A

COMPREHENSIVE PROJECT REPORT
ON
“AN ANALYTICAL STUDY ON THE VOLATILITY OF SECURITIES TRADED ON
BSE SENSEX”
Submitted to

SHREE R. R. TANTI INSTITUTE OF MANAGEMENT,
ANKLESHWAR
IN PARTIAL FULFILLMENT OF THE
REQUIREMENT OF THE AWARD FOR THE DEGREE OF

MASTER OF BUSINESS ADMINISTRATION
Under

Gujarat Technological University
UNDER THE GUIDANCE OF

MR.JAYDIP DESAI
Submitted by
SAGAR PAREKH

MANISH GOLE

M.B.A-SEMESTER III/IV

SHREE R. R. TANTI INSTITUTE OF MANAGEMENT,
ANKLESHWAR
M.B.A-PROGRAMME
Affiliated to Gujarat Technological University
Ahmadabad
December 2011-12

1

DECLARATION

We Mr. SAGAR PAREKH & Mr. MANISH GOLE hereby declare that the reportfor
―Comprehensive Project‖ entitled AN ANALYTICAL STUDY ON THE
VOLATILITYOFSECURITIES TRADED ON BSE SENSEX”
is a result of our own work and our indebtedness to other work
Publications, references, if any, have been duly acknowledged.

PLACE:
DATE:
PAREKH

SAGAR

MANISH GOLE

2

INSTITUTIONAL CERTIFICATE

PREFACE
3

MBA is a stepping-stone to the management carrier and to develop good
manager it is necessary that the theoretical must be supplemented with exposure
to the real environment. Theoretical knowledge just provides the base and it‗s not
sufficient to produce a good manager that‗s why practical knowledge is needed.

The Professional training is the internal part of a MBA Program. It helps the
students understand practical aspects of Business Management in a better way
as a part of our MBA program at “Shree r.r.tanti institute of management‖.

We were required to undertake a detailed study of the “AN ANALYTICAL STUDY
ON THE VOLATILITY OF SECURITIES TRADED ON BSE SENSEX”using
different statistical functions such as beta, Correlation, variance, standard deviation

The theoretical knowledge & conceptual ideas are the background for the career
development but project work has also equal contribution for occur. The
sentence ―experience is the best teacher is very true in every field & so project
work during the course is arranged to develop the skill & attitude.

It is rightly said that practice makes a man perfect. In order to achieve excellence
and success, theoretical knowledge must be supplemented with practical
knowledge and practical work i.e. is Project work. Among the numerous
interesting things concerned with changing the understanding of management
students, this project work plays an important role in development of us.

ACKNOWLEDGEMENT
4

Learning is a delightful experience and in the ocean of knowledge you can
acquire limitless understanding through your craving for it. And in our craving to
know more, it has been memorizing extravagance of memorable experience. At
this enlightening moment of completion of our project, we feel obliged to record
my heartfelt and deep gratitude to those who have helped me.

Firstly, we would like to thank the almighty GOD, who bestowed upon us this
opportunity for working on this project and generated the capacity to successfully
complete the project.

We are extremely indebted to our project mentor Mr.Jaydip Desai (Director
incharge) for his valuable suggestions and guidance, which ensured an in-depth
learning and understanding of the concepts. His inputs from past experiences
and practical interpretation of the problem helped us a lot in comprehending the
requirements of the project. This ensured great learning for us. He was always
helpful enough & was always able to take out some time off his busy schedule to
guide us in this project. Lastly, we say we are lucky enough that we trained under
his!

Words are insufficient to express our gratitude towards Miss.Bhumika Bhatt
(professor -finance) for their immense help and invaluable guidance in
conduction of this study from its conception to its completion.

TABLE OF CONTENT
5

Sr. no.

Particulars

Chapter
1

Page
No.

General Information

8

1.1

Overview of World Market

8

1.2

Overview of Indian Capital market

9

1.3

Growth of the Stock Market

13

Chapter 2

About major industry

14

Chapter 3

Introduction of study
3.1

Literature Review

3.2

Background of the study

3.3

Problem Statement

3.4

Objective of the Study

Chapter 4

Research Methodology
4.1

Research Design

4.2

Sources of Data

4.3

Population

4.4

Statistical tool

Chapter 5

18
21
24
25
26
26
26
26
27

PROFILE OF THE INDUSTRY AND COMPANY

5.1
5.2
Chapter 6

18

INDUSTRY PROFILE

29

COMPANY PROFILES

31

DATA ANALYSIS AND INTERPRETATION

38

Chapter 7

Findings

Chapter 8

Conclusion

Chapter 9

Suggestion and recommendation

74
76

6

77

BIBILOGRAPHY

79

LIST OF TABLES
Sr.no.

TOPIC

1

Volatility of BHEL (Capital Goods) return

2

Volatility of ACC LTD. | (Housing related)

3

Volatility of Bharti Airtel (Telecom) return

4

Volatility of Grasim Industries ( Diversified) return

5

Volatility of HDFC Bank | Finance. Return

6

Volatility of

Hindalco Industries | Metal, Metal

Products & Mining.. Return

7

Volatility of Hindustan Uni Lever | FMCG. Return

8

Volatility of Mahindra and Mahindra | Transport
Equipments Return

10

Volatility of NTPC | Power |Return

11

Volatility of Larsen & Toubro | Capital Goods Return

12

Volatility of Reliance Industries | Oil & GasReturn

13

Volatility of State Bank of India | Finance Return

14

Volatility of Ranbaxy Laboratories | Healthcare

15

Volatility of TCS | Information Technology

16

Volatility of ONGC | Oil and Gas

EXECUTIVE SUMMARY
7

PAGE NO

Master of Business Administration student is a matter of pride because we are in a
field, which helps us to develop from a normal human being into a disciplined, and
dedicated professional. One has to be a good learner to sharper knowledge in the
particular field to achieve and attain the desired goals and heights. Being M.B.A
finance student‘s and the interest area towered the financial Market we are taking
the topic of ―AN ANALYTICAL STUDY ON THE VOLATILITY OF SECURITIES
TRADED ON BSE SENSEX‖ for the research purpose. From this research we
actually fulfill our purpose of how the individual investee will look towards the
Financial Market and how he/she invest money in financial market.

In this topic our objective is to find out how we can make investment by analysis
of the bse sensex for only top traded 30 scrips which I selected 15 for analysis.
Volatility of securities price has important implications for firm‘s investment and
financial decisions, valuations and investors sentiments. Price volatility of
securities has consequence for firm‘s decisions on how much capital to issue,
type of instrument to be used when to use. Further high price volatility provides
opportunities for expropriations between various market players.

There for the study of volatility of security is very important contextual as well.
Here analytical study of volatility of securities traded on Bombay Stock Exchange
is the topic of this dissertation.

CHAPTER 1
8

1.1 Overview of World Market

Global Market Economy – Current Scenario
During last one-decade capital markets around the globe witnessed a series of
developments in terms of its movements, volatility and capitalization. Despite the
bearishness in the first half of 2003 due to war on terrorism, epidemic outbreaks,
and economic sluggishness, the markets in the advanced economies received
substantial benefits in terms of rise in Gross Domestic Product (GDP). For
example, in high-Income Countries, the market capitalization as a percentage of
GDP was as high as 103.9%, where as in low-income countries it was at 18.3%
(For India, it was 23.1% as against the world‗s percentage at 90.7). A number of
initiatives undertaken to attract cross border Investments through liberalized
trade policies globalised economic reforms, portfolio investments ranging from
24% to 100% of the paid-up capital with repatriation facility in certain cases were
the prime factors of Asia now being in focus in the capital market. At present the
Foreign Institutional Investors (FIIs) are concentrating in the emerging markets
due to the fact that the rate of return on investment as well inflation rate in the
emerging economies are slightly higher than the market to which they belong.

World Trade
The trade volume of the world is estimated at 3% for 2003, which is less the
growth rate 3.2% for the year2002. A sharp rise in oil prices has surged the
commodity prices. Consumer goods prices in the advanced countries reached
around 1.8% as compared to 1.5% in 2002 whereas it is 5% in developing
countries for both of the years. Increase in the volume of trade is one of the
potential causes for development of capital market of the economy. Ongoing
discussions among the member countries of the World Trade Organization
9

(WTO) have to be taken into account for overall development and integration of
global capital markets.

World stock market & Bullion Market
The sharp fall of US dollar as against the Euro, Sterling and yen have brought
worries to the international investors in the US market and therefore there was
lesser demand for US securities. This situation made US to start investing
elsewhere in the global market. As a result the Asian countries received
substantial increase in the foreign exchange reserves. The evolution of Euro
currency due to the coordinate efforts of member countries set a classic example
of how common currency can stabilize the economic growth. In the bullion
market, Gold is now commanding at its very high in its 13 years not track record
and other metals like silver and platinum are showing an upward trend.

1.2 Overview of Indian Capital market

Meaning of Capital Market

Capital Market may be defined as a market dealing in medium and longterm
funds. It is an institutional arrangement for borrowing medium and long-term
funds and which provides facilities for marketing and trading of securities. So it
constitutes all long-term borrowings from banks and financial institutions,
borrowings from foreign markets and raising of capital by issue various securities
such as shares debentures, bonds, etc. The market where securities are traded
known as Securities market. It consists of two different segments namely primary
10

and secondary market. The primary market deals with new or fresh issue of
securities and is, therefore, also known as new issue market; Whereas the
secondary market provides a place for purchase and sale of existing securities
and is often termed as stock market or stock exchange.

1) PRIMARY MARKET
The Primary Market consists of arrangements, which facilitate the procurement of
long term funds by companies by making fresh issue of shares and debentures.
You know that companies make fresh issue of shares and/or debentures at their
formation stage and, if necessary, subsequently for the expansion of business. It
is usually done through private placement to friends, relatives and financial
institutions or by making public issue

2) SECONDARY MARKET
The secondary market known as stock market or stock exchange plays an
equally important role in mobilizing long-term funds by providing the necessary
liquidity to holdings in shares and debentures. It provides a place where these
securities can be encased without any difficulty and delay. It is an organized
market where shares, and debentures are traded regularly with high degree of
transparency and security. In fact, an active secondary market facilitates the
growth of primary market as the investors in the primary market are assured of a
continuous market for liquidity of their holdings. The major players in the primary
market are merchant bankers, mutual funds, financial institutions, and the
individual investors; and in the secondary market you have all these and the
stockbrokers who are members of the stock exchange who facilitate the trading.

11

History of Indian Capital Markets
The history of the Indian capital markets and the stock market, in particular can
be traced back to 1861 when the American Civil War began. The opening of the
Suez Canal during the 1860s led to a tremendous increase in exports to the
United Kingdom and United States. Several companies were formed during this
period and many banks came to the fore to handle the finances relating to these
trades. With many of these registered under the British Companies Act, the Stock
Exchange, Mumbai, came into existence in 1875. It was an unincorporated body
of stockbrokers, which started doing business in the city under a banyan tree.
Business was essentially confined to company owners and brokers, with very
little interest evinced by the general public. There had been much fluctuation in
the stock market on account of the American war and the battles in Europe. Sir
Premchand Roychand remained a kingpin for many years.

Sir Phiroze Jeejeebhoy was another who dominated the stock market nscene
from 1946 to 1980. His word was law and he had a great deal of influence over
both brokers and the government. The planning process started in India in 1951,
with importance being given to the formation of institutions and markets. The
Securities Contract Regulation Act 1956 became the parent regulation after the
Indian Contract Act 1872, a basic law to be followed by security markets in India.
To regulate the issue of share prices, the stock markets have had many turbulent
times in the last 140 years of their existence. The imposition of wealth and
expenditure tax in 1957 by Mr. T.T.Krishnamachari, the then finance minister, led
to a huge fall in the markets. The dividend freeze and tax on bonus issues in
1958-59 also had a negative impact. War with China in 1962 was another
memorably bad year, with the resultant shortages increasing prices all round.
This led to a ban on forward trading in commodity markets in 1966, which was
again a very bad period, together with the introduction of the Gold Control Act in
1963. The markets have witnessed several golden times too. Retail investors
began participating in the stock markets in a small way with the dilution of the
12

FERA in 1978. Multinational companies, with operations in India, were forced to
reduce foreign share holding to below a certain percentage, which led to a
compulsory sale of shares or issuance of fresh stock. There was no free pricing
and their formula was very conservative. The next big boom and mass
participation by retail investors happened in 1980, with the entry of Mr. Dhirubhai
Ambani.Dhirubhai can be said to be the Father of modern capital markets. The
Reliance public issue and subsequent issues on various Reliance companies
generated huge interest. The general public was so unfamiliar with share
certificates that Dhirubhai is rumored to have distributed them to educate people.
Mr. V.P.Singh‘s fiscal budget in 1984 was path breaking for it started the era of
liberalization.

Source:http://www.bukisa.com/articles/442796_capital-marketsanoverview#ixzz1KgqtH7su

India‘s capital markets have experienced sweeping changes since the beginning
of the last decade. Its market infrastructure has advanced while corporate
governance has progressed faster than in many other emerging market
economies. But in contrast to several developed countries and Asian economies,
India‘s capital markets are still shallow, implying that further reforms are needed
to make India a world-class financial centre. At nearly 40% of GDP, the size of
India‘s government bond segment is comparable to many other emerging market
economies.

13

1.3 Growth of the Stock Market
Despite the international disturbances like Iraq war, SARS, Bird flu in Asia,
terrorism threats and other natural calamities, capital market has shown steady
growth in 2003. There was an increased demand for the Asian equities. The
favorable liquidity conditions and macro environment factors accelerated further
growth in Asian markets. Indian sensex rose to 80% outperforming all the major
global indices. European markets have also shown remarkable progress.
Currently factors are encouraging FIIs to think about the investment proposals in
other countries. Another interesting factor in the global scenario is that the cross
border capital flow is largely flowing from FII‗s in the private sectors as compared
to public sectors of developing economies. There are few countries in the world,
which received mhigher turnover-ratio than India. The FII‗s investment in India as
on June 2003 was at US $ 17.39 billion with 509 registered FII‗s. India stood 19th
place in terms of capitalization . In terms of turnover-ratio, India ranked 7th in
position. Emerging Economies: The year 2003 was the year for emerging
economies. These economies undertook a number of initiatives in relation to their
fiscal and economic policies, which have contributed, substantially to the stability
of the world economy. The current fiscal year 2004 is a year of prospects and
promises for higher economic growth and fruitful activity in the capital market.
Lower exchange reserves and it has been predicted that the largest economies
in 2050 would be China, India, Russia and Japan. China showed strong growth
of indication with a real GDP at 8.7%. It has a market capitalization of 220 billion
dollars Nearly 20 out of 25 emerging country economies stock prices rose by
25% and amongst eight countries it was more than 75%. Further, currencies of
these countries appreciated against the US dollar.

14

CHAPTER 2: About major industry

 ELECTRICAL EQUIPMENT
 CEMENT PRODUCTS
 BANKS
 TELECOMMUNICATION – SERVICES
 ELECTRICAL EQUIPMENT REFINERIES OIL
 EXPLORATION/PRODUCTION
 PHARMACEUTICALS CONSTRUCTION GAS
 COMPUTERS – SOFTWARE
 FINANCE – HOUSING BANKS
 AUTOMOBILES – 2 AND 3 WHEELERS
 ALUMINIUM ,
 DIVERSIFIED
 FINANCIAL INSTITUTION
 CIGARETTES
 STEEL AND STEEL PRODUCTS

15

CHAPTER 3: Introduction of study

The Sensex falls by 36% in a day of hectic trading. The reserve Bank of
India lowers the repo rate by 25 basis points. The government of India raises
4500 crore rupees by issuing bonds with a maturity of 10 years. So on and so
forth all these are examples of securities market at work. Most people are aware
that this market has an important bearing on modern life and glibly speak of
―Dalal Street‖ the ―gilt Edged Market‖ and the ―Nifty‖ with a some what vague
understanding of these terms.

Factors responsible for price fluctuations
In a securities market, prices or returns show fluctuations for a variety of
reasons: changes in fundamental factors of firms, like, investors endowments,
tastes or alternatively the attitudes towards risk, correct or incorrect anticipations
or expectations of investor and other market participants, differences in
information and mode of evaluation, transient imbalances between demand for
and supply of securities, and the nature and number of stabilizing forces, among
others, cause prices to fluctuate either from one point of equilibrium to another or
above and below an equilibrium point.

The changes in fundamental factors cause prices or returns to shift from
one point of equilibrium to another. For instance, information regarding changes
in the economy, changes in policies, including industrial policy, as also the
political situation, and the social situation, influence the over all price behavior of
a market.

16

Apart from fundamental factors, the transitory imbalances between supply
of and demand for securities may also cause price fluctuations. For instance, in
the absence of stabilizing forces, excess supply (demand) of securities in the
short- run causes the price to fall (rise). In the presence of stabilizing forces, such
as traditional speculators and value based investors, the extent of fluctuations
tend to be small, as these stabilizing forces act as buyers (sellers), when there is
excess of supply (demand), thus, arresting the magnitude of a fall (rise) in the
price. However, the stabilizing forces may not completely mitigate the price
change; as such acts may not bestow any benefit on them. These forces require
a minimum extent of price change in order to undertake the act of stabilization of
prices, which would give them scope to earn a responsible reward.
The expectations and foresight of investors as well as speculators
determine the magnitude of price fluctuations to a large extent. If market
participants anticipate changes.
In either fundamental factors or technical factors correctly, and if the
change or anticipated change comes about gradually, the prices move in a
smooth fashion from one point of equilibrium to another. On the contrary, when
the anticipations prove to be either too optimistic or too pessimistic, or the
changes in these factors or anticipations about them, undergo a sudden change,
the prices move erratically, rather than move in a smooth fashion resulting in
greater price fluctuations.

The numbers of speculations in relation to other traders also influences
the extent of fluctuations. The traditional role of a speculator is to act as a buyer
when there is excess supply and as a seller when there is excess demand.
Changes in fundamental and other factors as well as correct or incorrect
anticipations also determine the short- term and the long- term price changes. If
the changes takes place gradually and anticipations prove to be correct, the
short-term fluctuations tend to be similar in magnitude as that of average longterm fluctuations, as in this case, the short-term fluctuations or price changes
17

tend to be one direction, which add up to determine long- term fluctuations. On
the contrary, if the anticipations are not correct, irrespective of mode of arrival of
information- whether gradual or not gradual the average long-term fluctuations
tend to be smaller than the short-term fluctuations.
It is clear that the fluctuation of prices or price volatility is influenced by the
arrival of information- gradual or otherwise- and the correct or incorrect
anticipation of market participants. Further, the role played by speculators either
corrects the situation by minimizing the extent of fluctuations, or further
accentuates fluctuations and thereby destabilizes prices.

18

3.1 Literature Review

Seasonality or calendar anomalies such as month of the year and day of the
week effects has remained a topic of interest for research since long time in
developed as well as developing countries. Watchel (1942) reported seasonality
in stock returns for the first time. Rozeff andKinney (1976) documented the
January effect in New York Exchange stocks for the period 1904to 1974. They
found that average return for the month of January was higher than other month
simplying pattern in stock returns. Keim (1983) along with seasonality also
studied size effects in stock returns. He found that returns of small firms were
significantly higher than large firms in January month and attributed this finding to
tax-loss-selling and information hypothesis.

A similar conclusion was found by Reinganum (1983), however, he was of the
view that the entireseasonality in stock returns cannot be explained by tax-lossselling hypothesis. Gultekin andGultekin (1983) examined the presence of stock
market seasonality in sixteen industrial countries. Their evidence shows strong
seasonality‘s in the stock market due to January returns, which is exceptionally
large in fifteen of sixteen countries. Brown et al. (1985) studied the Australian
stock market seasonality and found the evidence of December-January and JulyAugust seasonal effects, with the latter due to a June-July tax year. However, Raj
and Thurston(1994) found that the January and April effects are not statistically
significant in the NZ stock market. Mill and Coutts (1995) studied calendar effect
in FTSE 100, Mid 250 and 350 indices for the period 1986 and 1992. They found
calendar effect in FTSE 100. Ramcharan (1997),however, didn‘t find seasonal
effect in stock returns of Jamaica. Choudhary (2001) reported January effect on
the

UK

and

US

returns

but

not

in

German

returns.

