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HISTORY OF SHARE KHAN
SHAREKHAN LIMITED (SSKI Pvt.Ltd.) was promoted by Mr. Shripal S.
Morakhiya and Mr. Shreyas S. Morakhiya in 1922 the name of company
was changed from SSKI Investor Services Private Limited to Sharekhan
Private Limited on 26th October 2005. The company became a public
limited company on 26th October, 2005. Accordingly the company’s name
changed to share khan limited.
Share khan is currently amongst India’s largest broking house. It is
member of stock exchange, Mumbai. It is depository participant of the
national securities. Depository limited (NSDL) and central depository
services (India) limited. Its business includes stock broking, depository
services, portfolio management and derivatives.
Company’s mission and vision:
MISSION
To reposition share khan as a technologically superior web enabled
brokerage firm with massive offline presence.
To highlight its will and ability to be a long term player on account
of its pedigree.
To project share khan as an authority in the retail stock trading
business.
VISION
The vision of the share khan ltd. Is “To empower the investors to
make better investment decision through quality advice & superior
service.”
Sharekhan has always believed in collaborating with like-minded
Corporate into forming strategic associations for mutual benefit
relationships" says Jaideep Arora, Director - Sharekhan Limited. Sharekhan
is also about focus. Sharekhan does not claim expertise in too many
things.
Sharekhan's expertise lies in stocks and that's what he talks about with
authority. So when he says that investing in stocks should not be confused
with trading in stocks or a portfolio-based strategy is better than betting
on a single horse, it is something that is spoken with years of focused
learning and experience in the’ stock markets. And these beliefs are
reflected in everything Sharekhan does for us!
Share khan has ability to transfer funds from most banks like ICICI Direct,
HDFC etc., so investor not really needs to open an account with a
particular bank as it can establish link with most modern banks.
The company’s core competency lies in the retail distribution with large
network of branches and sub brokers/ authorized person. Its strength lays
in its investment research capabilities.
PROMOTERS AND DIRECTORS
The shareholder of SSKI investor services Pvt. Ltd. Are Mr. Shripal
Morakhiya, Mr.Shreyas Morakhiya foreign private, equity fund holder and
key employees of the company. The key promoter of the company is
Mr.Shripal Morakhiya who as on March 31,2005 along with his family owns
55.47% of paid up capital of the company.
DIRECTORS’ NAME
1. Mr. Shripal S. Morakhiya
2. Mr. Shreyas S. Morakhiya
3. Mr. Tarun p. Shah
4. Mr. Shankar vailaya
5. Mr. Jaydeep Arora
6. Mr. Shankar narayan
Area and Branches of sharekhan
Sharekhan, India’s leading stock broker is the retail arm of SSKI, an
organization with over eight decades of stock market experience. With
more than150 share shops in 80 cities, and India’s premium portal,
www.sharekhan.com. We reach out to customer like no one else.
Sharekhan’s branches are in India’s most of cities like Bangalore,
Chennai, jodhpur, Kolkata, Delhi, pune. Rajkot, vadodara, Surat and
Navsari etc.
Services of Sharekhan
Share khan is one of India's leading financial services companies. Share
khan provides a complete life-cycle of investment solution in Equities,
Derivatives, Commodities, IPO, Mutual Funds, Depository Services,
Portfolio Management Services and Insurance.
Sharekhan also offer personalized wealth management services for High
Net worth individuals. With a physical presence in over 300 cities of India
through more than 800 "Share Shops", and an online presence through
Sharekhan.com, India's premier online destination, Sharekhan reach out
to more than 800,000 trading customers.
There are main four type services provided by sharekhan.
A. PMS
B. Mutual fund
C. Commodities
D. Equity
A. PMS[Portfolio management services]
A Portfolio is bundle or group of securities. Creation of portfolio helps to
reduce risk without sacrificing return.
Portfolio management is a process encompassing many activities aimed
at optimizing the investments of one’s fund.
In this service, sharekhan offers handling portfolio to the clients. The
minimum amount which is required to open an account is Rs. 5,00,000/-
after opening the account all transaction of the client are done by
sharekhan.
B. Mutual fund
Mutual fund is pool of money that is invested according to common
investment objective by an Asset management company (AMC).There are
3 broad categories of fund in Indian market – Money market, debt, equity.
There are two ways of making money from mutual fund through
Dividend.
Capital appreciation.
C.Commodity
A tangible item that may be bought or sold. Something produced for
commerce, is called Commodity.
Commodities are the things of value of uniform quality. Which are
produced in large quantity by many producer.
A commodity means any product manufactured or grown. There are
different commodities like gold, silver, copper, crude oil, sugar, wheat etc.
one of the characteristics of a commodity good is that its price is
determined as a function of its market as a whole.
The 3 major national commodity exchanges are:
1) National Commodity and Derivatives Exchange Limited(NCDCX)
2) Multi Commodity Exchange of India Ltd (MCX)
3) National Multi Commodity Exchange of India Ltd
NCDCX: located in Mumbai, is a public limited company. This is an online
multi-commodity exchange. Transaction of commodities like sugar, wheat,
jeera etc. are done through NCDEX market.
MCX: MCX is an independent multi commodity exchange, with permanent
recognition from Indian Government. Transactions of commodities like
gold, silver, crude oil etc. are done through MCX market.
NMCEIL - National Multi Commodity Exchange of India Limited is the 1st
de-mutualized, Electronic Multi-Commodity Exchange of India.
D.Equity
Equity means equity or ordinary shares, which represents the ownership
position in a company. In this the trading of shares is done . there are two
main types of stock exchange in which trading of equity is done, i.e NSE
and BSE. Equity consists of 3 parts.
1) Off-line
2) On-line
3) F & O
Off-line Trading: The off line trading is done in both NSEand BSE. Off-
line trading it is the setting where both the parties buyer and seller are
known to each other like internal trading. In process of off-line trading,
directly DP (Depository participant) made entry. i.e. debited to investor
a/c and credited to buyer’s a/c as per the information giver by seller.
On-line Trading: On-line trading is done only in one exchange NSE. In
on-line seller does not know who is going to be buyer. Seller simply
informs to the sub broker to sell some amount of shares. Than sub broker
sells it in ti the market. In on-line trading. DP (Depository participant)
made one entry in investor’s a/c and credited to buyer’s a/c. after being
informed by sub broker there are 2 types of a/c in on-line trading.
Speed trade account: Speed trade is web trading product ideal for
active traders and jobbers who transact frequently during a day’s
trading session to capitalize on intraday price movement. Speed
trede gives active traders and jobbers are edge with real time
access to the market.
Classic account: sharekhan classic account allows to client to trade
through their website and is suitable for the retail investor who is
risk adverse and hence prefers to invest in stocks or who does not
trade too frequently.
