Professional Documents
Culture Documents
"Systematic Risk Assessment of Selected Banking Scrips" With Reference To Motilal Oswal Secu
"Systematic Risk Assessment of Selected Banking Scrips" With Reference To Motilal Oswal Secu
ON
Submitted BY
RAMBABU PALADUGU
H.T.NO:098-060-156
1
DECLARATION
I here by declare that the project work titled “SYSTEMATIC RISK ASSESSMENT OF
was not submitted to any university or institution or published any time before.
Name and Address of the Student Signature of the Student
2
ACKNOELEDGEMENT
It is indeed a pleasant task to thank all the people who have contributed towards the
Management, ST.PAUL’S. P.G. COLLEGE for her valuable suggestions during the course of the
project.
Department of Business Management, ST.PAUL’S. P.G. COLLEGE for her kind cooperation and
Date:
3
CONTENTS
1. Introduction........................................................................................................................................5
1.a Objectives....................................................................................................................................9
2. Literature Review............................................................................................................................10
3. Company Profile..............................................................................................................................15
4. Data Analysis...................................................................................................................................34
6. Limitations.......................................................................................................................................78
7. Methodology....................................................................................................................................79
8. Bibliography....................................................................................................................................80
4
1. Introduction
The Reserve Bank of India (RBI) is India's central bank. Though the banking industry is
currently dominated by public sector banks, numerous private and foreign banks exist. India's
government-owned banks dominate the market. Their performance has been mixed, with a few being
consistently profitable. Several public sector banks are being restructured, and in some the
government either already has or will reduce its ownership.
The RBI has granted operating approval to a few privately owned domestic banks; of these many
commenced banking business. Foreign banks operate more than 150 branches in India. The entry of
foreign banks is based on reciprocity, economic and political bilateral relations. An inter-
departmental committee approves applications for entry and expansion.
Foreign banks were required to achieve an 8 percent capital adequacy norm by March 1993, while
Indian banks with overseas branches had until March 1995 to meet that target. All other banks had to
do so by March 1996. The banking sector is to be used as a model for opening up of India's
insurance sector to private domestic and foreign participants, while keeping the national insurance
companies in operation.
5
Banking
India has an extensive banking network, in both urban and rural areas. All large Indian banks are
nationalized, and all Indian financial institutions are in the public sector.
RBI banking
The Reserve Bank of India is the central banking institution. It is the sole authority for issuing bank
notes and the supervisory body for banking operations in India . It supervises and administers
exchange control and banking regulations, and administers the government's monetary policy. It is
also responsible for granting licenses for new bank branches. 25 foreign banks operate in India with
full banking licenses. Several licenses for private banks have been approved. Despite fairly broad
banking coverage nationwide, the financial system remains inaccessible to the poorest people in
India.
The banking system has three tiers. These are the scheduled commercial banks; the regional rural
banks which operate in rural areas not covered by the scheduled banks; and the cooperative and
special purpose rural banks.
There are approximately 80 scheduled commercial banks, Indian and foreign; almost 200 regional
rural banks; more than 350 central cooperative banks, 20 land development banks; and a number of
primary agricultural credit societies. In terms of business, the public sector banks, namely the State
Bank of India and the nationalized banks, dominate the banking sector.
6
India has an extensive banking network, in both urban and rural areas. All large Indian banks are
nationalized, and all Indian financial institutions are in the public sector.
The Reserve Bank of India is the central banking institution. It is the sole authority for issuing bank
notes and the supervisory body for banking operations in India . It supervises and administers
exchange control and banking regulations, and administers the government's monetary policy. It is
also responsible for granting licenses for new bank branches. 25 foreign banks operate in India with
full banking licenses. Several licenses for private banks have been approved. Despite fairly broad
banking coverage nationwide, the financial system remains inaccessible to the poorest people in
India.
The banking system has three tiers. These are the scheduled commercial banks; the regional rural
banks which operate in rural areas not covered by the scheduled banks; and the cooperative and
special purpose rural banks.
There are approximately 80 scheduled commercial banks, Indian and foreign; almost 200 regional
rural banks; more than 350 central cooperative banks, 20 land development banks; and a number of
primary agricultural credit societies. In terms of business, the public sector banks, namely the State
Bank of India and the nationalized banks, dominate the banking sector.
Local financing
All sources of local financing are available to foreign-participation companies incorporated in India,
regardless of the extent of foreign participation. Under foreign exchange regulations, foreigners and
non-residents, including foreign companies, require the permission of the Reserve Bank of India to
borrow from a person or company resident in India.
Foreign banks in India are subject to the same regulations as scheduled banks. They are permitted to
accept deposits and provide credit in accordance with the banking laws and RBI regulations.
7
Currently about 25 foreign banks are licensed to operate in India. Foreign bank branches in India
finance trade through their global networks.
RBI restrictions
The Reserve Bank of India lays down restrictions on bank lending and other activities with large
companies. These restrictions, popularly known as "consortium guidelines" seem to have outlived
their usefulness, because they hinder the availability of credit to the non-food sector and at the same
time do not foster competition between banks.
Most Indian banks are well behind foreign banks in the areas of customer funds transfer and clearing
systems. They are hugely over-staffed and are unlikely to be able to compete with the new private
banks that are now entering the market. While these new banks and foreign banks still face
restrictions in their activities, they are well-capitalized, use modern equipment and attract high-
caliber employees.
All commercial banks face stiff restrictions on the use of both their assets and liabilities. Forty
percent of loans must be directed to "priority sectors" and the high liquidity ratio and cash reserve
requirements severely limit the availability of deposits for lending. The RBI requires that domestic
Indian banks make 40 percent of their loans at concessional rates to priority sectors' selected by the
government. These sectors consist largely of agriculture, exporters, and small businesses. Since July
1993, foreign banks have been required to make 32 percent of their loans to these priority sector.
Within the target of 32 percent, two sub-targets for loans to the small scale sector (minimum of 10
percent) and exports (minimum of 12 percent) have been fixed.
8
Foreign banks, however, are not required to open branches in rural areas, or to make loans to the
agricultural sector. Commercial banks lent dols 8 billion in the Indian financial year (IFY, April-
March) 1997/98, up sharply from dols 4.4 billion in the previous year.
Grey future
one more reason being the opacity of the The Reserve Bank of India. This does not mean a forecast
of doom for the Indian banking sector the kind that has washed out south East Asia. And also not
because Indian banks are healthy. We still have no clue about the real non-performing assets of
financial institutions and banks. Many banks are now listed. That puts additional responsibility of
sharing information. It is now clear that it was the financial sector that caused the sensational
meltdown of some Asian nations. India is not Thailand, Indonesia and Korea. Borrowed investment
in property in India is low and property prices have already fallen, letting out steam gently. Our
micro-meltdown has already been happening.
Conclusion
Still, there are several other worries about the banking sector, mainly confusion over ownership and
control. Sometime soon India will be forced to apply the norms of developed countries and many
banks (including some of the biggest) will show very poor return ratios and dozens of banks will be
bankrupt. When that happens the two popular reasons to defend bad banks will disappear. These are:
one, to save face in the remote hope of those fortunes will revive' and two, some banks are too big to
be allowed to fail, fearing social upheaval.
9
1. a Objectives
• To evaluate the correlation between Nifty returns and ICICI bank returns.
• To evaluate the correlation between Nifty and ING Vysya bank returns.
For the purpose of the study was collected through secondary source of data collection method.
Major source of data are published stock prices of HDFC, ING Vysya, ICICI Bank AND NIFTY.
I collected daily prices of HDFC, ICICI, ING VYSYA BANKS and NIFTY for the period of
OCT-2006 to SEP-2007.
10
2. Literature Review
Definitions of BETA
1. A quantitative measure of the volatility of a given stock, mutual fund, or portfolio, relative to the
overall market, usually the S&P 500. Specifically, the performance the stock, fund or portfolio has
experienced in the last 5 years as the S&P moved 1% up or down. A beta above 1 is more volatile
than the overall market, while a beta below 1 is less volatile.
Notes:
Beta is calculated using regression analysis, and you can think of beta as the tendency of a security's
returns to respond to swings in the market. A beta of 1 indicates that the security's price will move
with the market. A beta less than 1 means the security will be less volatile than the market. A beta
greater than 1 indicates that the security's price will be more volatile than the market. For example, if
a stock's beta is 1.2 it's theoretically 20% more volatile than the market.
Many utilities stocks have a beta of less than 1. Conversely most high-tech NASDAQ-based stocks
have a beta greater than 1, offering the possibility of a higher rate of return but also posing more risk.
BETA
Beta describes the relationship between the stocks return and the market index returns. This can be
positive and negative. It is the percentage change in the price of the stock regressed (or related) to
the percentage change in the market index. If beta is 1, a one percentage change in market index will
lead to one percentage change in price of the stock. If beta is 0, stock price is unrelated to the market
11
index and if the market goes up by a +1%, the stock price will fall by 1% beta measures the
systematic market related risk, which cannot be eliminated by diversification. If the portfolio is
efficient, beta measures the systematic risk effectively. On the other hand alpha and epsilon measures
the unsystematic risk, which can be reduced by efficient diversification. More details of beta are
discussed else where in the book.
Beta measures no diversifiable risk. Beta show how the price of a security responds to market forces.
In effect, of more responsive the price of a security is to changes in the market, the higher will be its
beta. Beta is calculated by relating the returns on a security with the returns for the market. Market
returns is measured by the averages returns of a large sample of stocks, such as the S&P 500 stock
index. The beta for the overall market is equal to 1.00 and other betas are viewed in relation to this
value.
Betas can be positive or negative. However, nearly all betas are positive and most betas lie
somewhere between 0.4 and 1.9. Listed in Table 3-3 are the betas for some stocks, as reported by
value line in late 1993
Company Beta
12
Goodyear Tire 1.05
Hecla Mining 0.35
Idaho Power 0.6
IBM 0.95
Kellogg 1.1
Laquinta Inns 0.8
Mattel 1.45
McDonald's 0.86
Merrill Lynch 1.75
Newmont Mining 0.35
Pespi Co. 1.15
Peidmont Natural Gas 0.6
Quaker State Corp. 0.9
Reebok, Intl/ 1.6
Smucker, J.M. 0.9
Texaco 0.6
Tootsie Roll 0.8
Toys 'R' Us 1.45
Wendy's Intl. 1.1
Many large brokerage firms (such as Merrill Lynch) as well as subscription services (such as value
line) publish betas for a large number of stocks.
Investors will find beta helpful in assessing systematic risk and understanding the impact of market
movement can have on the return expected from a share turn over the next year, a stock having a
beta of 1.80 would be expected to provide a 10 percent to experiences an increase in returns of
approximately 18 percent (1.80*10%) over the same period. This particular stock is much more
volatile than the market as a whole.
Decreases in market return are translated into decrease security returns and this where the risk lies.
In the preceding example, if the market is expected to experiences a negative return 10 percent, then
13
the stock with a beta of 1.8 should experience a 18 percent decrease [1.8 times – 10]. Stocks having
betas of less than 1 will, of course be less responsive to changing returns in the market, and therefore
are considered less risky.
A quantitative measure of the volatility of a given stock, mutual fund, or portfolio, relative to the
overall market, usually the S&P 500. Specifically, the performance the stock, fund or portfolio has
experienced in the last 5 years as the S&P moved 1% up or down. A beta above 1 is more volatile
than the overall market, while a beta below 1 is less volatile.
14
15
3.a Introduction to Motilal Oswal Securities Ltd.
Motilal Oswal Financial Services is a well diversified financial services group having businesses
in securities, commodities, investment banking and venture capital. With 1300 business locations
and more than 3,85,000 customers in over 425 cities, Motilal Oswal is well suited to handle all
your wealth creation and wealth management needs. The company has in the last year placed
9.48% with two leading private equity investors - New Vernon Private Equity Limited and
Bessemer Venture Partners at post money company valuation of Rs. 1345 crore. (Rs. 13.45
billion).
Motilal Oswal Financial Services Ltd., consists of four companies.
Motilal Oswal Investment Advisors Pvt. Ltd. is our Investment Banking arm with collective
experience of over 100 years in investment banking/corporate banking and advisory services
Motilal Oswal Commodities Broker (P) Ltd. has been providing commodity trading facilities
and related products and services since 2004.
