β-Analysis Banking Sector

STOCK RETURN AS ON 20th SEP 2010:

S.No BANKS SHARE PRICE rj

Openin Closin
g g

1 Allied Bank 52.26 51.75 0.0098

2 Askari Bank 15.02 14.74 0.0186
3 Bank Alfalah 8.25 8.07 0.0218
4 Bank Al-Habib 30.6 30.54 0.0020
5 Bankislami Pakistan 3.48 3.25 0.0661
6 Bank Of Punjab 8.85 8.63 0.0249
7 Faysal Bank Limited 13.82 13.56 0.0188
8 Habib Bank 96.81 94.79 0.0209
9 Habib Metropolitn Bank 19.4 19.56 -0.0082
10 KASB Bank 2.4 2.31 0.0375
11 MCB Bank 190.93 186.32 0.0241
12 Meezan Bank 14.95 14.95 0.0000
13 National Bank Of Pakistan 66.5 64.92 0.0238
14 NIB Bank 2.75 2.72 0.0109
15 'Standard Chartered Bank 6.9 6.8 0.0145
16 SILK Bank 2.73 2.71 0.0073
17 Summit Bank 2.75 2.65 0.0364
18 Soneri Bank 5.77 5.61 0.0277
19 United Bank 52.84 51.5 0.0254
20 Samba Bank 1.95 1.83 0.0615
Σ rj 0.4437

Σr j
rm = n

0.4437
rm = 20

rm = 0.0222

1
β-Analysis Banking Sector

STOCK RETURN AS ON 21th SEP 2010:

S.No BANKS SHARE PRICE rj
Openin Closin
g g

1 Allied Bank 51.75 51.4 0.0068

2 Askari Bank 14.74 14.5 0.0163
3 Bank Alfalah 8.07 7.81 0.0322
4 Bank Al-Habib 30.54 31.01 -0.0154
5 Bankislami Pakistan 3.25 3.09 0.0492
6 Bank Of Punjab 8.63 8.38 0.0290
7 Faysal Bank Limited 13.56 13.55 0.0007
8 Habib Bank 94.79 93.82 0.0102
9 Habib Metropolitn Bank 19.56 19.25 0.0158
10 KASB Bank 2.31 2.44 -0.0563
11 MCB Bank 186.32 183.17 0.0169
12 'Meezan Bank 14.95 14.96 -0.0007
13 National Bank Of Pakistan 64.92 63.5 0.0219
14 NIB Bank 2.72 2.66 0.0221
15 'Standard Chartered Bank 6.8 6.8 0.0000
16 SILK Bank 2.71 2.65 0.0221
17 Summit Bank 2.65 2.57 0.0302
18 Soneri Bank 5.61 5.5 0.0196
19 United Bank 51.5 50.6 0.0175
20 Samba Bank 1.83 1.8 0.0164
Σ rj 0.254
6

Σr j
rm = n

0.2546
rm = 20

rm = 0.0127

2
β-Analysis Banking Sector

STOCK RETURN AS ON 22th SEP 2010:

S.No BANKS SHARE PRICE rj

Opening Closin
g

1 Allied Bank 51.4 51.64 -0.0047

2 Askari Bank 14.5 14.69 -0.0131
3 Bank Alfalah 7.81 7.74 0.0090
4 Bank Al-Habib 31.01 31.03 -0.0006
5 Bankislami Pakistan 3.09 3.24 -0.0485
6 Bank Of Punjab 8.38 8.39 -0.0012
7 Faysal Bank Limited 13.55 13.49 0.0044
8 Habib Bank 93.82 93.92 -0.0011
9 Habib Metropolitn Bank 19.25 19.04 0.0109
10 KASB Bank 2.44 2.41 0.0123
11 MCB Bank 183.17 183.67 -0.0027
12 'Meezan Bank 14.96 14.94 0.0013
13 National Bank Of Pakistan 63.5 63.06 0.0069
14 NIB Bank 2.66 2.65 0.0038
15 'Standard Chartered Bank 6.8 6.6 0.0294
16 SILK Bank 2.65 2.67 -0.0075
17 Summit Bank 2.57 2.5 0.0272
18 Soneri Bank 5.5 5.14 0.0655
19 United Bank 50.6 50.56 0.0008
20 Samba Bank 1.8 1.81 -0.0056
Σ rj 0.0865

Σr j
rm = n
0.0865
rm = 20

rm = 0.0043

3
β-Analysis Banking Sector

STOCK RETURN AS ON 23th SEP 2010:

