A STUDY ON

“Lead-Lag Relationship between Indian Spot and Futures

Market”

Dissertations submitted in partial fulfillment of the requirements for the

Award of the Degree of

MASTER OF BUSINESS ADMINISTRATION

Of
BANGALORE UNIVERSITY

By
RAVI PRAKASH HADGAL
Reg.No. 05JJCM6042

Under the guidance of

Dr.MADHUMITA. G. MAJUMDER

KRISTU JAYANTI COLLEGE OF MANAGEMENT & TECHNOLOGY

BANGALORE
2007
DECLARATION

1
I hereby declare that this project titled “A Study on Lead-Lag Relationship between
Indian Spot & Futures Market” submitted by me to Department of Management,
Bangalore University in partial fulfillment of requirements of MBA Programme is a
bonafide work carried by me under the guidance of. Dr.Madhumita. G. Majumder
This has not been submitted earlier to any other University or Institution for the award of
any degree diploma/ certificate or published any time before.

Place: Bangalore (RAVI PRAKSH HADGAL)

Date:

2
 CERTIFICATE FROM GUIDE & HEAD OF THE INSTITUTION

Certified that this project entitled “A Study on Lead-Lag Relationship between Indian
Spot & Futures Market” submitted in partial fulfillment for the award of MBA Degree
of Bangalore University was carried out by Mr.Ravi Prakash Hadgal under the guidance
of Dr.Madhumita. G. Majumder. This has not been submitted to any other university
or institution for the award of any degree/ diploma/ certificate.

GUIDE DEAN
MBA DEPARTMENT

PRINCIPAL

3
 ACKNOWLEDGEMENT

At the successful completion of my project I would like to extend my gratitude to all

those without whose valuable guidance and support it would have not been possible.

A special word of thanks to Dr. Arun Kumar (Dean of MBA Department) for his

guidance and support throughout the project work.

I also owe my gratitude to my internal guide Dr.Madhumita. G. Majumder (Professor,

Kristu Jayanti College of Management) for valuable suggestions and guidance.

Above all I thank my family and friends for their constant support and encouragement.

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 EXECUTIVE SUMMARY

Derivatives is a product that derives its value from the value of one of more basic

variables, called underlying in a contractual manner- NSE Definition. Of the several

varieties of derivatives, the most popular ones are Futures, Option, and swaps.

The commencement of Equity Futures and Options trading in India in June, 2000

revolutionized the economic landscape. In the inherently volatile Indian stock exchanges,

the opportunity to hedge risk was not wasted. The regular put-call parity violation also

led to glut arbitrage opportunities. Derivatives become the most favored tools for

investors and also gave them payoff structures they had not experienced before. Within a

short time of 5 years, the derivative segment of the NSE has raced ahead of the cash

segment in terms of daily traded volumes.

TABLE OF CONTENTS

5
CHAPTER NO. TITLE PAGE
NO.

1 INTRODUCTION 1-4

2 RESEARCH DESIGN 5-18

2.1 Introduction
2.2 Statement of Problem
 Need of the study
2.3 Review of Literature
2.4 Objectives of the Study
2.5 Scope of the Study
2.6 Hypothesis
2.7 Methodology
 Data Collection
 Plan of Analysis
 Limitations of the Study

3 INDUATRY PROFILE 19-29

4 ANALYSIS OF LEAD-LAG RELATIONSHIP 30-34

BETWEEN INDIAN SPOT MARKET AND
FUTURES MARKET

5 SUMMARY OF FINDINGS, CONCLUSION AND 35-38

RECOMMENDATIONS

BIBLIOGRAPHY AND ANNEXURES

LIST OF TABLES

6
 Table No. Contents Page No.

2.1 Table showing Description of underlying stocks 16

3.1 Table showing various Derivative Products available in NSE 21

4.1 Table showing the Mean & SD of spot and futures market 31

4.2 Table showing skewness & Kurtosis of spot and futures market 32

4.3 Table showing variance & co-efficient of variance of spot and 33

futures market

4.4 Table showing Beta value of underlying stocks 34

Table showing Nominal Returns of underlying stocks Anx 1 to

Anx 22

CHAPTER 1

Introduction:

As we know, Efficient Market Hypothesis (EMH)1 states that when all the
information available in the market is immediately incorporated in the prices of assets,
then the market is said to be informationally efficient (in weak form). When there are
two markets trading the same number and same type of assets, then the prices of
those assets, in a specific market, mainly depends on the nature and speed in the flow
of information available in the market. Spot and derivative market are such types of
market where the equity products to be traded are the same, but with some different
purpose, i.e., for hedging. Since the products traded in the two markets are of same
type, hence the prices of those products in two markets are expected to be same and
people can trade indifferently in any of the two markets. But, in practical sense, it

7
may not happen. The equity prices in the two markets – spot and derivative market
depends on the speed of incorporating all the information available in the market. So,
there is a link between the flow of information and the movement of prices in two
different markets. Now, if the information simultaneously flows in both the spot and
futures market, then there will be a contemporaneous movement of prices in those
markets and there will be no cause- effect relationship among them. But, if the
information flows faster in a specific market (i.e. spot / futures) , then there will be
a lead- lag relationship and the market incorporating the information faster is said to
lead the other market.

The Indian capital market has witnessed a major transformation and structural change
from the past one decade as a result of ongoing financial sector reforms initiated by the
Govt. Bringing the Indian capital market up to a certain international standard is one of
the major objectives of these reforms. Due to such reforming process, one of the
important step taken in the secondary market is the introduction of derivative products in
two major Indian stock exchanges (viz. NSE and BSE) with a view to provide tools for
risk management to investors and to improve the informational efficiency of the cash
market. Though the onset of derivative trading has significantly altered the movement
of stock prices in Indian spot market, it is yet to be proved whether the derivative
products has served the purpose as claimed by the Indian regulators. In an efficient
capital market where all available information is fully and instantaneously utilized to
determine the market price of securities, prices in the futures and spot market should
move simultaneously without any delay. However, due to market frictions such as
transaction cost, capital market microstructure effects etc., significant lead-lag
relationship between the two markets has been observed.

LEAD-LAG THEORY

Tremendous amount of work has been done in trying to identify the lead-lag relation
between the spot and derivative markets. There is both theoretical support and empirical
evidence for both the argument.

8
Theoretically, an option future is essentially a derivative security and so its price should
depend unilaterally on the underlying spot index. Hence, on the surface, it does not seem
plausible for the option markets to contain expectations of the future stock price
movements. However, it has been argued that this one-way linkage, from underlying asset
market to option and futures market, holds only in a complete market. In the presence of
friction and information asymmetry, informed traders may find the derivative markets to
be more attractive than the market for the underlying asset, and if this is the case, the
derivative markets could possible contain information that had yet to be compounded in
the underlying asset markets.

The link with the underlying asset market derivatives important for price discovery and
risk transfer. Price discovery means any news about the stock will come to future market
first and than moves to spot market with some delay. Risk transfer is the possibility of
investors to hedge their risk of spot portfolio through index futures. Hence there is a
widespread interest to study the relation between future and index prices.

1. Geweke J. “The Lead-Lag Relationship between Stock Index and Stock Index Futures
Contracts”, Journal of the American Statistical Association, Vol 76 (1982), 304-313

In some derivative securities, particularly index futures and options have been blamed for
the excess volatility in the spot market. They argue that derivatives encourage speculation
and hence destabilize the market. There has been lot research done (mostly in developed
markets) and evidence was found that spot markets k\lead the options and futures i.e. ‘the
dog wages tail and not the other way round’. There was also some evidence that there is no
particular relation between the two market. These theories are explained their arguments
are presented below.

There is a theory that the market choice of informed investors depends on the depth of the
two markets as well as the leverage provided. Two types of equilibrium are supposed to
exists. “Separating equilibrium” where informed traders trade in spot market only.
“Pooling equilibrium” where the informed investors trade in the both the markets and
therefore trading in option market may convey positive news about the futures stock

9
prices.

Hedging effects also contribute to relation between the two markets. If the option dealer
hedges his risk by trading in stock market or if stock broker trades in options market to
hedge his risk, then the information flows from one market to another.

Arguments for options and futures leading spot market

One argument is that some index-constituent stocks may react slowly to the news in the
market with a longer delay resulting in slower price formation of the overall index. This is
particularly a problem if there are some moving stocks in the index, which will take longer
time to respond. On the other hand, the index future and option prices on the other hand
react immediately due to the supply-demand equilibrium. Since it is a single security and
not a basket like spot index, there will be no delay because of the individual stocks. Any
news about any underlying constituent stock will be forced in very fast. Hence the
argument says that options lead the spot market due to their fasters reaction time.

Another argument suggest that investors can only bet on volatility of options market when
they have private information about the underlying asset. Short sale restrictions of the
underlying stocks are another reason why informed investors may prefer to trade in
derivative market.

Arguments for spot markets leading derivatives market

Lower liquidity experienced in the derivative market may in fact turn informed investors
from the derivative market. Hence they contend that information flows from spot to
derivative market.

Another interesting argument uses theories in behavioral finance. For example, cognitive
dissonance theory maintains that people generally try to reduce cognitive dissonance in
such a way that would not normally de considered fully rational. Cognitive dissonance
stars once the investor buys a stock and is unsure whether he has made the correct decision
or not. For example, when mutual funds are performing well, money flows in the fund

10
very rapidly. When a mutual fund is performing poorly, the money flow out of the fund is
rather slow. Investors behave in this fashion because, when losing, they become unwilling
to confront the fact that trading the stocks was a bad.

A related concept is the regret theory postulates that investors may take certain admittedly
“irrational” actions simply to mitigate or avoid the pain of regret. Regret may go beyond
the pain of loss to felling responsible for it. As such, regret appears to be an important
factor shaping people’s decisions. It is this pain of regret, the theory contends, that leads
investors to sell winning stocks too soon and hold losing ones too long.

These behavioral theories can be used to explain why volatility in spot market is capable
of provoking volatility in derivative market. As the spot market itself become more
volatile, investors exceedingly try to reduce cognitive dissonance and avoid possible
regrets of making wrong investment decisions. Such regret aversion psychology
encourages investors to engage in more hedging activities, not only to minimize perceived
risk, but also to avoid future pain of regret. These conditions justify the lead relationship
between the spot and derivatives market.

CHAPTER 2
RESEARCH DESIGN

2.1 Introduction
Research refers to the search for the knowledge. One can also define research as a
scientific, systematic search for the actual information on a specific topic. In fact,
research is an art of scientific investigation. “A careful investigation or enquiry specially
through search for new fact in any branch of knowledge.”

2.2 Statement of the problem

The present study would like to investigate how the movements of prices both in spot as
well as derivatives depend upon the flow of information in those markets. It is found
that both the spot and futures price series possess unit root and both of them are
cointegrated in case of index level and also at stock level. But as far as the flow of

11
information is concerned, it shows some mixed evidence. The direction in the flow of
information from one market to another keeps changing over a periods of time. It
varies also from one underlying stock to another.

 Need of the study

Futures & Options on both individual stock and the index level are traded in Indian
exchange. The cash and derivative segment share a symbiotic relationship because the
underlying of exchange-traded derivatives is predominantly stocks or the index itself. The
present researcher interested in a broad-based understanding of the impact of the
characteristics of one on the behavior of the other, the impact of volatility of the stock
(cash) segment on the derivative segment.

There are two school of thought which advocate the impact of volatility in the stock (cash)
market on the derivative market. The first school of thought discounts the impact of short
term swings in the stock market. Exchange traded derivatives typically have duration of 1
or 3 months. Hence the short term stock market fluctuations should logically have a fairly
limited impact on the valuation of these derivatives in general, and Futures in particular

However the other school of thought suggests that since the underlying for these
derivatives is stock their swings would defiantly affect the valuation of the derivatives.
Their argument is that in a non-ideal market, investor’s sentiment would still play a major
role in the valuation, especially of the new derivatives in the period.

Derivatives are being used chiefly for hedging operations in market both developed and
emerging. Thus their efficacy as a hedging mechanism would depend upon their ability to
smooth out some of the volatility in the underlying. Thus a study of their volatility
behavior is extremely important for an investment analysis standpoint

2.3 Review of literature:

If markets are complete and perfect, derivative and underlying spot prices must

12
reflect information simultaneously; otherwise, difference in prices would
induce arbitrage opportunity. In practice, when institutional characteristics and
transaction cost are taken into consideration, one market may lead the others without
implying arbitrage opportunity. To the extent that the futures or options are able to
reduce the transaction cost, their introduction should be expected to increase the flow
of information into the market. A simple way to test for this is to study the lead-lag
relationship between price changes in the underlying spot and derivative market.

If we look into the previous studies, then a large number of studies will be found that
have examined the structural as well as temporal relationship among the spot and
futures markets. Again, some studies have focused on the impact of some
specific event(s) on such relationship among those markets.

Studies like Kawaller, Koch and Koch (1987), Herbst et al. (1987), Stoll & Whaley
(1990), Kalok Chan (1992), Tang Y.N. et al. (1992), Wahab M. et al. (1993), Tse
Y.K. (1995), Antoniou A. et al. (1995), De Jong F. et al. (1997), De Jong F. et al.
(1998), Abhyankar A.(1998), Pizzi M.A. et al. (1998), Tse Y. (1999), Min J.H. et al.
(1999), Timothy J.B. et al.(1999), Frino A. et al. (2000), Pascal A. (2000), Pascal
A. et al. (2000), Roope M. et al.(2002), Thenmozhi M. (2002), Chan L.H. et al.
(2002), Lien D. et al. (2003), Anand Babu P. et al. (2003) etc. have focused the
temporal relationship and the flow of information among the spot and derivative, viz.
futures market.

