Capital Market Segment 4

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Capital Market Segment 4

The CM segment of NSE provides an efficient and transparent platform for trading of equity and
preference shares, debentures, warrants, coupons, exchange traded funds as well as retail
Government securities. This segment started operations in November 1994.

Trading Mechanism
The trading system, known as the National Exchange for Automated Trading (NEAT) system, is
an on-line, fully-automated, nationwide, anonymous, order-driven, screen-based trading system
where a member can punch into the computer quantities of securities and the prices at which he
likes to transact and the transaction is executed as soon as it finds a matching sale or buy order
from a counter party. It electronically matches orders on a strict price/time priority and hence cuts
down on time, cost and risk of error, as well as on fraud resulting in improved operational efficiency.
It allows faster incorporation of price sensitive information into prevailing prices, thus increasing
the informational efficiency of markets. It enables market participants to see the full market on
real-time, making the market transparent. It allows a large number of participants, irrespective of
their geographical locations, to trade with one another simultaneously, improving the depth and
liquidity of the market. It provides tremendous flexibility to the users in terms of kinds of orders
that can be placed on the system. It ensures full anonymity by accepting orders, big or small, from
members without revealing their identity, thus providing equal access to everybody. It provides a
perfect audit trail which helps to resolve disputes by logging in the trade execution process in
entirety.

The trading platform of the CM segment is accessed not only from the computer terminals from
the premises of brokers spread over about 350 cities, but also from the personal computers in the
homes of investors through the Internet and from the hand-held devices through WAP.

On-line IPOs
The on-line trading system of NSE is used by companies to make IPOs through book building. It
is a fully automated screen based bidding system that allows trading members to enter bids on
behalf of their clients. All bids received by the system are numbered, time stamped, and stored in
the book till the last day of the book building process and the offer price is determined after the
bid closing date. While ensuring efficient price discovery, this system reduces time taken for
completion of the issue process. 19 companies have used the on-line IPO system of NSE by the
end of March 2003.

Market Performance
Trading Volume
NSE consolidated its lead position during 2002-03 further, accounting for about 64% of total
trading volume of all the stock exchanges in the country. The trading volume of the CM segment
increased rapidly from Rs. 1,805 crore during the first year of its operations, i.e. 1994-95 (November-
March) to Rs. 617,989 crore during 2002-03. The average daily trading volume also increased by
leaps and bounds from Rs. 17 crore during 1994-95 to Rs. 2,462 crore during 2002-03. The CM
segment registered a record number of trades on February 28, 2003 with 1,396,928 trades. The
demat trading volume in the CM segment increased from Rs. 351 crore during 1997-98 to Rs.
617,984 crore during 2002-03, accounting for about 99.99% of total trading volume on the CM
segment in value terms. The business growth of the CM segment is presented in Table 4-1 and
Chart 4-1.

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Internet Trading
At the end of March 2003, 80 members on the CM segment and 13 on the F&O Segment were
permitted to allow investor's web based access to NSE's trading system. The members in turn had
registered 415,760 clients for web based access as on March 31, 2003. In the Capital market segment
about 131 lakh trades for Rs. 15,361 crore, constituting 2.48% of total trading volume, were routed
and executed through internet whereas, in the F&O segment about 1.83 lakh trades for Rs. 5,149
crore, which constituted about 1.42% of total trading volume, were routed and executed through
the internet. The following table gives the growth of internet trading.

Year Enabled Registered Trading Volume % of total

Members* Clients* (Rs. crore) Trading Volume
1999-2000 3 -- -- --
2000-2001 61 1,23,578 7287.81 0.54
2001-2002 82 2,31,899 8,138.81 1.59
2002-2003 : CM 80 346,420 15,360.76 2.48
: F&O** 13 69,340 5,148.96 1.42
* At the end of the financial year
** Trading volume for F&O Segment is compiled from June 24, 2002.

Liquidity
The liquidity in the CM segment, as measured by the turnover ratio, has witnessed a steady
increase and reached nearly 8% during March 2003 when about 97% of securities available for
trading were in fact traded during the month. About 85% of securities available for trading is
being traded every day and 96% every month. About 86% of the securities were traded for at least
100 days during 2002-03, as indicated below:
Trading of Securities during 2002-03

No. of Days Traded No. of Securities % to Total

Above 100 797 85.70
51 to 100 41 4.41
10 to 50 53 5.70
Less than 10 39 4.19
Total 930 100.00

Distribution of Turnover
The concentration of trading among top 'N' securities/brokers is presented in Table 4-2. It is
observed that the top '5' and '100' securities account for about 40.6% and 95.4% of total turnover
in the CM segment in 2002-03. The details of '50' most active securities during 2002-03, which
accounted for 89.4% of turnover, are presented in Table 4-3.
Broker-wise distribution of turnover as presented in Table 4-2 indicates increasing diffusion of
trades among a large number of trading members over the years. During 2002-03, top '5' brokers
accounted for only 10.3% of turnover, while top '100' brokers accounted for 59.2% of total turnover.
The CM segment of NSE provides a nation-wide market. With the fast spread of VSAT terminals
across different parts of the country, the share of non-Mumbai centers is steadily increasing. The
city-wise distribution of turnover is presented in Table 4-4.

Market Capitalisation
The total market capitalisation of securities available for trading on the CM segment increased
from Rs. 3,63,350 crore as at end March 1995 to Rs. 537,133 crore as at end March 2003 (Table 4-
5). The details of '50' top companies by market capitalisation, which accounted for 77% of total
market capitalisation as at end March 2003, are presented in Table 4-6.

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Sectoral Distribution
Table 4-7 presents the share of top '50' companies, classified according to different sectors, in
terms of trading volume and market capitalisation. A drastic change in the importance of different
sectors is observed since NSE commenced trading. The share of manufacturing companies in
trading volume of top '50' companies, which was nearly more than 23% in 1998-99, declined
sharply to 2% in 2002-03. As compared to this, the share of information technology (IT) companies
in trading volume grew manifold and increased from 36% to 75% in 2002-03. Somewhat similar
trend has been noticed in these sectors in terms of market capitalisation. Sectors like manufacturing
and FMCG which used to dominate in terms of market capitalisation with more than 35% and
30% in the year 1998-99 respectively have shown declines to 8.03% and 9.1% in 2002-03.

Indices
India Index Services and Products Ltd. (IISL), in technical partnership with S&P, have developed
and have been maintaining scientifically an array of indices of stock prices on NSE. The popular
indices are the S&P CNX Nifty, CNX Nifty Junior, S&P CNX Defty, S&P CNX 500, CNX Midcap
200, S&P CNX Industry indices and CNX segment indices. S&P CNX Nifty, introduced in
November 3, 1995, is based on 50 largest and highly liquid stocks. CNX Nifty Junior, introduced
in December 1996, is built out of the next 50 large and liquid stocks. These indices are monitored
and updated dynamically and are reviewed regularly. The comparative movement of major sectoral
indices along with that of S&P CNX Nifty is presented in Chart 4-2. The movement of S&P CNX
Nifty and its volatility is presented in Chart 4-3.

The S&P CNX Nifty accounted for 58.97% of total market capitalisation as at end March 2003,
while the CNX Nifty Junior accounted for 6.43% of market capitalisation (Table 4-5). The
compositions of these two indices as at end March 2003 are presented in Table 4-8 and Table 4-9.
The industry wise weightages of securities included in S&P CNX Nifty are presented in
Table 4-10.

The movements in S&P CNX Nifty and CNX Nifty Junior are presented in Table 4-11 and Table
4-12 respectively. The S&P CNX Nifty Index touched its peak of 1818.15 on February 23, 2000.
The S&P CNX Nifty yielded a negative return of 13.40% during 2002-03. The 10 largest
day-to-day fluctuations in S&P CNX Nifty up to end March 2003 are presented in Table 4-13.

Transaction Charges
The maximum brokerage chargeable by trading member in respect of trades effected in the
securities admitted to dealing on the CM segment of the Exchange is fixed at 2.5% of the contract
price, exclusive of statutory levies like, SEBI turnover fee, service tax and stamp duty. This
maximum brokerage is inclusive of the brokerage charged by the sub-broker which shall not
exceed 1.5% of contract price. However, the brokerage charges as low as 0.15% are also observed
in the market.

A member is required to pay the exchange transaction charges at the rate of 0.004% (Rs. 4 per
Rs. 1 lakh) of the turnover.

Clearing & Settlement

While NSE provides a platform for trading to its trading members, the National Securities Clearing
Corporation Ltd. (NSCCL) determines the funds/securities obligations of the trading members
and ensures that trading members meet their obligations. The core processes involved in clearing
and settlement are:

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(a) Trade Recording: The key details about the trades are recorded to provide basis for settlement.
These details are automatically recorded in the electronic trading system of the exchanges.
(b) Trade Confirmation: The parties to a trade agree upon the terms of trade like security, quantity,
price, and settlement date, but not the counterparty which is the NSCCL. The electronic
system automatically generates confirmation by direct participants.
(c) Determination of Obligation: The next step is determination of what counter-parties owe, and
what counter-parties are due to receive on the settlement date. The NSCCL interposes itself
as a central counterparty between the counterparties to trades and nets the positions so that
a member has security wise net obligation to receive or deliver a security and has to either
pay or receive funds.
(d) Pay-in of Funds and Securities: The members bring in their funds/securities to the NSCCL.
They make available required securities in designated accounts with the depositories by the
prescribed pay-in time. The depositories move the securities available in the accounts of
members to the account of the NSCCL. Likewise members with funds obligations make
available required funds in the designated accounts with clearing banks by the prescribed
pay-in time. The NSCCL sends electronic instructions to the clearing banks to debit member's
accounts to the extent of payment obligations. The banks process these instructions, debit
accounts of members and credit accounts of the NSCCL.
(e) Pay-out of Funds and Securities: After processing for shortages of funds/securities and arranging
for movement of funds from surplus banks to deficit banks through RBI clearing, the NSCCL
sends electronic instructions to the depositories/clearing banks to release pay-out of securities/
funds. The depositories and clearing banks debit accounts of the NSCCL and credit accounts
of members. Settlement is complete upon release of pay-out of funds and securities to
custodians/members.
(f) Risk Management: A sound risk management system is integral to an efficient settlement
system. The NSCCL ensures that trading members' obligations are commensurate with
their net worth. It has put in place a comprehensive risk management system, which is
constantly monitored and upgraded to pre-empt market failures. It monitors the track record
and performance of members and their net worth; undertakes on-line monitoring of members'
positions and exposure in the market, collects margins from members and automatically
disables members if the limits are breached.