Motilal Oswal Venture Capital Advisors Private Limited has launched the India Business
Excellence Fund (IBEF), a US$100 mn India focused Private Equity Fund.
Motilal Oswal Securities Ltd. (MOSt) is a leading research and advisory based stock broking
house of India, with a dominant position in both institutional equities and wealth management.
Our services include equities, derivatives, e-broking, portfolio management, mutual funds,
commodities, IPOs and depository services.
In March 2006, AQ Research, a firm that analyses the accuracy of a broker’s research call,
declared Motilal Oswal Securities the best research house for Indian stocks.
Research is the solid foundation on which Motilal Oswal Securities advice is based. Almost 10%
of revenue is invested on equity research and we hire and train the best resources to become
advisors. At present we have 24 equity analysts researching over 26 sectors. From a fundamental,
technical and derivatives research perspective; Motilal Oswal's research reports have received
wide coverage in the media (over a 1000 mentions last year).
Motilal Oswal Securities has witnessed rapid organic growth due to favorable market conditions
as well as efforts put in by the company itself. FY05 and FY06 saw the company grow
16
inorganically through acquisition of three significant regional broking firms from Karnataka,
Kerala and UP. Over a period of time many more regional broking firms may be acquired to gain
solid footing in various regions of India.
The company has also established a base in the UAE to address the needs of the overseas
audience.
Motilal Oswal Securities Ltd. was founded in 1987 as a small sub-broking unit, with just two
people running the show. Focus on customer-first-attitude, ethical and transparent business
practices, respect for professionalism, research-based value investing and implementation of
cutting-edge technology have enabled us to blossom into an almost two thousand-member team.
Our institutional business unit has relationships with almost all leading foreign institutional
investors (FIIs) in the US, UK, Hong Kong and Singapore.
The retail business unit provides equity investment solutions to more than 3,85,000 investors
through 1300 Business locations spanning over 425 cities. These solutions are provided by a
force of over 2000 employees and over 808 Business Associates. We provide advice-based
broking (equities and derivatives), portfolio management services (PMS), e-Broking, depository
services, commodities trading, IPO and mutual fund investment advisory services.
Our Value Portfolio has demonstrated very strong performance backed by our single-minded
focus on research-based value investing and the experience and management of Mr. Raamdeo
Agrawal – an acknowledged expert in value investing.
Our unique Wealth Creation Study, authored by Mr. Raamdeo Agrawal, Managing Director, is
now in its eleventh year. Investors keenly await this annual study for the wealth of information it
has on how companies created wealth during the preceding five years.
The organization finds its strength in its team of young, talented and confident individuals.
Qualified professionals carry out different functions under the able leadership of its promoters,
Mr. Motilal Oswal and Mr. Raamdeo Agrawal. Stringent employee selection process, focus on
continuous training and adoption of best management practices drive the quest to achieving our
Core Purpose and Values
17
3.b Introduction to HDFC Bank
Against the milieu of rapid urbanization and a changing socio-economic scenario, the demand for
housing has grown explosively. The importance of the housing sector in the economy can be
illustrated by a few key statistics. According to the National Building Organization (NBO), the
total demand for housing is estimated at 2 million units per year and the total housing shortfall is
estimated to be 19.4 million units, of which 12.76 million units is from rural areas and 6.64
million units from urban areas. The housing industry is the second largest employment generator
in the country. It is estimated that the budgeted 2 million units would lead to the creation of an
additional 10 million man-years of direct employment and another 15 million man-years of
indirect employment.
Having identified housing as a priority area in the Ninth Five Year Plan (1997-2002), the
National Housing Policy has envisaged an investment target of Rs. 1,500 billion for this sector. In
order to achieve this investment target, the Government needs to make low cost funds easily
available and enforce legal and regulatory reforms.
Background
HDFC was incorporated in 1977 with the primary objective of meeting a social need – that of
promoting home ownership by providing long-term finance to households for their housing
needs. HDFC was promoted with an initial share capital of Rs. 100 million.
Business Objectives
The primary objective of HDFC is to enhance residential housing stock in the country through
the provision of housing finance in a systematic and professional manner, and to promote home
18
ownership. Another objective is to increase the flow of resources to the housing sector by
integrating the housing finance sector with the overall domestic financial markets..
Organizational Goals
19
3.c Introduction to ICICI Bank
ICICI Bank is India's second-largest bank with total assets of about Rs. 2,513.89 bn (US$ 56.3
bn) at March 31, 2006 and profit after tax of Rs. 25.40 bn (US$ 569 mn) for the year ended
March 31, 2006 (Rs. 20.05 bn (US$ 449 mn) for the year ended March 31, 2005). ICICI Bank
has a network of 741 branches (including 48 extension counters) and over 3300 ATMs in India
and presence in 30 International locations. ICICI Bank offers a wide range of banking products
and financial services to corporate and retail customers through a variety of delivery channels
and through its specialized subsidiaries and affiliates in the areas of investment banking, life and
non-life insurance, venture capital and asset management. ICICI Bank set up its international
banking group in fiscal 2002 to cater to the cross border needs of clients and leverage on its
domestic banking strengths to offer products internationally. ICICI Bank currently has
subsidiaries in the United Kingdom, Russia and Canada, branches in Singapore, Bahrain, Hong
Kong, Sri Lanka and Dubai International Finance Centre and representative offices in the United
States, United Arab Emirates, China, South Africa and Bangladesh. Our UK subsidiary has
established a branch in Belgium. ICICI Bank is the most valuable bank in India in terms of
market capitalization.
ICICI Bank's equity shares are listed in India on the Bombay Stock Exchange and the National
Stock Exchange of India Limited and its American Depositary Receipts (ADRs) are listed on the
New York Stock Exchange (NYSE).
ICICI Bank has formulated a Code of Business Conduct and Ethics for its directors and
employees.
ICICI Bank was originally promoted in 1994 by ICICI Limited, an Indian financial institution,
and was its wholly-owned subsidiary. ICICI's shareholding in ICICI Bank was reduced to 46%
through a public offering of shares in India in fiscal 1998, an equity offering in the form of ADRs
listed on the NYSE in fiscal 2000, ICICI Bank's acquisition of Bank of Madura Limited in an all-
stock amalgamation in fiscal 2001, and secondary market sales by ICICI to institutional investors
in fiscal 2001 and fiscal 2002. ICICI was formed in 1955 at the initiative of the World Bank, the
Government of India and representatives of Indian industry. The principal objective was to create
a development financial institution for providing medium-term and long-term project financing
to Indian businesses. In the 1990s, ICICI transformed its business from a development financial
institution offering only project finance to a diversified financial services group offering a wide
20
variety of products and services, both directly and through a number of subsidiaries and affiliates
like ICICI Bank. In 1999, ICICI become the first Indian company and the first bank or financial
institution from non-Japan Asia to be listed on the NYSE.
After consideration of various corporate structuring alternatives in the context of the emerging
competitive scenario in the Indian banking industry, and the move towards universal banking, the
managements of ICICI and ICICI Bank formed the view that the merger of ICICI with ICICI
Bank would be the optimal strategic alternative for both entities, and would create the optimal
legal structure for the ICICI group's universal banking strategy. The merger would enhance value
for ICICI shareholders through the merged entity's access to low-cost deposits, greater
opportunities for earning fee-based income and the ability to participate in the payments system
and provide transaction-banking services. The merger would enhance value for ICICI Bank
shareholders through a large capital base and scale of operations, seamless access to ICICI's
strong corporate relationships built up over five decades, entry into new business segments,
higher market share in various business segments, particularly fee-based services, and access to
the vast talent pool of ICICI and its subsidiaries. In October 2001, the Boards of Directors of
ICICI and ICICI Bank approved the merger of ICICI and two of its wholly-owned retail finance
subsidiaries, ICICI Personal Financial Services Limited and ICICI Capital Services Limited, with
ICICI Bank. The merger was approved by shareholders of ICICI and ICICI Bank in January
2002, by the High Court of Gujarat at Ahmedabad in March 2002, and by the High Court of
Judicature at Mumbai and the Reserve Bank of India in April 2002. Consequent to the merger,
the ICICI group's financing and banking operations, both wholesale and retail, have been
integrated in a single entity.
*Free float holding excludes all promoter holdings, strategic investments and cross holdings
among public sector entities.
21
3.d Introduction to ING Vysya
ING Vysya Bank Ltd., is an entity formed with the coming together of erstwhile, Vysya Bank
Ltd, a premier bank in the Indian Private Sector and a global financial powerhouse, ING of Dutch
origin, during Oct 2002.
The origin of the erstwhile Vysya Bank was pretty humble. It was in the year 1930 that a team of
visionaries came together to found a bank that would extend a helping hand to those who weren't
privileged enough to enjoy banking services.
It's been a long journey since then and the Bank has grown in size and stature to encompass
every area of present-day banking activity and has carved a distinct identity of being India's
Premier Private Sector Bank.
In 1980, the Bank completed fifty years of service to the nation and post 1985; the Bank made
rapid strides to reach the coveted position of being the number one private sector bank. In 1990,
the bank completed its Diamond Jubilee year. At the Diamond Jubilee Celebrations, the then
Finance Minister Prof. Madhu Dandavate, had termed the performance of the bank ‘Stupendous’.
The 75th anniversary, the Platinum Jubilee of the bank was celebrated during 2005.
Profile
ING has gained recognition for its integrated approach of banking, insurance and asset
management. Furthermore, the company differentiates itself from other financial service
22
providers by successfully establishing life insurance companies in countries with emerging
economies, such as Korea, Taiwan, Hungary, Poland, Mexico and Chile. Another specialisation is
ING Direct, an Internet and direct marketing concept with which ING is rapidly winning retail
market share in mature markets. Finally, ING distinguishes itself internationally as a provider of
‘employee benefits’, i.e. arrangements of nonwage benefits, such as pension plans for companies
and their employees.
Mission
ING`s mission is to be a leading, global, client-focused, innovative and low-cost provider of
financial services through the distribution channels of the client’s preference in markets where
ING can create value.
Vision
To be a dominant player in the Indian mutual fund space, recognized for its high levels of
ethical and professional conduct and a commitment towards enhancing investor interests.
23
3.e Introduction to NSE
The NSE was incorporated in Nov 1992 with an equity capital of Rs.25 Crores. The International
securities constancy (ISC) of Hong Kong has helped in setting up NSE. ISC has prepared the
detailed business plans and installation of hard ware and software system. The promotion of
NSE were financial institution, insurance’s, companies, banks and SEBI capital market Ltd.
Infrastructure leasing and financial service limited. And stock Holding Corporation limited.
It has been set up to strength the move towards professionalisation of capital market as well as
provides nation wide securities trading facilities to investors.
NSE exchange in traditional sense was brokers own and manages the exchange. A two tier
administrative set up involving a company board and a governing aboard of exchange is
envisaged.
NSE is a national market of share PSU bonds, debentures and government securities since
infrastructure and trading facilities are provided.
NSE-NIFTY:
The NSE on April 22, 1996 launched a new equity Index. The NSE-50. The new Index which
replaces the existing NSE –100 Index is expected to serve as an appropriate Index for new
segment of futures and options.
The NSE-50 comprises 50 companies that represent 20 board industry groups with a aggregate
market capitalization of around Rs.170, 000 crores. All company included in the Index have a
market capitalization in excess of Rs.500 crores each and should have traded for 85% of trading
day at an impact cost of less then 1.5%.
The base period for the index is the close of prices on November 3, 1995, which makes one year
of completion of operations on NSE capital market segment. The base value of Index is set at
1000.
24
NSE-MIDCAP INDEX:
The NSE madcap Index or the Junior Nifty comprises fifty stocks that represents 21 board
industries group and will provide proper representation of madcap segment of Indian Capital
Market. All stocks in a index should have market capitalization off greater then Rs.200 crores and
should have 85% of trading days at impact cost of less than 2.5%.
The base period for the index is November 4th, 1996, which signifies 2 years of completion of
operations of the capital market segment the operations. The base value of index has been at
1000. Average daily turnover of the present scenario 258212 (laces) and number of average daily
trades d2160 (laces).
India is a land of many cultures and languages. Its vibrancy and quest for growth throws up as
many questions as it throws up new answers.
With globalization people are constantly seeking broader horizon of knowledge and information.
How much has the country prospered? How well is the economy doing? Nifty is the platform on
which India finds these answers.