Future & Option: future option is a part of derivatives and derivatives
are underlying in equity. Future and Option. future is an agreement
between two parties to buy and sell an asset at a certain time in the
future at a certain price. While option gives the buyer an option to buy or
sell an underlying asset at a predetermined price on or before specified
data in future.
Other services provided by sharekhan as follow:
Free access to investment advice from sharekhan’s research team.
Daily research report and market review
Pre-market report
Daily trading call based on technical analysis
Personalized advice
Live market information.
Literature Review
The role of information in pricing of stock is an issue heavily discussed in
areas of finance, economic, and accounting. Few theories were forwarded
including that of fama (1991) in the efficient market theory. Generally it is
known that prices react to the arrival of new information. trading volume
is viewed as the critical price of information which indicates the
movement of prices.
Volatility is one of the best phenomenon without which stock markets will
loose its charm. It is the tendency of fluctuation of market indices over a
period of time; more is the fluctuation, higher is the volatility. The ups and
downs of stock prices is what that adds spice to the market behavior. This
see-sawing effect has its own implications, both good and bad. Good,
because prudent investors taking advantage buy on dips and sell on highs
for profit booking. On the flip side, greater volatility lowers investor’s
confidence in the market prompting them to transfer their investment in
less risky options due to unexpected market behavior.
A statistical measure of the dispersion of returns for a given security or
market index. Volatility can either be measured by using the standard
deviation or variance between returns from that same security or market
index. Commonly, the higher the volatility, the riskier the security.
Investopedia explains Volatility
In other words, volatility refers to the amount of uncertainty or risk about
the size of changes in a security's value. A higher volatility means that a
security's value can potentially be spread out over a larger range
of values.
This means that the price of the security can change dramatically over a
short time period in either direction. A lower volatility means that a
security's value does not fluctuate dramatically, but changes in value at a
steady peace over the period of time.
One measure of the relative volatility of a particular stock to the market is
its beta. A beta approximates the overall volatility of a security's returns
against the returns of a index return.
Having observed the past major events of volatility, one can realize the
root cause as “unanticipated information” breaking out in the market.
When this news stabilizes, volatility vanishes because the uncertainty
related dies out.
There have been number of empirical studies in developed markets that
provide evidence on the relationship between trading volume and stock
returns. Crouch (1970) studied the relationship between daily trading
volume and daily absolute changes of market index and individual stocks
and found positive correlation between them. Rogalski (1978) used
monthly stock data and Epps (1975, 1977) used transactions data and
found a positive contemporaneous correlation between trading volume
and absolute returns.
Traditional literature on the contemporaneous relation between volume
and price showed that there exist a positive relation between volume and
absolute price change price volatility in both equity and future market.
Developed the dispersion of beliefs/expectation as the additional volatility
and additional expected volume associated with noisy information as well
as developing other trading behavior relationships in the future markets.
-Hars and Airv (1993) and Shalen
(1993)
Volume- volatility relationship has long attracted the attention of many
financial economists, which makes contribution not only to a well
established steam of empirical financial studies but also turn out to be
relevant in a broader historical economic perspective. Reviewed previous
studies on the volatility and trading volume and positive correlation
between volatility and volume.
-Karpoof
(1987)
RESEARCH
METHODOLOGY
What is research?
”Research is systematic process of collecting analyzing information in
order to increase our understanding of the phenomena about which we
are concerned or interested”.
“Research is systematic effort to gain new knowledge
Research is a ‘scientific and systematic search for potential information on
a specific topic. It is an art of scientific investigation.
Objectives of study
Each activity in human life is based on certain objective. the principal
objective of preparing this project report on “Volatility in Indian share
market” at sharekhan ltd. The other objectives are as follows:
To know significant correlation between share price and Trading
volume.
To know the fluctuation in share price and use various techniques
and statistical tools for the measurement of risk.
To know the fluctuation in high-low, open-close price and measure
the volatility.
To measure high-low price volatility use new method of chainkin’s
volatility.
Types of research design
There are main three types research design, which are as follows:
1) Exploratory Research Design
2) Descriptive Research Design
3) Causal Research Design
From above three types of research design select the descriptive research
design for my project work.
Descriptive research design is rigid design. Researcher does not change
the focus of the study. In very rare cases, it can be change. Here are the
researcher is the experienced person.
Data collection
There are main two sources of collecting information which are as follows:
1) Primary Data Collection
2) Secondary Data Collection
Primary Data:
This type of data does not exist anywhere. Researcher collects this data at
very first time and also use first time. This type of data collected through
survey, observation, personal interview etc. these data are used when the
report is to be made for the exploratory research.
Secondary Data:
Secondary data are those data which are already been found by someone
and are already been used for another purpose. This type of data already
exists in somewhere researcher can directly use this data. it is easy to
collect secondary data compared to primary data.
Here, the project is based on “volatility in Indian share market” of
sharekhan ltd. In this research project use the data from the internet &
books. The data from book were sufficient enough to conduct a project
work. And some part of data was personally collected from the discussion
with the member of sharekhan so project work can be easily done.
Time duration for the project:
1st June to 31st July 2010
8 Weeks
Limitation of the study
1)A student is always studying and thus with her limited available
knowledge and capacity.
2) A precise of anything take time and thus here the time period was
of two months only which is not sufficient to complete project work.
3) The report is based on certain available data only.
DATA ANALYSIS
AND
INTERPRETATIO
N
DATA INTERPRETATION
The study is based on the daily stock returns as well as trading volumes
obtained from the national stock exchange. The series of stock returns
computed from daily stock prices of the nifty index for the period of 5
years from April 2005 to March 2010 and take top 10 Company which has
high capitalization to measure volatility.
MEASUREMENT OF VOLATILITY
In simple words volatility means “risk” volatility is measured by standard
deviation, beta, skewness etc. volatility is associated with risk and return.
Return (finance) the financial term for profit or loss derived from an
investment. Return (economics) the benefit distributed to the owner of the
factor of production. A person making an investment expects to get some
return from the investment in the future. but as the future is uncertain, so
is the future expected return. It is the uncertainty associated with the
returns from an investment that introduces risk in to an investment.
Return=R1−Rt−1
Rt−1
∗100
Volatility and standard deviation
For the more technically-minded, Standard Deviation is “the basic
statistical measure of the dispersion of a population of data observations
around a mean”.
In trading language it’s an indication of price volatility; it measures how
far the closing price is from the average closing price over a set period.
The
greater the difference between the closing prices and the average price,
the higher the standard deviation will be. The closer the closing prices are
to the average price, the lower the standard deviation .the relative rate at
which the price of security moves up and down. Volatility is found by
calculating the annualized standard deviation or daily changes in the
price.