Settlement Agencies
The NSCCL, with the help of clearing members, custodians, clearing banks and depositories
settles the trades executed on exchanges. The roles of each of these entities are explained below:
(a) NSCCL: The NSCCL is responsible for post-trade activities of a stock exchange. Clearing
and settlement of trades and risk management are its central functions. It clears all trades,
determines obligations of members, arranges for pay-in of funds/securities, receives funds/
securities, processes for shortages in funds/securities, arranges for pay-out of funds/securities
to members, guarantees settlement, and collects and maintains margins/collateral/base
capital/other funds. It is the counterparty to all settlement obligations of the members.
(b) Clearing Members: They are responsible for settling their obligations as determined by the
NSCCL. They have to make available funds and/or securities in the designated accounts
with clearing bank/depositories, as the case may be, to meet their obligations on the settlement
day.
(c) Custodians: Custodian is a clearing member but not a trading member. He settles trades
assigned to him by trading members. He is required to confirm whether he is going to settle

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a particular trade or not. If it is confirmed, the NSCCL assigns that obligation to that custodian
and the custodian is required to settle it on the settlement day.
(d) Clearing Banks: Every clearing member is required to open a dedicated clearing account
with one of the clearing banks. Based on his obligation as determined through clearing, the
clearing member makes funds available in the clearing account for the pay-in and receives
funds in case of a pay-out.
(e) Depositories: Depositories help in the settlement of the dematerialised securities. Each
custodian/clearing member is required to maintain a clearing pool account with the
depositories. He is required to make available the required securities in the designated account
on settlement day. The depository runs an electronic file to transfer the securities from accounts
of the custodians/clearing member to that of NSCCL. As per the schedule of allocation of
securities determined by the NSCCL, the depositories transfer the securities on the pay-out
day from the account of the NSCCL to those of members/custodians.
(f) Professional Clearing Member: NSCCL admits special category of members namely, professional
clearing members. Professional Clearing Member (PCM) may clear and settle trades executed
for their clients (individuals, institutions etc.). In such an event, the functions and
responsibilities of the PCM would be similar to Custodians. PCMs may also undertake
clearing and settlement responsibility for trading members. In such a case, the PCM would
settle the trades carried out by the trading members connected to them. A PCM has no
trading rights but has only clearing rights, i.e. he clears the trades of his associate trading
members and institutional clients.

Settlement Cycles
NSCCL clears and settles trades as per well-defined settlement cycles, as presented in Table 4-14.
Since the beginning of the financial year 2002, all securities are being traded and settled under
T+3 rolling settlement. (From April 1, 2003, trades have been under T+2 rolling settlement). This
is a step towards further reducing the settlement cycle to T+1 in 2004. The NSCCL notifies the
consummated trade details to clearing members/custodians on the trade day. The custodians
affirm back the trades to NSCCL by T+1 day. Based on the affirmation, NSCCL nets the positions
of counterparties to determine their obligations. A clearing member has to pay-in/pay-out funds
and/or securities. A member has a security-wise net obligation to receive/deliver a security. The
obligations are netted for a member across all securities to determine his fund obligations and he
has to either pay or receive funds. Members' pay-in/pay-out obligations are determined latest by
T+1 day and are forwarded to them on the same day so that they can settle their obligations on
T+2 day. The securities/funds are paid-in/paid-out on T+2 day and the settlement is complete in
3 days from the end of the trading day.

The activity schedule for T+2 rolling settlement shall be as follows:

S.No. Day Time Description of Activity

1 T Trade Day

2. By 11.00 am Conformation of all trades (including custodial trades). Facility of an

exception window for late confirmations would be made available
T+1 by the exchanges.

By 1.30 pm Processing and downloading of obligation files to brokers/custodians

3 By 11.00 am Pay-in of securities and funds

T+2
By 1.30 pm Pay-out of securities and funds

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Settlement Statistics
The settlement statistics of the CM segment is presented in Table 4-15. During 2002-03, NSCCL
settled trades for Rs. 621,569 crore of which 14.15% were settled by delivery. However, these
deliveries include only the net deliveries made by the trading members to the clearing corporations.
This has ushered in an era of dematerialising trading and settlement. Of total delivery, nearly
100% of securities were delivered in demat form in 2002-03. The segment is witnessing substantial
reduction in the share of short and bad deliveries. Short deliveries and bad deliveries averaged
around 0.57 and 0.0000% respectively of total delivery in 2002-03.

Risk Management System

The Exchange has a dedicated Risk Group which looks into aspects relating to risk management.
The risk containment measures in vogue are described below:

Capital Adequacy
The capital adequacy requirements stipulated by the NSE are substantially in excess of the minimum
statutory requirements as also in comparison to those stipulated by other stock exchanges (Table
2-1A and 2-1B). A person seeking membership in the CM and F&O segment is required to have
a net worth of Rs. 1 crore, and keep an interest free security deposit of Rs. 1.25 crore and collateral
security deposit of Rs. 0.25 crore with the Exchange/NSCCL. The deposits kept with the Exchange
as part of the membership requirement are taken as base minimum capital of the member to
determine the member's intra-day trading limit and/or gross exposure limit. Additional base capital
is required to be deposited by the member for taking additional exposure.

Trading and Exposure Limits

NSCCL imposes limits on turnover and exposure in relation to the base minimum capital or
additional base capital of a member, which is the amount of funds, and securities that a member
keeps with the Exchange/NSCCL. Gross intra-day turnover of a member shall not exceed
33 1/3 times the base capital (cash deposit plus security deposit). Gross exposure (aggregate of net
cumulative outstanding positions in each security) of a member at any point of time shall not
exceed 8.5 times the free base capital (not utilised towards margin) up to Rs. 1 crore. If a member
has free capital in excess of Rs. 1 crore, his exposure shall not exceed Rs. 8.5 crore plus 10 times of
the capital in excess of Rs. 1 crore. Members exceeding these limits are automatically and
instantaneously disabled by the automated trading system. A penalty of Rs. 5,000 is levied for
each violation of gross exposure limit and intra-day turnover limit.

Margin Requirements
NSCCL imposes stringent margin requirements as a part of its risk containment measures (w.e.f.
April 01, 2003). The categorisation of stocks for imposition of margins has the structure as given
below;
§ The stocks which have traded at least 80% of the days for the previous 18 months (from July
1, 2001) shall constitute the Group I and Group II.
§ Out of the scrips identified above, the scrips having mean impact cost of less than or equal to
1% shall be categorised under Group I and the scrips where the impact cost is more than 1,
shall be categorised under Group II.
§ The remaining stocks shall be categorised under Group III.
§ The impact cost shall be calculated at 15th of each month on a rolling basis considering the
order book snapshots of the previous six months. On the calculated impact cost, the scrip
shall move from one group to another group from the 1st of the next month.
The daily margin comprises of the sum of Mark to Market Margin (MTM margin) and Value at
Risk-based Margin (VaR-based margin). VaR margin is applicable for all securities in rolling
settlement. All securities are classified into three groups for the purpose of VaR margin.

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VaR Based Margins

For the securities listed in Group I Scrip wise daily volatility calculated using the exponentially
weighted moving average methodology that is used in the index futures market and the
scrip wise daily VaR would be 3.5 times the volatility so calculated.
For the securities listed in Group II the VaR margin shall be higher of scrip VaR (3.5 sigma)
or three times the index VaR, and it shall be scaled up by root 3.
For the securities listed in Group III , the VaR margin would be equal to five times the index
VaR and scaled up by root 3.
VaR margin rate for a security constitute the following:
1. Value at Risk (VaR) based margin, which is arrived at, based on the methods stated
above. The index VaR, for the purpose, would be the higher of the daily Index VaR
based on S&P CNX NIFTY or BSE SENSEX. The index VaR would be subject to a
minimum of 5%.
2. Additional VaR Margin: 6% as specified by SEBI.
3. Security specific Margin : NSCCL may stipulate security specific margins for the
securities from time to time.
The VaR based margin would be rounded off to the next higher integer (For eg, if the VaR
based Margin rate is 10.01, it would be rounded off to 11.00) and capped at 100%.
The VaR margin rate computed as mentioned above will be charged on the net outstanding
position (buy value-sell value) of the respective clients on the respective securities across all
open settlements. The net position at a client level for a member are arrived at and thereafter,
it is grossed across all the clients for a member to compute gross exposure for margin
calculation.
Mark-to-Market Margin
Mark to market margin is computed on the basis of mark to market loss of a member. Mark
to market loss is the notional loss which the member would incur in case the cumulative net
outstanding position of the member in all securities, at the end of the relevant day were
closed out at the closing price of the securities as announced at the end of the day by the
NSE. Mark to market margin is calculated by marking each transaction in a scrip to the
closing price of the scrip at the end of trading. In case the security has not been traded on a
particular day, the latest available closing price at the NSE is considered as the closing price.
In the event of the net outstanding position of a member in any security being nil, the
difference between the buy and sell values would be considered as notional loss for the
purpose of calculating the mark to market margin payable.
MTM profit/loss across different securities within the same settlement is set off to determine
the MTM loss for a settlement. Such MTM losses for settlements are computed at client
level.
Non-payment of the margin attracts penal charge @ 0.09% per day of the amount not paid
throughout the period of non-payment. Trades done by trading members on behalf of
institutions are, however, exempt from margin and exposure requirements.

Index-based Circuit Filters

An index based market-wide circuit breaker system applies at three stages of the index movement
either way at 10%, 15% and 20%. These circuit breakers bring about a coordinated trading halt in
all equity and equity derivatives markets nation wide. The breakers are triggered by movement of
either S&P CNX Nifty or Sensex, whichever is breached earlier. However, in respect of scrips for
which derivative products are available or those included in indices on which derivative products
are available, a daily price limit of 10% is applicable. Any order above or below 20% over the base
price comes to the Exchange as a "price freeze", NSE may suo moto cancel the orders in the

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absence of any immediate confirmation from the members that these orders are genuine or for
any other reason as it may deem fit. The Exchange views entries of non-genuine orders with
utmost seriousness as this has market-wide repercussion.