Fountas

and

Segredakis(2002) studied 18 markets and reported seasonal patterns in returns.
The reasons for the January effect in stock returns in most of the developed
countries such as US, and UK attributed to the tax loss selling hypothesis,
19

settlement procedures, insider trading information. Another effect is window
dressing which is related to institutional trading. To avoid reporting to many
losers in their portfolios at the end of year, institutional investors tend to sell
losers in Decembers. They buy these stocks after the reporting date in January
to hold their desired portfolio structure again. Researchers have also reported
half- month effect in literature. Various studies have reported that daily stock
returns in first half of month are relatively higher than last half of the month.
Ariel(1987) conducted a study using US market indices from 1963 to 1981 to
show this effect. Aggarwal and Tandon (1994) found in their study such effect in
other international markets. Ziemba (1991) found that returns were consistently
higher on first and last four days of the month.
The holiday effect refers to higher returns around holidays, mainly in the preholiday period as compared to returns of the normal trading days. Lakonishok
and Smidt (1988) studied DowJones Industrial Average and reported that half of
the positive returns occur during the 10 preholiday trading days in each year.
Ariel (1990) showed using US stock market that more than Exponential GARCH
(EGARCH) model was first developed by Nelson in 1991. The main purpose of
EGARCH model is to explain the asymmetrical response of the market under the
positive and negative shocks.

There are also evidences of day of the week effect in stock market returns. The
Monday effect was identified as early as the 1920s. Kelly (1930) based on three
years data of the US market found Monday to be the worse day to buy stocks.
Hirsch (1968) reported negative returns in his study. Cross (1973) found the
mean returns of the S&P 500 for the period 1953 and 1970 on Friday was higher
than mean return on Monday. Gibbons and Hess (1981) also studied the day of
the week effect in US stock returns of S&P 500 and CRSP indices using a
sample from 1962to 1978. Gibbons and Hess reported negative returns on
Monday and higher returns on Friday.

20

Smirlock and Starks (1986) reported similar results. Jaffe and Westerfield (1989)
studied day of the week effect on four international stock markets viz. U.K.,
Japan, Canada and Australia. They found that lowest returns occurred on
Monday in the UK and Canada. However, in Japanese and Australian market,
they found lowest return occurred on Tuesday. Brooks and Persand (2001)
studied the five southeast Asian stock markets namely Taiwan, South Korea, The
Philippines ,Malaysia and Thailand. The sample period was from 1989 to 1996.
They found that neither South Korea nor the Philippines has significant calendar
effects. However, Malaysia and Thailand showed significant positive return on
Monday and significant negative return on Tuesday. Ajayi& al. (2004) examined
eleven major stock market indices on Eastern Europe using data from 1990 to
2002. They found negative return on Monday in six stock markets and positive
return on Monday in rest of them. Pandey (2002) reported the existence of
seasonal effect in monthly stock returns of BSE Sensex in India and confirmed
the January effect. Bodla and Jindal (2006) studied Indian and US market and
found evidence of seasonality. Kumari and Mahendra (2006) studied the day of
the week effect using data from 1979 to 1998 on BSE and
NSE. They reported negative returns on Tuesday in the Indian stock market.
Moreover, they found returns on Monday were higher compared to the returns of
other days in BSE and NSE.Choudhary and Choudhary (2008) studied 20 stock
markets of the world using parametric as well as non-parametric tests. He
reported that out of twenty, eighteen markets showed significant positive return
on various day other than Monday. The scope of the study is restricted to days
of- the week effect, weekend effect and monthly effect in stock returns of S&P
CNX Nifty and select firms. The half month effect and holiday effect are not
studied here.

21

3.2 Background of the study

The study of volatility is always a serious concern for analysts and researchers
because high degree of volatility can affect the smooth functioning of any stock
market. It may also affect the economic growth and development of the economy
through its effect on investor's confidence and risk taking ability. The researchers
worldwide have attempted to identify the major factors affecting the level of
volatility in the stock markets.
 Types of volatility
We can review volatility in three contexts:

Historical volatility

Implied volatility

Projected volatility

Historical volatility
It refers to the movements, which have been observed in a particular stock
price or index over a given period of time. The volatility can be measured by
using the past data on prices (or indices) and expressed by manner of the Beta,
and Coefficient Correlation. For this purpose, daily, monthly data may be taken.
Thus, we may determine volatility for any set of data and compare the
historical data with the prevailing conditions.

22

Implied volatility
Implied volatility is a key variable required for determining premium on
option. While the entire input variable for a model like that of Black and Scholes
can be easily observed, the standard deviation of the instantaneous rate of return
on the stock can‘t be observed. We may estimate its values from historical data,
but there is a second way in which its value can be inferred.
Projected volatility
This refer to the estimate of future volatility on the basis of past volatility,
current market analysis and perception of the investor. All trading in options is in
a large measure, on the basis of projected volatility.

Statistical Tools used for calculation of volatility

 Beta
Beta measures the non diversifiable risk. Beta shows how the price of a
security responds to market forces. In effect, the more responsive the price of a
security is to changes in the market, the higher will be its Beta. Beta is calculated
by relating the returns on a security with the return for the market. It can be
positive or negative.
Beta for each stock calculated using daily opening and closing share price
each company and corresponding daily Bombay Stock Exchange Sensex. First,
rate of returns of companies and Bombay Stock Exchange Sensex are
calculated. The calculation as follows:

Rate of Return =

share price in the closing – share price at the

opening
Share price in the opening

23

Computation of Beta:

β = N  XY   X  Y
N

X

2

  X 

2

 Standard Deviation
This is the most commonly used measure of risk in fiancé. Its
square also is widely used to find out the risk associated with a security.

 Ri  R 
n

Computation of Variance =

2

i 1

n 1

Standard Deviation =

2

 Coefficient of Correlation
Coefficient of Correlation is a statistical technique, which measures the
degree or extent to which two or more variables fluctuate with reference to one
another. Correlation analysis helps in determining the degree of relationship
between two variables but correlation does not always imply cause and effect
relationship
The Coefficient of Correlation is essentially the covariance taken not as an
absolute value but relative to the standard deviations of the individual securities.

24

It indicates, in effect, how much x and y vary together as a proportion of their
combined individual variations, measured by SD of x multiplied by SD of Y
Coefficient of Correlation =

       

        
2

2

2

   



2 1/ 2

3.3 Problem Statement

The Indians securities market has always witnessed fluctuations, The
study attempts identify the volatility of securities listed in Bombay Stock
Exchange with special reference to 15 Sensex stocks from 30 scrips.
Moreover this study helps the potential investors make better investment
decision based on calculated beta of 15 shares from 30 listed in Bombay Stock
Exchange (BSE) Sensex

Need and importance of study
The stock market in India existed for a well over a century. Now its
importance in the mobilization, allocation and efficient use of scarce investment
recourses has not been recognized until the last decade. During the last decade
both secondary and primary markets have witnessed phenomenal qualitative and
quantitative developments. One of the important characteristics of well
functioning stock market is the stability of prices of securities traded on it, which
is price volatility.
Volatility of security price has important implications for firm‘s investment
and financial decisions, valuations and investors sentiments. Price volatility of
securities has consequence for firm‘s decisions on how much capital to issue,
type of instrument to be used when to use. Further high price volatility provides
opportunities for expropriations between various market players.
25

There for the study of volatility of security is very important contextual as
well. Hence analytical study of volatility of securities traded on Bombay Stock
Exchange is the topic of this project.

.

3.4 Objective of the Study

To study the volatility of securities listed in the Bombay Stock Exchange
(BSE).
To analyze the present trend (Buying/Selling) of the company

To suggest better investment decision based on calculated statistical tools
of fifteen companies.
To capture the trends, similarities and patterns in the activities and
movements of the Indian Stock Market.

To suggest investors category like (hedgers and speculators) on the
behalf of beta.

26

CHAPTER 4: Research Methodology
4.1

Research Design

Methodology
 It covers the type of research used in this dissertation, sample size
chosen, sample description, data collection. Each will be described
separately under the following headings.

4.2 Sample size
 For the study 15 companies have been selected. All these companies are
the major players in the economy and are part of Sensex. Only three
months duration has been taken from October to December (2011)

4.3 Sample technique
 The current study requires no sampling techniques. All the fifteen
companies in the Bombay Stock Exchange Sensex which appear from
October to December (2011) which consisting of 60 days observations are
selected

27

4.4 Sample description

 Table 1. LIST OF 30 COMPANIES IN SENSEX

CODE

NAME

SECTOR

500103 Bharat Heavy Electricals Ltd.

Capital Goods

500510 Larsen & Toubro Limited
500010 HDFC

Capital Goods
Finance

500180 HDFC Bank Ltd.

Finance

532174 ICICI Bank Ltd.

Finance

500112 State Bank of India
500696 Hindustan Unilever Ltd.

Finance
FMCG

500875 ITC Ltd.

FMCG

500087 Cipla Ltd.

Healthcare

532868 DLF Ltd.
532532 Jaiprakash Associates Ltd.

Housing Related
Housing Related

500209 Infosys Technologies Ltd.

Information Technology

532540 Tata Consultancy Services Limited

Information Technology

507685 Wipro Ltd.

Information Technology

500440 Hindalco Industries Ltd.

Metal, Metal Products & Mining

532286 Jindal Steel & Power Ltd.

Metal, Metal Products & Mining

500900 Sterlite Industries (India) Ltd.

Metal, Metal Products & Mining

500470 Tata Steel Ltd.
500312 ONGC Ltd.

Metal, Metal Products & Mining
Oil & Gas

500325 Reliance Industries Ltd.

Oil & Gas

532555 NTPC Ltd.

Power

500390 Reliance Infrastructure Ltd.

Power

500400 Tata Power Company Ltd.

Power

532454 Bharti Airtel Ltd.

Telecom

532712 Reliance Communications Limited

Telecom

532977 Bajaj Auto Limited

Transport Equipments

500182 Hero Honda Motors Ltd.

Transport Equipments

500520 Mahindra & Mahindra Ltd.

Transport Equipments

532500 Maruti Suzuki India Ltd.

Transport Equipments

500570 Tata Motors Ltd.

Transport Equipments

28

Actual collection of data
 Basically, the data used in this study are secondary Past three months
daily closing price of stock of all companies listed in BSE has been used
in this study. 60 daily stock prices have been used for each company to
test the applicability of Beta, SD, Variance and Coefficient Correlation,
which are used to measure volatility of shares.
Techniques used for data analysis

Basically whole data analysis has been performed using spreadsheet
in Excel

by using different statistical functions inbuilt in Excel. The

following statistical functions have been employed during the data
analysis.
 Correlation:

Calculates the coefficient of correlation between
Market Return and companies‘ return and
companies‘return.

 Sigma:

Calculates the summation of data.

 Standard Deviation:

 Beta

Calculates the standard deviation that
Measures the risk of an asset from the
Expected value of return.

: The whole market is assigned a beta of 1.
Stocks that have a beta greater than 1 have
greater price volatility than the overall market
And are considered to have greater risk.
Stocks with a beta less than 1 have less price
Volatility than the market as a whole and are
Considered to have less risk.

29

CHAPTER 5
PROFILE OF THE INDUSTRY AND COMPANY

5.1INDUSTRY PROFILE
The BSE Sensex or Bombay Stock Exchange Sensitive Index is a valueweighted index composed of 30 stocks with the base April 1979. It consists of the
30 largest and most actively traded stocks, representative of various sectors, on
the Bombay Stock Exchange. These companies account for around one-fifth of
the market capitalization of the BSE.
The base value of the Sensex is 100 on April 1, 1979 and the base year of BSESENSEX is 1978-79. At irregular intervals, the Bombay Stock Exchange
authorities review and modify its composition to make sure it reflects current
market conditions.
The abbreviated form "Sensex" was coined by Deepak Mohoni around 1990
while writing market analysis columns for some of the business newspapers and
magazines. It gained popularity over the next year or two.
The software industry comprises of businesses involved in the development,
maintenance and publication of computer software. The software industry started
in the mid-1970s at the time of the personal computer revolution. The industry
also includes software services, such as training and consultancy. The largest
and most profitable of software companies are located in the United States. As of
2006, the software industry is dominated by Microsoft. Software Magazine's 500
list in 2005 shows the total amount of revenue brought in by software companies
per locale, with the highest being California due to Silicon Valley and the amount
of Fortune 500 software companies residing in that area.
There are mainly two types of businesses in the software industry; those
developing proprietary software such as Microsoft, and those developing open

30

source software. Developing proprietary software is costly and involves software
licensing and the need to protect the software from cracking and piracy.
A pharmaceutical company, or drug company, is a commercial business licensed
to research, develop, market and/or distribute drugs, most commonly in the
context of healthcare. They can deal in generic and/or brand medications. They
are subject to a variety of laws and regulations regarding the patenting, Testing
and marketing of drugs, particularly prescription drugs. From its beginnings at the
start of the 19th Century, the pharmaceutical industry is now one of the most
successful and influential, attracting both praise and controversy
The oil industry operates on the petroleum market. Petroleum is vital to nearly all
other industries, if not industrialized civilization itself, and thus is critical concern
to many nations. Oil accounts for a large percentage of the world‘s energy
consumption, ranging from a low of 32% for Europe and Asia, up to a high of
53% for the Middle East. Other geographic regions‘ consumption patterns are as
follows: South and Central America (44%), Africa (41%), and North America
(40%). The world at large consumes 30 billion barrels (4.8 km) of oil per year,
and the top oil consumers largely consist of developed nations. In fact, 24% of
the oil consumed in 2004 went to the United States alone.
A public utility is a company that maintains the infrastructure for a public service
(often also providing a service using that infrastructure). Public utilities often
involve natural monopolies, and as a result are often government monopolies, or
if privately owned, treated as specially regulated sectors.
The manufacturing industry includes those economic sectors that create a
finished, usable product: manufacturing and construction. This sector of industry
generally takes the output of the primary sector and manufactures finished goods
or products to a point where they are suitable for use by other businesses, for
export, or sale to domestic consumers. This sector is often divided into light
industry and heavy industry. Many of these industries consume large quantities
of energy and require factories and machinery to convert the raw materials into

31

goods and products. They also produce waste materials and waste heat that may
pose environmental problems or cause pollution.

5.2 COMPANY PROFILES

The Associated Cement Companies Limited, an Indian company in
cement manufacturing business. Its registered office is called Cement House. It
is located on Maharishi Karve Road, Mumbai. It is a blue chip company. The
stock price of this company contributes in calculating BSE Sensex
The management control of the company was taken over by Swiss
cement major Holcim in 2004. On 1st September 2006 the name of The
Associated Cement Companies Limited was changed to ACC Limited. The
company is the only cement company to get the Super brand status in India
Bharti Airtel, formerly known as Bharti Tele-Ventures Limited (BTVL) is
among India's largest mobile phone and Fixed Network operators. With more
than 28.6 million subscriptions as of September 2006, the company is one of the
world's fastest growing telecom companies. It offers its mobile services under the
Airtel brand and is headed by Sunil Mittal, India's sixth richest men with a total
worth of US$6.9 billion. The company is the only operator to provide mobile
services in all the 23 circles in India. The company also provides telephone
services and Internet access over DSL in 14 circles. The company complements
its mobile, broadband & telephone services with national and international long
distance services.
BHEL or Bharat Heavy Electricals Limited is a Gas and Steam turbine
manufacturer in India. It is one of the nine large Public Sector Undertakings
known as navratnas or 'nine jewels'. Some of its manufacturing units are located
in Bhopal (Madhya Pradesh), Haridwar (UttarKhand), Hyderabad (Andhra
Pradesh), Trichi andRanipet (Tamil Nadu) and Bangalore (Karnataka). BHEL is a
32

key player in power sector through erection, commissioning and servicing of
power plants all over the world
Grasim industries limited, a flagship company of the Aditya Birla Group,
ranks among India's largest private sector companies, with consolidated net
revenues of Rs 102 billion (FY2006). Starting as a textiles manufacturer in 1948,
today Grasim's businesses comprise Viscose Staple Fibre (VSF), Cement,
Sponge Iron, Chemicals and Textiles — in all of which the company holds a
dominant position.
In July 2004, Grasim acquired a majority stake and management control in
UltraTech Cement Limited, the de-merged cement business of Larsen & Toubro
Limited (L&T). One of the largest of its kind, in the cement sector, this acquisition
catapulted the Aditya Birla Group at the top of the league in India. The Group's
combined capacity stands raised to 31 million tpa, of which 17.0 million tpa
capacity comes from UltraTech and 1.1 million tpa from Shree Digvijay Cement
Co. Ltd, another subsidiary of Grasim.
Ambuja Cements was set up in 1986. In the last decade the company
has grown tenfold. The total cement capacity of the company is 16 million
tonnes. Its plants are some of the most efficient in the world. With environment
protection measures that are on par with the finest in the developed world. The
company's most distinctive attribute, however, is its approach to the business.
Ambuja follows a unique homegrown philosophy of giving people the authority to
set their own targets, and the freedom to achieve their goals. This simple vision
has created an environment where there are no limits to excellence, no limits to
efficiency. And has proved to be a powerful engine of growth for the company. As
a result, Ambuja is the most profitable cement company in India, and the lowest
cost producer of cement in the world

HDFC or Housing Development Finance Corporation Limited, was
incorporated in 1977 with the primary objective of meeting a social need – that of
promoting home ownership by providing long-term finance to households for their
33

housing needs. HDFC was promoted with an initial share capital of Rs. 100
million.
Hindalco industries, Hindalco Industries Limited, a flagship company of
the Aditya Birla Group, is structured into two strategic businesses — Aluminium
and Copper — and is an industry leader in both. A non-ferrous metals
powerhouse with a turnover of Rs.11,396 crore (FY06), Hindalco's integrated
operations and operating efficiency have positioned the company as Asia's
largest integrated primary producer of aluminium and among the most cost
efficient producers globally. Its copper smelter is today the world's largest custom
smelter at a single location.
Established in 1958, Hindalco commissioned its aluminium facility at
Renukoot in eastern U.P. in 1962 and has today grown to become the country's
largest integrated aluminium producer and ranks among the top quartile of low
cost producers in the world.
With a strategic intent to achieve vertical integration in the copper
business, Hindalco acquired two captive copper mines in Australia — Nifty and
Mt. Gordon through Aditya Birla Minerals Limited
Hindustan Unilever Limited, erstwhile Hindustan Lever Limited (also called
HLL), headquartered in Mumbai, is India's largest consumer products company,
formed in 1933 as Lever Brothers India Limited. Its 41,000 employees are
headed by Mr.Harish
Manwani, the non-executive chairman of the board. HLL is the market
leader in Indian products such as tea, soaps, detergents, as its products have
become daily household name in India. The Anglo-Dutch company Unilever
owns a majority stake in Hindustan Lever Limited.
Recently in February 2007, the company has been renamed to "Hindustan
Unilever Limited" to provide the optimum balance between maintaining the
heritage of the Company and the future benefits and synergies of global

34

alignment with the corporate name of "Unilever". This decision will be put to the
Shareholdrs for approval in next "Annual General Meeting
Larsen & Toubro Limited is India's largest engineering and construction
conglomerate, with diverse interests such as Construction,hydraulic equipments,
power services electrical and electronics, fertilizer projects,medical electronics
and information technology. It generates almost 85% of its revenue from the
construction business. Founded in 1938, the company is currently headquartered
in Mumbai, India. A strong, customer-focussed approach and the constant quest
for top-class quality have enabled the Company to attain and sustain leadership
position for over six decades
L&T has made spectacular achievements in Indian industry. Many of the
engineering projects executed by L&T have set new benchmarks in terms of
scale, sophistication and speed. So do many buildings, highways, bridges and
civil structures around the country which are widely regarded as landmarks
Maruti Udyog Ltd is one of India's leading automobile manufacturers and
the market leader in the car segment, both in terms of volume of vehicles sold
and revenue earned. Untill recently, 18.28% of the company was owned by the
government, and 54.2% by Suzuki of Japan. The Indian government held an
Initial Public Offering of 25% of the company in June of 2003. As of May 10,
2007, govt. of India sold its complete share to other financial institutions. With
this, govt. of India no longer has any stake in Maruti Udyog.
Maruti Udyog Limited (MUL) was established in February 1981, though
the actual production commenced in 1983. Through 2004, Maruti has produced
over 5 Million vehicles. Marutis are sold in India and various several other
countries, depending upon export orders. Cars similar to Marutis (but not
manufactured by Maruti Udyog) are sold by Suzuki in Pakistan and other South
Asian countries.
The company annually exports more than 30,000 cars and has an extremely
large domestic market in India selling over five hundred thousand cars annually.

