk.
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CHAPTER-4
RESEARCH
METHODOLOGY
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RESEARCH METHODOLOGY
Research project has a specified framework for collecting the data in an effect manner.
Such framework is called Research Design. The research process consisted of
following steps:
Developing the Research Plan:
It is very important to researching anything to know about its main sources where we get
the main information regarding the research plan. The development of research plan has
following steps:
Data Sources:
There are two types of data were taken into consideration i.e. Secondary data and primary
data. The secondary data has been used to make the analysis because lack of sufficient
time and resources to collect the primary data.
Secondary Data:
Secondary data is that data which is already existed. This is indirect collection of data
from sources containing past or recent past information like:-
Annual reports,
Balance sheet,
Books,
Newspapers and Magazines
and Other companys publications.
Research Design-:Research design specifies the methods and procedures for
conducting a particular study. A research design is the arrangement of conditions for
collection and analysis of the data in a manner that aims to combine relevance to the
research purpose with economy in procedure. Research design is broadly classified into
three types as
Exploratory Research Design
Descriptive Research Design
Causal Research Design
I have chosen the descriptive research design.
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DESCRIPTIVE RESEARCH DESIGN:
Descriptive research studies are those studies which are concerned with described the
characteristics of particular individual. In descriptive as well as in diagnostic studies, the
researcher must be able to define clearly, what he wants to measure and must find
adequate methods for measuring it along with a clear cut definition of population he want
to study. Since the aim is to obtain complete and accurate information in the said studies,
the procedure to be used must be carefully planned. The research design must make
enough provision for protection against bias and must maximize reliability, with due
concern for the economical completion of the research study.
NEED OF THE STUDY
Stock Markets have existed in India for a very long time yet the professionals in the field
of finance talking negatively about these instruments. The reason why I bring it up again
is that it is very important to understand what the old system was verse the new the old
system were based on trust. They were closed group system and hence deviation from
truly competitive markets. Such closed groups are vulnerable to problem when the
demand of the economy reach beyond the capacity of the group and group has expended
without open and transparent criteria for entry, the net work of trust gets disrupted, with
the result that the system is disrupted by frauds. On the other hand, the modern market
place of Stock Markets, having well developed risk management, transparent rules for
entry and stringent regulation, is faceless. That the old type system had to transform into
a new is definitely clear they have played a very important role in the past. In is merely
that had to modern markets to keep up with the demand of the times.
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OBJECTIVE OF THE STUDY
The objectives aim to highlight the reasons how important is the financial system and
financial statement for an organization or company. There are various objectives of the
study are as follows:
1. The main objective of this project is to analyze the price fluctuations of various
companies.
2. To observe the relation between Returns and Risk in the yearly fluctuations in
prices.
SCOPE OF THE STUDY
The present study has been undertaken to observe the risk and returns associated with few
selected stocks. The scope of the study consists of 15 Company stocks from different
sectors like infrastructure, Pharmacy, Automobile, Power, Public Sector and Energy etc.,
the scope of the study is confined to 50 Companies
LIMITATIONS
This project report data collected from secondary sources only.
This project analysis report may not be applicable in all equity markets.
Project took only 15 companies of NSE for equity analysis. It will not applicable
to total NSES Nifty Index.
The accuracy of the study is based on the accuracy of the data presented in the
NSE listings.
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Detailed study of topic was not possible due to limited size of the project. The
time taken for the study is limited.
CHAPTER-5
DATA ANALYSIS
&
INTERPRETATION
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ABB RETURNS FOR THE YEAR 2011
Month Start End Returns Avg.Ret
Std.
