Price Volume Relationship in Indian Stock

PRICE-VOLUME RELATIONSHIP IN SELECT INDIAN STOCKS
Price-Volume Relationship in
Select Indian Stocks listed at the
NSE
Submitted in partial fulfillment of the
requirements for MBA Degree of
Bangalore University
Submitted By
RAMAKRISHNA.B
Registration Number:
03XQCM6079
Under the Guidance Of:

Dr. T.V.Narasimha Rao
M.P.BIRLA INSTITUTE OF MANAGEMENT

Associate Bharatiya Vidya Bhavan
Race Course Road, Bangalore-560001

DECLARATION
I hereby declare that the Internship report on Organisation study of Price-

Volume Relationship in Select Indian Stocks listed at the NSE is a record of
independent work carried out by me, towards partial fulfillment of the
requirements for MBA course of Bangalore University at M.P.Birla Institute
of Management.
This has not been submitted in part or full towards any other degree or
diploma.
Date: 15/05/2005
Place: Bangalore RAMAKRISHNA B

03XQCM6079

PRINCIPAL’S CERTIFICATE
This is to certify that this report titled “Price-Volume Relationship in Select
Indian Stocks” is the result of project work undergone by Ramakrishna B,
bearing the Register Number 03XQCM6079, under the guidance of Dr.
T.V.Narasimha Rao. This has not formed a basis for the award of any
Degree/Diploma for any University.
Place : Bangalore
Date : 15th June 2005 Dr. Nagesh.S.Malavalli

GUIDE’S CERTIFICATE
This is to certify that the dissertation entitled “Price-Volume Relationship
in Select Indian Stocks” is an original study conducted by
Ramakrishna.B, bearing register number 03XQCM6079, of M. P. Birla
Institute of Management, Associate Bharatiya Vidya Bhavan, under my
guidance. This has not formed the basis for the award of any
Degree/Diploma by Bangalore University or any other University.
Date : June 15th 2005 Dr. T. V. Narasimha Rao
Place : Bangalore

ACKNOWLEDGEMENT
A teacher is a perennial source of inspiration and guidance in all the

academic activities of his students throughout. I whole-heartedly extend my
deep and sincere gratitude to Dr. T.V. Narasimha Rao, faculty for finance,
MPBIM, for his continuous guidance and help provided for completing this
research study.
I am also grateful to Dr N S Malavalli, Principal, M.P Birla Institute of

Management for his full support and encouragement while I was conducting
this research.
I am also thankful to Prof. S.S. Santhanam, M.P Birla Institute of

Management for sharing his expertise in the field of Statistics with me
whenever I approached him.
I also express my gratitude to all friends and family members for extending
their helping hand whenever I approached them. Without their help this
research could not have been presented in a proper manner.
Ramakrishna B

CONTENTS
CHAPTER NO PARTICULARS PAGE NO.
EXECUTIVE SUMMARY 01
I
II LITERATURE REVIEW 04
INTRODUCTION TO THE NATIONAL

III 05
STOCK EXCHANGE OF INDIA
RESEARCH METHODOLOGY
IV 10
DATA ANALYSIS TOOLS 12

V
RESEARCH FINDINGS 17
VI
VII CONCLUSIONS 67
VIII GLOSSARY 68
IX BIBLIOGRAPHY 70

LIST OF TABLES
PAGE
TABLE NO. PARTICULARS
NO.
01 COMPANIES UNDER S&P CNX NIFTY 08
CROSS CORRELATION BETWEEN PRICE &

02 17
VOLUME FOR THE PERIOD 2000-2005

03 23
VOLUME FOR THE VARYING PERIOD 2000-2001

04 29

05 35

06 41
07 47
08 STANDARD DEVIATION OF STOCK PRICES 55
09 SKEWNESS OF STOCK PRICES 56
10 KURTOSIS OF STOCK PRICES 58
11 STANDARD DEVIATION OF STOCK VOLUMES 60
12 SKEWNESS OF STOCK VOLUMES 61
13 KURTOSIS OF STOCK VOLUMES 63

EXECUTIVE SUMMARY
There is substantial interest in how trading volume is related to price

movements in the stock market. Clearly, positive trading volume is needed
to generate observed market prices. A naïve view of the market is that the
greater the level of volume, the greater the price movement and vice versa.
However, instances can be found where a low level of volume is associated

with large price movements and conversely, a high level of volume is
associated with no change in price. Market folklore claims that the
relationship between volume and price movements depends on whether the
market is in a bull or bear run. In a bull market, a relatively higher level of
volume is associated with a given price change in comparison to a bear
market. However, these claims are anecdotal and unsubstantiated. This
research paper tries to examine the relationship between the level of trading
volume and the magnitude of price changes in the Stock Market and the
volatility of stocks.
In common financial parlance, volatility of a variable is understood to reflect

the degree of fluctuation that the value of the variable is likely to show in its
over time movements. For example, if the price of a stock is capable of large
swings, it is said to have a high volatility.

A basic observation about most (high frequency) time series data on

financial variables, like asset return, is that a large value (of either sign)
tends to be followed by a large value (of either sign), thus suggesting a
strong clustering of the high and low fluctuations of the variable concerned.
Given the notion of volatility as mentioned above, it is only reasonable to

expect that the pattern and intensity of volatility of a variable may change
over time, smoothly in some cases and in a discrete manner in others. For
example, policy intervention may result in changes in volatility of
macroeconomic or financial variables.
As mentioned above, the pattern of volatility of a variable may change over

time. For example, if one has a time series of daily or more frequently
recorded observations on a variable covering a reasonably long time period
(say, a number of years), the pattern of volatility may change gently over
time or may discretely change within the sample period. Needless to
mention, such results should help a great deal in understanding the nature of
volatility of the variable concerned.

The paper commences with a review of prior studies conducted on this topic.
A formal model from this literature is then redeveloped which provides
some testable implications. The main point about the model is that it predicts
a relationship between the level of trading volume and price change. Positive
changes in price are hypothesized to be associated with a greater level of
trading volume than negative price changes. That is, the theoretical model
provides a prediction, which is consistent with market folklore. The
advantage of the model is that it provides a conceptually defensible
explanation as to why a relationship should exist.
To test the above, daily data are collected for 30 stocks traded in the NSE for
the period beginning from 3rd April 2000 up to 31st March 2005.
The last section of the paper tests the information flow using various
measures of volatility. The findings suggest that there exists a strong
relationship between price and volumes of stocks. The research paper should
be of further interest to those with an interest in trading in the stock market.

Literature Review:
Many studies have documented the empirical evidence of a positive

contemporaneous correlation between trading volume and price volatility.
Lamoureux and Lastrapes (1991) used individual stocks from the S&P
index. They documented a positive conditional volume-volatility
relationship in models, with volatility measured as the absolute price change
or the squared price change. However, the finding was cautiously interpreted
as it may be biased due to the simultaneity between stock returns and
volume.
Gallant (1992), using nonparametric methods, confirmed the positive

correlation between conditional volatility and volume, when examining daily
S&P data from 1928 to 1987.
Empirical aspects of the volume-volatility relationship in the literature for
various instruments have been examined by Bessembinder and Seguin
[1993], Chang and Schachter [1992], Gallant [1992], Karpoff [1987], Lang
[1992], and Schwert [1989]. These studies consistently showed that a
significant relationship exists between volume and price volatility
This study presents an empirical analysis of the relationship between the

prices of stocks and their trading volume in the Indian stock market.

INTRODUCTION TO THE NATIONAL STOCK

EXCHANGE OF INDIA LIMITED
THE ORGANISATION
The National Stock Exchange of India Limited has genesis in the report of
the High Powered Study Group on Establishment of New Stock Exchanges,
which recommended promotion of a National Stock Exchange by financial
institutions (FIs) to provide access to investors from all across the country
on an equal footing. Based on the recommendations, NSE was promoted by
leading Financial Institutions at the behest of the Government of India and
was incorporated in November 1992 as a tax-paying company unlike other
stock exchanges in the country.
On its recognition as a stock exchange under the Securities Contracts

(Regulation) Act, 1956 in April 1993, NSE commenced operations in the
Wholesale Debt Market (WDM) segment in June 1994. The Capital Market
(Equities) segment commenced operations in November 1994 and
operations in Derivatives segment commenced in June 2000.
NSE is owned by a set of leading financial institutions, banks, insurance

companies and other financial intermediaries and is managed by
professionals, who do not directly or indirectly trade on the Exchange. This
has completely eliminated any conflict of interest and helped NSE in
aggressively pursuing policies and practices within a public interest
framework.

Its Board comprises of senior executives from promoter institutions, eminent

professionals in the fields of law, economics, accountancy, finance, taxation,
public representatives, nominees of SEBI and one full time executive of the
Exchange.
While the Board deals with broad policy issues, decisions relating to market
operations are delegated to various committees constituted by it. Such
committees include representatives from trading members, professionals, the
public and the management. The day-to-day management of the Exchange is
delegated to the Managing Director who is supported by a team of
professional staff.
India Index Services & Products Ltd. (IISL) is a joint venture between the
National Stock Exchange of India Ltd. (NSE) and CRISIL (Credit Rating
Information Services of India Limited). IISL has been formed with the
objective of providing a variety of indices and index related services and
products for the capital markets.
IISL has a consulting and licensing agreement with Standard and Poor's
(S&P), the world's leading provider of investible equity indices.

The indices of IISL are now known under the following names:
SL.No. Old Name New Name
1 Nifty S&P CNX Nifty
2 Defty S&P CNX Defty
3 CRISIL 500 Equity Index S&P CNX 500 Equity Index
4 Nifty Junior CNX Nifty Junior
5 Crisil Midcap 200 CNX Midcap 200 Index
6 Crisil PSE CNX PSE Index
7 Crisil MNC CNX MNC Index
Note: PSE indicates Public Sector Enterprises, and
MNC indicates Multinational Corporation
S&P CNX NIFTY

S&P CNX Nifty is a well-diversified 50 stock index accounting for 23
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 inde
x as a core
product. IISL have a consulting and licensing agreement with Standard &
Poor's (S&P), who are world leaders in index services.

Companies under S&P CNX NIFTY

Table-01
Company Name Industry

1. ABB Ltd. Electrical Equipment
2. Associated Cement Companies Ltd. Cement And Cement Products
3. Bajaj Auto Ltd. Automobiles - 2 And 3 Wheelers
4. Bharat Heavy Electricals Ltd. Electrical Equipment
5. Bharat Petroleum Corporation Ltd. Refineries
6. Bharti Tele-Ventures Ltd. Telecommunication - Services
7. Cipla Ltd. Pharmaceuticals
8. Colgate-Palmolive (India) Ltd. Personal Care
9. Dabur India Ltd. Personal Care
10. Dr. Reddy's Laboratories Ltd. Pharmaceuticals
11. GAIL (India) Ltd. Gas
12. Glaxosmithkline Pharmaceuticals Ltd. Pharmaceuticals
13. Grasim Industries Ltd. Cement And Cement Products
14. Gujarat Ambuja Cements Ltd. Cement And Cement Products
15. HCL Technologies Ltd. Computers - Software
16. HDFC Bank Ltd. Banks
17. Hero Honda Motors Ltd. Automobiles - 2 And 3 Wheelers
18. Hindalco Industries Ltd. Aluminium
19. Hindustan Lever Ltd. Diversified
20. Hindustan Petroleum Corporation Ltd. Refineries
21. Housing Development Finance
Finance - Housing
Corporation Ltd.
22. I T C Ltd. Cigarettes
23. ICICI Bank Ltd. Banks
24. Indian Petrochemicals Corporation Ltd. Petrochemicals
25. Infosys Technologies Ltd. Computers - Software

26. Larsen & Toubro Ltd. Engineering

27. Mahanagar Telephone Nigam Ltd. Telecommunication - Services
28. Mahindra & Mahindra Ltd. Automobiles - 4 Wheelers
29. Maruti Udyog Ltd. Automobiles - 4 Wheelers
30. National Aluminium Co. Ltd. Aluminium
31. Oil & Natural Gas Corporation Ltd. Oil Exploration/Production
32. Oriental Bank Of Commerce Banks
33. Punjab National Bank Banks
34. Ranbaxy Laboratories Ltd. Pharmaceuticals
35. Reliance Energy Ltd. Power
36. Reliance Industries Ltd. Refineries
37. Satyam Computer Services Ltd. Computers - Software
38. Shipping Corporation Of India Ltd. Shipping
39. State Bank Of India Banks
40. Steel Authority Of India Ltd. Steel And Steel Products
41. Sun Pharmaceutical Industries Ltd. Pharmaceuticals
42. Tata Chemicals Ltd. Chemicals - Inorganic
43. Tata Consultancy Services Ltd. Computers - Software
44. Tata Iron & Steel Co. Ltd. Steel And Steel Products
45. Tata Motors Ltd. Automobiles - 4 Wheelers
46. Tata Power Co. Ltd. Power
47. Tata Tea Ltd. Tea And Coffee
48. Videsh Sanchar Nigam Ltd. Telecommunication - Services
49. Wipro Ltd. Computers - Software
50. Zee Telefilms Ltd. Media & Entertainment
(Source: NSE India website)

RESEARCH METHODOLOGY:
RESEARCH OBJECTIVE: It is aimed at finding out the significance of

the relationship between Price and Volume.
This quantitative research uses a sample size of 30 stocks, which has been
taken from the 50 stocks listed in the NSE Nifty through Convenient
Sampling method. This is a secondary data, collected from the NSE INDIA
website. Further, data has also been collected from the Bangalore Stock
Exchange Ltd. to find out whether any of these companies have issued
Bonus shares or made Stock Splits, in what ratio, and on which date.
The data collected is for a period of five years beginning from 1st April 2000
upto 31st March 2005. Daily Stock prices, opening and closing, and the
equity history for the 30 companies for the term were collected.
The Hypothesis that is to be examined is:
H0: There exists no significant relationship between Price and Volume.
HA: There exists a significant relationship between Price & Volume.

The tests that will be undertaken to ascertain the relationship and measure
the volatility are Cross Correlation, Standard Deviation, Skewness and
Kurtosis:
LIMITATIONS OF THE RESEARCH

Sample is restricted to 30 companies traded at the NSE only.
Data is considered for five years only.
The research is conducted during a time span of three months.
Results arrived at, are generalized for the entire sample.

DATA ANALYSIS TOOLS
CROSS CORRELATION
Cross correlation is a standard method of estimating the degree to which two
series are correlated. Consider two series, x(i) and y(i), where i=0,1,2...N-1.
The cross correlation ‘r’ at delay ‘d’ is defined as:
Where ‘mx’ and ‘my’ are the means of the corresponding series. If the above
is computed for all delays d=0,1,2,...N-1 then it results in a cross correlation
series of twice the length as the original series.
A high negative correlation indicates a high correlation but of the inverse of

one of the series.

T-TEST
The t statistic is a measure of how extreme a statistical estimate is. This
statistic is computed by subtracting the hypothesized value from the
statistical estimate and then dividing by the estimated standard error. In
many, but not all situation, the hypothesized value would be zero.
You have an indication that the hypothesized value is reasonable when the t-
statistic is close to zero. Alternately, the hypothesized value is not large
enough when the t-statistic is large positive. Finally, when the hypothesized
value is too large, it is an indication that the t-statistic is large negative.
To formalize this approach, the t-statistic is compared to a percentile from

the t-distribution. The t-statistic is sometimes also referred to as a t-test, t-
ratio, or Wald statistic.
The t-test assesses whether the means of two groups are statistically
different from each other. This analysis is appropriate whenever there needs
to be a comparison between the means of two groups, and especially
appropriate as the analysis for the post test-only two-group randomized
experimental design. In this study t-test will be conducted @ 5% level of
significance.

STANDARD DEVIATION
The standard deviation is a measure of how spread out the data is. The two
main types are as follows:
Population standard deviation. The population standard deviation (often

represented by the Greek letter sigma) is measures the variability of data in a
population. It is usually an unknown constant. The formula is:
Sample standard deviation. The sample standard deviation (usually

represented by S) measures the variability of data in a sample. It is easy to
compute (compared to a population standard deviation) because it is based
on a small and manageable sample. The formula is:

SKEWNESS
It is a measure of symmetry, or more precisely, the lack of symmetry. A
distribution, or data set, is symmetric if it looks the same to the left and right
of the center point.
Definition: The skewness of a random variable X is denoted or skew (X).

It is defined as:
where ‘µ’ and ‘ σ’ are the mean and standard deviation of X
The skewness for a normal distribution is zero, and any symmetric data
should have skewness near zero. Negative values for the skewness indicate
data that are skewed left and positive values for the skewness indicate data
that are skewed right.
By ‘skewed left’, we mean that the left tail is heavier than the right tail.
Similarly, by ‘skewed right’, we mean that the right tail is heavier than the
left tail. Some measurements have a lower bound and are skewed right.

KURTOSIS
It is a measure of whether the data are peaked or flat relative to a normal
distribution. That is, data sets with high kurtosis tend to have a distinct peak
near the mean, decline rather rapidly, and have heavy tails. Data sets with
low kurtosis tend to have a flat top near the mean rather than a sharp peak. A
uniform distribution would be the extreme case.
Definition: For univariate data X1, X2.., XN, the formula for kurtosis is:
where, ‘µ’ and ‘ σ’ are the mean and standard deviation of X
Positive kurtosis indicates a "peaked" distribution and negative kurtosis

indicates a "flat" distribution.