By applying several methods, such as cointegration and error correction model,

Hasbrouck (1995) common trend model, Simultaneous equation model, Linear and non-
linear Granger causality test etc., De Jong F. et al. (1997), Pizzi M.A. (1998),
Abhyankar A. (1998), Min J.H. (1999), Roope M. et al. (2002) etc. argued that there is
a unidirectional relation among the spot and futures markets. Almost all of these studies
have found that the price of futures index significantly lead the price of cash / spot
index within a period from ten to forty minutes. Though some studies states that the
spot market leads the futures market, such effect continues only for few minutes, one to
two minutes. Thus in most of these cases, information is incorporated into futures price

13
first and then transmitted to the spot price. Again, Abhyankar A. (1998) concluded that
neither markets (spot or futures market) leads nor lags the other if the non-linear
effects between these two markets are taken into consideration.

Intraday lead-lag relationship between return on the cash index and the same on
futures and call options is studied by De Jong F. et al. (1998), Pascal A. et al. (2000). De
Jong argued that the futures market leads both the cash and options markets by five to
ten minutes on average. While, the lead-lag relations between the cash index and the
options are largely symmetrical, indicating that neither markets leads the other.

Kawaller, Koch and Koch (1987) have tried to compare the estimated price
relationship on expiration days of the futures contract with comparable estimates for
days prior to expiration. As far as the lead-lag relationship is concerned, their results
also suggested that futures price movement consistently leads the spot index price by
twenty to forty five minutes, while the spot index rarely affect the futures beyond one
minute. They also found that the expiration days do not demonstrate a temporal
character substantially different from earlier days. Frino A. et al. (2000) have tried to
investigate how the lead-lag relationship between return on spot and futures index is
influenced by the release of macroeconomic and stock-specific information. They
argued that futures market significantly lead the spot market around
macroeconomic information release. While, they provide evidence that the leading
role of futures market weakens with the release of stock-specific information.

Apart from measuring the lead-lag relation between the intraday futures and cash index
price, Chan K. (1992) has tried to investigate such a lead-lag relationship even at the
stock level with a view to find out whether such relationship exist only due to the
non-synchronous trading of the component stocks in the spot market. They have found
an asymmetric lead-lag relation between futures and all component stocks, and
pointed out that even for some actively traded stocks; the return still significantly lags
futures return. His results also support that due to differential transaction cost and
expected profits, the futures market becomes the main source of market wide
information, while the cash market becomes the main source of firm-specific

14
information.

Timothy J.B. et al. (1999), Chan L.H. et al. (2002) and Lien D. et al. (2003) had
tried to investigate some policy effect on the information flow between the cash and
futures market at the index and stock level. Simply by using the multiple regression
technique [Stoll & Whaley (1990) and Grunbichler (1994)] on the return innovations
in the spot and futures markets, Timothy et al. concluded that the trading
mechanism, changed from floor-based trading to automated screen based trading
leads to change the substantial bi-directional information flow between spot and
futures markets into the unidirectional flow of information from futures to spot
market. They also proved the significant increase in the contemporaneous relation
among the spot and futures markets. Lien explored whether the price discovery
function of futures price has been enhanced in the Australian market after the
switch of futures contract from cash settlement to physical delivery. They have
found that there is significant flow of information from spot to futures market in
both the period of cash settlement and physical delivery. Moreover, they pointed out
the increase in the magnitude of information flow from spot to futures market after
switching of ISF contracts into physical delivery. While, by using the Geweke
feedback measures, Chan L.H. has tried to examine the effect of extended trading hours
of the Hong-Kong index futures on the flow of information between cash and futures
markets. They have found that extension of trading hour leads to a stronger information
flow from the cash market to the futures market, i.e., the spot market leads the
futures market.

As far as the Indian financial market is concerned, Thenmozhi M. (2002), Babu P.A.
et al. (2003) etc. have tried to examine the temporal relationship between the index
futures and underlying cash index and to test the lead-lag relations among those
markets in India. They confirmed that Indian index futures lead the spot index and such
lead-lag pattern between the two markets is not constant over different periods.

All of the past studies reveal the fact that futures market leads the spot market at the

15
index level; while, an opposite relationship is found if we go for the underlying stocks
listed in both the spot and futures markets. Though there are a number of studies
examined the flow of information between spot and futures market, but only a few
of them accounted for the underlying stocks. This study contributes to the literature
by (i) investigating the leading role played the spot or the futures market in
discovering not only the index price but also the prices of some underlying stocks
listed in those markets and (ii) examining the leading role for the whole period along
with for the subsequent annual periods with a view to know how such role varies from
time to time.

2.4 Objectives of the study

1. To study lead-lag relationship between the spot and the future market for some
underlying stock.
2. To examine the volatility spot market index on a few highly liquid stock.

2.5 Scope of the study

The scope of the study is limited only to CNX Nifty, daily closing prices of some
selected stocks and Nifty futures index. The study includes testing of lead-lag relation
only in Nifty spot and futures market.

2.6 Hypothesis:

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 HO: “Stock returns in underlying spot market does not lead to that in the futures
market”
H1: “Stock returns in underlying spot market does lead to that in the futures market”

2.7 Methodology

There are several methods for testing the flow of information and movement of prices
in two different markets. In this study the emphasis is given mainly on Geweke
measures of feedback to test the flow of information and the movement of prices in spot
as well as futures market in India. Daily closing prices of CNX Nifty index, Nifty
futures index, and also the daily closing prices of some selected stocks, listed in
both the spot and futures market, are used in the study.. All the data at the index
level are collected from January-07 to March-07. It is to be noted here that the
study period and the number of the time series observation are not consistent for all of
the underlying stocks. Because different stocks are traded in futures market for
different time periods. The stocks traded at least for 60 days (except in the case of
few stocks), fixed arbitrarily, in the futures market are taken into consideration
for this study. A brief description of the price index and also of the underlying stocks
is presented in below Table 1. Since the futures price on the first nearest contract is
characterized by a high level of activity, prices of stock index futures and also of stock
futures on the first nearest contract, i.e., on the next month contract are taken into
account. All the data are collected from the website of National Stock Exchange (NSE),
Mumbai.

In the present study, the attempt has been made to investigate the flow of information
among the Indian spot and futures market both at the index level and also at the
underlying stock level. This study applies Geweke [J. Am. Stat. Assoc., 76(1982)
304] measure of feedback to empirically investigate the hypothesis that there is
instantaneous flow of information among spot and futures market and there is no such
cause and effect relationship among the index and stock prices in those markets.
This study is based on daily data for CNX Nifty spot index, Nifty futures index, and

17
also daily prices of some of the selected stocks from both the spot as well as futures
markets over a period from January 07 to March, 2007. The study reveals the fact
that though both the non- stationary price series are cointegrated (both at index and
stock level), there is cause-effect relationship only in few pairs of price series, not
in all the cases. As far as the flow of information is concerned, the statistics
showing the Geweke measure of feedback, confirm that though there is an
instantaneous flow of information among the spot and futures market, still there is a
lead-lag relationship between the spot and the futures market that varies from period
to period and also from one underlying stock to another.

The remainder of this paper is organized as follows. Section 2 discusses a brief review
of the past literature relevant with this study and pointed out the effort trying to achieve
through this study.

The temporal relation between stock Index and Index futures has been and continues
to be of interest to regulators, academicians and practitioners alike for a number of
reasons such as market efficiency, volatility and arbitrage. In perfectly efficient
markets profitable arbitrage should not exist as prices adjust instantaneously and
fully to new information. Hence, new information disseminating into the market
place should be immediately reflected in spot and futures prices by triggering trading
activity in one or both markets simultaneously so that there should be no systematic
lagged responses. However, there is yet another reason that futures markets
potentially provide an important function of price discovery to help improve efficiency
of the market. If so, then futures prices and movements thereof should contain useful
information about subsequent spot prices beyond that already embedded in the current
spot price.

The concern over how trading in futures contract affects the spot market in
underlying asset has been an interesting subject for investors, academicians,
exchanges and regulators. Antoniou and Holmes (1995) found that the
introduction of stock Index futures caused an increase in spot market volatility in the
short run while there was no significant change in volatility in the long run. The

18
apparent increase in volatility has been attributed to increased information flow in the
market through the channel of futures trading. On the other hand, Kamara et al. (1992)
found no increase in spot market volatility due to introduction of futures trading.
Ross (1989) demonstrates that under conditions of no arbitrage variance of price
change must be equal to the variance of information flow. This implies that the
volatility of the asset price will increase as the rate of information flow increases. It
follows therefore, that if futures increase the flow of information then in absence of
arbitrage opportunities the volatility of the spot price must change and hence increase in
volatility.

Since there is theoretical disagreement as to whether futures trading increases

or decreases spot price volatility the question needs to be investigated empirically
and policy makers in India may also like to know its impact so that future policy
changes can be implemented. Another purpose of this study is to examine the effect of
introduction of S&P CNX Nifty Index futures on the underlying spot market.

There is an evidence of bi-directional feedback during the day. In order to find out
any lead lag information, there is a need to look at high frequency data. Attempts are
being made to obtain intra day data so that lead lag relationship, if any, between
cash and futures market can be established. Also, price discovery and volatility in the
context of single stock futures is proposed to be studied separately.
 Geweke Measure of Feedback:

Suppose, there are two markets, X market and Y market. Let Pxt and Pyt be the two
different price series of two different markets. Now, the nominal return of those stock
markets can be calculated by taking the first difference in the log of the stock price, such
that

rzt = lnPzt – lnPz,t-1, where z = x, y.

In – Natural Log

19
When it is hypothesized that the return series of two different markets are interrelated,
then each of the return series are influenced by information influencing other markets,
information that do not influence other markets, and noise.

Now, according to Geweke (1982) Measure of Feedback, the flow of information

among the spot and futures markets can be measured by the following log-likelihood
ratio statistics.

There may be unidirectional and / or bidirectional feedback measure among the spot
and futures market in the matter of flow of information.

When there is a unidirectional feedback relation from spot market (X) to futures market
(Y), such relation can be measured by the following statistics

FX→Y = ln(σ2µy / σ2yy)

Now, the asymptotic distributions of this measure is such that, if the residuals in the
above equations are i.i.d. under the null hypothesis H0: FX→Y = 0, then

Similarly, the unidirectional feedback relation from futures market (Y) to the spot
market (X) can also be measured, such that

FY→X = ln(σ2µx / σ2xx)

The above test statistics (FX→Y, FY→X,) reveals whether there is unidirectional and / or
bi-directional flow of information among spot and futures market in India. When
FX→Y is statistically significantly different from zero but FY→X is not, then it can be
concluded that the information actually flows from spot market to futures market and
thus the former leads the latter. On the other hand, if FY→X is statistically significant,
but FX→Y is not, then the futures market is said to lead the spot market and information
flows from futures to spot market. Moreover, when both the measures are significantly

20
different from zero, then a larger value of FY→X implies that the futures market has
more influence on the spot market.

This Geweke Measure of Feedback technique have some special advantages over the
other means for testing the contemporaneous or lead / lag relationship in the matter
of flow of information and movement of prices in two different markets. Unlike other
technique, the Geweke statistics represent not only the presence of feedback, but also the
extent of feedback. The Granger Causality (Granger et al., 1969) test of investigating the
causal relation can only reveals whether we can reject or fails to reject the null
hypothesis that there is no such relation among two different markets. But the
Geweke statistics can cardinally measure the degree of movements or
interdependence.

The Standard Deviation: The standard deviation measures the absolute dispersion (or

variability of distribution: the greater amount of dispersion of variability), the greater

the standard deviation, for the greater will be the magnitude of deviations of the values

of their mean. A small standard deviation means the high degree of uniformity of the

observation as well as homogeneity of a series: a large standard deviation means just the

opposite.

Skewness: Measure of skewness tells us the direction and the extent of skewness. In

symmetrical distribution the mean, median and mode are identical. The more mean

moves away from the mode, the larger the asymmetry of skewness.

Kurtosis: the most important measure of kurtosis is the value of the coefficient β 2.. It is

defined as

21
The greater the value of β2 the more peaked is the distribution.

Correlation Analysis: the correlation is the device which helps us in analyzing the

covariance of 2 or more variables.