Deviation Variance
January 454 485.15
0.06861233
5 0.054568
0.01404433
5 0.000197243
February 471.05 367.2 -0.22046492 0.054568 -0.27503292 0.075643106
March 370 426.7
0.15324324
3 0.054568
0.09867524
3 0.009736804
April 426.15 487
0.14279009
7 0.054568
0.08822209
7 0.007783138
May 490 650.95
0.32846938
8 0.054568
0.27390138
8 0.07502197
June 666 778.4
0.16876876
9 0.054568
0.11420076
9 0.013041816
July 780 700.6 -0.10179487 0.054568 -0.15636287 0.024449348
August 695 758.7
0.09165467
6 0.054568
0.03708667
6 0.001375422
September 764.95 784.45
0.02549186
2 0.054568 -0.02907614 0.000845422
October 785.1 769.55 -0.01980639 0.054568 -0.07437439 0.00553155
November 745.35 741.05 -0.0057691 0.054568 -0.0603371 0.003640566
December 749.4 767.1 0.02361889 0.054568 -0.0309491 0.000957847
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5
Total
0.65481397
9 0.218224232
Standard Deviation 0.134853
CALCULATION OF BETA
Price ofShare
Return (x) X2 Sensex y y2 xy
232.47518327.7
6
218.25
-0.0611
90.0037441
4 17823.4
-0.027518
90.000757
290.0016
84
225.20.0318
440.0010140
5419445.2
20.090993
860.008279
8830.0028
98
288.4250.2807
50.0788208
1219135.9
6
-0.015904
20.000252
942
-0.0044
7
356.2250.2350
70.0552577
9918503.2
8
-0.033062
40.001093
12
-0.0077
7
381.5250.0710
230.0050441
9918845.8
70.018515
10.000342
8090.0013
15
434.075
0.1377
37
0.0189714
03 18197.2
-0.034419
7
0.001184
719
-0.0047
4
522.4250.2035
360.0414270
0716676.7
5
-0.083554
10.006981
281
-0.0170
1
576.550.1036
030.0107336
6216453.7
6
-0.013371
30.000178
792
-0.0013
9
604.950.0492
590.0024264
0217705.0
10.076046
450.005783
0620.0037
46
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616.0250.0183
070.0003351
5716123.4
6
-0.089327
80.007979
46
-0.0016
4
655.6250.0642
830.0041323
1815454.9
2
-0.041463
80.001719
247
-0.0026
7
Sum1.134
2230.221906
953194364
.83
-0.15306
680.034552
606
-0.030
03
=nXY(x)(y)/nx2(x)2
-1.613265
8
From the analysis we find that the value of beta is -.6132658 and beta is here
negative it shows that the return of sensex and return of stock have the
negative relationship.
This also indicate that if sensex is increase by 10% then stock is decreased
by around 6%
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BHARATI AIRTEL RETURNS FOR THE YEAR 2011
Month Start End Returns Avg.Ret
Std.
Deviation Variance
January 715 633.95 -0.11335664 -0.0495 -0.06385664 0.004077671
February 629.7 638.5
0.01397490
9 -0.0495
0.06347490
9 0.004029064
March 632.7 625.75 -0.01098467 -0.0495
0.03851533
1 0.001483431
April 626.4 752.75
0.20170817
4 -0.0495
0.25120817
4 0.063105547
May 765.35 820.15
0.07160122
8 -0.0495
0.12110122
8 0.014665507
June 870 802.15 -0.07798851 -0.0495 -0.02848851 0.000811595
July 803.15 410.1 -0.48938554 -0.0495 -0.43988554 0.193499292
August 418 424.6
0.01578947
4 -0.0495
0.06528947
4 0.004262715
September 418.65 418.75
0.00023886
3 -0.0495
0.04973886
3 0.002473954
October 426 292.85 -0.31255869 -0.0495 -0.26305869 0.069199872
November 292 299.55
0.02585616
4 -0.0495
0.07535616
4 0.005678552
December 304.9 329.75
0.08150213
2 -0.0495
0.13100213
2 0.017161559
Total -0.5936031 0.380448759
Standard Deviation 0.1780563
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CALCULATION OF BETA
Price ofShare
Return (x) X2
Sensex y y2 xy
674.47518327.
76
634.1
-0.0598
60.0035
8317823.
4
-0.0275
20.0007
570.0016473
2
629.225
-0.0076
95.91E-
0519445.