Volatility = standard deviation of closing price [for n periods] /
average closing price [for n periods]
σ=√∑ (X−μ)2
N
The variance and standard deviation measure the extent of variability of
possible returns from the expected return. Several other measure such as
a range ,semi-variance and mean absolute deviation have been used to
indicate measure risk but standard deviation has been the most popularly
accepted measure .the standard deviation or variance however provides a
measurement of total risk associated with security. Total risk comprises
of two components namely systematic risk and unsystematic risk.
Coefficient of variation: A statistical measure of the dispersion of data
points in a data series around the mean. It is calculated as follows.
The coefficient of variation essentially is a relative comparison of standard
deviation to its mean. In the investing world, the coefficient of variation
allows you to determine how much volatility (risk) you are assuming
in comparison to the amount of return you can expect from your
investment. In simple language, the lower the ratio of standard deviation
to mean return, the better your risk-return trade-off. Sometimes financial
investor use the coefficient of variation as measurement of risk.
Coefficient of variation tell us about the risk of stock that standard
deviation does not tell.
Variance: The variance of a random variable is a measure of its statistical
dispersion, indicating how far from the expected value The variance is the
average of squared deviation about the arithmetic mean for a set of
numbers It describes how far values lie from the mean. In particular, the
variance is one of the moments of a distribution.
σ 2=∑¿¿
In research 10 company’s 5 year data and calculate standard deviation,
variance, Coefficient of variation, cumulative return, and average return
as below.
Reliance Industries - Year 01-04-2005 to 31-03-2010
Year Averag
e
return
Cumulative
return
Standar
d
deviatio
n
Variance Coefficien
t of
variation
2005-
06
0.00164 0.41071 0.02818 0.00049 13.5058
2006-
07
0.00242 0.60400 0.02294 0.00048 9.04614
2007-
08
0.00233 0.58593 0.02566 0.00065 10.9961
2008-
09
-0.0008 -0.36338 0.03857 0.00148 -43.8415
2009-
10
-0.0002 -0.06127 0.04210 0.00177 -167.666
Average return get from company is 0.1% and cumulative return is
41.07%. Risk and return is associated with each other and
associated total risk is 2.21%. Variance indicates that 0.049% value
is dispersed from mean value in year 2005-06.
Average return get from company is -0.08% and cumulative return
is -36.33% means in this security getting loss not get profit and
total risk is also high 3.8%.variance indicates that 0.14% value is
dispersed from the mean value in year 2008-09.
Average return get from the company is -0.02% and cumulative
return is -6.12%. Cumulative return (loss) is less than year 2008-09
but associated risk is 4.2% which is highest in comparison of all
year.0.17% value is dispersed from mean in year 2009-10. In first 3
year higher the risk higher the return.
Coefficient of variation can be useful In comparing standard
deviation to its mean. Standard deviation is 13.50%of the mean in
2005-06, -43.84% in 2008-09 and -167.67% in 2008-09 .it is
indicates that more risky year is 2008-09.
Reliance industry’s share price is more fluctuate in year 2008-09
and 2009-10 indicates higher volatility in this two year compare to
all year.
ONGC LTD. - Year 01-04-2005 to 31-03-2010
Year Averag
e
return
Cumulative
return
Standar
d
deviatio
n
Variance Coefficien
t of
variation
2005-
06
0.00172 0.43167 0.01639 0.00026 9.98256
2006-
07
-0.0011 -0.27418 0.02972 0.00088 -26.9967
2007-
08
0.00081 0.20468 0.02781 0.00077 34.1103
2008-
09
-0.0004 -0.36338 0.03052 0.00093 -64.517
2009-
10
0.00168 0.410846 0.02401 0.00057 14.2603
Average return get from the company is 0.17% and cumulative
return is 43.16% associated total risk is 1.6%.variance indicates that
0.02% value is dispersed from mean value in year 2005-06.
As per the coefficient variance indicate that high risk in year 2007-
08 and get 20.46% return and 2.78% risk in this year. so in this year
high risk and volatility.
As per the standard deviation and variance more fluctuation in
share price in year 2006-07 and 2008-10 and highest standard
deviation in this two year compare to all year.
Coefficient variation is high in year 2006-07 and also total risk is
2.9%.. as per the standard deviation and variance 2008-09 year has
a 3% risk and 0.09% value dispersed from mean. But as per
coefficient of variation indicates 2006-07 has -26.99% risk which is
highest risk compare to all.
As per standard deviation and variance in 2008-09 year high risk but
coefficient indicates that in year 2006-07 high risk means in year
2006-07 and 2008-09 has high volatility.
NTPC LTD. - Year 01-04-2005 to 31-03-2010
Year Averag
e
return
Cumulative
return
Standar
d
deviatio
n
Variance Coefficien
t of
variation
2005-
06
0.0018 0.45695 0.01578 0.00024 8.633476
2006-
07
0.0006 0.16620 0.02057 0.00042 30.8252
2007-
08
0.0015 0.38898 0.03095 0.00095 19.97492
2008-
09
-0.0082 -0.36338 0.02787 0.00077 -31.67599
2009-
10
0.00074 0.18094 0.01803 0.00032 24.31448
Average return get from the company is 0.18% and cumulative
return is 45.65% associated total risk is 1.6%.variance indicates that
0.024% value is dispersed from mean value in year 2005-06.
In year 2005-06 getting high return and low risk as per the standard
deviation and coefficient variation. It indicates that in this year has
low volatility compared to all year. in year 2006-07 getting low
return and high risk. As per the risk and return year 2006-07 has
high volatility.
As per the standard deviation and variance more fluctuation in
share price in year 2007-08 and 2008-09 and highest standard
deviation in this two year compare to all year.
Coefficient variation is high in year 2008-09 and also total risk is
2.7%. as per the standard deviation and variance 2007-08 year has
a 3.09% risk and 0.09% value dispersed from mean. But as per
coefficient of variation indicates 2008-09 has -31.67% risk which is
highest compare to all.
As per standard deviation and variance in 2007-08 year high risk but
coefficient indicates that in year 2008-09 high risk means in year
2007-08 and 2008-09 has a high volatility.
INFOSYSTCH- Year 01-04-2005 to 31-03-2010
Year Averag
e
return
Cumulative
return
Standar
d
deviatio
n
Variance Coefficien
t of
variation
2005-
06
0.00128 0.321794 0.01648 0.000271 12.81016
2006-
07
-
0.00057
-0.142067 0.037944 0.001439 -66.5046
2007-
08
-
0.00108
-0.271137 0.023112 0.000534 -21.39555
2008- - -0.363388 0.029098 0.000846 -26.69626
09 0.00109
2009-
10
0.00315 0.7411566 0.022099 0.000488 7.010617
Average return and cumulative return get from the company is
negative in year of 2006-07, 2007-08, 2008-09 means in this 3 year
getting loss from the company. Associated total risk is 3.7%, 2.3%
and 2.9% in respective year.