35

Maruti 800, till 2004, was the India's largest selling compact car ever since it was
launched in 1983.
More than a million units of this car have been sold worldwide so far.
Currently, Maruti Alto tops the sales charts.
National Thermal Power Corporation is the largest power generation
company in India. The Forbes Global 2000 ranking for 2005 ranks it as the 5th
leading company in India and the 486th leading company in the world. It is a
public listed (Bombay Stock Exchange) Indian public sector company, with
majority shares owned by the Government of India. At present, Government of
India holds 89.5% of the total equity shares of the company and the balance
10.5% is held by FIIs, Domestic Banks, Public and others. NTPC ranks amongst
the top five companies, in terms of market capitalisation
NTPC's core business is engineering, construction and operation of power
generating plants and also providing consultancy to power utilities in India and
abroad. As on date the installed capacity of NTPC is 26, 404 MW through its 14
coal based, 7 gas based and 4 Joint Venture Projects.
NTPC‘s share on 31 Mar 2006 in the total installed capacity of the country
was 19.51% and it contributed 27.68% of the total power generation of the
country during 2005-06. Thus, every fourth home in India is enlightened by
NTPC. A total of 170.88 BUs of electricity was produced across all the stations of
the company in the financial year 2005-2006. The Net Profit after Tax on March
31, 2006 was INR 58, 202 million. Net Profit after Tax for the quarter ended June
30, 2006 was INR 15528 million, which is 18.65% more than the same quarter in
the previous financial year (2004-2005) where the profit was INR 13087 million
Oil and Natural Gas Corporation Limited (ONGC) (incorporated on
June 23, 1993) is a public sector petroleum company based in Dehradun, India.
It is a Fortune Global 500 company, and contributes 77% of India's crude oil
production and 81 % of India's natural gas production. It is the highest profit
making corporation in India. It was set up as a commission on August 14, 1956.
Indian government holds 74.14% equity stake in this company.
36

ONGC is engaged in exploration and production activities. It is involved in
exploring and exploiting hydrocarbons in 26 sedimentary basins of India. It
produces about 30% of India's crude oil. It owns and operates more than 11,000
kilometers of pipelines in India. Until recently it was the largest company in terms
of market cap in india.
Ranbaxy Laboratories Limited is an Indian company incorporated in
1961. It is India's largest pharmaceutical company. It exports its products to 125
countries with ground operations in 46 and manufacturing facilities in seven
countries. It is ranked among the top 10 generic companies worldwide. The CEO
of the company is Malvinder Mohan Singh.Ranbaxy went public in 1973
Reliance Industries is India's largest private sector company with a
turnover of US $19.976 billion and profit of US $2.033 billion for the fiscal year
ending in March 2006 making it India's first and only private sector Fortune 500
company. It was founded by the late Dhirubhai Ambani in the 1970s. After severe
differences between the two sons of the founder Dhirubhai Ambani, the group
was divided between the two sons Mukesh and Anil Ambani in 2006
State Bank of India (SBI) is the largest bank in India. If one measures by
the number of branch offices and employees, SBI is the largest bank in the world.
Established in 1806 as Bank of Bengal, it is the oldest commercial bank in the
Indian Subcontinent. SBI provides various domestic, international and NRI
products and services, through its vast network in India and overseas. With an
asset base of $126 billion and its reach, it is a regional banking behemoth. The
government nationalized the bank in 1955, with the Reserve Bank of India taking
a 60% ownership stake. In recent years the bank has focused on two priorities,
reducing its huge staff through Golden handshake schemes known as the
Voluntary Retirement Scheme, which saw many of its best and brightest defect to
the private sector, and, computerizing its operations
The State Bank of India traces its roots to the first decade of 19th century,
when the Bank of Calcutta, later renamed the Bank of Bengal, was established
on 2 June 1806. The government amalgamatted Bank of Bengal and two other
37

Presidency banks, namely, the Bank of Bombay (incorporated on 15 April 1840)
and the Bank of Madras on 27 January 1921, and named the the reorganized
banking entity the Imperial Bank of India
The State Bank of India Act 1955, enacted by the Parliament of India,
authorized the Reserve Bank of India, which is the central banking organization
of India, to acquire a controlling interest in the Imperial Bank of India, which was
renamed the State Bank of India on 30 April 1955
Tata Consultancy Services Limited (TCS Limited) is an Indian
information technology, consulting, services and business-process outsourcing
organization which commenced operations in 1968. As of 2007, it is Asia's
largest IT services firm with annualised revenues of over US $4 billion and has
the largest number of employees among all the Indian IT companies with
strength of over 95,000.For fiscal year 2005-06, it posted a net profit of Rs. 3,709
crore
TCS is part of one of Asia's largest conglomerates and most respected
groups, the Tata Group, which has interests in areas such as energy,
telecommunications, financial services, chemicals, engineering and materials

38

CHAPTER -6
DATA ANALYSIS AND INTERPRETATION

Table No. 1. 1
Volatility of BHEL (Capital Goods) return

Date

STOCK
PRICE
close

SENSEX
PRICE
close

03-Oct-11

321.25

16151.45

04-Oct-11
05-Oct-11
07-Oct-11
10-Oct-11
11-Oct-11
12-Oct-11
13-Oct-11
14-Oct-11
17-Oct-11
18-Oct-11
19-Oct-11
20-Oct-11
21-Oct-11
24-Oct-11
25-Oct-11
26-Oct-11
28-Oct-11
31-Oct-11
01-Nov-11
02-Nov-11
03-Nov-11
04-Nov-11

322.7
315.1
323.9
331.75
326.5
336.75
333.85
333.35
326.3
321.75
324.3
317.9
319.75
318.35
314.95
316.6
327.2
317.85
319.55
316.05
329.25
333.65

15864.86
15792.41
16232.54
16557.23
16536.47
16958.39
16883.92
17082.69
17025.09
16748.29
17085.34
16936.89
16785.64
16939.28
17254.86
17288.83
17804.8
17705.01
17480.83
17464.85
17481.93
17562.61

Stock
Return
Y (m)
0.9805
0.5578
-2.8245
0.3705
1.7332
-2.9096
2.8656
-1.5426
-0.1950
-3.8308
-0.8547
-0.4934
-1.2583
0.5473
-2.0575
-1.6034
-0.9002
1.8185
-3.5079
0.7980
-0.3006
3.7206
0.1948

Sensex
Return
X
-0.6471
-1.3672
-1.1101
0.0619
1.7343
-0.7963
1.7570
-0.9718
1.4392
-0.8867
-0.4125
1.1822
0.1478
-1.1328
-0.4237
1.4029
-0.2748
0.7467
-0.5716
-0.3416
0.6708
0.2931
-0.6382

39

X^2
0.4188
1.8693
1.2323
0.0038
3.0080
0.6341
3.0871
0.9444
2.0714
0.7862
0.1702
1.3976
0.0219
1.2833
0.1796
1.9682
0.0755
0.5575
0.3267
0.1167
0.4499
0.0859
0.4073

Y^2

X*Y

0.9615

-0.6345

0.3111

-0.7626

7.9778

3.1355

0.1373

0.0229

3.0041

3.0060

8.4661

2.3170

8.2118

5.0349

2.3796

1.4991

0.0380

-0.2806

14.6753

3.3968

0.7305

0.3526

0.2434

-0.5833

1.5832

-0.1860

0.2995

-0.6200

4.2332

0.8719

2.5710

-2.2495

0.8103

0.2474

3.3068

1.3578

12.3057

2.0051

0.6368

-0.2726

0.0904

-0.2016

13.8427

1.0905

0.0380

-0.1243

08-Nov-11
09-Nov-11
11-Nov-11
14-Nov-11
15-Nov-11
16-Nov-11
17-Nov-11
18-Nov-11
21-Nov-11
22-Nov-11
23-Nov-11
24-Nov-11
25-Nov-11
28-Nov-11
29-Nov-11
30-Nov-11
01-Dec
02-Dec
05-Dec
07-Dec
08-Dec
09-Dec
12-Dec
13-Dec
14-Dec
15-Dec
16-Dec
19-Dec
20-Dec
21-Dec
22-Dec
23-Dec
26-Dec
27-Dec
28-Dec
29-Dec
30-Dec-11

334.85
328.9
324.1
317.4
310.55
297.65
284.65
275.95
262.05
265.2
255.7
260.85
269.85
280.75
282.45
282.2
275.25
282.45
288
288.8
273.55
264.1
257.55
261.4
256.5
250.15
240.45
228.75
234.05
237.65
241.95
243.6
240.8
246.25
237.4
239
275.25

17569.53
17362.1
17192.82
17118.74
16882.67
16775.87
16461.71
16371.51
15946.1
16065.42
15699.97
15858.49
15695.43
16167.13
16008.34
16123.46
16483.45
16846.83
16805.33
16877.06
16488.24
16213.46
15870.35
16002.51
15881.14
15836.47
15491.35
15175.08
15685.21
15813.36
15738.7
15970.75
15873.95
15727.85
15543.93
15454.92
16483.45

-0.4629
-2.4628
-1.1725
-3.1821
-3.2684
-3.6452
-4.2333
-3.6420
-5.3043
-0.5656
-2.9918
1.6676
2.9090
1.3357
0.1593
0.2481
-5.3588
2.6376
1.9097
-0.4848
-5.4652
-1.8554
-4.4457
2.4484
-0.6628
-1.0594
-5.2194
-5.5519
-0.2777
-0.1473
3.9884
2.0936
-1.2458
0.5076
-0.5055
-1.8619
12.8065

-0.1374
-1.6120
0.0287
-1.3423
-1.1784
-0.5748
-1.7797
-0.0989
-2.2007
0.4340
-1.7174
0.8997
-0.5468
1.7092
-1.2620
1.5784
-0.4397
2.0945
-0.0415
0.2786
-2.0105
-0.2774
-3.0536
1.3991
-0.5202
0.6152
-2.4364
-0.3951
-1.7202
1.2589
1.6865
-0.7925
1.1808
-0.6931
-0.8044
-0.7399
-0.8323

40

0.0189
2.5986
0.0008
1.8017
1.3887
0.3304
3.1674
0.0098
4.8432
0.1884
2.9494
0.8095
0.2990
2.9214
1.5927
2.4915
0.1933
4.3868
0.0017
0.0776
4.0422
0.0770
9.3242
1.9575
0.2706
0.3784
5.9360
0.1561
2.9590
1.5848
2.8444
0.6281
1.3942
0.4805
0.6470
0.5475
0.6927

0.2143

0.0636

6.0652

3.9700

1.3747

-0.0336

10.1258

4.2712

10.6824

3.8516

13.2876

2.0953

17.9206

7.5340

13.2639

0.3602

28.1359

11.6734

0.3199

-0.2455

8.9508

5.1381

2.7810

1.5004

8.4624

-1.5906

1.7841

2.2830

0.0254

-0.2011

0.0615

0.3915

28.7164

2.3563

6.9571

5.5244

3.6470

-0.0792

0.2350

-0.1351

29.8682

10.9879

3.4424

0.5147

19.7646

13.5753

5.9944

3.4255

0.4393

0.3448

1.1223

-0.6517

27.2419

12.7165

30.8237

2.1934

0.0771

0.4777

0.0217

-0.1854

15.9076

6.7267

4.3831

-1.6592

1.5521

-1.4711

0.2577

-0.3519

0.2555

0.4066

3.4668

1.3776

164.0075

-10.6588

SUM

41.0524

BETA

S.D

1.164

2.800007706

14.1822

85.0865

VARIA
NCE

CORREL
ATION

7.8400

0.4573

558.4909

104.9189

Interpretation of BHEL
Beta of BHEL company is 1.164 which means the BHEL company share price
fluctuate more than BSE Sensex because if BHEL beta is greater than 1 than it
represent the BHEL share price is more fluctuate compare to market return, if
BHEL beta is less than its represent that BHEL share price less

fluctuate

compare to market return, if BHEL beta is equal to 1 than its shows that both
are fluctuate in same sense.
The value of correlation could be positive, negative or zero. It always varies
between the -1.0 (negative correlation) and +1.0 (positively correlation).so this is
Positive correlation so that It means that when market return increases, the
company‘s return also increases.

41

Table No. 1. 2
Volatility of ACC LTD. | (Housing related)

Date

STOCK
PRICE
close

SENSEX
PRICE
close

3-Oct-11

1100.25

16151.45

4-Oct-11
5-Oct-11
7-Oct-11
10-Oct-11
11-Oct-11
12-Oct-11
13-Oct-11
14-Oct-11
17-Oct-11
18-Oct-11
19-Oct-11
20-Oct-11
21-Oct-11
24-Oct-11
25-Oct-11
26-Oct-11
28-Oct-11
31-Oct-11
1-Nov-11
2-Nov-11
3-Nov-11
4-Nov-11
8-Nov-11
9-Nov-11
11-Nov-11
14-Nov-11
15-Nov-11
16-Nov-11
17-Nov-11
18-Nov-11

1100.25
1106.75
1111.75
1131.85
1133.25
1140.00
1121.10
1119.05
1109.55
1105.10
1126.40
1114.55
1117.80
1134.35
1181.15
1190.70
1221.20
1195.25
1183.95
1185.65
1210.25
1223.40
1218.45
1203.05
1218.45
1213.80
1205.80
1194.45
1156.60
1152.20

15864.86
15792.41
16232.54
16557.23
16536.47
16958.39
16883.92
17082.69
17025.09
16748.29
17085.34
16936.89
16785.64
16939.28
17254.86
17288.83
17804.80
17705.01
17480.83
17464.85
17481.93
17562.61
17569.53
17362.10
17192.82
17118.74
16882.67
16775.87
16461.71
16371.51

Stock
Return
Y (m)
0.9316
0.1136
0.5647
-0.2249
1.5771
0.1103
0.7895
-2.1185
0.3664
-0.2433
0.4615
1.4560
-0.7492
-0.5278
0.4099
4.5845
1.2220
1.7155
-1.2466
-1.3556
0.4765
2.0863
0.6825
0.5171
-1.7414
1.5388
-1.2317
0.2986
-0.7744
-2.0448
0.1996

Sensex
Return
X

X^2

Y^2

X*Y

-0.6471

0.4187

0.8678

-0.6028

-1.3672

1.8693

0.0129

-0.1553

-1.1101

1.2323

0.3189

-0.6269

0.0619

0.0038

0.0506

-0.0139

1.7343

3.0080

2.4871

2.7352

-0.7963

0.6341

0.0122

-0.0878

1.7570

3.0871

0.6233

1.3871

-0.9718

0.9444

4.4879

2.0587

1.4392

2.0714

0.1342

0.5273

-0.8867

0.7862

0.0592

0.2158

-0.4125

0.1702

0.2130

-0.1904

1.1822

1.3976

2.1198

1.7212

0.1478

0.0219

0.5613

-0.1108

-1.1328

1.2833

0.2786

0.5979

-0.4237

0.1796

0.1680

-0.1737

1.4029

1.9682

21.0178

6.4317

-0.2748

0.0755

1.4932

-0.3358

0.7467

0.5575

2.9430

1.2809

-0.5716

0.3267

1.5540

0.7125

-0.3416

0.1167

1.8377

0.4631

0.6708

0.4499

0.2271

0.3196

0.2931

0.0859

4.3528

0.6115

-0.6382

0.4073

0.4658

-0.4356

-0.1374

0.0189

0.2673

-0.0710

-1.6120

2.5986

3.0325

2.8072

0.0287

0.0008

2.3680

0.0441

-1.3423

1.8017

1.5170

1.6532

-1.1784

1.3887

0.0891

-0.3518

-0.5748

0.3304

0.5997

0.4451

-1.7797

3.1674

4.1812

3.6391

-0.0989

0.0098

0.0398

-0.0197

42

21-Nov-11
22-Nov-11
23-Nov-11
24-Nov-11
25-Nov-11
28-Nov-11
29-Nov-11
30-Nov-11
1-Dec-12
2-Dec-12
5-Dec-12
7-Dec-12
8-Dec-12
9-Dec-12
12-Dec-12
13-Dec-12
14-Dec-12
15-Dec-12
16-Dec-12
19-Dec-12
20-Dec-12
21-Dec-12
22-Dec-12
23-Dec-12
26-Dec-12
27-Dec-12
28-Dec-12
29-Dec-12
30-Dec-11

1133.10
1142.30
1131.80
1115.00
1119.40
1192.45
1159.95
1145.05
1170.75
1213.55
1205.75
1217.70
1201.65
1164.70
1122.70
1136.45
1141.90
1141.20
1127.70
1129.85
1098.60
1138.80
1138.55
1139.55
1159.85
1173.95
1166.85
1150.25
1136.35

15946.10
16065.42
15699.97
15858.49
15695.43
16167.13
16008.34
16123.46
16483.45
16846.83
16805.33
16877.06
16488.24
16213.46
15870.35
16002.51
15881.14
15836.47
15491.35
15175.08
15685.21
15813.36
15738.70
15970.75
15873.95
15727.85
15543.93
15454.92
16483.45

0.0838
0.2276
-0.2827
-0.2735
0.6745
5.0694
-2.8881
0.0917
0.9268
3.5268
-0.0207
1.7820
-1.2732
-1.3179
-4.2131
2.2262
0.5167
1.4196
-0.5720
0.2478
-3.2041
1.7475
0.4875
0.1229
1.9701
1.2735
-0.2914
-0.8476
-2.8556

12.1981

SUM

-2.2007

4.8432

0.0070

-0.1845

0.4340

0.1884

0.0518

0.0988

-1.7174

2.9494

0.0799

0.4856

0.8997

0.8095

0.0748

-0.2461

-0.5468

0.2990

0.4549

-0.3688

1.7092

2.9214

25.6988

8.6647

-1.2620

1.5927

8.3409

3.6448

1.5784

2.4915

0.0084

0.1447

-0.4397

0.1933

0.8589

-0.4075

2.0945

4.3868

12.4386

7.3868

-0.0415

0.0017

0.0004

0.0009

0.2786

0.0776

3.1757

0.4965

-2.0105

4.0422

1.6212

2.5599

-0.2774

0.0770

1.7370

0.3656

-3.0536

9.3242

17.7499

12.8648

1.3991

1.9575

4.9561

3.1147

-0.5202

0.2706

0.2670

-0.2688

0.6152

0.3784

2.0151

0.8733

-2.4364

5.9360

0.3271

1.3935

-0.3951

0.1561

0.0614

-0.0979

-1.7202

2.9590

10.2661

5.5116

1.2589

1.5848

3.0536

2.1999

1.6865

2.8444

0.2376

0.8221

-0.7925

0.6281

0.0151

-0.0974

1.1808

1.3942

3.8812

2.3262

-0.6931

0.4805

1.6217

-0.8827

-0.8044

0.6470

0.0849

0.2344

-0.7399

0.5475

0.7185

0.6272

-0.8323

0.6927

8.1546

2.3767

-14.1822

85.0865

166.3395

78.1148

BETA

S.D

VARIANCE

0.9910

1.3239

1.7527

43

CORRELATION
0.6999

Interpretation of ACC LTD
Beta of ACC LTD. Company is 0.990992 which means the ACC LTD company
beta less than 1 means it tends to be less volatile than the market BSE Sensex.
So it is a less risky for investment.standard deviation of ACC Ltd. Is 1.323887846
So and variance is 1.7526 so this is Positive correlation so that It means that
when market return increases, the company‘s return also increases.