Settlement Guarantee Fund

A large Settlement Guarantee Fund, which stood at Rs. 1,487 crore at the end of March 2003,
provides the cushion for any residual risk. It operates like a self-insurance mechanism where
members contribute to the Fund. In the event of failure of a trading member to meet settlement
obligations or committing a default, the Fund is utilised to the extent required for successful
completion of the settlement. This has eliminated counter-party risk of trading on the Exchange.
The market has full confidence that settlement shall take place in time and shall be completed
irrespective of default by isolated trading members.

Surveillance
As the securities transactions are prone to a variety of manipulations, the Exchange has instituted
a strong surveillance mechanism to protect market integrity. It includes:

On-line Monitoring
NSCCL has in place an on-line monitoring and surveillance system whereby exposure of the
members is monitored on a real time basis. A system of alerts has been built in so that both the
member and NSCCL are alerted as per pre-set levels (reaching 70%, 85%, 95% and 100%) when
the members approach their allowable limits. The system enables NSSCL to further check the
micro-details of members' positions, if required, and take pro-active action.
The on-line surveillance mechanism also generates various alerts/reports on any price/volume
movement of securities not in line with past trends/patterns. For this purpose the exchange has
put in place a system that generates alerts. Alerts are scrutinised and if necessary taken up for
follow up action. Open positions of securities are also analysed. Besides this, rumors in the print
media are tracked and where they are price sensitive, companies are contacted for verification.
Replies received are informed to the members and the public.

Investigation and Inspection

As per regulatory requirement, a minimum of 10% of the active trading members are to be inspected
every year to verify the level of compliance with various rules, byelaws and regulations of the
Exchange. Usually, inspection of more members than the regulatory requirement is undertaken
every year. The inspection randomly verifies if investor interests are being compromised in the
conduct of business by the members. The investigation is based on various alerts which require
further analysis. If further analysis suggests any possible irregular activity which deviates from the
past trends/patterns and concentration of trading at NSE at the member level, then a more detailed
investigation is undertaken. If the detailed investigation establishes any irregular activity, then
disciplinary action is initiated against the member. If the investigation suggests possible irregular
activity across exchanges and/or possible involvement of clients, then the same is informed to
SEBI.

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Table 4-1:Business Growth of CM Segment

Month & Year No. of No. of No. of Traded Trading Average Turnover Demat Demat
Trading Securities Trades Quantity Volume Daily Trading Ratio Traded Trading
Days Traded Volume Quantity Volume
(Lakh) (Lakh) (Rs. cr.) (Rs. cr.) (%) (Lakh) (Rs. cr.)
1994-95 (Nov.-Mar.) 102 -- 3 1,391 1,805 17 -- 0 0
1995-96 246 -- 66 39,912 67,287 276 -- 0 0
1996-97 250 -- 264 135,561 294,503 1,176 -- 2 6
1997-98 244 -- 381 135,685 370,193 1,520 -- 315 351
Apr-98 20 1,296 47 14,369 32,672 1,634 6.32 189 180
May-98 19 1,286 43 12,798 34,047 1,792 6.78 120 98
Jun-98 22 1,254 41 13,265 29,542 1,343 6.96 104 140
Jul-98 23 1,254 40 10,797 29,531 1,284 6.95 36 96
Aug-98 20 1,248 34 9,259 23,015 1,151 5.66 24 53
Sep-98 22 1,259 42 12,593 31,288 1,422 7.36 24 82
Oct-98 20 1,238 36 10,721 28,696 1,435 7.28 45 61
Nov-98 21 1,260 37 11,659 24,239 1,154 6.22 49 75
Dec-98 22 1,241 46 13,850 34,438 1,565 8.20 229 320
Jan-99 19 1,218 54 17,202 44,670 2,351 9.94 1,728 3,170
Feb-99 21 1,242 60 18,660 44,999 2,143 9.95 2,059 6,352
Mar-99 22 1,244 68 20,154 57,337 2,606 11.67 3,934 13,191
1998-99 251 -- 546 165,327 414,474 1,651 -- 8,542 23,818
Apr-99 20 1,173 49 11,758 35,933 1,797 8.07 5,633 26,799
May-99 21 1,168 67 18,831 50,263 2,393 9.97 12,187 42,187
Jun-99 22 1,158 60 19,207 40,473 1,840 7.64 12,770 35,674
Jul-99 22 1,181 77 23,349 55,455 2,521 9.34 15,049 48,333
Aug-99 22 1,179 81 22,869 53,699 2,441 8.04 11,963 42,147
Sep-99 21 1,181 80 21,857 55,878 2,661 8.14 11,653 42,023
Oct-99 21 1,188 92 26,100 72,216 3,439 10.78 14,160 52,445
Nov-99 21 1,180 77 18,847 66,331 3,159 9.13 11,387 50,004
Dec-99 22 1,162 103 24,034 98,585 4,481 11.56 16,333 87,170
Jan-00 20 1,164 89 19,417 85,939 4,297 9.03 14,592 77,160
Feb-00 21 1,155 109 20,249 118,694 5,652 11.10 15,117 108,704
Mar-00 21 1,099 100 16,187 105,584 5,028 10.35 12,927 99,060
1999-2000 254 -- 984 242,704 839,052 3,303 -- 153,772 711,706
Apr-00 18 1,059 74 13,390 57,229 3,179 6.76 11,679 52,021
May-00 22 1,050 111 16,477 79,037 3,593 10.00 14,538 72,995
Jun-00 22 1,058 132 19,607 119,373 5,426 14.00 17,392 111,926
Jul-00 21 1,050 122 19,114 110,056 5,241 14.74 17,114 101,847
Aug-00 22 1,038 138 23,456 125,347 5,698 15.78 21,177 116,186
Contd...

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Table 4-1:Business Growth of CM Segment

Month & Year No. of No. of No. of Traded Trading Average Turnover Demat Demat
Trading Securities Trades Quantity Volume Daily Trading Ratio Traded Trading
Days Traded Volume Quantity Volume
(Lakh) (Lakh) (Rs. cr.) (Rs. cr.) (%) (Lakh) (Rs. cr.)
Sep-00 20 1,035 142 25,946 142,480 7,124 19.51 24,167 135,714
Oct-00 21 993 131 24,154 106,854 5,088 15.11 21,860 99,567
Nov-00 22 1,006 151 31,905 122,731 5,579 16.06 28,857 113,335
Dec-00 20 1,008 163 35,790 131,415 6,571 17.28 32,159 120,774
Jan-01 22 978 186 42,152 148,830 6,765 18.43 40,789 143,912
Feb-01 20 984 192 48,268 135,932 6,797 17.22 48,222 135,850
Mar-01 21 966 135 29,277 60,226 2,868 9.16 29,268 60,211
2000-01 251 1,201 1,676 329,536 1,339,510 5,337 -- 307,222 1,264,337
Apr-01 19 951 114 20,782 35,616 1,875 5.45 20,735 35,605
May-01 22 954 141 25,715 48,329 2,197 8.16 25,714 48,329
Jun-01 21 963 133 22,336 42,783 2,037 7.51 21,935 42,625
Jul-01 22 924 99 13,142 27,228 1,238 4.74 13,137 27,227
Aug-01 21 931 112 15,937 29,417 1,401 5.11 15,931 29,415
Sep-01 20 917 135 17,342 35,323 1,766 6.94 17,342 35,323
Oct-01 21 917 141 19,799 35,326 1,682 6.59 19,796 35,324
Nov-01 20 920 153 25,349 42,132 2,107 7.25 25,295 42,121
Dec-01 19 895 177 31,777 54,468 2,867 9.85 31,775 54,465
Jan-02 23 896 213 34,384 68,719 2,988 12.19 34,219 68,606
Feb-02 20 840 177 28,552 49,564 2,478 7.97 28,547 49,564
Mar-02 19 840 157 23,294 44,262 2,330 6.95 23,291 44,262
2001-02 247 1,019 1,753 278,408 513,167 2,078 -- 277,717 512,866
Apr-02 22 843 201 28,798 53,320 2,424 8.21 28,782 53,316
May-02 22 821 217 35,303 54,979 2,499 8.70 35,303 54,978
Jun-02 20 825 189 38,519 44,241 2,212 6.70 38,519 44,241
Jul-02 23 820 211 36,821 51,398 2,235 8.44 36,821 51,398
Aug-02 21 806 191 26,000 46,113 2,196 7.29 26,000 46,113
Sep-02 20 806 185 25,581 46,499 2,325 7.75 25,581 46,499
Oct-02 21 770 201 26,458 51,902 2,472 8.55 26,458 51,902
Nov-02 19 767 175 23,631 51,352 2,703 7.96 23,631 51,352
Dec-02 21 762 219 33,022 61,973 2,951 9.21 33,022 61,973
Jan-03 23 763 239 36,336 64,762 2,816 11.32 36,336 64,762
Feb-03 19 760 191 28,681 48,289 2,542 8.30 28,681 48,289
Mar-03 20 762 177 24,917 43,160 2,158 8.04 24,917 43,160
2002-03 251 899 2,397 364,066 617,989 2,462 -- 364,049 617,984
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Chart 4-1: Business Growth of Capital Market Segment

Table 4-2: Percentage Share of Top 'N' Securities/Member in Turnover

No. of Securities/Brokers
5 10 25 50 100

Securities
1994-95 (Nov.-Mar.) 48.77 55.92 68.98 81.14 91.07
1995-96 82.98 86.60 90.89 93.54 95.87
1996-97 84.55 91.96 95.70 97.03 98.19
1997-98 72.98 85.17 92.41 95.76 97.90
1998-99 52.56 67.11 84.71 92.03 95.98
1999-00 39.56 59.22 82.31 88.69 93.66
2000-01 52.15 72.90 88.93 94.57 97.46
2001-02 44.43 62.92 82.24 91.56 95.91
2002-03 40.58 55.41 77.80 89.16 95.38
Members
1994-95 (Nov.-Mar.) 18.19 26.60 44.37 61.71 81.12
1995-96 10.65 16.56 28.61 41.93 58.59
1996-97 5.94 10.08 19.67 30.57 45.95
1997-98 6.29 10.59 18.81 29.21 44.24
1998-99 7.73 11.96 20.77 31.66 47.02
1999-00 7.86 12.99 22.78 34.41 49.96
2000-01 7.78 12.76 23.00 33.86 48.79
2001-02 7.14 12.29 23.63 36.32 53.40
2002-03 10.26 16.41 29.07 42.49 59.15

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Table 4-3: '50' Most Active Securities During 2002-03

in Terms of Trading Volume

Rank Name of Security Trading Volume % Share in Market % Share in

(Rs. crore) Total Capitalisation Total
Trading as on Market
Volume 31.3.2003 Capitalisation
(Rs. crore)