S.No BANKS SHARE PRICE rj

Openin Closin
g g

1 Allied Bank 51.64 51.9 -0.0050

2 Askari Bank 14.69 14.7 -0.0007
3 Bank Alfalah 7.74 7.76 -0.0026
4 Bank Al-Habib 31.03 31 0.0010
5 Bankislami Pakistan 3.24 3.24 0.0000
6 Bank Of Punjab 8.39 8.33 0.0072
7 Faysal Bank Limited 13.49 13.39 0.0074
8 Habib Bank 93.92 93.97 -0.0005
9 Habib Metropolitn Bank 19.04 18.85 0.0100
10 KASB Bank 2.41 2.21 0.0830
11 MCB Bank 183.67 185.45 -0.0097
12 'Meezan Bank 14.94 14.98 -0.0027
13 National Bank Of Pakistan 63.06 63.09 -0.0005
14 NIB Bank 2.65 2.66 -0.0038
15 'Standard Chartered Bank 6.6 6.52 0.0121
16 SILK Bank 2.67 2.69 -0.0075
17 Summit Bank 2.5 2.43 0.0280
18 Soneri Bank 5.14 5.5 -0.0700
19 United Bank 50.56 50.35 0.0042
20 Samba Bank 1.81 1.83 -0.0110
Σ rj 0.0387

Σr j
rm = n

0.0387
rm = 20

rm = 0.0019

4
β-Analysis Banking Sector

STOCK RETURN AS ON 24th SEP 2010:

S.No BANKS SHARE PRICE rj

Opening Closin
g

1 Allied Bank 51.9 51.88 0.0004

2 Askari Bank 14.7 14.7 0.0000
3 Bank Alfalah 7.76 7.9 -0.0180
4 Bank Al-Habib 31 30.98 0.0006
5 Bankislami Pakistan 3.24 3.16 0.0247
6 Bank Of Punjab 8.33 8.29 0.0048
7 Faysal Bank Limited 13.39 13.58 -0.0142
8 Habib Bank 93.97 94.03 -0.0006
9 Habib Metropolitn Bank 18.85 19.07 -0.0117
10 KASB Bank 2.21 2.45 -0.1086
11 MCB Bank 185.45 185.45 0.0000
12 'Meezan Bank 14.98 15 -0.0013
13 National Bank Of Pakistan 63.09 63.32 -0.0036
14 NIB Bank 2.66 2.56 0.0376
15 'Standard Chartered Bank 6.52 6.46 0.0092
16 SILK Bank 2.69 2.67 0.0074
17 Summit Bank 2.43 2.34 0.0370
18 Soneri Bank 5.5 5.51 -0.0018
19 United Bank 50.35 50.35 0.0000
20 Samba Bank 1.83 1.86 -0.0164
Σ rj -0.0545

Σr j
rm = n

−0.0545
rm = 20

rm = -0.0027

5
β-Analysis Banking Sector

CALCULATION FOR β
DATE rm rj of HBL M M2 K MK
20-Sep-10 0.0222 0.0209 -0.1047 0.0110 0.1060 -0.0111
21-Sep-10 0.0127 0.0102 -0.1142 0.0130 0.1167 -0.0133
22-Sep-10 0.0043 -0.0011 -0.1226 0.0150 0.1280 -0.0157
23-Sep-10 0.0019 -0.0005 -0.1250 0.0156 0.1274 -0.0159
24-Sep-10 -0.0027 -0.0006 -0.1296 0.0168 0.1275 -0.0165
Σ -0.5961 0.0714 0.6056 -0.0725

M
M = Σn
−0.5961
M = 5

M = -0.1192
K
K = Σn
0.6056
K = 5

K = 0.1211

M2 = 0.0142

β= ∑ MK−nMK
2
∑ M −n M
2

−0.0725−5 (−0.1192)(0.1211)
β = 0.0714− (5 ) (0.0142)

−0.0003
β = 0.0004

β = -0.7500

INTERPRETATION:

6
β-Analysis Banking Sector

β = 0.7500 MEANS THAT THERE IS -75% RISK BY INVESTING IN HABIB BANK

LIMITED.

CAPITAL ASSET PLANNING MODEL: (CAPM)

CAPM as on 20/09/2010

CAPM = rf + β (r m – r f )

CAPM = 0.1269 + (-0.7500) (0.0222 - 0.1269)

CAPM = 0.2054

CAPM as on 21/09/2010

CAPM = rf + β (r m – r f )

CAPM = 0.1269 + (-0.7500) (0.0127 - 0.1269)

CAPM = 0.2126

CAPM as on 22/09/2010

CAPM = rf + β (r m – r f )

CAPM = 0.1269 + (-0.7500) (0.0043 - 0.1269)

CAPM = 0.2189

CAPM as on 23/09/2010

CAPM = rf + β (r m – r f )

CAPM = 0.1269 + (-0.7500) (0.0019 - 0.1269)

CAPM = 0.2207

7
β-Analysis Banking Sector

CAPM as on 24/09/2010

CAPM = rf + β (r m – r f )

CAPM = 0.1269 + (-0.7500) (-0.0027 - 0.1269)

CAPM = 0.2241

NOTE:
All calculations are round to four (4) digits after decimals.