The problem of analyzing the relation between different cities should be broken in to

three steps:

1. Determining whether a relation exists and, if it does, measuring it.

2. Testing whether it is a significant.

3. Establishing the calls and effect and relation, if any.

Table no. 2.1 Description of Price Index and Underlying Stocks Listed in Spot &
Futures Markets:

NSE Code Index/Company Name Industry Group Incorporation

Year
S&P CNX NIFTY S&P CNX NIFTY Index Price Index
FUTIDXNIFTY Nifty Futures Index Futures Index
ACC Associated Cement Cos.Ltd. Cement 1936
BAJAJAUTO Bajaj Auto Ltd. Automobile 1945
BHEL Bharat Heavy Electricals Ltd. Electricals & Electricity 1964
BPCL Bharat Petroleum Corpn. Ltd. Petroleum 1952
BSES B S E S Ltd. Electricals & Electricity 1929
CIPLA Cipla Ltd. Drug 1935
DRREDDY Dr. Reddy's Laboratories Ltd. Drug 1984
GRASIM Grasim Industries Ltd. Diversified 1947

22
 GUJAMBCEM Gujraj Ambuja Cements Ltd. Cement 1981
HINDLEVER Hindusthan Lever Ltd. Diversified 1933
HINDPETRO Hindusthan Petroleum Corpn. Ltd. Petroleum 1953
INFOSYSTCH Infosys Technologies Ltd. Computers 1992
IOC Indian Oil Corpn. Ltd. Petroleum 1959
ITC I T C Ltd. Tea & Tobbaco 1910
L&T Larsen & Toubro Ltd. Diversified 1946
M&M Mahindra & Mahindra Ltd. Automobile 1945
MTNL Mahanagar Telephone Nigam Ltd. Telecom 1986
ONGC Oil & Natural Gas Corpn. Ltd. Petroleum 1959
RANBAXY Ranbaxy Laboratories Ltd. Drug 1961
RELIANCE Reliance Industries Ltd. Diversified 1966
SATYAMCOMP Satyam Computer Service Ltd. Computers 1987
SBIN State Bank of India Banking 1955
TATAPOWER Tata Power Co. Ltd. Electricals & Electricity 1919
TATATEA Tata Tea Ltd. Tea & Tobbaco 1978
TELCO Tata Motors Ltd. Automobile 1956
TISCO Tata Iron & Steel Co. Ltd. Iron & Steel 1907
VSNL Videsh Sanchar Nigam Ltd. Telecom 1986

This table reports a brief description of the indicesand also of the stocks (companies) listed in
both the derivative as well as spot market in India.

 Motivation

The Indian capital market has witnessed many changes in the past decade. A
major reform undertaken by SEBI was the introduction of derivatives products: Index
futures, Index options, stock options and stock futures, in a phased manner starting
from June 2000. It has been about two and half years since the introduction of Index
futures in India mainly as a risk management tool for institutional and for other
investors. The two main functions of futures market are price discovery and hedging.
Futures markets are also known to have a stabilizing effect on the underlying spot
market. Price discovery is expected to first take place in the futures market and then it
is transmitted to underlying cash market (Pizzi et al, 1998). Since futures market is
different from cash market in terms of capital required, cost of transactions and other
aspects, it would be a forerunner of the cash market as far as the information

23
discounting is concerned. Thus many small and risk averse investors can trade in the
cash market without taking the risk of bouts of volatility. Therefore, this paper makes
an attempt to measure price discovery whether actually taking place first in the futures
market or not. A related issue is level of volatility. Introduction of Index futures is
expected to reduce volatility in the cash market since speculators are expected to
migrate to futures market (Antoniou and Holmes, 1995). Many past studies in other
countries measured impact of volatility on the cash market. In India as of now there
is no scientific study that used some of the modern econometric techniques to measure
volatility in the cash market after the introduction of Index futures. There are some
studies which used standard regression and standard deviation techniques. It is
proved in India also that volatility is a time varying factor (Thiripal Raju et. al.,
2002). Therefore, in this study Autoregressive Conditional Heteroscedasticity (ARCH)
family of techniques are used to capture time varying nature of volatility so that the
estimators are more reliable. These are the two important locomotives; price
discovery and volatility that worked as drivers of this research study.

 Data collection

The data which is required for the study is mainly depend upon the secondary date. Daily
closing prices of CNX NIFTY index, and also the daily closing prices of some selected
stocks listed in both the spot and future market.

1 Books and Journals

2 Internet Websites:
 www.nseindia.com
 www.icfai.org
 www.ssrn.com
 www.bseindia.com

24
  Plan of Analysis

Technique: Descriptive statistics consists of mean, standard deviation, skewness,

coefficient of variance, correlation and kurtosis, for the Nifty spot and Nifty futures
index, and also for the underlying stocks and stock futures for return series All the
return series are calculated as the first difference of the log of the daily closing price
series of the two markets.

Tools: For the calculation of all the statistical techniques Ms-EXEL is being used

 LIMITATIONS OF THE STUDY

1 The study is confined to closing prices of spot & futures in the Stock Market. It
does not include other indicators, which affects the Capital Market.
2 Most of the information gathered for the study is from Internet and magazines
etc. that are in the printed from.

CHAPTER 3

INDUSTRY PROFILE

The world of finance and capital markets has undergone a stunning transformation in the
last decade. Simple stocks and bonds seem to be out-fashioned alongside the dazzling
and fast faced world of futures, options, swaps and other ‘new’ financial products. A
derivative is a simply a financial instrument that derives its value from the underlying. In
a sense it can be seen as a bet on the futures pries. This is true in case of investors who
use this kind contract to speculate on the future pries. Hence derivative markets have
been blamed to increase the volatility in the spot market.

25
But derivatives also acts as insurance against adverse outcomes for the other party.
Financial markets are, by, nature extremely volatile and hence risk is an important factor
for the agents. Derivatives helps them reduce their risk. Hence it is not the derivative
product it self but the way in which it is used and who uses it, that determines whether
it’s risk reducing or betting.

APPLICATION AND USE OF DERIVATIVES

The general strategies of companies in using the derivative product are known. But data
is not available on how much company is hedging against a perceived risk or by all
companies in the aggregate. The various in the different industries make use of different
derivative products. For example financial institutions like banks have assets and
liabilities in the different currencies, with different maturities and with different credit
risks. Hence banks can be expected to use interest rate derivatives, currency derivatives
and credit risk derivatives. On the hand manufacturing companies that buy raw materials
and sell in global markets can be expected to use commodity and currency derivatives.

Some of the motives for using derivative products are

Risk management- Derivatives are a tool for companies to manage and reduce risk.
Insurance it self can be bought of as a derivative. For example, automobile insurance is a
bet on whether we have an accident or not. If we hit a tree, the insurance is valuable. If
the car remains in tact, insurance is of no value.

Speculation- Derivatives can provide ways to make bets that are highly leveraged and
tailored to a specific view. The potential for gain or loss can be huge and so the returns
will be high.

26
Reduced transaction- Sometimes derivatives provide a lower cost way to effect a
particular transaction. If a person wants to sell stocks and buy bonds, it is possible to
trade derivatives instead and achieve some economic effect.

Regulatory arbitrage- It is sometimes possible to circumvent regulatory restrictions,

taxes and accounting rules by trading derivatives. Derivatives can be used to achieve the
economic sale of stock (receive the cash and eliminate the risk of holding it) while
marinating the physical possession of the stock. This may give owner the voting rights
without the risk of holding the stock

Table no. 3.1 The various derivative products available in NSE are shown in the
following table

Products Index Individual

Futures Options securities Options
Futures
Underlying S&P CNX NIFTY S&P CNX NIFTY Securities Securities
instruments stipulated by stipulated by
SEBI SEBI
Type European American

27
Trading Max of 3 months 3 Same as Index Same as Index Same as Index
Cycle type of contracts futures futures futures
at any time-near
month, mid month far
month duration

Expiry Date Last Thursday of Same as Index Same as Index Same as Index
every month futures futures futures
Contract Lot size of 200and Same as Index As stipulated by As stipulated by
Size multiples futures NSE NSE
Price Steps Rs.0.05 Rs.0.05
Base Price Daily settlement price Daily close prices Daily settlement Daily close prices
Subsequent price
Price Bands Operating ranges are Operating ranges Operating ranges Operating ranges
kept at +10% at +10% of base are kept at +20% at +10% of base
value value
Quantity 20000 unties or 20000 unties or Lower of 1% of Same as
Freeze greater greater market wide individual futures
position limit
stipulated for
open position or
Rs. 5 crs

Derivative market in India

The first step towards introduction of derivatives trading in India was the promulgation
of the Securities Laws (Amendment) Ordinance, 1995, which withdraw the prohibition
on options in securities. The market for derivatives did not take off immediately as there
was no regulatory framework to govern trading of derivatives. The Securities Contract
Regulation Act (SCRA) was amended in Dec 1999 to include derivatives within the
ambit of ‘securities’ and the regulatory framework was developed to govern trading of

28
derivatives. However, the trading was limited to recognized stock exchange, thus
eliminating the OTC derivatives.

The trading in BSE Sensex commenced on June 4, 2001 and in options on individual
securities commenced in July 2001. The following are some of the observations based on
the trading statistics by the NSE report on futures and options.
1. Single stock futures which closely resemble the former badla system constitute
for a sizable portion of the total F & O segment.
2. Due to the low volatility of the spot index, the trading on index options remains
poor. This is due to the fact that low volatility leads the higher waiting time and
lower commission to the brokers.
3. There is a decrease in the call-put volumes ratios suggesting that traders are
increasingly becoming pessimistic.

Evolution of futures:

Futures contract, especially those involve agricultural commodities, have been traded for
long. In the USA, for instance, such contracts begin trading on the Chicago board of
trade (CBOT) in the 1860’s . subsequently, contracts began to trade on commodities
involving precious metals like gold, silver etc. However, significant changes have taken
place in the last three decades with the development of financial futures contracts. They
represent a very significant financial innovation. Such contracts encompass a variety of
underlying assets securities, stock indices, interest rates and so on. The beginnings of
financial futures were made with the introduction of foreign currency futures contracts
on the International Monetary Markets (IMM) in 1972. subsequently, interest rates
futures where a contract is on an asset whose price is dependent solely on the level of
interest rates were introduced on the CBOT in October 1975. within a short span of time,
CBOT made a headway and introduced the Government National Mortgage Association
Contract (GNMA) and the years 1976 and 1977 saw the launching by IMM, respectively
of the Treasury Bill Futures and Treasury Bonds futures. Treasury Bonds is one of the
most actively traded futures contract in the world and has in particular, lent great impetus

29
to the introduction of similar futures on many futures exchanges the world over. An
important development took place in the world of futures contracts in 1982 when stack
index futures were introduced in the USA, after strong initial opposition to such
contracts. A futures contract on a stock index has been revolutionary and novel idea
because it represents a contract based negotiable instrument. It is instead based on the
concept of mathematically measurable index that is determined by the market movement
of a predetermined set of equity stocks. Such contracts are now very widely traded the
world over.

Futures Contracts:

As indicated, the futures contracts represent an improvement over the forward contracts
in terms of standardization, performance guarantee and liquidity. A futures contract is a
standardized contract between two parties where one of the parties commits to sell, and
the other to buy, a stipulated quantity (and quality, where applicable) of a commodity,
currency, currency, security, index or some other specified item at an agreed price on a
given date in the future.

The futures contracts are standardized ones, so that

i) The quantity of the commodity or the other asset which would be transferred
or would form the basis of gain/loss on maturity of a contract.
ii) The quality of the commodity if a certain commodity is involved and the
place where delivery of the commodity would be made.
iii) The date and month of delivery
iv) The units of price quotation
v) The minimum amount by which the price would change and the price limits
for a day’s operations, and other relevant details are all specified in a futures
contract. Thus, in a way, it becomes a standard asset, like any other asset to
be traded.

30
Futures contract are traded on commodity exchanges or other futures exchanges. People
can buy or sell futures like other commodities. When an investor buys a futures contract (
so that he takes a long position) on an organized futures exchange, he/she is in fact
assuming the right and obligation of taking the delivery of specified underlying item on a
specified underlying item on a specified date. Similarly, when an investor sells a contract
to take a short position, one assumes the right and obligation to make the delivery of the
underlying asset. There is no risk of non performance in the case of trading in futures
contracts. This is because a clearing house, or a clearing corporation is associated with
the futures exchange, which plays a pivotal role in the trading of futures. A clearing
house takes the opposite position in each trade, so that it becomes the buyer to the seller
and the seller to the buyer. When a party takes a short position in a contract, it is obliged
to sell the underlying commodity in question at the stipulated price to the clearing house
on maturity of the contract. Similarly, an investor who takes a long position on the
contract, can seek its performance through the clearing house only.
Traders in futures and options markets

The derivative instruments are used for various purposes. As indicated earlier they are
primarily used for purposes of managing risk by those managing funds. The trading of
these instruments also allows the market participants the opportunities of making profits
either by taking risk, i.e. speculation, or simultaneously taking opposite positions in the
spot and futures markets, or in the futures market alone to take advantage of price
differentials, i.e. arbitrage.

Accordingly, there are varied types of traders who trade in the futures and options
markets. Hedgers, speculators and arbitrageurs constitute three major classed of such
traders.

Hedgers

As already observed, hedging (covering against losses) is the prime reason which led to
emergence of derivatives. The availability of derivatives allows the undertaking of many

31
activities at a substantially lower risk. Hedgers therefore are an important constituent of
the traders in derivatives markets.

Hedgers are the traders who wish to eliminate the risk (of price change) to which they are
already exposed. They may take a long position on, or short sell, a commodity and
would, therefore, stand to lose should the prices move in the adverse direction. It will be
instructive to illustrate hedging with some examples. To begin with, suppose a leading
trader buys a large quantity of wheat that would take two weeks to reach him. Now, he
fears that the wheat may have to be sold at lower prices. The trader can sell futures (or
forward) contracts with a matching price to hedge. Thus if the wheat prices do fall the
trader would lose money on the inventory of wheat but will profit from the futures
contract, which would balance the loss. Similarly, an investor who holds a large quantity
of shares of a company can hedge by selling futures on them or by buying put option
contacts, in case he fears a fall in the price of that share.

Again, traders dealing in exports and imports are subject to fluctuations in the foreign
exchange rates, called the forex risk. In the absence of any hedging instruments, they are
bound to remain exposed to such risk and suffer in case of adverse changes in the
exchange rates. However, the forex risk, an integral component of the foreign trade3
business can be hedged with derivatives. For example today with the dollar rupee
forward contracts and with the trade with a lesser degree of risk. Accordingly, the trading
volumes on the dollar rupee forward contracts are worth as much as $400 million per
day.