The Nifty Index is a composite of the top 50 stocks listed on the National Stock Exchange (NSE).
It is a simplified tool that helps investors and ordinary people alike, to understand what is
happening in the stock market and by extension, the economy. If the Nifty Index performs well, it
is a signal that companies in India are performing well and consequently that the country is doing
well.
An upbeat economy is usually reflected in a strong performance of the Nifty Index. A rising
index is also indicative that the investors are gung-ho about the future.
The Nifty Index is based upon solid economic research. It is internationally respected and
recognized as a pioneering effort in providing simpler understanding of stock market
complexities.
Nifty is the flagship index of NSE, the 3rd largest stock exchange in the world in terms of
number of transactions (Stock Futures).
*Nifty has been used to represent S&P CNX Nifty, owned and managed by India Index Services
and Products Ltd. (IISL), a joint venture between NSE and CRISIL.
25
• Nifty index can be used by individuals to track market movements and compare performance
of individual companies’ vis-à-vis market performance.
• Assist traders and market intermediaries to evaluate performance and sentiments across the
market.
• Derivative trading - Investors can use Nifty indices for hedging their exposures in the equity
markets.
• Benchmarking NAV performances - Nifty is the benchmark for performance of open ended
and close ended funds.
The next rung of liquid securities after S&P CNX Nifty is the CNX Nifty Junior index. It may be
useful to think of the S&P CNX Nifty and the CNX Nifty Junior as making up the 100 most
liquid stocks in India.
As with the S&P CNX Nifty, stocks in the CNX Nifty Junior are filtered for liquidity, so they are
the most liquid of the stocks excluded from the S&P CNX Nifty.
The maintenance of the S&P CNX Nifty and the CNX Nifty Junior are synchronized so that the
two indexes will always be disjoint sets; i.e. a stock will never appear in both indexes at the same
time. Hence it is always meaningful to pool the S&P CNX Nifty and the CNX Nifty Junior into a
composite 100 stock indexes or portfolio.
• CNX Nifty Junior represents about 10% of the total market capitalization as on August 31,
2004
• The average traded value for the last six months of all Junior Nifty stocks is approximately
8% of the traded value of all stocks on the NSE
26
• Impact cost for CNX Nifty Junior for a portfolio size of Rs.2.50 million is 0.30%
Automobiles - 2 and 3
TVS Motor Company Ltd. INE494B01023
wheelers
Ashok Leyland Ltd. Automobiles - 4 wheelers INE208A01029
27
I-Flex Solutions Ltd. Computers - software INE881D01027
28
Wockhardt Ltd. Pharmaceuticals INE049B01025
Bongaigaon Refinery & Petrochemicals
Refineries INE241A01012
Ltd.
Chennai Petroleum Corporation Ltd. Refineries INE178A01016
S&P CNX Nifty is a well diversified 50 stock index accounting for 22 sectors of the economy. It
is used for a variety of purposes such as benchmarking fund portfolios, index based derivatives
and index funds.
S&P CNX Nifty is owned and managed by India Index Services and Products Ltd. (IISL), which
is a joint venture between NSE and CRISIL. IISL is India's first specialised company focused
upon the index as a core product. IISL have a consulting and licensing agreement with Standard
& Poor's (S&P), who are world leaders in index services.
• The average total traded value for the last six months of all Nifty stocks is approximately
45.24% of the traded value of all stocks on the NSE
• Nifty stocks represent about 57.92% of the total market capitalization as on April 10, 2007.
• Impact cost of the S&P CNX Nifty for a portfolio size of Rs.5 million is 0.08%
• S&P CNX Nifty is professionally maintained and is ideal for derivatives trading
29
Company Industry ISN Code
30
ICICI Bank Ltd. Banks INE090A01013
Indian Petrochemicals
Petrochemicals INE006A01019
Corporation Ltd.
Infosys Technologies Ltd. Computers - software INE009A01021
31
Tata Motors Ltd. Automobiles - 4 wheelers INE155A01014
32
33
RETURNS, MEAN, VARIANCE AND STANDARD DEVIATION OF HDFC BANK FOR
THE MONTH OF APR-2007
Close
s.no Date Price return (X-Xbar) (X-Xbar)2 SD
1 2-Apr-07 901.35 -5.96 -6.28 39.43
2 3-Apr-07 914.2 1.43 1.11 1.23
3 4-Apr-07 925.05 1.19 0.87 0.75
4 5-Apr-07 942.6 1.9 1.58 2.50
5 9-Apr-07 971.15 3.03 2.71 7.34
6 10-Apr-07 991.95 2.14 1.82 3.31
7 11-Apr-07 979.35 -1.27 -1.59 2.52
8 12-Apr-07 958.35 -2.14 -2.46 6.05
9 13-Apr-07 981.2 2.38 2.06 4.24
10 16-Apr-07 974.95 -0.64 -0.96 0.92
11 17-Apr-07 978.05 0.32 0 0
12 18-Apr-07 980.4 0.24 -0.08 0.00
13 19-Apr-07 982.45 0.21 -0.11 0.01
14 20-Apr-07 994.6 1.24 0.92 0.84
15 23-Apr-07 986.8 -0.78 -1.1 1.21
16 24-Apr-07 1013.75 2.73 2.41 5.80
17 25-Apr-07 1031 1.7 1.38 1.90
18 26-Apr-07 1034.45 0.33 0.01 0.00
19 27-Apr-07 1014.6 -1.92 -2.24 5.01
mean 0.32 variance 4.37 2.10
GRAPHICAL REPRESENTATION
4
2
0
1 3 5 7 9 11 13 15 17 19
-2 Series1
-4
-6
-8
The above table and graph shows the daily returns of HDFC bank, it reveals that it started with
negative return and there is continuous rise and fall in the stock prices; here the average return is
0.32 with a price variation of 4.37 and risk factor 2.10. Thus we can say that the risk is very high
when compared to returns.
34
RETURNS, MEAN, VARIANCE AND STANDARD DEVIATION OF HDFC BANK FOR
THE MONTH OF MAY-2007
Close
s.no Date Price return (X-Xbar) (X-Xbar)2 SD
1 3-May-07 1004.6 -0.99 -1.64 2.68
2 4-May-07 1007.75 0.31 -0.34 0.11
3 7-May-07 1000.05 -0.76 -1.41 1.98
4 8-May-07 991.3 -0.87 -1.52 2.31
5 9-May-07 994.7 0.34 -0.31 0.10
6 10-May-07 1011.8 1.72 1.07 1.14
7 11-May-07 992.6 -1.9 -2.55 6.50
8 14-May-07 995.9 0.33 -0.32 0.10
9 15-May-07 1011.05 1.52 0.87 0.75
10 16-May-07 1035.45 2.41 1.76 3.10
11 17-May-07 1042.05 0.64 -0.01 0.00
12 18-May-07 1070.3 2.71 2.06 4.24
13 21-May-07 1106.8 3.41 2.76 7.61
14 22-May-07 1115.1 0.75 0.1 0.01
15 23-May-07 1114.65 -0.04 -0.69 0.47
16 24-May-07 1091.15 -2.11 -2.76 7.61
17 25-May-07 1069.2 -2.01 -2.66 7.07
18 28-May-07 1127.15 5.42 4.77 22.75
19 29-May-07 1144.4 1.53 0.88 0.77
mean 0.65 variance 3.65 1.91
GRAPHICAL REPRESENTATION
6
5
4
3
2 Series1
1
0
-1 1 3 5 7 9 11 13 15 17 19
-2
-3
The above table and graph shows the daily returns of HDFC bank, it reveals that there is
continuous rise and fall in the stock prices; here the average return is 0.65 with a price variation
of 3.65 and risk factor 1.91. Thus we can say that the risk is very high when compared to returns.
35
RETURNS, MEAN, VARIANCE AND STANDARD DEVIATION OF HDFC BANK FOR
THE MONTH OF JUN-2007
Close
s.no Date Price return (X-Xbar) (X-Xbar)2 SD
1 1-Jun-07 1153.45 0.79 1.04 1.08
2 4-Jun-07 1168.4 1.3 1.55 2.40
3 5-Jun-07 1159.6 -0.75 -0.5 0.25
4 6-Jun-07 1127.2 -2.79 -2.54 6.45
5 7-Jun-07 1105.55 -1.92 -1.67 2.78
6 8-Jun-07 1090.95 -1.32 -1.07 1.14
7 11-Jun-07 1097.35 0.59 0.84 0.70
8 12-Jun-07 1088.15 -0.84 -0.59 0.34
9 13-Jun-07 1082.9 -0.48 -0.23 0.05
10 14-Jun-07 1096.4 1.25 1.5 2.25
11 15-Jun-07 1110.35 1.27 1.52 2.31
12 18-Jun-07 1088.45 -1.97 -1.72 2.95
13 19-Jun-07 1099.95 1.06 1.31 1.71
14 20-Jun-07 1100.05 0.01 0.26 0.06
15 21-Jun-07 1101.8 0.16 0.41 0.16
16 22-Jun-07 1103 0.11 0.36 0.12
17 25-Jun-07 1099.8 -0.29 -0.04 0.00
18 26-Jun-07 1098.7 -0.1 0.15 0.02
19 27-Jun-07 1090.35 -0.76 -0.51 0.26
mean -0.25 variance 1.32 1.14
GRAPHICAL REPRESENTATION
0
1 3 5 7 9 11 13 15 17 19 Series1
-2
-4
The above table and graph shows the daily returns of HDFC bank, it reveals that there is
continuous rise and fall in the stock prices, here the average return is -0.25 with a price variation
of 1.32 and risk factor 1.44.Here the risk is very high when compared to returns why because the
average return is negative.
36
RETURNS, MEAN, VARIANCE AND STANDARD DEVIATION OF HDFC BANK FOR
THE MONTH OF JUL-2007
Close
s.no Date Price return (X-Xbar) (X-Xbar)2 SD
1 2-Jul-07 1147.55 5.25 4.65 21.62
2 3-Jul-07 1150.5 0.26 -0.34 0.11
3 4-Jul-07 1150.75 0.02 -0.58 0.33
4 5-Jul-07 1129.1 -1.88 -2.48 6.15
5 6-Jul-07 1158.3 2.59 1.99 3.96
6 9-Jul-07 1167.6 0.8 0.2 0.04
7 10-Jul-07 1149.3 -1.57 -2.17 4.70
8 11-Jul-07 1148.75 -0.05 -0.65 0.42
9 12-Jul-07 1201.45 4.59 3.99 15.92
10 13-Jul-07 1226.4 2.08 1.48 2.19
11 16-Jul-07 1217.65 -0.71 -1.31 1.71
12 17-Jul-07 1199.3 -1.51 -2.11 4.45
13 18-Jul-07 1200.05 0.06 -0.54 0.29
14 19-Jul-07 1209.25 0.77 0.17 0.02
15 20-Jul-07 1200.9 -0.69 -1.29 1.66
16 23-Jul-07 1230.3 2.45 1.85 3.42
17 24-Jul-07 1248.9 1.51 0.91 0.82
18 25-Jul-07 1239.05 -0.79 -1.39 1.93
19 26-Jul-07 1217.25 -1.76 -2.36 5.56
mean 0.6 variance 3.96 2.00
GRAPHICAL REPRESENTATION
The above table and graph shows the daily returns of HDFC bank, it reveals that there is
continuous rise and fall in the stock prices; here the average return is 0.6 with a price variation of
3.96 and risk factor 2.00.Here the risk factor is more than the average returns, then we can say
that the risk is very high.