As per the standard deviation high risk in year 2006-07 and variance
indicates that 0.14% value is dispersed from mean which is high
variation compare to all year.
Coefficient variation indicate that in year 2007-08 has high risk as
per the standard deviation 2006-07 year is risky year but as per the
coefficient of variation 2007-08 year is more risky.
As per standard deviation and variance in 2006-07 year high risk
but coefficient indicates that in year 2007-08 high risk means in
year 2006-07 and 2007-08 has a high volatility. As per the risk and
return 2005-06 year has high volatility.
TATA consultancy - Year 01-04-2005 to 31-03-2010
Year Average
return
Cumulativ
e return
Standard
deviatio
n
Varianc
e
Coefficien
t of
variation
2005-
06
0.001268 0.317112 0.017682 0.000312 13.94020
2006-
07
-0.00070 -0.176581 0.039081
1
0.001527 -55.10894
2007-
08
-0.00141 -0.359226 0.022070 0.000487 -15.42130
2008-
09
-0.00103 -0.25116 0.036023 0.001297 -34.85297
2009-
10
0.002645 0.645464 0.041365
8
0.001711 15.63719
In this script as per the standard deviation in year 2009-10 has high
risk 4.13%. And also in this year high getting high average return
0.26% and high cumulative return 64.54%. In year 2009-10 Higher
the risk higher the return. Variance indicates that 0.17% value
dispersed from mean which is highest compare to all year.
As per the coefficient variation high risk in year 2007-08 and also in
year 2009-10 but 2007-08 year is more risky year compare to all
year.
As per the risk and return in year 2009-10 has high volatility. And as
per the standard deviation and coefficient variation 2007-08 an
2008-09 year has high volatility.
STATE Bank of India - Year 01-04-2005 to 31-03-2010
Year Averag
e
return
Cumulative
return
Standar
d
deviatio
n
Variance Coefficien
t of
variation
2005-
06
0.00160 0.400898 0.016096 0.000259 10.03752
2006-
07
0.00036 0.0897795 0.022563 0.000509 62.5778
2007-
08
0.00227 0.5718788 0.027643 0.000764 12.1330
2008-
09
-0.0009 -0.242656 0.036641 0.001342 -36.6934
2009-
10
0.00311 0.760963 0.028151 0.000792 9.02654
As per the standard deviation high risk 3.66% in year 2008-09 and
coefficient variation also indicates high risk -36.69% in this year. So
in this year has high volatility.
In this security gets return in all year except 2008-09.In year 2009-
10 getting high cumulative return 76% and risk 2.81% indicates
higher the risk higher the return. As per the coefficient of variation
and return 2006-07 year is more risky because in this year high risk
and getting low return.
In this script year 2008-09 and 2006-07 has a high volatility.
BHEL - Year 01-04-2005 to 31-03-2010
Year Averag
e
return
Cumulative
return
Standard
deviation
Variance Coefficien
t of
variation
2005-
06
0.00430 1.076128 0.019232 0.000369 4.467921
2006-
07
0.00034 0.085303 0.024965 0.000623 72.87506
2007-
08
0.00083 0.201058 0.042821 0.001833 51.31123
2008-
09
-
0.00064
-0.157702 0.035599 0.001267 -54.8552
2009-
10
0.00215 0.526130 0.023785 0.000565 11.03080
In this script in year 2005-06 has low risk 1.9% as per the standard
deviation and coefficient variation also indicates low risk 4.46% and
get high average return 0.43% and cumulative return 1.07% which
highest compare to all year. It is indicating that 2005-06 best year
and low volatility.
In this security gets return in all year except 2008-09. As per the
risk and return in year 2009-10 has high return and high risk but as
per the coefficient of variation in year 2006-07 has high risk and
getting low return compare to all year indicates high volatility.
In this script year 2006-07 and 2008-09 has a high volatility.
ITC LTD. - Year 01-04-2005 to 31-03-2010
Year Averag
e
return
Cumulative
return
Standard
deviation
Variance Coefficien
t of
variation
2005-
06
-0.0008 -0.205876 0.061157 0.003740 -74.2654
2006-
07
-
0.00077
-0.193685 0.022296 0.000497 -28.6636
2007-
08
0.00152 0.381850 0.023841 0.000568 15.6718
2008-
09
-0.0001 -0.04321 0.023393 0.000547 -131.533
2009-
10
0.00169 0.412510 0.022255 0.000495 13.1640
In this script high volatility in year 2005-06. In this year total risk is
6.11% which is highest compare to all company , all year and
variance indicates that 0.37% value dispersed from the mean and
also not get profit return is negative in this year.
As per the risk and return in year 2009-10 has high return and low
risk compare to all year and coefficient variation also indicate that
low risk so in this year has low volatility.
In year 2005-06 and 2006-07 has high volatility
BHARTI AIRTEL - Year 01-04-2005 to 31-03-2010
Year Averag Cumulative Standar Variance Coefficien
e
return
return d
deviatio
n
t of
variation
2005-
06
0.00275 0.689716 0.018806 0.000353 6.81690
2006-
07
0.00272 0.678515 0.022412 0.000502 8.22492
2007-
08
0.00064 0.161144 0.025714 0.000661 40.0535
2008-
09
-0.0006 -0.148661 0.032617 0.001063 -53.3160
2009-
10
-0.0016 -0.396569 0.044244 0.001957 -27.2227
In this script as per the standard deviation and coefficient of
variation high risk is 4.4% and -27.22% in year 2009-10. In year
2009-10 return is also negative and variance indicate that 0.19%
value dispersed from mean. This all things indicate high volatility in
year 2009-10 compare to all year.
As per the standard deviation and coefficient of variation in year
2007-08 indicates high risk and low return so year 2007-08 has high
volatility.
In year 2005-06 has 1.8% total risk and coefficient variation is
6.81% which is lowest compare to all year and indicate low volatility
in year 2005-06. In year 2009-10 has high volatility.
ICICI BANK - Year 01-04-2005 to 31-03-2010
Year Averag
e
return
Cumulative
return
Standar
d
deviatio
n
Variance Coefficien
t of
variation
2005-
06
0.00169 0.424202 0.020451 0.000418 12.05302
2006-
07
0.00177 0.442664 0.024085 0.000580 13.54820
2007-
08
0.00233 0.010946 0.030199 0.000912 12.93698
2008-
09
-0.0021 -0.528333 0.050262 0.002526 -23.11770
2009-
10
0.00486 1.186629 0.033568 0.001126 6.9025278
In Year 2009-10 average return is 0.48% and cumulative return is
1.18% which is highest compare to all company. And also
associated total risk is 3.3%. as per the coefficient of variation is
6.90% which is lowest compare to all year. in this year high return
low risk and low volatility.