RESEARCH FINDINGS
CROSS CORRELATION OF PRICE & VOLUME
FOR THE PERIOD 2000-2005
TABLE-02 ‘a’
LAGS -10 -9 -8 -7 -6 -5 -4
COMPANY
ABB 0.022 -0.019 -0.023 0.017 0.035 -0.024 0.015
(0.786) -(0.679) -(0.821) (0.607) (1.250) -(0.857) (0.536)
ACC 0.032 0.069 0.02 -0.023 0.068 0.046 0.061
(0.500) (1.078) (0.313) -(0.359) (1.063) (0.719) (0.968)
BAJAJ -0.031 0.028 0.048 0.014 -0.013 -0.013 0.039
-(1.107) (1.000) (1.714) (0.500) -(0.464) -(0.464) (1.393)
BHEL 0.021 -0.001 0.026 0.039 -0.016 -0.056 -0.003
(0.750) -(0.036) (0.929) (1.393) -(0.571) -(2.000*) -(0.107)
BPCL -0.011 0.013 -0.014 -0.024 -0.008 0.012 0.013
-(0.393) (0.464) -(0.500) -(0.857) -(0.286) (0.429) (0.464)
CIPLA -0.044 0.042 0.01 -0.021 0.011 0.005 -0.027
-(1.571) (1.500) (0.357) -(0.750) (0.393) (0.179) -(0.964)
COLGATE 0.055 -0.014 -0.028 -0.008 0.024 0.023 -0.061
(1.964) -(0.500) -(1.000) -(0.286) (0.857) (0.821) (-2.178*)
DABUR 0.031 0.018 -0.014 -0.005 -0.018 -0.037 0.033
(1.107) (0.643) -(0.500) -(0.179) -(0.643) -(1.321) (1.179)
DR.REDDYS 0.029 0.006 0.005 0.009 -0.016 0.023 -0.05
(1.036) (0.214) (0.179) (0.321) -(0.571) (0.821) -(1.786)
GLAXO 0.016 -0.028 0.031 -0.016 0.013 -0.035 -0.005
(0.571) -(1.000) (1.107) -(0.571) (0.464) -(1.250) -(0.179)
GRASIM -0.016 0.025 0.014 -0.011 0 -0.027 0.045
-(0.571) (0.893) (0.500) -(0.393) (0.000) -(0.964) (1.607)
HDFCBANK 0.064 0.026 -0.018 0.013 -0.034 0.03 0.004
(2.286*) (0.929) -(0.643) (0.464) -(1.214) (1.071) (0.143)
HDFC -0.01 0.016 -0.015 0.045 -0.007 -0.068 0.025
-(0.357) (0.571) -(0.536) (1.607) -(0.250) -(2.429*) (0.893)
HEROHONDA -0.038 0.007 -0.008 -0.002 0.014 -0.02 0.053
-(1.357) (0.250) -(0.286) -(0.071) (0.500) -(0.714) (1.893)
HIND PETRO 0.008 0.007 -0.018 -0.015 -0.005 0.025 0.001
(0.286) (0.250) -(0.643) -(0.536) -(0.179) (0.893) (0.036)
Values given in brackets are ‘t’ values

* ‘t’ is significant at 5% level

Table-02 ‘a’ (cont’d)

LAGS -10 -9 -8 -7 -6 -5 -4
COMPANY
HLL -0.055 0.025 -0.002 -0.002 0 0.006 -0.023
-(1.964) (0.893) -(0.071) -(0.071) (0.000) (0.214) -(0.821)
ICICI 0.001 0.039 0.006 0.017 -0.006 -0.005 -0.004
(0.036) (1.393) (0.214) (0.607) -(0.214) -(0.179) -(0.143)
INFOSYS 0.028 -0.005 -0.058 0.036 -0.02 0.009 0.018
(1.000) -(0.179) -(2.071*) (1.286) -(0.714) (0.321) (0.643)
ITC -0.018 0.027 0.011 -0.008 0.018 -0.01 -0.026
-(0.643) (0.964) (0.393) -(0.286) (0.643) -(0.357) -(0.929)
MTNL 0.031 0.003 -0.023 0.021 -0.001 -0.043 0.044
(1.107) (0.107) -(0.821) (0.750) -(0.036) -(1.536) (1.571)
ONGC -0.009 0.044 0.067 -0.014 0.004 -0.024 0.017
-(0.321) (1.571) (2.393*) -(0.500) (0.143) -(0.857) (0.607)
RANBAXY -0.014 0.028 -0.003 -0.034 -0.013 0.001 -0.014
-(0.500) (1.000) -(0.107) -(1.214) -(0.464) (0.036) -(0.500)
RELIANCE 0.034 0.009 0.008 -0.042 0.048 -0.027 0.027
(1.214) (0.321) (0.286) -(1.500) (1.714) -(0.964) (0.964)
SATYAM 0.06 0.021 -0.036 -0.003 -0.047 0.053 -0.002
(2.143*) (0.750) -(1.286) -(0.107) -(1.679) (1.893) -(0.071)
SBI 0.06 0.001 0.032 -0.025 0.019 0.015 -0.02
(2.143)* (0.036) (1.143) -(0.893) (0.679) (0.536) -(0.714)
TATATEA -0.004 0.023 0.001 -0.03 0.013 -0.055 0.011
-(0.143) (0.821) (0.036) -(1.071) (0.464) -(1.964) (0.393)
TISCO 0.017 0.009 -0.01 0.024 -0.058 0.015 0.058
(0.607) (0.321) -(0.357) (0.857) -(2.071*) (0.536) (2.071*)
VSNL 0.041 -0.002 0.018 -0.013 -0.029 -0.001 0.01
(1.464) -(0.071) (0.643) -(0.464) -(1.036) -(0.036) (0.357)
WIPRO 0.021 0.036 -0.019 -0.039 -0.031 0.06 -0.003
(0.750) (1.286) -(0.679) -(1.393) -(1.107) (2.143*) -(0.107)
ZEE 0.025 0.04 -0.034 -0.02 -0.061 0.012 0.028
(0.893) (1.429) -(1.214) -(0.714) -(2.179*) (0.429) (1.000)


Table-02 ‘b’
LAGS -3 -2 -1 0 1 2 3
COMPANY
ABB -0.006 -0.002 0.076 0.184 -0.079 -0.04 -0.012
-(0.214) -(0.071) (2.714*) (6.571*) (-2.821*) -(1.429) -(0.429)
ACC -0.086 -0.058 0.109 0.066 -0.016 -0.028 -0.006
-(1.365) -(0.921) (1.730) (1.048) -(0.254) -(0.444) -(0.095)
BAJAJ -0.013 0.006 -0.036 0.173 -0.062 -0.065 -0.006
-(0.464) (0.214) -(1.286) (6.179*) -(2.21*) -(2.321*) -(0.214)
BHEL 0.061 -0.035 -0.007 0.117 -0.021 -0.049 -0.017
(2.179*) -(1.250) -(0.250) (4.179*) -(0.750) -(1.750) -(0.607)
BPCL 0 -0.043 -0.032 0.121 -0.013 -0.034 -0.019
(0.000) -(1.536) -(1.143) (4.321*) -(0.464) -(1.214) -(0.679)
CIPLA 0.006 -0.004 0.015 0.107 -0.025 -0.074 0.01
(0.214) -(0.143) (0.536) (3.8214*) -(0.893) (-2.642*) (0.357)
COLGATE 0.032 0.008 0.039 0.287 -0.074 -0.073 0.014
(1.143) (0.286) (1.393) (10.25*) (-2.642*) (-2.607*) (0.500)
DABUR -0.001 0.011 0.089 0.196 -0.02 -0.08 -0.036
-(0.036) (0.393) (3.179*) (7.000*) -(0.714) -(2.857*) -(1.286)
DR.REDDYS 0.004 0.001 0.021 0.018 -0.026 -0.025 0.009
(0.143) (0.036) (0.750) (0.643) -(0.929) -(0.893) (0.321)
GLAXO 0.028 0.03 0.043 0.167 -0.057 -0.097 -0.024
(1.000) (1.071) (1.536) (5.964*) -(2.036*) -(3.464*) -(0.857)
GRASIM -0.028 0.025 0.022 0.098 -0.074 -0.036 -0.04
-(1.000) (0.893) (0.786) (3.500*) -(2.643*) -(1.286) -(1.429)
HDFCBANK 0.012 -0.011 -0.032 0.148 -0.068 -0.047 0.034
(0.429) -(0.393) -(1.143) (5.286*) -(2.429*) -(1.679) (1.214)
HDFC 0.013 -0.031 0.014 0.17 -0.072 -0.039 -0.058
(0.464) -(1.107) (0.500) (6.071*) -(2.571*) -(1.393) -(2.071*)
HEROHONDA -0.038 0.014 0.022 0.105 -0.024 -0.111 0.016
-(1.357) (0.500) (0.786) (3.750*) -(0.857) -(3.964*) (0.571)
HIND PETRO 0.012 -0.032 0.009 0.111 -0.017 -0.05 -0.025
(0.429) -(1.143) (0.321) (3.964*) -(0.607) -(1.786) -(0.893)


Table-02 ‘b’ (cont’d)

LAGS -3 -2 -1 0 1 2 3
COMPANY
HLL 0.001 0.063 -0.006 0.085 -0.082 -0.033 -0.027
(0.036) (2.250*) -(0.214) (3.036*) -(2.929*) -(1.179) -(0.964)
ICICI -0.006 0.002 0.067 0.168 -0.054 -0.111 0.005
-(0.214) (0.071) (2.393) (6.000*) -(1.929) -(3.964*) (0.179)
INFOSYS -0.042 0.037 -0.017 0.06 -0.136 0.011 0.034
-(1.500) (1.321) -(0.607) (2.143*) -(4.857*) (0.393) (1.214)
ITC 0.014 -0.025 0.026 0.169 -0.035 -0.057 -0.028
(0.500) -(0.893) (0.929) (6.036*) -(1.250) -(2.036*) -(1.000)
MTNL -0.021 -0.004 0.051 0.087 0.017 -0.085 0.012
-(0.750) -(0.143) (1.821) (3.107*) (0.607) -(3.036*) (0.429)
ONGC -0.003 -0.04 0.049 0.176 -0.016 -0.034 -0.03
-(0.107) -(1.429) (1.750) (6.286*) -(0.571) -(1.214) -(1.071)
RANBAXY 0.021 -0.016 0.031 0.136 -0.051 -0.047 -0.001
(0.750) -(0.571) (1.107) (4.857*) -(1.821) -(1.679) -(0.036)
RELIANCE -0.022 0.007 -0.007 0.138 -0.082 -0.05 -0.014
-(0.786) (0.250) -(0.250) (4.929*) -(2.929*) -(1.786) -(0.500)
SATYAM -0.033 0.007 0.016 0.054 -0.069 -0.004 0.013
-(1.179) (0.250) (0.571) (1.929) -(2.464*) -(0.143) (0.464)
SBI -0.002 -0.038 -0.013 0.247 -0.026 -0.048 -0.014
-(0.071) -(1.357) -(0.464) (8.821*) -(0.929) -(1.714) -(0.500)
TATATEA 0.023 0.056 0.019 0.156 0.002 -0.087 -0.026
(0.821) (2.000*) (0.679) (5.571*) (0.071) -(3.107*) -(0.929)
TISCO -0.019 0.02 0.051 0.151 -0.076 -0.041 -0.005
-(0.679) (0.714) (1.821) (5.393*) -(2.714*) -(1.464) -(0.179)
VSNL 0.008 -0.02 0.022 0.135 -0.043 -0.069 -0.016
(0.286) -(0.714) (0.786) (4.821*) -(1.536) -(2.464*) -(0.571)
WIPRO -0.033 0.04 0.011 0.095 -0.066 -0.01 -0.021
-(1.179) (1.429) (0.393) (3.393*) -(2.357*) -(0.357) -(0.750)
ZEE 0.009 0.021 0.008 0.156 -0.086 -0.035 -0.023
(0.321) (0.750) (0.286) (5.571*) -(3.071*) -(1.250) -(0.821)


Table-02 ‘c’
LAGS 4 5 6 7 8 9 10
COMPANY
ABB -0.005 0.035 -0.015 -0.068 -0.012 0.051 -0.006
-(0.179) (1.250) -(0.536) (-2.428*) -(0.429) (1.821) -(0.214)
ACC -0.028 0.076 0.023 -0.146 -0.051 0.056 -0.082
-(0.444) (1.188) (0.359) -(2.281*) -(0.797) (0.875) -(1.281)
BAJAJ -0.037 0.025 0.002 -0.031 0.003 0.042 -0.039
-(1.321) (0.893) (0.071) -(1.107) (0.107) (1.500) -(1.393)
BHEL 0.007 0.029 -0.032 -0.003 0 -0.023 0.016
(0.250) (1.036) -(1.143) -(0.107) (0.000) -(0.821) (0.571)
BPCL -0.012 0.043 0.008 -0.016 0 -0.051 0.019
-(0.429) (1.536) (0.286) -(0.571) (0.000) -(1.821) (0.679)
CIPLA 0.002 -0.009 -0.006 -0.01 -0.015 -0.029 0.042
(0.071) -(0.321) -(0.214) -(0.357) -(0.536) -(1.036) (1.500)
COLGATE -0.05 -0.018 0.013 -0.001 0.025 0.015 -0.021
-(1.786) -(0.643) (0.464) -(0.036) (0.893) (0.536) -(0.750)
DABUR 0 -0.026 -0.023 0.026 -0.06 0.04 0.029
(0.000) -(0.929) -(0.821) (0.929) -(2.143*) (1.429) (1.036)
DR.REDDYS -0.031 0.014 0.036 -0.027 -0.011 0.003 0.003
-(1.107) (0.500) (1.286) -(0.964) -(0.393) (0.107) (0.107)
GLAXO -0.003 0.018 -0.069 -0.012 0.045 0.016 -0.034
-(0.107) (0.643) -(2.464*) -(0.429) (1.607) (0.571) -(1.214)
GRASIM 0.009 0.011 0.041 0.007 -0.019 -0.026 0.037
(0.321) (0.393) (1.464) (0.250) -(0.679) -(0.929) (1.321)
HDFCBANK -0.028 -0.025 0.012 0.016 -0.032 0.027 -0.021
-(1.000) -(0.893) (0.429) (0.571) -(1.143) (0.964) -(0.750)
HDFC 0.027 0 0.003 0 -0.005 0.007 -0.003
(0.964) (0.000) (0.107) (0.000) -(0.179) (0.250) -(0.107)
HEROHONDA -0.009 -0.009 0.023 0.006 -0.035 0.019 0.033
-(0.321) -(0.321) (0.821) (0.214) -(1.250) (0.679) (1.179)
HIND PETRO -0.029 0.033 0.065 0.015 -0.064 -0.023 -0.013
-(1.036) (1.179) (2.321*) (0.536) -(2.286*) -(0.821) -(0.464)


Table-02 ‘c’ (cont’d)

LAGS 4 5 6 7 8 9 10
COMPANY
HLL -0.025 0.02 0.015 0.025 -0.011 0.01 -0.059
-(0.893) (0.714) (0.536) (0.893) -(0.393) (0.357) -(2.107*)
ICICI -0.003 0.002 0.005 -0.025 0.041 0.019 -0.043
-(0.107) (0.071) (0.179) -(0.893) (1.464) (0.679) -(1.536)
INFOSYS -0.013 0.022 -0.003 0.027 0.005 -0.014 0.004
-(0.464) (0.786) -(0.107) (0.964) (0.179) -(0.500) (0.143)
ITC 0.001 0.055 -0.017 -0.002 0.007 -0.055 0.017
(0.036) (1.964) -(0.607) -(0.071) (0.250) -(1.964) (0.607)
MTNL -0.023 0.019 -0.024 0.035 -0.012 -0.019 0.007
-(0.821) (0.679) -(0.857) (1.250) -(0.429) -(0.679) (0.250)
ONGC 0.034 -0.044 0.011 0.01 -0.026 0.039 0.023
(1.214) -(1.571) (0.393) (0.357) -(0.929) (1.393) (0.821)
RANBAXY -0.002 0.009 -0.016 0.001 -0.027 -0.02 0.006
-(0.071) (0.321) -(0.571) (0.036) -(0.964) -(0.714) (0.214)
RELIANCE -0.036 0.017 -0.01 0.033 -0.057 0.041 -0.019
-(1.286) (0.607) -(0.357) (1.179) -(2.036*) (1.464) -(0.679)
SATYAM -0.062 -0.011 0.049 -0.004 -0.008 0.005 0.029
-(2.214*) -(0.393) (1.750) -(0.143) -(0.286) (0.179) (1.036)
SBI -0.015 0.012 -0.018 -0.031 0.04 -0.005 0.018
-(0.536) (0.429) -(0.643) -(1.107) (1.429) -(0.179) (0.643)
TATATEA -0.018 -0.022 0.043 -0.017 -0.014 0.054 -0.005
-(0.643) -(0.786) (1.536) -(0.607) -(0.500) (1.929) -(0.179)
TISCO 0.024 -0.002 0.019 -0.017 -0.011 0.002 0.019
(0.857) -(0.071) (0.679) -(0.607) -(0.393) (0.071) (0.679)
VSNL 0.015 0.034 -0.057 0.013 -0.03 0.017 -0.012
(0.536) (1.214) -(2.036*) (0.464) -(1.071) (0.607) -(0.429)
WIPRO -0.02 -0.029 0.034 -0.007 0.052 -0.032 0.012
-(0.714) -(1.036) (1.214) -(0.250) (1.857) -(1.143) (0.429)
ZEE -0.033 -0.027 0.014 0.01 0.015 -0.017 0.011
-(1.179) -(0.964) (0.500) (0.357) (0.536) -(0.607) (0.393)



FOR THE VARYING PERIOD 2000-2001
TABLE-03 ‘a’
LAGS -10 -9 -8 -7 -6 -5 -4
COMPANY
ABB -0.025 -0.058 0.011 -0.007 0.148 -0.1 -0.026
-(0.384) -(0.906) (0.172) -(0.109) (2.315*) -(1.563) -(0.406)
ACC 0.012 0.073 0.026 -0.089 0.005 -0.063 0.089
(0.185) (1.141) (0.406) -(1.391) (0.078) -(0.984) (1.391)
BAJAJ -0.052 0.048 0.039 0.096 -0.024 -0.113 0.024
-(0.800) (0.750) (0.609) (1.500) -(0.375) -(1.766) (0.375)
BHEL 0.102 -0.072 -0.005 0.073 0.039 -0.123 0.064
(1.569) -(1.125) -(0.078) (1.141) (0.609) -(1.922) (1.000)
BPCL -0.072 0.09 0.019 -0.059 -0.004 0.03 -0.038
-(1.107) (1.402) (0.297) -(0.922) -(0.063) (0.465) -(0.594)
CIPLA -0.044 0.042 0.01 -0.021 0.011 0.005 -0.027
-(1.571) (1.500) (0.357) -(0.750) (0.392) (0.179) -(0.964)
COLGATE 0.183 -0.028 -0.065 0.003 0.069 0.034 -0.118
(2.815*) -(0.438) -(1.016) (0.047) (1.078) (0.531) -(1.844)
DABUR 0.026 -0.022 -0.045 -0.059 0.072 -0.051 0.007
(0.400) -(0.344) -(0.703) -(0.922) (1.125) -(0.797) (0.109)
DR.REDDYS 0.013 -0.026 -0.056 0.088 -0.066 0.029 -0.072
(0.200) -(0.406) -(0.875) (1.375) -(1.031) (0.453) -(1.125)
GLAXO 0.035 -0.014 0.022 -0.006 0.007 -0.08 0.006
(0.530) -(0.219) (0.344) (0.094) (0.109) -(1.250) (0.094)
GRASIM -0.016 0.103 -0.016 -0.05 -0.067 -0.04 0.033
-(0.246) (1.609) -(0.250) -(0.781) -(1.046) -(0.625) (0.516)
HDFCBANK -0.075 -0.051 0.035 -0.054 0.08 0.033 -0.041
(1.154) (0.797) -(0.547) (0.844) -(1.250) -(0.516) (0.641)
HDFC 0.051 0.019 -0.129 0.101 -0.116 -0.1 0.023
(0.784) (0.296) (-2.015*) (1.578) -(1.812) -(1.562) (0.359)
HEROHONDA -0.08 0.08 -0.017 -0.162 0.047 0.014 0.129
(1.230) (1.250) -(0.265) (-2.531*) (0.734) (0.219) (2.015*)
HIND PETRO 0.027 0.082 -0.014 0.103 -0.123 -0.085 0.048
(0.415) (1.281) -(0.218) (1.609) -(1.922) -(1.328) (0.750)