RETURNS, MEAN, VARIANCE AND STANDARD DEVIATION OF HDFC BANK FOR
THE MONTH OF AUG-2007
37
Close
s.no Date Price return (X-Xbar) (X-Xbar)2 SD
1 1-Aug-07 1161.35 -4.59 -4.32 18.66
2 2-Aug-07 1152.4 -0.77 -0.5 0.25
3 3-Aug-07 1155 0.23 0.5 0.25
4 6-Aug-07 1132.5 -1.95 -1.68 2.82
5 7-Aug-07 1141.4 0.79 1.06 1.12
6 8-Aug-07 1171.75 2.66 2.93 8.58
7 9-Aug-07 1155.65 -1.37 -1.1 1.21
8 10-Aug-07 1130.5 -2.18 -1.91 3.64
9 13-Aug-07 1135.65 0.46 0.73 0.53
10 14-Aug-07 1147.65 1.06 1.33 1.76
11 16-Aug-07 1094 -4.67 -4.4 19.36
12 17-Aug-07 1068.1 -2.37 -2.1 4.41
13 20-Aug-07 1110.9 4.01 4.28 18.31
14 21-Aug-07 1103.95 -0.63 -0.36 0.12
15 22-Aug-07 1117.4 1.22 1.49 2.22
16 23-Aug-07 1100.15 -1.54 -1.27 1.61
17 24-Aug-07 1097.7 -0.22 0.05 0.00
18 27-Aug-07 1119.6 2 2.27 5.15
19 28-Aug-07 1150.6 2.77 3.04 9.24
mean -0.27 variance 5.22 2.28
GRAPHICAL REPRESENTATION
6
4
2
0 Series1
1 3 5 7 9 11 13 15 17 19
-2
-4
-6
The above table and graph shows the daily returns of HDFC bank, it reveals that there is
continuous rise and fall in the stock prices; here the average return is -0.27 with a price variation
of 5.22 and risk factor 2.28. Here average return is negative, thus we can say that the risk is very
high when compared to returns.
RETURNS, MEAN, VARIANCE AND STANDARD DEVIATION OF HDFC BANK FOR
THE MONTH OF SEP-2007
38
Close
s.no Date Price return (X-Xbar) (X-Xbar)2 SD
1 3-Sep-07 1176.4 2.24 1.06 1.12
2 4-Sep-07 1176.45 0 -1.18 1.39
3 5-Sep-07 1172.45 -0.34 -1.52 2.31
4 6-Sep-07 1184.6 1.04 -0.14 0.01
5 7-Sep-07 1196.55 1.01 -0.17 0.02
6 10-Sep-07 1196.1 -0.04 -1.22 1.48
7 11-Sep-07 1187.8 -0.69 -1.87 3.49
8 12-Sep-07 1182.15 -0.48 -1.66 2.75
9 13-Sep-07 1213.5 2.65 1.47 2.16
10 14-Sep-07 1232.7 1.58 0.4 0.16
11 17-Sep-07 1226.15 -0.53 -1.71 2.92
12 18-Sep-07 1231.15 0.41 -0.77 0.59
13 19-Sep-07 1324.3 7.57 6.39 40.83
14 20-Sep-07 1326.2 0.14 -1.04 1.08
15 21-Sep-07 1318.45 -0.58 -1.76 3.09
16 24-Sep-07 1346.5 2.13 0.95 0.90
17 25-Sep-07 1396.35 3.7 2.52 6.35
18 26-Sep-07 1375.7 -1.48 -2.66 7.07
19 27-Sep-07 1433 4.17 2.99 8.94
mean 1.18 variance 4.56 2.13
GRAPHICAL REPRESENTATION
5
Series1
0
1 3 5 7 9 11 13 15 17 19
-5
The above table and graph shows the daily returns of HDFC bank, it reveals that there is
continuous rise and fall in the stock prices; here the average return is 1.18 with a price variation
of 4.56 and risk factor 2.13. Thus we can say that the risk is high when compared to returns.
39
Price
1 2-Apr-07 803.95 -7.65 -7.92 62.88
2 3-Apr-07 830 3.24 2.97 8.76
3 4-Apr-07 807.9 -2.66 -2.94 8.64
4 5-Apr-07 820.95 1.62 1.34 1.80
5 9-Apr-07 850 3.54 3.27 10.63
6 10-Apr-07 841.3 -1.02 -1.30 1.69
7 11-Apr-07 838.65 -0.31 -0.59 0.35
8 12-Apr-07 858.25 2.34 2.06 4.24
9 13-Apr-07 880 2.53 2.26 5.06
10 16-Apr-07 857.75 -2.53 -2.80 7.90
11 17-Apr-07 859.5 0.20 -0.07 0.01
12 18-Apr-07 849.25 -1.19 -1.47 2.16
13 19-Apr-07 875 3.03 2.76 7.56
14 20-Apr-07 873.45 -0.18 -0.45 0.21
15 23-Apr-07 890 1.89 1.62 2.59
16 24-Apr-07 888.25 -0.20 -0.47 0.23
17 25-Apr-07 894 0.65 0.37 0.14
18 26-Apr-07 898.95 0.55 0.28 0.07
19 27-Apr-07 911 1.34 1.07 1.12
mean 0.27 variance 6.64 2.58
GRAPHICAL REPRESENTATION
The above table and graph shows the daily returns of ICICI bank, it reveals that returns start
with negative and there is continuous rise and fall in the stock prices, here the average return is
0.27 with a price variation of 6.64 and risk factor 2.58. Thus we can say that the risk is very high
when compared to returns
40
Close
s.no Date Price return (X-Xbar) (X-Xbar)2 SD
1 3-May-07 869.9 -5.11 -5.33 27.77
2 4-May-07 875 0.59 0.37 0.18
3 7-May-07 855.85 -2.19 -2.40 5.52
4 8-May-07 855 -0.10 -0.32 0.07
5 9-May-07 843.75 -1.32 -1.53 2.19
6 10-May-07 850 0.74 0.52 0.34
7 11-May-07 839.8 -1.20 -1.42 1.85
8 14-May-07 849.35 1.14 0.92 0.96
9 15-May-07 842 -0.87 -1.08 1.06
10 16-May-07 842.95 0.11 -0.10 0.00
11 17-May-07 848.45 0.65 0.44 0.24
12 18-May-07 875 3.13 2.91 8.82
13 21-May-07 870.4 -0.53 -0.74 0.48
14 22-May-07 886.85 1.89 1.67 2.99
15 23-May-07 918.6 3.58 3.36 11.70
16 24-May-07 908 -1.15 -1.37 1.72
17 25-May-07 946 4.19 3.97 16.24
18 28-May-07 938.05 -0.84 -1.06 1.00
19 29-May-07 951.15 1.40 1.18 1.54
mean 0.22 variance 4.45 2.11
GRAPHICAL REPRESENTATION
The above table and graph shows the daily returns of ICICI bank, it reveals that there is
continuous rise and fall in the stock prices, here the average return is 0.22 with a price variation
of 4.45 and risk factor 2.11. Thus we can say that the risk is very high when compared to returns
41
Close
s.no Date Price return (X-Xbar) (X-Xbar)2 SD
1 1-Jun-07 930.45 -1.33 -1.38 1.93
2 4-Jun-07 933.35 0.31 0.26 9.18
3 5-Jun-07 939.05 0.61 0.56 11.09
4 6-Jun-07 911.2 -2.97 -3.02 0.06
5 7-Jun-07 909.1 -0.23 -0.28 6.20
6 8-Jun-07 903.45 -0.62 -0.67 4.41
7 11-Jun-07 911 0.84 0.79 12.67
8 12-Jun-07 901.95 -0.99 -1.04 2.99
9 13-Jun-07 917 1.67 1.62 19.27
10 14-Jun-07 919.35 0.26 0.21 8.88
11 15-Jun-07 913.95 -0.59 -0.64 4.54
12 18-Jun-07 915 0.11 0.06 8.01
13 19-Jun-07 905.85 -1.00 -1.05 2.96
14 20-Jun-07 925 2.11 2.06 23.33
15 21-Jun-07 908.7 -1.76 -1.81 0.92
16 22-Jun-07 918.75 1.11 1.06 14.67
17 25-Jun-07 945.15 2.87 2.82 31.25
18 26-Jun-07 948.15 0.32 0.27 9.24
19 27-Jun-07 949.95 0.19 0.14 8.47
mean 0.05 variance 1.82 1.35
GRAPHICAL REPRESENTATION
The above table and graph shows the daily returns of ICICI bank, it reveals that there is
continuous rise and fall in the stock prices, here the average return is 0.05 with a price variation
of 1.82 and risk factor 1.35. Thus we can say that the risk is very high when compared to returns
RETURNS, MEAN, VARIANCE AND STANDARD DEVIATION OF ICICI BANK FOR
THE MONTH OF JUL-2007
42
Price
1 2-Jul-07 950.2 -1.53 -1.65 2.79
2 3-Jul-07 966.7 1.74 1.62 2.56
3 4-Jul-07 985.95 1.99 1.87 3.42
4 5-Jul-07 1003.65 1.80 1.68 2.76
5 6-Jul-07 981.5 -2.21 -2.33 5.52
6 9-Jul-07 996.55 1.53 1.41 1.93
7 10-Jul-07 970.7 -2.59 -2.71 7.45
8 11-Jul-07 981.5 1.11 0.99 0.94
9 12-Jul-07 985.5 0.41 0.29 0.07
10 13-Jul-07 963.95 -2.19 -2.31 5.43
11 16-Jul-07 973 0.94 0.82 0.64
12 17-Jul-07 953.55 -2.00 -2.12 4.58
13 18-Jul-07 980 2.77 2.65 6.92
14 19-Jul-07 967.65 -1.26 -1.38 1.96
15 20-Jul-07 1001 3.45 3.33 10.96
16 23-Jul-07 972.5 -2.85 -2.97 8.94
17 24-Jul-07 970.9 -0.16 -0.28 0.09
18 25-Jul-07 973.7 0.29 0.17 0.02
19 26-Jul-07 983.35 0.99 0.87 0.72
mean 0.12 variance 3.56 1.89
GRAPHICAL REPRESENTATION
The above table and graph shows the daily returns of ICICI bank, it reveals that there is
continuous rise and fall in the stock prices, here the average return is 0.12 with a price variation
of 3.56 and risk factor 1.89. Thus we can say that the risk is very high when compared to returns
43
Price Xbar)2
1 1-Aug-07 897 -9.36 -8.49 72.13
2 2-Aug-07 891 -0.67 0.20 0.04
3 3-Aug-07 901.4 1.17 2.03 4.14
4 6-Aug-07 915.5 1.56 2.43 5.91
5 7-Aug-07 886.9 -3.12 -2.26 5.09
6 8-Aug-07 851 -4.05 -3.18 10.12
7 9-Aug-07 871 2.35 3.22 10.35
8 10-Aug-07 869.9 -0.13 0.74 0.55
9 13-Aug-07 884 1.62 2.49 6.19
10 14-Aug-07 883 -0.11 0.75 0.57
11 16-Aug-07 889.7 0.76 1.63 2.64
12 17-Aug-07 912 2.51 3.37 11.38
13 20-Aug-07 864.1 -5.25 -4.38 19.23
14 21-Aug-07 873.85 1.13 2.00 3.98
15 22-Aug-07 875 0.13 1.00 1.00
16 23-Aug-07 878.65 0.42 1.28 1.65
17 24-Aug-07 832.15 -5.29 -4.42 19.58
18 27-Aug-07 830 -0.26 0.61 0.37
19 28-Aug-07 831 0.12 0.99 0.98
mean -0.87 variance 9.26 3.04
GRAPHICAL REPRESENTATION
The above table and graph shows the daily returns of ICICI bank, it reveals that there is
continuous rise and fall in the stock prices, here the average return is -0.87 with a price variation
of 9.26 and risk factor 3.04.Thus we can say that the risk is very high when compared to returns,
why because the average return is negative.