Table No. 1. 3
Volatility of Bharti Airtel (Telecom) return

SENSEX
PRICE

Stock
Return

Sensex
Return

Date

STOC
K
PRICE
close

close

Y (m)

X

X^2

Y^2

X*Y

03-Oct-11

380.55

16151.45

1.5110

-0.6471

0.4188

2.2830

-0.9778

04-Oct-11

370

15864.86

-2.4324

-1.3672

1.8693

5.9167

3.3257

05-Oct-11

367.05

15792.41

-2.1387

-1.1101

1.2323

4.5739

2.3741

07-Oct-11

354.8

16232.54

-5.1437

0.0619

0.0038

26.4581

-0.3185

10-Oct-11

363.25

16557.23

3.0145

1.7343

3.0080

9.0869

5.2281

11-Oct-11

374.8

16536.47

2.2145

-0.7963

0.6341

4.9041

-1.7634

12-Oct-11

374.05

16958.39

-0.7619

1.7570

3.0871

0.5805

-1.3387

13-Oct-11

369.85

16883.92

-1.9197

-0.9718

0.9444

3.6852

1.8656

14-Oct-11

383.75

17082.69

3.8567

1.4392

2.0714

14.8740

5.5507

17-Oct-11

379.05

17025.09

-0.7123

-0.8867

0.7862

0.5074

0.6316

18-Oct-11

374.05

16748.29

-0.7352

-0.4125

0.1702

0.5405

0.3033

19-Oct-11

384.95

17085.34

2.8315

1.1822

1.3976

8.0176

3.3474

20-Oct-11

389.9

16936.89

2.3852

0.1478

0.0219

5.6893

0.3526

21-Oct-11

377.9

16785.64

-3.3342

-1.1328

1.2833

11.1170

3.7770

24-Oct-11

383.05

16939.28

-0.0653

-0.4237

0.1796

0.0043

0.0277

25-Oct-11

388.3

17254.86

1.1074

1.4029

1.9682

1.2263

1.5536

44

26-Oct-11

392.85

17288.83

1.1200

-0.2748

0.0755

1.2544

-0.3078

28-Oct-11

391.85

17804.8

-1.3781

0.7467

0.5575

1.8991

-1.0290

31-Oct-11

391.4

17705.01

-0.4216

-0.5716

0.3267

0.1777

0.2410

01-Nov-11

394.7

17480.83

1.2161

-0.3416

0.1167

1.4789

-0.4155

02-Nov-11

384.3

17464.85

-1.5222

0.6708

0.4499

2.3172

-1.0211

03-Nov-11

392.55

17481.93

2.1781

0.2931

0.0859

4.7440

0.6384

04-Nov-11

397.95

17562.61

2.2490

-0.6382

0.4073

5.0581

-1.4354

08-Nov-11

397.25

17569.53

0.0755

-0.1374

0.0189

0.0057

-0.0104

09-Nov-11

395.2

17362.1

-0.4428

-1.6120

2.5986

0.1961

0.7138

11-Nov-11

395.5

17192.82

1.1504

0.0287

0.0008

1.3235

0.0330

14-Nov-11

405.3

17118.74

1.8011

-1.3423

1.8017

3.2441

-2.4176

15-Nov-11

401.45

16882.67

-0.8718

-1.1784

1.3887

0.7601

1.0274

16-Nov-11

401.1

16775.87

-0.9723

-0.5748

0.3304

0.9454

0.5589

17-Nov-11

395.7

16461.71

-1.3394

-1.7797

3.1674

1.7940

2.3837

18-Nov-11

397.65

16371.51

1.4208

-0.0989

0.0098

2.0188

-0.1405

21-Nov-11

388.5

15946.1

1.1583

-2.2007

4.8432

1.3417

-2.5491

22-Nov-11

378.85

16065.42

-1.6233

0.4340

0.1884

2.6352

-0.7046

23-Nov-11

364.85

15699.97

-2.6449

-1.7174

2.9494

6.9956

4.5424

24-Nov-11

378.15

15858.49

3.4378

0.8997

0.8095

11.8184

3.0930

25-Nov-11

374.9

15695.43

-0.1600

-0.5468

0.2990

0.0256

0.0875

28-Nov-11

388.2

16167.13

2.7177

1.7092

2.9214

7.3857

4.6451

29-Nov-11

373.45

16008.34

-4.4450

-1.2620

1.5927

19.7584

5.6098

30-Nov-11

385.3

16123.46

2.6084

1.5784

2.4915

6.8035

4.1171

01-Dec-11

378.95

16483.45

-2.9028

-0.4397

0.1933

8.4260

1.2764

02-Dec-11

390.15

16846.83

2.4734

2.0945

4.3868

6.1177

5.1805

05-Dec-11

390.3

16805.33

-0.2818

-0.0415

0.0017

0.0794

0.0117

07-Dec-11

377.3

16877.06

-3.3660

0.2786

0.0776

11.3301

-0.9378

08-Dec-11

367.1

16488.24

-2.4244

-2.0105

4.0422

5.8778

4.8743

09-Dec-11

358.7

16213.46

-1.7563

-0.2774

0.0770

3.0847

0.4873

12-Dec-11

342.2

15870.35

-4.9094

-3.0536

9.3242

24.1023

14.9912

13-Dec-11

346.4

16002.51

1.7032

1.3991

1.9575

2.9010

2.3830

14-Dec-11

348.85

15881.14

0.5590

-0.5202

0.2706

0.3125

-0.2908

15-Dec-11

337

15836.47

-0.5935

0.6152

0.3784

0.3522

-0.3651

16-Dec-11

336.3

15491.35

-0.2825

-2.4364

5.9360

0.0798

0.6882

19-Dec-11

336.4

15175.08

0.7134

-0.3951

0.1561

0.5090

-0.2819

20-Dec-11

322.85

15685.21

-5.3121

-1.7202

2.9590

28.2180

9.1378

21-Dec-11

341.5

15813.36

2.7818

1.2589

1.5848

7.7387

3.5020

22-Dec-11

335.45

15738.7

-1.0583

1.6865

2.8444

1.1200

-1.7848

45

23-Dec-11

330.45

15970.75

-1.3920

-0.7925

0.6281

1.9378

1.1032

26-Dec-11

344.7

15873.95

3.1187

1.1808

1.3942

9.7260

3.6825

27-Dec-11

343.05

15727.85

-1.1514

-0.6931

0.4805

1.3258

0.7981

28-Dec-11

343.5

15543.93

-0.3785

-0.8044

0.6470

0.1432

0.3044

29-Dec-11

341.1

15454.92

-0.0586

-0.7399

0.5475

0.0034

0.0434

30-Dec-11

342.9

16483.45

0.5249

-0.8323

0.6927

0.2756

-0.4369

SUM

-9.0042

14.1822

85.0865

297.1072

85.9658

BETA

S.D

1.025732

1.982237773

VARIA
NCE
3.9293

CORREL
ATION
0.5392

Interpretation of BHARTI AIRTEL
Beta of Bharti Airtel is 1.025732 which means the ACC LTD company beta
greater than 1 means it tends to be more volatile than the market BSE Sensex.
So it is a less risky for investment.standard deviation of ACC Ltd. Is 1.982237773
So and correlation is 3.929266588 so this is Positive correlation so that It means
that when market return increases, the company‘s return also increases.

46

Table No. 1. 4
Volatility of Grasim Industries ( Diversified) return

Date

STOCK
PRICE
close

SENSEX
PRICE
close

Stock
Return
Y (m)

Sensex
Return
X

X^2

Y^2

X*Y

03-Oct-11

2290.25

16151.45

-1.6483

-0.6471

0.4188

2.7169

1.0667

04-Oct-11

2292.2

15864.86

1.3175

-1.3672

1.8693

1.7358

-1.8014

05-Oct-11

2322.55

15792.41

0.9709

-1.1101

1.2323

0.9427

-1.0778

07-Oct-11

2336.45

16232.54

0.2054

0.0619

0.0038

0.0422

0.0127

10-Oct-11

2326.05

16557.23

1.0103

1.7343

3.0080

1.0207

1.7522

11-Oct-11

2330.95

16536.47

-0.1609

-0.7963

0.6341

0.0259

0.1281

12-Oct-11

2394.15

16958.39

2.6794

1.7570

3.0871

7.1794

4.7078

13-Oct-11

2326.05

16883.92

-2.9213

-0.9718

0.9444

8.5338

2.8389

14-Oct-11

2380.35

17082.69

2.3253

1.4392

2.0714

5.4070

3.3466

17-Oct-11

2334.15

17025.09

-1.5359

-0.8867

0.7862

2.3590

1.3619

18-Oct-11

2334.3

16748.29

0.0129

-0.4125

0.1702

0.0002

-0.0053

19-Oct-11

2353.35

17085.34

0.7372

1.1822

1.3976

0.5435

0.8716

20-Oct-11

2315.25

16936.89

-0.3347

0.1478

0.0219

0.1120

-0.0495

21-Oct-11

2291.15

16785.64

-1.3028

-1.1328

1.2833

1.6974

1.4759

24-Oct-11

2362.3

16939.28

2.0002

-0.4237

0.1796

4.0007

-0.8476

25-Oct-11

2458.35

17254.86

3.5939

1.4029

1.9682

12.9159

5.0419

26-Oct-11

2492.45

17288.83

1.5025

-0.2748

0.0755

2.2576

-0.4129

28-Oct-11

2541.85

17804.8

1.9435

0.7467

0.5575

3.7771

1.4511

31-Oct-11

2477.8

17705.01

-2.5446

-0.5716

0.3267

6.4750

1.4545

01-Nov-11

2492.15

17480.83

0.5658

-0.3416

0.1167

0.3201

-0.1933

02-Nov-11

2475.7

17464.85

-0.5796

0.6708

0.4499

0.3360

-0.3888

03-Nov-11

2503.45

17481.93

1.2183

0.2931

0.0859

1.4843

0.3571

04-Nov-11

2520.85

17562.61

0.4304

-0.6382

0.4073

0.1853

-0.2747

08-Nov-11

2522.15

17569.53

2.3849

-0.1374

0.0189

5.6876

-0.3277

09-Nov-11

2470.85

17362.1

-2.1106

-1.6120

2.5986

4.4547

3.4023

11-Nov-11

2469.3

17192.82

0.1701

0.0287

0.0008

0.0289

0.0049

14-Nov-11

2451.5

17118.74

-1.7744

-1.3423

1.8017

3.1486

2.3818

15-Nov-11

2455.05

16882.67

-0.5275

-1.1784

1.3887

0.2782

0.6216

16-Nov-11

2397.25

16775.87

-1.6874

-0.5748

0.3304

2.8472

0.9699

17-Nov-11

2332.6

16461.71

-1.9699

-1.7797

3.1674

3.8805

3.5059

47

18-Nov-11

2333.55

16371.51

1.3092

-0.0989

0.0098

1.7139

-0.1295

21-Nov-11

2275.45

15946.1

-1.8941

-2.2007

4.8432

3.5877

4.1685

22-Nov-11

2295.3

16065.42

0.6666

0.4340

0.1884

0.4443

0.2893

23-Nov-11

2260.15

15699.97

-1.0995

-1.7174

2.9494

1.2089

1.8882

24-Nov-11

2306.25

15858.49

0.2710

0.8997

0.8095

0.0734

0.2438

25-Nov-11

2262.35

15695.43

-1.5073

-0.5468

0.2990

2.2719

0.8242

28-Nov-11

2316.45

16167.13

0.8396

1.7092

2.9214

0.7050

1.4351

29-Nov-11

2314.6

16008.34

0.1555

-1.2620

1.5927

0.0242

-0.1963

30-Nov-11

2337.85

16123.46

1.6618

1.5784

2.4915

2.7615

2.6230

01-Dec-11

2426.95

16483.45

3.2160

-0.4397

0.1933

10.3425

-1.4141

02-Dec-11

2459.6

16846.83

1.2034

2.0945

4.3868

1.4483

2.5206

05-Dec-11

2455.75

16805.33

0.2341

-0.0415

0.0017

0.0548

-0.0097

07-Dec-11

2428.1

16877.06

-0.2945

0.2786

0.0776

0.0867

-0.0820

08-Dec-11

2405.9

16488.24

-1.3986

-2.0105

4.0422

1.9562

2.8120

09-Dec-11

2396

16213.46

0.4007

-0.2774

0.0770

0.1605

-0.1112

12-Dec-11

2316.1

15870.35

-4.1276

-3.0536

9.3242

17.0373

12.6039

13-Dec-11

2412.45

16002.51

2.6301

1.3991

1.9575

6.9175

3.6798

14-Dec-11

2398.65

15881.14

-0.0563

-0.5202

0.2706

0.0032

0.0293

15-Dec-11

2363.55

15836.47

-0.6960

0.6152

0.3784

0.4844

-0.4281

16-Dec-11

2368.2

15491.35

0.2196

-2.4364

5.9360

0.0482

-0.5350

19-Dec-11

2376.9

15175.08

1.0265

-0.3951

0.1561

1.0538

-0.4056

20-Dec-11

2347.25

15685.21

-1.1822

-1.7202

2.9590

1.3977

2.0337

21-Dec-11

2383.3

15813.36

0.9776

1.2589

1.5848

0.9558

1.2307

22-Dec-11

2407.95

15738.7

1.0362

1.6865

2.8444

1.0736

1.7475

23-Dec-11

2453.95

15970.75

1.9947

-0.7925

0.6281

3.9790

-1.5808

26-Dec-11

2477.85

15873.95

1.0029

1.1808

1.3942

1.0058

1.1842

27-Dec-11

2473.7

15727.85

0.3355

-0.6931

0.4805

0.1126

-0.2326

28-Dec-11

2462.85

15543.93

-0.2903

-0.8044

0.6470

0.0843

0.2335

29-Dec-11

2517.2

15454.92

2.3915

-0.7399

0.5475

5.7195

-1.7695

30-Dec-11

2508.55

16483.45

0.3408

-0.8323

0.6927

0.1162

-0.2837

SUM

13.3376

14.1822

85.0865

151.2227

63.7437

BETA

S.D

0.818461

1.212832762

VARIA
NCE
1.4710

48

CORREL
ATION
0.6077

Introduction of GRASIM
Beta of Grasim industries is 0.818461 which means the Grasim industry ompany
beta less than 1 means it tends to be less volatile than the market BSE Sensex.
So it is a less risky for investment.standard deviation of Grasim. Is
1.212832762So and correlation is 0.607702558so this is Positive correlation so
that It means that when market return increases, the company‘s return also
increases.

Table No. 1. 5
Volatility of HDFC Bank | Finance. Return

SENSEX
PRICE

Stock
Return

Sensex
Return

Date

STOC
K
PRICE
close

close

Y (m)

X

X^2

Y^2

X*Y

03-Oct-11

458.45

16151.45

-1.4287

-0.6471

0.4188

2.0413

0.9246

04-Oct-11

450.3

15864.86

-1.0215

-1.3672

1.8693

1.0435

1.3967

05-Oct-11

438.35

15792.41

-2.7261

-1.1101

1.2323

7.4318

3.0263

07-Oct-11

449.8

16232.54

-1.1561

0.0619

0.0038

1.3365

-0.0716

10-Oct-11

454.55

16557.23

0.3630

1.7343

3.0080

0.1318

0.6296

11-Oct-11

457.65

16536.47

-0.0765

-0.7963

0.6341

0.0058

0.0609

12-Oct-11

467.15

16958.39

1.5306

1.7570

3.0871

2.3426

2.6892

13-Oct-11

470.45

16883.92

0.1169

-0.9718

0.9444

0.0137

-0.1136

14-Oct-11

474.15

17082.69

0.7276

1.4392

2.0714

0.5294

1.0472

17-Oct-11

477.85

17025.09

0.4813

-0.8867

0.7862

0.2317

-0.4268

18-Oct-11

476.8

16748.29

0.3775

-0.4125

0.1702

0.1425

-0.1557

19-Oct-11

491.1

17085.34

1.8530

1.1822

1.3976

3.4335

2.1906

20-Oct-11

489.5

16936.89

-0.0919

0.1478

0.0219

0.0085

-0.0136

21-Oct-11

486.3

16785.64

-0.6683

-1.1328

1.2833

0.4466

0.7571

24-Oct-11

484.1

16939.28

-1.4253

-0.4237

0.1796

2.0316

0.6040

25-Oct-11

468.75

17254.86

-3.2533

1.4029

1.9682

10.5842

-4.5641

26-Oct-11

471.9

17288.83

-0.5510

-0.2748

0.0755

0.3036

0.1514

28-Oct-11

482.5

17804.8

0.0000

0.7467

0.5575

0.0000

0.0000

49

31-Oct-11

489.05

17705.01

1.2371

-0.5716

0.3267

1.5304

-0.7071

01-Nov-11

481.95

17480.83

-0.6328

-0.3416

0.1167

0.4005

0.2162

02-Nov-11

483.05

17464.85

0.8591

0.6708

0.4499

0.7381

0.5763

03-Nov-11

480.8

17481.93

-0.2496

0.2931

0.0859

0.0623

-0.0732

04-Nov-11

482.1

17562.61

-0.8090

-0.6382

0.4073

0.6544

0.5163

08-Nov-11

484.7

17569.53

0.1444

-0.1374

0.0189

0.0209

-0.0198

09-Nov-11

477.45

17362.1

-1.7908

-1.6120

2.5986

3.2068

2.8867

11-Nov-11

463.95

17192.82

-1.0561

0.0287

0.0008

1.1154

-0.0303

14-Nov-11

470.7

17118.74

0.3612

-1.3423

1.8017

0.1304

-0.4848

15-Nov-11

471.8

16882.67

0.3815

-1.1784

1.3887

0.1456

-0.4496

16-Nov-11

465.95

16775.87

-1.2984

-0.5748

0.3304

1.6859

0.7464

17-Nov-11

458.85

16461.71

-1.3403

-1.7797

3.1674

1.7964

2.3854

18-Nov-11

457.7

16371.51

-0.0218

-0.0989

0.0098

0.0005

0.0022

21-Nov-11

444.9

15946.1

-3.1468

-2.2007

4.8432

9.9022

6.9252

22-Nov-11

443.8

16065.42

-1.1717

0.4340

0.1884

1.3729

-0.5086

23-Nov-11

426.7

15699.97

-3.5857

-1.7174

2.9494

12.8569

6.1580

24-Nov-11

429.95

15858.49

0.4535

0.8997

0.8095

0.2057

0.4081

25-Nov-11

431.5

15695.43

1.2051

-0.5468

0.2990

1.4523

-0.6589

28-Nov-11

440.8

16167.13

0.1815

1.7092

2.9214

0.0329

0.3102

29-Nov-11

434.4

16008.34

-1.9797

-1.2620

1.5927

3.9194

2.4985

30-Nov-11

441.45

16123.46

2.3899

1.5784

2.4915

5.7114

3.7723

01-Dec-11

453.45

16483.45

-0.5624

-0.4397

0.1933

0.3162

0.2473

02-Dec-11

465.75

16846.83

2.0934

2.0945

4.3868

4.3823

4.3845

05-Dec-11

462.25

16805.33

-0.5949

-0.0415

0.0017

0.3539

0.0247

07-Dec-11

465.95

16877.06

-0.2253

0.2786

0.0776

0.0508

-0.0628

08-Dec-11

453.9

16488.24

-2.7539

-2.0105

4.0422

7.5840

5.5368

09-Dec-11

444.8

16213.46

-0.7419

-0.2774

0.0770

0.5504

0.2058

12-Dec-11

431.9

15870.35

-4.1908

-3.0536

9.3242

17.5627

12.7968

13-Dec-11

436.4

16002.51

1.9248

1.3991

1.9575

3.7050

2.6930

14-Dec-11

433.85

15881.14

-1.4175

-0.5202

0.2706

2.0094

0.7374

15-Dec-11

431.35

15836.47

-0.1275

0.6152

0.3784

0.0163

-0.0784

16-Dec-11

415.95

15491.35

-4.5799

-2.4364

5.9360

20.9753

11.1584

19-Dec-11

406.05

15175.08

-1.8840

-0.3951

0.1561

3.5495

0.7443

20-Dec-11

414.1

15685.21

1.9802

-1.7202

2.9590

3.9212

-3.4063

21-Dec-11

435.3

15813.36

2.1365

1.2589

1.5848

4.5645

2.6896

22-Dec-11

443

15738.7

2.4831

1.6865

2.8444

6.1656

4.1878

23-Dec-11

437.6

15970.75

-0.7998

-0.7925

0.6281

0.6397

0.6339

26-Dec-11

443.45

15873.95

-0.0113

1.1808

1.3942

0.0001

-0.0133

50

27-Dec-11

439.6

15727.85

-1.0009

-0.6931

0.4805

1.0018

0.6938

28-Dec-11

439.65

15543.93

-0.0796

-0.8044

0.6470

0.0063

0.0640

29-Dec-11

430.65

15454.92

-1.8925

-0.7399

0.5475

3.5815

1.4003

30-Dec-11

427.05

16483.45

-0.9250

-0.8323

0.6927

0.8555

0.7698

SUM

27.9876

-14.1822

85.0865

160.7920

78.0086

VARIAN
CE
1.4623

CORRE
LATION

BETA

S.D

0.873478831

1.2092483

0.6497

Interpretation of HDFC BANK
Beta of HDFC bank is 0.873478831 which means the HDFC bank beta is less
than 1 means it tends to be less volatile than the market BSE Sensex.
So it is a less risky for investment.standard deviation of HDFC bank Is
1.2092483So and correlation is 0.649695732 is Positive correlation so that It
means that when market return increases, the company‘s return also increases.