HABIB BANK is taken for the value of rj to calculate K.

Value of rf taken is 12.69%.

8
β-Analysis Banking Sector

OPENING AND CLOSING PRICES OF SHARES:

(20/09/2010)
MARKET_CODE,SYMBOL_CODE,SYMBOL_NAME,SETTLEMENT_TYPE,ORDER_REJECT
_UPPER_PRICE,ORDER_REJECT_LOWER_PRICE,LAST_DAY_CLOSE_PRICE

REG','ABL','Allied Bank Ltd.','READY',54.873,49.647,52.26

REG','BAFL','Bank Alfalah Ltd.','READY',9.25,7.25,8.25

'REG','AKBL','Askari Bank Limited.','READY',16.02,14.02,15.02

REG','BAHL','Bank Al-Habib Ltd.','READY',32.13,29.07,30.6

REG','BIPL','Bankislami Pakistan Ltd.','READY',4.48,2.48,3.48

FUT','BOP-SEP','Bank Of Punjab.','READY',9.85,7.85,8.85

'REG','FABL','Faysal Bank Limited.','READY',14.82,12.82,13.82

'REG','HBL','Habib Bank Limited.','READY',101.6505,91.9695,96.81

'REG','HMB','Habib Metropolitn Bank Limited.','READY',20.4,18.4,19.4

REG','KASBB','KASB Bank Ltd.','READY',3.4,1.4,2.4

REG','MCB','MCB Bank Limited.(XD)','READY',200.4765,181.3835,190.93

REG','MEBL','Meezan Bank Limited.','READY',15.95,13.95,14.95

REG','NBP','National Bank Of Pakistan.','READY',69.825,63.175,66.5

REG','NIB','NIB Bank Limited.','READY',3.75,1.75,2.75

'REG','SBL','Samba Bank Limited(XR)','READY',2.95,.95,1.95

'REG','SCBPL','Standard Chartered Bank (Pak) Ltd.','READY',7.9,5.9,6.9

'REG','SMBL','Summit Bank Limited.','READY',3.75,1.75,2.75

'REG','SNBL','Soneri Bank Ltd.','READY',6.77,4.77,5.77

REG','SILK','SILK Bank Limited(XR)','READY',3.73,1.73,2.73

9
β-Analysis Banking Sector

OPENING AND CLOSING PRICES OF SHARES:

(21/09/2010)
MARKET_CODE,SYMBOL_CODE,SYMBOL_NAME,SETTLEMENT_TYPE,ORDER_REJECT
_UPPER_PRICE,ORDER_REJECT_LOWER_PRICE,LAST_DAY_CLOSE_PRICE

REG','ABL','Allied Bank Ltd.','READY',54.3375,49.1625,51.75

'REG','AKBL','Askari Bank Limited.','READY',15.74,13.74,14.74

REG','BAFL','Bank Alfalah Ltd.','READY',9.07,7.07,8.07

'REG','BAHL','Bank Al-Habib Ltd.','READY',32.067,29.013,30.54

REG','BIPL','Bankislami Pakistan Ltd.','READY',4.25,2.25,3.25

REG','BOP','Bank Of Punjab.','READY',9.63,7.63,8.63

REG','FABL','Faysal Bank Limited.','READY',14.56,12.56,13.56

'REG','HBL','Habib Bank Limited.','READY',99.5295,90.0505,94.79

'REG','HMB','Habib Metropolitn Bank Limited.','READY',20.56,18.56,19.56

'REG','KASBB','KASB Bank Ltd.','READY',3.31,1.31,2.31

'FUT','MCB-SEP','MCB Bank Limited.','READY',195.636,177.004,186.32

REG','MEBL','Meezan Bank Limited.','READY',15.95,13.95,14.95

'REG','NBP','National Bank Of Pakistan.','READY',68.166,61.674,64.92

REG','NIB','NIB Bank Limited.','READY',3.72,1.72,2.72

REG','SBL','Samba Bank Limited(XR)','READY',2.83,.83,1.83

'REG','SCBPL','Standard Chartered Bank (Pak) Ltd.','READY',7.8,5.8,6.8

'REG','SILK','SILK Bank Limited(XR)','READY',3.71,1.71,2.71

'REG','SNBL','Soneri Bank Ltd.','READY',6.61,4.61,5.61

REG','UBL','United Bank Ltd.','READY',54.075,48.925,51.5

'REG','SMBL','Summit Bank Limited.','READY',3.65,1.65,2.65

10
β-Analysis Banking Sector

OPENING AND CLOSING PRICES OF SHARES:

(22/09/2010)
MARKET_CODE,SYMBOL_CODE,SYMBOL_NAME,SETTLEMENT_TYPE,ORDER_REJECT
_UPPER_PRICE,ORDER_REJECT_LOWER_PRICE,LAST_DAY_CLOSE_PRICE

REG','ABL','Allied Bank Ltd.','READY',53.97,48.83,51.4

'REG','AKBL','Askari Bank Limited.','READY',15.5,13.5,14.5

'REG','BAFL','Bank Alfalah Ltd.','READY',8.81,6.81,7.81

'REG','BAHL','Bank Al-Habib Ltd.','READY',32.5605,29.4595,31.01

'REG','BIPL','Bankislami Pakistan Ltd.','READY',4.09,2.09,3.09

'REG','BOP','Bank Of Punjab.','READY',9.38,7.38,8.38

'REG','FABL','Faysal Bank Limited.','READY',14.55,12.55,13.55

'REG','HBL','Habib Bank Limited.','READY',98.511,89.129,93.82

'REG','HMB','Habib Metropolitn Bank Limited.','READY',20.25,18.25,19.25

'REG','KASBB','KASB Bank Ltd.','READY',3.44,1.44,2.44

'REG','MCB','MCB Bank Limited.(XD)','READY',192.3285,174.0115,183.17

'REG','MEBL','Meezan Bank Limited.','READY',15.96,13.96,14.96

'REG','NBP','National Bank Of Pakistan.','READY',66.675,60.325,63.5

'REG','NIB','NIB Bank Limited.','READY',3.66,1.66,2.66

REG','SBL','Samba Bank Limited(XR)','READY',2.88,.88,1.88

'REG','SCBPL','Standard Chartered Bank (Pak) Ltd.','READY',7.8,5.8,6.8

'REG','SILK','SILK Bank Limited(XR)','READY',3.65,1.65,2.65

REG','SMBL','Summit Bank Limited.','READY',3.57,1.57,2.57

'REG','SNBL','Soneri Bank Ltd.','READY',6.5,4.5,5.5

REG','UBL','United Bank Ltd.','READY',53.13,48.07,50.6

11
β-Analysis Banking Sector

OPENING AND CLOSING PRICES OF SHARES:

(23/09/2010)
MARKET_CODE,SYMBOL_CODE,SYMBOL_NAME,SETTLEMENT_TYPE,ORDER_REJECT
_UPPER_PRICE,ORDER_REJECT_LOWER_PRICE,LAST_DAY_CLOSE_PRICE

REG','ABL','Allied Bank Ltd.','READY',54.222,49.058,51.64

REG','AKBL','Askari Bank Limited.','READY',15.69,13.69,14.69

'REG','BAFL','Bank Alfalah Ltd.','READY',8.74,6.74,7.74

'REG','BAHL','Bank Al-Habib Ltd.','READY',32.5815,29.4785,31.03

REG','BIPL','Bankislami Pakistan Ltd.','READY',4.24,2.24,3.24

REG','BOP','Bank Of Punjab.','READY',9.39,7.39,8.39

REG','FABL','Faysal Bank Limited.','READY',14.49,12.49,13.49

'REG','HBL','Habib Bank Limited.','READY',98.616,89.224,93.92

REG','HMB','Habib Metropolitn Bank Limited.','READY',20.04,18.04,19.04

REG','KASBB','KASB Bank Ltd.','READY',3.41,1.41,2.41

'FUT','MCB-SEP','MCB Bank Limited.','READY',192.8535,174.4865,183.67

REG','MEBL','Meezan Bank Limited.','READY',15.94,13.94,14.94

REG','NBP','National Bank Of Pakistan.','READY',66.213,59.907,63.06

REG','NIB','NIB Bank Limited.','READY',3.65,1.65,2.65

REG','SBL','Samba Bank Limited(XR)','READY',2.81,.81,1.81

REG','SCBPL','Standard Chartered Bank (Pak) Ltd.','READY',7.6,5.6,6.6

REG','SILK','SILK Bank Limited(XR)','READY',3.67,1.67,2.67

REG','SMBL','Summit Bank Limited.','READY',3.5,1.5,2.5

'REG','SNBL','Soneri Bank Ltd.','READY',6.14,4.14,5.14

REG','UBL','United Bank Ltd.','READY',53.088,48.032,50.56

12
β-Analysis Banking Sector

OPENING AND CLOSING PRICES OF SHARES:

(24/09/2010)
MARKET_CODE,SYMBOL_CODE,SYMBOL_NAME,SETTLEMENT_TYPE,ORDER_REJECT
_UPPER_PRICE,ORDER_REJECT_LOWER_PRICE,LAST_DAY_CLOSE_PRICE

'REG','ABL','Allied Bank Ltd.','READY',54.495,49.305,51.9

REG','AKBL','Askari Bank Limited.','READY',15.7,13.7,14.7

REG','BAFL','Bank Alfalah Ltd.','READY',8.76,6.76,7.76

REG','BAHL','Bank Al-Habib Ltd.','READY',32.55,29.45,31

'REG','BIPL','Bankislami Pakistan Ltd.','READY',4.24,2.24,3.24

'REG','BOP','Bank Of Punjab.','READY',9.33,7.33,8.33

'REG','FABL','Faysal Bank Limited.','READY',14.39,12.39,13.39

REG','HBL','Habib Bank Limited.','READY',98.6685,89.2715,93.97

'REG','HMB','Habib Metropolitn Bank Limited.','READY',19.85,17.85,18.85

REG','KASBB','KASB Bank Ltd.','READY',3.21,1.21,2.21

UT','MCB-SEP','MCB Bank Limited.','READY',194.7225,176.1775,185.45

REG','MEBL','Meezan Bank Limited.','READY',15.98,13.98,14.98

REG','NBP','National Bank Of Pakistan.','READY',66.2445,59.9355,63.09

'REG','NIB','NIB Bank Limited.','READY',3.66,1.66,2.66

REG','SBL','Samba Bank Limited(XR)','READY',2.83,.83,1.83

REG','SCBPL','Standard Chartered Bank (Pak) Ltd.','READY',7.52,5.52,6.52

'REG','SILK','SILK Bank Limited(XR)','READY',3.69,1.69,2.69

REG','SMBL','Summit Bank Limited.','READY',3.43,1.43,2.43

REG','SNBL','Soneri Bank Ltd.','READY',6.5,4.5,5.5

FUT','UBL-SEP','United Bank Ltd.','READY',52.8675,47.8325,50.35

13
β-Analysis Banking Sector

OPENING AND CLOSING PRICES OF SHARES:

(27/09/2010)
MARKET_CODE,SYMBOL_CODE,SYMBOL_NAME,SETTLEMENT_TYPE,ORDER_REJECT
_UPPER_PRICE,ORDER_REJECT_LOWER_PRICE,LAST_DAY_CLOSE_PRICE

REG','ABL','Allied Bank Ltd.','READY',54.474,49.286,51.88

'REG','AKBL','Askari Bank Limited.','READY',15.7,13.7,14.7

'REG','BAFL','Bank Alfalah Ltd.','READY',8.9,6.9,7.9

'REG','BAHL','Bank Al-Habib Ltd.','READY',32.529,29.431,30.98

'REG','BIPL','Bankislami Pakistan Ltd.','READY',4.16,2.16,3.16

REG','BOP','Bank Of Punjab.','READY',9.29,7.29,8.29

REG','FABL','Faysal Bank Limited.','READY',14.58,12.58,13.58

REG','HBL','Habib Bank Limited.','READY',98.7315,89.3285,94.03

'REG','HMB','Habib Metropolitn Bank Limited.','READY',20.07,18.07,19.07

REG','KASBB','KASB Bank Ltd.','READY',3.45,1.45,2.45

FUT','MCB-SEP','MCB Bank Limited.','READY',194.7225,176.1775,185.45

REG','MEBL','Meezan Bank Limited.','READY',16,14,15

'REG','NBP','National Bank Of Pakistan.','READY',66.486,60.154,63.32

REG','NIB','NIB Bank Limited.','READY',3.56,1.56,2.56

REG','SCBPL','Standard Chartered Bank (Pak) Ltd.','READY',7.46,5.46,6.46

'REG','SILK','SILK Bank Limited(XR)','READY',3.67,1.67,2.67.

REG','SMBL','Summit Bank Limited.','READY',3.34,1.34,2.34

REG','SNBL','Soneri Bank Ltd.','READY',6.51,4.51,5.51

FUT','UBL-SEP','United Bank Ltd.','READY',52.8675,47.8325,50.35

REG','SBL','Samba Bank Limited(XR)','READY',2.86,.86,1.86

SOURCE: KARACHI STOCK EXCHANGE

14