44
Price Xbar)2
1 3-Sep-07 907.9 2.05 1.95 3.79
2 4-Sep-07 900 -0.87 -0.97 0.95
3 5-Sep-07 905 0.56 0.45 0.21
4 6-Sep-07 908.6 0.40 0.30 0.09
5 7-Sep-07 915.4 0.75 0.65 0.42
6 10-Sep-07 912 -0.37 -0.47 0.22
7 11-Sep-07 918 0.66 0.56 0.31
8 12-Sep-07 920.9 0.32 0.21 0.05
9 13-Sep-07 925 0.45 0.34 0.12
10 14-Sep-07 920.05 -0.54 -0.64 0.41
11 17-Sep-07 910.9 -0.99 -1.10 1.20
12 18-Sep-07 912.5 0.18 0.07 0.01
13 19-Sep-07 916.3 0.42 0.31 0.10
14 20-Sep-07 901.55 -1.61 -1.71 2.93
15 21-Sep-07 906.2 0.52 0.41 0.17
16 24-Sep-07 885.35 -2.30 -2.40 5.78
17 25-Sep-07 884.05 -0.15 -0.25 0.06
18 26-Sep-07 898 1.58 1.48 2.18
19 27-Sep-07 906.3 0.92 0.82 0.67
mean 0.10 variance 1.03 1.02
GRAPHICAL REPRESENTATION
The above table and graph shows the daily returns of ICICI bank, it reveals that there is
continuous rise and fall in the stock prices, here the average return is 0.10 with a price variation
of 1.03and risk factor 1.02, finally we can say that the risk is very high when compared to returns
Close
s.no Date Price return (X-Xbar) (X-Xbar)2 SD
1 2-Apr-07 168.2 -2.91 -3.31 10.95
45
2 3-Apr-07 167.05 -0.68 -1.08 1.16
3 4-Apr-07 169.3 1.35 0.95 0.90
4 5-Apr-07 168.2 -0.65 -1.05 1.10
5 9-Apr-07 167.3 -0.54 -0.94 0.88
6 10-Apr-07 168.05 0.45 0.05 0.00
7 11-Apr-07 174.1 3.6 3.2 10.24
8 12-Apr-07 170.1 -2.3 -2.7 7.29
9 13-Apr-07 176 3.47 3.07 9.42
10 16-Apr-07 180.25 2.41 2.01 4.04
11 17-Apr-07 184.75 2.5 2.1 4.41
12 18-Apr-07 186 0.68 0.28 0.07
13 19-Apr-07 181.8 -2.26 -2.66 7.07
14 20-Apr-07 180.95 -0.47 -0.87 0.75
15 23-Apr-07 183.55 1.44 1.04 1.08
16 24-Apr-07 185.35 0.98 0.58 0.33
17 25-Apr-07 186.35 0.54 0.14 0.01
18 26-Apr-07 186.65 0.16 -0.24 0.05
19 27-Apr-07 186.4 -0.13 -0.53 0.28
mean 0.4 variance 3.16 1.77
GRAPHICAL REPRESENTATION
4
3
2
1
0 Series1
-1 1 3 5 7 9 11 13 15 17 19
-2
-3
-4
The above table and graph shows the daily returns of ING VYSYA bank, it reveals that there is
continuous rise and fall in the stock prices, here the average return is 0.4 with a price variation of
3.16 and risk factor 1.77. Thus we can say that the risk is very high when compared to returns
Close
s.no Date Price return (X-Xbar) (X-Xbar)2 SD
46
1 3-May-07 199.95 7.27 5.43 29.48
2 4-May-07 205.1 2.58 0.74 0.54
3 7-May-07 208.55 1.68 -0.16 0.02
4 8-May-07 207.75 -0.38 -2.22 4.92
5 9-May-07 204.25 -1.68 -3.52 12.40
6 10-May-07 210.15 2.89 1.05 1.10
7 11-May-07 221.65 5.47 3.63 13.17
8 14-May-07 226.95 2.39 0.55 0.30
9 15-May-07 233.95 3.08 1.24 1.53
10 16-May-07 239.4 2.33 0.49 0.24
11 17-May-07 239.95 0.23 -1.61 2.60
12 18-May-07 236.95 -1.25 -3.09 9.54
13 21-May-07 237.55 0.25 -1.59 2.52
14 22-May-07 239.95 1.01 -0.83 0.68
15 23-May-07 239.4 -0.23 -2.07 4.28
16 24-May-07 250.7 4.72 2.88 8.30
17 25-May-07 264 5.31 3.47 12.04
18 28-May-07 266.1 0.8 -1.04 1.08
19 29-May-07 262 -1.54 -3.38 11.42
mean 1.84 variance 6.11 2.47
GRAPHICAL REPRESENTATION
8
6
4
2 Series1
0
-2 1 3 5 7 9 11 13 15 17 19
-4
The above table and graph shows the daily returns of ING VYSYA bank, it reveals that there is
continuous rise and fall in the stock prices, here the average return is 1.84 with a price variation
of 6.11 and risk factor 2.47. Thus we can say that the risk is very high when compared to returns
Close
s.no Date Price return (X-Xbar) (X-Xbar)2 SD
1 1-Jun-07 252.7 -3.55 -3.57 12.74
47
2 4-Jun-07 242.35 -4.1 -4.12 16.97
3 5-Jun-07 246.9 1.88 1.86 3.45
4 6-Jun-07 238.65 -3.34 -3.36 11.28
5 7-Jun-07 232.55 -2.56 -2.58 6.65
6 8-Jun-07 231.6 -0.41 -0.43 0.18
7 11-Jun-07 236.05 1.92 1.9 3.61
8 12-Jun-07 234.5 -0.66 -0.68 0.46
9 13-Jun-07 236.6 0.9 0.88 0.77
10 14-Jun-07 240.4 1.61 1.59 2.52
11 15-Jun-07 252.4 4.99 4.97 24.70
12 18-Jun-07 256.8 1.74 1.72 2.95
13 19-Jun-07 259.95 1.23 1.21 1.46
14 20-Jun-07 265.2 2.02 2 4
15 21-Jun-07 268.05 1.07 1.05 1.10
16 22-Jun-07 263.4 -1.73 -1.75 3.06
17 25-Jun-07 256.55 -2.6 -2.62 6.86
18 26-Jun-07 261.15 1.79 1.77 3.13
19 27-Jun-07 261.6 0.17 0.15 0.02
mean 0.02 variance 5.57 2.36
GRAPHICAL REPRESENTATION
6
4
2
0 Series1
-2 1 3 5 7 9 11 13 15 17 19
-4
-6
The above table and graph shows the daily returns of ING VYSYA bank, it reveals that there is
continuous rise and fall in the stock prices, here the average return is 0.02 with a price variation
of 5.57 and risk factor 2.36. Thus we can say that the risk is very high when compared to returns
Close
s.no Date Price return (X-Xbar) (X-Xbar)2 SD
1 2-Jul-07 258.55 -1.17 -1.23 1.51
48
2 3-Jul-07 259.65 0.43 0.37 0.13
3 4-Jul-07 261.4 0.67 0.61 0.37
4 5-Jul-07 251.5 -3.79 -3.85 14.82
5 6-Jul-07 252.55 0.42 0.36 0.12
6 9-Jul-07 270.85 7.25 7.19 51.70
7 10-Jul-07 268.25 -0.96 -1.02 1.04
8 11-Jul-07 262.3 -2.22 -2.28 5.20
9 12-Jul-07 259.6 -1.03 -1.09 1.18
10 13-Jul-07 259.45 -0.06 -0.12 0.01
11 16-Jul-07 257.15 -0.89 -0.95 0.90
12 17-Jul-07 249.6 -2.94 -3 9
13 18-Jul-07 254.15 1.82 1.76 3.10
14 19-Jul-07 255.15 0.39 0.33 0.10
15 20-Jul-07 257.1 0.76 0.7 0.50
16 23-Jul-07 257.85 0.29 0.23 0.05
17 24-Jul-07 254.7 -1.22 -1.28 1.63
18 25-Jul-07 254.9 0.08 0.02 0.00
19 26-Jul-07 263.25 3.28 3.22 10.36
mean 0.06 variance 5.35 2.31
GRAPHICAL REPRESENTATION
8
6
4
2
Series1
0
-2 1 3 5 7 9 11 13 15 17 19
-4
-6
The above table and graph shows the daily returns of ING VYSYA bank, it reveals that there is
continuous rise and fall in the stock prices, here the average return is 0.06 with a price variation
of 5.35 and risk factor 2.31. Thus we can say that the risk is very high when compared to returns
Close
s.no Date Price return (X-Xbar) (X-Xbar)2 SD
1 1-Aug-07 241.9 -8.11 -7.71 59.44
49
2 2-Aug-07 240.5 -0.58 -0.18 0.03
3 3-Aug-07 246.4 2.45 2.85 8.12
4 6-Aug-07 243.45 -1.2 -0.8 0.64
5 7-Aug-07 240.55 -1.19 -0.79 0.62
6 8-Aug-07 261.8 8.83 9.23 85.20
7 9-Aug-07 250.2 -4.43 -4.03 16.24
8 10-Aug-07 243.1 -2.84 -2.44 5.95
9 13-Aug-07 243.1 0 0.4 0.16
10 14-Aug-07 241.85 -0.51 -0.11 0.01
11 16-Aug-07 237.9 -1.63 -1.23 1.51
12 17-Aug-07 233.25 -1.95 -1.55 2.40
13 20-Aug-07 232.6 -0.28 0.12 0.01
14 21-Aug-07 228.7 -1.68 -1.28 1.63
15 22-Aug-07 227.35 -0.59 -0.19 0.03
16 23-Aug-07 237.1 4.29 4.69 22.00
17 24-Aug-07 228.2 -3.75 -3.35 11.22
18 27-Aug-07 235.8 3.33 3.73 13.91
19 28-Aug-07 240.9 2.16 2.56 6.55
mean -0.4 variance 12.40 3.52
GRAPHICAL REPRESENTATION
10
0 Series1
1 3 5 7 9 11 13 15 17 19
-5
-10
The above table and graph shows the daily returns of ING VYSYA bank, it reveals that there is
continuous rise and fall in the stock prices, here the average return is -0.4 with a price variation
of 12.40 and risk factor 3.52. Thus we can say that the risk is very high when compared to returns
Close
s.no Date Price return (X-Xbar) (X-Xbar)2 SD
1 3-Sep-07 249.8 3.69 3.51 12.32
2 4-Sep-07 246.3 -1.4 -1.58 2.50
3 5-Sep-07 241.8 -1.83 -2.01 4.04
50
4 6-Sep-07 246.6 1.99 1.81 3.27
5 7-Sep-07 244.45 -0.87 -1.05 1.10
6 10-Sep-07 240.85 -1.47 -1.65 2.72
7 11-Sep-07 241.1 0.1 -0.08 0.00
8 12-Sep-07 242.45 0.56 0.38 0.14
9 13-Sep-07 242.55 0.04 -0.14 0.01
10 14-Sep-07 246.8 1.75 1.57 2.46
11 17-Sep-07 241.65 -2.09 -2.27 5.15
12 18-Sep-07 244.9 1.34 1.16 1.34
13 19-Sep-07 244.25 -0.27 -0.45 0.20
14 20-Sep-07 244 -0.1 -0.28 0.07
15 21-Sep-07 246.4 0.98 0.8 0.64
16 24-Sep-07 262.1 6.37 6.19 38.31
17 25-Sep-07 246.85 -5.82 -6 36
18 26-Sep-07 245.05 -0.73 -0.91 0.82
19 27-Sep-07 248.1 1.24 1.06 1.12
mean 0.18 variance 5.90 2.43
GRAPHICAL REPRESENTATION
8
6
4
2
0 Series1
-2 1 3 5 7 9 11 13 15 17 19
-4
-6
-8
The above table and graph shows the daily returns of ING VYSYA bank, it reveals that there is
continuous rise and fall in the stock prices, here the average return is 0.18 with a price variation
of 5.90 and risk factor 2.43. Thus we can say that the risk is very high when compared to returns
51
5 9-Apr-07 4632.80 2.44 1.99 3.94
6 10-Apr-07 4638.41 0.12 -0.33 0.11
7 11-Apr-07 4655.88 0.38 -0.08 0.01
8 12-Apr-07 4616.35 -0.85 -1.30 1.70
9 13-Apr-07 4721.82 2.28 1.83 3.35
10 16-Apr-07 4837.53 2.45 2.00 3.99
11 17-Apr-07 4803.30 -0.71 -1.16 1.35
12 18-Apr-07 4835.42 0.67 0.22 0.05
13 19-Apr-07 4818.61 -0.35 -0.80 0.64
14 20-Apr-07 4923.47 2.18 1.72 2.97
15 23-Apr-07 4931.08 0.15 -0.30 0.09
16 24-Apr-07 4999.52 1.39 0.93 0.87
17 25-Apr-07 5030.30 0.62 0.16 0.03
18 26-Apr-07 5043.03 0.25 -0.20 0.04
19 27-Apr-07 4929.15 -2.26 -2.71 7.35
mean 0.45 variance 2.26 1.50
GRAPHICAL REPRESENTATION
4
2
0 Series1
-2 1 3 5 7 9 11 13 15 17 19
-4
The above table and graph shows the daily returns of NSE, it reveals that there is continuous rise
and fall in the stock prices, here the average return is 0.45 with a price variation of 2.26 and risk
factor 1.50. Thus we can say that the risk is high when compared to returns
52
RETURNS, MEAN, VARIANCE AND STANDARD DEVIATION OF NSE FOR THE
MONTH OF MAY-2007
GRAPHICAL REPRESENTATION
1
0 Series1
-1 1 3 5 7 9 11 13 15 17 19
-2
The above table and graph shows the daily returns of NSE, it reveals that there is continuous rise
and fall in the stock prices, here the average return is 0.27 with a price variation of 0.66 and risk
factor 0.81. Thus we can say that the risk is high when compared to returns
53
RETURNS, MEAN, VARIANCE AND STANDARD DEVIATION OF NSE FOR THE
MONTH OF JUN-2007
GRAPHICAL REPRESENTATION
2
1
0
Series1
-1 1 3 5 7 9 11 13 15 17 19
-2
-3
The above table and graph shows the daily returns of NSE, it reveals that there is continuous rise
and fall in the stock prices, here the average return is -0.02 with a price variation of 0.69 and risk
factor 0.83. Here the average return is negative then, we can say that the risk is very high.