1 Satyam Computer Services 81,065 13.12 5,577 1.04

2 Infosys Technologies Ltd. 64,525 10.44 26,832 5.00
3 Digital Globalsoft Ltd. 47,616 7.71 1,986 0.37
4 Mastek Ltd. 33,535 5.43 718 0.13
5 Reliance Industries Ltd. 24,056 3.89 38,833 7.23
6 Polaris Software Lab Ltd. 21,492 3.48 626 0.12
7 Wipro Ltd. 19,405 3.14 28,685 5.34
8 Visualsoft Technologies Ltd. 18,286 2.96 276 0.05
9 Hindustan Pertoleum Corp 16,233 2.63 10,003 1.86
10 Aftek Infosys Limited 16,208 2.62 144 0.03
11 NIIT Ltd. 14,340 2.32 373 0.07
12 GTL Ltd. 13,358 2.16 375 0.07
13 Zee Telefilms Ltd. 11,805 1.91 2,570 0.48
14 Geometric Software Soltns 10,918 1.77 226 0.04
15 Rolta India Ltd. 10,887 1.76 325 0.06
16 Bharat Petroleum Corp Ltd. 10,304 1.67 6,659 1.24
17 Hinduja TMT Ltd. 12,030 1.95 551 0.10
18 Hexaware Technologies Ltd. 8,542 1.38 230 0.04
19 State Bank of India 7,737 1.25 14,210 2.65
20 Hughes Software Systems 7,067 1.14 592 0.11
21 Tata Iron And Steel Co. Ltd. 6,833 1.11 4,922 0.92
22 HCL Technologies Ltd. 6,814 1.10 4,356 0.81
23 Himachal Futuristics Comm 6,702 1.08 164 0.03
24 Telco Ltd. 6,453 1.04 4,978 0.93
25 Ranbaxy Labs Ltd. 6,285 1.02 11,566 2.15
26 SSI Ltd. 4,880 0.79 74 0.01
27 ITC Ltd. 4,581 0.74 15,550 2.89
28 Hindustan Lever Ltd. 4,463 0.72 32,655 6.08
29 Kpit Infosystems 3,893 0.63 72 0.01
30 United Phosphorus Ltd. 3,545 0.57 339 0.06
31 Larsen & Toubro Ltd. 3,285 0.53 4,589 0.85
32 Dr. Reddy's Laboratories 3,276 0.53 7,011 1.31
33 Indian Petrochemicals Cor 3,147 0.51 2,080 0.39
34 Oil And Natural Gas Corp. 3,146 0.51 50,692 9.44
35 Infotech Enterprises Ltd. 3,004 0.49 130 0.02
36 Canara Bank 2,838 0.46 2,927 0.55
37 Mahanagar Telephone Nigam 2,682 0.43 6,045 1.13
38 Shipping Corp Of India Lt 2,580 0.42 1,428 0.27
39 BHEL 2,478 0.40 5,462 1.02
40 Associated Cement Co Ltd. 2,431 0.39 2,367 0.44
41 I-Flex Solutions Limited 2,376 0.38 3,354 0.62
42 Hero Honda Motors Ltd. 2,375 0.38 3,758 0.70
43 Bharat Electronics Ltd. 2,259 0.37 1,440 0.27
44 Silverline Technologies Ltd. 2,119 0.34 61 0.01
45 Ramco Systems Ltd.. 2,089 0.34 346 0.06
46 Punjab National Bank 1,899 0.31 2,699 0.50
47 Engineers India Ltd. 1,882 0.30 1,376 0.26
48 ICICI Bank Ltd. 1,730 0.28 8,199 1.53
49 CMC Ltd. 1,628 0.26 749 0.14
50 Mahindra & Mahindra Ltd. 1,410 0.23 1,097 0.20
Total 552,495 89.40 320,281 59.63

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Table 4-4: City-wise Distribution of the Turnover

Sl. City Share in Turnover (%)
No. 1994-95 1995-96 1996-97 1997-98 1998-99 1999-00 2000-01 2001-02 2002-03
(Nov.-Mar.)

1 Ahmedabad 0.00 1.98 4.27 3.71 2.55 2.66 2.68 2.49 2.28
2 Amritsar 0.00 0.00 0.07 0.19 0.21 0.17 0.15 0.17 0.10
3 Bangalore 0.00 1.03 1.74 1.75 2.01 1.42 1.69 2.79 2.52
4 Baroda 0.00 0.28 1.07 0.82 0.83 0.81 0.73 0.62 0.68
5 Bhavnagar 0.00 0.00 0.00 0.02 0.10 0.15 0.17 0.15 0.12
6 Calcutta / Howrah 0.00 10.62 12.45 12.22 10.33 9.85 8.24 9.15 12.03
7 Chandigarh/Mohali/
Panchkula 0.00 0.00 0.02 0.30 0.85 1.07 0.86 1.02 0.91
8 Chennai 0.00 3.32 4.62 4.55 4.18 3.88 3.40 3.56 3.59
9 Cochin/Ernakulam/
Parur/Kalamserry 0.00 0.11 0.61 0.65 0.65 0.74 0.75 0.79 0.88
10 Coimbatore 0.00 3.45 2.25 1.14 0.92 0.59 0.59 0.60 0.55
11 Delhi/Ghaziabad 0.00 15.89 21.86 19.78 18.99 17.77 17.03 19.40 18.38
12 Gajuwaka/
Vishakhapatnam 0.00 0.01 0.53 1.21 1.29 0.88 0.95 1.40 0.89
13 Gurgaon 0.00 0.00 0.01 0.18 0.25 0.12 0.07 0.05 0.06
14 Hyderabad/
Secunderabad/
Kukatpally 0.00 1.12 2.75 2.38 3.05 2.47 2.30 2.85 3.20
15 Indore 0.00 0.72 1.01 0.58 0.79 1.06 1.13 1.08 0.85
16 Jaipur 0.00 0.21 0.56 0.95 1.05 1.22 1.06 1.16 1.33
17 Kanpur 0.00 0.54 1.08 0.82 1.00 0.63 0.55 0.95 0.75
18 Lucknow 0.00 0.00 0.12 0.35 0.18 0.16 0.16 0.24 0.20
19 Ludhiana 0.00 0.00 0.05 0.23 0.29 0.21 0.18 0.53 0.44
20 Meerut 0.00 0.00 0.01 0.10 0.21 0.14 0.13 0.13 0.16
21 Mumbai 100.00 58.20 40.81 38.11 39.83 44.26 48.35 40.20 40.01
22 Nagpur 0.00 0.07 0.15 0.27 0.32 0.19 0.15 0.13 0.22
23 Pune 0.00 2.26 2.09 1.49 1.19 1.25 1.07 1.03 1.06
24 Rajkot 0.00 0.06 0.22 0.67 0.51 0.46 0.38 0.29 0.27
25 Surat 0.00 0.08 0.20 0.27 0.31 0.26 0.41 0.48 0.43
26 Vijayawada 0.00 0.00 0.18 0.43 0.54 0.45 0.33 0.36 0.28
27 Other Cities 0.00 0.06 1.29 6.84 7.58 7.10 6.49 8.42 7.82

TOTAL 100 100 100 100 100 100 100 100 100

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Table 4-5: Market Capitalisation of Securities in the CM Segment

(In Rs. crore)
Month/Year Total MC MC of S&P Share in Total MC of CNX Share in Total
(end of period) CNX Nifty MC (%) Nifty Junior MC (%)
Mar-95 363,350 -- -- -- --
Mar-96 401,459 139,357 34.71 -- --
Mar-97 419,367 159,758 38.09 25,184 6.01
Mar-98 481,503 230,420 47.85 34,654 7.20
Apr-98 516,805 239,284 46.30 41,112 7.96
May-98 502,014 219,452 43.71 41,921 8.35
Jun-98 424,697 194,376 45.77 34,741 8.18
Jul-98 425,006 192,265 45.24 37,544 8.83
Aug-98 406,291 176,037 43.33 38,411 9.45
Sep-98 425,100 187,227 44.04 39,931 9.39
Oct-98 394,316 177,443 45.00 33,888 8.59
Nov-98 389,442 176,103 45.22 32,928 8.46
Dec-98 419,865 190,417 45.35 36,257 8.64
Jan-99 449,221 211,709 47.13 40,398 8.99
Feb-99 452,081 215,176 47.60 45,490 10.06
Mar-99 491,175 236,569 48.16 53,452 10.88
Apr-99 445,380 214,947 48.26 46,730 10.49
May-99 503,911 254,391 50.48 48,391 9.60
Jun-99 529,468 266,833 50.40 48,075 9.08
Jul-99 593,651 295,053 49.70 54,806 9.23
Aug-99 668,187 318,537 47.67 62,309 9.33
Sep-99 686,740 326,077 47.48 62,049 9.04
Oct-99 670,062 307,315 45.86 58,497 8.73
Nov-99 726,419 319,555 43.99 81,622 11.24
Dec-99 852,985 358,548 42.03 106,352 12.47
Jan-00 951,712 374,470 39.35 115,376 12.12
Feb-00 1,069,770 400,775 37.46 118,321 11.06
Mar-00 1,020,426 373,559 36.61 98,804 9.68
Apr-00 846,391 343,491 40.58 73,718 8.71
May-00 790,478 359,698 45.50 53,971 6.83
Jun-00 852,554 383,349 44.96 58,772 6.89
Jul-00 746,402 347,245 46.52 51,997 6.97
Aug-00 794,516 363,202 45.71 53,697 6.76
Sep-00 730,350 332,307 45.50 45,297 6.20
Oct-00 707,121 306,459 43.34 42,730 6.04
Nov-00 764,177 331,419 43.37 47,984 6.28
Dec-00 760,391 331,059 43.54 47,007 6.18
Jan-01 807,641 359,389 44.50 46,662 5.78
Feb-01 789,600 354,078 44.84 42,707 5.41
Mar-01 657,847 301,085 45.77 31,989 4.86
Apr-01 653,720 295,657 45.23 30,701 4.70
May-01 592,437 306,923 51.81 32,726 5.52
Jun-01 569,797 291,840 51.22 28,467 5.00
Jul-01 574,260 282,608 49.21 28,711 5.00
Aug-01 575,242 281,798 48.99 27,303 4.75
Sep-01 509,105 245,484 48.22 23,273 4.57
Oct-01 535,846 261,567 48.81 25,542 4.77
Nov-01 581,386 287,192 49.40 29,007 4.99
Dec-01 552,908 285,007 51.55 28,498 5.15
Jan-02 563,683 332,606 59.01 36,541 6.48
Feb-02 621,523 353,262 56.84 40,514 6.52
Mar-02 636,861 349,402 54.86 42,446 6.66
Apr-02 649,551 336,422 51.79 43,676 6.72
May-02 631,609 324,757 51.42 36,735 5.82
Jun-02 659,991 333,921 50.59 39,683 6.01
Jul-02 608,643 302,703 49.73 35,761 5.88
Aug-02 632,618 319,178 50.45 35,680 5.64
Sep-02 599,603 304,189 50.73 31,143 5.19
Oct-02 606,788 307,084 50.61 31,540 5.20
Nov-02 645,388 338,951 52.52 33,595 5.21
Dec-02 672,862 352,943 52.45 35,668 5.30
Jan-03 572,277 336,267 58.76 34,754 6.07
Feb-03 581,985 343,218 58.97 35,047 6.02
Mar-03 537,133 316,762 58.97 34,550 6.43