220.0909
940.0082
8
-0.0006995
66
689.5750.0959
120.0091
9919135.
96-
0.01590.0002
53
-0.0015253
95
792.750.1496
210.0223
8618503.
28
-0.0330
60.0010
93
-0.0049468
28
836.0750.0546
520.0029
8718845.
870.0185
150.0003
430.0010118
78
606.625
-0.2744
40.0753
1618197.
2
-0.0344
20.0011
850.0094460
54
421.3-
0.30550.0933
3116676.
75
-0.08355
0.006981
0.025525913
418.7
-0.0061
73.81E-
0516453.
76
-0.0133
70.0001
798.25194E-
05
359.425
-0.1415
70.0200
4217705.
010.0760
460.0057
83
-0.0107658
3
295.775
-0.1770
90.0313
616123.
46
-0.0893
30.0079
790.0158189
22
317.3250.0728
590.0053
0815454.
92
-0.0414
60.0017
19
-0.0030210
29
Sum
-0.599
270.263
61119436
4.8
-0.153
070.034
5530.032573
957
=nXY-(x)(y)/nx2- -
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(x)20.0030
1
From the analysis we find that the value of beta is -0.00301. and beta is here
negative it shows that the return of sensex and return of stock have the
negative relationship.
This also indicate that if sensex is increase by 10% then stock is decreased
by around 0.03%
BHEL RETURNS FOR THE YEAR 2011
Month Start End Returns Avg.Ret
Std.
Deviation Variance
January 1372 1320.8 -0.03731778 0.049991 -0.08730878 0.007622824
February 1315 1403.85 0.06756654 0.049991 0.01757554 0.0003089
March 1385 1510.55
0.09064981
9 0.049991
0.04065881
9 0.00165314
April 1520 1655.7
0.08927631
6 0.049991
0.03928531
6 0.001543336
May 1703.65 2178.15
0.27851964
9 0.049991
0.22852864
9 0.052225343
June 2134.6 2204.05 0.03253537 0.049991 -0.01745563 0.000304699
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July 2229 2230.3
0.00058322
1 0.049991 -0.04940778 0.002441129
August 2250 2309.5
0.02644444
4 0.049991 -0.02354656 0.00055444
September 2319 2328.85 0.00424752 0.049991 -0.04574348 0.002092466
October 2301 2217.8 -0.03615819 0.049991 -0.08614919 0.007421683
November 2209.95 2243.75
0.01529446
4 0.049991 -0.03469654 0.00120385
December 2249.75 2403.3
0.06825202
8 0.049991
0.01826102
8 0.000333465
Total
0.59989339
5 0.077705274
Standard Deviation 0.08047
CALCULATION OF BETA
Price ofShare
Return (x) X2
Sensex y y2 xy
1346.418327.
76
1359.4250.0096
749.36E-
0517823.
4
-0.0275
20.0007
57
-0.0002662
16
1447.7750.0649
910.0042
2419445.
220.0909
940.0082
80.0059137
561587.85 0.0967
520.0093
6119135.
96-
0.01590.0002
53-
0.0015387
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58
1940.90.2223
450.0494
3718503.
28
-0.0330
60.0010
93
-0.0073512
4
2169.3250.1176
90.0138
5118845.
870.0185
150.0003
430.0021790
46
2229.650.0278
080.0007
7318197.
2
-0.0344
20.0011
85
-0.0009571
51
2279.750.0224
70.0005
0516676.
75
-0.0835
50.0069
81
-0.0018774
51
2323.9250.0193
770.0003
7516453.
76
-0.0133
70.0001
79
-0.0002590
98
2259.4
-0.0277
7
0.0007
71
17705.
01
0.0760
46
0.0057
83
-0.0021114
7
2226.85
-0.0144
10.0002
0816123.
46
-0.0893
30.0079
790.0012868
99
2326.5250.0447
610.0020
0415454.