54
RETURNS, MEAN, VARIANCE AND STANDARD DEVIATION OF NSE FOR THE
MONTH OF JUL-2007
GRAPHICAL REPRESENTATION
1.50
1.00
0.50
Series1
0.00
1 3 5 7 9 11 13 15 17 19
-0.50
-1.00
The above table and graph shows the daily returns of NSE, it reveals that there is continuous rise
and fall in the stock prices, here the average return is 0.43 with a price variation of 0.44 and risk
factor 0.66. Thus we can say that the risk is low when compared to returns
55
RETURNS, MEAN, VARIANCE AND STANDARD DEVIATION OF NSE FOR THE
MONTH OF AUG-2007
GRAPHICAL REPRESENTATION
0
1 3 5 7 9 11 13 15 17 19 Series1
-5
-10
The above table and graph shows the daily returns of NSE, it reveals that there is continuous rise
and fall in the stock prices, here the average return is negative that is -0.32 with a price variation
of 5.32 and risk factor 2.30. Thus we can say that the risk is very high when compared to returns
56
RETURNS, MEAN, VARIANCE AND STANDARD DEVIATION OF NSE FOR THE
MONTH OF SEP-2007
GRAPHICAL REPRESENTATION
2 Series1
-2 1 3 5 7 9 11 13 15 17 19
The above table and graph shows the daily returns of NSE, it reveals that there is continuous rise
and fall in the stock prices, here the average return is 0.79 with a price variation of 1.58 and risk
factor 1.25. Thus we can say that the risk is very high when compared to returns
57
CALCULATION OF RISK ANALYSIS ( ß ) BETWEEN NSE AND HDFC BANK FOR
THE MONTH OF APR-2007
Apr-07
returns of return of
s.no NSE(X) HDFC(Y) XY X2
1 -3.39 -5.96 20.20 11.49
2 1.57 1.43 2.24 2.46
3 1.16 1.19 1.39 1.36 ∑x 8.61
4 0.50 1.9 0.95 0.25 ∑y 6.13
5 2.44 3.03 7.39 5.95 ∑x∑y 52.79
6 0.12 2.14 0.26 0.01 ∑x2 46.91
7 0.38 -1.27 -0.48 0.14 ∑Xy 49.34
8 -0.85 -2.14 1.82 0.72 N∑x2 891.28
9 2.28 2.38 5.44 5.22 (∑x)2 74.17
10 2.45 -0.64 -1.57 6.01 N∑Xy 937.42
11 -0.71 0.32 -0.23 0.50
12 0.67 0.24 0.16 0.45 N∑Xy-∑X∑Y 884.63
13 -0.35 0.21 -0.07 0.12 N∑X2-(∑X)2 817.12
14 2.18 1.24 2.70 4.74
15 0.15 -0.78 -0.12 0.02 ß 1.08
16 1.39 2.73 3.79 1.93
17 0.62 1.7 1.05 0.38
18 0.25 0.33 0.08 0.06
19 -2.26 -1.92 4.34 5.10
GRAPHICAL REPRESENTATION
5.00
Returns of
0.00 NSE(X)
1 3 5 7 9 11 13 15 17 19
-5.00 Return of
HDFC(Y)
-10.00
The above table and graph represents the beta (systematic risk) between NSE and HDFC bank,
here the beta value is 1.08, means stock price theoretically 8% more volatile than the market.
Thus we can say that, almost all the stock price moves with market. Here the impact of increase
or decrease in market will affect the stock price by 1.08 points.
58
CALCULATION OF RISK ANALYSIS ( ß ) BETWEEN NSE AND HDFC BANK FOR
THE MONTH OF MAY-2007
May-07
returns of return of
s.no NSE(x) HDFC(y) XY X2
1 1.65 -0.99 -1.63 2.72
2 -0.81 0.31 -0.25 0.65
3 -0.15 -0.76 0.11 0.02 ∑x 5.09
4 -0.83 -0.87 0.72 0.69 ∑y 12.41
5 0.06 0.34 0.02 0.00 ∑x∑y 63.15
6 -0.31 1.72 -0.53 0.09 ∑x2 13.98
7 0.24 -1.9 -0.46 0.06 ∑Xy 7.79
8 1.42 0.33 0.47 2.00 N∑x2 265.62
9 -0.34 1.52 -0.51 0.11 (∑x)2 25.90
10 1.23 2.41 2.96 1.51 N∑Xy 148.02
11 1.17 0.64 0.75 1.38
12 -0.12 2.71 -0.32 0.01 N∑Xy-∑X∑Y 84.87
13 1.10 3.41 3.75 1.21 N∑X2-(∑X)2 239.73
14 0.40 0.75 0.30 0.16
15 -0.75 -0.04 0.03 0.56 ß 0.35
16 -0.97 -2.11 2.05 0.95
17 1.03 -2.01 -2.07 1.06
18 0.20 5.42 1.07 0.04
19 0.86 1.53 1.32 0.74
GRAPHICAL REPRESENTATION
10.00
5.00 Returns of NSE(x)
0.00 Return of HDFC(y)
1 3 5 7 9 11 13 15 17 19
-5.00
The above table and graph represents the beta (systematic risk) between NSE and HDFC bank.
Here the beta value is 0.35, means the stock price is less volatile then the market. Here the stock
moves less than the market. The impact of increase or decrease in market will affect the stock
price by 0.35 points.
59
CALCULATION OF RISK ANALYSIS ( ß ) BETWEEN NSE AND HDFC BANK FOR
THE MONTH OF JUN-2007
Jun-07
returns of return of
s.no NSE(x) HDFC(y) XY X2
1 0.11 0.79 0.09 0.01
2 -0.70 1.3 -0.91 0.49
3 0.41 -0.75 -0.31 0.17 ∑x -0.44
4 -2.00 -2.79 5.59 4.01 ∑y -4.68
5 -0.44 -1.92 0.84 0.19 ∑x∑y 2.05
6 -0.79 -1.32 1.04 0.62 ∑x2 13.18
7 0.01 0.59 0.01 0.00 ∑Xy 11.63
8 0.25 -0.84 -0.21 0.06 N∑x2 250.38
9 -0.99 -0.48 0.47 0.97 (∑x)2 0.19
10 1.42 1.25 1.78 2.02 N∑Xy 221.02
11 0.05 1.27 0.06 0.00
12 -0.58 -1.97 1.15 0.34 N∑Xy-∑X∑Y 218.96
13 1.62 1.06 1.72 2.63 N∑X2-(∑X)2 250.18
14 0.82 0.01 0.01 0.66
15 0.44 0.16 0.07 0.19 ß 0.88
16 -0.36 0.11 -0.04 0.13
17 0.17 -0.29 -0.05 0.03
18 0.62 -0.1 -0.06 0.38
19 -0.51 -0.76 0.39 0.26
GRAPHICAL REPRESENTATION
2.00
Returns of
0.00 NSE(x)
1 3 5 7 9 11 13 15 17 19
-2.00 Return of
HDFC(y)
-4.00
The above table and graph represents the beta (systematic risk) between NSE and HDFC bank,
here the beta value is 0.88.Here the beta value is less than 1, and it indicates stock moves less
than the market. Here the impact of increase or decrease in market will affect the stock price by
0.88 points.
60
CALCULATION OF RISK ANALYSIS ( ß ) BETWEEN NSE AND HDFC BANK FOR
THE MONTH OF JUL-2007
Jul-07
returns of return of
s.no NSE(x) HDFC(y) XY X2
1 1.19 5.25 6.27 1.42
2 1.02 0.26 0.26 1.03
3 0.04 0.02 0.00 0.00 ∑x 8.18
4 -0.12 -1.88 0.22 0.01 ∑y 11.42
5 0.71 2.59 1.84 0.51 ∑x∑y 93.37
6 0.79 0.8 0.63 0.62 ∑x2 11.81
7 -0.29 -1.57 0.46 0.08 ∑Xy 22.24
8 -0.43 -0.05 0.02 0.18 N∑x2 224.48
9 1.34 4.59 6.17 1.81 (∑x)2 66.84
10 1.32 2.08 2.74 1.74 N∑Xy 422.61
11 0.21 -0.71 -0.15 0.04
12 -0.33 -1.51 0.50 0.11 N∑Xy-∑X∑Y 329.24
13 0.06 0.06 0.00 0.00 N∑X2-(∑X)2 157.64
14 1.39 0.77 1.07 1.93
15 0.09 -0.69 -0.06 0.01 ß 2.09
16 1.17 2.45 2.86 1.36
17 0.03 1.51 0.05 0.00
18 -0.69 -0.79 0.55 0.48
19 0.68 -1.76 -1.19 0.46
GRAPHICAL REPRESENTATION
6.00
4.00
Returns of
2.00 NSE(x)
0.00 Return of
1 3 5 7 9 11 13 15 17 19 HDFC(y)
-2.00
-4.00
The above table and graph represents the beta (systematic risk) between NSE and HDFC bank,
here the beta value is 2.09.Thus an increase in NSE which is market indicator will have a double
impact on the stock price. Here the impact of increase or decrease in market will affect the stock
price by 2.09 points.
61
CALCULATION OF RISK ANALYSIS ( ß ) BETWEEN NSE AND HDFC BANK FOR
THE MONTH OF AUG-2007
Aug-07
returns of return of
s.no NSE(x) HDFC(y) XY X2
1 -5.92 -4.59 27.17 35.05
2 0.25 -0.77 -0.19 0.06
3 1.05 0.23 0.24 1.11 ∑x -6.05
4 -1.41 -1.95 2.75 1.99 ∑y -5.09
5 0.41 0.79 0.33 0.17 ∑x∑y 30.79
6 2.46 2.66 6.54 6.05 ∑x2 102.99
7 -1.32 -1.37 1.81 1.74 ∑Xy 88.62
8 -1.59 -2.18 3.46 2.52 N∑x2 1956.81
9 0.93 0.46 0.43 0.86 (∑x)2 36.58
10 -0.08 1.06 -0.08 0.01 N∑Xy 1683.73
11 -4.38 -4.67 20.45 19.17
12 -1.67 -2.37 3.96 2.80 N∑Xy-∑X∑Y 1652.95
13 2.46 4.01 9.86 6.04 N∑X2-(∑X)2 1920.22
14 -3.19 -0.63 2.01 10.16
15 1.93 1.22 2.35 3.71 ß 0.86
16 -0.91 -1.54 1.41 0.84
17 1.83 -0.22 -0.40 3.34
18 2.68 2 5.37 7.21
19 0.42 2.77 1.16 0.18
GRAPHICAL REPRESENTATION
0
Returns of NSE(X)
1 3 5 7 9 11 13 15 17 19
Return of HDFC(Y)
-5
-10
The above table and graph represents the beta (systematic risk) between NSE and HDFC bank,
here the beta value is 0.86.Here the beta is less than 1, and it indicates that securities moves less
than the market. Here the impact of increase or decrease in market will affect the stock price by
0.86 points.