Table No. 1.6

Volatility of Hindalco Industries | Metal, Metal Products & Mining.. Return

Date

STOC
K
PRICE
close

SENSEX
PRICE
close

Stock
Return

Sensex
Return

Y (m)

X

X^2

Y^2

X*Y

03-Oct-11

124.15

16151.45

-4.2690

-0.6471

0.4188

18.2246

2.7626

04-Oct-11

124.7

15864.86

1.8444

-1.3672

1.8693

3.4019

-2.5218

05-Oct-11

120.15

15792.41

-5.7012

-1.1101

1.2323

32.5038

6.3289

07-Oct-11

125.95

16232.54

0.3573

0.0619

0.0038

0.1277

0.0221

10-Oct-11

127.45

16557.23

1.1377

1.7343

3.0080

1.2944

1.9732

11-Oct-11

130.25

16536.47

0.5758

-0.7963

0.6341

0.3316

-0.4585

51

12-Oct-11

132.85

16958.39

0.8656

1.7570

3.0871

0.7493

1.5209

13-Oct-11

128.85

16883.92

-4.3073

-0.9718

0.9444

18.5531

4.1859

14-Oct-11

128.65

17082.69

0.6607

1.4392

2.0714

0.4365

0.9509

17-Oct-11

130.1

17025.09

0.1537

-0.8867

0.7862

0.0236

-0.1363

18-Oct-11

125.45

16748.29

-1.4747

-0.4125

0.1702

2.1747

0.6083

19-Oct-11

127.65

17085.34

0.2742

1.1822

1.3976

0.0752

0.3241

20-Oct-11

124.75

16936.89

-0.2806

0.1478

0.0219

0.0787

-0.0415

21-Oct-11

121.65

16785.64

-3.1648

-1.1328

1.2833

10.0161

3.5851

24-Oct-11

123.45

16939.28

-1.0936

-0.4237

0.1796

1.1959

0.4634

25-Oct-11

125.5

17254.86

0.9163

1.4029

1.9682

0.8397

1.2855

26-Oct-11

128.25

17288.83

1.2865

-0.2748

0.0755

1.6552

-0.3536

28-Oct-11

142.2

17804.8

5.5556

0.7467

0.5575

30.8642

4.1481

31-Oct-11

136.35

17705.01

-3.9971

-0.5716

0.3267

15.9765

2.2847

01-Nov-11

135.85

17480.83

0.9569

-0.3416

0.1167

0.9157

-0.3269

02-Nov-11

136.2

17464.85

1.9090

0.6708

0.4499

3.6441

1.2805

03-Nov-11

135.7

17481.93

0.4053

0.2931

0.0859

0.1643

0.1188

04-Nov-11

139

17562.61

0.1799

-0.6382

0.4073

0.0323

-0.1148

08-Nov-11

139.65

17569.53

-0.1790

-0.1374

0.0189

0.0320

0.0246

09-Nov-11

134.5

17362.1

-4.5353

-1.6120

2.5986

20.5691

7.3110

11-Nov-11

128.7

17192.82

-5.6721

0.0287

0.0008

32.1728

-0.1627

14-Nov-11

125.85

17118.74

-4.1716

-1.3423

1.8017

17.4025

5.5995

15-Nov-11

125.5

16882.67

-0.0398

-1.1784

1.3887

0.0016

0.0469

16-Nov-11

123.25

16775.87

-1.7850

-0.5748

0.3304

3.1862

1.0260

17-Nov-11

122.75

16461.71

-1.4257

-1.7797

3.1674

2.0325

2.5373

18-Nov-11

123.7

16371.51

1.5764

-0.0989

0.0098

2.4850

-0.1559

21-Nov-11

119.1

15946.1

-2.8128

-2.2007

4.8432

7.9116

6.1901

22-Nov-11

121.8

16065.42

1.4778

0.4340

0.1884

2.1840

0.6414

23-Nov-11

119.5

15699.97

-0.5858

-1.7174

2.9494

0.3431

1.0060

24-Nov-11

118

15858.49

-1.3136

0.8997

0.8095

1.7254

-1.1818

25-Nov-11

113.6

15695.43

-3.2130

-0.5468

0.2990

10.3236

1.7568

28-Nov-11

124.05

16167.13

7.1745

1.7092

2.9214

51.4738

12.2628

29-Nov-11

122.6

16008.34

-1.5498

-1.2620

1.5927

2.4017

1.9558

30-Nov-11

122.65

16123.46

1.3453

1.5784

2.4915

1.8098

2.1235

01-Dec-11

131.2

16483.45

1.2957

-0.4397

0.1933

1.6789

-0.5698

02-Dec-11

135.3

16846.83

3.7694

2.0945

4.3868

14.2084

7.8949

05-Dec-11

136.25

16805.33

1.7248

-0.0415

0.0017

2.9748

-0.0715

07-Dec-11

137.55

16877.06

0.1818

0.2786

0.0776

0.0330

0.0506

08-Dec-11

130.65

16488.24

-4.0949

-2.0105

4.0422

16.7683

8.2329

52

09-Dec-11

131.95

16213.46

3.7514

-0.2774

0.0770

14.0732

-1.0407

12-Dec-11

123.55

15870.35

-8.2962

-3.0536

9.3242

68.8275

25.3330

13-Dec-11

129.45

16002.51

5.5620

1.3991

1.9575

30.9358

7.7817

14-Dec-11

127.3

15881.14

-1.5711

-0.5202

0.2706

2.4683

0.8172

15-Dec-11

127.2

15836.47

2.3192

0.6152

0.3784

5.3786

1.4267

16-Dec-11

125.6

15491.35

-1.7118

-2.4364

5.9360

2.9302

4.1706

19-Dec-11

124.7

15175.08

0.5613

-0.3951

0.1561

0.3151

-0.2218

20-Dec-11

119.15

15685.21

-5.3294

-1.7202

2.9590

28.4027

9.1676

21-Dec-11

123

15813.36

-0.8943

1.2589

1.5848

0.7998

-1.1258

22-Dec-11

122.55

15738.7

1.2648

1.6865

2.8444

1.5997

2.1331

23-Dec-11

121.75

15970.75

-1.1910

-0.7925

0.6281

1.4184

0.9438

26-Dec-11

121.1

15873.95

-1.2799

1.1808

1.3942

1.6382

-1.5113

27-Dec-11

119.6

15727.85

-1.1288

-0.6931

0.4805

1.2741

0.7824

28-Dec-11

116.6

15543.93

-2.3156

-0.8044

0.6470

5.3620

1.8626

29-Dec-11

117.2

15454.92

1.4505

-0.7399

0.5475

2.1040

-1.0732

30-Dec-11

115.75

16483.45

-2.2462

-0.8323

0.6927

5.0455

1.8695

31.0970

14.1822

85.0865

507.5706

135.7237

SUM
BETA

S.D

1.570618156

2.681583867

VARIA
NCE
7.1909

CORRE
LATION
0.6405

Interpretation OF HINDALCO INDUSTRIES
Beta of Hindalco Industries is 1.570618156 which means the Hindalco Industries
beta is greater than 1 means it tends to be more volatile than the market BSE
Sensex.
So it is a less risky for investment. Standard deviation of Hidalco Industries Is
2.681583867 and correlation is 0.640518221 is Positive correlation so that It
means that when market return increases, the company‘s return also increases.

53

Table No. 1.7
Volatility of Hindustan Uni Lever | FMCG. Return

SENSEX
PRICE

Stock
Return

Sensex
Return

Date

STOC
K
PRICE
close

close

Y (m)

X

03-Oct-11

334.45

16151.45

-1.3604

04-Oct-11

327.05

15864.86

05-Oct-11

322.05

07-Oct-11

X^2

Y^2

X*Y

-0.6471

0.4188

1.8508

0.8804

-2.0486

-1.3672

1.8693

4.1968

2.8009

15792.41

-1.2265

-1.1101

1.2323

1.5043

1.3616

329.2

16232.54

0.3645

0.0619

0.0038

0.1329

0.0226

10-Oct-11

332.4

16557.23

0.4212

1.7343

3.0080

0.1774

0.7305

11-Oct-11

326.55

16536.47

-2.0058

-0.7963

0.6341

4.0233

1.5972

12-Oct-11

329.65

16958.39

1.2589

1.7570

3.0871

1.5849

2.2119

13-Oct-11

326.75

16883.92

-1.0099

-0.9718

0.9444

1.0200

0.9815

14-Oct-11

332.1

17082.69

1.5357

1.4392

2.0714

2.3583

2.2102

17-Oct-11

333.1

17025.09

-0.4953

-0.8867

0.7862

0.2454

0.4392

18-Oct-11

330.55

16748.29

-0.2420

-0.4125

0.1702

0.0586

0.0998

19-Oct-11

331.55

17085.34

-0.1056

1.1822

1.3976

0.0111

-0.1248

20-Oct-11

331.35

16936.89

0.1056

0.1478

0.0219

0.0112

0.0156

21-Oct-11

326.1

16785.64

-1.8093

-1.1328

1.2833

3.2734

2.0496

24-Oct-11

336.35

16939.28

2.2447

-0.4237

0.1796

5.0386

-0.9512

25-Oct-11

340.4

17254.86

1.5570

1.4029

1.9682

2.4242

2.1843

26-Oct-11

342.85

17288.83

0.3938

-0.2748

0.0755

0.1550

-0.1082

28-Oct-11

349.45

17804.8

1.5310

0.7467

0.5575

2.3439

1.1431

31-Oct-11

375.25

17705.01

6.4624

-0.5716

0.3267

41.7621

-3.6938

01-Nov-11

135.85

17480.83

0.9569

-0.3416

0.1167

0.9157

-0.3269

02-Nov-11

136.2

17464.85

1.9090

0.6708

0.4499

3.6441

1.2805

03-Nov-11

135.7

17481.93

0.4053

0.2931

0.0859

0.1643

0.1188

04-Nov-11

139

17562.61

0.1799

-0.6382

0.4073

0.0323

-0.1148

08-Nov-11

139.65

17569.53

-0.1790

-0.1374

0.0189

0.0320

0.0246

09-Nov-11

134.5

17362.1

-4.5353

-1.6120

2.5986

20.5691

7.3110

11-Nov-11

128.7

17192.82

-5.6721

0.0287

0.0008

32.1728

-0.1626

14-Nov-11

125.85

17118.74

-4.1716

-1.3423

1.8017

17.4025

5.5995

15-Nov-11

125.5

16882.67

-0.0398

-1.1784

1.3887

0.0016

0.0470

54

16-Nov-11

123.25

16775.87

-1.7850

-0.5748

0.3304

3.1862

1.0260

17-Nov-11

122.75

16461.71

-1.4257

-1.7797

3.1674

2.0325

2.5373

18-Nov-11

123.7

16371.51

1.5764

-0.0989

0.0098

2.4850

-0.1559

21-Nov-11

119.1

15946.1

-2.8128

-2.2007

4.8432

7.9116

6.1901

22-Nov-11

121.8

16065.42

1.4778

0.4340

0.1884

2.1840

0.6414

23-Nov-11

119.5

15699.97

-0.5858

-1.7174

2.9494

0.3431

1.0060

24-Nov-11

118

15858.49

-1.3136

0.8997

0.8095

1.7254

-1.1818

25-Nov-11

113.6

15695.43

-3.2130

-0.5468

0.2990

10.3236

1.7568

28-Nov-11

124.05

16167.13

7.1745

1.7092

2.9214

51.4738

12.2628

29-Nov-11

122.6

16008.34

-1.5498

-1.2620

1.5927

2.4017

1.9558

30-Nov-11

122.65

16123.46

1.3453

1.5784

2.4915

1.8098

2.1235

01-Dec-11

131.2

16483.45

1.2957

-0.4397

0.1933

1.6789

-0.5698

02-Dec-11

135.3

16846.83

3.7694

2.0945

4.3868

14.2084

7.8949

05-Dec-11

136.25

16805.33

1.7248

-0.0415

0.0017

2.9748

-0.0715

07-Dec-11

137.55

16877.06

0.1818

0.2786

0.0776

0.0330

0.0506

08-Dec-11

130.65

16488.24

-4.0949

-2.0105

4.0422

16.7683

8.2329

09-Dec-11

131.95

16213.46

3.7514

-0.2774

0.0770

14.0732

-1.0407

12-Dec-11

123.55

15870.35

-8.2962

-3.0536

9.3242

68.8275

25.3330

13-Dec-11

129.45

16002.51

5.5620

1.3991

1.9575

30.9358

7.7818

14-Dec-11

127.3

15881.14

-1.5711

-0.5202

0.2706

2.4683

0.8173

15-Dec-11

127.2

15836.47

2.3192

0.6152

0.3784

5.3786

1.4267

16-Dec-11

125.6

15491.35

-1.7118

-2.4364

5.9360

2.9302

4.1706

19-Dec-11

124.7

15175.08

0.5613

-0.3951

0.1561

0.3151

-0.2218

20-Dec-11

119.15

15685.21

-5.3294

-1.7202

2.9590

28.4027

9.1676

21-Dec-11

123

15813.36

-0.8943

1.2589

1.5848

0.7998

-1.1258

22-Dec-11

122.55

15738.7

1.2648

1.6865

2.8444

1.5997

2.1331

23-Dec-11

121.75

15970.75

-1.1910

-0.7925

0.6281

1.4184

0.9439

26-Dec-11

121.1

15873.95

-1.2799

1.1808

1.3942

1.6382

-1.5113

27-Dec-11

119.6

15727.85

-1.1288

-0.6931

0.4805

1.2741

0.7824

28-Dec-11

116.6

15543.93

-2.3156

-0.8044

0.6470

5.3620

1.8626

29-Dec-11

117.2

15454.92

1.4505

-0.7399

0.5475

2.1040

-1.0732

30-Dec-11

115.75

16483.45

-2.2462

-0.8323

0.6927

5.0455

1.8695

SUM

14.8655

14.1822

85.0865

441.2202

122.6420

BETA

S.D

1.457506

2.508442833

VARIA
NCE
6.2923

55

CORRE
LATION
0.6299

Interpretation of HUL
Beta of Hindustan Uni Lever is 1.457506which means the Hindustan Uni Lever
beta is greater than 1 means it tends to be more volatile than the market BSE
Sensex.
So it is a more risky for investment.standard deviation of Hindustan Uni Lever Is
2.508442833 and correlation is 0.629948332 is Positive correlation so that It
means that when market return increases, the company‘s return also increases.