In year 2008-09 standard deviation and coefficient of variation
indicates high risk and low return compare to all year. in year 2008-
09 has a high volatility.
in year 2006-07 cumulative return is high and as per the coefficient
of variation involved high risk and high volatility in this year.
Volatility and Beta
As far as an investor is concerned, the unsystematic risk is no very
important as it can be reduced or eliminated through diversification. it is
an irrelevant risk. The risk that is relevant in decision making is the
systematic risk because it is undivesifiable. Hence the investor seeks to
measure the systematic risk of security. Systematic risk is the variability
in security returns caused by changes in the economy or the market. All
securities are affected by such changes to some extent, but some
securities exhibit greater variability in response to market changes. Such
securities are said to have higher systematic risk. A higher variability
would indicate higher systematic risk and vice versa.
The systematic risk of security is measured by a statistical measure
called” beta” the input data required for the calculation for beta are the
historical data of returns of the individual security as well as the returns of
a representative stock market index. For the calculation of beta, the
return of individual security is taken as dependent variable, and the return
of the market index is taken as the independent variable. Beta is a score
that measures a market stock’ volatility or risk against the rest of the
market. It is calculating using regression analysis.
“The beta of an asset, β, is a measure of the variability of that asset
relative to the variability of the market as a whole .Beta is an index of the
systematic risk of an asset”.
Risk also implies return. Stocks with a high beta should have a higher
return than the market. If you are accepting more risk you should accept
more reward as beta measures the volatility of a securities return relative
to the market the larger the beta , the more volatile security. A beta of 1.0
indicates a security of average risk a stock with beta greater than 1.0 has
Above average risk. Its returns would be more volatile than the market
returns. A stock with less than 1.0 would have below average risk. A
security can have betas that are positive, negative or zero. It is a historical
measure of systematic risk of systematic risk. In using this beta for
investment decision making, the investor is assuming that the relationship
between the security variability and market variability will continue to
remain the same in future also. Investor can find the best use of beta ratio
in short term decision making, where price volatility is important.
“Beta shows sensitivity of script to that of index. If positive than moves
with market. And if beta is negative it has inverse relationship.”
10 Company’s calculated beta is as below.
COMPANY NAME YEAR-1
2005-06
YEAR-2
2006-07
YEAR-3
2007-
08
YEAR-4
2008-
09
YEAR-5
2009-
10
Reliance Ind. 1.0980 0.9962 1.1302 1.2544 1.2316
ONGC ltd 1.0436 0.8436 1.0986 0.8547 0.8288
NTPC ltd 0.6079 0.7096 1.1893 0.7908 0.6113
INFOSYSTCH 1.0506 0.9305 0.6167 0.6988 0.6816
TATA
consultancy
1.0642 1.0272 0.6844 0.9020 0.8005
State
Bank(SBIN)
0.9958 0.8863 0.9908 1.1047 1.1573
BHEL 1.0040 1.0857 1.0530 1.0169 0.9296
ITC Ltd. 1.1449 0.9402 0.6715 0.5269 0.6062
BHARTI AIRTEL 0.9808 0.9392 0.7790 0.9560 0.9164
ICICI Bank 1.0805 0.9275 1.1016 1.6388 1.4088
In reliance industries 1% change in to market index brings to 1.09%
change in share price of reliance industries in year 2005-06. 0.99%
change in 2006-07.1.25% change in 2008-09. Compare to all beta
value high risk is in year 2008-09.
In ONGC LTD 1% change in to market index brings to 1.04% change
in share price of ONGC LTD. in year 2005-06. 0.84% changes in
2006-07, 0.85% changes in 2008-09. Compare to all beta value high
risk is in year 2007-08.
In NTPC LTD 1% change in to market index brings to 0.60% change
in share price of NTPC LTD. in year 2005-06. 0.70% changes in
2006-07, 0.79% changes in 2008-09. Compare to all beta value high
risk is in year 2007-08.
In INFOSYSTCH LTD 1% change in to market index brings to 1.05%
change in share price of INFOSYSTCH in year 2005-06. 0.93%
changes in 2006-07, 0.69% changes in 2008-09. Compare to all beta
value high risk is in year 2005-06.
In ICICI BANK 1% change in to market index brings to 1.08% change
in share price of ICICIBANK in year 2005-06. 0.93% changes in 2006-
07, 1.63% changes in 2008-09. Compare to all beta value high risk
is in year 2008-09.
As per the comparison year wise high value of beta in year 2005-06
compare to all year beta value is near to 1.00 or more than 1.00
except one company NTPC LTD. It indicates that all script has a high
beta and high risk in year 2005-06 so this year is a risky year among
all year and high volatility in this year.
As per the comparison company wise Reliance industries has a high
value of beta to compare all this company. In reliance industries
beta value is more than 1.00 in all year except one year 2006-07. In
year 2006-07 beta value is 0.99 which is almost near to 1.00.
reliance industries security is a risky security compare to all security
and it indicates high volatility in this script. Next risky script is BHEL
(BHARAT heavy electronic limited). BHEL has a high value of beta
compare to all and beta value is more than 1.00 or near to 1.00 in
all 5 year. As per company wise reliance industries and BHEL has a
high risk and high volatility.
BHARTI AIRTEL and ITC LTD. have beta value is less than 1.00
except one year in both script. It indicates that this script has low
risk compare to all script and low volatility.
Correlation
The correlation is one of the most useful statistics. A correlation is single
number that describes degree of relationship between two variables.
Correlation is a statistical technique that can show weather that how
strongly pairs of variables are related. For example height and weight are
related taller people tend to be heavier than shorter people. The
relationship isn’t perfect. People of the same height vary in weight and
you can think of two people. You know where the shorter one is heavier
than the other taller one. Correlation can tell you just how much of the
variation in people’s weight is elated to their heights. Compute the
correlation value, the formula for correlation are:
r=N ∑xy−(∑x)(∑ y)√¿¿¿
We use the symbol r to stand for the correlation. The main result of
correlation is called the correlation coefficient (or “r”). it ranges from -1.0
to +1.0 the closer the r is to +1.0 or closer the -1.0 the more closely two
variable are related. Means the correlation is negative. We have a
negative relationship. If it’s positive the relationship is positive. if r is close
to 0(zero) means there is no relationship between two variables. If r is
positive it means as that one variable get larger the other gets larger. If r
is negative it means that as one gets larger the other gets smaller often
called an “Inverse “correlation.
In research 10 company’s 5 year data and calculate correlation between
trading volume and share price is as below.