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Table 4-6: Top '50' Companies by Market Capitalisation as on March 31, 2003

Rank Name of Company Market % Share in Trading Volume % Share in

Capitalisation Total Market During 2002-03 Total
(Rs. crore) Capitalisation (Rs. crore) Trading
Volume

1 Oil And Natural Gas Corporation 50,692 9.44 3,146 0.51

2 Reliance Industries Ltd 38,833 7.23 24,056 3.89
3 Hindustan Lever Ltd 32,655 6.08 4,463 0.72
4 Wipro Ltd 28,685 5.34 19,405 3.14
5 Infosys Technologies Ltd 26,832 5.00 64,525 10.44
6 Indian Oil Corporation Ltd 18,182 3.39 530 0.09
7 ITC Ltd 15,550 2.89 4,581 0.74
8 State Bank of India 14,210 2.65 7,776 1.26
9 Ranbaxy Labs Ltd 11,566 2.15 6,285 1.02
10 Hindustan Pertoleum Corp 10,003 1.86 16,233 2.63
11 ICICI Bank Ltd. 8,199 1.53 1,730 0.28
12 HDFC Ltd 8,093 1.51 930 0.15
13 Dr. Reddy's Laboratories 7,011 1.31 3,276 0.53
14 Bharat Petroleum Corp Ltd. 6,659 1.24 10,304 1.67
15 HDFC Bank Ltd 6,615 1.23 514 0.08
16 Vatsa Music Ltd 6,406 1.19 1 0.00
17 Gas Authority of Ind. Ltd 6,334 1.18 438 0.07
18 Mahanagar Telephone Nigam Limited 6,045 1.13 2,682 0.43
19 Satyam Computer Services 5,577 1.04 81,065 13.12
20 BHEL 5,462 1.02 2,478 0.40
21 Bharti Tele-Ventures Ltd 5,226 0.97 261 0.04
22 Nestle India Ltd 5,171 0.96 351 0.06
23 Telco Ltd 4,978 0.93 6,453 1.04
24 Hindalco Industries Ltd 4,944 0.92 728 0.12
25 Tata Iron And Steel Co Lt 4,922 0.92 6,833 1.11
26 Bajaj Auto Ltd 4,857 0.90 1,309 0.21
27 Larsen & Toubro Ltd 4,589 0.85 3,285 0.53
28 National Aluminium Co Ltd 4,565 0.85 1,229 0.20
29 Neyveli Lignite Corporation 4,429 0.82 616 0.10
30 HCL Technologies Ltd 4,356 0.81 6,814 1.10
31 Cipla Ltd 4,281 0.80 905 0.15
32 Hero Honda Motors Ltd 3,758 0.70 2,375 0.38
33 Steel Authority Of India 3,655 0.68 969 0.16
34 I-Flex Solutions Limited 3,354 0.62 2,376 0.38
35 Grasim Industries Ltd 3,029 0.56 649 0.10
36 BSES Ltd 2,967 0.55 404 0.07
37 Canara Bank 2,927 0.55 2,838 0.46
38 Punjab National Bank 2,699 0.50 1,899 0.31
39 Zee Telefilms Ltd 2,570 0.48 11,805 1.91
40 Sun Pharmaceuticals Ind. 2,540 0.47 159 0.03
41 Bank Of Baroda 2,538 0.47 836 0.14
42 Gujarat Ambuja Cement Ltd 2,483 0.46 496 0.08
43 Associated Cement Co Ltd 2,367 0.44 2,431 0.39
44 Castrol India Ltd 2,344 0.44 219 0.04
45 Tata Power Co Ltd 2,303 0.43 879 0.14
46 Glaxosmithkline Pharma Ltd. 2,176 0.41 267 0.04
47 Asian Paints India Ltd 2,118 0.39 109 0.02
48 Videsh Sanchar Nigam Ltd 2,085 0.39 1,010 0.16
49 Indian Petrochemicals Corporation 2,080 0.39 3,147 0.51
50 Digital Globalsoft Ltd. 1,986 0.37 47,616 7.71

Total 415,910 77.43 363,688 58.85

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Table 4-7: Top '50' Companies by Trading Volume and Market Capitalisation at NSE
Item Trading Volume
Amount (Rs. crore) % to total
1998-99 1999-00 2000-2001 2001-02 2002-03 1998-99 1999-00 2000-2001 2001-02 2002-03
Manufacturing 88,224 139,742 124,779 28,426 11,193 23.13 18.78 9.85 6.05 2.03
Financial Services 26,500 34,308 17,559 4,917 14,204 6.95 4.61 1.39 1.05 2.57
F.M.C.G 94,240 38,011 32,438 13,258 4,463 24.71 5.11 2.56 2.82 0.81
I.T 138,148 369,315 957,159 312,851 412,781 36.22 49.63 75.56 66.58 74.71
Pharmaceuticals 9,029 48,230 21,085 22,538 9,560 2.37 6.48 1.66 4.80 1.73
Others 25,285 114,481 113,803 87,884 100,293 6.63 15.39 8.98 18.70 18.15
TOTAL 381,427 744,088 1,266,823 469,875 552,494 100.00 100.00 100.00 100.00 100.00

Item Market Capitalisation

Amount (Rs. crore) % to total
1998-99 1999-00 2000-2001 2001-02 2002-03 1998-99 1999-00 2000-2001 2001-02 2002-03
Manufacturing 106,572 151,692 96,718 56,109 33,383 34.39 20.53 20.79 12.41 8.03
Financial Services 18,334 36,209 36,460 42,485 45,283 5.92 4.90 7.84 9.39 10.89
F.M.C.G 90,773 79,522 80,497 56,507 37,826 29.29 10.76 17.30 12.49 9.09
I.T 45,742 306,418 106,095 80,145 76,017 14.76 41.48 22.80 17.72 18.28
Pharmaceuticals 24,221 19,324 21,035 32,314 27,574 7.82 2.62 4.52 7.14 6.63
Others 24,272 145,609 124,502 184,720 195,827 7.83 19.71 26.76 40.84 47.08
TOTAL 309,912 738,774 465,306 452,280 415,910 100.00 100.00 100.00 100.00 100.00

F.M.C.G. Fast Moving Consumer Goods

I.T. Information Technology
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Table 4-8: Composition of S&P CNX Nifty Index as on March 31, 2003
Sl. Name of Issued Market Weight- Beta R2 Volatility Return Impact
No. Security Capital Capital- -age (%) (%) (%) Cost
(Rs. crore) -isation (%) #
(Rs. crore)
1 ABB 42 1,213 0.38 0.39 0.04 1.92 7.88 0.21
2 ACC 171 2,367 0.75 0.88 0.26 1.71 (9.71) 0.09
3 BAJAJAUTO 101 4,857 1.53 0.75 0.17 1.82 3.72 0.13
4 BHEL 245 5,462 1.72 0.69 0.14 1.83 32.04 0.12
5 BPCL 300 6,659 2.10 1.05 0.13 2.90 (38.10) 0.10
6 BRITANNIA 26 1,288 0.41 0.07 0.01 0.76 (8.59) 0.23
7 BSES 138 2,967 0.94 0.34 0.05 1.52 (3.41) 0.20
8 CASTROL 124 2,344 0.74 0.30 0.07 1.13 1.91 0.17
9 CIPLA 60 4,281 1.35 0.34 0.06 1.38 (29.83) 0.12
10 COLGATE 136 1,656 0.52 0.07 0.00 1.28 (13.77) 0.16
11 DABUR 29 1,019 0.32 0.52 0.12 1.49 (35.71) 0.21
12 DIGITALEQP 33 1,986 0.63 1.75 0.41 2.73 5.97 0.07
13 DRREDDY 38 7,011 2.21 0.74 0.16 1.86 (16.01) 0.09
14 GLAXO 74 2,176 0.69 0.19 0.01 1.71 (14.50) 0.19
15 GRASIM 92 3,029 0.96 0.47 0.11 1.39 15.02 0.13
16 GUJAMBCEM 155 2,483 0.78 0.57 0.17 1.37 (20.04) 0.15
17 HCLTECH 58 4,356 1.38 1.78 0.32 3.11 (41.52) 0.13
18 HDFC 244 8,093 2.55 0.23 0.02 1.46 (3.18) 0.17
19 HDFCBANK 282 6,615 2.09 0.24 0.03 1.44 (0.87) 0.17
20 HEROHONDA 40 3,758 1.19 0.82 0.12 2.41 (44.41) 0.13
21 HINDALCO 92 4,944 1.56 0.27 0.05 1.24 (30.76) 0.15
22 HINDLEVER 220 32,655 10.31 0.98 0.37 1.59 (34.11) 0.14
23 HINDPETRO 339 10,003 3.16 1.30 0.14 3.39 1.46 0.09
24 ICICIBANK 613 8,199 2.59 0.73 0.10 2.26 7.95 0.17
25 INDHOTEL 45 823 0.26 0.49 0.09 1.62 3.90 0.25
26 INFOSYSTCH 33 26,832 8.47 1.52 0.49 2.15 8.12 0.07
27 IPCL 248 2,080 0.66 0.57 0.03 3.07 0.48 0.12
28 ITC 248 15,550 4.91 0.64 0.16 1.58 (9.82) 0.10
29 L&T 249 4,589 1.45 0.63 0.21 1.39 2.05 0.08
30 M&M 110 1,097 0.35 1.30 0.34 2.23 (12.93) 0.12
31 MTNL 630 6,045 1.91 0.76 0.08 2.68 (34.62) 0.15
32 NESTLE 96 5,171 1.63 0.12 0.01 1.08 4.59 0.19
33 NIIT 39 373 0.12 2.34 0.36 3.88 (58.43) 0.09
34 NOVARTIND 16 696 0.22 0.50 0.09 1.67 (11.54) 0.22
35 ORIENTBANK 193 1,234 0.39 0.61 0.08 2.12 62.48 0.22
36 RANBAXY 185 11,566 3.65 0.58 0.12 1.67 13.79 0.09
37 RELIANCE 1,396 38,833 12.26 1.30 0.48 1.85 (7.39) 0.09
38 SATYAMCOMP 63 5,577 1.76 2.09 0.62 2.64 (33.63) 0.07
39 SBIN 526 14,210 4.49 0.78 0.27 1.47 22.76 0.10
40 SCI 282 1,428 0.45 1.37 0.15 3.49 (26.45) 0.13
41 SMITKLBECH 45 984 0.31 0.19 0.02 1.43 (42.17) 0.31
42 SUNPHARMA 47 2,540 0.80 0.26 0.03 1.43 (18.71) 0.30
43 TATACHEM 181 1,106 0.35 1.11 0.19 2.55 39.73 0.16
44 TATAPOWER 204 2,303 0.73 0.92 0.35 1.55 (0.09) 0.12
45 TATATEA 56 1,063 0.34 0.88 0.25 1.74 11.49 0.12
46 TELCO 320 4,978 1.57 1.35 0.38 2.17 23.53 0.09
47 TISCO 368 4,922 1.55 1.18 0.37 1.93 36.78 0.08
48 VSNL 285 2,085 0.66 0.67 0.09 2.16 (61.01) 0.14
49 WIPRO 47 28,685 9.06 1.73 0.40 2.70 (27.47) 0.12
50 ZEETELE 41 2,570 0.81 1.77 0.36 2.92 (62.81) 0.10
Total 9,606 316,762 100 1.00 -- 0.99 (13.40)

