Lock Down Effect on Few Sectors

The first case of coronavirus pandemic in India was reported on

30th January 2020, originating from China. The outbreak has

been declared as pandemic by World Health Organization (WHO).

Here we have collected stock data from different sectors and split

data into different phases. Nifty-50 is used as stock index.

First phase started from 7th January, 2020, first case found in

china and continues to 30th January, when first COVID-19 case

found in India.

Second Phase started from 30th January continues to 24th

March, when Lockdown Announced in India.

Third Phase is the during Lockdown Phase (24th March to 31st

May).

We have used Capital Asset Pricing Model (CAPM) to find the

the effect of the pandemic on various stock indicators.

Phase-1

We have collected data from 7th Jan,2020 when first COVID-19

case found in China, to 30th Jan,2020 when first case in India is

reported.

Capital Asset Pricing Model (CAPM)

According to this model Return of the stock at time t

Rt =α + β RM, t + ϵt

Where RM, t is the return of the market index, α is the constant

(also called Jensen’s alphas) and, finally, β is the measure of

systematic risk for the stock.

Here Nifty-50 is used as benchmark stock indicator.

Different Sector

Bharti Airtel Limited

The following result has been observed after fitting Capital Asset

Pricing Model (CAPM) on Airtel stock data.

Here Alpha is 0.004536 and Beta is 0.602724. An alpha of zero

suggests that an investment has earned a return commensurate

with the risk. A beta of zero implies no correlation between the

assets. Any beta above zero would imply a positive correlation

with volatility expressed by how much over zero the number is.

MakeMyTrip Limited

We have got alpha and beta value after fitting Capital Asset

Pricing Model (CAPM) on MakeMyTrip Limited stock data.

Here Alpha is 0.000237 and Beta is 2.1109. An Alpha of zero

suggests that an investment has earned a return commensurate

with the risk. A stock with a Beta of 2.0 would imply volatility

twice the benchmark

Cipla Pharmaceutical Company

(A Pharmaceutical company preparing different test kits of COVID-19)

The following result has been found after fitting Capital Asset

Pricing Model (CAPM) on Cipla stock data.

Here Alpha is -0.002254 ,Beta 0.365385. Alpha –ve indicate that

the investment underperformed.

Phase-2

Stock data of different sectors has been collected from first

COVID-19 case in India (30th Jan, 2020) to Lockdown

Announcement (24th March, 2020).

Announcement in India (24th March, 2020).

Different Sector

Bharti Airtel Limited

Summary of Capital Asset Pricing Model (CAPM) fitting, on Airtel

second phase stock data.

Here Alpha is 0.004149 and Beta is 0.833919. An Alpha of zero

suggests that an investment has earned a return commensurate

with the risk. Here Beta is 0.8.Any beta above zero would imply a

positive correlation with volatility expressed by how much over

zero the number is.

MakeMyTrip Limited

The following result is observed after fitting Capital Asset Pricing

Model (CAPM) on MakeMyTrip stock data. Here Nifty-50 as stock

index.

Here Alpha -0.004384. Alpha –ve indicate that the investment

underperformed. Beta 1.127222. Beta greater than 1 indicates

that its price is more volatile than the market.

Cipla Pharmaceutical Company

We have got alpha and beta value after fitting Capital Asset

Pricing Model (CAPM) on Cipla second phase stock data.

Here Beta 0.580669 and Alpha 0.00118747. An Alpha of zero

suggests that an investment has earned a return commensurate

with the risk. Here beta is 0.8.Any beta above zero would imply a

positive correlation with volatility expressed by how much over

zero the number is.

Phase-3

Stock data has been collected during lockdown period from

Lockdown Announcement in India (24th March, 2020) to 31st

May, 2020.

Different Sector

Bharti Airtel Limited

The following result has been observed after fitting Capital Asset

Pricing Model (CAPM) on Airtel stock data.

Here Beta 0.68627352 and Alpha 0.004513943. An Alpha of zero

suggests that an investment has earned a return commensurate

with the risk. Here beta is 0.68.Any beta above zero would imply

a positive correlation with volatility expressed by how much over

zero the number is.

MakeMyTrip Limited

We have got alpha and beta value after fitting Capital Asset

Pricing Model (CAPM) on MakeMyTrip third phase stock data.

Residuals:

Min 1Q Median 3Q Max

-0.104097 -0.037567 -0.008006 0.037747 0.135186

Coefficients: Estimate Std. Error t value Pr(>|t|)

(Intercept) 0.002431 0.008670 0.280 0.7806

MyData$Nifty 0.675866 0.306632 2.204 0.0335 *

---

Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 0.05467 on 39 degrees of freedom

Multiple R-squared: 0.1108, Adjusted R-squared: 0.08797

F-statistic: 4.858 on 1 and 39 DF, p-value: 0.03348

Here Beta 0.6758 and Alpha 0.0024314. An Alpha of zero

suggests that an investment has earned a return commensurate

with the risk. Here beta is 0.67.Any beta above zero would imply

a positive correlation with volatility expressed by how much over

zero the number is.

Cipla Pharmaceutical Company

Fitting Capital Asset Pricing Model (CAPM) on third phase stock

data of Cipla Pharmaceutical Company, the following result has

been found.

Residuals:

Min 1Q Median 3Q Max

-0.03954 -0.02206 -0.01137 0.01120 0.10711

Coefficients:

Estimate Std. Error t value Pr(>|t|)

(Intercept) 0.012384 0.005358 2.311 0.0262 *

MyData$Nifty 0.075190 0.189504 0.397 0.6937

--- Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 0.03379 on 39 degrees of freedom

Multiple R-squared: 0.00402, Adjusted R-squared: -0.02152

F-statistic: 0.1574 on 1 and 39 DF, p-value: 0.6937

Here Beta 0.0751899 and Alpha 0.0123843. An alpha above

zero represents how much better stock or portfolio performed

over time than the benchmark. Here beta is 0.75.Any beta above

zero would imply a positive correlation with volatility expressed

by how much over zero the number is.

Comparison of stock indicator of different companies on

different phase-

Here Alpha, Beta values of different companies during three

phases has been compared. Alpha shows how well (or badly) a stock

has performed in comparison to a benchmark index. Here Nifty-50

used as stock index. Beta indicates how volatile a stock's price has

been in comparison to the market as a whole. A high alpha is always

good. A high beta may be preferred by an investor in growth stocks

but shunned by investors who seek steady returns and lower risk.

Industry Phase Beta Alpha Standard Deviation

Adjusted R-squared

Bharti Airtel Limited

Phase-1 0.6027238 0.004536 0.0223456 -0.0329

Make MyTrip Limited

Phase-1 2.1109705 0.00023695 0.026691 0.1674

Cipla Pharmaceutical company

Phase-1 0.3653847 -0.0022540 0.01111661 0.4069

Bharti Airtel Limited

Phase-2 0.8339190 0.00414869 0.0189773 0.7033

Make MyTrip Limited

Phase-2 1.127222 -0.00438417 0.0189773 0.3051

Cipla

Pharmaceutical company

Phase-2 0.580669 0.00118747 0.02282458 0.4369

Bharti Airtel Limited

Phase-3 0.68627352 0.004513943 0.033729 0.2331

Make MyTrip Limited

Phase-3 0.675866 0.0024314 0.05467 0.08797

Cipla Pharmaceutical company

Phase-3 0.0751899 0.0123843 0.033785 -0.02152