Company name YEAR-1
2005-06
YEAR-2
2006-07
YEAR-3
2007-
08
YEAR-4
2008-
09
YEAR-5
2009-
10
Reliance Ind. 0.0923 0.0110 -0.0909 -0.0327 -0.0906
ONGC ltd 0.0567 -0.1250 -0.0737 0.0300 0.1525
NTPC ltd 0.2321 0.0498 0.1843 0.0718 -0.0094
INFOSYSTCH 0.0998 0.0249 -0.0767 0.0987 -0.3954
TATA
consultancy
0.0620 -0.0328 -0.0463 0.0507 -0.1499
State
bank(SBIN)
0.0707 0.0382 0.1841 0.0211 0.2477
BHEL 0.3638 -0.0780 0.0455 0.1289 0.1941
ITC Ltd. 0.0402 -0.0414 0.2487 -0.0552 -0.2248
BHARTI AIRTEL 0.2842 0.1356 -0.1103 -0.0738 -0.1251
ICICI Bank 0.3748 0.0664 0.0468 0.0398 0.1233
In reliance industries year 2005-06, 2006-07 no correlation between
trading volume and share price because correlation value is close to
0. In last 3 year inverse correlation between two variables. If share
price gets larger than trading volume gets smaller and share price
gets smaller than trading volume gets larger.
In ONGC ltd year.2005-06 and 2008-09 no correlation between
trading volume and share price .and inverse relationship rest of the
year.
Considering all year and all company there are no correlation
between trading volume and share price and also many year inverse
correlations between two variables.
This all things indicate that there are not any relationship between
trading volume and share price. Share price does not affect trading
volume. If share price increased or decreased does not change
trading volume and change in trading volume does not affect share
price.
High-Low and Open-Close price volatility
Share price does not remain constant. It changes daily. In stock market
daily price up-down and price increased or decreased at certain level.
More fluctuation in share price indicates high volatility.
High price: This is the highest price paid/received in at least of the
transaction on that day.
Low price: This is the lowest price paid/received in at least on the
transaction of the day.
Open price: At this price the first transaction has been taken place on
that day.
Close price: At this price the last transaction has been taken place on
that day.
Open close price return is known as “night gain”. Difference between
today’s open price and yesterday close price is open-close price return.
Open-close price difference is because of company’s news. But in open-
close price not high volatility compare to high-low price.
Year 2005-06
Company
Name
High-low
price
return
High-low
Price
step
Open-
close
Price
return
Open-
close
Price
step
Reliance Ind. 6.72330 0.02169 0.20056 0.02589
ONGC ltd 7.92587 0.02269 0.52167 0.01156
NTPC ltd 6.82345 0.01704 0.55632 0.01002
INFOSYSTCH 6.44097 0.01159 0.22710 0.00821
TATA con. 6.87743 0.01969 0.59926 0.00738
State
bank(SBIN)
6.84160 0.01644 0.53199 0.01318
BHEL 8.82096 0.01946 0.43805 0.01048
ITC Ltd. 7.35143 0.01616 -0.21595 0.05961
BHARTI AIRTEL 8.80216 0.02174 0.59955 0.00957
ICICI Bank 9.20979 0.02250 0.27826 0.014003
Price increase and decrease daily and more fluctuation in share
price increase volatility. As per the company wise comparison in
ICICI bank more fluctuation in high-low price associated risk is 2.2%
and also gets high return but as consider risk and return not high
volatility. In ONGC ltd also risk is 2.2% and gets less return compare
to ICICI indicates high volatility in this script.
As per the high-low price standard deviation ICICI Bank, ONGC ltd.
and reliance industries share price more fluctuate and high
volatility.
As per the open-close price standard deviation ITC ltd. has risk 5.9%
and reliance industries has risk 2.5% indicates high volatility in this
security.
Year 2006-07
Company
Name
High-low
price
return
High-low
Price
step
stdev
Open-
close
Price
return
Open-
close
Price
stdev
Reliance Ind. 7.91232 0.02193 0.45474 0.01107
ONGC ltd 9.70583 0.02387 0.09044 0.02500
NTPC ltd 9.12604 0.03501 0.40112 0.01390
INFOSYSTCH 7.34020 0.01751 0.41422 0.03277
TATA con. 8.58088 0.02081 0.31197 0.03446
State
bank(SBIN)
9.93999 0.02873 0.45555 0.01669
BHEL 9.75760 0.03222 0.90261 0.01158
ITC Ltd. 9.30032 0.02756 0.66391 0.00941
BHARTI AIRTEL 11.0636 0.03340 0.89617 0.01488
ICICI Bank 10.4219 0.03109 0.76257 0.01849
Comparison of all company BHARTI AIRTEL has risk 3.3% in high-low
price. If know this company’s high low price in advance than get
money 11 times at the end of the year.
As per the open –close price BHEL has low risk 1.1% and get high
return 90.26% indicates low volatility in this security. In this
company If know the open-close price in advance than get money
almost double at the end of the year.
As per the high-low price standard deviation NTPC ltd has high
volatility and as per the open-close price standard deviation TATA
consultancy has high volatility.
Year 2007-08
Company
Name
High-low
price
return
High-low
Price
stdev
Open-
close
Price
return
Open-
close
Price
stdev
Reliance Ind. 9.59766 0.02891 0.59745 0.01492
ONGC ltd 11.4599 0.03125 0.43667 0.01568
NTPC ltd 11.5680 0.03313 0.80379 0.01661
INFOSYSTCH 9.16214 0.02317 0.34656 0.01756
TATA con. 9.64992 0.02882 1.20012 0.01467
State
Bank(SBIN)
11.3105 0.02885 0.93247 0.01985
BHEL 10.9186 0.02486 0.51516 0.03367
ITC Ltd. 10.3538 0.02570 0.55304 0.01445
BHARTI AIRTEL 11.0571 0.03136 0.41839 0.01620
ICICI Bank 12.0781 0.03159 0.82213 0.02177
As per the high-low price Comparison of all company NTPC ltd has
high risk 3.3% and return is 11.45%. it indicates more volatility in
this script. Consider risk and return in ICICI bank high risk high
return compare to all company.
TCS and SBIN have same risk 2.8% but if as return is concerned
from SBIN get more return. It indicates that in TCS high volatility
compare to SBIN.
As per the open-close price standard deviation BHEL has high risk
and high volatility. Most safety script as per open-close price is TCS
because only 1.4% risk which is lowest compare to all and get
highest return 12% indicates low volatility and high volatility in
ICICI bank.