LAGS -10 -9 -8 -7 -6 -5 -4
COMPANY
HLL -0.1 0.066 -0.024 -0.067 0.029 0.057 -0.052
-(1.538) (1.031) -(0.375) -(1.047) (0.453) (0.891) -(0.812)
ICICI 0.101 0.123 0.035 -0.067 -0.107 0.039 0.045
(1.554) (1.921) (0.546) -(1.047) (1.672) (0.609) (0.703)
INFOSYS 0.148 0.057 -0.118 0.031 -0.061 0.037 0.021
(2.277*) (0.890) -(1.843) (0.484) -(0.953) (0.578) (0.328)
ITC 0.033 0.017 -0.14 0.064 0.025 -0.037 0.033
(0.507) (0.265) (2.187*) (1.000) (0.390) -(0.578) (0.507)
MTNL 0.022 -0.019 -0.083 0.112 0.017 -0.118 0.022
(0.338) -(0.297) -(1.297) (1.750) (0.266) -(1.844) (0.338)
ONGC -0.0160 -0.0190 0.0460 -0.0330 0.0400 -0.0120 -0.0160
-(0.246) -(0.297) (0.719) -(0.516) (0.625) -(0.188) -(0.246)
RANBAXY -0.006 0.031 0.003 -0.054 -0.042 -0.05 -0.006
-(0.092) (0.484) (0.047) -(0.844) -(0.656) -(0.781) -(0.092)
RELIANCE 0.091 -0.04 0.039 -0.121 0.075 -0.021 0.091
(1.400) -(0.625) (0.609) -(1.891) (1.172) -(0.328) (1.400)
SATYAM 0.106 0.127 -0.1 -0.042 -0.101 0.072 0.106
(1.631) (1.9844) -(1.563) -(0.656) -(1.578) (1.125) (1.631)
SBI 0.014 0.039 0.023 -0.042 -0.004 0.069 0.014
(0.215) (0.609) (0.359) -(0.656) -(0.063) (1.078) (0.215)
TATATEA 0.04 0.059 -0.034 -0.176 0.064 0.009 0.04
(0.615) (0.922) -(0.531) (-2.750*) (1.000) (0.141) (0.615)
TISCO -0.023 -0.066 0.001 0.038 -0.014 -0.096 -0.023
-(0.354) -(1.031) (0.016) (0.594) -(0.219) -(1.500) -(0.354)
VSNL 0.118 -0.007 -0.004 -0.002 -0.03 -0.064 0.118
(1.815) -(0.109) -(0.063) -(0.031) -(0.469) -(1.000) (1.815)
WIPRO 0.126 0.068 0.018 -0.079 -0.093 0.081 0.126
(1.938) (1.063) (0.281) -(1.234) -(1.453) (1.266) (1.938)
ZEE 0.052 0.122 -0.04 0.067 -0.168 -0.07 0.052
(0.800) (1.906) -(0.625) (1.047) (-2.625*) -(1.094) (0.800)

* ‘t’ is significa nt at 5% level

Table-03 ‘b’
LAGS -3 -2 -1 0 1 2 3
COMPANY
ABB 0.065 0.008 0.194 0.165 -0.04 0.034 0.04
(1.015) (0.125) (3.079*) (2.619*) -(0.635) (0.531) (0.625)
ACC -0.009 0.031 0.037 0.295 -0.095 -0.075 0
-(0.141) (0.484) (0.587) (4.682*) -(1.508) -(1.172) (0.000)
BAJAJ 0.044 -0.005 -0.033 0.115 0.043 -0.014 -0.012
(0.688) (1.000) -(0.524) (1.825) (0.683) -(0.219) -(0.188)
BHEL 0.072 -0.043 0.037 0.165 -0.065 -0.053 -0.003
(1.125) -(0.672) (0.578) (2.619*) -(1.032) (0.828) -(0.047)
BPCL 0.006 -0.102 -0.003 0.04 0.124 -0.088 -0.031
(0.094) -(1.594) -(0.048) (0.635) (1.968) -(1.375) -(0.484)
CIPLA 0.006 -0.004 0.015 0.107 -0.025 -0.074 0.01
(0.214) -(0.143) (0.536) (3.281*) -(0.893) (-2.643*) (0.357)
COLGATE 0.092 -0.039 0.097 0.269 -0.083 -0.068 0.055
(1.438) -(0.609) (1.540) (4.269*) -(1.315) -(1.063) -(0.859)
DABUR -0.101 0.033 0.23 0.188 0.01 -0.086 -0.04
-(1.578) (0.516) (3.651*) (2.984*) (0.159) -(1.344) -(0.625)
DR.REDDYS 0.005 0.086 -0.041 0.162 -0.012 -0.157 0.077
(0.078) (1.344) -(0.651) (2.571) -(0.191) (-2.453*) (1.203)
GLAXO 0.01 0.077 0.019 0.231 -0.114 -0.137 0.019
(0.156) (1.203) (0.302) (3.667*) -(1.809) (-2.176*) (0.297)
GRASIM -0.018 0.078 -0.015 0.028 0.008 -0.095 -0.012
-(0.282) (1.219) -(0.234) (0.444) (0.127) -(1.484) -(0.188)
HDFCBANK 0.02 0.076 -0.117 0 0.09 0.08 -0.023
-(0.313) -(1.188) (1.857) (2.285*) -(1.428) -(1.250) (0.359)
HDFC 0.097 -0.081 0.025 0.241 0.014 -0.089 -0.049
(1.516) -(1.266) (0.937) (3.825*) (0.220) -(1.390) -(0.765)
HEROHONDA -0.095 0.099 0.054 -0.013 0.041 -0.1 0.075
-(1.484) (1.546) (0.857) (0.206) (0.651) -(1.562) (1.172)
HIND PETRO 0.03 -0.103 0.125 0.174 -0.045 -0.111 0.034
(0.469) -(1.609) (1.984) (2.762*) -(0.714) -(1.734) (0.531)
Values given in brackets are‘t’ values



LAGS -3 -2 -1 0 1 2 3
COMPANY
HLL -0.016 0.055 0.089 0.132 -0.093 -0.106 -0.061
-(0.250) (0.859) (1.412) (2.095*) -(1.476) -(1.656) -(0.953)
ICICI -0.085 -0.079 0.127 0.193 -0.08 -0.092 0.036
-(1.328) -(1.234) (2.016*) (3.063*) -(1.270) -(1.437) -(0.563)
INFOSYS -0.062 0.02 -0.043 0.073 -0.132 0.015 0.002
-(0.968) (0.312) -(0.682) (1.158) (-2.095*) (0.234) (0.031)
ITC -0.003 0.038 0.013 0.233 0.005 -0.133 -0.019
-(0.047) (0.593) (0.206) (3.698*) (0.079) (-2.078*) -(0.296)
MTNL -0.007 0.033 0.066 0.073 -0.004 -0.163 -0.01
-(0.109) (0.516) (1.048) (1.159) -(0.063) (-2.546*) -(0.156)
ONGC -0.0030 -0.0710 0.1550 -0.1070 0.0570 -0.0480 -0.0210
-(0.047) -(1.109) (2.460*) -(1.698) (0.905) -(0.750) -(0.328)
RANBAXY 0.046 -0.033 0.111 0.258 -0.083 -0.091 0.014
(0.719) -(0.516) (1.762) (4.095*) -(1.317) -(1.422) (0.219)
RELIANCE 0.039 0.016 -0.023 0.317 -0.106 -0.045 -0.059
(0.609) (0.250) -(0.365) (5.031*) -(1.683) -(0.703) -(0.922)
SATYAM -0.073 -0.018 0.05 0.004 0.013 -0.024 0.018
-(1.141) -(0.281) (0.794) (0.063) (0.206) -(0.375) (0.281)
SBI 0.046 -0.055 0.078 0.383 0.031 -0.162 -0.059
(0.719) -(0.859) (1.238) (6.079*) (0.492) (-2.531*) -(0.922)
TATATEA 0.023 -0.005 0.08 0.17 0.024 -0.175 -0.006
(0.359) -(0.078) (1.270) (2.698*) (0.381) (-2.734*) -(0.094)
TISCO -0.016 0.039 0.041 0.273 -0.13 -0.04 -0.003
-(0.250) (0.609) (0.651) (4.333*) (-2.063*) -(0.625) -(0.047)
VSNL 0.026 0.024 0.085 0.008 -0.042 -0.056 0.036
(0.406) (0.375) (1.349) (0.127) -(0.667) -(0.875) (0.563)
WIPRO -0.117 0.139 0.039 0.082 -0.142 -0.04 -0.012
-(1.828) (2.172*) (0.619) (1.302) (-2.254*) -(0.625) -(0.188)
ZEE -0.061 -0.018 0.046 0.048 -0.06 -0.02 0.02
-(0.953) -(0.281) (0.730) (0.762) -(0.952) -(0.313) (0.313)


Table-03 ‘c’
LAGS 4 5 6 7 8 9 10
COMPANY
ABB -0.009 -0.013 0.008 0.029 -0.046 0.017 0.044
-(0.141) -(0.203) (0.125) (0.453) -(0.719) (0.266) (0.677)
ACC 0.016 0.02 0.021 -0.145 0.008 0.095 -0.021
(0.250) (0.313) (0.328) (-2.266*) (0.125) (1.484) (0.323)
BAJAJ -0.076 -0.025 -0.001 -0.019 -0.019 0.063 -0.044
-(1.188) -(0.391) -(0.016) -(0.297) -(0.297) (0.984) -(0.677)
BHEL 0.051 0.016 -0.113 0.072 -0.017 -0.066 0.089
(0.797) (0.250) -(1.765) (1.125) (0.266) (1.031) (1.369)
BPCL 0.022 0.043 -0.007 -0.013 0.005 -0.09 0.088
(0.344) (0.672) -(0.109) -(0.230) (0.078) -(1.406) (1.359)
CIPLA 0.002 -0.009 -0.006 -0.01 -0.015 -0.029 0.042
(0.071) -(0.321) -(0.214) -(0.357) -(0.536) -(1.036) (1.500)
COLGATE -0.041 0.003 0.001 -0.002 0.136 -0.033 -0.075
-(0.640) (0.047) (0.016) -(0.031) (2.125*) -(0.516) -(1.154)
DABUR 0.03 -0.049 0.001 0.031 -0.101 0.058 0.053
(0.469) -(0.766) (0.016) (0.484) -(1.578) (0.906) (0.815)
DR.REDDYS -0.085 0.055 0.025 -0.015 -0.015 0 0.091
-(1.328) (0.859) (0.391) -(0.234) -(0.234) (0.000) (1.400)
GLAXO 0.014 0.039 -0.104 0.001 -0.032 0.034 0.012
(0.219) (0.609) -(1.625) (0.016) -(0.500) (0.531) (0.185)
GRASIM 0.042 0.002 0.088 0.082 -0.078 0.014 0.055
(0.656) (0.031) (1.375) (1.281) -(1.218) (0.218) (0.846)
HDFCBANK -0.014 0.087 -0.049 -0.061 0.061 -0.057 -0.011
(0.218) -(1.359) (0.765) (0.953) -(0.953) (0.890) (0.169)
HDFC -0.008 -0.028 0.022 0.079 -0.089 0.061 0.012
(0.125) (0.437) (0.343) (1.234) -(1.390) (0.953) (0.185)
HEROHONDA -0.053 0.038 -0.041 -0.02 -0.052 0.043 0.096
-(0.828) (0.594) -(0.651) -(0.313) -(0.812) (0.672) (1.477)
HIND PETRO -0.078 0.037 0.067 0.072 -0.056 -0.038 0.078
-(1.218) (0.578) (1.046) (1.125) -(0.875) -(0.593) (1.200)



LAGS 4 5 6 7 8 9 10
COMPANY
HLL 0.002 0.003 0.114 -0.042 -0.026 0.034 -0.018
(0.031) (0.046) (1.781) -(0.656) -(0.406) (0.531) -(0.277)
ICICI 0.005 -0.047 -0.006 -0.059 0.082 0.019 -0.007
-(0.078) -(0.734) -(0.093) -(0.921) (1.281) (0.297) -(0.107)
INFOSYS 0.03 -0.035 0.014 0.056 0.055 -0.103 0.019
(0.468) -(0.546) -(0.218) (0.875) (0.859) -(1.609) (0.292)
ITC 0.024 0.089 -0.03 0.056 -0.004 -0.063 0.016
(0.375) (1.390) -(0.468) (0.875) -(0.062) -(0.984) (0.246)
MTNL -0.001 0.096 0.01 0.05 -0.099 0.052 0.054
-(0.016) (1.500) (0.156) (0.781) -(1.547) (0.813) (0.831)
ONGC 0.0890 -0.0340 -0.0010 0.0290 -0.0920 0.0400 -0.0170
(1.391) -(0.531) -(0.016) (0.453) -(1.438) (0.625) -(0.262)
RANBAXY -0.058 0.049 -0.038 0.021 -0.021 -0.135 0.069
-(0.906) (0.766) -(0.594) (0.328) -(0.328) (-2.109*) (1.062)
RELIANCE -0.08 0.038 0.024 0.066 -0.1 0.076 0.016
-(1.250) (0.594) (0.375) (1.031) -(1.563) (1.188) (0.246)
SATYAM -0.078 -0.033 0.109 0.042 -0.037 -0.037 -0.015
-(1.219) -(0.516) (1.703) (0.656) -(0.578) -(0.578) -(0.231)
SBI 0.032 0.023 -0.14 -0.017 0.033 0.019 0.025
(0.500) (0.359) (-2.187*) -(0.266) (0.516) (0.297) (0.385)
TATATEA 0.028 -0.012 -0.056 -0.059 0.052 0.135 0.029
(0.438) -(0.188) -(0.875) -(0.922) (0.813) (2.109*) (0.446)
TISCO 0.029 -0.013 -0.037 0.053 -0.046 0.041 0.065
(0.453) -(0.203) -(0.578) (0.828) -(0.719) (0.641) (1.000)
VSNL 0.036 0.048 -0.068 0.038 -0.039 -0.089 0.002
(0.563) (0.750) -(1.063) (0.594) -(0.609) -(1.391) (0.031)
WIPRO 0.008 -0.086 0.107 0.007 0.074 -0.079 0.071
(0.125) -(1.344) (1.672) (0.109) (1.156) -(1.234) (1.092)
ZEE -0.073 -0.084 0.123 0.091 -0.053 -0.037 0.059
-(1.141) -(1.313) (1.922) (1.422) -(0.828) -(0.578) (0.908)

* ‘t’ i s significant at 5% level


TABLE-04 ‘a’
LAGS -10 -9 -8 -7 -6 -5 -4
COMPANY
ABB -0.041 0.07 -0.029 0.036 -0.026 -0.021 0.025
-(0.631) (1.077) -(0.446) (0.554) -(0.406) -(0.328) (0.391)
ACC -0.066 -0.042 0.113 0.029 -0.03 -0.037 -0.03
-(1.015) -(0.646) (1.738) (0.446) -(0.469) -(0.578) -(0.469)
BAJAJ 0.075 0.018 0.039 -0.074 0.115 -0.028 0.124
(1.154) (0.277) (0.600) -(1.138) (1.797) -(0.438) (1.938)
BHEL -0.045 0.053 0.006 0.092 -0.049 -0.039 0.022
-(0.692) (0.815) (0.092) (1.415) -(0.766) -(0.609) (0.344)
BPCL 0.099 -0.098 -0.068 0.027 -0.025 -0.035 0.099
(1.523) -(1.508) -(1.046) (0.415) -(0.391) -(0.547) (1.547)
CIPLA -0.017 0.076 0.018 -0.079 0.02 0 -0.086
-(0.262) (1.169) (0.277) -(1.215) (0.313) (0.000) -(1.344)
COLGATE -0.058 -0.022 -0.027 0.035 -0.097 0.166 -0.064
-(0.892) -(0.338) -(0.415) (0.538) -(1.516) (2.593*) -(1.000)
DABUR 0.053 0 0.049 0.037 -0.063 -0.011 0.039
(0.815) (0.000) (0.754) (0.569) -(0.984) -(0.172) (0.609)
DR.REDDYS 0.039 0.072 0 -0.041 -0.035 0.07 -0.03
(0.600) (1.108) (0.000) -(0.631) -(0.547) (1.094) -(0.469)
GLAXO -0.058 -0.049 0.045 -0.059 0.059 -0.045 0.051
-(0.892) -(0.754) (0.692) -(0.908) (0.922) -(0.703) (0.797)
GRASIM -0.067 0.022 -0.007 0.086 -0.071 -0.089 0.114
-(1.031) (0.338) -(0.108) (1.323) -(1.109) -(1.391) (1.781)
HDFCBANK 0.033 0.062 0.005 -0.132 0.043 0.073 0.002
(0.508) (0.954) (0.077) -(2.031*) (0.672) (1.141) (0.031)
HDFC -0.035 0.009 0.042 0.04 0.02 -0.118 0
-(0.538) (0.138) (0.646) (0.615) (0.313) -(1.844) (0.000)
HEROHONDA -0.055 0.002 0.024 0.028 0.047 -0.044 0.031
-(0.846) (0.031) (0.369) (0.431) (0.734) -(0.688) (0.484)
HIND PETRO 0.008 -0.037 -0.002 -0.063 0.049 0.059 -0.028
(0.123) -(0.569) -(0.031) -(0.969) (0.766) (0.922) -(0.438)