* Beta & R2 are calculated for the period April 1, 2002 to March 31, 2003. Beta measures the degree to which any
portfolio of stocks is affected as compared to the effect on the market as a whole. The coefficient of determination
(R2) measures the strength of relationship between two variables the return on a security versus that of the market.
Volatility is the standard deviation of the daily returns for the period April 1, 2002 to March 31, 2003.
* Last day of trading was March 31, 2003
* Figures in brackets indicate negative values.
* Returns are calculated considering the close prices of the last trading day of March 2002 and March 2003.
* Returns for HDFC Ltd.have been adjusted for bonus @ 1:1
* Returns for Ranbaxy Laboratories Ltd. have been adjusted for bonus @ 5:3
* Returns for Sun Pharmaceutical Industries Ltd. have been adjusted for splits in the face value from Rs. 10 to Rs. 5.
* Impact Cost for S&P CNX Nifty is for a portfolio of Rs. 50 lakhs and is for the period April 2002 to March 2003.

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Table 4-9: Composition of CNX NIFTY Junior Index - as on March 31, 2003
Sl. Name of Issued Market Weight- Beta R2 Volatility Return Impact
No. Security Capital Capital- -age (%) (%) (%) Cost
(Rs. crore) -isation (%) #
(Rs. crore)
1 APOLLOTYRE 36 451 1.30 1.05 0.15 3.35 61.90 0.19
2 ASHOKLEY 119 1,148 3.32 1.11 0.25 2.72 20.16 0.33
3 AUROPHARMA 23 492 1.43 0.57 0.20 1.56 (1.24) 0.35
4 BANKBARODA 296 2,538 7.35 1.17 0.28 2.75 80.15 0.36
5 BANKINDIA 489 1,854 5.37 0.95 0.23 2.43 51.80 0.36
6 BEL 80 1,440 4.17 1.44 0.28 3.38 42.80 0.19
7 BOOTSPHARM 16 437 1.26 0.18 0.04 1.07 (11.89) 0.71
8 CARRIERAIR 23 205 0.59 0.00 0.00 1.11 1.81 0.96
9 CHENNPETRO 144 430 1.24 1.00 0.27 2.37 (10.61) 0.44
10 CMC 15 749 2.17 1.17 0.19 3.31 (7.44) 0.18
11 CONCOR 65 1,412 4.09 0.91 0.23 2.34 (12.79) 0.30
12 CORPBANK 143 1,883 5.45 0.81 0.23 2.09 (1.54) 0.35
13 EMERCK 17 385 1.12 0.42 0.14 1.36 (22.92) 0.48
14 ESCORTS 72 254 0.73 0.88 0.22 2.30 (43.26) 0.34
15 FINCABLES 31 240 0.70 0.34 0.07 1.55 (43.31) 0.41
16 GERMANREM 8 172 0.50 0.18 0.03 1.31 (17.31) 1.03
17 GESHIPPING 190 721 2.09 0.79 0.23 2.01 26.33 0.29
18 GLOBLTRUST 121 166 0.48 1.10 0.33 2.33 (47.91) 0.26
19 GLOBALTELE 71 375 1.08 1.93 0.37 3.89 (49.40) 0.12
20 HIMACHLFUT 142 164 0.47 1.88 0.27 4.41 (82.93) 0.15
21 HINDZINC 423 617 1.79 0.44 0.06 2.22 (59.56) 0.93
22 HOECHST 23 544 1.58 0.32 0.08 1.37 (41.53) 0.41
23 HUGHESSOFT 17 592 1.71 1.49 0.25 3.69 (38.07) 0.13
24 ICI 41 440 1.27 0.92 0.23 2.34 51.48 0.45
25 IFCI 639 243 0.70 1.29 0.12 4.64 (3.80) 0.70
26 INDIACEM 140 181 0.53 0.92 0.27 2.17 (57.17) 0.35
27 INDSHAVING 33 853 2.47 0.68 0.19 1.90 (25.01) 1.07
28 INGERRAND 32 618 1.79 0.51 0.08 2.22 37.02 0.65
29 KIRLOSKCUM 40 1,011 2.93 0.56 0.13 1.88 (2.67) 0.51
30 KOTAKMAH 59 936 2.71 1.02 0.16 3.11 11.50 0.40
31 LICHSGFIN 75 495 1.43 0.77 0.18 2.22 (8.32) 0.30
32 MADRASCEM 12 403 1.17 0.26 0.04 1.59 (21.07) 1.34
33 MOREPENLAB 18 110 0.32 1.12 0.15 3.53 (77.02) 0.20
34 MOSERBAER 26 591 1.71 0.60 0.07 2.85 (15.40) 0.18
35 NICOLASPIR 38 781 2.26 0.41 0.12 1.48 (24.12) 0.54
36 ORCHIDCHEM 28 163 0.47 0.97 0.25 2.37 (15.42) 0.32
37 PENTSFWARE 145 117 0.34 2.02 0.30 4.54 (81.67) 0.22
38 PFIZER 29 890 2.58 0.26 0.06 1.34 (31.38) 0.41
39 POLARIS 26 626 1.81 1.50 0.21 4.06 (39.95) 0.10
40 PUNJABTRAC 61 711 2.06 0.88 0.23 2.24 (22.37) 0.22
41 RAYMOND 61 552 1.60 0.53 0.18 1.54 (6.31) 0.41
42 ROLTA 64 325 0.94 2.09 0.39 4.08 (53.08) 0.12
43 SAIL 4,130 3,655 10.58 1.64 0.26 3.91 84.38 0.44
44 SIEMENS 33 929 2.69 0.57 0.15 1.82 10.44 0.44
45 SILVERLINE 86 61 0.18 2.04 0.32 4.39 (86.46) 0.19
46 TATAUNISYS 18 282 0.82 1.73 0.34 3.64 (26.95) 0.20
47 THOMASCOOK 15 285 0.83 0.54 0.15 1.70 (21.15) 0.52
48 TITAN 42 214 0.62 1.53 0.24 3.80 (1.65) 0.30
49 VYSYABANK 23 537 1.55 0.93 0.18 2.72 0.02 0.30
50 WOCKPHARMA 36 1,270 3.68 0.28 0.06 1.41 (37.62) 0.46
TOTAL 8,512 34,549 100 1.00 `-- 1.23 (19.62)

* Beta & R2 are calculated for the period April 1, 2002 to March 31, 2003. Beta measures the degree to which any
portfolio of stocks is affected as compared to the effect on the market as a whole. The coefficient of determination
(R2) measures the strength of relationship between two variables the return on a security versus that of the market.
Volatility is the standard deviation of the daily returns for the period April 1, 2002 to March 31, 2003.
* Last day of trading was March 31, 2003
* Figures in brackets indicate negative values.
* Returns are calculated considering the close prices of the last trading day of March 2002 and March 2003.
* Returns for Pentamedia Graphics Ltd. have been adjusted for bonus @ 10:1.
* Impact Cost for CNX Nifty Junior is for a portfolio of Rs. 25 lakhs and is for the period April 2002 to March 2003.