62
CALCULATION OF RISK ANALYSIS ( ß ) BETWEEN NSE AND HDFC BANK FOR
THE MONTH OF SEP-2007
Sep-07
returns of return of
s.no NSE(X) HDFC(Y) XY X2
1 3.58 2.24 8.01 12.79
2 0.11 0 0.00 0.01
3 -0.08 -0.34 0.03 0.01 ∑x 14.95
4 0.95 1.04 0.99 0.91 ∑y 22.50
5 -0.20 1.01 -0.20 0.04 ∑x∑y 336.29
6 0.06 -0.04 0.00 0.00 ∑x2 41.78
7 -0.24 -0.69 0.17 0.06 ∑Xy 50.90
8 0.00 -0.48 0.00 0.00 N∑x2 793.76
9 0.71 2.65 1.89 0.51 (∑x)2 223.39
10 -0.24 1.58 -0.37 0.06 N∑Xy 967.03
11 -0.52 -0.53 0.27 0.27
12 1.15 0.41 0.47 1.32 N∑Xy-∑X∑Y 630.75
13 4.10 7.57 31.01 16.78 N∑X2-(∑X)2 570.38
14 0.32 0.14 0.04 0.10
15 1.90 -0.58 -1.10 3.59 ß 1.11
16 1.96 2.13 4.17 3.83
17 0.13 3.7 0.50 0.02
18 0.03 -1.48 -0.05 0.00
19 1.22 4.17 5.07 1.48
GRAPHICAL REPRESENTATION
10.00
Returns of
5.00 NSE(X)
0.00 Return of
1 3 5 7 9 11 13 15 17 19 HDFC(Y)
-5.00
The above table and graph represents the beta (systematic risk) between NSE and HDFC bank,
here the beta value is 1.11.If an increase in NSE, the stock price will have 11% more increase
than the market. Here the impact of increase or decrease in market will affect the stock price by
1.11 points.
63
CALCULATION OF RISK ANALYSIS ( ß ) BETWEEN NSE AND ICICI BANK FOR
THE MONTH OF APR-2007
Apr-07
returns of return of
s.no NSE(X) ICICI(Y) XY X2
1 -3.39 -7.65 25.93 11.49
2 1.57 3.24 5.09 2.46
3 1.16 -2.66 -3.10 1.36 ∑x 8.61
4 0.50 1.62 0.81 0.25 ∑y 5.19
5 2.44 3.54 8.63 5.95 ∑x∑y 44.70
6 0.12 -1.02 -0.12 0.01 ∑x2 46.91
7 0.38 -0.31 -0.12 0.14 ∑Xy 29.87
8 -0.85 2.34 -1.99 0.72 N∑x2 891.28
9 2.28 2.53 5.78 5.22 (∑x)2 74.17
10 2.45 -2.53 -6.20 6.01 N∑Xy 567.47
11 -0.71 0.2 -0.14 0.50
12 0.67 -1.19 -0.80 0.45 N∑Xy-∑X∑Y 522.77
13 -0.35 3.03 -1.05 0.12 N∑X2-(∑X)2 817.12
14 2.18 -0.18 -0.39 4.74
15 0.15 1.89 0.29 0.02 ß 0.64
16 1.39 -0.2 -0.28 1.93
17 0.62 0.65 0.40 0.38
18 0.25 0.55 0.14 0.06
19 -2.26 1.34 -3.03 5.10
GRAPHICAL REPRESENTATION
5.00
0.00
1 3 5 7 9 11 13 15 17 19 Returns of NSE(X)
Return of ICICI(Y)
-5.00
-10.00
The above table and graph represents the beta (systematic risk) between NSE and ICICI bank,
here the beta value is 0.64.Here beta is less than 1, it means the security will be less volatile than
the market.
64
CALCULATION OF RISK ANALYSIS ( ß ) BETWEEN NSE AND ICICI BANK FOR
THE MONTH OF MAY-2007
May-07
returns of return of
s.no NSE(X) ICICI(Y) XY X2
1 1.65 -5.11 -8.43 2.72
2 -0.81 0.59 -0.48 0.65
3 -0.15 -2.19 0.33 0.02 ∑x 5.09
4 -0.83 -0.1 0.08 0.69 ∑y 4.11
5 0.06 -1.32 -0.07 0.00 ∑x∑y 20.91
6 -0.31 0.74 -0.23 0.09 ∑x2 13.98
7 0.24 -1.2 -0.29 0.06 ∑Xy -2.67
8 1.42 1.14 1.61 2.00 N∑x2 265.62
9 -0.34 -0.87 0.29 0.11 (∑x)2 25.90
10 1.23 0.11 0.14 1.51 N∑Xy -50.75
11 1.17 0.65 0.76 1.38
12 -0.12 3.13 -0.37 0.01 N∑Xy-∑X∑Y -71.67
13 1.10 -0.53 -0.58 1.21 N∑X2-(∑X)2 239.73
14 0.40 1.89 0.76 0.16
15 -0.75 3.58 -2.67 0.56 ß -0.30
16 -0.97 -1.15 1.12 0.95
17 1.03 4.19 4.31 1.06
18 0.20 -0.84 -0.17 0.04
19 0.86 1.4 1.21 0.74
GRAPHICAL REPRESENTATION
5
Returns of
0 NSE(X)
1 3 5 7 9 11 13 15 17 19 Return of
-5
ICICI(Y)
-10
The above table and graph represents the beta (systematic risk) between NSE and ICICI bank,
here the beta value is -0.30.Here the beta is negative it means the stock inversely follows the
market. The stock generally decreases in the value if market goes up.
65
CALCULATION OF RISK ANALYSIS ( ß ) BETWEEN NSE AND ICICI BANK FOR
THE MONTH OF JUN-2007
Jun-07
returns of return of
s.no NSE(X) ICICI(Y) XY X2
1 0.11 -1.33 -0.15 0.01
2 -0.70 0.31 -0.22 0.49
3 0.41 0.61 0.25 0.17 ∑x -0.44
4 -2.00 -2.97 5.95 4.01 ∑y 0.91
5 -0.44 -0.23 0.10 0.19 ∑x∑y -0.40
6 -0.79 -0.62 0.49 0.62 ∑x2 13.18
7 0.01 0.84 0.01 0.00 ∑Xy 4.34
8 0.25 -0.99 -0.25 0.06 N∑x2 250.38
9 -0.99 1.67 -1.65 0.97 (∑x)2 0.19
10 1.42 0.26 0.37 2.02 N∑Xy 82.41
11 0.05 -0.59 -0.03 0.00
12 -0.58 0.11 -0.06 0.34 N∑Xy-∑X∑Y 82.81
13 1.62 -1 -1.62 2.63 N∑X2-(∑X)2 250.18
14 0.82 2.11 1.72 0.66
15 0.44 -1.76 -0.78 0.19 ß 0.33
16 -0.36 1.11 -0.40 0.13
17 0.17 2.87 0.50 0.03
18 0.62 0.32 0.20 0.38
19 -0.51 0.19 -0.10 0.26
GRAPHICAL REPRESENTATION
4.00
2.00 Returns of
NSE(X)
0.00
Return of
-2.00 1 3 5 7 9 11 13 15 17 19
ICICI(Y)
-4.00
The above table and graph represents the beta (systematic risk) between NSE and ICICI bank,
here the beta value is 0.33.Here the beta value is less than 1, it indicates that the stock moves less
than the market. Here the impact of increase or decrease in market will affect the stock price by
0.33 points.
66
CALCULATION OF RISK ANALYSIS ( ß ) BETWEEN NSE AND ICICI BANK FOR
THE MONTH OF JUL-2007
Jul-07
returns of return of
s.no NSE(X) ICICI(Y) XY X2
1 1.19 -1.53 -1.83 1.42
2 1.02 1.74 1.77 1.03
3 0.04 1.99 0.08 0.00 ∑x 8.18
4 -0.12 1.8 -0.21 0.01 ∑y 2.23
5 0.71 -2.21 -1.57 0.51 ∑x∑y 18.23
6 0.79 1.53 1.21 0.62 ∑x2 11.81
7 -0.29 -2.59 0.75 0.08 ∑Xy -5.89
8 -0.43 1.11 -0.48 0.18 N∑x2 224.48
9 1.34 0.41 0.55 1.81 (∑x)2 66.84
10 1.32 -2.19 -2.89 1.74 N∑Xy -112.00
11 0.21 0.94 0.20 0.04
12 -0.33 -2 0.67 0.11 N∑Xy-∑X∑Y -130.24
13 0.06 2.77 0.17 0.00 N∑X2-(∑X)2 157.64
14 1.39 -1.26 -1.75 1.93
15 0.09 3.45 0.30 0.01 ß -0.83
16 1.17 -2.85 -3.33 1.36
17 0.03 -0.16 0.00 0.00
18 -0.69 0.29 -0.20 0.48
19 0.68 0.99 0.67 0.46
GRAPHICAL REPRESENTATION
4.00
2.00 Returns of
NSE(X)
0.00
1 3 5 7 9 11 13 15 17 19 Return of
-2.00 ICICI(Y)
-4.00
The above table and graph represents the beta (systematic risk) between NSE and ICICI bank,
here the beta value is -0.83.Here the beta value is negative it means the stock moves in the
opposite direction of the market. Here the risk is very high.
67
Aug-07
Returns of Returns of
S.no NSE(X) ICICI(Y) XY X2
1 0.73 -9.36 -6.83 0.53
2 -1.52 -0.67 1.02 2.31
3 1.41 1.17 1.65 1.99 ∑x 6.28
4 0.13 1.56 0.21 0.02 ∑y -16.48
5 -0.07 -3.12 0.22 0.01 ∑x∑y -103.52
6 0.11 -4.05 -0.44 0.01 ∑x2 17.19
7 -0.35 2.35 -0.82 0.12 ∑Xy -2.36
8 1.76 -0.13 -0.22 3.08 N∑x2 326.68
9 1.52 1.62 2.46 2.31 (∑x)2 39.47
10 1.30 -0.11 -0.15 1.70 N∑Xy -44.76
11 -0.24 0.76 -0.18 0.06
12 -0.12 2.51 -0.29 0.01 N∑Xy-∑X∑Y 58.76
13 -0.87 -5.25 4.58 0.76 N∑X2-(∑X)2 287.21
14 -0.02 1.13 -0.02 0.00
15 0.18 0.13 0.02 0.03 ß 0.20
16 -0.70 0.42 -0.29 0.49
17 0.55 -5.29 -2.93 0.31
18 1.68 -0.26 -0.43 2.82
19 0.80 0.12 0.10 0.63
GRAPHICAL REPRESENTATION
The above table and graph represents the beta (systematic risk) between NSE and ICICI bank,
here the beta value is 0.20.Thus. Here the beta is less than 1, it means stock moves less than the
market. Here the impact of increase or decrease in market will affect the stock price by 0.20
points.
68
Sep-07
Returns of Returns of
S.no NSE(X) ICICI(Y) XY X2
1 -0.05 2.05 -0.11 0.00
2 0.65 -0.87 -0.57 0.43
3 0.38 0.56 0.21 0.14 ∑x 5.22
4 0.10 0.40 0.04 0.01 ∑y 1.95
5 -0.28 0.75 -0.21 0.08 ∑x∑y 10.20
6 -0.56 -0.37 0.21 0.32 ∑x2 6.89
7 0.51 0.66 0.33 0.26 ∑Xy -0.90
8 1.01 0.32 0.32 1.02 N∑x2 130.99
9 0.63 0.45 0.28 0.39 (∑x)2 27.27
10 0.19 -0.54 -0.10 0.03 N∑Xy -17.14
11 0.27 -0.99 -0.27 0.07
12 0.01 0.18 0.00 0.00 N∑Xy-∑X∑Y -27.33
13 -0.62 0.42 -0.26 0.38 N∑X2-(∑X)2 103.72
14 0.09 -1.61 -0.14 0.01
15 1.61 0.52 0.83 2.59 ß -0.26
16 0.93 -2.30 -2.14 0.87
17 -0.24 -0.15 0.03 0.06
18 0.14 1.58 0.22 0.02
19 0.46 0.92 0.42 0.21
GRAPHICAL REPRESENTATION
5.00
Returns of NSE(X)
0.00
Returns of
1 3 5 7 9 11 13 15 17 19 ICICI(Y)
-5.00
The above table and graph represents the beta (systematic risk) between NSE and ICICI bank,
here the beta value is -0.26.Here the beta is negative, in this case risk is very high because stock
moves in the opposite direction of the market.