92
-0.0414
60.0017
19
-0.0018559
42
Sum0.583
6950.081
60219436
4.8
-0.153
070.034
553
-0.006837
624
=nXY-(x)(y)/nx2-(x)2
-0.4152
5
From the analysis we find that the value of beta is -0.41525. and beta is here
negative it shows that the return of sensex and return of stock have the
negative relationship.
This also indicate that if sensex is increase by 10% then stock is decreased
by around 4%
CIPLA RETURNS FOR THE YEAR 2011
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Month Start End Returns Avg.Ret
Std.
Deviation Variance
January 187 191.95
0.02647058
8 0.05324 -0.02676941 0.000716601
February 192 191.5 -0.00260417 0.05324 -0.05584417 0.003118571
March 188 220.05
0.17047872
3 0.05324
0.11723872
3 0.013744918
April 218.5 240.75
0.10183066
4 0.05324
0.04859066
4 0.002361053
May 243.05 222.8 -0.08331619 0.05324 -0.13655619 0.018647593
June 225 253.35 0.126 0.05324 0.07276 0.005294018
July 253.35 275.05 0.08565226 0.05324 0.03241226 0.001050555
August 277 270.85 -0.02220217 0.05324 -0.07544217 0.00569152
September 271 279.9
0.03284132
8 0.05324 -0.02039867 0.000416106
October 283 287.1
0.01448763
3 0.05324 -0.03875237 0.001501746
November 284.2 320
0.12596762
8 0.05324
0.07272762
8 0.005289308
December 315.1 335.05
0.06331323
4 0.05324
0.01007323
4 0.00010147
Total
0.63891953
5 0.057933459
Standard Deviation 0.0694823
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CALCULATION OF BETA
Price of
Share
Retur
n (x) X2
Sense
x y y2 xy
189.47518327.
76
191.750.0120
070.0001
4417823.
4
-0.0275
20.0007
57
-0.0003304
16
204.0250.0640
160.0040
9819445.
220.0909
940.0082
80.0058250
31
229.6250.1254
750.0157
4419135.
96-
0.01590.0002
53
-0.0019955
72
232.9250.0143
710.0002
0718503.
28
-0.0330
60.0010
93
-0.0004751
48
239.1750.0268
330.0007
218845.
870.0185
150.0003
430.0004968
09
264.20.1046
310.0109
4818197.
2
-0.0344
20.0011
85
-0.0036013
55
273.9250.0368
090.0013
5516676.
75
-0.0835
50.0069
81
-0.0030755
61
275.45 0.005567 3.1E-05 16453.76
-
0.01337 0.000179 -7.4441E-05
285.050.0348
520.0012
1517705.
010.0760
460.0057
830.0026503
75
302.10.0598
140.0035
7816123.
46
-0.0893
30.0079
79
-0.0053430
6
325.0750.0760
510.0057
8415454.
92
-0.0414
60.0017
19
-0.0031533
63
Sum
0.560
425
0.043
822
19436
4.8
-0.153
07
0.034
553
-0.009076
7
=nXY-(x)(y)/nx2-(x)2
-0.4135
8
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From the analysis we find that the value of beta is -0.41358. and beta is here
negative it shows that the return of sensex and return of stock have the
negative relationship.
This also indicate that if sensex is increase by 10% then stock is decreased
by around 4%
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HCL TECH RETURNS FOR THE YEAR 2011
Month Start End Returns Avg.Ret
Std.