Table No. 1.8
Volatility of Mahindra and Mahindra | Transport Equipments Return

Date

STOCK
PRICE
close

SENSEX
PRICE
close

Stock
Return
Y (m)

Sensex
Return
X

X^2

Y^2

X*Y

03-Oct-11

809.35

16151.45

1.1552

-0.6471

0.4188

1.3346

-0.7476

04-Oct-11

777.9

15864.86

-3.4837

-1.3672

1.8693

12.1364

4.7631

05-Oct-11

784.45

15792.41

0.4398

-1.1101

1.2323

0.1934

-0.4882

07-Oct-11

795.95

16232.54

0.4334

0.0619

0.0038

0.1879

0.0268

10-Oct-11

806.1

16557.23

1.9352

1.7343

3.0080

3.7452

3.3564

11-Oct-11

798.5

16536.47

-1.6281

-0.7963

0.6341

2.6506

1.2964

12-Oct-11

808.05

16958.39

1.1076

1.7570

3.0871

1.2268

1.9461

13-Oct-11

798.9

16883.92

-1.7649

-0.9718

0.9444

3.1150

1.7152

14-Oct-11

805.6

17082.69

1.0675

1.4392

2.0714

1.1396

1.5364

17-Oct-11

810.55

17025.09

0.5367

-0.8867

0.7862

0.2880

-0.4759

18-Oct-11

805.65

16748.29

-0.1552

-0.4125

0.1702

0.0241

0.0640

19-Oct-11

810.4

17085.34

0.0494

1.1822

1.3976

0.0024

0.0584

20-Oct-11

800.2

16936.89

-1.3497

0.1478

0.0219

1.8216

-0.1995

21-Oct-11

801.1

16785.64

0.0125

-1.1328

1.2833

0.0002

-0.0141

24-Oct-11

808.8

16939.28

0.0989

-0.4237

0.1796

0.0098

-0.0419

56

25-Oct-11

853.2

17254.86

5.0340

1.4029

1.9682

25.3411

7.0622

26-Oct-11

849.45

17288.83

-0.0647

-0.2748

0.0755

0.0042

0.0178

28-Oct-11

868.5

17804.8

0.9787

0.7467

0.5575

0.9579

0.7307

31-Oct-11

863.2

17705.01

-0.7878

-0.5716

0.3267

0.6206

0.4503

01-Nov-11

834.05

17480.83

-2.5118

-0.3416

0.1167

6.3093

0.8581

02-Nov-11

838.7

17464.85

0.5604

0.6708

0.4499

0.3140

0.3759

03-Nov-11

838.3

17481.93

-0.5607

0.2931

0.0859

0.3143

-0.1643

04-Nov-11

835.05

17562.61

-0.7125

-0.6382

0.4073

0.5077

0.4548

08-Nov-11

833.65

17569.53

-0.7977

-0.1374

0.0189

0.6363

0.1096

09-Nov-11

813

17362.1

-3.3210

-1.6120

2.5986

11.0293

5.3536

11-Nov-11

838.4

17192.82

3.1489

0.0287

0.0008

9.9153

0.0903

14-Nov-11

790.4

17118.74

-6.9079

-1.3423

1.8017

47.7190

9.2723

15-Nov-11

759

16882.67

-4.3478

-1.1784

1.3887

18.9036

5.1236

16-Nov-11

773.35

16775.87

0.4332

-0.5748

0.3304

0.1876

-0.2490

17-Nov-11

758.55

16461.71

-2.1686

-1.7797

3.1674

4.7029

3.8595

18-Nov-11

737.8

16371.51

-3.0089

-0.0989

0.0098

9.0538

0.2976

21-Nov-11

717.7

15946.1

-2.7031

-2.2007

4.8432

7.3066

5.9487

22-Nov-11

709.6

16065.42

-1.4656

0.4340

0.1884

2.1480

-0.6361

23-Nov-11

695.55

15699.97

-1.3730

-1.7174

2.9494

1.8852

2.3580

24-Nov-11

713.4

15858.49

1.8783

0.8997

0.8095

3.5281

1.6899

25-Nov-11

706.3

15695.43

-0.0991

-0.5468

0.2990

0.0098

0.0542

28-Nov-11

713.65

16167.13

-0.1822

1.7092

2.9214

0.0332

-0.3114

29-Nov-11

725.05

16008.34

0.9723

-1.2620

1.5927

0.9455

-1.2271

30-Nov-11

723.85

16123.46

0.4283

1.5784

2.4915

0.1834

0.6760

01-Dec-11

729.8

16483.45

-1.8224

-0.4397

0.1933

3.3212

0.8013

02-Dec-11

748.05

16846.83

1.7713

2.0945

4.3868

3.1374

3.7099

05-Dec-11

750.05

16805.33

0.2733

-0.0415

0.0017

0.0747

-0.0113

07-Dec-11

757.45

16877.06

0.9836

0.2786

0.0776

0.9674

0.2740

08-Dec-11

730.15

16488.24

-3.8143

-2.0105

4.0422

14.5488

7.6687

09-Dec-11

703.75

16213.46

-2.0249

-0.2774

0.0770

4.1001

0.5617

12-Dec-11

684.05

15870.35

-3.7936

-3.0536

9.3242

14.3913

11.5839

13-Dec-11

700.3

16002.51

2.4989

1.3991

1.9575

6.2446

3.4962

14-Dec-11

675.55

15881.14

-3.6193

-0.5202

0.2706

13.0991

1.8827

15-Dec-11

665.55

15836.47

-0.5184

0.6152

0.3784

0.2687

-0.3189

16-Dec-11

659.3

15491.35

-1.0162

-2.4364

5.9360

1.0327

2.4759

19-Dec-11

652.45

15175.08

-1.5403

-0.3951

0.1561

2.3727

0.6086

20-Dec-11

650.95

15685.21

-0.4685

-1.7202

2.9590

0.2195

0.8060

21-Dec-11

689.8

15813.36

4.0302

1.2589

1.5848

16.2421

5.0735

57

22-Dec-11

693.3

15738.7

4.0819

1.6865

2.8444

16.6621

6.8844

23-Dec-11

696.4

15970.75

0.4882

-0.7925

0.6281

0.2384

-0.3869

26-Dec-11

702.1

15873.95

0.3632

1.1808

1.3942

0.1319

0.4289

27-Dec-11

703.6

15727.85

-0.0426

-0.6931

0.4805

0.0018

0.0296

28-Dec-11

686.75

15543.93

-2.3662

-0.8044

0.6470

5.5990

1.9033

29-Dec-11

686.6

15454.92

0.3787

-0.7399

0.5475

0.1434

-0.2802

30-Dec-11

683.05

16483.45

-0.9882

-0.8323

0.6927

0.9766

0.8225

SUM

-26.2694

-14.1822

85.0865

284.2057

103.0044

VARIAN
CE
3.5451

CORREL
ATION

BETA

S.D

1.184265

1.882836062

0.6483

Interpretation of MAHIDRA & MAHINDRA
Beta of Mahindra and Mahindra is 1.1842653 which means the Mahindra and
Mahindra beta is greater than 1 means it tends to be more volatile than the
market BSE Sensex.
So it is a more risky for investment.standard deviation of Mahindra and Mahindra
Is 1.882836062and correlation is 0.648343438 is Positive correlation so that It
means that when market return increases, the company‘s return also increases.

58

Table No. 1.9
Volatility of NTPC | Power |Return

Date

STOCK
PRICE
close

SENSEX
PRICE
close

Stock
Return
Y (m)

Sensex
Return
X

X^2

Y^2

X*Y

03-Oct-11

164.7

16151.45

-1.2143

-0.6471

0.4188

1.4746

0.7858

04-Oct-11

163.95

15864.86

-0.2135

-1.3672

1.8693

0.0456

0.2919

05-Oct-11

163.9

15792.41

-0.2746

-1.1101

1.2323

0.0754

0.3048

07-Oct-11

166.6

16232.54

-0.8403

0.0619

0.0038

0.7062

-0.0520

10-Oct-11

170.5

16557.23

1.9941

1.7343

3.0080

3.9766

3.4585

11-Oct-11

176.45

16536.47

3.3437

-0.7963

0.6341

11.1805

-2.6626

12-Oct-11

177.1

16958.39

0.6211

1.7570

3.0871

0.3858

1.0913

13-Oct-11

173.7

16883.92

-2.1877

-0.9718

0.9444

4.7859

2.1260

14-Oct-11

173

17082.69

0.0000

1.4392

2.0714

0.0000

0.0000

17-Oct-11

168.45

17025.09

-2.7011

-0.8867

0.7862

7.2959

2.3950

18-Oct-11

168.45

16748.29

0.2671

-0.4125

0.1702

0.0714

-0.1102

19-Oct-11

171.9

17085.34

2.0942

1.1822

1.3976

4.3858

2.4758

20-Oct-11

171.4

16936.89

-0.1750

0.1478

0.0219

0.0306

-0.0259

21-Oct-11

169.25

16785.64

-1.0340

-1.1328

1.2833

1.0691

1.1713

24-Oct-11

171.15

16939.28

-0.2921

-0.4237

0.1796

0.0853

0.1238

25-Oct-11

173.6

17254.86

1.3537

1.4029

1.9682

1.8325

1.8991

26-Oct-11

174.25

17288.83

0.1148

-0.2748

0.0755

0.0132

-0.0315

28-Oct-11

178.6

17804.8

0.1960

0.7467

0.5575

0.0384

0.1463

31-Oct-11

179.35

17705.01

0.1951

-0.5716

0.3267

0.0381

-0.1115

01-Nov-11

177.6

17480.83

-0.5068

-0.3416

0.1167

0.2568

0.1731

02-Nov-11

176.05

17464.85

-0.5396

0.6708

0.4499

0.2912

-0.3620

03-Nov-11

178

17481.93

1.0955

0.2931

0.0859

1.2001

0.3211

04-Nov-11

179.55

17562.61

-0.0278

-0.6382

0.4073

0.0008

0.0178

08-Nov-11

177.75

17569.53

-0.3094

-0.1374

0.0189

0.0957

0.0425

09-Nov-11

174.4

17362.1

-2.6376

-1.6120

2.5986

6.9570

4.2519

11-Nov-11

173.7

17192.82

-0.1727

0.0287

0.0008

0.0298

-0.0050

14-Nov-11

172.65

17118.74

-1.3322

-1.3423

1.8017

1.7747

1.7881

15-Nov-11

169.95

16882.67

-1.7946

-1.1784

1.3887

3.2208

2.1149

16-Nov-11

169.25

16775.87

-0.4431

-0.5748

0.3304

0.1964

0.2547

17-Nov-11

165.25

16461.71

-1.7852

-1.7797

3.1674

3.1868

3.1771

18-Nov-11

162.8

16371.51

-1.9656

-0.0989

0.0098

3.8636

0.1944

21-Nov-11

156.4

15946.1

-3.5806

-2.2007

4.8432

12.8204

7.8798

22-Nov-11

155.75

16065.42

-1.5730

0.4340

0.1884

2.4744

-0.6828

23-Nov-11

156.65

15699.97

0.6064

-1.7174

2.9494

0.3678

-1.0415

59

24-Nov-11

158.65

15858.49

1.0085

0.8997

0.8095

1.0171

0.9074

25-Nov-11

156.95

15695.43

-1.2743

-0.5468

0.2990

1.6238

0.6968

28-Nov-11

159.55

16167.13

-0.2194

1.7092

2.9214

0.0481

-0.3749

29-Nov-11

158.25

16008.34

-1.1058

-1.2620

1.5927

1.2229

1.3956

30-Nov-11

162.05

16123.46

2.5609

1.5784

2.4915

6.5584

4.0423

01-Dec-11

166.3

16483.45

0.7517

-0.4397

0.1933

0.5650

-0.3305

02-Dec-11

172.2

16846.83

3.4262

2.0945

4.3868

11.7392

7.1761

05-Dec-11

175.9

16805.33

2.3309

-0.0415

0.0017

5.4330

-0.0967

07-Dec-11

170.25

16877.06

-2.7900

0.2786

0.0776

7.7842

-0.7773

08-Dec-11

166.35

16488.24

-1.6531

-2.0105

4.0422

2.7329

3.3237

09-Dec-11

166.15

16213.46

1.2940

-0.2774

0.0770

1.6745

-0.3590

12-Dec-11

163.15

15870.35

-2.9727

-3.0536

9.3242

8.8371

9.0774

13-Dec-11

166.7

16002.51

2.3395

1.3991

1.9575

5.4734

3.2732

14-Dec-11

163.1

15881.14

-1.1649

-0.5202

0.2706

1.3571

0.6060

15-Dec-11

166.4

15836.47

2.0433

0.6152

0.3784

4.1749

1.2569

16-Dec-11

161.05

15491.35

-3.1357

-2.4364

5.9360

9.8324

7.6397

19-Dec-11

160.5

15175.08

-0.9034

-0.3951

0.1561

0.8162

0.3569

20-Dec-11

154.85

15685.21

-4.2622

-1.7202

2.9590

18.1663

7.3318

21-Dec-11

160.3

15813.36

2.3082

1.2589

1.5848

5.3277

2.9057

22-Dec-11

163.8

15738.7

1.7094

1.6865

2.8444

2.9221

2.8830

23-Dec-11

158.5

15970.75

-1.5773

-0.7925

0.6281

2.4878

1.2500

26-Dec-11

160.6

15873.95

0.9963

1.1808

1.3942

0.9925

1.1764

27-Dec-11

156.95

15727.85

-1.9433

-0.6931

0.4805

3.7764

1.3470

28-Dec-11

161.15

15543.93

1.6755

-0.8044

0.6470

2.8072

-1.3477

29-Dec-11

160.8

15454.92

-0.4353

-0.7399

0.5475

0.1895

0.3221

30-Dec-11

160.6

16483.45

0.5915

-0.8323

0.6927

0.3499

-0.4923

14.1207

14.1822

85.0865

182.1366

84.5896

CORREL
ATION

SUM
BETA

S.D

VARIA
NCE

0.9940986

1.407204178

1.9802

60

0.6721

Interpretation of NTPC
Beta of NTPC is 0.9940986which means the NTPC beta is less than 1 means it
tends to be less volatile than the market BSE Sensex.
So it is a less risky for investment.standard deviation of
1.407204178and correlation

NTPC Is

is 0.672096314is Positive correlation so that It

means that when market return increases, the company‘s return also increases

Table No. 1.10
Volatility of Larsen & Toubro | Capital Goods Return

Date

STOCK
PRICE
close

SENSEX
PRICE
close

Stock
Return
Y (m)

Sensex
Return
X

X^2

Y^2

X*Y

03-Oct-11

1318.25

16151.45

-2.1809

-0.6471

0.4188

4.7564

1.4113

04-Oct-11

1337

15864.86

1.3912

-1.3672

1.8693

1.9354

-1.9021

05-Oct-11

1343.65

15792.41

-0.6810

-1.1101

1.2323

0.4637

0.7560

07-Oct-11

1393.45

16232.54

0.9652

0.0619

0.0038

0.9317

0.0598

10-Oct-11

1386.3

16557.23

-0.4833

1.7343

3.0080

0.2336

-0.8382

11-Oct-11

1409.7

16536.47

0.7519

-0.7963

0.6341

0.5654

-0.5988

12-Oct-11

1443.45

16958.39

1.7216

1.7570

3.0871

2.9638

3.0248

13-Oct-11

1418.3

16883.92

-2.2351

-0.9718

0.9444

4.9955

2.1721

14-Oct-11

1407.8

17082.69

-0.6535

1.4392

2.0714

0.4271

-0.9405

17-Oct-11

1379.9

17025.09

-2.6886

-0.8867

0.7862

7.2286

2.3840

18-Oct-11

1349.15

16748.29

-1.3082

-0.4125

0.1702

1.7115

0.5397

19-Oct-11

1399.6

17085.34

2.9616

1.1822

1.3976

8.7708

3.5011

20-Oct-11

1385.05

16936.89

0.3646

0.1478

0.0219

0.1329

0.0539

21-Oct-11

1336

16785.64

-3.7425

-1.1328

1.2833

14.0064

4.2396

24-Oct-11

1294.4

16939.28

-4.2954

-0.4237

0.1796

18.4507

1.8202

25-Oct-11

1336.75

17254.86

2.9138

1.4029

1.9682

8.4901

4.0878

26-Oct-11

1350.65

17288.83

0.3591

-0.2748

0.0755

0.1289

-0.0987

28-Oct-11

1413.25

17804.8

2.1263

0.7467

0.5575

4.5212

1.5876

31-Oct-11

1413.25

17705.01

-0.0531

-0.5716

0.3267

0.0028

0.0303

01-Nov-11

1390.2

17480.83

-0.4999

-0.3416

0.1167

0.2499

0.1708

02-Nov-11

1387.3

17464.85

1.1605

0.6708

0.4499

1.3468

0.7785

03-Nov-11

1380.85

17481.93

-0.4454

0.2931

0.0859

0.1984

-0.1305

61

04-Nov-11

1392.85

17562.61

-0.2980

-0.6382

0.4073

0.0888

0.1902

08-Nov-11

1391.65

17569.53

-0.6000

-0.1374

0.0189

0.3600

0.0824

09-Nov-11

1376

17362.1

-1.5988

-1.6120

2.5986

2.5563

2.5774

11-Nov-11

1330.65

17192.82

-2.2170

0.0287

0.0008

4.9149

-0.0636

14-Nov-11

1326.1

17118.74

-1.7269

-1.3423

1.8017

2.9821

2.3179

15-Nov-11

1288.8

16882.67

-2.9562

-1.1784

1.3887

8.7394

3.4837

16-Nov-11

1236.7

16775.87

-3.2587

-0.5748

0.3304

10.6189

1.8731

17-Nov-11

1232.5

16461.71

-0.0974

-1.7797

3.1674

0.0095

0.1733

18-Nov-11

1243

16371.51

1.4401

-0.0989

0.0098

2.0738

-0.1424

21-Nov-11

1226.3

15946.1

-1.9082

-2.2007

4.8432

3.6412

4.1994

22-Nov-11

1226.25

16065.42

-0.0612

0.4340

0.1884

0.0037

-0.0266

23-Nov-11

1191.35

15699.97

-2.4048

-1.7174

2.9494

5.7832

4.1300

24-Nov-11

1224.2

15858.49

2.7120

0.8997

0.8095

7.3548

2.4400

25-Nov-11

1265.8

15695.43

3.7447

-0.5468

0.2990

14.0225

-2.0475

28-Nov-11

1279.3

16167.13

-0.1798

1.7092

2.9214

0.0323

-0.3073

29-Nov-11

1273.35

16008.34

-0.6636

-1.2620

1.5927

0.4404

0.8375

30-Nov-11

1268.8

16123.46

0.3783

1.5784

2.4915

0.1431

0.5971

01-Dec-11

1294.7

16483.45

-0.7956

-0.4397

0.1933

0.6329

0.3498

02-Dec-11

1310.75

16846.83

0.9346

2.0945

4.3868

0.8734

1.9574

05-Dec-11

1314.4

16805.33

0.9282

-0.0415

0.0017

0.8615

-0.0385

07-Dec-11

1331

16877.06

0.7663

0.2786

0.0776

0.5873

0.2135

08-Dec-11

1262.95

16488.24

-5.2298

-2.0105

4.0422

27.3510

10.5147

09-Dec-11

1227

16213.46

-1.6300

-0.2774

0.0770

2.6569

0.4522

12-Dec-11

1194.85

15870.35

-4.0214

-3.0536

9.3242

16.1719

12.2796

13-Dec-11

1171.65

16002.51

-1.3699

1.3991

1.9575

1.8765

-1.9166

14-Dec-11

1159.5

15881.14

-0.5606

-0.5202

0.2706

0.3143

0.2916

15-Dec-11

1136.35

15836.47

-1.1968

0.6152

0.3784

1.4324

-0.7362

16-Dec-11

1075.8

15491.35

-6.8042

-2.4364

5.9360

46.2977

16.5778

19-Dec-11

1032.1

15175.08

-3.6721

-0.3951

0.1561

13.4845

1.4508

20-Dec-11

979.1

15685.21

-5.1680

-1.7202

2.9590

26.7083

8.8900

21-Dec-11

1001.15

15813.36

0.1149

1.2589

1.5848

0.0132

0.1446

22-Dec-11

1009.35

15738.7

1.4217

1.6865

2.8444

2.0213

2.3978

23-Dec-11

1008.7

15970.75

-0.8328

-0.7925

0.6281

0.6935

0.6600

26-Dec-11

1025.75

15873.95

0.7555

1.1808

1.3942

0.5709

0.8921

27-Dec-11

1028.8

15727.85

-0.2819

-0.6931

0.4805

0.0795

0.1954

28-Dec-11

1029.75

15543.93

0.4904

-0.8044

0.6470

0.2405

-0.3945

29-Dec-11

1000.5

15454.92

-2.3388

-0.7399

0.5475

5.4701

1.7305

30-Dec-11

995.1

16483.45

-0.9949

-0.8323

0.6927

0.9898

0.8280

SUM

-43.7317

-14.1822

85.0865

295.6040

99.1632

62

BETA

S.D

1.086769653

1.842685257

VARIAN
CE
3.3955

CORRE
LATION
0.6050

Interpretation of L & T
Beta of Larsen & Toubro is 1.086769653 which means the Larsen & Toubro beta
is more than 1 means it tends to be more volatile than the market BSE Sensex.
So it is a more risky for investment.standard deviation of Larsen & Toubro Is
1.842685257 and correlation

is 0.605006976is Positive correlation so that It

means that when market return increases, the company‘s return also increases.