Speculators

If hedgers are the people who wish to avoid the price risk, speculators are those who are
willing to take such risk. These are the people who take positions in the market and
assume risks to profit form fluctuations in prices. In fact, the speculators consume
information, make forecasts about the prices and put their money in these forecasts. In
this process, they feed information into prices and thus contribute to market efficiency.
By taking positions they are betting that a price would go up or they are betting that it

32
would go down. Depending on their perceptions, they may take long or short positions
on futures and/or options, or may hold spread positions (simultaneous long and short
positions on the same derivative)
The speculators in the derivatives markets may either be day traders or position traders.
The day traders speculate on the price movements during one trading day, open and close
positions many time a day not carry any position at the end of the day. Obviously they
monitor the prices continuously and generally attempt to make profit from just a few
ticks per trade. On the other hand, the positions traders also attempt to gain from price
fluctuations but they keep their positions for longer durations may be for a few days,
weeks or even months. They use fundamental analysis and/or technical analysis as also
any other information available to them to form their opinions on the likely price
movements.

Arbitrageurs

Arbitrageurs thrive on market imperfections. An arbitrageur profits by trading a given

commodity, or other item, that sells for different prices in different markets. In a
handbook brought out by the Institute of Chartered Accountants of India, the word
Arbitrage has been defined as follows:

“Simultaneous purchase of securities in one market where the price thereof is low and
sale thereof in another market, where the price thereof is comparatively higher. There are
done when the same securities are being quoted at different prices in the two markets,
with a view to make a profit and carries on with the conceived intention to derive
advantage from difference in the prices of securities prevailing in the two markets”.

Thus, arbitrage involves making risk-less profit by simultaneously entering into

transactions in two or more markets. If a certain share is quoted at a lower rate on the
Delhi Stock Exchange (DSE) and at a higher rate on The Stock Exchange, Mumbai
(BSE) for example an arbitrageur would profit by buying the share at DSE and
simultaneously selling it at BSE. This type of arbitrage is arbitrage over `space’. With the

33
introduction of derivatives trading the scope of arbitrageurs’ activities extends to
arbitrage over time. For instance, if an arbitrageur feels that the futures are being quoted
at a high level considering the cost of carry he could buy securities underlying an index
today and sell the futures, maturing in a month or two hence. Similarly, since futures and
options with various expiration dates are traded in the market, there are likely to be
several arbitrage opportunities in trading. Thus, if a trader believes that the price
differential between the futures contracts on the same that the price differential between
the futures contracts on the same underlying asset with differing maturities is more or
less than what he/she perceives them to be, then appropriate positions in them may be
taken to make profits.

It may be noted that the existence of well functioning derivatives markets alters the flow
of information into the prices. This is because in a purely cash market, speculators feed
information into the spot prices. In contrast, the presence of a derivatives market, besides
a cash market, ensures that a major part of the transformation of information into prices
takes place at the derivatives market, due to lower transactions costs involved in such a
market, and then it gets transmitted to the spot markets. It is here that the arbitrageurs
provide a link between the derivatives market and the cash market by synchronizing the
prices in the two. Thus, through their actions, the arbitragers provide a critical link
between the cash and derivatives markets.

Functions performed by derivatives markets

The derivatives markets perform a number of useful economic functions

1. Price Discovery: The futures and options market serve an all important function of
price discovery. The individuals with better information and judgment are inclined to
participate in these markets to take advantage of such information. When some new
information arrives, perhaps some good new about the economy, for instance, the actions
of speculators swiftly feed their information into the derivatives markets causing changes
in prices of the derivatives. As indicated earlier, these markets are usually the fist ones to

34
react because the transaction cost is much lower in these markets than in the spot
markets. Therefore, these markets indicate what is likely to happen and thsus assist in
better price discovery.
2. Risk Transfer: By their very nature, the derivative instruments do not themselves
involve risk. Rather, they merely redistribute the risk between the market participants. In
this sense, the whole derivatives market may be compared to a gigantic insurance
company providing means to hedge against adversities of unfavorable market
movements in return for a premium, and providing means and opportunities to those who
are prepared to take risks and make money in the process.

3. Market Completion: The existence of derivative instruments adds to the degree of

completeness of the market. A complete market implies that the number of independent
securities (or instruments) is equal to the number of all possible alternative future states
of the economy. To understand the idea, let us recall that the derivative instruments of
futures and options are the instruments that provide an investor the ability to hedge
against possible odds (or events) in the economy. A market would be said to be complete
if instruments may be created which can, solely or jointly , provide a cover against all the
possible adverse outcomes. It is held that a complete market can be achieved only when,
firstly there is a consensus amount all investors in the economy as to the number of odds,
or states, that the economy can land up with, and secondly, there should exist an Efficient
Fund on which simple options can be traded. Here an efficient fund on which simple
options can be traded. Here an efficient fund implies a portfolio of basic securities that
exist in the market with the property of having a unique return for every possible
outcome, while a simple option is one whose payoff depends only on one underlying
return. Evidently, since the condition requiring identification and listing of all possible
state of the economy can never be obtained in practice, and it is not possible to design
enforceable financial contracts which can cover an endless range of contingencies, a
complete market remains a theoretical concept an ideal situation which cannot be
obtained in practice. The presence of futures and options markets does, however lead to a
greater degree of market completeness.

35
 CHAPTER 4

ANALYSIS OF LEAD-LAG RELATIONSHIP BETWEEN

INDIAN SPOT MARKET AND FURTURES MARKET

Geweke Measure of Feedback:

36
 Suppose, there are two markets, X market and Y market. Let Pxt and Pyt be the two
different price series of two different markets. Now, the nominal return of those stock
markets can be calculated by taking the first difference in the log of the stock price,
such that

rzt = lnPzt – lnPz,t-1, where z = x, y.

In – Natural log

When it is hypothesized that the return series of two different markets are interrelated,
then each of the return series are influenced by information influencing other markets,
information that do not influence other markets, and noise

Nominal return tables of the underlying stocks have showed in the annexure from anx
tab no.1 to anx tab no. 22. After calculating the nominal return further statistical
techniques are applied.

Summary Statistics for Cash & Futures Prices Index and for some underlying
Stocks

Table no. 4.1 Calculation of Mean & Standard deviation of Spot and Futures
market

NSE Code Spot market Futures market

MEAN SD MEAN SD
ACC -0.00901 0.02415 -0.00665 0.02395
BHEL -0.00486 0.02518 -0.00081 0.02253
BPCL -0.00243 0.02453 -0.00553 0.02648
CIPLA -0.00132 0.03737 -0.00134 0.01602
DRREDDY -0.00473 0.02021 -0.00215 0.01980

37
GRASIM -0.00541 0.02375 -0.00572 0.02292
GUJAMBCEM -0.00574 0.03324 -0.00646 0.03187
HINDLEVER -0.00432 0.02139 -0.00148 0.01887
HINDPETRO -0.00374 0.02273 -0.00390 0.01943
INFOSIS -0.00319 0.01933 -0.00017 0.01861
IOC -0.00491 0.01839 0.00040 0.02065
ITC -0.00432 0.02041 -0.00186 0.02311
M&M -0.00730 0.02206 -0.00519 0.02262
MTNL -0.00067 0.03103 0.00079 0.02973
ONGC -0.00301 0.01912 0.00111 0.02110
RANBAXY -0.00695 0.02372 -0.00241 0.02246
RELIENCE -0.00019 0.01782 0.00013 0.01230
SAYAMCOMP -0.00458 0.02922 -0.00100 0.02199
SBIN -0.00728 0.02558 -0.00492 0.02093
TATAPOWER -0.00488 0.02221 0.00114 0.02542
TATATEA -0.00084 0.01911 -0.00006 0.02353
VSNL -0.00340 0.03196 -0.00216 0.03007

All the return series are calculated as the first difference of the Natural log (In) of the
daily closing price series of the two markets. The mean return of both the spot &
futures indices negative

Table no. 4.2 Calculation of Skewness and Kurtosis of Spot and Futures market

NSE Code Spot Market Futures Market

SKEWNESS KURTOSIS SKEWNESS KURTOSIS
ACC -0.56062 0.45519 -0.60173 1.31174
BHEL 0.25475 1.40522 0.48913 1.16126
BPCL -0.98861 3.02404 -2.34086 10.57834
CIPLA 5.01397 33.00856 0.24405 -0.57438
DRREDDY -0.07871 2.45534 0.12534 1.44525
GRASIM -0.39895 1.60520 -0.61929 3.03922
GUJAMBCEM 0.00992 0.93928 0.67744 2.55138
HINDLEVER 0.89801 3.15248 1.64411 5.22471
HINDPETRO -0.08019 -0.44689 -0.24424 0.00115
INFOSIS 0.28322 0.57953 1.12460 1.75150
IOC 0.26020 0.13856 0.81006 1.47312

38
ITC 0.08087 0.00746 1.46739 7.22150
M&M 0.07133 -0.49323 -0.51683 1.06049
MTNL 0.09855 1.57499 -0.03651 1.19867
ONGC 0.16065 -0.93600 0.19976 -0.79552
RANBAXY 0.00764 1.07867 -0.32221 0.57035
RELIENCE 1.24598 4.96285 -0.62484 1.75234
SAYAMCOMP -0.87240 2.84196 -0.21478 0.38579
SBIN 0.43800 0.91020 0.43352 0.11700
TATAPOWER 0.91642 2.21682 2.12585 9.77410
TATATEA -0.32877 2.12679 2.56365 10.01341
VSNL -0.18870 1.59346 -0.39851 0.81419

Skewness representing the asymmetry ( not in right proportion ) in the return series, than
expect for some companies viz. BHEL, GUJAMBCEMCIPLA, HINDLEVER,
INFOSIS, IOC, ITC, M&M, MTNL, ONGC, RANBAXY, RELIENCE, SBIN, TATA
POWER.

If the kurtosis of all the return series in the both the markets are taken into consideration,
than be found that all the figures are positive and therefore all the return distribution are
said to be Leptokurtic

The more the value of kurtosis of a company’s series for example Cipla in spot market
and BPCL, Tata power in futures market shows that the more destabilizes the company’s
return.

Table no. 4.3 Calculation of Variance and Co-efficient variance of Spot and Futures
market

NSE Code Spot mkt Fut mkt

VARIENCE CV VARIENCE CV Correlation
ACC 0.00058 -267.87278 0.00057 -360.28418 -0.14999
BHEL 0.00063 -518.15904 0.00051 -2785.89180 -0.15539
BPCL 0.00060 -1007.58170 0.00070 -478.74958 -0.15434
CIPLA 0.00140 -2822.53189 0.00026 -1196.56834 -0.15611
DRREDDY 0.00041 -427.27125 0.00039 -920.21358 -0.15470
GRASIM 0.00056 -438.89611 0.00053 -400.39819 -0.15850
GUJAMBCEM 0.00111 -579.33124 0.00102 -493.75485 -0.16421
HINDLEVER 0.00046 -495.62715 0.00036 -1275.49889 -0.16951
HINDPETRO 0.00052 -608.43814 0.00038 -497.68105 -0.17391

39
INFOSIS 0.00037 -605.42421 0.00035 -11219.89258 -0.18070
IOC 0.00034 -374.91085 0.00043 5118.78241 -0.15974
ITC 0.00042 -472.99841 0.00053 -1243.66259 -0.19422
M&M 0.00049 -302.23795 0.00051 -435.89101 -0.20278
MTNL 0.00096 -4630.75868 0.00088 3752.35890 -0.22004
ONGC 0.00037 -634.19817 0.00045 1905.25656 -0.17635
RANBAXY 0.00056 -341.38165 0.00050 -933.97059 -0.20702
RELIENCE 0.00032 -9337.19589 0.00015 9446.07168 -0.23824
SAYAMCOMP 0.00085 -638.08754 0.00048 -2198.48359 0.96812
SBIN 0.00065 -351.54427 0.00044 -425.75314 0.96694
TATAPOWER 0.00049 -454.83988 0.00065 2230.88580 0.98352
TATATEA 0.00037 -2263.09134 0.00055 -38926.57889 1.00000
VSNL 0.00102 -938.72228 0.00090 -1394.85224 #DIV/0!

Expect from Satyam Comp. SBIN, Tata power, and Tata Tea correlation shows that it is
negative, it menace there is no Lead relationship between the spot & futures market.

Here H0 is accepted i.e. stock return in underlying spot market does not lead to that in the
futures market. This is because in the month of Jan 07 to March 07 the index prices of all
the underlying stocks were in decreasing trend.

Table no. 4.4 Calculation of Beta value for the underlying stocks

NSE Code Beta

ACC 0.64
BHEL 0.86
BPCL 0.47
CIPLA 0.56
DRREDDY 0.22
GRASIM 0.48
GUJAMBCEM 0.60
HINDLEVER 0.70
HINDPETRO 0.54
INFOSIS 0.84
IOC 0.32
ITC 0.34
M&M 0.74

40
 MTNL 0.80
ONGC 0.57
RANBAXY 0.42
RELIENCE 0.47
SAYAMCOMP 0.92
SBIN 0.71
TATAPOWER 0.18
TATATEA 0.24
VSNL 1.00

The Beta value is the measure of risk involved when invested in spot market of a
particular company. If the Beta value is more than 1 then it involves a high risk. Here
from the above table it can be seen that all the companies expect VSNL have Beta value
less than one. But investor’s point of view they have less risk.