LAGS -10 -9 -8 -7 -6 -5 -4
COMPANY
HLL 0.088 0.018 -0.073 0.012 -0.026 -0.015 -0.073
(1.354) (0.277) -(1.123) (0.185) -(0.406) -(0.234) -(1.141)
ICICI -0.068 0.011 -0.011 0.081 0.066 -0.031 0.014
-(1.046) (0.169) -(0.169) (1.246) (1.031) -(0.484) (0.219)
INFOSYS -0.061 -0.075 -0.036 0.056 -0.045 0.044 0.128
-(0.938) -(1.154) -(0.554) (0.862) -(0.703) (0.688) (2.000*)
ITC -0.007 0.07 0.119 -0.07 -0.063 -0.019 0.005
-(0.108) (1.077) (1.831) -(1.077) -(0.984) -(0.297) (0.078)
MTNL -0.041 -0.004 0.044 0.005 0.016 0.002 0.068
-(0.631) -(0.062) (0.677) (0.077) (0.250) (0.031) (1.063)
ONGC -0.036 0.113 0.125 0.024 -0.061 -0.013 -0.014
-(0.554) (1.738) (1.923) (0.369) -(0.953) -(0.203) -(0.219)
RANBAXY -0.032 0.138 0.054 -0.095 -0.019 0.011 -0.03
-(0.492) (2.123*) (0.831) -(1.462) -(0.297) (0.172) -(0.469)
RELIANCE -0.032 0.011 0.053 0.003 -0.014 0.006 0.038
-(0.492) (0.169) (0.815) (0.046) -(0.219) (0.094) (0.594)
SATYAM -0.002 -0.154 0.025 0.077 -0.036 0.065 -0.042
-(0.031) -(2.369*) (0.385) (1.185) -(0.554) (1.016) -(0.656)
SBI 0.053 0.015 0.013 -0.041 0.048 -0.009 -0.014
(0.815) (0.231) (0.200) -(0.631) (0.750) -(0.141) -(0.219)
TATATEA -0.031 0.101 0.006 -0.035 0.001 -0.199 0.094
-(0.477) (1.554) (0.092) -(0.538) (0.016) -(3.109*) (1.469)
TISCO 0.049 -0.02 0.011 0.07 -0.154 0.116 -0.016
(0.754) -(0.308) (0.169) (1.077) -(2.406*) (1.813) -(0.250)
VSNL -0.029 -0.044 -0.01 0.014 -0.022 0.064 0.016
-(0.446) -(0.677) -(0.154) (0.215) -(0.344) (1.000) (0.250)
WIPRO -0.029 0.043 -0.107 0.008 0.027 -0.009 0.07
-(0.446) (0.662) -(1.646) (0.123) (0.422) -(0.141) (1.094)
ZEE 0.101 -0.112 -0.024 -0.104 -0.041 0.112 -0.034
(1.554) -(1.723) -(0.369) -(1.600) -(0.641) (1.750) -(0.531)


Table-04 ‘b’
LAGS -3 -2 -1 0 1 2 3
COMPANY
ABB -0.046 0.049 0.055 0.186 -0.039 -0.11 -0.063
-(0.719) (0.766) (0.859) (2.906*) -(0.609) -(1.719) -(0.984)
ACC 0.001 0.055 0.023 0.14 -0.036 -0.134 0.031
(0.016) (0.859) (0.359) (2.188*) -(0.563) -(2.094*) (0.484)
BAJAJ -0.026 -0.082 0.037 0.227 -0.067 -0.163 0.000
-(0.406) -(1.281) (0.578) (3.547*) -(1.047) -(2.547*) (0.000)
BHEL -0.003 -0.021 -0.047 0.105 0.04 -0.082 0.031
-(0.047) -(0.328) -(0.734) (1.641) (0.625) -(1.281) (0.484)
BPCL 0.028 0.046 -0.094 0.139 -0.097 0.091 -0.113
(0.438) (0.719) -(1.469) (2.172*) -(1.516) (1.422) -(1.766)
CIPLA 0.078 0.05 0.004 0.067 -0.002 0.007 0.002
(1.219) (0.781) (0.063) (1.047) -(0.031) (0.109) (0.031)
COLGATE -0.056 0.086 -0.008 0.144 -0.028 -0.158 0.118
-(0.875) (1.344) -(0.125) (2.25*) -(0.438) (-2.468*) (1.844)
DABUR 0.107 -0.093 0.059 0.088 -0.053 -0.048 -0.003
(1.672) -(1.453) (0.922) (1.375) -(0.828) -(0.750) -(0.047)
DR.REDDYS -0.016 0.027 0.029 0.053 -0.059 -0.072 0.031
-(0.250) (0.422) (0.453) (0.828) -(0.922) -(1.125) (0.484)
GLAXO 0.027 0.037 0.054 0.046 -0.107 -0.048 -0.023
(0.422) (0.578) (0.844) (0.719) -(1.672) -(0.750) -(0.359)
GRASIM 0.015 -0.046 0.083 0.003 -0.026 0.03 -0.061
(0.234) -(0.719) (1.297) (0.047) -(0.406) (0.469) -(0.953)
HDFCBANK -0.028 0.012 -0.047 0.087 -0.021 -0.003 -0.096
-(0.438) (0.188) -(0.734) (1.359) -(0.328) -(0.047) -(1.500)
HDFC -0.129 0.102 0.039 0.252 -0.149 0.019 -0.122
-(2.016*) (1.594) (0.609) (3.938*) -(2.328*) (0.297) -(1.906)
HEROHONDA -0.004 -0.101 0.057 0.236 -0.051 -0.077 -0.073
-(0.063) -(1.578) (0.891) (3.688*) -(0.797) -(1.203) -(1.141)
HIND PETRO 0.004 0.105 -0.058 0.008 0.019 0.06 -0.143
(0.063) (1.641) -(0.906) (0.125) (0.297) (0.938) -(2.234*)



LAGS -3 -2 -1 0 1 2 3
COMPANY
HLL 0.031 0.034 0.034 0.162 -0.101 -0.005 -0.019
(0.484) (0.531) (0.531) (2.531*) -(1.578) -(0.078) -(0.297)
ICICI -0.03 0.01 0.136 0.032 -0.006 -0.169 0.045
-(0.469) (0.156) (2.125*) (0.500) -(0.094) -(2.641*) (0.703)
INFOSYS -0.07 -0.035 0.019 0.098 -0.104 -0.032 0.053
-(1.094) -(0.547) (0.297) (1.531) -(1.625) -(0.500) (0.828)
ITC -0.004 -0.095 0.028 0.128 0.045 -0.032 -0.018
-(0.063) -(1.484) (0.438) (2.000*) (0.703) -(0.500) -(0.281)
MTNL 0.017 -0.036 0.001 0.057 0.064 -0.022 -0.098
(0.266) -(0.563) (0.016) (0.891) (1.000) -(0.344) -(1.531)
ONGC -0.002 -0.056 0.007 0.299 -0.015 0.048 -0.126
-(0.031) -(0.875) (0.109) (4.672*) -(0.234) (0.750) -(1.969)
RANBAXY -0.064 0.029 -0.012 0.208 0.05 -0.105 -0.079
-(1.000) (0.453) -(0.188) (3.250*) (0.781) -(1.641) -(1.234)
RELIANCE -0.045 -0.025 -0.009 0.064 -0.045 -0.091 0.054
-(0.703) -(0.391) -(0.141) (1.000) -(0.703) -(1.422) (0.844)
SATYAM 0.042 0.008 -0.017 0.125 -0.069 -0.048 0.015
(0.656) (0.125) -(0.266) (1.953) -(1.078) -(0.750) (0.234)
SBI -0.054 -0.037 0.009 0.233 -0.051 0.013 -0.032
-(0.844) -(0.578) (0.141) (3.641*) -(0.797) (0.203) -(0.500)
TATATEA 0.017 0.157 -0.014 0.053 0.031 -0.031 -0.11
(0.266) (2.453*) -(0.219) (0.828) (0.484) -(0.484) -(1.719)
TISCO -0.018 -0.029 0.116 0.074 0.003 -0.054 -0.053
-(0.281) -(0.453) (1.813) (1.156) (0.047) -(0.844) -(0.828)
VSNL -0.042 -0.09 0.012 0.078 -0.053 -0.031 0.029
-(0.656) -(1.406) (0.188) (1.219) -(0.828) -(0.484) (0.453)
WIPRO 0.02 -0.02 -0.014 0.066 -0.065 0.035 -0.101
(0.313) -(0.313) -(0.219) (1.031) -(1.016) (0.547) -(1.578)
ZEE 0.082 0.127 -0.016 0.208 -0.034 -0.075 -0.118
(1.281) (1.984) -(0.250) (3.250*) -(0.531) -(1.172) -(1.844)


Table-04 ‘c’
LAGS 4 5 6 7 8 9 10
COMPANY
ABB 0.019 0.041 -0.029 -0.094 0.025 0.011 0.024
(0.297) (0.641) -(0.453) -(1.446) (0.385) (0.169) (0.369)
ACC -0.018 -0.068 0.077 -0.029 0.056 -0.039 -0.022
-(0.281) -(1.063) (1.203) -(0.446) (0.862) -(0.600) -(0.338)
BAJAJ -0.024 0.068 0.034 -0.026 -0.046 -0.014 -0.001
-(0.375) (1.063) (0.531) -(0.400) -(0.708) -(0.215) -(0.015)
BHEL -0.046 0.034 -0.017 -0.043 0.068 -0.046 0.014
-(0.719) (0.531) -(0.266) -(0.662) (1.046) -(0.708) (0.215)
BPCL -0.049 0.09 0 -0.006 0.046 -0.041 -0.078
-(0.766) (1.406) (0.000) -(0.092) (0.708) -(0.631) -(1.200)
CIPLA 0.008 -0.08 -0.029 0.019 0.014 -0.079 0.061
(0.125) -(1.250) -(0.453) (0.292) (0.215) -(1.215) (0.938)
COLGATE -0.031 -0.089 0.071 0.078 -0.1 0.093 -0.024
-(0.484) -(1.391) (1.109) (1.200) -(1.538) (1.431) -(0.369)
DABUR 0.027 -0.045 -0.031 0.086 -0.004 -0.058 0.024
(0.422) -(0.703) -(0.484) (1.323) -(0.062) -(0.892) (0.369)
DR.REDDYS -0.075 0.009 0.032 -0.038 0.01 0.033 -0.039
-(1.172) (0.141) (0.500) -(0.585) (0.154) (0.508) -(0.600)
GLAXO 0.058 0.079 -0.113 0.027 0.059 -0.058 -0.012
(0.906) (1.234) -(1.766) (0.415) (0.908) -(0.892) -(0.185)
GRASIM -0.039 0.005 0.099 -0.077 0.038 -0.077 0.064
-(0.609) (0.078) (1.547) -(1.185) (0.585) -(1.185) (0.985)
HDFCBANK 0.074 0.012 -0.043 -0.037 0.056 0.033 0.026
(1.156) (0.188) -(0.672) -(0.569) (0.862) (0.508) (0.400)
HDFC -0.005 -0.008 -0.02 0.079 0.016 -0.115 0.087
-(0.078) -(0.125) -(0.313) (1.215) (0.246) -(1.769) (1.338)
HEROHONDA 0.002 0.002 0.032 -0.031 0.012 -0.061 0.076
(0.031) (0.031) (0.500) -(0.477) (0.185) -(0.938) (1.169)
HIND PETRO 0.022 0.009 0.131 -0.001 -0.059 -0.031 -0.08
(0.344) (0.141) (2.047*) -(0.015) -(0.908) -(0.477) -(1.231)



LAGS 4 5 6 7 8 9 10
COMPANY
HLL -0.05 -0.029 -0.069 0.113 0.109 -0.067 -0.074
-(0.781) -(0.453) -(1.078) (1.738) (1.677) -(1.031) -(1.138)
ICICI 0.011 0.064 -0.003 -0.022 0.072 0.055 -0.043
(0.172) (1.000) -(0.047) -(0.338) (1.108) (0.846) -(0.662)
INFOSYS -0.109 0.096 0.03 -0.01 -0.043 0.043 0.01
-(1.703) (1.500) (0.469) -(0.154) -(0.662) (0.662) (0.154)
ITC -0.102 0.142 -0.075 0.026 0.093 -0.224 0.116
-(1.594) (2.219*) -(1.172) (0.400) (1.431) -(3.446*) (1.785)
MTNL -0.031 0.075 -0.01 -0.017 0.067 -0.034 -0.069
-(0.484) (1.172) -(0.156) -(0.262) (1.031) -(0.523) -(1.062)
ONGC 0.018 -0.005 -0.061 0.052 0.006 0.051 0.078
(0.281) -(0.078) -(0.953) (0.800) (0.092) (0.785) (1.200)
RANBAXY 0.086 0.021 -0.039 -0.046 -0.047 0.061 -0.014
(1.344) (0.328) -(0.609) -(0.708) -(0.723) (0.938) -(0.215)
RELIANCE -0.121 0.061 -0.036 -0.004 -0.079 0.053 -0.02
-(1.891) (0.953) -(0.563) -(0.062) -(1.215) (0.815) -(0.308)
SATYAM -0.059 0.005 0.006 -0.05 0.016 0.053 0.101
-(0.922) (0.078) (0.092) -(0.769) (0.246) (0.815) (1.554)
SBI -0.048 -0.039 -0.008 -0.034 0.08 -0.073 0.119
-(0.750) -(0.609) -(0.125) -(0.523) (1.231) -(1.123) (1.831)
TATATEA -0.013 0.001 0.111 -0.019 0.028 0.008 -0.1
-(0.203) (0.016) (1.734) -(0.292) (0.431) (0.123) -(1.538)
TISCO 0.081 -0.039 0.081 -0.064 0.031 -0.05 0.088
(1.266) -(0.609) (1.266) -(0.985) (0.477) -(0.769) (1.354)
VSNL 0.041 -0.022 -0.036 0.001 -0.012 0.076 -0.056
(0.641) -(0.344) -(0.563) (0.015) -(0.185) (1.169) -(0.862)
WIPRO 0.000 0.031 -0.001 -0.069 0.093 -0.073 0.085
(0.000) (0.484) -(0.016) -(1.062) (1.431) -(1.123) (1.308)
ZEE -0.012 -0.015 -0.038 -0.117 0.132 -0.04 0.059
-(0.188) -(0.234) -(0.594) -(1.800) (2.031*) -(0.615) (0.908)



TABLE-05 ‘a’
LAGS -10 -9 -8 -7 -6 -5 -4
COMPANY
ABB 0.051 -0.058 -0.116 0.157 -0.062 -0.037 0.007
(0.797) -(0.906) -(1.813) (2.453*) -(0.969) -(0.578) (0.109)
ACC 0.054 0.006 -0.186 0.092 -0.007 0.038 -0.096
(0.844) (0.094) -(2.906*) (1.438) -(0.109) (0.594) -(1.500)
BAJAJ -0.115 -0.026 0.096 0.019 -0.035 0.016 -0.04
-(1.797) -(0.406) (1.500) (0.297) -(0.547) (0.250) -(0.625)
BHEL 0.004 -0.001 0.093 0.029 -0.101 0.058 -0.014
(0.063) -(0.016) (1.453) (0.453) -(1.578) (0.906) -(0.219)
BPCL -0.116 0.023 0.008 -0.072 -0.075 0.086 0.035
-(1.813) (0.359) (0.125) -(1.125) -(1.172) (1.344) (0.547)
CIPLA -0.028 0.032 -0.091 -0.022 0.077 0.055 -0.05
-(0.438) (0.500) -(1.422) -(0.344) (1.203) (0.859) -(0.781)
COLGATE -0.059 0.021 0.002 -0.033 0.029 0.021 -0.004
-(0.922) (0.328) (0.031) -(0.516) (0.453) (0.328) -(0.063)
DABUR 0.016 0.006 -0.003 -0.022 0.021 -0.011 -0.019
(0.250) (0.094) -(0.047) -(0.344) (0.328) -(0.172) -(0.297)
DR.REDDYS 0.006 0.003 0.021 -0.01 0.14 -0.051 -0.086
(0.094) (0.047) (0.328) -(0.156) (2.188*) -(0.797) -(1.344)
GLAXO -0.032 -0.021 0.082 0.007 0.008 0.039 -0.013
-(0.500) -(0.328) (1.281) (0.109) (0.125) (0.609) -(0.203)
GRASIM -0.053 0.093 -0.012 0.047 0.02 -0.042 0.077
-(0.828) (1.453) -(0.188) (0.734) (0.313) -(0.656) (1.203)
HDFCBANK 0.006 -0.088 0.103 0.038 -0.113 -0.051 0.105
(0.094) -(1.375) (1.609) (0.594) -(1.766) -(0.797) (1.641)
HDFC 0.02 -0.005 0.073 -0.004 0 -0.047 0.111
(0.313) -(0.078) (1.141) -(0.063) (0.000) -(0.734) (1.734)
HEROHONDA 0.032 -0.092 -0.089 0.064 0.016 0.016 0.049
(0.500) -(1.438) -(1.391) (1.000) (0.250) (0.250) (0.766)
HIND PETRO -0.049 -0.05 0.006 -0.046 -0.072 0.066 0.017
-(0.766) -(0.781) (0.094) -(0.719) -(1.125) (1.031) (0.266)



LAGS -10 -9 -8 -7 -6 -5 -4
COMPANY
HLL -0.006 -0.048 0.013 -0.031 -0.013 -0.086 0.086
-(0.094) -(0.750) (0.203) -(0.484) -(0.203) -(1.344) (1.344)
ICICI -0.048 -0.089 0.039 0.029 0.035 0.029 -0.084
-(0.750) -(1.391) (0.609) (0.453) (0.547) (0.453) -(1.313)
INFOSYS -0.042 0.043 -0.119 0.102 0.125 -0.13 -0.076
-(0.656) (0.672) -(1.859) (1.594) (1.953) -(2.031)* -(1.188)
ITC -0.082 0.024 0.117 0.043 -0.051 0.08 -0.053
-(1.281) (0.375) (1.828) (0.672) -(0.797) (1.250) -(0.828)
MTNL 0.096 -0.111 0.005 -0.006 -0.038 -0.124 0.07
(1.500) -(1.734) (0.078) -(0.094) -(0.594) -(1.938) (1.094)
ONGC 0.02 -0.022 0.016 -0.005 -0.072 0.012 0.061
(0.313) -(0.344) (0.250) -(0.078) -(1.125) (0.188) (0.953)
RANBAXY 0.011 -0.033 -0.11 0.041 0.105 -0.019 -0.045
(0.172) -(0.516) -(1.719) (0.641) (1.641) -(0.297) -(0.703)
RELIANCE 0.02 0.114 -0.107 -0.035 0.023 -0.018 0.084
(0.313) (1.781) -(1.672) -(0.547) (0.359) -(0.281) (1.313)
SATYAM -0.005 -0.051 -0.032 0.157 0.018 -0.064 0.011
-(0.077) -(0.797) -(0.500) (2.453)* (0.281) -(1.000) (0.172)
SBI 0.078 -0.066 0.035 0.031 -0.035 0.019 0.044
(1.219) -(1.031) (0.547) (0.484) -(0.547) (0.297) (0.688)
TATATEA 0.013 -0.034 0.033 0.038 0.004 0.022 -0.039
(0.203) -(0.531) (0.516) (0.594) (0.063) (0.344) -(0.609)
TISCO 0.001 0.099 -0.035 -0.061 -0.043 0.113 0.035
(0.016) (1.547) -(0.547) -(0.953) -(0.672) (1.766) (0.547)
VSNL 0.057 0.047 0.106 -0.1 -0.021 -0.105 -0.014
(0.891) (0.734) (1.656) -(1.563) -(0.328) -(1.641) -(0.219)
WIPRO -0.035 0.083 -0.073 -0.046 0.01 -0.025 -0.002
-(0.547) (1.297) -(1.141) -(0.719) (0.156) -(0.391) -(0.031)
ZEE -0.063 0 0.068 -0.041 0.018 0.024 -0.107
-(0.984) (0.000) (1.063) -(0.641) (0.281) (0.375) -(1.672)