Table No. 1.11

Volatility of Reliance Industries | Oil & GasReturn

Date

STOCK
PRICE
close

SENSEX
PRICE
close

Stock
Return
Y (m)

Sensex
Return
X

X^2

Y^2

X*Y

03-Oct-11

788.2

16151.45

-0.7866

-0.6471

0.4188

0.6187

0.5090

04-Oct-11

772.4

15864.86

-1.6831

-1.3672

1.8693

2.8327

2.3011

05-Oct-11

767.25

15792.41

-0.8667

-1.1101

1.2323

0.7512

0.9622

07-Oct-11

801.45

16232.54

1.9278

0.0619

0.0038

3.7162

0.1194

10-Oct-11

827.9

16557.23

2.9774

1.7343

3.0080

8.8650

5.1639

11-Oct-11

825.85

16536.47

-1.2290

-0.7963

0.6341

1.5105

0.9787

12-Oct-11

849.5

16958.39

2.4132

1.7570

3.0871

5.8235

4.2400

13-Oct-11

846.85

16883.92

-0.3720

-0.9718

0.9444

0.1384

0.3615

14-Oct-11

866.8

17082.69

2.9072

1.4392

2.0714

8.4521

4.1842

17-Oct-11

833.2

17025.09

-4.2967

-0.8867

0.7862

18.4615

3.8098

18-Oct-11

820

16748.29

-0.6098

-0.4125

0.1702

0.3718

0.2515

63

19-Oct-11

842.3

17085.34

2.0658

1.1822

1.3976

4.2674

2.4421

20-Oct-11

838.4

16936.89

0.5844

0.1478

0.0219

0.3416

0.0864

21-Oct-11

835.4

16785.64

-0.4309

-1.1328

1.2833

0.1857

0.4882

24-Oct-11

846.25

16939.28

-0.1950

-0.4237

0.1796

0.0380

0.0826

25-Oct-11

875

17254.86

2.5143

1.4029

1.9682

6.3216

3.5273

26-Oct-11

873.35

17288.83

-0.4179

-0.2748

0.0755

0.1747

0.1148

28-Oct-11

898

17804.8

0.1114

0.7467

0.5575

0.0124

0.0831

31-Oct-11

877.75

17705.01

-2.3754

-0.5716

0.3267

5.6425

1.3577

01-Nov-11

860.55

17480.83

-0.9819

-0.3416

0.1167

0.9642

0.3355

02-Nov-11

871.45

17464.85

1.8877

0.6708

0.4499

3.5633

1.2662

03-Nov-11

884.6

17481.93

1.8257

0.2931

0.0859

3.3331

0.5351

04-Nov-11

879.6

17562.61

-2.4443

-0.6382

0.4073

5.9746

1.5600

08-Nov-11

881.85

17569.53

0.2098

-0.1374

0.0189

0.0440

-0.0288

09-Nov-11

864.55

17362.1

-2.9553

-1.6120

2.5986

8.7338

4.7640

11-Nov-11

883.85

17192.82

2.8229

0.0287

0.0008

7.9686

0.0809

14-Nov-11

875.15

17118.74

-1.6454

-1.3423

1.8017

2.7074

2.2086

15-Nov-11

862.7

16882.67

-0.9621

-1.1784

1.3887

0.9256

1.1338

16-Nov-11

848.95

16775.87

-1.3369

-0.5748

0.3304

1.7874

0.7685

17-Nov-11

810.65

16461.71

-4.2373

-1.7797

3.1674

17.9551

7.5412

18-Nov-11

808.05

16371.51

0.9900

-0.0989

0.0098

0.9802

-0.0979

21-Nov-11

786.85

15946.1

-1.7856

-2.2007

4.8432

3.1884

3.9296

22-Nov-11

795.05

16065.42

1.0628

0.4340

0.1884

1.1296

0.4613

23-Nov-11

773.75

15699.97

-1.9709

-1.7174

2.9494

3.8845

3.3848

24-Nov-11

774.2

15858.49

-0.1033

0.8997

0.8095

0.0107

-0.0930

25-Nov-11

754

15695.43

-1.9761

-0.5468

0.2990

3.9051

1.0805

28-Nov-11

783

16167.13

2.4266

1.7092

2.9214

5.8882

4.1475

29-Nov-11

765

16008.34

-2.3268

-1.2620

1.5927

5.4140

2.9365

30-Nov-11

778.8

16123.46

2.8505

1.5784

2.4915

8.1256

4.4994

01-Dec-11

798.5

16483.45

-0.0063

-0.4397

0.1933

0.0000

0.0028

02-Dec-11

810.8

16846.83

1.5787

2.0945

4.3868

2.4923

3.3065

05-Dec-11

807.35

16805.33

-0.0372

-0.0415

0.0017

0.0014

0.0015

07-Dec-11

809.2

16877.06

0.2286

0.2786

0.0776

0.0523

0.0637

08-Dec-11

779.2

16488.24

-3.0416

-2.0105

4.0422

9.2512

6.1152

09-Dec-11

755.45

16213.46

-1.8863

-0.2774

0.0770

3.5581

0.5233

12-Dec-11

727.9

15870.35

-4.5611

-3.0536

9.3242

20.8033

13.9275

13-Dec-11

742.6

16002.51

2.7067

1.3991

1.9575

7.3263

3.7869

14-Dec-11

741.7

15881.14

0.5123

-0.5202

0.2706

0.2625

-0.2665

15-Dec-11

748.7

15836.47

2.1905

0.6152

0.3784

4.7981

1.3475

64

16-Dec-11

723

15491.35

-3.9557

-2.4364

5.9360

15.6479

9.6377

19-Dec-11

735.85

15175.08

2.1676

-0.3951

0.1561

4.6983

-0.8564

20-Dec-11

713.55

15685.21

-3.7068

-1.7202

2.9590

13.7405

6.3764

21-Dec-11

747.25

15813.36

2.4423

1.2589

1.5848

5.9648

3.0746

22-Dec-11

754.75

15738.7

1.6827

1.6865

2.8444

2.8314

2.8379

23-Dec-11

746.45

15970.75

-1.6813

-0.7925

0.6281

2.8267

1.3324

26-Dec-11

760.95

15873.95

1.4390

1.1808

1.3942

2.0707

1.6991

27-Dec-11

753.25

15727.85

-1.5732

-0.6931

0.4805

2.4749

1.0904

28-Dec-11

738.55

15543.93

-1.7399

-0.8044

0.6470

3.0272

1.3995

29-Dec-11

712.9

15454.92

-2.9457

-0.7399

0.5475

8.6772

2.1795

30-Dec-11

692.9

16483.45

-2.9009

-0.8323

0.6927

8.4149

2.4144

SUM

19.4993

14.1822

85.0865

273.9289

131.4715

BETA

S.D

1.552133406

1.860071268

VARIA
NCE
3.4599

CORRE
LATION
0.8578

Interpretation OF Reliance Industries
Beta of Reliance Industries is 1.552133406 which means the Reliance Industries
beta is more than 1 means it tends to be more volatile than the market BSE
Sensex.
So it is a more risky for investment.standard deviation of Reliance Industries Is
1.860071268 and correlation is 0.857817022 is Positive correlation so that It
means that when market return increases, the company‘s return also increases.

65

Table No. 1.12
Volatility of State Bank of India | Finance Return

Date

STOCK
PRICE
close

SENSEX
PRICE
close

Stock
Return
Y (m)

Sensex
Return
X

X^2

Y^2

X*Y

03-Oct-11

1862.75

16151.45

-1.1891

-0.6471

0.4188

1.4140

0.7695

04-Oct-11

1786.7

15864.86

-3.6380

-1.3672

1.8693

13.2350

4.9740

05-Oct-11

1715.3

15792.41

-5.1711

-1.1101

1.2323

26.7403

5.7404

07-Oct-11

1751.85

16232.54

-0.6365

0.0619

0.0038

0.4051

-0.0394

10-Oct-11

1754.55

16557.23

-0.3106

1.7343

3.0080

0.0965

-0.5387

11-Oct-11

1765.1

16536.47

-0.4476

-0.7963

0.6341

0.2003

0.3564

12-Oct-11

1872.25

16958.39

4.9272

1.7570

3.0871

24.2776

8.6572

13-Oct-11

1886.95

16883.92

0.2623

-0.9718

0.9444

0.0688

-0.2549

14-Oct-11

1882.5

17082.69

0.4515

1.4392

2.0714

0.2039

0.6499

17-Oct-11

1891.8

17025.09

-0.4334

-0.8867

0.7862

0.1879

0.3843

18-Oct-11

1863.4

16748.29

-0.3918

-0.4125

0.1702

0.1535

0.1616

19-Oct-11

1919.1

17085.34

1.5215

1.1822

1.3976

2.3151

1.7987

20-Oct-11

1934.45

16936.89

2.1582

0.1478

0.0219

4.6580

0.3191

21-Oct-11

1948.6

16785.64

0.4208

-1.1328

1.2833

0.1771

-0.4767

24-Oct-11

1907.55

16939.28

-3.5359

-0.4237

0.1796

12.5029

1.4984

25-Oct-11

1840.45

17254.86

-4.3223

1.4029

1.9682

18.6824

-6.0638

26-Oct-11

1866.95

17288.83

0.4794

-0.2748

0.0755

0.2298

-0.1317

28-Oct-11

1907

17804.8

-0.7918

0.7467

0.5575

0.6270

-0.5912

31-Oct-11

1906.7

17705.01

-0.6451

-0.5716

0.3267

0.4161

0.3687

01-Nov-11

1902.2

17480.83

0.4311

-0.3416

0.1167

0.1858

-0.1473

02-Nov-11

1908.95

17464.85

1.2546

0.6708

0.4499

1.5741

0.8416

03-Nov-11

1934.5

17481.93

1.6800

0.2931

0.0859

2.8225

0.4924

04-Nov-11

1964.25

17562.61

0.3335

-0.6382

0.4073

0.1112

-0.2128

08-Nov-11

1997.55

17569.53

1.3166

-0.1374

0.0189

1.7335

-0.1809

09-Nov-11

1862.5

17362.1

-8.1450

-1.6120

2.5986

66.3405

13.1298

11-Nov-11

1797.65

17192.82

-3.4684

0.0287

0.0008

12.0299

-0.0995

14-Nov-11

1753.05

17118.74

-4.1613

-1.3423

1.8017

17.3166

5.5856

15-Nov-11

1729.9

16882.67

-0.9307

-1.1784

1.3887

0.8662

1.0968

16-Nov-11

1764.9

16775.87

1.9973

-0.5748

0.3304

3.9891

-1.1481

17-Nov-11

1757.5

16461.71

-0.3528

-1.7797

3.1674

0.1244

0.6278

66

18-Nov-11

1725.5

16371.51

-1.7096

-0.0989

0.0098

2.9229

0.1691

21-Nov-11

1673.05

15946.1

-3.0394

-2.2007

4.8432

9.2377

6.6888

22-Nov-11

1688.65

16065.42

0.5122

0.4340

0.1884

0.2624

0.2223

23-Nov-11

1654.3

15699.97

-0.9490

-1.7174

2.9494

0.9007

1.6299

24-Nov-11

1653.25

15858.49

-0.2268

0.8997

0.8095

0.0515

-0.2041

25-Nov-11

1690.7

15695.43

2.5374

-0.5468

0.2990

6.4385

-1.3874

28-Nov-11

1776.9

16167.13

2.9208

1.7092

2.9214

8.5312

4.9923

29-Nov-11

1756.5

16008.34

-1.6225

-1.2620

1.5927

2.6327

2.0477

30-Nov-11

1762.85

16123.46

0.8424

1.5784

2.4915

0.7096

1.3297

01-Dec-11

1819.25

16483.45

0.3985

-0.4397

0.1933

0.1588

-0.1752

02-Dec-11

1886.5

16846.83

3.4190

2.0945

4.3868

11.6898

7.1610

05-Dec-11

1908.6

16805.33

1.3937

-0.0415

0.0017

1.9424

-0.0578

07-Dec-11

1936.7

16877.06

1.2754

0.2786

0.0776

1.6266

0.3553

08-Dec-11

1865.85

16488.24

-3.8133

-2.0105

4.0422

14.5411

7.6667

09-Dec-11

1863.95

16213.46

1.8268

-0.2774

0.0770

3.3371

-0.5068

12-Dec-11

1773.1

15870.35

-6.0854

-3.0536

9.3242

37.0319

18.5821

13-Dec-11

1787.2

16002.51

1.5779

1.3991

1.9575

2.4897

2.2076

14-Dec-11

1784.65

15881.14

0.0364

-0.5202

0.2706

0.0013

-0.0189

15-Dec-11

1744.5

15836.47

-0.6019

0.6152

0.3784

0.3623

-0.3703

16-Dec-11

1680.45

15491.35

-4.3709

-2.4364

5.9360

19.1044

10.6491

19-Dec-11

1631.55

15175.08

-2.2892

-0.3951

0.1561

5.2406

0.9044

20-Dec-11

1582.8

15685.21

-3.1084

-1.7202

2.9590

9.6622

5.3471

21-Dec-11

1623.1

15813.36

0.0062

1.2589

1.5848

0.0000

0.0078

22-Dec-11

1668.45

15738.7

3.2635

1.6865

2.8444

10.6505

5.5041

23-Dec-11

1648.35

15970.75

-1.7381

-0.7925

0.6281

3.0210

1.3775

26-Dec-11

1664.65

15873.95

1.3606

1.1808

1.3942

1.8514

1.6066

27-Dec-11

1642.9

15727.85

-1.5887

-0.6931

0.4805

2.5238

1.1012

28-Dec-11

1609.7

15543.93

-0.9691

-0.8044

0.6470

0.9392

0.7795

29-Dec-11

1627.05

15454.92

1.7854

-0.7399

0.5475

3.1878

-1.3211

30-Dec-11

1619.5

16483.45

-1.1670

-0.8323

0.6927

1.3620

0.9713

SUM

-31.4604

-14.1822

85.0865

376.0958

114.8265

VARIAN
CE
4.9933

CORRE
LATION

BETA

S.D

1.313894344

2.234576313

67

0.6264

Interpretation of SBI
Beta of State Bank of India is 1.313894344 which means the State Bank of India
beta is more than 1 means it tends to be more volatile than the market BSE
Sensex.
So it is a more risky for investment.standard deviation of State Bank of India Is
2.234576313and correlation

is 0.626401482 is Positive correlation so that It

means that when market return increases, the company‘s return also increases.

Table No. 1.13
Volatility of Ranbaxy Laboratories | Healthcare

SENSEX
PRICE

Stock
Return

Sensex
Return

Date

STOC
K
PRICE
close

close

Y

X

X^2

Y^2

X*Y

03-Oct-11
04-Oct-11
05-Oct-11
07-Oct-11
10-Oct-11
11-Oct-11
12-Oct-11
13-Oct-11
14-Oct-11
17-Oct-11
18-Oct-11
19-Oct-11
20-Oct-11
21-Oct-11
24-Oct-11
25-Oct-11
26-Oct-11

513.35
516.25
519.5
517.5
516.6
516.2
516.55
502.35
502.5
497.85
501.4
514.45
501.4
496.6
505.05
509.9
516

16151.45
15864.86
15792.41
16232.54
16557.23
16536.47
16958.39
16883.92
17082.69
17025.09
16748.29
17085.34
16936.89
16785.64
16939.28
17254.86
17288.83

0.8474
0.6295
-0.8085
-0.8696
-0.2323
-0.3487
-0.6679
-2.5779
0.9950
-1.4362
1.4759
1.8369
-1.5257
-1.2888
1.5939
0.8727
0.7752

-0.6471
-1.3672
-1.1101
0.0619
1.7343
-0.7963
1.7570
-0.9718
1.4392
-0.8867
-0.4125
1.1822
0.1478
-1.1328
-0.4237
1.4029
-0.2748

0.4188
1.8693
1.2323
0.0038
3.0080
0.6341
3.0871
0.9444
2.0714
0.7862
0.1702
1.3976
0.0219
1.2833
0.1796
1.9682
0.0755

0.7180
0.3963
0.6536
0.7561
0.0540
0.1216
0.4461
6.6455
0.9901
2.0626
2.1782
3.3743
2.3278
1.6609
2.5405
0.7616
0.6009

-0.5484
-0.8607
0.8975
-0.0538
-0.4029
0.2777
-1.1735
2.5052
1.4321
1.2734
-0.6088
2.1716
-0.2256
1.4599
-0.6754
1.2243
-0.2130

68

28-Oct-11
31-Oct-11
01-Nov-11
02-Nov-11
03-Nov-11
04-Nov-11
08-Nov-11
09-Nov-11
11-Nov-11
14-Nov-11
15-Nov-11
16-Nov-11
17-Nov-11
18-Nov-11
21-Nov-11
22-Nov-11
23-Nov-11
24-Nov-11
25-Nov-11
28-Nov-11
29-Nov-11
30-Nov-11
01-Dec-11
02-Dec-11
05-Dec-11
07-Dec-11
08-Dec-11
09-Dec-11
12-Dec-11
13-Dec-11
14-Dec-11
15-Dec-11
16-Dec-11
19-Dec-11
20-Dec-11
21-Dec-11
22-Dec-11
23-Dec-11
26-Dec-11
27-Dec-11
28-Dec-11

514.4
501.1
504.95
511.85
513.6
503.6
496.8
475.4
468.1
483.9
468.5
473.05
453.25
458.4
447.4
445.9
429.4
428.95
440.6
449.4
452.35
434.8
444.1
442.4
436.4
437.75
418.65
415.9
405.75
406.2
400.85
383.95
380.25
383.5
395.35
406.95
421.55
405.5
401.65
410.75
405

17804.8
17705.01
17480.83
17464.85
17481.93
17562.61
17569.53
17362.1
17192.82
17118.74
16882.67
16775.87
16461.71
16371.51
15946.1
16065.42
15699.97
15858.49
15695.43
16167.13
16008.34
16123.46
16483.45
16846.83
16805.33
16877.06
16488.24
16213.46
15870.35
16002.51
15881.14
15836.47
15491.35
15175.08
15685.21
15813.36
15738.7
15970.75
15873.95
15727.85
15543.93

-1.2830
-2.4546
0.9803
2.3151
0.5062
-2.6608
-2.4557
-3.9125
-1.4740
1.6326
-3.3191
-0.2008
-3.9934
1.8325
-2.3692
-1.5923
-3.1905
-0.2448
1.2710
0.9791
-1.8901
-4.1858
-6.1247
-0.8024
-1.0541
-0.9595
-4.8609
0.5771
-3.3272
0.8124
-1.2848
-2.8780
-1.5122
1.1604
2.6306
1.3392
4.4004
-3.2182
-1.3320
2.3737
-0.3704

69

0.7467
-0.5716
-0.3416
0.6708
0.2931
-0.6382
-0.1374
-1.6120
0.0287
-1.3423
-1.1784
-0.5748
-1.7797
-0.0989
-2.2007
0.4340
-1.7174
0.8997
-0.5468
1.7092
-1.2620
1.5784
-0.4397
2.0945
-0.0415
0.2786
-2.0105
-0.2774
-3.0536
1.3991
-0.5202
0.6152
-2.4364
-0.3951
-1.7202
1.2589
1.6865
-0.7925
1.1808
-0.6931
-0.8044

0.5575
0.3267
0.1167
0.4499
0.0859
0.4073
0.0189
2.5986
0.0008
1.8017
1.3887
0.3304
3.1674
0.0098
4.8432
0.1884
2.9494
0.8095
0.2990
2.9214
1.5927
2.4915
0.1933
4.3868
0.0017
0.0776
4.0422
0.0770
9.3242
1.9575
0.2706
0.3784
5.9360
0.1561
2.9590
1.5848
2.8444
0.6281
1.3942
0.4805
0.6470

1.6462
6.0251
0.9610
5.3598
0.2563
7.0801
6.0305
15.3076
2.1728
2.6653
11.0164
0.0403
15.9471
3.3579
5.6133
2.5354
10.1793
0.0599
1.6154
0.9586
3.5726
17.5212
37.5125
0.6439
1.1111
0.9205
23.6280
0.3330
11.0701
0.6600
1.6506
8.2828
2.2866
1.3464
6.9200
1.7935
19.3638
10.3571
1.7742
5.6345
0.1372

-0.9580
1.4030
-0.3349
1.5529
0.1484
1.6982
0.3374
6.3070
-0.0423
-2.1914
3.9113
0.1154
7.1070
-0.1812
5.2141
-0.6911
5.4793
-0.2202
-0.6950
1.6735
2.3854
-6.6071
2.6931
-1.6807
0.0437
-0.2673
9.7729
-0.1601
10.1597
1.1366
0.6683
-1.7704
3.6842
-0.4584
-4.5251
1.6859
7.4215
2.5505
-1.5728
-1.6453
0.2979

29-Dec-11
30-Dec-11

403.65
405.25

15454.92
16483.45

-0.3344
-0.8267

-0.7399
-0.8323

0.5475
0.6927

0.1119
0.6834

0.2475
0.6880

SUM

42.0306

14.1822

85.0865

282.4315

60.8613

BETA

S.D

VARI
ANCE

Correl
ation

0.62304

2.0707

4.2879

0.3542

Interpretation Ranbaxy Laboratories
Beta of Ranbaxy Laboratories is 0.62304 which means the Ranbaxy

Laboratories beta is less than 1 means it tends to be less volatile than the
market BSE Sensex.
So it is a less risky for investment. Standard deviation of Ranbaxy Laboratories Is
2.070734721 and correlation

is 0.354153414is Positive correlation so that It

means that when market return increases, the company‘s return also increases.