Deviation Variance
January 116.5 116.1 -0.00343348 0.1141 -0.11753348 0.013814118
February 111.15 100.2 -0.09851552 0.1141 -0.21261552 0.045205359
March 98 102.05
0.04132653
1 0.1141 -0.07277347 0.005295978
April 100.55 129.85
0.29139731
5 0.1141
0.17729731
5 0.031434338
May 130.55 166.9 0.27843738 0.1141 0.16433738 0.027006775
June 172 185.95
0.08110465
1 0.1141 -0.03299535 0.001088693
July 186 241
0.29569892
5 0.1141
0.18159892
5 0.032978169
August 242 300
0.23966942
1 0.1141
0.12556942
1 0.01576768
September 299 340.8
0.13979933
1 0.1141
0.02569933
1 0.000660456
October 342 306.25 -0.10453216 0.1141 -0.21863216 0.047800023
November 302.5 337.1
0.11438016
5 0.1141
0.00028016
5 7.84926E-08
December 339.95 371.8
0.09369024
9 0.1141 -0.02040975 0.000416558
Total
1.36902280
8 0.221468225
Standard Deviation 0.1358517
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CALCULATION OF BETA
Price of
Share
Return
(x) X2 Sensex y y2 xy
116.3
18327.7
6
105.675
-
0.09136
0.00834
6 17823.4
-
0.02751891
1
0.00075
7
0.0025140
88
100.025
-
0.05347
0.00285
9
19445.2
2
0.09099386
2 0.00828
-
0.0048650
6
115.2
0.15171
2
0.02301
7
19135.9
6
-
0.01590416
6
0.00025
3
-
0.0024128
5
148.725 0.291016 0.08469 18503.28 -0.03306236 0.001093
-
0.00962166
178.975
0.20339
6 0.04137
18845.8
7
0.01851509
6
0.00034
3
0.0037658
88
213.5
0.19290
4
0.03721
2 18197.2
-
0.03441974
3
0.00118
5
-
0.0066397
1
271
0.26932
1
0.07253
4
16676.7
5
-
0.08355406
3
0.00698
1
-
0.0225028
5
319.9
0.18044
3 0.03256
16453.7
6
-
0.01337131
0.00017
9
-
0.0024127
6
324.125 0.01320 0.00017 17705.0 0.07604644 0.00578 0.0010043
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7 4 1 8 3 65
319.8
-
0.01334
0.00017
8
16123.4
6
-
0.08932782
3
0.00797
9
0.0011919
56
355.875
0.11280
5
0.01272
5
15454.9
2
-
0.04146380
5
0.00171
9
-
0.0046773
2
Sum
1.2566
35
0.3156
64
194364
.8
-
0.1530667
76
0.0345
53
-
0.044655
92
=nXY-(x)(y)/nx2-(x)2
-
2.064826941
From the analysis we find that the value of beta is -2.064826941. and beta is
here negative it shows that the return of sensex and return of stock have the
negative relationship.
This also indicate that if sensex is increase by 10% then stock is decreasedby around 20.6%
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INFOSYS RETURNS FOR THE YEAR 2011
Month Start End Returns Avg.Ret
Std.
Deviation Variance
January 1116 1306.65
0.17083333
3 0.1459
0.02493333
3 0.000621671
February 1292 1231.25 -0.04702012 0.1459 -0.19292012 0.037218174
March 1218 1323.9
0.08694581
3 0.1459 -0.05895419 0.003475596
April 1331.15 1509.250.13379408
8 0.1459 -0.01210591 0.000146553
May 1520.1 1605.1
0.05591737
4 0.1459 -0.08998263 0.008096873
June 1615.35 1776.5
0.09976166
2 0.1459 -0.04613834 0.002128746
July 1770.55 2064.35
0.16593713
8 0.1459
0.02003713
8 0.000401487
August 2064 2131.15
0.03253391
5 0.1459 -0.11336609 0.012851869
September 2139.95 2306.4
0.07778219
1 0.1459 -0.06811781 0.004640036
October 2330 2206.2 -0.05313305 0.1459 -0.19903305 0.039614154
November 2203 2379.35
0.08004993
2 0.1459 -0.06585007 0.004336231
December 2427 2601.1
0.07173465
2 0.1459 -0.07416535 0.005500499
Total 0.87513692 0.11903189
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6
Standard Deviation 0.09959580
CALCULATION OF BETA
Price ofShare
Return (x) X2
Sensex y y2 xy
1211.32518327.
76
1261.6250.0415
250.0017
2417823.
4
-0.027518
9110.0007
57
-0.001142
72
1270.950.0073
915.46E-
0519445.