Table-05 ‘b’
LAGS -3 -2 -1 0 1 2 3
COMPANY
ABB 0.063 0.026 0.023 0.094 -0.141 -0.035 0.005
(0.984) (0.413) (0.365) (1.492) (-2.238)* -(0.556) (0.078)
ACC 0.026 0.083 0.045 0.147 -0.177 -0.022 0.014
(0.406) (1.317) (0.714) (2.333)* -(2.810)* -(0.349) (0.219)
BAJAJ 0.039 0.035 -0.084 0.134 -0.123 0.017 -0.03
(0.609) (0.556) -(1.333) (2.127)* -(1.952) (0.270) -(0.469)
BHEL 0.012 -0.05 0.04 0.119 -0.02 -0.024 -0.036
(0.188) -(0.794) (0.635) (1.889) -(0.317) -(0.381) -(0.563)
BPCL -0.016 0.039 -0.129 0.125 0.001 -0.065 0.044
-(0.250) (0.619) -(2.048)* (1.984) (0.016) -(1.032) (0.688)
CIPLA -0.012 0.015 -0.012 -0.154 0.098 -0.029 0.02
-(0.188) (0.238) -(0.190) (-2.444*) (1.556) -(0.460) (0.313)
COLGATE -0.027 -0.015 -0.028 0.19 0.103 -0.028 -0.076
-(0.422) -(0.238) -(0.444) (3.015*) (1.635) -(0.444) -(1.188)
DABUR -0.013 0.1 -0.058 0.172 0.114 -0.054 -0.014
-(0.203) (1.587) -(0.921) (2.730)* (1.810) -(0.857) -(0.219)
DR.REDDYS 0.124 -0.072 -0.055 -0.133 0.065 0.115 -0.12
(1.938) -(1.143) -(0.873) -(2.111)* (1.032) (1.825) -(1.875)
GLAXO 0.011 -0.044 0.073 0.03 0.04 -0.105 0.045
(0.172) -(0.698) (1.159) (0.476) (0.635) -(1.667) (0.703)
GRASIM -0.08 0.04 0.025 0.194 -0.116 -0.02 -0.14
-(1.250) (0.635) (0.397) (3.079)* -(1.841) -(0.317) -(2.188)*
HDFCBANK 0.04 0.016 -0.07 0.1 -0.024 -0.082 0.082
(0.625) (0.254) -(1.111) (1.587) -(0.381) -(1.302) (1.281)
HDFC 0.058 -0.102 -0.04 0.122 -0.111 -0.023 -0.042
(0.906) -(1.619) -(0.635) (1.937) -(1.762) -(0.365) -(0.656)
HEROHONDA -0.047 0.008 0.034 -0.04 -0.031 -0.116 0.029
-(0.734) (0.127) (0.540) -(0.635) -(0.492) -(1.841) (0.453)
HIND PETRO 0.023 0 -0.047 0.109 0.016 -0.065 -0.016
(0.359) (0.000) -(0.746) (1.730) (0.254) -(1.032) -(0.250)



LAGS -3 -2 -1 0 1 2 3
COMPANY
HLL -0.002 0.072 -0.065 -0.095 -0.067 0.037 -0.078
-(0.031) (1.143) -(1.032) -(1.508) -(1.063) (0.587) -(1.219)
ICICI 0.153 0.06 0.029 0.169 -0.047 -0.122 -0.014
(2.391)* (0.952) (0.460) (2.683)* -(0.746) -(1.937) -(0.219)
INFOSYS 0.09 0.059 0.029 0.046 -0.184 0.027 -0.019
(1.406) (0.937) (0.460) (0.730) -(2.921)* (0.429) -(0.297)
ITC 0.074 -0.131 0.136 -0.057 -0.002 -0.041 -0.054
(1.156) -(2.079)* (2.159)* -(0.905) -(0.032) -(0.651) -(0.844)
MTNL 0.005 0.071 0.025 0.114 -0.038 -0.049 0.037
(0.078) (1.127) (0.397) (1.810) -(0.603) -(0.778) (0.578)
ONGC -0.028 -0.14 0.066 0.323 -0.011 -0.087 -0.013
-(0.438) -(2.222) (1.048) (5.127)* -(0.175) -(1.381) -(0.203)
RANBAXY 0.105 -0.09 0.006 0.169 -0.151 -0.002 0.067
(1.641) -(1.429) (0.095) (2.683)* -(2.397) -(0.032) (1.047)
RELIANCE -0.055 0.038 -0.022 0.118 -0.064 -0.03 -0.076
-(0.859) (0.603) -(0.349) (1.873) -(1.016) -(0.476) -(1.188)
SATYAM -0.007 -0.031 -0.028 0.119 -0.191 0.02 0.012
-(0.109) -(0.484) -(0.444) (1.889) -(3.032) (0.313) (0.188)
SBI 0.02 -0.108 -0.09 0.387 -0.06 -0.123 0.035
(0.313) -(1.714) -(1.429) (6.143)* -(0.952) -(1.952) (0.547)
TATATEA 0.029 -0.015 -0.009 0.348 -0.087 -0.067 0.106
(0.453) -(0.238) -(0.143) (5.524)* -(1.381) -(1.063) (1.656)
TISCO -0.031 -0.032 0.051 0.29 -0.119 -0.141 0.035
-(0.484) -(0.508) (0.810) (4.603) -(1.889) -(2.238)* (0.547)
VSNL 0.049 0.041 -0.012 0.033 -0.006 -0.069 -0.073
(0.766) (0.651) -(0.190) (0.524) -(0.095) -(1.095) -(1.141)
WIPRO 0.074 -0.032 -0.092 0.24 -0.082 -0.043 0.063
(1.156) -(0.508) -(1.460) (3.810)* -(1.302) -(0.683) (0.984)
ZEE 0.182 -0.155 -0.094 0.22 -0.127 -0.076 0.06
(2.844)* -(2.460)* -(1.492) (3.492)* -(2.016)* -(1.206) (0.938)


Table-05 ‘c’
LAGS 4 5 6 7 8 9 10
COMPANY
ABB -0.019 0.081 -0.082 -0.072 0.004 0.12 -0.014
-(0.297) (1.266) -(1.281) -(1.125) (0.063) (1.875) -(0.219)
ACC 0.006 -0.039 0.012 0.04 -0.055 0.093 -0.1
(0.094) -(0.609) (0.188) (0.625) -(0.859) (1.453) -(1.563)
BAJAJ -0.025 0.022 -0.058 0.023 0.06 0.05 -0.05
-(0.391) (0.344) -(0.906) (0.359) (0.938) (0.781) -(0.781)
BHEL -0.002 -0.004 0.055 0.004 -0.017 -0.05 0.016
-(0.031) -(0.063) (0.859) (0.063) -(0.266) -(0.781) (0.250)
BPCL 0.001 -0.04 0.025 -0.043 0.006 0.004 0.006
(0.016) -(0.625) (0.391) -(0.672) (0.094) (0.063) (0.094)
CIPLA -0.039 0.076 0.015 -0.068 0.016 0.136 0.01
-(0.609) (1.188) (0.234) -(1.063) (0.250) (2.125*) (0.156)
COLGATE -0.117 0.095 0.002 -0.055 -0.018 0.016 0.031
-(1.828) (1.484) (0.031) -(0.859) -(0.281) (0.250) (0.484)
DABUR -0.118 0.026 -0.037 0.037 -0.062 0.053 0.039
-(1.844) (0.406) -(0.578) (0.578) -(0.969) (0.828) (0.609)
DR.REDDYS 0.004 0.051 0.046 -0.064 -0.033 0.016 0.058
(0.063) (0.797) (0.719) -(1.000) -(0.516) (0.250) (0.906)
GLAXO -0.048 -0.032 0.043 -0.034 0.009 -0.026 0.016
-(0.750) -(0.500) (0.672) -(0.531) (0.141) -(0.406) (0.250)
GRASIM 0.112 0.028 -0.097 -0.038 0.03 0.006 -0.009
(1.750) (0.438) -(1.516) -(0.594) (0.469) (0.094) -(0.141)
HDFCBANK -0.015 -0.069 -0.077 0.127 -0.031 -0.041 -0.076
-(0.234) -(1.078) -(1.203) (1.984) -(0.484) -(0.641) -(1.188)
HDFC 0.081 0.017 -0.057 0.031 -0.088 0.11 -0.014
(1.266) (0.266) -(0.891) (0.484) -(1.375) (1.719) -(0.219)
HEROHONDA 0.026 -0.058 0.011 0.033 0.018 0.115 -0.005
(0.406) -(0.906) (0.172) (0.516) (0.281) (1.797) -(0.078)
HIND PETRO -0.074 0.033 0.051 -0.026 -0.077 0.022 -0.078
-(1.156) (0.516) (0.797) -(0.406) -(1.203) (0.344) -(1.219)



LAGS 4 5 6 7 8 9 10
COMPANY
HLL 0.023 0.09 0.069 -0.037 0 -0.072 -0.032
(0.359) (1.406) (1.078) -(0.578) (0.000) -(1.125) -(0.500)
ICICI -0.02 0.021 -0.036 0.002 0.001 -0.033 -0.086
-(0.313) (0.328) -(0.563) (0.031) (0.016) -(0.516) -(1.344)
INFOSYS 0.06 0.035 -0.071 0.012 0.03 0.093 -0.11
(0.938) (0.547) -(1.109) (0.188) (0.469) (1.453) -(1.719)
ITC 0.102 -0.021 0.061 -0.083 0.05 -0.025 0
(1.594) -(0.328) (0.953) -(1.297) (0.781) -(0.391) (0.000)
MTNL -0.008 -0.023 -0.098 0.062 0.019 0.013 -0.035
-(0.125) -(0.359) -(1.531) (0.969) (0.297) (0.203) -(0.547)
ONGC 0.074 -0.089 0.067 -0.056 -0.015 0.036 0.058
(1.156) -(1.391) (1.047) -(0.875) -(0.234) (0.563) (0.906)
RANBAXY -0.058 0.013 0.042 -0.021 -0.042 0.015 -0.002
-(0.906) (0.203) (0.656) -(0.328) -(0.656) (0.234) -(0.031)
RELIANCE 0.012 0.005 -0.043 0.033 -0.005 -0.03 0.017
(0.188) (0.078) -(0.672) (0.516) -(0.078) -(0.469) (0.266)
SATYAM -0.045 0.007 0.006 -0.029 0.008 0.079 -0.007
-(0.703) (0.109) (0.094) -(0.453) (0.125) (1.234) -(0.108)
SBI 0.033 0.05 -0.041 0.046 0.042 -0.01 -0.066
(0.516) (0.781) -(0.641) (0.719) (0.656) -(0.156) -(1.031)
TATATEA -0.044 0.001 0.015 -0.076 0.008 0.044 0.007
-(0.688) (0.016) (0.234) -(1.188) (0.125) (0.688) (0.109)
TISCO 0.008 0.073 -0.057 -0.056 0.004 -0.095 0.073
(0.125) (1.141) -(0.891) -(0.875) (0.063) -(1.484) (1.141)
VSNL 0.001 0.035 -0.05 0.071 -0.015 0.086 0.16
(0.016) (0.547) -(0.781) (1.109) -(0.234) (1.344) (2.500)*
WIPRO -0.02 -0.002 0.01 0.055 -0.072 -0.042 0.097
-(0.313) -(0.031) (0.156) (0.859) -(1.125) -(0.656) (1.516)
ZEE -0.042 0.022 0.032 -0.066 0.051 -0.042 0.057
-(0.656) (0.344) (0.500) -(1.031) (0.797) -(0.656) (0.891)


CROSS CORRELATION BETWEEN PRICE & VOLUME

TABLE-06 ‘a’
LAGS -10 -9 -8 -7 -6 -5 -4
COMPANY
ABB 0.089 -0.076 0.014 -0.108 0.068 0.009 0.008
(1.391) -(1.188) (0.219) -(1.688) (1.063) (0.143) (0.127)
ACC -0.032 -0.01 -0.009 0.052 0.107 -0.007 -0.055
-(0.500) -(0.156) -(0.141) (0.813) (1.672) -(0.111) -(0.873)
BAJAJ -0.046 0.066 0.029 0.017 -0.148 0.03 0.05
-(0.719) (1.031) (0.453) (0.266) -(2.313)* (0.476) (0.794)
BHEL 0.014 -0.065 -0.003 0.004 0.027 -0.143 -0.046
(0.219) -(1.016) -(0.047) (0.063) (0.422) -(2.270)* -(0.730)
BPCL -0.009 -0.051 -0.04 0.002 0.032 0.029 -0.041
-(0.141) -(0.797) -(0.625) (0.031) (0.500) (0.460) -(0.651)
CIPLA -0.142 0.021 0.091 -0.066 0.085 -0.104 0.064
(-2.218)* (0.328) (1.422) -(1.031) (1.328) -(1.651) (1.016)
COLGATE 0.1 0.019 -0.06 -0.016 0.093 -0.07 -0.122
(1.563) (0.297) -(0.938) -(0.250) (1.453) -(1.111) -(1.937)
DABUR 0.052 0.177 -0.057 0.003 -0.023 -0.097 0.055
(0.813) (2.766)* -(0.891) (0.047) -(0.359) -(1.540) (0.873)
DR.REDDYS 0.061 -0.069 0.045 -0.056 -0.02 -0.011 0.056
(0.953) -(1.078) (0.703) -(0.875) -(0.313) -(0.175) (0.889)
GLAXO 0.053 -0.042 0.009 -0.032 0.022 -0.092 -0.06
(0.828) -(0.656) (0.141) -(0.500) (0.344) -(1.460) -(0.952)
GRASIM 0.004 -0.058 0.073 -0.111 0.122 0.034 0.022
(0.063) -(0.906) (1.141) -(1.734) (1.906) (0.540) (0.349)
HDFCBANK 0.068 0.102 -0.098 0.009 0.01 0.023 -0.018
(1.063) (1.594) -(1.531) (0.141) (0.156) (0.365) -(0.286)
HDFC -0.049 -0.003 -0.023 0.032 0.047 -0.044 0.025
-(0.766) -(0.047) -(0.359) (0.500) (0.734) -(0.698) (0.397)
HEROHONDA 0.04 -0.008 0.026 -0.022 -0.031 -0.085 -0.006
(0.625) -(0.125) (0.406) -(0.344) -(0.484) -(1.349) -(0.095)
HIND PETRO 0.045 0.024 -0.088 -0.102 0.179 0.156 -0.056
(0.703) (0.375) -(1.375) -(1.594) (2.797)* (2.476)* -(0.889)



LAGS -10 -9 -8 -7 -6 -5 -4
COMPANY
HLL -0.098 0.007 0.091 0.017 -0.064 0.034 -0.022
-(1.531) (0.109) (1.422) (0.266) -(1.000) (0.540) -(0.349)
ICICI -0.083 0.097 -0.063 0.111 -0.002 -0.057 -0.033
-(1.297) (1.516) -(0.984) (1.734) -(0.031) -(0.905) -(0.524)
INFOSYS 0.008 -0.074 0.066 -0.045 -0.034 -0.005 -0.051
(0.125) -(1.156) (1.031) -(0.703) -(0.531) -(0.079) -(0.810)
ITC 0.029 -0.08 0.074 -0.034 0.083 -0.023 0.006
(0.453) -(1.250) (1.156) -(0.531) (1.297) -(0.365) (0.095)
MTNL -0.004 0.068 -0.087 0.045 0.025 0.026 0.069
-(0.063) (1.063) -(1.359) (0.703) (0.391) (0.413) (1.095)
ONGC -0.003 0.039 0.036 0.031 0.078 -0.115 -0.001
-(0.047) (0.609) (0.563) (0.484) (1.219) -(1.825) -(0.016)
RANBAXY -0.085 -0.055 -0.064 -0.001 -0.043 0.028 0.091
-(1.328) -(0.859) -(1.000) -(0.016) -(0.672) (0.444) (1.444)
RELIANCE 0.093 -0.069 -0.021 -0.011 0.127 -0.108 0.029
(1.453) -(1.078) -(0.328) -(0.172) (1.984) -(1.714) (0.460)
SATYAM 0.052 -0.001 0.043 -0.168 0.106 0.117 -0.111
(0.813) -(0.016) (0.672) -(2.625)* (1.656) (1.828) -(1.762)
SBI 0.1 0.061 -0.004 -0.022 0.066 -0.068 0.024
(1.563) (0.953) -(0.063) -(0.344) (1.031) -(1.079) (0.381)
TATATEA -0.042 0.004 0.037 0.03 -0.009 -0.016 -0.028
-(0.656) (0.063) (0.578) (0.469) -(0.141) -(0.254) -(0.444)
TISCO 0.04 0.008 -0.001 0.037 -0.042 -0.038 0.057
(0.625) (0.125) -(0.016) (0.578) -(0.656) -(0.603) (0.905)
VSNL 0 0.034 -0.045 -0.024 0.047 0.092 -0.031
(0.000) (0.531) -(0.703) -(0.375) (0.734) (1.460) -(0.492)
WIPRO 0.038 -0.025 0.032 -0.075 -0.006 0.036 -0.16
(0.594) -(0.391) (0.500) -(1.172) -(0.094) (0.571) -(2.540)*
ZEE -0.022 0.054 -0.051 -0.046 0.002 -0.008 0.072
-(0.344) (0.844) -(0.797) -(0.719) (0.031) -(0.127) (1.143)