Year 2008-09
Company
Name
High-low
price
return
High-low
Price
stdev
Open-
close
Price
return
Open-
close
Price
stdev
Reliance Ind. 13.1321 0.03232 0.56742 0.02191
ONGC ltd 13.2624 0.03017 0.30669 0.02125
NTPC ltd 11.1621 0.02574 0.10028 0.01581
INFOSYSTCH 11.5156 0.02514 0.06292 0.01432
TATA con. 15.0244 0.03943 0.37883 0.02483
State
bank(SBIN)
13.8471 0.02944 0.08346 0.01816
BHEL 13.2735 0.02604 0.32995 0.01549
ITC Ltd. 10.5630 0.02499 0.04683 0.01154
BHARTI AIRTEL 13.7456 0.03360 1.05109 0.02570
ICICI Bank 18.0964 0.03874 0.57199 0.03213
As per the high-low price Comparison of all company ITC has high
risk 3.9% and return is 15.02%. It indicates more volatility in this
script. Consider risk and return in ICICI bank high risk high return
compare to all company.
In many companies have same return 13% but if considering risk
high risk in BHARTI AIRTEL and indicates high volatility.
As per the open-close price standard deviation ICICI has high risk
3.2% and high volatility. From BHARTI AIRTEL gets highest return
and also high risk 2.6% it indicates higher the risk higher the return
less volatility compare to ICICI Bank.
Year 2009-10
Company
Name
High-low
price
return
High-low
Price
stdev
Open-
close
Price
return
Open-
close
Price
stdev
Reliance Ind. 8.61806 0.02061 0.25571 0.03440
ONGC ltd 9.30674 0.02723 0.21739 0.01506
NTPC ltd 7.35875 0.02103 0.82088 0.00831
INFOSYSTCH 7.71085 0.01981 0.01597 0.01065
TATA con. 9.65965 0.02154 0.11055 0.03746
State
bank(SBIN)
8.94201 0.02386 0.91798 0.01383
BHEL 8.06803 0.02088 0.68785 0.01517
ITC Ltd. 8.45615 0.01969 0.60288 0.00901
BHARTI AIRTEL 10.9892 0.02766 0.20838 0.03593
ICICI Bank 11.0539 0.02900 0.69999 0.01974
As per the high-low price Comparison of all company ICICI has high
risk 2.9% and return is 11.05%. It indicates high volatility in this
script. comparison between BHARTI AIRTEL and ONGC ltd. have
same risk but high volatility in ONGC ltd. because in this get less
return.
many companies have same return but as per the risk is considered
high volatility in SBIN.
As per the open-close price standard deviation TCS has high risk and
high volatility. In SBIN low risk 1.9 % and gets high return means it
is best script for investment for year 2009-10.
CHAINKIN’S VOLATILITY
Developed by Marc Chaikin, the Chaikin Volatility indicator quantifies
volatility as the widening of the range between high and low prices by
comparing the spread between the instrument's high and low prices over
n-periods. Chaikin's Volatility indicator is created by first calculating an
exponential moving average of the difference between the High and Low
price for each period over n-periods (typically 10 periods) and then by
calculating the percentage change in the exponential moving average
over n-periods (also typically 10 periods).
The chinkin’s volatility function determiners the volatility of financial data
series using the percent change in a moving average of the high verses
low price over a given time.
Parameter
High price of the security for each given day.
Low price of security for each given day.
Moving average period the number of bars of data to include in the
moving average, including current value. A moving average period
of 10 is recommended.
Indicator value
Chaikin’s Volatility indicator is calculated by taking an exponential moving
average of the difference between the high and low prices over the given
period of time (MA Period). A percent change (or rate-of-change) is then
taken for the moving average over the given period (ROC Period). The
percent rate-of-change value is traditionally multiplied by 100 for easier
graphing.
Chaikin quantifies volatility as widening of the range between the high
and the low price of security.
chinki n' svolatility= [Toda y ' sclose−10days EMA ]∗smoothing factor+10days EMA
Smoothing factor= 21+n
A percent change (rate−of −change )= (H−L )average− (H−L )n perion ago(H−L )n period ago
∗100
To interpret this volatility. One method assumes that market tops are
generally accompanied by increased volatility (as investors get nervous
and indecisive) and that the latter stages of a market bottom are
generally accompanied by decreased volatility (as investors get bored).
Another method (Mr. Chaikin’s) assumes that an increase in the Volatility
indicator over a relatively short time period indicates that a bottom is near
(e.g., a panic sell-off) and that a decrease in volatility over a longer time
period indicates an approaching top (e.g., a mature bull market).
Usage
Chaikin’s Volatility indicator measures the volatility of a security. High
values indicate that prices are changing a large amount during the day.
Low values indicate that prices are staying relatively constant. Note that
both trending and level prices can have high or low volatility.
RELIANCE INDUSTIES
1 15 29 43 57 71 85 99 113127141155169183197211225239
-50
-30
-10
10
30
50
70
90
110
130
year-1 2005-06 % changeyear-2 2006-07 % changeyear-3 2007-08 % changeyear-4 2008-09 % changeyear-5 2009-10 % change
As per the graph shown in reliance industries 2005-06 and 2009-10
more fluctuation in high-low price in this two company has high
volatility. As per the chainkin’sS volatility it more focus on recent
data’s exponential moving average and calculate % change in high-
low price.
ONGC Ltd.
1 15 29 43 57 71 85 99 113127141155169183197211225239
-40
-20
0
20
40
60
80
100
120
year-1 2005-06 % changeyear-2 2006-07 % changeyear-3 2007-08 % changeyear-4 2008-09 % changeyear-5 2009-10 % change
As per the graph shown 2005-06 and 2009-10 has high volatility in
this company 2005-06 and 2009-10 high price is near 120 and low
price is near to -40 and many times in 2005-06 prices are more
fluctuate and less fluctuation on 2006-07 indicates low volatility in
2006-07.
NTPC Ltd.
1 15 29 43 57 71 85 99 113127141155169183197211225239
-40
-20
0
20
40
60
80
year-1 2005-06 % changeyear-2 2006-07 % changeyear-3 2007-08 % changeyear-4 2008-09 % changeyear-5 2009-10 % change
As per the graph shown in this company more fluctuation in high-
low price in 2005-06, 2006-07 and 2009-10. In all this year prices
are more fluctuate and it indicates high volatility. In many years
volatility % change also in minus 38.39 in 2005-06 and 34.37 in
2009-10.
INFOSYTCH
1 15 29 43 57 71 85 99 113127141155169183197211225239
-40
-20
0
20
40
60
80
100
year-1 2005-06 % changeyear-2 2006-07 % changeyear-3 2007-08 % changeyear-4 2008-09 % changeyear-5 2009-10 % change
As per the graph shown more fluctuation in 2007-08. In this year
high price is near to 100 and many times low price is -20 or above -
20 indicates high volatility in this year. and also in 2005-06 and
2007-08 has more fluctuation in share price indicate high volatility.