CHAPTER 5

Findings

All the findings were based on the last 3 months of study

 This study focus on the possible lead-lag relationship among the spot and futures

market in India.

41
 The futures market in India as not mature and it is imperfect. Hence there is no

conclusive proof of any lead or lag relationship. Once the market becomes more

mature relation will be more evident.

 There is not much activity happing in the futures market in India. Hence the

futures are not liquid enough and hence there is no clear pattern of relationship

with the underlying spot market.

 For the past 3 months i.e. Jan, Feb, Mar. it is found that there is decrease in the

sensex prices and decrease in the prices of all underlying stocks.

 The mean return for the index and also almost all of the underlying stocks in both

the market are showed negative.

 It is found the 7 companies returns were not in right proportion.

 The correlation between spot and futures market negatively correlated, it

indicates that both are in opposite direction, that is if one variable increases the

other decreases or vice versa

 The derivative futures are very risky, but these investments fetch high returns.

The price fluctuation is high; it is difficult to forecast future prices.

42
  All the underlying stocks beta value is less than 1 it shows that the price variation

I low and the return is comparatively low of some times an investors has to incur

a loss due to frequent fluctuation of prices and it is difficult to forecast the futures

prices

Conclusion

By applying the Granger (1987) causality test and the Geweke (1982) measures of

feedback, an effort has been made to investigate the flow of information and the

price movements among the spot and the futures market in India at the underlying

stock level. The results on the Geweke feedback measure have confirmed that there is no

significant flow of information from the spot market to the futures market. Though the spot

43
market does not leads the futures market, there no significant instantaneous flow of

information among the spot the futures market. Now, if we go for the annual measures,

then it can be inferred that the results varies from one stocks to another depending on

the nature and type of industry and other factors. As far as the diversified

industries are concerned, though there is a significant contemporaneous relation, the

spot market shows greater impact. In this present study H0 has been accepted i.e. the

spot market does not lead the futures market.

Recommendations

 Investors should carefully study the market and risk involved before investing.

 Investors should be educated regarding the spot market and futures market, as

future market is new kind of investment available, most of them are not aware that

futures traded in the organized exchanges.

44
 Usually futures trading are less risky compared to the spot trading, according to

the study of futures they are very risky, but before investing they should be aware of

market conditions.

 Investors should consider financial experiences, goals and financial resources

and know how much he can afford to lose above and beyond initial payment.

 Improve the surveillance mechanism and enhance transparency in order to

prevent unfair trade practices, which result in sharp volatile movements in futures

market.

 The person who is investing in spot and futures market should understand his

exposure to risk and other aspects of trading by thoroughly reviewing the risk disclosure

documents.

Annexure no. 1 Calculation of nominal return of ACC

SPOT MKT FUT MKT

NOMINAL NOMINAL
DATE OPEN CLOSE RETURN OPEN CLOSE RETURN

2-Jan-07 1,096.00 1,092.95 -0.003 1098.7 1102.6 0.0035

3-Jan-07 1,080.00 1,073.60 -0.006 1104 1083.3 -0.0189
4-Jan-07 1,083.50 1,071.80 -0.011 1083 1075.35 -0.0071
5-Jan-07 1,080.00 1,054.70 -0.024 1077.5 1058.65 -0.0176
8-Jan-07 1,055.00 1,028.65 -0.025 1055 1030.9 -0.0231
9-Jan-07 1,035.00 1,025.50 -0.009 1030.5 1028.6 -0.0018
10-Jan-07 1,020.00 1,019.85 0.000 1034 1021.95 -0.0117
11-Jan-07 1,025.00 1,048.80 0.023 1029.9 1052.2 0.0214
12-Jan-07 1,042.10 1,064.85 0.022 1059 1070.05 0.0104
15-Jan-07 1,062.00 1,084.90 0.021 1075 1086.7 0.0108
16-Jan-07 1,087.90 1,101.60 0.013 1088 1103.05 0.0137

45
 17-Jan-07 1,110.00 1,094.65 -0.014 1080.5 1096.15 0.0144
18-Jan-07 1,095.00 1,095.90 0.001 1091.9 1096.9 0.0046
19-Jan-07 1,099.00 1,108.90 0.009 1100.1 1109.85 0.0088
22-Jan-07 1,111.00 1,115.45 0.004 1111 1111.9 0.0008
23-Jan-07 1,095.00 1,037.75 -0.054 1100 1039 -0.0571
24-Jan-07 1,045.00 1,026.70 -0.018 1046 1031.3 -0.0142
25-Jan-07 1,038.50 1,039.95 0.001 1038.8 1035.1 -0.0036
29-Jan-07 1,050.35 1,042.35 -0.008 1046 1043.05 -0.0028
31-Jan-07 1,052.00 1,020.40 -0.030 1043 1026.7 -0.0158
1-Feb-07 1,034.00 1,034.65 0.001 1033 1043.45 0.0101
2-Feb-07 1,040.00 1,040.90 0.001 1049 1047.65 -0.0013
5-Feb-07 1,044.40 1,040.45 -0.004 1050 1043.3 -0.0064
6-Feb-07 1,044.00 1,044.60 0.001 1046.85 1047.5 0.0006
7-Feb-07 1,048.00 1,062.30 0.014 1049.4 1063.35 0.0132
8-Feb-07 1,065.00 1,066.55 0.001 1066 1064.65 -0.0013
9-Feb-07 1,045.00 1,035.05 -0.010 1067.5 1039.1 -0.0270
12-Feb-07 1,035.05 1,016.50 -0.018 1026 1004.6 -0.0211
13-Feb-07 1,020.00 1,010.35 -0.010 992.4 1002.45 0.0101
14-Feb-07 998.2 1,019.40 0.021 991.35 1021 0.0295
15-Feb-07 1,031.00 1,017.65 -0.013 1029 1024.25 -0.0046
19-Feb-07 1,024.90 1,015.80 -0.009 1024.9 1017.4 -0.0073
20-Feb-07 1,025.00 1,013.80 -0.011 1017.9 1009.65 -0.0081
21-Feb-07 1,024.95 1,004.70 -0.020 1011.8 1005.45 -0.0063
22-Feb-07 1,000.00 959.85 -0.041 1008.9 962.2 -0.0474
23-Feb-07 975 914.45 -0.064 946.6 907.85 -0.0418
26-Feb-07 909.9 942.55 0.035 906.5 933.2 0.0290
27-Feb-07 945 960.85 0.017 938 938.2 0.0002
28-Feb-07 925 902 -0.025 890 882.45 -0.0085
1-Mar-07 902.05 876.3 -0.029 885.1 868.15 -0.0193
2-Mar-07 885 854.45 -0.035 867.95 843.1 -0.0290
5-Mar-07 859 811.4 -0.057 824 798.65 -0.0312
6-Mar-07 820 852.5 0.039 818 835.8 0.0215
7-Mar-07 864 810.5 -0.064 848.2 784.4 -0.0782
8-Mar-07 821 833.15 0.015 790.1 823.8 0.0418
9-Mar-07 840 781.15 -0.073 826 772.35 -0.0672
12-Mar-07 780 746.7 -0.044 775 736.4 -0.0511
13-Mar-07 769 749.35 -0.026 746 740.8 -0.0070
14-Mar-07 722.1 746.95 0.034 711 748.35 0.0512
15-Mar-07 750 731.8 -0.025 760.1 734.6 -0.0341
16-Mar-07 735.7 723.15 -0.017 737.75 725.05 -0.0174
19-Mar-07 730 739.35 0.013 729.9 741.6 0.0159
20-Mar-07 745 749.2 0.006 747 750.3 0.0044
21-Mar-07 752 752.75 0.001 750.8 754.8 0.0053
22-Mar-07 755 753.7 -0.002 759.9 755.8 -0.0054
23-Mar-07 755 746.3 -0.012 757 750.55 -0.0086
26-Mar-07 750 733.6 -0.022 751 737.2 -0.0185
28-Mar-07 732.85 734.7 0.003 730 736.35 0.0087
29-Mar-07 734 734.75 0.001 734.8 734.3 -0.0007
30-Mar-07 738.8 735.25 -0.005 745.7 741.05 -0.0063

Annexure no. 2 Calculation of nominal return of BHEL

SPOT MKT FUT MKT

NOMINAL NOMINAL
DATE OPEN CLOSE RETURN OPEN CLOSE RETURN
2-Jan-07 2,319.00 2,303.45 -0.0067 2323 2317 -0.0026
3-Jan-07 2,310.00 2,300.45 -0.0041 2320 2311.6 -0.0036
4-Jan-07 2,318.50 2,276.10 -0.0185 2318 2281.85 -0.0157
5-Jan-07 2,288.00 2,289.65 0.0007 2251 2292.15 0.0181

46
 8-Jan-07 2,270.00 2,266.90 -0.0014 2291 2268.05 -0.0101
9-Jan-07 2,279.90 2,250.85 -0.0128 2272 2256.4 -0.0069
10-Jan-07 2,255.00 2,144.65 -0.0502 2235 2156.3 -0.0358
11-Jan-07 2,150.00 2,151.30 0.0006 2150 2173.75 0.0110
12-Jan-07 2,161.20 2,247.95 0.0394 2170 2267.45 0.0439
15-Jan-07 2,260.00 2,222.15 -0.0169 2284 2236.9 -0.0208
16-Jan-07 2,205.00 2,261.45 0.0253 2243 2271.95 0.0128
17-Jan-07 2,278.00 2,270.85 -0.0031 2285 2279.7 -0.0023
18-Jan-07 2,280.00 2,297.55 0.0077 2278 2301.75 0.0104
19-Jan-07 2,310.00 2,270.70 -0.0172 2310 2280.25 -0.0130
22-Jan-07 2,285.00 2,318.80 0.0147 2292 2321.4 0.0127
23-Jan-07 2,325.00 2,315.30 -0.0042 2310 2316.6 0.0029
24-Jan-07 2,318.00 2,367.95 0.0213 2324 2370.35 0.0197
25-Jan-07 2,390.00 2,446.00 0.0232 2390 2450.65 0.0251
29-Jan-07 2,649.00 2,508.90 -0.0543 2450 2512.9 0.0253
31-Jan-07 2,588.70 2,523.15 -0.0256 2519 2498.65 -0.0081
1-Feb-07 2,535.00 2,498.10 -0.0147 2505 2498.5 -0.0026
2-Feb-07 2,500.00 2,502.10 0.0008 2509 2488.25 -0.0083
5-Feb-07 2,503.20 2,518.15 0.0060 2495 2505.15 0.0041
6-Feb-07 2,525.00 2,499.30 -0.0102 2511 2499 -0.0048
7-Feb-07 2,501.00 2,495.20 -0.0023 2502 2499.2 -0.0011
8-Feb-07 2,508.00 2,509.55 0.0006 2504 2514.4 0.0041
9-Feb-07 2,512.00 2,505.90 -0.0024 2520 2495 -0.0100
12-Feb-07 2,500.00 2,345.60 -0.0637 2485 2344.05 -0.0584
13-Feb-07 2,351.00 2,317.10 -0.0145 2340 2324 -0.0069
14-Feb-07 2,320.00 2,320.15 0.0001 2300 2337.2 0.0160
15-Feb-07 2,350.00 2,385.50 0.0150 2359 2399.2 0.0169
19-Feb-07 2,447.60 2,376.85 -0.0293 2406 2391.55 -0.0060
20-Feb-07 2,395.90 2,359.65 -0.0152 2392 2368.3 -0.0100
21-Feb-07 2,369.00 2,314.60 -0.0232 2370 2325.95 -0.0188
22-Feb-07 2,314.00 2,292.85 -0.0092 2320 2295.7 -0.0105
23-Feb-07 2,300.00 2,276.55 -0.0102 2317.85 2277.3 -0.0176
26-Feb-07 2,282.00 2,259.95 -0.0097 2278 2272.5 -0.0024
27-Feb-07 2,280.10 2,225.40 -0.0243 2278 2232.3 -0.0203
28-Feb-07 2,180.00 2,181.80 0.0008 2145.15 2172.75 0.0128
1-Mar-07 2,199.00 2,171.40 -0.0126 2160.25 2167.65 0.0034
2-Mar-07 2,179.00 2,098.30 -0.0377 2174 2097.4 -0.0359
5-Mar-07 2,065.00 2,007.55 -0.0282 2061 2011.2 -0.0245
6-Mar-07 2,049.00 2,028.90 -0.0099 2020 2030.25 0.0051
7-Mar-07 2,048.65 2,013.30 -0.0174 2060 2012.8 -0.0232
8-Mar-07 2,030.00 2,174.20 0.0686 2030 2168.15 0.0658
9-Mar-07 2,122.40 2,097.45 -0.0118 2180 2102.85 -0.0360
12-Mar-07 2,100.00 2,104.75 0.0023 2105 2114.55 0.0045
13-Mar-07 2,103.00 2,116.65 0.0065 2117 2126.55 0.0045
14-Mar-07 2,012.40 2,030.65 0.0090 2080 2028 -0.0253
15-Mar-07 2,050.00 2,008.30 -0.0206 2055 2013.6 -0.0204
16-Mar-07 2,084.00 1,952.25 -0.0653 2019 1958.5 -0.0304
19-Mar-07 1,970.00 2,081.25 0.0549 1978 2076.15 0.0484
20-Mar-07 2,090.00 2,048.50 -0.0201 2099 2049.05 -0.0241
21-Mar-07 2,059.80 2,108.15 0.0232 2059 2093.9 0.0168
22-Mar-07 2,130.00 2,231.40 0.0465 2116 2231.2 0.0530
23-Mar-07 2,233.30 2,271.70 0.0170 2230 2266.7 0.0163
26-Mar-07 2,273.00 2,254.00 -0.0084 2274.8 2262.5 -0.0054
28-Mar-07 2,240.00 2,281.65 0.0184 2230 2279.25 0.0218
29-Mar-07 2,299.70 2,277.65 -0.0096 2280 2276.25 -0.0016
30-Mar-07 2,283.00 2,261.35 -0.0095 2300 2266.3 -0.0148