Table-06 ‘b’
LAGS -3 -2 -1 0 1 2 3
COMPANY
ABB -0.055 -0.056 0.012 0.432 -0.166 -0.071 -0.013
-(0.873) -(0.889) (0.190) (6.857)* (-2.635)* -(1.127) -(0.206)
ACC -0.063 0.041 -0.031 0.262 -0.055 -0.054 -0.067
-(1.000) (0.651) -(0.492) (4.159) -(0.873) -(0.857) -(1.063)
BAJAJ -0.068 0.084 -0.081 0.21 -0.141 -0.059 -0.017
-(1.079) (1.333) -(1.286) (3.333)* -(2.238)* -(0.937) -(0.270)
BHEL 0.192 0.002 -0.065 0.155 -0.057 -0.084 -0.062
(3.048)* (0.032) -(1.032) (2.460)* -(0.905) -(1.333) -(0.984)
BPCL 0.001 -0.063 0.008 0.345 -0.161 -0.031 0
(0.016) -(1.000) (0.127) (5.476)* -(2.556) -(0.492) (0.000)
CIPLA 0.068 -0.037 -0.031 0.196 -0.007 -0.14 0.007
(1.079) -(0.587) -(0.492) (3.111)* -(0.111) (-2.222)* (0.111)
COLGATE 0.052 -0.039 0.083 0.436 -0.056 -0.085 -0.088
(0.825) -(0.619) (1.317) (6.920)* -(0.889) -(1.349) -(1.397)
DABUR -0.048 0.011 0.115 0.246 -0.039 -0.134 -0.097
-(0.762) (0.175) (1.825) (3.905)* -(0.619) -(2.127)* -(1.540)
DR.REDDYS -0.006 -0.049 0.1 -0.025 -0.046 0.053 0.039
-(0.095) -(0.778) (1.587) -(0.397) -(0.730) (0.841) (0.619)
GLAXO 0.123 -0.034 0.053 0.365 -0.035 -0.077 -0.142
(1.952) -(0.540) (0.841) (5.794)* -(0.556) -(1.222) -(2.254)
GRASIM -0.032 -0.003 0.036 0.297 -0.211 -0.073 -0.079
-(0.508) -(0.048) (0.571) (4.714)* -(3.349)* -(1.159) -(1.254)
HDFCBANK 0.089 -0.036 -0.019 0.255 -0.099 -0.073 0.151
(1.413) -(0.571) -(0.302) (4.048)* -(1.571) -(1.159) (2.397)*
HDFC -0.006 -0.052 -0.031 0.215 -0.054 -0.091 0.002
-(0.095) -(0.825) -(0.492) (3.413)* -(0.857) -(1.444) (0.032)
HEROHONDA 0.034 0.114 -0.084 0.207 -0.098 -0.113 -0.026
(0.540) (1.810) -(1.333) (3.286)* -(1.556) -(1.794) -(0.413)
HIND PETRO -0.065 -0.108 -0.064 0.239 -0.057 0.001 -0.039
-(1.032) -(1.714) -(1.016) (3.794)* -(0.905) (0.016) -(0.619)



LAGS -3 -2 -1 0 1 2 3
COMPANY
HLL 0.001 0.088 -0.098 0.104 -0.096 -0.026 -0.003
(0.016) (1.397) -(1.556) (1.651) -(1.524) -(0.413) -(0.048)
ICICI -0.017 0.027 -0.074 0.337 -0.108 -0.006 -0.097
-(0.270) (0.429) -(1.175) (5.349)* -(1.714) -(0.095) -(1.540)
INFOSYS 0.039 0.147 -0.098 -0.024 -0.175 0.058 0.074
(0.619) (2.333)* -(1.556) -(0.381) -(2.778)* (0.921) (1.175)
ITC 0.049 -0.045 0.001 0.237 -0.107 -0.043 -0.079
(0.778) -(0.714) (0.016) (3.762)* -(1.698) -(0.683) -(1.254)
MTNL -0.009 -0.101 0.116 0.184 -0.041 -0.115 0.05
-(0.143) -(1.603) (1.841) (2.921)* -(0.651) -(1.825) (0.794)
ONGC 0.015 0.002 0.079 0.278 -0.1 -0.091 -0.024
(0.238) (0.032) (1.254) (4.413)* -(1.587) -(1.444) -(0.381)
RANBAXY 0.063 0.011 0.103 -0.092 -0.064 0.052 -0.013
(1.000) (0.175) (1.635) -(1.460) -(1.016) (0.825) -(0.206)
RELIANCE -0.037 -0.1 0.039 0.198 -0.118 0.019 -0.076
-(0.587) -(1.587) (0.619) (3.143)* -(1.873) (0.302) -(1.206)
SATYAM -0.008 0.056 0.001 0.038 -0.21 0.122 0.015
-(0.127) (0.889) (0.016) (0.603) -(3.333)* (1.937) (0.238)
SBI 0.082 -0.025 -0.042 0.133 -0.014 -0.005 -0.031
(1.302) -(0.397) -(0.667) (2.111)* -(0.222) -(0.079) -(0.492)
TATATEA 0.02 0.083 0.052 0.096 -0.031 -0.029 -0.058
(0.317) (1.317) (0.825) (1.524) -(0.492) -(0.460) -(0.921)
TISCO -0.068 0.086 0.041 0.061 -0.151 0.033 0.027
-(1.079) (1.365) (0.651) (0.968) -(2.397)* (0.524) (0.429)
VSNL 0.022 -0.016 -0.039 0.371 -0.006 -0.136 -0.089
(0.349) -(0.254) -(0.619) (5.889)* -(0.095) -(2.159)* -(1.413)
WIPRO 0.063 0.11 -0.045 0.009 -0.08 0.039 0
(1.000) (1.746) -(0.714) (0.143) -(1.270) (0.619) (0.000)
ZEE -0.048 0.047 0.022 0.271 -0.098 -0.114 -0.038
-(0.762) (0.746) (0.349) (4.302)* -(1.556) -(1.810) -(0.603)


Table-06 ‘c’
LAGS 4 5 6 7 8 9 10
COMPANY
ABB -0.001 -0.01 0.021 -0.093 0.026 0.048 -0.015
-(0.016) -(0.159) (0.328) -(1.453) (0.406) (0.750) -(0.234)
ACC -0.04 0.051 -0.032 0.048 -0.017 -0.06 0.041
-(0.635) (0.810) -(0.500) (0.750) -(0.266) -(0.938) (0.641)
BAJAJ -0.055 0.057 0.037 -0.053 0 0.063 0
-(0.873) (0.905) (0.578) -(0.828) (0.000) (0.984) (0.000)
BHEL 0.001 0.102 -0.047 -0.02 -0.022 0.054 -0.002
(0.016) (1.619) -(0.734) -(0.313) -(0.344) (0.844) -(0.031)
BPCL 0.014 0.044 -0.016 0.046 -0.088 -0.066 0.036
(0.222) (0.698) -(0.250) (0.719) -(1.375) -(1.031) (0.563)
CIPLA -0.017 0.025 0.043 -0.116 0.056 -0.022 0.067
-(0.270) (0.397) (0.672) -(1.813) (0.875) -(0.344) (1.047)
COLGATE -0.02 -0.047 -0.006 -0.031 0.076 0.137 -0.099
-(0.317) -(0.746) -(0.094) -(0.484) (1.188) (2.140)* -(1.547)
DABUR 0.019 -0.052 -0.009 0.036 -0.091 0.096 0.068
(0.302) -(0.825) -(0.141) (0.563) -(1.422) (1.500) (1.063)
DR.REDDYS 0.069 -0.101 0.035 -0.035 -0.005 -0.031 -0.038
(1.095) -(1.603) (0.547) -(0.547) -(0.078) -(0.484) -(0.594)
GLAXO -0.082 0.033 -0.174 0.019 0.144 0.085 -0.088
-(1.302) (0.524) -(2.719)* (0.297) (2.250)* (1.328) -(1.375)
GRASIM -0.06 0.109 0.006 0.024 -0.028 -0.02 0.028
-(0.952) (1.730) (0.094) (0.375) -(0.438) -(0.313) (0.438)
HDFCBANK -0.161 -0.083 0.108 -0.043 -0.056 0.071 -0.123
-(2.556)* -(1.317) (1.688) -(0.672) -(0.875) (1.109) -(1.922)
HDFC -0.004 0.001 0.113 -0.178 0.07 0.052 -0.056
-(0.063) (0.016) (1.766) -(2.781)* (1.094) (0.813) -(0.875)
HEROHONDA 0.024 -0.061 0.124 0.025 -0.015 -0.025 -0.024
(0.381) -(0.968) (1.938) (0.391) -(0.234) -(0.391) -(0.375)
HIND PETRO 0.045 0.095 -0.053 0.024 -0.085 -0.074 0.037
(0.714) (1.508) -(0.828) (0.375) -(1.328) -(1.156) (0.578)



LAGS 4 5 6 7 8 9 10
COMPANY
HLL 0.002 -0.032 0.032 0.034 -0.066 0.1 -0.109
(0.032) -(0.508) (0.500) (0.531) -(1.031) (1.563) -(1.703)
ICICI 0.01 -0.011 0.069 0.01 -0.045 0.001 -0.104
(0.159) -(0.175) (1.078) (0.156) -(0.703) (0.016) -(1.625)
INFOSYS -0.036 0.109 -0.007 0.041 -0.082 0.074 0.016
-(0.571) (1.730) -(0.109) (0.641) -(1.281) (1.156) (0.250)
ITC 0.051 -0.014 0.002 -0.012 -0.098 0.071 -0.034
(0.810) -(0.222) (0.031) -(0.188) -(1.531) (1.109) -(0.531)
MTNL -0.067 -0.057 0.03 0.099 -0.088 -0.08 0
-(1.063) -(0.905) (0.469) (1.547) -(1.375) -(1.250) (0.000)
ONGC -0.013 -0.055 0.02 0.078 -0.044 0.021 -0.031
-(0.206) -(0.873) (0.313) (1.219) -(0.688) (0.328) -(0.484)
RANBAXY 0.03 0.012 0.001 -0.028 -0.03 -0.002 -0.019
(0.476) (0.190) (0.016) -(0.438) -(0.469) -(0.031) -(0.297)
RELIANCE 0.082 -0.05 0.061 0.059 -0.107 0.078 0.009
(1.302) -(0.794) (0.953) (0.922) -(1.672) (1.219) (0.141)
SATYAM -0.095 0.046 0.004 -0.003 -0.036 0.064 0.087
-(1.508) (0.719) (0.063) -(0.047) -(0.563) (1.000) (1.359)
SBI -0.049 0.058 0.05 -0.049 -0.035 0.138 -0.018
-(0.778) (0.921) (0.781) -(0.766) -(0.547) (2.156)* -(0.281)
TATATEA -0.03 -0.091 0.107 0.032 -0.101 0.066 0.004
-(0.476) -(1.444) (1.672) (0.500) -(1.578) (1.031) (0.063)
TISCO 0.02 -0.002 0.02 -0.016 -0.094 0.15 -0.129
(0.317) -(0.032) (0.313) -(0.250) -(1.469) (2.344)* -(2.016)*
VSNL -0.041 0.06 0.002 -0.058 -0.073 0 -0.06
-(0.651) (0.952) (0.031) -(0.906) -(1.141) (0.000) -(0.938)
WIPRO -0.061 -0.007 0.097 -0.006 0.027 0.03 -0.09
-(0.968) -(0.111) (1.516) -(0.094) (0.422) (0.469) -(1.406)
ZEE 0.003 0.023 -0.033 -0.009 0.023 0.046 -0.12
(0.048) (0.365) -(0.516) -(0.141) (0.359) (0.719) -(1.875)



TABLE-07 ‘a’
LAGS -10 -9 -8 -7 -6 -5 -4
COMPANY
ABB 0.032 0.069 0.02 -0.023 0.068 0.046 0.061
(0.500) (1.078) (0.313) -(0.359) (1.063) (0.719) (0.968)
ACC 0.118 0.056 -0.04 -0.026 0.119 -0.018 -0.051
(1.844) (0.875) -(0.625) -(0.406) (1.859) -(0.281) -(0.810)
BAJAJ -0.035 0.044 0.013 0.02 -0.055 0.095 0.002
-(0.547) (0.688) (0.203) (0.313) -(0.859) (1.484) (0.032)
BHEL -0.002 0.057 0.1 -0.096 0.017 -0.036 -0.059
-(0.031) (0.891) (1.563) -(1.500) (0.266) -(0.563) -(0.937)
BPCL 0.074 0.033 0.03 -0.003 0.029 -0.038 0.063
(1.156) (0.516) (0.469) -(0.047) (0.453) -(0.594) (1.000)
CIPLA -0.084 0.082 0.125 -0.01 -0.048 0.057 0.038
-(1.313) (1.281) (1.953) -(0.156) -(0.750) (0.891) (0.603)
COLGATE 0.001 -0.027 0.015 0 0.028 -0.031 0.018
(0.016) -(0.422) (0.234) (0.000) (0.438) -(0.484) (0.286)
DABUR 0.004 -0.078 0.01 0.004 -0.096 -0.005 0.044
(0.063) -(1.219) (0.156) (0.063) -(1.500) -(0.078) (0.698)
DR.REDDYS 0.052 -0.011 0.037 0.15 -0.052 0.007 -0.137
(0.813) -(0.172) (0.578) (2.344)* -(0.813) (0.109) -(2.175)*
GLAXO 0.106 0.045 -0.044 0.009 -0.01 -0.021 -0.013
(1.656) (0.703) -(0.688) (0.141) -(0.156) -(0.328) -(0.206)
GRASIM 0.052 -0.004 0.034 -0.057 0.066 -0.03 0.011
(0.813) -(0.063) (0.531) -(0.891) (1.031) -(0.469) (0.175)
HDFCBANK 0.115 0.006 -0.05 0.079 -0.031 0.112 -0.069
(1.797) (0.094) -(0.781) (1.234) -(0.484) (1.750) -(1.095)
HDFC -0.033 0.053 -0.004 0.048 0.039 -0.036 -0.008
-(0.516) (0.828) -(0.063) (0.750) (0.609) -(0.563) -(0.127)
HEROHONDA -0.14 0.026 0.093 0.044 -0.017 -0.032 0.051
-(2.188)* (0.406) (1.453) (0.688) -(0.266) -(0.500) (0.810)
HIND PETRO 0.041 0.002 0 -0.026 0.019 0.015 -0.012
(0.641) (0.031) (0.000) -(0.406) (0.297) (0.234) -(0.190)



LAGS -10 -9 -8 -7 -6 -5 -4
COMPANY
HLL -0.136 0.09 0.041 0.011 0.076 0.014 -0.002
-(2.125)* (1.406) (0.641) (0.172) (1.188) (0.219) -(0.032)
ICICI 0.06 -0.002 0 -0.041 0.02 -0.027 -0.025
(0.938) -(0.031) (0.000) -(0.641) (0.313) -(0.422) -(0.397)
INFOSYS -0.016 -0.028 -0.026 0.056 0.103 -0.029 -0.056
-(0.250) -(0.438) -(0.406) (0.875) (1.609) -(0.453) -(0.889)
ITC -0.079 0.082 -0.041 -0.047 0.121 -0.039 0.001
-(1.234) (1.281) -(0.641) -(0.734) (1.891) -(0.609) (0.016)
MTNL 0.066 0.07 0.024 -0.049 -0.031 -0.013 0.012
(1.031) (1.094) (0.375) -(0.766) -(0.484) -(0.203) (0.190)
ONGC -0.043 0.031 0.026 0.01 0.101 -0.023 -0.106
-(0.672) (0.484) (0.406) (0.156) (1.578) -(0.359) -(1.683)
RANBAXY -0.046 0.031 0.014 0.019 -0.005 -0.019 -0.044
-(0.719) (0.484) (0.219) (0.297) -(0.078) -(0.297) -(0.698)
RELIANCE -0.005 0.044 0.057 -0.022 0.063 -0.054 0.032
-(0.078) (0.688) (0.891) -(0.344) (0.984) -(0.844) (0.508)
SATYAM 0.086 0.04 -0.014 0.112 -0.068 -0.008 -0.061
(1.344) (0.625) -(0.219) (1.750) -(1.063) -(0.125) -(0.953)
SBI 0.074 -0.04 0.083 -0.023 0.026 0.034 -0.039
(1.156) -(0.625) (1.297) -(0.359) (0.406) (0.531) -(0.619)
TATATEA 0.009 -0.061 -0.026 0.039 -0.008 -0.069 0.046
(0.141) -(0.953) -(0.406) (0.609) -(0.125) -(1.078) (0.730)
TISCO -0.014 0.094 -0.01 -0.043 0.027 -0.056 -0.009
-(0.219) (1.469) -(0.156) -(0.672) (0.422) -(0.875) -(0.143)
VSNL 0.064 -0.018 0.113 -0.003 -0.137 0.009 0.077
(1.000) -(0.281) (1.766) -(0.047) -(2.141)* (0.141) (1.222)
WIPRO -0.001 0.004 -0.005 -0.027 -0.028 0.147 0.008
-(0.016) (0.063) -(0.078) -(0.422) -(0.438) (2.297)* (0.127)
ZEE -0.056 0.177 -0.09 0.005 0.007 0 0
-(0.875) (2.766)* -(1.406) (0.078) (0.109) (0.000) (0.000)


Table-07 ‘b’
LAGS -3 -2 -1 0 1 2 3
COMPANY
ABB -0.086 -0.058 0.109 0.066 -0.016 -0.028 -0.006
-(1.365) -(0.921) (1.730) (1.048) -(0.254) -(0.444) -(0.095)
ACC -0.078 0.136 -0.021 0.137 -0.05 -0.08 -0.102
-(1.238) (2.158)* -(0.333) (2.175)* -(0.794) -(1.270) -(1.619)
BAJAJ -0.101 0.049 -0.074 0.182 -0.05 -0.083 0.016
-(1.603) (0.778) -(1.175) (2.889)* -(0.794) -(1.317) (0.254)
BHEL 0.087 -0.066 -0.011 0.058 -0.036 0.003 -0.061
(1.381) -(1.048) -(0.175) (0.921) -(0.571) (0.048) -(0.968)
BPCL -0.085 -0.108 0.045 0.184 -0.165 -0.107 0.132
-(1.349) -(1.714) (0.714) (2.921)* -(2.619)* -(1.698) (2.095)*
CIPLA -0.087 -0.039 -0.001 0.222 -0.132 -0.12 0.018
-(1.381) -(0.619) -(0.016) (3.523)* (-2.095)* -(1.905) (0.286)
COLGATE 0.035 0.048 0.008 0.41 -0.242 -0.053 0.025
(0.556) (0.762) (0.127) (6.507)* (-3.841)* -(0.841) (0.397)
DABUR 0.053 0.04 0.053 0.312 -0.089 -0.073 -0.039
(0.841) (0.635) (0.841) (4.952)* -(1.413) -(1.159) -(0.619)
DR.REDDYS -0.051 -0.042 0.096 -0.045 -0.048 0.021 -0.041
-(0.810) -(0.667) (1.524) -(0.714) -(0.762) (0.333) -(0.651)
GLAXO -0.026 0.097 0.026 0.176 -0.036 -0.145 -0.007
-(0.413) (1.540) (0.413) (2.794)* -(0.571) -(2.302)* -(0.111)
GRASIM -0.057 0.06 -0.013 0.091 -0.14 -0.016 0.057
-(0.905) (0.952) -(0.206) (1.444) -(2.222)* -(0.254) (0.905)
HDFCBANK 0.004 0.045 -0.176 0.199 -0.115 -0.012 0.028
(0.063) (0.714) -(2.794) (3.159)* -(1.825) -(0.190) (0.444)
HDFC 0.074 -0.066 0.068 0.029 -0.073 -0.023 -0.1
(1.175) -(1.048) (1.079) (0.460) -(1.159) -(0.365) -(1.587)
HEROHONDA -0.096 0.026 -0.014 0.104 0.016 -0.207 0.123
-(1.524) (0.413) -(0.222) (1.651) (0.254) -(3.286)* (1.952)
HIND PETRO 0.057 -0.089 0.028 0.062 -0.048 -0.164 0.078
(0.905) -(1.413) (0.444) (0.984) -(0.762) -(2.603)* (1.238)