TATA CONSULTANCY
1 15 29 43 57 71 85 99 113127141155169183197211225239
-40
-20
0
20
40
60
80
100
year-1 2005-06 % changeyear-2 2006-07 % changeyear-3 2007-08 % changeyear-4 2008-09 % changeyear-5 2009-10 % change
SAs per the graph shown more fluctuation in high low price in 2005-
06 indicates high volatility. In this company in all year have more
fluctuation in high-price indicate high volatility compare to all
company.
STATE BANK OF INDIA
1 15 29 43 57 71 85 99 113127141155169183197211225239
-40
-20
0
20
40
60
80
100
120
140
160
year-1 2005-06 % changeyear-2 2006-07 % changeyear-3 2007-08 % changeyear-4 2008-09 % changeyear-5 2009-10 % change
As per the graph shown in 2005-06 and 2006-07 has more
fluctuation in share price indicate high volatility in this two year
compare to all year. In 2007-08 also more fluctuation but less
volatility compare to first two year.
BHARAT HEAVY ELETRONICS LIMITED
1 15 29 43 57 71 85 99 113127141155169183197211225239
-40
-20
0
20
40
60
80
100
year-1 2005-06 % changeyear-2 2006-07 % changeyear-3 2007-08 % changeyear-4 2008-09 % changeyear-5 2009-10 % change
In year 2005-06 has more fluctuation in high-low price and high
volatility In this year. and compare to all year low volatility in year
2009-10. Market bottom and tops are very high in this year.
ITC LTD.
1 15 29 43 57 71 85 99 113127141155169183197211225239
-60
-40
-20
0
20
40
60
80
100
year-1 2005-06 % changeyear-2 2006-07 % changeyear-3 2007-08 % changeyear-4 2008-09 % changeyear-5 2009-10 % change
As per the graph shown more fluctuation in high-low price in 2006-07 and 2007-08. Indicates high volatility in this two year compare to all years. And low volatility in year 2008-09.
.
BHARTI AIRTEL
1 15 29 43 57 71 85 99 113127141155169183197211225239
-60
-40
-20
0
20
40
60
80
100
120
140
year-1 2005-06 % changeyear-2 2006-07 % changeyear-3 2007-08 % changeyear-4 2008-09 % changeyear-5 2009-10 % change
As per the graph shown year 2005-06 and 2006-07 has high
volatility. More fluctuation high-low price also gives high return but
also associated risk is high. And compare to all year 2007-08 has
low volatility.
ICICI BANK
1 15 29 43 57 71 85 99 113127141155169183197211225239
-60
-40
-20
0
20
40
60
80
100
120
140
year-1 2005-06 % changeyear-2 2006-07 % changeyear-3 2007-08 % changeyear-4 2008-09 % changeyear-5 2009-10 % change
In ICICI Bank in year 2006-07 has high volatility and also compare to
all year in this script high fluctuation in all year. in this company
more fluctuation in high ;low share price and indicate high volatility.
FINDINGS
As per the all 10 company’s data analysis In ITC Ltd. 6.1% risk and
in ICICI bank 5% risk which is highest compare to all company. And
high volatility in this two company.
In NTPC Ltd. 1.5% risk and in ONGC Ltd. 1.6% risk indicates low
volatility in this two security.
As per the year wise comparison in year 2008-09 has high risk also
get negative return in this year in all company.
Systematic risk is measured by Beta value. Beta indicates that
Reliance industries and ICICI bank have high beta value compare to
all script which is near to 1.00 or more than 1.00 in all year so high
volatility in this two security.
As per the correlation between trading volume and share price there
are not any relationship between this two variable. And also in many
years there are inverse relationships between this two variable.
High-low price more fluctuation in year 2008-09 and also gets
highest return from all security in this year. If investor know the
high-low price of particular security in advance than get highest
return from high-low price fluctuation.
Open close price more fluctuation in TATA Consultancy and ICICI
bank indicates high open-close price volatility in this two year.
As per the chainkin’s volatility percentage change is high in ICICI
bank, reliance industries and also high fluctuation in year 2006-07
and in year 2008-09 and year 2007-08 has low volatility.
CONCLUSION
The movement of share price and trading volume are influenced by
in the flow of new information into the market. Volatility simply
means ‘risk’. And there are various statistical tools used for the
measurement of volatility. Risk is measured by the standard
deviation and coefficient of variation. Higher the value of standard
deviation indicate higher the risk and volatility. Lower the value of
standard deviation lowers the risk and volatility. standard deviation
or variance however provides a measurement of total risk
associated with security.
In ITC Ltd. Associated risk is 6.1% and in ICICI Bank associated risk
is 5% which is highest compare to all company and indicate high
volatility in this two company compare to all company. And in ONGC
Ltd. and NTPC Ltd. associated risk is less than 3% indicate low
volatility compare to all company.
Systematic risk is measured by beta value and most of the year
beta value is near to 1.00 indicate high risk in the security. In
Reliance industries and ICICI Bank has beta value is more than
1.00 and it is highest compare to all company. In this two company
high volatility. As per the correlation there are not any relationship
between share price and trading volume because in many year
correlation value is near to 0 and many year inverse relationship
between this two variable. Also measure high-low volatility. In ICICI
Bank has high volatility in high-low price.
Chinkin’s volatility indicate high-low price volatility. High –low price
is very important for the intraday transaction. May be close to close
price difference is very low but high-low price difference may be
high. Chaikin’s volatility is important tool for measurement of high-
low price volatility.
RECOMMANDATION
Here recommend to the investors , they believe in higher the risk
higher the return they should invest in reliance industries. In this
company high volatility but also get high return. In ICICI bank and
ITC ltd. have high volatility comparison to all company so
recommend to the investors not invested money in this company.
For the safety investment and who do not want to take high risk
they can invest their money in low volatile security like ONGC Ltd.
and NTPC Ltd.
Also high volatility in ICICI bank as per the high-low price volatility.
Investor those who want to take high risk they invested they
invested in this company.
BIBILOGRAPHY
BOOKS
S.Kevin (2008) “security analysis an portfolio management”, 3/ rd
edition, PHI publication, pp(18-29), (54-73).
Ken Black (2008)”Business statistics”,4/th edition, WILEY publication
Ltd, pp(58-61).
WEBSITE
• http://www.tradingsolutions.com/functions/ChaikinsVolatility.html
• http://money.rediff.com/companies/market-capitalisation
• http://www.investopedia.com/terms/c/coefficientofvariation.asp
• http://stocks.about.com/od/evaluatingstocks/a/beta120904.htm
• http://www.sharekhan.com/Services/
• http://www.investopedia.com/terms/v/volatility.asp