220.090993
8620.0082
80.000672
559
1420.20.1174
320.0137
919135.
96
-0.015904
1660.0002
53
-0.001867
66
1562.6
0.1002
68
0.0100
54
18503.
28
-0.033062
36
0.0010
93
-0.003315
08
1695.9250.0853
230.0072
818845.
870.018515
0960.0003
430.001579
755
1917.450.1306
220.0170
6218197.
2
-0.034419
7430.0011
85
-0.004495
97
2097.5750.0939
40.0088
2516676.
75
-0.083554
0630.0069
81
-0.007849
06
2223.1750.0598
790.0035
8516453.
76
-0.013371
310.0001
79
-0.000800
66
2268.10.0202
080.0004
0817705.
010.076046
4480.0057
830.001536
715
2291.1750.0101
740.0001
0416123.
46
-0.089327
8230.0079
79
-0.000908
8
2514.050.0972
750.0094
6315454.
92
-0.041463
8050.0017
19
-0.004033
41
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Sum0.764
0350.072
34919436
4.8
-0.153066
7760.034
553
-0.020624
32
=nXY-(x)(y)/nx2-(x)2
-0.8098
5
From the analysis we find that the value of beta is -0.80985 and beta is here
negative it shows that the return of sensex and return of stock have the
negative relationship.
This also indicate that if sensex is increase by 10% then stock is decreasedby around 8%
M&M RETURNS FOR THE YEAR 2011
Month Start End Returns Avg.Ret
Std.
Deviation Variance
January 276 302.25
0.09510869
6 0.11799 -0.0228813 0.000523554
February 295 311.7
0.05661016
9 0.11799 -0.06137983 0.003767484
March 305 383.65
0.25786885
2 0.11799
0.13987885
2 0.019566093
April 384.85 487.95
0.26789658
3 0.11799
0.14990658
3 0.022471984
May 501 668.9 0.33512974 0.11799 0.21713974 0.047149667
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1 1
June 674 691.25
0.02559347
2 0.11799 -0.09239653 0.008537118
July 698.7 859.050.22949763
8 0.117990.11150763
8 0.012433953
August 876.65 863.65 -0.01482918 0.11799 -0.13281918 0.017640934
September 865.05 883.2
0.02098144
6 0.11799 -0.09700855 0.00941066
October 892 921.95
0.03357623
3 0.11799 -0.08441377 0.007125684
November 930 1029.35
0.10682795
7 0.11799 -0.01116204 0.000124591
December 1079 1080.85
0.00171455
1 0.11799 -0.11627545 0.01351998
Total
1.41597615
9 0.162271703
Standard Deviation 0.11628689
CALCULATION OF BETA
Price ofShare
Return (x) X2
Sensex y y2 xy
289.12518327.
76
303.35 0.04920.0024
2117823.
4
-0.0275
20.000757
29
-0.0013
5
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344.3250.1350
750.0182
4519445.
220.0909
940.008279
8830.0122
91
436.40.2674
070.0715
0719135.
96-
0.01590.000252
942
-0.0042
5
584.950.3403
990.1158
7118503.
28
-
0.03306
0.00109312
-
0.01125
682.6250.1669
80.0278
8218845.
870.0185
150.000342
8090.0030
92
778.875 0.1410.0198
8118197.
2
-0.0344
20.001184
719
-0.0048
5
870.150.1171
880.0137
3316676.
75
-0.0835
50.006981
281
-0.0097
9
874.1250.0045
682.09E-
0516453.
76
-0.0133
70.000178
792-6.1E-
05
906.9750.0375
80.0014
1217705.
010.0760
460.005783
0620.0028
58
979.6750.0801
570.0064
2516123.
46
-0.0893
30.007979
46
-0.0071
6
1079.9250.1023
30.0104
7115454.