LAGS -3 -2 -1 0 1 2 3
COMPANY
HLL -0.004 0.067 -0.051 0.076 -0.059 -0.031 0.03
-(0.063) (1.063) -(0.810) (1.206) -(0.937) -(0.492) (0.476)
ICICI 0.047 0.076 0.02 0.218 -0.068 -0.144 -0.035
(0.746) (1.206) (0.317) (3.460)* -(1.079) -(2.286)* -(0.556)
INFOSYS -0.166 0.061 0.086 0.091 -0.142 -0.009 0.079
-(2.635)* (0.968) (1.365) (1.444) -(2.254)* -(0.143) (1.254)
ITC -0.011 0.056 -0.031 0.287 -0.159 -0.016 -0.008
-(0.175) (0.889) -(0.492) (4.556)* -(2.524)* -(0.254) -(0.127)
MTNL -0.117 -0.015 0.056 0.047 0.092 -0.096 0.092
-(1.857) -(0.238) (0.889) (0.746) (1.460) -(1.524) (1.460)
ONGC 0.051 0.091 -0.095 0.067 -0.062 -0.047 0.088
(0.810) (1.444) -(1.508) (1.063) -(0.984) -(0.746) (1.397)
RANBAXY 0.029 -0.041 -0.044 0.005 -0.079 -0.026 0.058
(0.460) -(0.651) -(0.698) (0.079) -(1.254) -(0.413) (0.921)
RELIANCE -0.035 0.098 0.002 -0.056 -0.107 -0.082 0.061
-(0.556) (1.556) (0.032) -(0.889) -(1.698) -(1.302) (0.968)
SATYAM -0.087 0.098 0.002 0.102 -0.122 0.001 -0.046
-(1.381) (1.556) (0.032) (1.619) -(1.937) (0.016) -(0.730)
SBI -0.084 0.051 -0.11 0.146 -0.061 0.015 0
-(1.333) (0.810) -(1.746) (2.317)* -(0.968) (0.238) (0.000)
TATATEA 0.061 0.048 -0.042 0.22 0.054 -0.168 -0.031
(0.968) (0.762) -(0.667) (3.492)* (0.857) -(2.667)* -(0.492)
TISCO 0.015 0.078 -0.028 0.077 -0.041 -0.017 0.005
(0.238) (1.238) -(0.444) (1.222) -(0.651) -(0.270) (0.079)
VSNL 0.015 -0.029 -0.001 0.384 -0.1 -0.105 -0.077
(0.238) -(0.460) -(0.016) (6.095)* -(1.587) -(1.667) -(1.222)
WIPRO -0.071 0.003 0.065 0.125 0.004 -0.023 -0.022
-(1.127) (0.048) (1.032) (1.984) (0.063) -(0.365) -(0.349)
ZEE -0.073 0.031 0.039 0.161 -0.197 0.101 -0.007
-(1.159) (0.492) (0.619) (2.556)* -(3.127)* (1.603) -(0.111)


Table-07 ‘c’
LAGS 4 5 6 7 8 9 10
COMPANY
ABB -0.028 0.076 0.023 -0.146 -0.051 0.056 -0.082
-(0.444) (1.188) (0.359) (-2.281*) -(0.797) (0.875) -(1.281)
ACC 0.058 0.157 -0.112 0.056 0.009 -0.068 0.002
(0.921) (2.453*) -(1.750) (0.875) (0.141) -(1.063) (0.031)
BAJAJ 0.001 0.008 -0.038 -0.11 0.069 0.08 -0.082
(0.016) (0.125) -(0.594) -(1.719) (1.078) (1.250) -(1.281)
BHEL 0.03 0.016 -0.014 -0.011 -0.042 -0.004 -0.038
(0.476) (0.250) -(0.219) -(0.172) -(0.656) -(0.063) -(0.594)
BPCL -0.048 0.022 0.098 -0.104 -0.004 -0.044 0.062
-(0.762) (0.344) (1.531) -(1.625) -(0.063) -(0.688) (0.969)
CIPLA 0.023 -0.016 -0.079 0.04 -0.017 -0.072 0.058
(0.365) -(0.250) -(1.234) (0.625) -(0.266) -(1.125) (0.906)
COLGATE -0.058 -0.032 0.002 -0.001 -0.014 -0.1 0.056
-(0.921) -(0.500) (0.031) -(0.016) -(0.219) -(1.563) (0.875)
DABUR -0.015 0.012 -0.063 -0.071 -0.024 0.051 -0.052
-(0.238) (0.188) -(0.984) -(1.109) -(0.375) (0.797) -(0.813)
DR.REDDYS -0.014 0.094 0.032 0.003 -0.032 -0.014 -0.007
-(0.222) (1.469) (0.500) (0.047) -(0.500) -(0.219) -(0.109)
GLAXO -0.001 -0.046 0.035 -0.077 0.035 0.061 -0.095
-(0.016) -(0.719) (0.547) -(1.203) (0.547) (0.953) -(1.484)
GRASIM 0.015 -0.074 0.024 0.042 -0.027 -0.085 0.016
(0.238) -(1.156) (0.375) (0.656) -(0.422) -(1.328) (0.250)
HDFCBANK -0.056 0.057 0.014 0.007 -0.071 -0.003 0.02
-(0.889) (0.891) (0.219) (0.109) -(1.109) -(0.047) (0.313)
HDFC 0.084 0.034 -0.045 -0.043 0.076 -0.043 -0.044
(1.333) (0.531) -(0.703) -(0.672) (1.188) -(0.672) -(0.688)
HEROHONDA -0.003 -0.013 0.019 0.019 -0.106 0.091 -0.049
-(0.048) -(0.203) (0.297) (0.297) -(1.656) (1.422) -(0.766)
HIND PETRO -0.029 0.002 0.088 -0.014 -0.038 -0.012 -0.019
-(0.460) (0.031) (1.375) -(0.219) -(0.594) -(0.188) -(0.297)



LAGS 4 5 6 7 8 9 10
COMPANY
HLL -0.073 0.081 -0.099 0.053 -0.069 0.066 -0.081
-(1.159) (1.266) -(1.547) (0.828) -(1.078) (1.031) -(1.266)
ICICI -0.045 -0.016 0.02 -0.01 0.025 0.026 0.024
-(0.714) -(0.250) (0.313) -(0.156) (0.391) (0.406) (0.375)
INFOSYS 0.033 -0.095 -0.056 0.016 0.131 -0.036 -0.047
(0.524) -(1.484) -(0.875) (0.250) (2.047*) -(0.563) -(0.734)
ITC -0.013 0.008 -0.007 -0.047 -0.03 0.024 -0.042
-(0.206) (0.125) -(0.109) -(0.734) -(0.469) (0.375) -(0.656)
MTNL -0.01 -0.034 -0.046 0.01 0.009 -0.077 0.073
-(0.159) -(0.531) -(0.719) (0.156) (0.141) -(1.203) (1.141)
ONGC -0.031 -0.068 0.064 -0.055 0.01 0.015 -0.011
-(0.492) -(1.063) (1.000) -(0.859) (0.156) (0.234) -(0.172)
RANBAXY -0.009 -0.067 -0.043 0.079 0.03 -0.023 -0.023
-(0.143) -(1.047) -(0.672) (1.234) (0.469) -(0.359) -(0.359)
RELIANCE 0.018 -0.002 -0.031 -0.001 0.01 0.013 -0.071
(0.286) -(0.031) -(0.484) -(0.016) (0.156) (0.203) -(1.109)
SATYAM 0.048 -0.056 0.029 -0.063 0.085 -0.03 0.025
(0.750) -(0.875) (0.453) -(0.984) (1.328) -(0.469) (0.391)
SBI 0 -0.007 0.06 -0.1 0.047 -0.055 0.02
(0.000) -(0.109) (0.938) -(1.563) (0.734) -(0.859) (0.313)
TATATEA -0.057 -0.042 0.045 0.061 -0.082 0.024 0.043
-(0.905) -(0.656) (0.703) (0.953) -(1.281) (0.375) (0.672)
TISCO -0.072 0.003 0.044 0.007 0.035 0.002 -0.072
-(1.143) (0.047) (0.688) (0.109) (0.547) (0.031) -(1.125)
VSNL -0.004 0.072 -0.133 0.015 -0.037 0.101 -0.033
-(0.063) (1.125) -(2.078*) (0.234) -(0.578) (1.578) -(0.516)
WIPRO -0.043 -0.045 -0.012 0.006 0.079 0.017 -0.073
-(0.683) -(0.703) -(0.188) (0.094) (1.234) (0.266) -(1.141)
ZEE -0.003 -0.01 -0.088 0.047 -0.07 0.148 -0.103
-(0.048) -(0.156) -(1.375) (0.734) -(1.094) (2.313*) -(1.609)


By observing the Cross Correlation of Price and Volumes as shown in

Tables 01 to 06, we can note that all companies, except Satyam Computer
Services Ltd., have significant ‘t’ values in the 0 Lag during the time period
2000-05 as well as during the varying time periods.
An investor can use these data to predict future prices or volumes. A

‘negative lag’ indicates that price would affect volumes after the specified
number of days and a ‘positive lag’ indicates that volume would affect
prices after specified number of days. The ‘x’ vari able will be a leader and
‘y’ variable, a lagger in case of a negative lag and in case of a positive lag,
the roles are reversed.
A ‘0 lag’ indicates that the prices of stocks on a given day affect the volume
of transactions on the same day.
For example: In table-01 ‘b’, Dabur India Ltd. has a lag of -1. Here, price
(which is the ‘x’ variable) leads volume (which is the ‘y’
variable) by a day. This means, price of today will have a
bearing on volume of tomorrow. In the same table, Dabur
India Ltd. has a 0 lag. Here, price and volume have an inter-
relation on the same day. Once again in the same table, we
find that there is a 2 lag. This says that volume of today will
have a bearing on price 2 days later.
It can be noted that the following companies did not exhibit significant
Price-Volume relationship during these time periods:

Years Companies
2000-05 Dr. Reddy's Laboratories Ltd.
Bajaj Auto Ltd., Bharat Petroleum Corporation Ltd., Grasim

2000-01
Industries Ltd. and Satyam Computer Services Ltd.,
Bharat Heavy Electricals Ltd., Cipla Ltd., Dabur India Ltd., Dr.
Reddy's Laboratories Ltd., Glaxosmithkline Pharmaceuticals
2001-02 Ltd., Grasim Industries Ltd., Mahanagar Telephone Nigam
Ltd., Reliance Industries Ltd., Videsh Sanchar Nigam Ltd. and
Wipro Ltd.
Bharat Heavy Electricals Ltd., Glaxosmithkline

Pharmaceuticals Ltd., HDFC Bank Ltd., HDFC, Hero Honda
2002-03
Motors Ltd., Hindustan Petroleum Corporation Ltd. and
Hindustan Lever Ltd.
Associated Cement Companies Ltd., Hindustan Lever Ltd.,

2003-04
Ranbaxy Laboratories Ltd. and Tata Tea Ltd.
Bharat Heavy Electricals Ltd., HDFC, Mahanagar Telephone

Nigam Ltd., Oil & Natural Gas Corporation Ltd., Ranbaxy
2004-05
Laboratories Ltd., Reliance Industries Ltd., Satyam Computer
Services Ltd. and Tata Iron & Steel Co. Ltd.

Standard Deviations of Stock Prices

Table-08
2000-05 2000-01 2001-02 2002-03 2003-04 2004-05
ABB 0.0221 0.0263 0.0225 0.0193 0.0222 0.0196
ACC 0.0196 0.0362 0.0321 0.0171 0.0249 0.0184
BAJAJ 0.0206 0.0238 0.0227 0.0181 0.0208 0.0163
BHEL 0.0291 0.0377 0.0336 0.0182 0.0243 0.0278
BPCL 0.0373 0.0608 0.0320 0.0295 0.0258 0.0264
CIPLA 0.0230 0.0230 0.0222 0.0139 0.0212 0.0223
COLGATE 0.0160 0.0203 0.0121 0.0127 0.0158 0.0177
DABUR 0.0235 0.0263 0.0200 0.0149 0.0267 0.0269
DR.REDDYS 0.0316 0.0298 0.0520 0.0189 0.0263 0.0202
GLAXO 0.0204 0.0251 0.0227 0.0171 0.0193 0.0166
GRASIM 0.0251 0.0371 0.0249 0.0138 0.0237 0.0201
HDFCBANK 0.0222 0.0289 0.0193 0.0143 0.0192 0.0263
HDFC 0.0220 0.0274 0.0204 0.0146 0.0224 0.0231
HEROHONDA 0.0007 0.0017 0.0020 0.0015 0.0017 0.0014
HPCL 0.0307 0.0383 0.0290 0.0344 0.0247 0.0248
HLL 0.0211 0.0287 0.0192 0.0159 0.0198 0.0201
ICICI 0.0310 0.0452 0.0333 0.0224 0.0259 0.0221
INFOSYS 0.0327 0.0410 0.0418 0.0215 0.0331 0.0191
ITC 0.0209 0.0288 0.0211 0.0158 0.0168 0.0194
MTNL 0.0288 0.0362 0.0271 0.0266 0.0245 0.0286
ONGC 0.0259 0.0270 0.0280 0.0245 0.0270 0.0225
RANBAXY 0.0222 0.0310 0.0262 0.0166 0.0168 0.0166
RELIANCE 0.0219 0.0233 0.0271 0.0183 0.0185 0.0213
SATYAM 0.0395 0.0539 0.0511 0.0262 0.0342 0.0213
SBI 0.0230 0.0254 0.0255 0.0146 0.0213 0.0261
TATATEA 0.0246 0.0311 0.0268 0.0175 0.0252 0.0199
TISCO 0.0260 0.0309 0.0273 0.0193 0.0255 0.0254
VSNL 0.0359 0.0495 0.0438 0.0217 0.0274 0.0292
WIPRO 0.0498 0.0531 0.0490 0.0266 0.0300 0.0744
ZEE 0.0422 0.0552 0.0558 0.0293 0.0342 0.0264
Values in brackets indicate ‘Standard Errors’

Skewness of Stock Prices
Table-09
2000-05 2000-01 2001-02 2002-03 2003-04 2004-05
ABB -0.0481 0.1255 0.3006 -0.9737 0.8379 -1.3674
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
ACC -0.2003 -0.1883 -0.2055 0.3963 0.1408 -0.8831
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
BAJAJ 0.0352 -0.2835 0.6736 0.4736 -0.3213 -0.4406
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
BHEL -0.3622 0.0880 -0.1704 0.0396 0.3482 -2.0639
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
BPCL -5.1103 -5.7276 -0.0010 -1.3038 0.3639 -0.4000
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
CIPLA -0.2856 -0.2029 -0.2438 -1.0886 -0.0426 -0.4371
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
COLGATE 0.6547 0.5825 0.0292 0.1831 1.3199 0.4524
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
DABUR -0.1492 -0.0427 0.6162 0.8091 -0.2360 -0.8014
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
DR.REDDY'S -8.6073 -0.0411 -9.6488 -1.9509 -1.5004 0.1619
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
GLAXO 0.2039 0.5036 -0.0410 0.4225 0.2642 -0.4003
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
GRASIM -0.2464 -0.1745 -0.8014 0.8111 0.6949 -0.7265
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
HDFC BANK 0.0600 0.1654 -0.4112 0.6454 0.5061 -0.1666
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
HDFC 0.2356 -0.3255 0.4978 0.0067 0.3316 0.8287
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
HERO HONDA 0.2188 -0.2766 0.7644 0.2431 -0.0326 -0.4616
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
HPCL -0.3577 0.2410 0.4366 -1.3501 -0.5193 -0.8498
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)

Table-09 (cont’d)
2000-05 2000-01 2001-02 2002-03 2003-04 2004-05
HLL -0.12967 0.3201 0.32500 0.07499 -0.08778 -1.94916
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
ICICI 0.0915 0.1785 -0.0647 0.5456 0.3735 -0.2289
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
INFOSYS -0.8123 0.1515 -0.2936 -0.1407 -3.1654 -0.3676
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
ITC -0.1315 -0.3085 -0.3607 0.0553 0.1303 0.6313
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
MTNL 0.0931 -0.0347 0.5091 0.6113 0.1747 -0.3133
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
ONGC 0.3493 -0.2820 1.4740 1.4506 0.0052 -1.6191
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
RANBAXY -0.0066 -0.0986 0.1997 0.5472 -0.0986 -0.2491
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
RELIANCE -0.1585 0.2724 0.0941 1.2388 -0.1419 -1.9285
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
SATYAM -0.0109 0.1211 0.0466 0.2475 -0.2908 0.0968
(0.0691) (0.1540) (0.1552) (0.1540) (0.1531) (0.1534)
SBI -0.4656 -0.0351 -0.1904 0.4858 -0.0822 -1.3499
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
TATA TEA 0.1248 0.5113 0.0531 0.9569 -0.7647 0.5150
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
TISCO -0.2114 -0.3711 0.0787 0.2831 -0.1203 -0.4587
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
VSNL -1.8733 0.1197 -5.4063 -0.4071 0.5944 -0.0672
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
WIPRO 8.4025 -0.2042 -0.1765 0.6644 -1.0115 12.6655
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
ZEE TELEFILMS -0.1300 -0.1720 -0.1203 0.1171 0.4083 0.1257
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)

Kurtosis of Stock Prices

Table-10
2000-05 2000-01 2001-02 2002-03 2003-04 2004-05
ABB 4.6295 1.6167 4.1030 11.3412 1.7421 10.6130
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
ACC 3.9450 2.6902 2.6246 1.3815 0.1255 3.5969
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
BAJAJ 2.5979 3.6974 1.4290 1.3026 1.3506 2.3825
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
BHEL 5.8302 1.2142 1.8121 1.4422 1.2002 22.8036
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
BPCL 93.8908 64.4625 1.4674 14.4908 2.1228 4.5227
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
CIPLA -4.6268 -2.0154 -3.4096 -5.4997 -4.6277 -5.9905
-(0.1380) -(0.3068) -(0.3086) -(0.3062) -(0.3044) -(0.3050)
COLGATE 6.7486 3.2643 5.4266 26.6494 6.8130 3.2898
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
DABUR 5.0818 1.3117 2.7376 7.5146 3.9662 7.5936
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
DR.REDDY'S 185.4094 2.6001 128.6476 13.7857 14.4709 10.3919
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
GLAXO 4.5197 4.0121 4.2206 3.2792 3.5083 3.9413
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
GRASIM 3.9548 1.6071 3.9047 3.0422 1.5878 1.6965
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
HDFC BANK 21.0592 3.7502 2.8750 2.8502 2.1624 45.5794
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
HDFC 5.7036 4.9913 5.4412 1.6749 0.7981 8.1961
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
HERO HONDA 2.7839 4.1691 3.0234 0.3913 0.9018 1.9053
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
HPCL 10.1411 1.4700 0.9347 26.7531 2.8704 4.1786
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)