Annexure no. 3 Calculation of nominal return of BPCL

SPOT MKT FUT MKT

DATE OPEN CLOSE NOMINAL OPEN CLOSE NOMINAL

47
 RETURN RETURN

2-Jan-07 338 334.3 -0.0110 333.5 328.55 -0.0150

3-Jan-07 335.2 337.95 0.0082 327.5 331.85 0.0132
4-Jan-07 345.6 345.45 -0.0004 338 340.9 0.0085
5-Jan-07 351 352.2 0.0034 348 346.45 -0.0045
8-Jan-07 353.1 352.05 -0.0030 348 346 -0.0058
9-Jan-07 351 345.25 -0.0165 345 340.95 -0.0118
10-Jan-07 348 345 -0.0087 341 338.4 -0.0077
11-Jan-07 349 354.65 0.0161 340.1 348.6 0.0247
12-Jan-07 358 367.85 0.0271 353.75 363.05 0.0260
15-Jan-07 370 351.8 -0.0504 368.95 352.8 -0.0448
16-Jan-07 352.9 347.6 -0.0151 354 347.95 -0.0172
17-Jan-07 352 359.95 0.0223 351.25 360.1 0.0249
18-Jan-07 358 365.95 0.0220 362 364.25 0.0062
19-Jan-07 368 365.8 -0.0060 367.7 367 -0.0019
22-Jan-07 365.8 367.15 0.0037 365 366.55 0.0042
23-Jan-07 362.1 357.3 -0.0133 365.25 359.25 -0.0166
24-Jan-07 356 353.25 -0.0078 354 352.45 -0.0044
25-Jan-07 350 358.85 0.0250 352.7 358.45 0.0162
29-Jan-07 357.5 363.1 0.0155 361 361.95 0.0026
31-Jan-07 365 360.4 -0.0127 361.7 360.2 -0.0042
1-Feb-07 355 357.95 0.0083 357.9 357.5 -0.0011
2-Feb-07 359.9 352.45 -0.0209 357.1 355.05 -0.0058
5-Feb-07 351 358.7 0.0217 353 357.1 0.0115
6-Feb-07 359 355.05 -0.0111 357 352.85 -0.0117
7-Feb-07 354.9 345.8 -0.0260 353.3 347.1 -0.0177
8-Feb-07 349 349.6 0.0017 349 349.25 0.0007
9-Feb-07 347 344.2 -0.0081 345 345 0.0000
12-Feb-07 341.05 331.85 -0.0273 346.85 332.4 -0.0426
13-Feb-07 320.15 328.65 0.0262 328 327.95 -0.0002
14-Feb-07 320.5 324.4 0.0121 327 326.75 -0.0008
15-Feb-07 325 327.85 0.0087 345 319.75 -0.0760
19-Feb-07 325 335.5 0.0318 321 337 0.0486
20-Feb-07 339 331.85 -0.0213 338.8 333.6 -0.0155
21-Feb-07 330.25 336 0.0173 334.6 336.3 0.0051
22-Feb-07 336 329.05 -0.0209 336.1 329.6 -0.0195
23-Feb-07 350 317.3 -0.0981 330.25 319.4 -0.0334
26-Feb-07 322 315.45 -0.0206 321.05 318.5 -0.0080
27-Feb-07 317 309.3 -0.0246 316.1 311.5 -0.0147
28-Feb-07 301 311.25 0.0335 307 311.3 0.0139
1-Mar-07 314.8 309.9 -0.0157 308.6 309.2 0.0019
2-Mar-07 303.7 300.05 -0.0121 304.7 300.75 -0.0130
5-Mar-07 293 289.1 -0.0134 292.2 288.05 -0.0143
6-Mar-07 295 303.3 0.0277 296.9 304.8 0.0263
7-Mar-07 307 300.05 -0.0229 307 295.85 -0.0370
8-Mar-07 298 299.95 0.0065 297.8 301.45 0.0122
9-Mar-07 302.4 296.8 -0.0187 300 296.8 -0.0107
12-Mar-07 301 303.8 0.0093 302 304.85 0.0094
13-Mar-07 307 303.7 -0.0108 304.7 305 0.0010
14-Mar-07 303 295.45 -0.0252 300.15 296.1 -0.0136
15-Mar-07 299 295.25 -0.0126 300 295.7 -0.0144
16-Mar-07 297 301.25 0.0142 298 301.15 0.0105
19-Mar-07 304 307.25 0.0106 303.4 308.1 0.0154
20-Mar-07 307.25 319.25 0.0383 311.9 318.45 0.0208
21-Mar-07 315.6 312 -0.0115 314 313.2 -0.0026
22-Mar-07 312 313.85 0.0059 315 315.75 0.0024
23-Mar-07 309 307.6 -0.0045 314 309.5 -0.0144
26-Mar-07 305.5 306.6 0.0036 355 309.05 -0.1386
28-Mar-07 294.35 299.75 0.0182 306 301.4 -0.0151
29-Mar-07 299 312.65 0.0446 302.5 312.15 0.0314
30-Mar-07 320.3 302.75 -0.0564 308.3 303.65 -0.0152

48
Annexure no. 4 Calculation of nominal return of CIPLA

SPOT MKT FUT MKT

OPEN CLOSE NOM RTN OPEN CLOSE NOM RTN
2-Jan-07 251.5 251.5 0 255 253.7 -0.0051
3-Jan-07 253.45 257.85 0.0172 253 258.9 0.0231
4-Jan-07 259.4 255.15 -0.0165 258.5 254.95 -0.0138
5-Jan-07 260 253.6 -0.0249 253.1 252.6 -0.0020
8-Jan-07 253.6 247.55 -0.0241 250.5 247.45 -0.0123
9-Jan-07 248.85 244.1 -0.0193 248 243.35 -0.0189
10-Jan-07 245 242.8 -0.0090 241.5 241.75 0.0010
11-Jan-07 244 246.7 0.0110 241.1 248.25 0.0292
12-Jan-07 250 255.2 0.0206 253.9 254.85 0.0037
15-Jan-07 258.5 258 -0.0019 257 257.3 0.0012
16-Jan-07 259 258.85 -0.0006 256 257.8 0.0070
17-Jan-07 262.5 261.05 -0.0055 258.9 258.85 -0.0002
18-Jan-07 261.45 259.6 -0.0071 258.35 259.45 0.0042
19-Jan-07 259.6 252.55 -0.0275 262 253.8 -0.0318
22-Jan-07 254 254.9 0.0035 255 255.5 0.0020
23-Jan-07 254 254.75 0.0029 252.5 254.6 0.0083
24-Jan-07 248.1 246.8 -0.0053 251 247.6 -0.0136
25-Jan-07 249.5 243.9 -0.0227 249 243.15 -0.0238
29-Jan-07 247.1 248.6 0.0061 248.9 247.3 -0.0064
31-Jan-07 247 246.3 -0.0028 248 244.9 -0.0126
1-Feb-07 245.1 247 0.0077 245 246.4 0.0057
2-Feb-07 249.95 249.85 -0.0004 247 248.7 0.0069
5-Feb-07 252 248.45 -0.0142 249.65 248.3 -0.0054
6-Feb-07 248.45 250.15 0.0068 248.9 249 0.0004
7-Feb-07 248 257.5 0.0376 248 256.3 0.0329
8-Feb-07 258.4 257.1 -0.0050 259 255.85 -0.0122
9-Feb-07 253.35 252.5 -0.0034 255.25 252.15 -0.0122
12-Feb-07 253.7 248.35 -0.0213 252 246.65 -0.0215
13-Feb-07 251.7 243.55 -0.0329 247.95 243.3 -0.0189
14-Feb-07 242.25 244 0.0072 242.8 245.25 0.0100
15-Feb-07 259.2 256.65 -0.0099 248.3 255.75 0.0296
19-Feb-07 257.15 255.5 -0.0064 256.55 254.7 -0.0072
20-Feb-07 254.8 254.65 -0.0006 253 255.45 0.0096
21-Feb-07 254.9 254.4 -0.0020 255.8 255.4 -0.0016
22-Feb-07 252.05 247.7 -0.0174 252 249.25 -0.0110
23-Feb-07 249 241.9 -0.0289 247 242.2 -0.0196
26-Feb-07 242 245 0.0123 243 244.5 0.0062
27-Feb-07 246.9 239.65 -0.0298 247 240 -0.0287
28-Feb-07 235 231.95 -0.0131 231 232.75 0.0075
1-Mar-07 235.8 229.7 -0.0262 235.5 230.15 -0.0230
2-Mar-07 228 225.2 -0.0124 230.15 224.8 -0.0235
5-Mar-07 222.9 217.2 -0.0259 217.25 216.55 -0.0032
6-Mar-07 221 221.85 0.0038 216 221.25 0.0240
7-Mar-07 222.1 231.55 0.0417 223.5 228.55 0.0223
8-Mar-07 232 236.55 0.0194 229.9 236 0.0262
9-Mar-07 237 229.15 -0.0337 235.1 228.6 -0.0280
12-Mar-07 232 232.35 0.0015 228.1 232.05 0.0172
13-Mar-07 230.5 236.55 0.0259 232.5 234.45 0.0084
14-Mar-07 229.6 230.6 0.0043 230 227.6 -0.0105
15-Mar-07 234.8 227.6 -0.0311 229.45 227.05 -0.0105
16-Mar-07 226 222.95 -0.0136 227.25 222.6 -0.0207
19-Mar-07 224.1 224.85 0.0033 223.95 224.85 0.0040
20-Mar-07 180.25 230.5 0.2459 226 227.85 0.0082
21-Mar-07 231 232.5 0.0065 228 232.35 0.0189
22-Mar-07 232 235.3 0.0141 236.35 235.65 -0.0030
23-Mar-07 234 240.95 0.0293 234.95 240.8 0.0246

49
 26-Mar-07 243 237.3 -0.0237 242 238.5 -0.0146
28-Mar-07 246.75 234.2 -0.0522 236 234.8 -0.0051
29-Mar-07 243.55 236.4 -0.0298 234 236.25 0.0096
30-Mar-07 238.45 236.8 -0.0069 239.2 236.55 -0.0111

Annexure no. 5 Calculation of nominal return of DR REDDY

SPOT MKT FUT MKT

OPEN CLOSE NOM RTN OPEN CLOSE NOM RTN
2-Jan-07 813.9 807.4 -0.0080 816.35 809.95 -0.0079
3-Jan-07 805.3 809.05 0.0046 811.9 813.2 0.0016
4-Jan-07 812.1 828.1 0.0195 820 834 0.0169
5-Jan-07 830 810.4 -0.0239 829.5 814.85 -0.0178
8-Jan-07 812 812.2 0.0002 811.95 813.3 0.0017
9-Jan-07 812 798.15 -0.0172 828.9 800.5 -0.0349
10-Jan-07 798 774.95 -0.0293 795 778.65 -0.0208
11-Jan-07 794 791.9 -0.0026 776 797.8 0.0277
12-Jan-07 792 809.45 0.0218 800 811 0.0137
15-Jan-07 812.9 803.9 -0.0111 815.9 809.3 -0.0081
16-Jan-07 811.8 808.8 -0.0037 814 811.05 -0.0036
17-Jan-07 816 815.35 -0.0008 812 817.55 0.0068
18-Jan-07 819 815.8 -0.0039 821.9 818.6 -0.0040
19-Jan-07 817 811.5 -0.0068 819.5 816.9 -0.0032
22-Jan-07 815.5 810.05 -0.0067 820 814 -0.0073
23-Jan-07 830 771.25 -0.0734 818 774.25 -0.0550
24-Jan-07 773 762.9 -0.0132 775 765.25 -0.0127
25-Jan-07 766 763.7 -0.0030 768.95 763.25 -0.0074
29-Jan-07 768 751.8 -0.0213 772.85 758.65 -0.0185
31-Jan-07 759.95 743.05 -0.0225 760 745.8 -0.0189
1-Feb-07 745 743.8 -0.0016 753.8 751.6 -0.0029
2-Feb-07 750 745.65 -0.0058 751 751.8 0.0011
5-Feb-07 754.7 750.3 -0.0058 753.2 755.3 0.0028
6-Feb-07 750.5 750.3 -0.0003 757.2 755.45 -0.0023
7-Feb-07 751 745.95 -0.0067 752.2 751.15 -0.0014
8-Feb-07 746.6 741.55 -0.0068 751.25 745.85 -0.0072
9-Feb-07 744.8 731.65 -0.0178 745.5 734.55 -0.0148
12-Feb-07 748 725.2 -0.0310 728 726.55 -0.0020
13-Feb-07 725 726.25 0.0017 728 728.55 0.0008
14-Feb-07 706.25 719.9 0.0191 730 723.05 -0.0096
15-Feb-07 724.75 738.4 0.0187 730 740.4 0.0141
19-Feb-07 742 730.85 -0.0151 745 735.85 -0.0124
20-Feb-07 731 729.2 -0.0025 732.5 729.8 -0.0037
21-Feb-07 730 729.5 -0.0007 732 729.75 -0.0031
22-Feb-07 730 706.35 -0.0329 731 708.15 -0.0318
23-Feb-07 713.65 681.55 -0.0460 717.4 684.45 -0.0470
26-Feb-07 706 689.3 -0.0239 695 694.45 -0.0008
27-Feb-07 690 693.25 0.0047 695 694.45 -0.0008
28-Feb-07 681 676.9 -0.0060 679.9 676.65 -0.0048
1-Mar-07 670 661.75 -0.0124 669 666.3 -0.0040
2-Mar-07 655 660.1 0.0078 666.05 660.95 -0.0077
5-Mar-07 601 617.5 0.0271 645 617.4 -0.0437
6-Mar-07 630 622.55 -0.0119 634 625.55 -0.0134
7-Mar-07 635 635.25 0.0004 632.8 635.1 0.0036
8-Mar-07 641 668.55 0.0421 640 674.5 0.0525
9-Mar-07 679.9 660 -0.0297 675 661.85 -0.0197
12-Mar-07 678 658.4 -0.0293 664 661.15 -0.0043
13-Mar-07 660 661 0.0015 652.2 662.5 0.0157
14-Mar-07 645 648.45 0.0053 648 644.2 -0.0059
15-Mar-07 655 672.45 0.0263 654.5 671 0.0249

