Scribd Logo
Upload

Welcome to Scribd!

  • ICICI BANK Limited (APRIL2008-MARCH11)

    Uploaded by

    Amit Yadav
    12 views2 pages
    This document calculates the beta of ICICI Bank stock compared to the market index over a 3 year period from April 2008 to March 2011. It provides the monthly returns and deviations for both the market and the stock. It then calculates the covariance between the market and stock returns, the variance of the market returns, and the resulting beta of 1.73, indicating that the stock's volatility is 1.73 times that of the overall market.

    Original Description:

    Original Title

    77323

    Copyright

    © Attribution Non-Commercial (BY-NC)

    Available Formats

    DOCX, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    This document calculates the beta of ICICI Bank stock compared to the market index over a 3 year period from April 2008 to March 2011. It provides the monthly returns and deviations for both the market and the stock. It then calculates the covariance between the market and stock returns, the variance of the market returns, and the resulting beta of 1.73, indicating that the stock's volatility is 1.73 times that of the overall market.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as DOCX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as docx, pdf, or txt
    12 views2 pages

    ICICI BANK Limited (APRIL2008-MARCH11)

    Uploaded by

    Amit Yadav
    This document calculates the beta of ICICI Bank stock compared to the market index over a 3 year period from April 2008 to March 2011. It provides the monthly returns and deviations for both the market and the stock. It then calculates the covariance between the market and stock returns, the variance of the market returns, and the resulting beta of 1.73, indicating that the stock's volatility is 1.73 times that of the overall market.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as DOCX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as docx, pdf, or txt
    of 2

    ICICI BANK Limited (APRIL2008-MARCH11)

    Calculation Of of 3 years
    S.No.

    March
    April
    May
    June
    July
    august
    september
    october
    november
    december
    january
    february
    March
    April
    May
    June
    July
    august
    september
    october
    november
    december
    january
    february
    March
    April
    May
    June

    NSE
    MARKET(
    m)

    ICICI
    STOCK
    PRISE
    (i)

    RETURNS
    OF
    MARKET
    (%)

    RETURNS
    OF
    STOCK
    (%)

    DEVIATI
    ON
    OF
    MARKET
    (dm)

    4,734.50
    5165.9
    4870.1
    4040.55
    4332.95
    4360
    3921.2
    2885.6
    2755.1
    2959.15
    2874.8
    2763.65
    3020.95
    3473.95
    4448.95
    4291.1
    4636.45
    4662.1
    5083.95
    4711.7
    5032.7
    5201.05
    5225.65
    4922.3
    5249.1
    5278
    5086.3
    5312.5

    761
    881
    786.55
    635
    633
    670.65
    540
    399.5
    354
    447.6
    415.25
    333
    333.8
    481
    736
    725.6
    759.95
    751.6
    904.95
    793
    863.05
    880
    829.55
    869
    955
    948.2
    866
    860.1

    9.11
    -5.73
    -17.03
    7.24
    0.62
    -10.06
    -26.41
    -4.52
    7.41
    -2.85
    -3.87
    9.31
    15.00
    28.07
    -3.55
    8.05
    0.55
    9.05
    -7.32
    6.81
    3.35
    0.47
    -5.81
    6.64
    0.55
    -3.63
    4.45

    15.77
    -10.72
    -19.27
    -0.31
    5.95
    -19.48
    -26.02
    -11.39
    26.44
    -7.23
    -19.81
    0.24
    44.10
    53.01
    -1.41
    4.73
    -1.10
    20.40
    -12.37
    8.83
    1.96
    -5.73
    4.76
    9.90
    -0.71
    -8.67
    -0.68

    -8.08
    5.73
    17.03
    -7.24
    -0.62
    10.06
    26.41
    4.52
    -7.41
    2.85
    3.87
    -9.31
    -15.00
    -28.07
    3.55
    -8.05
    -0.55
    -9.05
    7.32
    -6.81
    -3.35
    -0.47
    5.81
    -6.64
    -0.55
    3.63
    -4.45

    DEVIATI
    ON OF
    STOCK
    (di)

    -13.54
    10.72
    19.27
    0.31
    -5.95
    19.48
    26.02
    11.39
    -26.44
    7.23
    19.81
    -0.24
    -44.10
    -53.01
    1.41
    -4.73
    1.10
    -20.40
    12.37
    -8.83
    -1.96
    5.73
    -4.76
    -9.90
    0.71
    8.67
    0.68

    dm*di

    109.45
    61.39
    328.20
    -2.28
    3.71
    196.06
    687.16
    51.51
    195.83
    20.60
    76.58
    2.24
    661.27
    1487.91
    5.01
    38.10
    -0.61
    184.62
    90.58
    60.18
    6.57
    -2.71
    -27.61
    65.70
    -0.39
    31.49
    -3.03

    dm2

    65.33
    32.79
    290.14
    52.37
    0.39
    101.29
    697.50
    20.45
    54.85
    8.13
    14.95
    86.68
    224.86
    787.70
    12.59
    64.77
    0.31
    81.88
    53.61
    46.41
    11.19
    0.22
    33.70
    44.08
    0.30
    13.19
    19.78

    COVARIAN
    CEAB=(dm
    *di)/n-1

    COVARIANCEdA
    =(dm*di)/n1

    July
    august
    september
    october
    november
    december
    january
    february
    March

    5367.6
    5402.4
    6029.95
    6017.7
    5862.7
    6134.5
    5505.9
    5333.25
    5833.75

    901.35
    978.15
    1118
    1164.1
    1148.8
    1139.3
    1019.4
    973
    1114

    1.04
    0.65
    11.62
    -0.20
    -2.58
    4.64
    -10.25
    -3.14
    9.38

    4.80
    8.52
    14.30
    4.12
    -1.31
    -0.83
    -10.52
    -4.55
    14.49

    AVERGE

    1.03

    2.23

    -1.04
    -0.65
    -11.62
    0.20
    2.58
    -4.64
    10.25
    3.14
    -9.38

    -4.80
    -8.52
    -14.30
    -4.12
    1.31
    0.83
    10.52
    4.55
    -14.49

    4.97
    5.52
    166.08
    -0.84
    3.39
    -3.83
    107.84
    14.27
    135.99

    1.08
    0.42
    134.93
    0.04
    6.63
    21.49
    105.00
    9.83
    88.07

    2894.48

    1674.03

    82.70

    47.83

    1.73

    You might also like