Table-10 (cont’d)
2000-05 2000-01 2001-02 2002-03 2003-04 2004-05
HLL 5.2421 2.0687 3.5718 1.7052 -0.2054 17.3710
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
ICICI 4.6169 2.2125 3.9287 1.1165 2.8284 4.9002
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
INFOSYS 9.1732 1.1961 2.3230 0.2098 30.5769 7.8009
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
ITC 4.3719 2.2061 3.5863 1.8796 0.1813 8.4305
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
MTNL 2.9394 1.7641 1.8273 4.7513 0.5120 4.3985
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
ONGC 6.2237 1.0401 7.7303 12.5744 1.9874 11.6946
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
RANBAXY 4.3809 2.2568 3.5766 4.1475 0.9161 1.6854
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
RELIANCE 6.2916 2.3889 4.8820 8.4592 -0.5647 14.1963
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
SATYAM 2.1351 0.2545 0.9323 0.7588 2.1577 0.8994
(0.1380) (0.3068) (0.3092) (0.3068) (0.3050) (0.3056)
SBI 4.5080 1.6082 2.9115 2.7980 -0.0886 8.3937
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
TATA TEA 4.1421 3.4991 2.2580 3.1044 3.7719 5.6604
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
TISCO 2.8812 4.5004 0.5571 3.1192 0.1648 3.0589
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
VSNL 25.0725 1.3136 50.9146 3.5171 2.5253 9.5785
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
WIPRO 189.5982 0.6404 2.0933 8.3119 7.4904 186.9914
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
ZEE TELEFILMS 2.5373 0.3624 1.6433 1.2196 1.6226 1.3701
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)

Standard Deviations of Stock Volumes
Table-11
2000-05 2000-01 2001-02 2002-03 2003-04 2004-05
ABB 0.779327 0.671544 0.847877 0.959019 0.71102 0.674458
ACC 0.674458 0.531585 0.622615 0.699756 0.490226 0.477011
BAJAJ 0.77213 0.759649 0.969102 0.794979 0.636979 0.667338
BHEL 0.60445 0.559408 0.725934 0.63889 0.534989 0.549668
BPCL 0.740334 0.809115 1.033858 0.61089 0.574894 0.578753
CIPLA 0.720692 0.720692 0.862559 0.817504 0.677767 0.618174
COLGATE 0.670256 0.681781 0.767596 0.658865 0.562482 0.672816
DABUR 0.644457 0.621064 0.774929 0.640073 0.602065 0.573564
DR.REDDYS 0.679558 0.63996 0.672091 0.749496 0.662927 0.673653
GLAXO 0.675091 0.655251 0.720342 0.687348 0.661355 0.655177
GRASIM 0.696033 0.605812 0.792695 0.813236 0.646056 0.599571
HDFCBANK 0.772796 0.699973 0.890242 0.868975 0.699034 0.688699
HDFC 0.851168 0.759651 0.979553 1.033174 0.762788 0.674663
HEROHONDA 0.021226 0.056156 0.059811 0.043319 0.03469 0.039662
HPCL 0.669444 0.718688 0.873686 0.611319 0.56 0.537538
HLL 0.608597 0.595543 0.703682 0.612859 0.544653 0.582051
ICICI 0.690445 0.707192 0.789097 0.745739 0.594597 0.602889
INFOSYS 0.516633 0.747484 0.498811 0.366901 0.425073 0.467145
ITC 0.620274 0.590335 0.683315 0.644066 0.559414 0.623356
MTNL 0.647551 0.55136 0.787003 0.702483 0.556416 0.617346
ONGC 0.730631 0.804871 0.933758 0.760572 0.581349 0.501274
RANBAXY 0.62978 0.579171 0.725805 0.642303 0.52458 0.665096
RELIANCE 0.542753 0.662348 0.567776 0.575892 0.44408 0.436614
SATYAM 0.505559 0.790712 0.458335 0.338673 0.356983 0.456094
SBI 0.571374 0.551797 0.747538 0.659788 0.410972 0.420353
TATATEA 0.70369 0.636458 0.827693 0.786211 0.631952 0.617148
TISCO 0.52178 0.547868 0.710409 0.506194 0.386404 0.401713
VSNL 0.670039 0.753418 0.738873 0.636305 0.62352 0.589987
WIPRO 0.512259 0.610328 0.515077 0.503771 0.437292 0.484516
ZEE 0.641642 0.745559 0.655281 0.564723 0.556299 0.67319

Skewness of Stock Volumes

Table-12
2000-05 2000-01 2001-02 2002-03 2003-04 2004-05
ABB 0.0875 0.2188 -0.2083 0.1335 0.4211 -0.0289
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
ACC 0.1532 0.3525 -0.2542 0.2782 0.4733 0.0193
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
BAJAJ 0.2466 0.0625 0.4039 0.2679 0.0864 0.0833
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
BHEL 0.1394 0.3277 0.1285 0.0062 0.1678 0.1193
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
BPCL -0.1739 -0.1072 -0.3414 0.2098 -0.0113 0.0637
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
CIPLA 0.1943 0.1656 0.1609 -0.0583 0.3772 0.6194
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
COLGATE 0.4003 0.4935 0.1001 0.2033 0.9200 0.6065
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
DABUR 0.2797 0.4711 0.1863 0.0900 0.4013 0.3658
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
DR.REDDY'S 0.1371 0.2859 0.1239 -0.1280 0.1902 0.3345
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
GLAXO 0.1774 0.1298 0.1679 0.1009 0.4641 0.0314
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
GRASIM 0.0622 0.0783 0.0804 0.0672 0.0623 0.0099
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
HDFC BANK 0.0898 0.2374 -0.0251 0.1195 0.0711 0.1257
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
HDFC 0.1620 0.3082 0.0683 0.1814 0.2996 -0.0954
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
HERO HONDA 0.0869 0.1227 0.0425 -0.0599 0.4011 0.0215
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
HPCL -0.0603 -0.0467 -0.3391 0.0660 0.3753 0.3876
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
ValuSs in brackets indicate ‘Standard Errors’

Table-12 (cont’d)
2000-05 2000-01 2001-02 2002-03 2003-04 2004-05

HLL 0.2717 0.5591 0.3019 0.1870 0.0121 0.2260
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
ICICI 0.3494 0.2042 0.4826 0.4011 0.2589 0.2454
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
INFOSYS 0.6620 1.1115 -0.1556 0.2941 0.1064 -0.1201
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
ITC 0.2157 0.3788 0.0342 0.2792 -0.1136 0.4801
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
MTNL 0.5049 0.2282 0.7922 0.4578 0.3909 0.2050
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
ONGC 0.2886 0.2239 0.0386 0.6229 0.5320 0.2994
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
RANBAXY 0.3454 0.4869 0.2911 0.2404 -0.0775 0.6003
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
RELIANCE 0.2969 0.1057 0.3338 0.7935 0.0225 -0.0030
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
SATYAM 0.4305 0.5067 -0.3061 0.4617 -0.1204 0.3272
(0.0691) (0.1540) (0.1552) (0.1540) (0.1531) (0.1534)
SBI 0.2514 0.1393 0.2422 0.3335 -0.0868 0.3149
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
TATA TEA 0.0018 0.0859 -0.6592 0.3799 0.4381 0.2361
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
TISCO 0.2048 0.2595 0.1414 0.3852 0.1176 0.0139
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
VSNL 0.6328 0.7496 0.8246 0.3559 0.4712 0.4883
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
WIPRO 0.2358 0.5371 -0.4638 0.4968 -0.0320 0.3424
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)
ZEE
TELEFILMS 0.3116 -0.4150 1.0639 0.2816 0.6828 0.3923
(0.0691) (0.1540) (0.1549) (0.1537) (0.1528) (0.1531)

Kurtosis of Stock Volumes

Table-13
2000-05 2000-01 2001-02 2002-03 2003-04 2004-05
ABB 1.7154 -0.0972 3.5451 0.7213 1.0625 0.4422
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
ACC 3.0641 0.3252 8.4720 0.0762 1.0042 2.8561
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
BAJAJ 3.1869 0.3341 5.3359 0.3833 0.9454 1.1765
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
BHEL 0.9869 0.0470 0.6312 0.3895 2.2956 1.4263
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
BPCL 3.2683 0.1827 3.2180 0.0143 0.2667 0.9744
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
CIPLA -2.1498 0.0487 -4.2515 0.1994 -1.2144 -0.9552
-(0.1380) -(0.3068) -(0.3086) -(0.3062) -(0.3044) -(0.3050)
COLGATE 1.1927 0.4797 0.8041 -0.1041 2.3213 2.6282
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
DABUR 0.9297 0.9420 1.1335 0.2160 0.5909 0.3947
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
DR.REDDY'S 0.7745 0.1741 1.5634 0.4081 1.4068 0.3696
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
GLAXO 0.3061 0.4866 0.2729 -0.1784 0.3764 0.7051
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
GRASIM 2.0913 0.3676 4.2919 0.2431 1.0005 2.1059
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
HDFC BANK 2.4116 0.3712 5.2859 0.2509 0.1374 2.6290
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
HDFC 1.1001 1.1900 -0.1039 0.6023 1.8145 2.5074
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
HERO HONDA 1.7787 0.9986 1.4988 0.1688 1.1617 1.5683
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
HPCL 6.0021 0.1442 9.4968 0.2880 1.3338 0.8835
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)

Table-12 (cont’d)
2000-05 2000-01 2001-02 2002-03 2003-04 2004-05

HLL 1.9394 0.5573 4.3337 0.1608 0.8184 0.8315
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
ICICI 1.0627 0.2609 0.9055 1.5932 0.2810 1.1009
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
INFOSYS 22.2892 22.0175 11.9323 1.6069 1.0683 2.8569
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
ITC 2.2903 0.6575 4.4834 -0.0227 1.0641 3.7053
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
MTNL 3.4976 0.4245 6.9436 0.9822 0.5936 -0.0808
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
ONGC 2.0745 1.0287 1.9207 0.6212 0.6784 2.5468
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
RANBAXY 2.7703 1.0595 5.2601 0.7164 1.2867 1.7897
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
RELIANCE 7.4123 13.3988 1.7632 2.5501 1.4528 2.1708
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
SATYAM 35.7426 26.9029 15.4754 0.8783 2.2442 4.7339
(0.1380) (0.3068) (0.3092) (0.3068) (0.3050) (0.3056)
SBI 3.3654 -0.2304 4.4181 0.0257 1.0958 4.0598
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
TATA TEA 3.9710 0.5237 9.6145 0.1053 0.9290 0.2991
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
TISCO 4.7187 -0.0911 5.6811 0.8077 1.3536 1.8626
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
VSNL 2.1972 2.5999 3.1145 -0.0046 2.2952 0.4678
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
WIPRO 11.6931 14.5393 25.2180 0.8941 1.5891 3.5070
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)
ZEE TELEFILMS 11.1920 20.6237 14.8373 0.1313 2.4066 1.4834
(0.1380) (0.3068) (0.3086) (0.3062) (0.3044) (0.3050)

The tables 07 to 14 provide a picture of the volatility of the 30 stocks.
Standard deviations suggest how much of fluctuations are there in the prices
or trading volumes. In case of standard deviations of stock prices, all
companies, except Dr.Reddy’s Laboratories Ltd. have lesser standard
deviations for the entire period of 2000-05 when compared to the first of the
years, i.e., 2000-01. This shows that the stocks have become lesser volatile
in the process. The standard deviations of the following companies have
drastically come down from the first year i.e. 2000-01, to the last year, i.e.
2004-05: ACC, INFOSYS, ICICI, HPCL, GRASIM, BPCL, MTNL,
RANBAXY, SATYAM, TATA TEA, TISCO, VSNL and ZEE.
Skewness of stock prices indicates where the tail of the distribution lies. A
negative skewed stock price indicates that they are going to rise. Therefore,
investors are more interested in negative skewed stocks. Stocks like BPCL,
Dr. Reddy’s, etc. which have high negative skewness are of particular
interest to investors.
Similarly, stocks having high kurtosis are rather highly volatile. Stocks
mentioned earlier, i.e. BPCL and Dr. Reddy’s. have high kurtosis. Higher
volatility can result in higher returns for investors. Therefore, such stocks
attract more investors.

What do price and volume movements mean for an investor?

How does one figure out which is best for him/ her?
To answer these questions, we can have a look at the following table, which
tries to understand what a price increase or decrease accompanied by high or
low volume indicate:
PRICE VOLUME
Watch Out. It is highly possible that the upward

movement of price will not last. It may be due a
UP LOW
small number of people, who are buying a large
number of shares.
It is a definite bullish sign. Watch out for any

UP HIGH resistance that is broken during up move.
There are not many chances of further fall.

DOWN LOW
Hence, it would be advisable to hold on
It is a definite bearish sign. Watch out for any

supports that are broken during down move.
DOWN HIGH
These supports are likely to become resistances

Conclusions
The various tests I conducted on the 30 stocks have helped me in arriving at
the following conclusions:
The ‘t’ values are significant for the 0 lag most often for all the stocks.
That means, the prices and volumes have a strong inter-relationship
on the particular day.
Stocks of Bharat Petroleum Corporation Ltd., Dr. Reddy's
Laboratories Ltd. and Wipro Ltd. have high Skewness and Kurtosis
and hence are the most volatile of the lot.
All the stocks possess significant ‘t’ values during the time period and
hence, their cross correlations are high. Hence, the Null Hypothesis
will be rejected. Therefore, we can say that there exists a significant
relationship between price and volume of stocks.

GLOSSARY
COMMON STOCKHOLDER
A security that represents ownership in a corporation. Holders of common
stock exercise control by electing a board of directors and voting on
corporate policy. Common stockholders are on the bottom of the priority
ladder for ownership structure. In the event of liquidation common
shareholders have rights to a company's assets only after bond holders,
preferred shareholders, and other debt holders have been paid in full.
COMPOSITE INDEX
A grouping of equities, indexes or other factors combined in a standardized
way, providing a useful statistical measure of overall market or sector
performance over time. It is also known simply as a "composite".
ACTUAL RETURN
It is the actual gain or loss of an investor. This can be expressed in the
following formula: expected return (ex-ante) plus the effect of firm-specific
and economy-wide news.

EQUITY
1) Stock or any other security representing an ownership interest.
2) On the balance sheet, the amount of the funds contributed by the
owners (the stockholders) plus the retained earnings (or losses). It is
also referred to as "shareholder's equity".
3) In the context of margin trading, the value of securities in a margin
account minus what has been borrowed from the brokerage.
4) In the context of real estate, the difference between the current market
value of the property and the amount the owner still owes on the
mortgage. Thus, it is the amount, if any; the owner would receive after
selling a property and paying off the mortgage.
VOLATILITY
1. A statistical measure of the tendency of a market or security to rise or fall
sharply within a period of time.
2. A variable in option pricing formulas that denotes the extent to which the
return of the underlying asset will fluctuate between now and the expiration
of the option.
CORRELATION
In the world of finance, correlation is a statistical measure of how two
securities move in relation to each other. Correlations are used in advanced
portfolio management

BIBLIOGRAPHY
¾
The Journal of Finance
¾
Business Statistics by David Levine, Timothy Krehbiel and Mark
Berenson
¾
www.google.com
¾
Bangalore Stock Exchange Limited
¾
www.nseindia.com
¾
www.investopedia.com
¾
www.volatility.com
¾
www.riskglossary.com

Price Volume Relationship in Indian Stock

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PRICE-VOLUME RELATIONSHIP IN SELECT INDIAN STOCKS

Under the Guidance Of:

M.P.BIRLA INSTITUTE OF MANAGEMENT

M.P.BIRLA INSTITUTE OF MANAGEMENT

I hereby declare that the Internship report on Organisation study of Price-

Place: Bangalore RAMAKRISHNA B

M.P.BIRLA INSTITUTE OF MANAGEMENT

This is to certify that this report titled “Price-Volume Relationship in Select

Indian Stocks” is the result of project work undergone by Ramakrishna B,

bearing the Register Number 03XQCM6079, under the guidance of Dr.

Degree/Diploma for any University.

Date : 15th June 2005 Dr. Nagesh.S.Malavalli

M.P.BIRLA INSTITUTE OF MANAGEMENT

This is to certify that the dissertation entitled “Price-Volume Relationship

in Select Indian Stocks” is an original study conducted by

Ramakrishna.B, bearing register number 03XQCM6079, of M. P. Birla

Institute of Management, Associate Bharatiya Vidya Bhavan, under my

Degree/Diploma by Bangalore University or any other University.

Date : June 15th 2005 Dr. T. V. Narasimha Rao

M.P.BIRLA INSTITUTE OF MANAGEMENT

A teacher is a perennial source of inspiration and guidance in all the

I am also grateful to Dr N S Malavalli, Principal, M.P Birla Institute of

I am also thankful to Prof. S.S. Santhanam, M.P Birla Institute of

M.P.BIRLA INSTITUTE OF MANAGEMENT

CHAPTER NO PARTICULARS PAGE NO.

INTRODUCTION TO THE NATIONAL

DATA ANALYSIS TOOLS 12

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CROSS CORRELATION BETWEEN PRICE &

CROSS CORRELATION BETWEEN PRICE &

CROSS CORRELATION BETWEEN PRICE &

CROSS CORRELATION BETWEEN PRICE &

CROSS CORRELATION BETWEEN PRICE &

08 STANDARD DEVIATION OF STOCK PRICES 55

09 SKEWNESS OF STOCK PRICES 56

10 KURTOSIS OF STOCK PRICES 58

11 STANDARD DEVIATION OF STOCK VOLUMES 60

12 SKEWNESS OF STOCK VOLUMES 61

13 KURTOSIS OF STOCK VOLUMES 63

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There is substantial interest in how trading volume is related to price

However, instances can be found where a low level of volume is associated

In common financial parlance, volatility of a variable is understood to reflect

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A basic observation about most (high frequency) time series data on

Given the notion of volatility as mentioned above, it is only reasonable to

As mentioned above, the pattern of volatility of a variable may change over

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Many studies have documented the empirical evidence of a positive

Gallant (1992), using nonparametric methods, confirmed the positive

This study presents an empirical analysis of the relationship between the

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INTRODUCTION TO THE NATIONAL STOCK

On its recognition as a stock exchange under the Securities Contracts

NSE is owned by a set of leading financial institutions, banks, insurance

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Its Board comprises of senior executives from promoter institutions, eminent

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S&P CNX NIFTY

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Companies under S&P CNX NIFTY

Company Name Industry

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