50
 16-Mar-07 681 683.6 0.0038 670 681.55 0.0171
19-Mar-07 689 677.25 -0.0172 682.5 679.55 -0.0043
20-Mar-07 683 682.4 -0.0009 693.85 725.95 0.0452
21-Mar-07 682.4 679.2 -0.0047 680 707.5 0.0396
22-Mar-07 690 682 -0.0117 689.9 685.4 -0.0065
23-Mar-07 690 686.3 -0.0054 689 688.45 -0.0008
26-Mar-07 689 682.15 -0.0100 690.5 684.4 -0.0089
28-Mar-07 654.9 692.15 0.0553 680.1 693.05 0.0189
29-Mar-07 692 706.5 0.0207 690 707.05 0.0244
30-Mar-07 714.5 728.25 0.0191 714.85 729.3 0.0200

Annexure no. 6 Calculation of nominal return of GRASIM

SPOT MKT FUT MKT

DATE OPEN CLOSE NOM RTN OPEN CLOSE NOM RTN
2-Jan-07 2,820.00 2,835.50 0.0055 2720 2828.55 0.0391
3-Jan-07 2,837.00 2,838.05 0.0004 2832 2805.9 -0.0093
4-Jan-07 2,825.00 2,796.60 -0.0101 2804 2766.3 -0.0135
5-Jan-07 2,796.60 2,831.70 0.0125 2755 2801.25 0.0166
8-Jan-07 2,830.00 2,818.70 -0.0040 2793.45 2801.55 0.0029
9-Jan-07 2,798.00 2,821.90 0.0085 2803 2797.35 -0.0020
10-Jan-07 2,820.10 2,769.55 -0.0181 2784 2747.9 -0.0131
11-Jan-07 2,785.00 2,781.75 -0.0012 2745 2783.6 0.0140
12-Jan-07 2,806.00 2,826.75 0.0074 2795 2827.75 0.0116
15-Jan-07 2,830.00 2,840.45 0.0037 2840 2840.95 0.0003
16-Jan-07 2,831.00 2,865.35 0.0121 2843 2862.15 0.0067
17-Jan-07 2,870.00 2,872.40 0.0008 2870.5 2871.05 0.0002
18-Jan-07 2,870.00 2,865.85 -0.0014 2850 2871.9 0.0077
19-Jan-07 2,870.05 2,891.00 0.0073 2871.25 2894.85 0.0082
22-Jan-07 2,891.00 2,909.30 0.0063 2909.7 2902.1 -0.0026
23-Jan-07 2,875.80 2,804.80 -0.0250 2860 2798.5 -0.0217
24-Jan-07 2,828.00 2,788.80 -0.0140 2807 2797.5 -0.0034
25-Jan-07 2,770.00 2,875.35 0.0373 2814 2870.65 0.0199
29-Jan-07 2,811.00 2,834.75 0.0084 2820.1 2841.8 0.0077
31-Jan-07 2,830.00 2,782.85 -0.0168 2836.4 2806 -0.0108
1-Feb-07 2,800.00 2,777.85 -0.0079 2838 2809.35 -0.0101
2-Feb-07 2,839.70 2,811.05 -0.0101 2801.2 2806 0.0017
5-Feb-07 2,806.00 2,790.05 -0.0057 2876.1 2942.25 0.0227
6-Feb-07 2,777.00 2,794.65 0.0063 2810 2781.5 -0.0102
7-Feb-07 2,799.90 2,873.10 0.0258 2793.25 2789.5 -0.0013
8-Feb-07 2,875.00 2,853.10 -0.0076 2810 2808.65 -0.0005
9-Feb-07 2,850.00 2,842.30 -0.0027 2810.05 2793.85 -0.0058
12-Feb-07 2,852.40 2,756.95 -0.0340 2794 2809.2 0.0054
13-Feb-07 2,750.00 2,744.75 -0.0019 2800 2859.9 0.0212
14-Feb-07 2,725.00 2,655.65 -0.0258 2860 2848.35 -0.0041
15-Feb-07 2,670.00 2,653.90 -0.0060 2810 2830.95 0.0074
19-Feb-07 2,660.00 2,645.85 -0.0053 2818 2745.25 -0.0262
20-Feb-07 2,650.00 2,570.30 -0.0305 2730 2723.6 -0.0023
21-Feb-07 2,598.85 2,547.40 -0.0200 2690 2670.15 -0.0074
22-Feb-07 2,565.00 2,421.00 -0.0578 2719.6 2669 -0.0188
23-Feb-07 2,435.00 2,270.25 -0.0701 2689.9 2657.55 -0.0121
26-Feb-07 2,276.00 2,338.40 0.0270 2650.05 2585.2 -0.0248
27-Feb-07 2,361.70 2,336.70 -0.0106 2574 2558.1 -0.0062
28-Feb-07 2,295.00 2,212.40 -0.0367 2550 2437.85 -0.0450
1-Mar-07 2,215.00 2,164.60 -0.0230 2455 2288.55 -0.0702
2-Mar-07 2,150.00 2,096.75 -0.0251 2300 2360.75 0.0261
5-Mar-07 2,051.00 2,101.90 0.0245 2380 2341.65 -0.0162
6-Mar-07 2,164.70 2,122.65 -0.0196 2282 2214.05 -0.0302
7-Mar-07 2,130.00 2,101.85 -0.0133 2203 2173.7 -0.0134

51
 8-Mar-07 2,110.00 2,230.35 0.0555 2199 2104 -0.0442
9-Mar-07 2,235.00 2,071.75 -0.0758 2069 2095.2 0.0126
12-Mar-07 2,080.00 2,013.80 -0.0323 2150 2117.1 -0.0154
13-Mar-07 2,010.00 2,054.25 0.0218 2141.65 2087.45 -0.0256
14-Mar-07 1,962.30 2,028.20 0.0330 2087 2226.1 0.0645
15-Mar-07 2,080.00 2,018.15 -0.0302 2250 2073.45 -0.0817
16-Mar-07 2,025.00 2,013.55 -0.0057 2100 1998.65 -0.0495
19-Mar-07 2,020.00 2,041.85 0.0108 2003 2034.95 0.0158
20-Mar-07 2,040.00 2,123.90 0.0403 2024 2006.6 -0.0086
21-Mar-07 2,125.00 2,103.60 -0.0101 2034.8 2022.95 -0.0058
22-Mar-07 2,115.00 2,083.45 -0.0150 2030.15 2016.3 -0.0068
23-Mar-07 2,099.00 2,081.70 -0.0083 2025.85 2049.75 0.0117
26-Mar-07 2,099.00 2,071.55 -0.0132 2059 2123.6 0.0309
28-Mar-07 2,085.00 2,070.35 -0.0071 2130.5 2105.8 -0.0117
29-Mar-07 2,070.00 2,052.55 -0.0085 2114 2088.15 -0.0123
30-Mar-07 2,065.00 2,092.90 0.0134 2090 2087.1 -0.0014

Annexure no. 7 Calculation of nominal return of GUJABMCEM

SPOT MKT FUT MKT

DATE OPEN CLOSE NOM RTN OPEN CLOSE NOM RTN
2-Jan-07 152 144.6 -0.0499 143 145.15 0.0149
3-Jan-07 146.5 145.05 -0.0099 145.95 145.05 -0.0062
4-Jan-07 147 142.65 -0.0300 144.5 143.45 -0.0073
5-Jan-07 142.5 138.3 -0.0299 143.5 139.3 -0.0297
8-Jan-07 139.8 136.75 -0.0221 140 136.7 -0.0239
9-Jan-07 138.5 139.1 0.0043 136.9 138.85 0.0141
10-Jan-07 140 136.3 -0.0268 138.5 136.65 -0.0134
11-Jan-07 137.9 139.55 0.0119 136.9 140.4 0.0252
12-Jan-07 143.3 141.3 -0.0141 142.7 142.05 -0.0046
15-Jan-07 141.9 144.05 0.0150 143.6 144.25 0.0045
16-Jan-07 144 143.95 -0.0003 144.8 144.85 0.0003
17-Jan-07 143.9 144.55 0.0045 145.2 144.95 -0.0017
18-Jan-07 140 145.45 0.0382 144.9 145.7 0.0055
19-Jan-07 146 148.95 0.0200 146.45 148.85 0.0163
22-Jan-07 149.5 146.85 -0.0179 149.5 147.05 -0.0165
23-Jan-07 146.1 137 -0.0643 143 136.85 -0.0440
24-Jan-07 141.5 137.75 -0.0269 145 138.05 -0.0491
25-Jan-07 139 138 -0.0072 147.75 141.8 -0.0411
29-Jan-07 138 134.25 -0.0275 137.7 138.25 0.0040
31-Jan-07 136 137.3 0.0095 138.8 137.75 -0.0076
1-Feb-07 137.9 139.3 0.0101 139.5 135.5 -0.0291
2-Feb-07 140.2 142.85 0.0187 136 137.55 0.0113
5-Feb-07 143.45 143.15 -0.0021 138.8 140.35 0.0111
6-Feb-07 142.6 142.6 0.0000 141.1 142.4 0.0092
7-Feb-07 143.85 141.6 -0.0158 143 142.95 -0.0003
8-Feb-07 142 141.75 -0.0018 143.2 142.65 -0.0038
9-Feb-07 142.8 138.85 -0.0281 143 141.55 -0.0102
12-Feb-07 138.9 132.4 -0.0479 141 141.25 0.0018
13-Feb-07 131.55 130.75 -0.0061 141.9 138.85 -0.0217
14-Feb-07 129.25 132.05 0.0214 138 131.85 -0.0456
15-Feb-07 134 136.75 0.0203 132.5 131.15 -0.0102
19-Feb-07 137.7 132.6 -0.0377 130.25 131.95 0.0130
20-Feb-07 133 129.95 -0.0232 135 136.35 0.0100
21-Feb-07 130 131.15 0.0088 137 132.4 -0.0342
22-Feb-07 131.55 125.9 -0.0439 132.9 129.7 -0.0244
23-Feb-07 125 123.2 -0.0145 129.6 131.25 0.0127
26-Feb-07 121 127.45 0.0519 130 125.55 -0.0348
27-Feb-07 128 125.65 -0.0185 127.5 123.9 -0.0286
28-Feb-07 124 115.8 -0.0684 124.6 128.35 0.0297
1-Mar-07 118 111.7 -0.0549 128 126.45 -0.0122
2-Mar-07 108 109.8 0.0165 104.2 116.1 0.1081

52
 5-Mar-07 107.1 112 0.0447 118 112.6 -0.0468
6-Mar-07 113 113.3 0.0027 114 109.85 -0.0371
7-Mar-07 114.7 103.8 -0.0999 107.15 112.1 0.0452
8-Mar-07 103 112.85 0.0913 113.5 113.65 0.0013
9-Mar-07 110.25 110.05 -0.0018 114.55 104.35 -0.0933
12-Mar-07 111.5 105.4 -0.0563 105.6 113.55 0.0726
13-Mar-07 104.3 105.95 0.0157 115 110.65 -0.0386
14-Mar-07 102.9 106.15 0.0311 111 105.95 -0.0466
15-Mar-07 107.2 106.05 -0.0108 105.2 106.7 0.0142
16-Mar-07 107 103.8 -0.0304 101.25 106.4 0.0496
19-Mar-07 102 107.25 0.0502 108.6 106.25 -0.0219
20-Mar-07 107.05 110.85 0.0349 107 104 -0.0284
21-Mar-07 111 106.45 -0.0419 105 107.5 0.0235
22-Mar-07 107 108 0.0093 108.35 111.15 0.0255
23-Mar-07 108 105.3 -0.0253 112.5 106.95 -0.0506
26-Mar-07 105 104.3 -0.0067 108.7 108.15 -0.0051
28-Mar-07 104 102.2 -0.0175 108 105.8 -0.0206
29-Mar-07 102.8 104.5 0.0164 103 104.35 0.0130
30-Mar-07 102.1 106.7 0.0441 106.5 107.5 0.0093