92
-0.0414
60.001719
247
-0.0042
4
Sum
1.441
884
0.287
87
19436
4.8
-0.153
07
0.034552
606
-0.024
73
=nXY-(x)(y)/nx2-(x)2
-2.345281
405
From the analysis we find that the value of beta is 2.345281405 and beta is
here positive it shows that the return of sensex and return of stock have the
positive relationship.
This also indicate that if sensex is increased by 10% then stock is increased
by around 23.5%
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ONGC RETURNS FOR THE YEAR 2011
Month Start End Returns Avg.Ret
Std.
Deviation Variance
January 667 654.95 -0.01806597 0.63876
0.62069403
3 0.385261083
February 650.3 691
0.06258649
9 0.63876
0.70134649
9 0.491886911
March 664.05 780.2
0.17491152
8 0.63876
0.81367152
8 0.662061355
April 780 864.75
0.10865384
6 0.63876
0.74741384
6 0.558627457
May 898.7 1169.25
0.30104595
5 0.63876
0.93980595
5 0.883235234
June 1171.1 1069.3 -0.08692682 0.63876
0.55183317
9 0.304519858
July 1065.2 1164.05
0.09279947
4 0.63876
0.73155947
4 0.535179264
August 1165 1185.5
0.01759656
7 0.63876
0.65635656
7 0.430803942
September 1175.55 1172 -0.00301986 0.63876
0.63574013
7 0.404165522
October 1175.45 1131.8 -0.03713471 0.63876
0.60162528
6 0.361952984
November 1144.9 1199.75 0.04790811 0.63876 0.68666811 0.471513099
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4 4
December 1204 1178 -0.02159468 0.63876
0.61716531
6 0.380893027
Total 0.63876 5.870099736
Standard Deviation 0.69941045
CALCULATION OF BETA
Price ofShare
Return (x) X2
Sensex y y2 xy
660.97518327.
76
670.650.0146
370.0002
1417823.
4
-0.0275
20.000757
29-
0.0004
722.1250.0767
540.0058
9119445.
220.0909
940.008279
8830.0069
84
822.3750.1388
260.0192
7319135.
96-
0.01590.000252
942
-0.0022
1
1033.9750.2573
040.0662
0518503.
28
-0.0330
60.001093
12
-0.0085
1
1120.20.0833
920.0069
5418845.
870.0185
150.000342
8090.0015
44
1114.625
-0.0049
82.48E-
0518197.
2
-0.0344
20.001184
7190.0001
71
1175.250.0543
90.0029
5816676.
75
-0.08355
0.006981281
-0.00454
1173.775
-0.0012
61.58E-
0616453.
76
-0.0133
70.000178
7921.68E-
05
1153.625
-0.0171
70.0002
9517705.
010.0760
460.005783
062
-0.0013
1
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1172.3250.0162
10.0002
6316123.
46
-0.0893
30.007979
46
-0.0014
5
11910.0159
30.0002
5415454.
92
-0.0414
60.001719
247
-0.0006
6
Sum0.634
0450.102
33319436
4.8
-0.153
070.034552
606
-0.010
36
=nXY-(x)(y)/nx2-(x)2
-0.515070
534
From the analysis we find that the value of beta is 0.515070534 and beta is
here positive it shows that the return of sensex and return of stock have the
positive relationship.
This also indicate that if sensex is increased by 10% then stock is increased
by around 5%
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REL RETURNS FOR THE YEAR 2011
Month Start End Returns Avg.Ret
Std.
Deviation Variance
January 1240 1323.6
0.06741935
5 0.00723
0.06018935
5 0.003622758
February 1290 1266.05 -0.01856589 0.00723 -0.02579589 0.000665428
March 1228.7 1524.75
0.24094571
5 0.00723
0.23371571
5 0.054623035
April 1523 1806.25
0.18598161
5 0.00723
0.17875161
5 0.03195214
May 1851 2271.9 0.2273906 0.00723 0.2201606 0.04847069
June 2330 2023.4 -0.13158798 0.00723 -0.13881798 0.019270432
July 2029.9 1955.4 -0.03670132 0.00723 -0.04393132 0.00192996