69
Apr-07
returns of return of
s.no NSE(X) ING(Y) XY X2
1 -3.39 -2.91 9.86 11.49
2 1.57 -0.68 -1.07 2.46
3 1.16 1.35 1.57 1.36 ∑x 8.61
4 0.50 -0.65 -0.33 0.25 ∑y 7.64
5 2.44 -0.54 -1.32 5.95 ∑x∑y 65.80
6 0.12 0.45 0.05 0.01 ∑x2 46.91
7 0.38 3.6 1.36 0.14 ∑Xy 26.62
8 -0.85 -2.3 1.95 0.72 N∑x2 891.28
9 2.28 3.47 7.93 5.22 (∑x)2 74.17
10 2.45 2.41 5.91 6.01 N∑Xy 505.78
11 -0.71 2.5 -1.77 0.50
12 0.67 0.68 0.45 0.45 N∑Xy-∑X∑Y 439.99
13 -0.35 -2.26 0.79 0.12 N∑X2-(∑X)2 817.12
14 2.18 -0.47 -1.02 4.74
15 0.15 1.44 0.22 0.02 ß 0.54
16 1.39 0.98 1.36 1.93
17 0.62 0.54 0.33 0.38
18 0.25 0.16 0.04 0.06
19 -2.26 -0.13 0.29 5.10
GRAPHICAL REPRESENTATION
4.00
2.00
Returns of NSE(X)
0.00 Return of ING(Y)
-2.00 1 3 5 7 9 11 13 15 17 19
-4.00
The above table and graph represents the beta (systematic risk) between NSE and ING VYSYA
bank, here the beta value is 0.54 and stock swings less than the market. Here the impact of
increase or decrease in market will affect the stock price by 0.54 points.
70
CALCULATION OF RISK ANALYSIS ( ß ) BETWEEN NSE AND ING VYSYA BANK
FOR THE MONTH OF MAY-2007
May-07
returns of return of
s.no NSE(X) ING(Y) XY X2
1 1.65 7.27 11.99 2.72
2 -0.81 2.58 -2.08 0.65
3 -0.15 1.68 -0.25 0.02 ∑x 5.09
4 -0.83 -0.38 0.32 0.69 ∑y 34.93
5 0.06 -1.68 -0.09 0.00 ∑x∑y 177.75
6 -0.31 2.89 -0.89 0.09 ∑x2 13.98
7 0.24 5.47 1.32 0.06 ∑Xy 16.49
8 1.42 2.39 3.38 2.00 N∑x2 265.62
9 -0.34 3.08 -1.04 0.11 (∑x)2 25.90
10 1.23 2.33 2.86 1.51 N∑Xy 313.39
11 1.17 0.23 0.27 1.38
12 -0.12 -1.25 0.15 0.01 N∑Xy-∑X∑Y 135.64
13 1.10 0.25 0.28 1.21 N∑X2-(∑X)2 239.73
14 0.40 1.01 0.41 0.16
15 -0.75 -0.23 0.17 0.56 ß 0.57
16 -0.97 4.72 -4.59 0.95
17 1.03 5.31 5.46 1.06
18 0.20 0.8 0.16 0.04
19 0.86 -1.54 -1.33 0.74
GRAPHICAL REPRESENTATION
8.00
6.00
4.00 Returns of
NSE(X)
2.00
Return of ING(Y)
0.00
-2.00 1 3 5 7 9 11 13 15 17 19
-4.00
The above table and graph represents the beta (systematic risk) between NSE and ING VYSYA
bank, here the beta value is 0.57.Here the stock moves all most all 50% less than the market.
Here the impact of increase or decrease in market will affect the stock price by 0.57 points.
71
CALCULATION OF RISK ANALYSIS ( ß ) BETWEEN NSE AND ING VYSYA BANK
FOR THE MONTH OF JUN-2007
Jun-07
returns of return of
s.no NSE(X) ING(Y) XY X2
1 0.11 -3.55 -0.39 0.01
2 -0.70 -4.1 2.86 0.49
3 0.41 1.88 0.78 0.17 ∑x -0.44
4 -2.00 -3.34 6.69 4.01 ∑y 0.37
5 -0.44 -2.56 1.12 0.19 ∑x∑y -0.16
6 -0.79 -0.41 0.32 0.62 ∑x2 13.18
7 0.01 1.92 0.03 0.00 ∑Xy 17.18
8 0.25 -0.66 -0.17 0.06 N∑x2 250.38
9 -0.99 0.9 -0.89 0.97 (∑x)2 0.19
10 1.42 1.61 2.29 2.02 N∑Xy 326.45
11 0.05 4.99 0.25 0.00
12 -0.58 1.74 -1.02 0.34 N∑Xy-∑X∑Y 326.62
13 1.62 1.23 1.99 2.63 N∑X2-(∑X)2 250.18
14 0.82 2.02 1.65 0.66
15 0.44 1.07 0.47 0.19 ß 1.31
16 -0.36 -1.73 0.62 0.13
17 0.17 -2.6 -0.45 0.03
18 0.62 1.79 1.11 0.38
19 -0.51 0.17 -0.09 0.26
GRAPHICAL REPRESENTATION
10.00
Returns of
5.00 NSE(X)
0.00 Returns of ING(Y)
1 3 5 7 9 11 13 15 17 19
-5.00
The above table and graph represents the beta (systematic risk) between NSE and ING VYSYA
bank, here the beta value is 1.31.Here the beta is greater than 1,it indicates that the securitiy’s
price will be more volatile than the market, it’s theoretically 31% more volatile than the market.
72
CALCULATION OF RISK ANALYSIS ( ß ) BETWEEN NSE AND ING VYSYA BANK
FOR THE MONTH OF JUL-2007
Jul-07
returns of return of
s.no NSE(X) ING(Y) XY X2
1 1.19 -1.17 -1.40 1.42
2 1.02 0.43 0.44 1.03
3 0.04 0.67 0.03 0.00 ∑x 8.18
4 -0.12 -3.79 0.44 0.01 ∑y 1.11
5 0.71 0.42 0.30 0.51 ∑x∑y 9.08
6 0.79 7.25 5.71 0.62 ∑x2 11.81
7 -0.29 -0.96 0.28 0.08 ∑Xy 9.26
8 -0.43 -2.22 0.95 0.18 N∑x2 224.48
9 1.34 -1.03 -1.39 1.81 (∑x)2 66.84
10 1.32 -0.06 -0.08 1.74 N∑Xy 176.02
11 0.21 -0.89 -0.19 0.04
12 -0.33 -2.94 0.98 0.11 N∑Xy-∑X∑Y 166.95
13 0.06 1.82 0.11 0.00 N∑X2-(∑X)2 157.64
14 1.39 0.39 0.54 1.93
15 0.09 0.76 0.07 0.01 ß 1.06
16 1.17 0.29 0.34 1.36
17 0.03 -1.22 -0.04 0.00
18 -0.69 0.08 -0.06 0.48
19 0.68 3.28 2.22 0.46
GRAPHICAL REPRESENTATION
10
5 Returns of NSE(X)
0 Return of ING(Y)
-5 1 3 5 7 9 11 13 15 17 19
The above table and graph represents the beta (systematic risk) between NSE and ING VYSYA
bank, here the beta value is 1.06.Here beta is nearly equal to 1, in this situation the stock can
moves with the market.
73
CALCULATION OF RISK ANALYSIS ( ß ) BETWEEN NSE AND ING VYSYA BANK
FOR THE MONTH OF AUG-2007
Aug-07
returns of return of
s.no NSE(X) ING(Y) XY X2
1 -5.92 -8.11 48.01 35.05
2 0.25 -0.58 -0.14 0.06
3 1.05 2.45 2.58 1.11 ∑x -6.05
4 -1.41 -1.2 1.69 1.99 ∑y -7.68
5 0.41 -1.19 -0.49 0.17 ∑x∑y 46.45
6 2.46 8.83 21.71 6.05 ∑x2 102.99
7 -1.32 -4.43 5.85 1.74 ∑Xy 96.75
8 -1.59 -2.84 4.51 2.52 N∑x2 1956.81
9 0.93 0 0.00 0.86 (∑x)2 36.58
10 -0.08 -0.51 0.04 0.01 N∑Xy 1838.32
11 -4.38 -1.63 7.14 19.17
12 -1.67 -1.95 3.26 2.80 N∑Xy-∑X∑Y 1791.86
13 2.46 -0.28 -0.69 6.04 N∑X2-(∑X)2 1920.22
14 -3.19 -1.68 5.35 10.16
15 1.93 -0.59 -1.14 3.71 ß 0.93
16 -0.91 4.29 -3.92 0.84
17 1.83 -3.75 -6.85 3.34
18 2.68 3.33 8.94 7.21
19 0.42 2.16 0.91 0.18
GRAPHICAL REPRESENTATION
10
5 Returns of
NSE(X)
0
Return of
-5 1 3 5 7 9 11 13 15 17 19
ING(Y)
-10
The above table and graph represents the beta (systematic risk) between NSE and ING VYSYA
bank, here the beta value is 0.93.Here the stock swings less than the market. Here the impact of
increase or decrease in market will affect the stock price by 0.93 points.
74
CALCULATION OF RISK ANALYSIS ( ß ) BETWEEN NSE AND ING VYSYA BANK
FOR THE MONTH OF SEP-2007
Sep-07
returns of return of
s.no NSE(X) ING(Y) XY X2
1 3.58 3.69 13.20 12.79
2 0.11 -1.4 -0.16 0.01
3 -0.08 -1.83 0.14 0.01 ∑x 14.95
4 0.95 1.99 1.90 0.91 ∑y 3.48
5 -0.20 -0.87 0.18 0.04 ∑x∑y 52.01
6 0.06 -1.47 -0.09 0.00 ∑x2 41.78
7 -0.24 0.1 -0.02 0.06 ∑Xy 31.26
8 0.00 0.56 0.00 0.00 N∑x2 793.76
9 0.71 0.04 0.03 0.51 (∑x)2 223.39
10 -0.24 1.75 -0.41 0.06 N∑Xy 593.87
11 -0.52 -2.09 1.08 0.27
12 1.15 1.34 1.54 1.32 N∑Xy-∑X∑Y 541.86
13 4.10 -0.27 -1.11 16.78 N∑X2-(∑X)2 570.38
14 0.32 -0.1 -0.03 0.10
15 1.90 0.98 1.86 3.59 ß 0.95
16 1.96 6.37 12.47 3.83
17 0.13 -5.82 -0.79 0.02
18 0.03 -0.73 -0.02 0.00
19 1.22 1.24 1.51 1.48
GRAPHICAL REPRESENTATION
10.00
5.00
Returns of NSE(X)
0.00
1 3 5 7 9 11 13 15 17 19 Return of ING(Y)
-5.00
-10.00
The above table and graph represents the beta (systematic risk) between NSE and ING VYSYA
bank, here the beta value is 0.95.Here the beta value is nearly equal to 1, thus it indicate stock
moves with the market.
75
BETA VALUES
GRAPHICAL REPRESENTATION
The above table and graph show the beta values of HDFC, ICICI and ING Vysya banks. Here the
average BETA of HDFC bank is 1.06; it means stock moves with the market. The average beta of
The ICICI bank is -0.33, here beta is negative it indicates the stock inversely follows the market,
in this situation generally stock price decreases if the market goes up. The average beta of ING
Vysya bank is 0.89; it indicates that security’s price will be less volatile than the market; it means
stock moves less than the market.
76
Conclusion
1. During this period, the HDFC bank is moves with the NSE
2. During this period, ICICI bank having average beta is negative beta, it means the stock
moves in the opposite direction of the market. There is a high risk in this case.
3. During this period, the ING Vysya bank security’s less volatile than the market, here the
stock moves less than the market.
4. During this period, there is more validity in Returns of Stock and Market.
77
Limitations
2. The data which is collected for doing this report from Internet Websites where there can be
some hitches.
3. The Time period for doing the data analysis has been taken from Apr-2007 to Sep-2007.
78
Methodology
N ∑xy - ∑x∑y
Beta =
N ∑x2 – (∑x) 2
Where,
N = No. of Days
Visited Websites:
www.hseindia.org
www.investopedia.com
www.beindia.com
www.nseindia.com
www.economictimes.com
www.nil.com
www.capitalamount.com
www.delalstreet.com
www.moneycontrol.com
www.mediantolinc.com
www.sebi.gov.in
80