Table No. 1.14
Volatility of TCS | Information Technology

stock
Date

open

STOCK
PRICE
close

SENSEX
PRICE
close

Stock
Return
Y

Sensex
Return
X

X^2

Y^2

X*Y

03-Oct-11

1024.95

1044

16151.45

1.824713

-0.64712

0.41877

3.329576

-1.18082

04-Oct-11

1036

1045.95

15864.86

0.951288

-1.36724

1.869333

0.904949

-1.30064

05-Oct-11

1052.25

1043.5

15792.41

-0.83852

-1.11009

1.2323

0.703123

0.930838

07-Oct-11

1070

1048.7

16232.54

-2.03109

0.061913

0.003833

4.125311

-0.12575

10-Oct-11

1048.3

1065.3

16557.23

1.595795

1.734348

3.007963

2.54656

2.767663

11-Oct-11

1071.05

1041.2

16536.47

-2.86688

-0.7963

0.634095

8.219026

2.282902

12-Oct-11

1064

1079.35

16958.39

1.422152

1.757006

3.087072

2.022517

2.498731

13-Oct-11

1095

1090.8

16883.92

-0.38504

-0.97181

0.944419

0.148255

0.374185

14-Oct-11

1088.6

1134.5

17082.69

4.045835

1.439235

2.071396

16.36878

5.822906

17-Oct-11

1150

1119.8

17025.09

-2.69691

-0.88669

0.786222

7.273324

2.391327

18-Oct-11

1062

1033.5

16748.29

-2.75762

-0.41252

0.170173

7.604467

1.137573

70

19-Oct-11

1043.5

1048.7

17085.34

0.495852

1.182183

1.397557

0.245869

0.586188

20-Oct-11

1036

1044.7

16936.89

0.832775

0.147843

0.021858

0.693514

0.12312

21-Oct-11

1052

1048.25

16785.64

-0.35774

-1.13281

1.283266

0.127977

0.405252

24-Oct-11

1057

1079.35

16939.28

2.070691

-0.42375

0.179563

4.28776

-0.87745

25-Oct-11

1086.1

1099.3

17254.86

1.200764

1.402909

1.968154

1.441834

1.684563

26-Oct-11

1101

1095.55

17288.83

-0.49747

-0.2748

0.075516

0.247473

0.136705

28-Oct-11

1116.5

1119.65

17804.8

0.281338

0.746653

0.55749

0.079151

0.210062

31-Oct-11

1118

1114.2

17705.01

-0.34105

-0.57159

0.326715

0.116316

0.194942

01-Nov-11

1100

1107.5

17480.83

0.677201

-0.34163

0.116712

0.458601

-0.23135

02-Nov-11

1095.05

1106.3

17464.85

1.016903

0.670776

0.44994

1.034092

0.682114

03-Nov-11

1100

1103.45

17481.93

0.312656

0.293103

0.085909

0.097754

0.09164

04-Nov-11

1117.2

1099.1

17562.61

-1.6468

-0.63823

0.407339

2.711957

1.05104

08-Nov-11

1100.95

1103.5

17569.53

0.231083

-0.1374

0.018878

0.053399

-0.03175

09-Nov-11

1111

1123

17362.1

1.068566

-1.61202

2.598599

1.141834

-1.72255

11-Nov-11

1102

1130.8

17192.82

2.546869

0.028675

0.000822

6.486544

0.073031

14-Nov-11

1136

1126.5

17118.74

-0.84332

-1.34227

1.801693

0.711189

1.131965

15-Nov-11

1127.8

1122.95

16882.67

-0.4319

-1.17843

1.388691

0.186536

0.508961

16-Nov-11

1122.2

1116.2

16775.87

-0.53754

-0.57481

0.330411

0.288947

0.308984

17-Nov-11

1114.7

1113

16461.71

-0.15274

-1.77971

3.167353

0.02333

0.271833

18-Nov-11

1109.95

1088.05

16371.51

-2.01278

-0.09889

0.009779

4.051264

0.199046

21-Nov-11

1085

1064.95

15946.1

-1.88272

-2.20073

4.843196

3.544625

4.143346

22-Nov-11

1068

1084.55

16065.42

1.525979

0.434038

0.188389

2.32861

0.662332

23-Nov-11

1083

1062.4

15699.97

-1.93901

-1.71739

2.949435

3.759744

3.330033

24-Nov-11

1069.75

1089.25

15858.49

1.790223

0.899707

0.809473

3.204897

1.610676

25-Nov-11

1088.4

1062.95

15695.43

-2.39428

-0.54678

0.298972

5.732577

1.309153

28-Nov-11

1074

1089.15

16167.13

1.390993

1.709209

2.921395

1.934861

2.377497

29-Nov-11

1094.4

1090.7

16008.34

-0.33923

-1.26203

1.592719

0.115078

0.42812

30-Nov-11

1089

1113.1

16123.46

2.165124

1.578445

2.49149

4.687764

3.417531

01-Dec-11

1135

1134.75

16483.45

-0.02203

-0.43971

0.193348

0.000485

0.009687

02-Dec-11

1130

1175.5

16846.83

3.870693

2.094459

4.38676

14.98227

8.10701

05-Dec-11

1172

1179.55

16805.33

0.640075

-0.04147

0.00172

0.409695

-0.02655

07-Dec-11

1177.2

1179.1

16877.06

0.16114

0.278603

0.07762

0.025966

0.044894

08-Dec-11

1166.3

1177.3

16488.24

0.934341

-2.01052

4.042206

0.872994

-1.87852

09-Dec-11

1170.95

1171.7

16213.46

0.06401

-0.27742

0.076964

0.004097

-0.01776

12-Dec-11

1174.2

1179.9

15870.35

0.483092

-3.05356

9.324203

0.233378

-1.47515

13-Dec-11

1169

1179.7

16002.51

0.90701

1.399093

1.957461

0.822668

1.268992

14-Dec-11

1179

1179.8

15881.14

0.067808

-0.52018

0.270584

0.004598

-0.03527

15-Dec-11

1170

1182.6

15836.47

1.065449

0.615162

0.378425

1.135182

0.655424

16-Dec-11

1180.5

1143.5

15491.35

-3.23568

-2.43639

5.936006

10.46962

7.883384

19-Dec-11

1143.5

1142.55

15175.08

-0.08315

-0.39508

0.156085

0.006913

0.032849

20-Dec-11

1141

1133.1

15685.21

-0.6972

-1.72019

2.959049

0.486091

1.19932

71

21-Dec-11

1149

1159.9

15813.36

0.939736

1.258893

1.584811

0.883104

1.183027

22-Dec-11

1148

1149

15738.7

0.087032

1.686549

2.844446

0.007575

0.146784

23-Dec-11

1150

1156.3

15970.75

0.544841

-0.79251

0.628064

0.296852

-0.43179

26-Dec-11

1152.3

1187.9

15873.95

2.996885

1.180784

1.39425

8.981321

3.538673

27-Dec-11

1186

1176.75

15727.85

-0.78606

-0.69315

0.480454

0.617896

0.544858

28-Dec-11

1169.9

1169.15

15543.93

-0.06415

-0.80437

0.64701

0.004115

0.0516

29-Dec-11

1161.1

1165.35

15454.92

0.364697

-0.7399

0.547456

0.133004

-0.26984

30-Dec-11

1175

1161.25

16483.45

-1.18407

-0.83229

0.692709

1.402019

0.985491

9.548638
S.D

-14.1822
VARIAN
CE

85.08652
Correlati
on

144.8192

59.19107

SUM
BETA
0.751803

0

0

0.567785

Interpretation of TCS
Beta of TCS is 0.751803 which means the TCS beta is less than 1 means it
tends to be less volatile than the market BSE Sensex.
So it is a less risky for investment. Standard deviation of TCS Is
1.545421337and correlation

is 0.567784783 is Positive correlation so that It

means that when market return increases, the company‘s return also increases.

Table No. 1.15
Volatility of ONGC | Oil and Gas

Date

STOCK
PRICE
close

SENSEX
PRICE
close

Stock
Return
Y

Sensex
Return
X

X^2

Y^2

X*Y

03-Oct-11

268.55

04-Oct-11

264.4

16151.45

1.9736

-0.6471

0.4188

3.8949

-1.2771

15864.86

-1.2670

-1.3672

1.8693

1.6053

1.7323

05-Oct-11

264.2

15792.41

0.3028

-1.1101

1.2323

0.0917

-0.3361

07-Oct-11

264.45

16232.54

-1.3424

0.0619

0.0038

1.8021

-0.0831

10-Oct-11

273.5

16557.23

3.4735

1.7343

3.0080

12.0651

6.0242

72

11-Oct-11

268.35

16536.47

-0.9875

-0.7963

0.6341

0.9752

0.7864

12-Oct-11

270.5

16958.39

0.5545

1.7570

3.0871

0.3075

0.9743

13-Oct-11

265

16883.92

-3.0566

-0.9718

0.9444

9.3428

2.9704

14-Oct-11

266.65

17082.69

0.6188

1.4392

2.0714

0.3829

0.8906

17-Oct-11

269.5

17025.09

0.5566

-0.8867

0.7862

0.3098

-0.4935

18-Oct-11

263.6

16748.29

-1.8778

-0.4125

0.1702

3.5263

0.7746

19-Oct-11

268.35

17085.34

1.5838

1.1822

1.3976

2.5083

1.8723

20-Oct-11

266.8

16936.89

-0.0750

0.1478

0.0219

0.0056

-0.0111

21-Oct-11

265.4

16785.64

-0.6217

-1.1328

1.2833

0.3865

0.7043

24-Oct-11

276.25

16939.28

2.4796

-0.4237

0.1796

6.1486

-1.0507

25-Oct-11

276.7

17254.86

0.1626

1.4029

1.9682

0.0264

0.2282

26-Oct-11

276.2

17288.83

-0.2896

-0.2748

0.0755

0.0839

0.0796

28-Oct-11

284.6

17804.8

1.6163

0.7467

0.5575

2.6124

1.2068

31-Oct-11

278.2

17705.01

-2.8037

-0.5716

0.3267

7.8609

1.6026

01-Nov-11

277.95

17480.83

0.7016

-0.3416

0.1167

0.4922

-0.2397

02-Nov-11

278.25

17464.85

0.4852

0.6708

0.4499

0.2354

0.3254

03-Nov-11

277.95

17481.93

0.0899

0.2931

0.0859

0.0081

0.0264

04-Nov-11

277.65

17562.61

-1.2966

-0.6382

0.4073

1.6812

0.8275

08-Nov-11

278

17569.53

-3.0576

-0.1374

0.0189

9.3486

0.4201

09-Nov-11

271.25

17362.1

-3.0415

-1.6120

2.5986

9.2506

4.9029

11-Nov-11

265.8

17192.82

-2.3326

0.0287

0.0008

5.4409

-0.0669

14-Nov-11

261.2

17118.74

-1.9142

-1.3423

1.8017

3.6643

2.5694

15-Nov-11

258.8

16882.67

-1.2365

-1.1784

1.3887

1.5289

1.4571

16-Nov-11

263.3

16775.87

1.2533

-0.5748

0.3304

1.5708

-0.7204

17-Nov-11

257.35

16461.71

-2.5840

-1.7797

3.1674

6.6772

4.5988

18-Nov-11

259.25

16371.51

0.5786

-0.0989

0.0098

0.3348

-0.0572

21-Nov-11

252.25

15946.1

-3.6472

-2.2007

4.8432

13.3019

8.0264

22-Nov-11

251.85

16065.42

-0.4566

0.4340

0.1884

0.2085

-0.1982

23-Nov-11

246.3

15699.97

-2.3143

-1.7174

2.9494

5.3558

3.9745

24-Nov-11

253.45

15858.49

2.5449

0.8997

0.8095

6.4764

2.2896

25-Nov-11

251.85

15695.43

-1.1713

-0.5468

0.2990

1.3720

0.6405

28-Nov-11

261.65

16167.13

2.2358

1.7092

2.9214

4.9989

3.8215

29-Nov-11

257.9

16008.34

-1.5898

-1.2620

1.5927

2.5273

2.0063

30-Nov-11

265.8

16123.46

3.6870

1.5784

2.4915

13.5938

5.8197

01-Dec-11

266.05

16483.45

-1.9733

-0.4397

0.1933

3.8940

0.8677

02-Dec-11

268.05

16846.83

0.3731

2.0945

4.3868

0.1392

0.7814

05-Dec-11

268.6

16805.33

-0.1489

-0.0415

0.0017

0.0222

0.0062

07-Dec-11

273

16877.06

1.8315

0.2786

0.0776

3.3544

0.5103

08-Dec-11

266.8

16488.24

-1.9490

-2.0105

4.0422

3.7987

3.9186

09-Dec-11

261.7

16213.46

-0.8407

-0.2774

0.0770

0.7067

0.2332

12-Dec-11

257.45

15870.35

-2.5053

-3.0536

9.3242

6.2767

7.6502

73

13-Dec-11

255.35

16002.51

-0.6462

1.3991

1.9575

0.4175

-0.9041

14-Dec-11

252

15881.14

-1.0714

-0.5202

0.2706

1.1480

0.5573

15-Dec-11

251.25

15836.47

0.4975

0.6152

0.3784

0.2475

0.3061

16-Dec-11

250.1

15491.35

-1.4794

-2.4364

5.9360

2.1886

3.6044

19-Dec-11

247.3

15175.08

-1.6983

-0.3951

0.1561

2.8844

0.6710

20-Dec-11

253.2

15685.21

1.2441

-1.7202

2.9590

1.5477

-2.1400

21-Dec-11

260.65

15813.36

1.5922

1.2589

1.5848

2.5350

2.0044

22-Dec-11

264.75

15738.7

2.5496

1.6865

2.8444

6.5003

4.3000

23-Dec-11

261.55

15970.75

-1.7014

-0.7925

0.6281

2.8947

1.3484

26-Dec-11

262.25

15873.95

0.4766

1.1808

1.3942

0.2272

0.5628

27-Dec-11

263.55

15727.85

0.3984

-0.6931

0.4805

0.1587

-0.2762

28-Dec-11

260.55

15543.93

-0.5565

-0.8044

0.6470

0.3097

0.4476

29-Dec-11

258.45

15454.92

-0.9867

-0.7399

0.5475

0.9735

0.7300

30-Dec-11

256.95

16483.45

-0.4281

-0.8323

0.6927

0.1833

0.3563

Sum

-19.0875

-14.1822

85.0865

182.4121

82.5542

Correlati
on

BETA

S.D

VARIA
NCE

0.954831914

0.0000

0.0000

0.6501

Interpretation of ONGC
Beta of ONGC is 0.954831914 which means the ONGC beta is less than 1
means it tends to be less volatile than the market BSE Sensex.
So it is a less risky for investment.standard deviation of ONGC Is 1.728818046
and correlation is 0.650060411is Positive correlation so that It means that when
market return increases, the company‘s return also increases

74

CHEPTER -7

FINDINGS

Company Name

Bharat Heavy Electricals Ltd.

Beta

Larsen & Toubro Limited

1.164
1.0867

HDFC Bank

0.8735

ACC LTD

0.9909

State Bank of India

1.3139

Hindustan Unilever Ltd.

1.4575

Tata Consultancy Services
Limited
Hindalco Industries Ltd.

0.7518

ONGC Ltd.

0.9548

Reliance Industries Ltd.

1.5521

NTPC Ltd.

0.9941

Mahindra & Mahindra Ltd.

1.1843

Grasim Industry

0.8185

Ranbaxy Laboratories

0.623

Bharti Airtel

1.5706

1.026

75

S.D

Rank
(beta
Correlation wise)

2.8

0.4573

10

1.8427

0.605

9

1.2092

0.6497

4

1.3239

0.6999

6

2.2346

0.6264

12

2.5084

0.6299

13

1.5454

0.5678

2

2.6816

0.6405

15

1.7288

0.65

5

1.86

0.8578

14

1.4072

0.6721

7

1.8828

0.6483

11

1.2128

0.6077

3

2.0707

0.3542

1

1.9822

5392

8

Beta of BHEL company is 1.164 which means the BHEL company share price
fluctuate more than BSE Sensex because if BHEL beta is greater than 1 than it
represent the BHEL share price is more fluctuate compare to market return, if
BHEL beta is less than its represent that BHEL share price less fluctuate
compare to market return, if BHEL beta is equal to 1 than its shows that both
are fluctuate in same sense.
The value of correlation could be positive, negative or zero. It always varies
between the -1.0 (negative correlation) and +1.0 (positively correlation).so this is
Positive correlation so that It means that when market return increases, the
company‘s return also increases.

76

CHEPTER - 8
Conclusion

There are number of factors which have an influence on the price
movements. The volatility is depends on the internal and external factors.
Some of them are controllable and others are non controllable.

In the year 1978, the base year, the Sensex was 100 and now its more
than 17316. it shows that the volatility is very high. When compared with
―Nifty‖ of NSE. The price volatility is very high in Sensex.

Fluctuation ratio of Sensex: Nifty is nearly 3:1.

The study also shows that most of the companies in the Sensex are less
volatile that Sensex movement.

77

CHEPTER-9
SUGGESTION & RECOMMANDATION

The company stock was highly volatile in the last 3 month and the stock
price was moving up and down based on the industry fluctuation. To keep
it as the company must try to improve the financial performance which will
improve the company's performance as a whole.

By applying the statistical analysis it is found that we can buy the
company's stock as a speculator and also as an investor.

We suggest investors category as per them investment purpose.

Hedger-: as per price volatility of various securities who's beta is show in
green box those securities are useful to investors for heading them
portfolio.

Specially beta rank from 1 to 5 are those securities which heading portfolio
risk.

Securities rank in yellow box which show that securities are move with
market return (Sensex) , it denoted that if market id positive then securities
return is also positive and vice versa market return is negative then
securities return is also negatives.

Beta rank from 6 to 10 is those securities it may can be use for hedging
portfolio.

Speculators-: those investors whose main purpose is to take high risk
and gain short term profit.

as per price volatility of various securities who's beta is show in RED box
those securities are useful to investors for speculate them portfolio.

specially beta rank from 11 to 15 are those securities which speculating
portfolio .
78

Limitations of the study
The most important limitation of this study is that it considers only Sensex
companies listed in Bombay Stock Exchange.
Only three months duration has been taken for the study.
The indices taken as benchmark have their own limitations. The BSE sensex
consist of 30 scripts. So it does not truly reflect as a whole. Hence there is a
limitation that the true returns from the market is not reflected indices
Generalization of findings and conclusions of the study are likely to be
disputed as security prices are determined by so many factors. However the
findings and conclusions drawn upon the secondary data collected is
expected to through some new light on volatility of share prices during public
issues.

79

BIBILOGRAPHY

Book refer :1. Reilly/Brown, Investments- Analysis and Portfolio Management, Cengage
Learning Eighth Edition.

2. Fischer and Jordon, Security analysis and Portfolio Management Pearson
Latest Edition.

3. Business statistics
Authors-: ken black

Internet source : http://www.financeresearch.net
 http://www.finance.indiamart.com
 http://www.bseindia.com
 http://www.moneycontrol.com

80