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Table 4-10: Industry-wise Weightages of S&P CNX NIFTY Securities

Sl. Industry As on 31-3-1999 As on 31-3-2000 As on 31-3-2001 As on 31-3-2002 As on 31-3-2003
No. Market Cap Weightage Market Cap Weightage Market Cap Weightage Market Cap Weightage Market Cap Weightage
(Rs. cr.) (%) (Rs. cr.) (%) (Rs. cr.) (%) (Rs. cr.) (%) (Rs. cr.) (%)

1 Computers - Software 16,633 7.00 92,540 24.80 37,744 12.54 75,495 21.61 67,810 21.41

2 Diversified 57,961 24.50 63,954 17.10 56,626 18.81 57,482 16.45 38,350 12.11

3 Refineries 7,388 3.10 31,506 8.40 27,643 9.18 23,306 6.67 16,662 5.26

4 Petrochemicals 14,954 6.30 31,064 8.30 42,409 14.09 33,731 9.65 40,913 12.92

5 Pharmaceuticals 15,846 6.70 24,872 6.70 19,358 6.43 31,065 8.89 28,270 8.92

6 Banks 14,494 6.10 18,233 4.90 16,903 5.60 21,724 6.22 30,259 9.55

7 Cigarettes 23,633 10.00 18,196 4.90 19,977 6.63 17,098 4.89 15,550 4.91

8 Telecommunication - Services 11,123 4.70 14,833 4.00 8,344 2.77 9,245 2.65 8,130 2.57

9 Financial Institution 4,789 2.00 13,778 3.70 6,931 2.30 4,775 1.37 0 0.00

10 Automobiles - 2 & 3 Wheelers 11,969 5.10 9,237 2.50 5,442 1.80 11,443 3.28 8,615 2.72

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Table 4-11: S&P CNX NIFTY Index*

Month & Year Open High Low Close Volatility Price To
(%) Earning Ratio#

1995-96 (Nov.-Mar.) 1000.00 1067.49 813.12 985.30 1.62 --

1996-97 988.33 1203.11 775.43 968.30 1.67 --
1997-98 931.95 1297.10 929.05 1116.90 1.52 --
Apr-98 1117.15 1247.15 1117.15 1159.35 1.67 --
May-98 1159.80 1196.70 1037.95 1063.15 1.49 --
Jun-98 1064.10 1100.00 853.05 941.65 3.06 --
Jul-98 941.60 1015.55 895.85 931.40 1.89 --
Aug-98 930.80 930.80 830.15 852.80 1.66 --
Sep-98 852.75 945.25 832.05 904.95 1.40 --
Oct-98 904.75 904.75 803.30 824.00 2.46 --
Nov-98 824.20 882.10 800.10 817.75 1.21 --
Dec-98 816.55 903.85 812.25 884.25 1.46 --
Jan-99 886.75 1016.30 882.60 966.20 2.02 12.83
Feb-99 962.40 989.15 907.45 981.30 1.82 13.04
Mar-99 992.45 1099.80 984.45 1078.05 1.53 16.53
1998-99 1117.15 1247.15 800.10 1078.05 1.86 16.53
Apr-99 1082.55 1084.05 916.00 978.20 3.26 15.02
May-99 979.80 1201.30 968.25 1132.30 2.02 18.01
Jun-99 1125.55 1228.55 1099.85 1187.70 1.35 17.91
Jul-99 1187.85 1367.95 1179.30 1310.15 1.59 19.94
Aug-99 1309.85 1435.50 1277.85 1412.00 1.39 21.40
Sep-99 1412.05 1432.55 1329.70 1413.10 1.31 21.96
Oct-99 1414.65 1522.85 1296.70 1325.45 2.05 20.65
Nov-99 1325.90 1418.15 1239.80 1376.15 1.68 21.47
Dec-99 1375.05 1510.85 1374.70 1480.85 1.42 24.09
Jan-00 1482.15 1671.15 1482.15 1546.20 2.55 25.16
Feb-00 1546.20 1818.15 1521.40 1654.80 1.84 26.36
Mar-00 1661.50 1773.85 1489.10 1528.45 1.98 24.60
1999-2000 1082.55 1818.15 916.00 1528.45 1.93 24.60
Apr-00 1528.70 1636.95 1311.30 1406.55 3.51 21.10
May-00 1410.00 1436.60 1201.50 1380.45 2.64 22.96
Jun-00 1380.40 1539.10 1345.10 1471.45 1.48 22.94
Jul-00 1473.45 1564.75 1269.25 1332.85 1.76 20.71
Aug-00 1332.85 1398.90 1295.45 1394.10 4.62 20.97
Sep-00 1395.95 1482.00 1249.35 1271.65 2.04 19.32
Oct-00 1270.75 1306.45 1108.20 1172.75 1.59 17.74
Nov-00 1178.25 1281.00 1177.10 1268.15 1.44 19.22
Dec-00 1268.10 1369.50 1207.95 1263.55 1.41 19.20
Jan-01 1263.50 1396.05 1248.55 1371.70 1.20 22.22
Feb-01 1371.50 1362.25 1294.60 1351.40 1.58 20.24
Mar-01 1351.40 1399.55 1098.75 1148.20 2.90 17.21
2000-01 1528.70 1636.95 1098.75 1148.20 1.98 17.21
Apr-01 1148.10 1171.85 1000.10 1125.25 2.20 14.57
May-01 1125.45 1207.00 1096.25 1167.90 0.89 15.80
Jun-01 1168.10 1175.80 1060.05 1107.90 1.27 15.76
Jul-01 1108.35 1127.15 1046.90 1072.85 1.01 15.15
Aug-01 1073.00 1084.00 1051.75 1053.75 0.57 15.10
Sep-01 1054.65 1059.90 849.95 913.85 2.52 13.16
Oct-01 914.65 1000.95 884.65 971.90 0.99 13.79
Nov-01 973.55 1097.60 973.55 1067.15 1.25 15.46
Dec-01 1067.20 1132.65 1010.45 1059.05 1.22 15.35
Jan-02 1058.85 1121.75 1052.05 1075.40 0.99 16.99
Feb-02 1076.95 1205.95 1069.40 1142.05 1.48 18.38
Mar-02 1142.05 1201.10 1117.85 1129.55 1.18 18.10
2001-02 1148.10 1207.00 849.95 1129.55 1.40 18.10
Apr-02 1129.85 1153.30 1073.30 1084.50 1.11 17.86
May-02 1084.80 1136.55 1020.10 1028.80 1.35 16.19
Jun-02 1029.25 1102.05 1029.25 1057.80 1.13 15.73
Jul-02 1058.00 1087.40 943.60 958.90 1.01 14.30
Aug-02 959.20 1012.75 935.55 1010.60 0.85 15.04
Sep-02 1010.90 1024.65 960.20 963.15 0.72 14.33
Oct-02 961.15 983.60 920.10 951.40 0.84 14.47
Nov-02 951.45 1057.40 946.40 1050.15 0.70 14.24
Dec-02 1050.15 1103.95 1034.10 1093.50 0.97 14.83
Jan-03 1093.60 1105.60 1026.20 1041.85 0.80 14.13
Feb-03 1040.25 1075.50 1034.10 1063.40 0.89 14.42
Mar-03 1063.55 1070.85 974.10 978.20 1.09 13.36
2002-03 1129.85 1153.30 920.10 978.20 0.99 13.36

* S&P CNX Nifty commenced from November 3, 1995.

# At the end of period.
Note: Volatility is the standard deviation of daily returns for the respective month/year.

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Table 4-12: CNX NIFTY Junior Index*

Month & Year Open High Low Close Volatility Price To
(%) Earning Ratio#

1996-97 (Nov.-Mar.) 1000.00 1208.87 907.02 1032.95 1.76 --

1997-98 1028.30 1395.25 1016.65 1339.40 1.44 --
Apr-98 1339.75 1791.70 1339.75 1588.90 2.92 --
May-98 1589.25 1684.60 1467.30 1620.20 2.57 --
Jun-98 1620.80 1669.30 1177.20 1342.20 3.85 --
Jul-98 1343.15 1502.10 1280.15 1450.45 1.78 --
Aug-98 1450.25 1548.60 1412.95 1483.65 1.24 --
Sep-98 1483.50 1573.40 1442.25 1538.50 1.06 --
Oct-98 1532.25 1534.70 1359.50 1419.75 2.51 --
Nov-98 1420.15 1475.70 1355.15 1379.50 0.99 --
Dec-98 1379.35 1549.50 1373.45 1519.00 1.31 --
Jan-99 1523.65 1736.05 1517.30 1692.50 1.77 13.37
Feb-99 1687.85 1810.35 1612.80 1773.45 2.09 14.56
Mar-99 1800.50 2079.10 1798.50 2069.20 1.84 18.92
1998-99 1339.75 2079.10 1177.20 2069.20 2.14 18.92
Apr-99 2099.75 2103.15 1631.90 1809.00 3.45 16.54
May-99 1819.40 2063.00 1786.10 1968.45 2.06 17.22
Jun-99 1961.40 2020.50 1847.35 1955.60 1.24 15.47
Jul-99 1955.85 2278.75 1927.45 2227.65 1.87 17.79
Aug-99 2227.15 2579.85 2196.30 2524.40 1.59 20.05
Sep-99 2525.20 2860.80 2431.45 2763.60 1.59 22.10
Oct-99 2760.30 3122.75 2552.25 2588.55 2.94 20.83
Nov-99 2591.10 3062.25 2308.35 3057.45 2.31 28.13
Dec-99 3135.75 4004.85 3027.45 3983.80 2.05 36.65
Jan-00 3998.25 4579.35 3721.30 4351.90 3.34 39.71
Feb-00 4353.30 5365.90 4353.30 4447.25 2.57 40.36
Mar-00 4446.45 5065.65 3569.90 3695.75 3.27 33.47
1999-2000 2099.75 5365.90 1631.90 3695.75 2.46 33.47
Apr-00 3720.45 3771.80 2572.65 2788.65 4.54 25.16
May-00 2780.95 2870.00 2059.20 2448.70 4.37 15.45
Jun-00 2444.65 2989.50 2424.55 2672.45 2.11 17.21
Jul-00 2687.30 2812.50 2348.00 2464.95 2.02 15.16
Aug-00 2472.40 2612.65 2284.75 2548.25 1.07 16.35
Sep-00 2552.10 2855.85 2346.55 2369.30 2.77 14.62
Oct-00 2366.00 2393.90 2054.05 2234.30 2.30 13.66
Nov-00 2249.65 2516.70 2238.75 2477.25 1.82 15.22
Dec-00 2467.45 2737.70 228.10 2426.05 2.35 14.90
Jan-01 2424.60 2555.75 2282.85 2407.70 1.67 14.79
Feb-01 2400.90 2158.55 2023.10 2141.45 2.41 12.94
Mar-01 2141.45 2258.75 1570.20 1601.80 3.35 9.69
2000-01 3720.45 3771.80 1570.20 1601.80 2.75 9.69
Apr-01 1601.80 1638.05 1362.50 1525.20 2.62 8.47
May-01 1529.05 1676.25 1472.40 1627.15 1.20 8.61
Jun-01 1627.55 1638.90 1397.60 1415.40 1.30 8.68
Jul-01 1416.45 1438.25 1304.25 1342.55 1.17 7.14
Aug-01 1341.90 1370.25 1275.20 1277.35 0.58 6.79
Sep-01 1278.25 1292.00 1038.75 1084.40 2.68 5.90
Oct-01 1083.70 1206.65 1044.90 1174.20 0.99 6.13
Nov-01 1174.15 1376.75 1173.35 1334.15 0.96 5.95
Dec-01 1335.45 1415.85 1215.45 1298.30 1.86 5.84
Jan-02 1298.60 1358.55 1273.80 1348.55 0.91 5.28
Feb-02 1350.60 1617.05 1350.60 1495.55 2.14 6.54
Mar-02 1496.40 1611.20 1489.25 1566.95 1.11 6.80
2001-02 1601.40 1676.25 1038.75 1566.95 1.60 6.80
Apr-02 1568.40 1658.50 1564.15 1607.75 0.95 7.35
May-02 1608.25 1665.15 1448.35 1497.10 1.74 8.56
Jun-02 1497.90 1682.00 1497.90 1617.40 1.35 8.26
Jul-02 1617.40 1690.35 1429.05 1455.85 1.47 7.44
Aug-02 1455.75 1517.35 1433.05 1452.60 1.03 7.42
Sep-02 1453.45 1468.85 1255.20 1257.85 1.35 6.48
Oct-02 1256.95 1321.00 1231.95 1255.30 1.03 6.56
Nov-02 1255.60 1340.85 1243.15 1337.10 0.63 11.55
Dec-02 1337.60 1435.20 1337.20 1413.05 1.13 12.26
Jan-03 1413.25 1462.90 1353.75 1376.85 1.05 11.95
Feb-03 1377.20 1415.65 1333.75 1387.10 1.21 12.05
Mar-03 1401.00 1409.30 1255.35 1259.55 1.15 11.68
2002-03 1568.40 1690.35 1231.95 1259.55 1.23 11.68

* CNX Nifty Junior commenced from November 4, 1996.

# At the end of period.
Note : Volatility is the standard deviation of daily returns for the respective month/year.

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Table 4-13: 10 Largest Day-to-Day Fluctuations in

S&P CNX NIFTY as of March 2003
10 Largest Advances in NIFTY
Rank Up in Date Closing Ocassion
Percent Index
1 7.83 16-Apr-99 1044.45 Expectation that Vajpayee Government will survive.
2 7.55 3-Jan-00 1592.20 Successful rollover to Y2K
3 7.30 17-Jun-98 976.50 RBI announces fresh forward cover benefits for
FIIs.
4 7.21 29-Oct-97 1107.00 Rebound after the fall on October 28, 2000.
5 7.17 7-Apr-00 1557.15 Government withdraws tax claim on FIIs.
6 6.18 14-Mar-01 1194.2 Markets recover after previous 3 days fall as a result
of Tehelka Expose.
7 5.64 26-Apr-00 1436.10 Relaxation of price bands from 8% to 12%.
8 5.61 2-Feb-96 918.31 Heavy purhcases by FIIs.
9 5.53 7-Oct-99 1469.75 BJP lead NDA Government returns to power.
10 5.50 28-Feb-97 1053.55 Chidambaram's 'dream' budget.

10 Largest Declines in NIFTY

Rank Down in Date Closing Ocassion
Percent Index
1 -8.46 31-Mar-97 968.30 Congress withdraws support to 'UF' Government.
2 -7.87 28-Oct-97 1032.60 Asian meltdown.
3 -7.42 17-Apr-99 966.95 Vajpayee government fails.
4 -7.09 5-Oct-98 840.75 UTI announces a cut in US 64 exposure.
5 -6.95 4-Apr-00 1428.10 Tax on FIIs.
6 -6.11 13-Mar-01 1124.70 Effect of global stock meltdown and SEBI action
against BSE broker directors.
7 -5.69 24-Jul-00 1317.75 Political uncertainity, persistent FII selling, fall in
NASDAQ and the RBIs decision to hike key
interest rates.
8 -5.60 15-Jun-98 916.80 Imposition of fresh set of margins.
9 -5.35 14-Sep-01 919.70 Heavy selling by FIIs post WTC attacks.
10 -5.20 2-May-00 1333.45 Heavy selling by banks of pledged shares.

Table 4-14: Settlement Cycle in CM Segment

Activity T+3 Rolling Settlement T+2 Rolling Settlement
(From April 1, 2002) (From April 1, 2003)
Trading T T
Custodial Confirmation T+1 T+1
Determination of Obligation T+1 T+1
Securities/Funds Pay-in T+3 T+2
Securities/Funds Pay-out T+3 T+2
Valuation Debit T+3 T+1
Auction T+4 T+3
Bad Delivery Reporting T+5 T+4
Auction Pay-in/Pay-out T+6 T+5
Close Out T+6 T+5
Rectified Bad Delivery Pay-in/Pay-out T+7 T+6
Re-bad Delivery Reporting T+9 T+8
Close Out of Re-bad Delivery T+10 T+9
T+1 means one working day after the trade day. Other T+ terms have similar meanings.

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Table 4-15: Settlement Statistics in CM Segment

Month/ No. of Traded Quantity % of Trading Value of % of Securities Short % of Unrectified % of Funds Settlement
Year Trades Quantity of Shares Shares Volume Shares Deliverable Pay-in Delivery Short Bad Unrectified Pay-in Guarantee
(lakh) (lakh.) Deliverable Deliverable (Rs. crore) Deliverable to Value (Rs. crore) (Auctioned Delivery Delivery Bad (Rs. Fund
(lakh) to Total (Rs. crore) of Shares quantity) to Total (Auctioned Delivery crore) (Rs.
Shares Traded (lakh) Deliverable quantity) to crore)*
Traded (lakh) Deliverable
Nov 94-Mar 95 0.3 133 69 51.74 17,280 8,980 51.98 611 0.6 0.85 0.18 0.26 3,004 --
1995-96 6 3,901 726 18.62 657,420 117,750 17.91 5,805 18 2.46 3.22 0.44 32,583 --
1996-97 26 13,432 1,645 12.25 2,923,140 326,400 11.17 13,790 38 2.32 6.63 0.40 72,121 --
1997-98 38 13,522 2,205 16.31 3,700,100 597,748 16.15 21,713 33 1.51 7.29 0.33 108,272 --
1998-99 55 16,531 2,799 16.93 4,135,730 662,038 16.01 30,755 31 1.09 6.97 0.25 121,754 5,840
1999-00 958 238,605 48,713 20.42 803,050 82,607 10.29 79,783 635 1.30 110.13 0.23 27,992 1,391
2000-01 1,614 304,196 50,203 16.50 1,263,898 106,277 8.41 94,962 339 0.68 11.58 0.023 45,937 2,916
Apr-01 87 16,323 5,643 34.57 28,226 6,083 21.55 5,214 16 0.28 0.043 0.0008 1,915 2,751
May-01 155 27,764 6,428 23.15 51,835 7,371 14.22 3,752 15 0.24 0.019 0.0003 1,976 2,620
Jun-01 127 22,797 5,134 22.52 43,136 5,960 13.82 4,058 14 0.27 0.010 0.0002 1,626 2,409
Jul-01 97 13,149 2,971 22.59 29,092 3,721 12.79 4,020 21 0.70 0.002 0.0001 1,830 2,110
Aug-01 111 15,512 3,018 19.46 28,572 3,962 13.87 3,531 31 1.03 0.003 0.0001 1,847 2,102
Sep-01 124 16,554 3,136 18.94 33,718 3,933 11.66 3,807 16 0.51 0.000 0.0000 2,068 1,870
Oct-01 145 19,775 3,485 17.62 35,225 4,247 12.06 4,136 40 1.15 0.000 0.0000 1,954 1,803
Nov-01 142 22,647 4,865 21.48 37,471 5,679 15.16 5,468 46 0.95 0.000 0.0000 2,311 1,876
Dec-01 168 29,221 5,929 20.29 53,098 7,184 13.53 6,924 48 0.81 0.000 0.0000 3,035 1,876
Jan-02 225 38,325 5,729 14.95 71,329 7,940 11.13 7,849 39 0.68 0.000 0.0000 3,440 1,837
Feb-02 170 26,866 6,600 24.57 48,823 7,982 16.35 7,935 39 0.59 0.000 0.0000 3,016 1,866
Mar-02 169 25,762 6,360 24.69 47,596 7,703 16.18 7,658 40 0.62 0.000 0.0000 3,030 1,788
2001-2002 1,720 274,695 59,299 21.59 508,121 71,766 14.12 64,353 364 0.61 0.08 0.0001 28,048 1,788
Apr-02 204 30,113 7,513 24.95 56,130 8,933 15.91 8,856 61 0.81 0.00 0.0000 3,216 1,745
May-02 211 33,785 8,317 24.62 53,414 8,732 16.35 8,676 55 0.66 0.00 0.0000 3,162 1,714
Jun-02 195 39,137 10,232 26.14 46,334 8,000 17.27 7,955 64 0.62 0.00 0.0000 2,728 1,719
Jul-02 206 36,835 10,348 28.09 50,262 8,407 16.73 8,358 69 0.67 0.00 0.0000 2,942 1,689
Aug-02 193 26,822 5,085 18.96 45,443 5,312 11.69 5,275 30 0.59 0.00 0.0000 2,152 1,651
Sep-02 183 25,254 4,433 17.55 46,894 5,271 11.24 5,235 25 0.56 0.00 0.0000 2,336 1,629
Oct-02 201 26,591 4,601 17.30 51,382 5,734 11.16 5,704 21 0.46 0.00 0.0000 2,599 1,588
Nov-02 174 23,070 4,433 19.22 50,171 6,452 12.86 6,411 23 0.52 0.00 0.0000 2,635 1,565
Dec-02 223 33,765 7,573 22.43 63,872 8,859 13.87 8,823 35 0.46 0.00 0.0000 3,391 1,566
Jan-03 231 35,017 8,152 23.28 62,815 9,169 14.60 9,128 38 0.47 0.00 0.0000 3,355 1,533
Feb-03 193 28,590 6,033 21.10 48,717 6,737 13.83 6,709 23 0.38 0.00 0.0000 2,644 1,521
Mar-03 182 26,424 5,633 21.32 46,134 6,350 13.76 6,317 25 0.44 0.00 0.0000 2,932 1,487
2002-03 2,397 365,403 82,353 22.54 621,569 87,956 14.15 87,447 469 0.57 0.00 0.0000 34,092 1,487
* Balance at the end of period.

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Chart 4-2: Movement of Sectoral Indices: 2002-03

Chart 4-3: Movement of S&P CNX Nifty and its Volatility

Computation of Volatility is as per Prof. J. R. Varma using exponential moving average method where
Volatility =t on day t is =t2 = 6(=2t-1) + (1-6) (rt)2, where, 6=0.94 and rt = ln (It/It-1) where, It is the close
index value on day t.

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