Annexure no. 8 Calculation of nominal return of HINDLEVER

SPOT MKT FUT MKT

DATE OPEN CLOSE NOM RTN OPEN CLOSE NOM RTN
2-Jan-07 217.8 216.4 -0.0064 218 217.95 -0.0002
3-Jan-07 217 212 -0.0233 217.5 213.9 -0.0167
4-Jan-07 213 210.6 -0.0113 215 211.85 -0.0148
5-Jan-07 211.4 213.35 0.0092 211 214.2 0.0151
8-Jan-07 213.35 210.1 -0.0154 213.4 211.25 -0.0101
9-Jan-07 210.1 209.85 -0.0012 212 211.1 -0.0043
10-Jan-07 209 208.5 -0.0024 211 209.1 -0.0090
11-Jan-07 210 217.85 0.0367 209.95 217.5 0.0353
12-Jan-07 218 219.7 0.0078 219 219.7 0.0032
15-Jan-07 221.8 221.65 -0.0007 220.75 221.1 0.0016
16-Jan-07 222 220 -0.0090 222.8 219.55 -0.0147
17-Jan-07 220 220.6 0.0027 220 219.6 -0.0018
18-Jan-07 220 224 0.0180 219.7 223.35 0.0165
19-Jan-07 225.5 221.75 -0.0168 224 221.95 -0.0092
22-Jan-07 223 224.6 0.0071 222.9 223.45 0.0025
23-Jan-07 224.9 222.2 -0.0121 221 221.4 0.0018
24-Jan-07 222.25 214.4 -0.0360 222.25 215.25 -0.0320
25-Jan-07 211.1 216.25 0.0241 216.9 215.6 -0.0060
29-Jan-07 216.25 214.95 -0.0060 217.7 215.15 -0.0118
31-Jan-07 215 208.25 -0.0319 215 209.95 -0.0238
1-Feb-07 208.1 207.3 -0.0039 210.75 208.95 -0.0086
2-Feb-07 209 209.05 0.0002 210 210.25 0.0012
5-Feb-07 210 207.85 -0.0103 210.5 208.95 -0.0074
6-Feb-07 215 209.1 -0.0278 209.25 210.65 0.0067
7-Feb-07 209 207.35 -0.0079 210.9 208.05 -0.0136
8-Feb-07 210 205.6 -0.0212 208.5 206.6 -0.0092
9-Feb-07 206.75 202.7 -0.0198 206.95 203.8 -0.0153
12-Feb-07 202.5 203.35 0.0042 203.1 203.75 0.0032
13-Feb-07 203 201 -0.0099 202.25 201.4 -0.0042
14-Feb-07 201.2 200.45 -0.0037 200.15 201.55 0.0070
15-Feb-07 204.9 205.95 0.0051 202.4 206.35 0.0193
19-Feb-07 207 205.2 -0.0087 207.35 206.3 -0.0051
20-Feb-07 209.9 199.6 -0.0503 205.5 200.3 -0.0256
21-Feb-07 200 195.85 -0.0210 200.5 196.6 -0.0196
22-Feb-07 196 191.45 -0.0235 196.65 192.8 -0.0198
23-Feb-07 191 188.15 -0.0150 192 188.75 -0.0171

53
 26-Feb-07 189 189.55 0.0029 189.4 190.65 0.0066
27-Feb-07 190 185.45 -0.0242 189.55 186.65 -0.0154
28-Feb-07 181 176.35 -0.0260 180.1 177.1 -0.0168
1-Mar-07 177.9 176.05 -0.0105 177 176.75 -0.0014
2-Mar-07 177 179.05 0.0115 176.75 179.2 0.0138
5-Mar-07 176 174.05 -0.0111 175 174.2 -0.0046
6-Mar-07 173 171.5 -0.0087 175.95 172.5 -0.0198
7-Mar-07 176 167.3 -0.0507 173.65 168.05 -0.0328
8-Mar-07 169.9 183.8 0.0786 169.65 183.8 0.0801
9-Mar-07 185.15 183.75 -0.0076 184.25 183.8 -0.0024
12-Mar-07 183.75 185 0.0068 185.5 185.6 0.0005
13-Mar-07 186 181.15 -0.0264 186.5 181.85 -0.0252
14-Mar-07 179 176.85 -0.0121 178 176.8 -0.0068
15-Mar-07 178 177.05 -0.0054 179 177.4 -0.0090
16-Mar-07 179.9 176.95 -0.0165 178.4 176.1 -0.0130
19-Mar-07 176 180.2 0.0236 177.2 180.3 0.0173
20-Mar-07 181.95 184.1 0.0117 181.45 182.6 0.0063
21-Mar-07 185 191 0.0319 183.8 189.95 0.0329
22-Mar-07 194 196.7 0.0138 192.8 196.65 0.0198
23-Mar-07 195 198.55 0.0180 194.75 198.15 0.0173
26-Mar-07 203.9 198.1 -0.0289 198 198.65 0.0033
28-Mar-07 198 197.65 -0.0018 198 197.9 -0.0005
29-Mar-07 198.9 205 0.0302 198 205.9 0.0391
30-Mar-07 205 205.2 0.0010 201.9 200.8 -0.0055

Annexure no. 9 Calculation of nominal return of HINDPETRO

SPOT MKT FUT MKT

DATE OPEN CLOSE NOM REN OPEN CLOSE NOM RTN
2-Jan-07 280 278.35 -0.0059 280.1 280.1 0
3-Jan-07 278 277.05 -0.0034 281.5 278.2 -0.0118
4-Jan-07 280 289.75 0.0342 285 290.15 0.0179
5-Jan-07 309.45 297.65 -0.0389 300.1 298.05 -0.0069
8-Jan-07 296 293 -0.0102 300 293.8 -0.0209
9-Jan-07 293 288.75 -0.0146 294.1 290.65 -0.0118
10-Jan-07 289 283.9 -0.0178 291 285.6 -0.0187
11-Jan-07 288 291.75 0.0129 291.8 294 0.0075
12-Jan-07 295.1 304.25 0.0305 300 305.4 0.0178
15-Jan-07 306.7 295.85 -0.0360 307.5 297.55 -0.0329
16-Jan-07 296 298.95 0.0099 300 298.9 -0.0037
17-Jan-07 302.1 314.15 0.0391 303.2 312.95 0.0317
18-Jan-07 316.9 321.1 0.0132 313.3 319.5 0.0196
19-Jan-07 328 321.1 -0.0213 323 322.5 -0.0015
22-Jan-07 326.4 322.95 -0.0106 321 320.4 -0.0019
23-Jan-07 324.5 317.95 -0.0204 321 318.5 -0.0078
24-Jan-07 312.4 311.4 -0.0032 315.6 311.4 -0.0134
25-Jan-07 312.4 321.15 0.0276 310.05 319.95 0.0314
29-Jan-07 320.8 314.4 -0.0202 325 315.65 -0.0292
31-Jan-07 315 312.1 -0.0092 309.8 313.4 0.0116
1-Feb-07 311 303.25 -0.0252 311 306 -0.0162
2-Feb-07 303 303.05 0.0002 307.25 305.3 -0.0064
5-Feb-07 314.45 302.6 -0.0384 305 304.3 -0.0023
6-Feb-07 302 295.3 -0.0224 305 297.6 -0.0246
7-Feb-07 293.1 292.4 -0.0024 298 294.35 -0.0123
8-Feb-07 292.05 296.05 0.0136 298.5 297.45 -0.0035
9-Feb-07 295 289.85 -0.0176 284.1 291.3 0.0250

54
 12-Feb-07 291 281.3 -0.0339 290.5 281.9 -0.0301
13-Feb-07 280 278.95 -0.0038 284.05 278.95 -0.0181
14-Feb-07 281 279.75 -0.0045 276 280.25 0.0153
15-Feb-07 285 276 -0.0321 284 274.55 -0.0338
19-Feb-07 275.25 282.55 0.0262 273.05 284.05 0.0395
20-Feb-07 285 287.8 0.0098 287.55 289.15 0.0055
21-Feb-07 288 293.5 0.0189 290 293.8 0.0130
22-Feb-07 294 286.55 -0.0257 290 287.9 -0.0073
23-Feb-07 285 274.8 -0.0364 287 276.75 -0.0364
26-Feb-07 270 277.35 0.0269 281 279.65 -0.0048
27-Feb-07 280 275.15 -0.0175 279 276.65 -0.0085
28-Feb-07 272 271.6 -0.0015 268.9 271.85 0.0109
1-Mar-07 273 268.1 -0.0181 273 269.2 -0.0140
2-Mar-07 265 262.85 -0.0081 269.5 262.85 -0.0250
5-Mar-07 261 246.4 -0.0576 260.1 246.9 -0.0521
6-Mar-07 245 256.25 0.0449 251.8 255.55 0.0148
7-Mar-07 255 243 -0.0482 256 243.35 -0.0507
8-Mar-07 243.7 243.95 0.0010 244.5 245.45 0.0039
9-Mar-07 242 242.9 0.0037 247.95 243.1 -0.0198
12-Mar-07 245 250.3 0.0214 248 251.35 0.0134
13-Mar-07 251 255.25 0.0168 252.4 255.8 0.0134
14-Mar-07 253.8 252.2 -0.0063 249 251.9 0.0116
15-Mar-07 255 251.2 -0.0150 254.5 251.7 -0.0111
16-Mar-07 255 255.4 0.0016 254.5 255.95 0.0057
19-Mar-07 256.1 257.95 0.0072 257 259.2 0.0085
20-Mar-07 260 264.35 0.0166 262.75 263.9 0.0044
21-Mar-07 263 265.3 0.0087 264 264.4 0.0015
22-Mar-07 263 267.6 0.0173 265 267.9 0.0109
23-Mar-07 268.8 261.4 -0.0279 261.2 263.1 0.0072
26-Mar-07 261 265.75 0.0180 263.3 266.25 0.0111
28-Mar-07 255 254 -0.0039 262.1 255.65 -0.0249
29-Mar-07 249 249.2 0.0008 252.1 250 -0.0084
30-Mar-07 245.05 247.8 0.0112 252 248.75 -0.0130

Annexure no. 10 Calculation of nominal return of INFOSIS

SPOT MKT FUT MKT

OPEN CLOSE NOM RTN OPEN CLOSE NOM RTN
2-Jan-07 2,253.00 2,272.65 0.0087 2259 2289.65 0.0135
3-Jan-07 2,272.65 2,311.35 0.0169 2294 2315.4 0.0093
4-Jan-07 2,321.20 2,285.30 -0.0156 2324.85 2299.35 -0.0110
5-Jan-07 2,286.00 2,275.05 -0.0048 2290 2286.25 -0.0016
8-Jan-07 2,275.05 2,205.60 -0.0310 2285 2219.9 -0.0289
9-Jan-07 2,216.00 2,190.10 -0.0118 2230 2203.85 -0.0118
10-Jan-07 2,200.00 2,164.45 -0.0163 2197.8 2180.3 -0.0080
11-Jan-07 2,181.00 2,183.00 0.0009 2130 2195.35 0.0302
12-Jan-07 2,200.00 2,223.40 0.0106 2224.9 2227.9 0.0013
15-Jan-07 2,232.95 2,242.95 0.0045 2237.8 2246.7 0.0040
16-Jan-07 2,245.20 2,222.20 -0.0103 2250 2226.35 -0.0106
17-Jan-07 2,245.00 2,205.45 -0.0178 2222 2213.85 -0.0037
18-Jan-07 2,206.00 2,224.15 0.0082 2214 2228.5 0.0065
19-Jan-07 2,225.00 2,202.35 -0.0102 2222.55 2210.85 -0.0053
22-Jan-07 2,215.00 2,254.00 0.0175 2218 2253.05 0.0157
23-Jan-07 2,248.00 2,235.15 -0.0057 2242.1 2233.65 -0.0038
24-Jan-07 2,201.00 2,234.05 0.0149 2234.9 2237.9 0.0013
25-Jan-07 2,241.00 2,241.00 0.0000 2235 2235.05 0.0000
29-Jan-07 2,235.00 2,244.40 0.0042 2257 2245.85 -0.0050

55
 31-Jan-07 2,240.00 2,247.30 0.0033 2242 2242.7 0.0003
1-Feb-07 2,250.00 2,268.95 0.0084 2241 2266.45 0.0113
2-Feb-07 2,275.00 2,265.55 -0.0042 2275.5 2261.1 -0.0063
5-Feb-07 2,235.00 2,269.30 0.0152 2270 2264.2 -0.0026
6-Feb-07 2,270.00 2,272.95 0.0013 2275 2269.55 -0.0024
7-Feb-07 2,255.55 2,357.05 0.0440 2267.25 2349.15 0.0355
8-Feb-07 2,365.00 2,373.70 0.0037 2355 2364.2 0.0039
9-Feb-07 2,374.40 2,361.25 -0.0056 2370 2365.7 -0.0018
12-Feb-07 2,335.00 2,351.25 0.0069 2322 2352.9 0.0132
13-Feb-07 2,351.00 2,304.20 -0.0201 2335 2311.5 -0.0101
14-Feb-07 2,282.20 2,284.65 0.0011 2305 2294.85 -0.0044
15-Feb-07 2,324.90 2,382.95 0.0247 2313 2382.4 0.0296
19-Feb-07 2,382.00 2,376.10 -0.0025 2394.7 2379.7 -0.0063
20-Feb-07 2,375.05 2,359.95 -0.0064 2384 2365.6 -0.0077
21-Feb-07 2,360.00 2,310.90 -0.0210 2366.5 2320.15 -0.0198
22-Feb-07 2,308.00 2,287.50 -0.0089 2315.15 2299.75 -0.0067
23-Feb-07 2,278.00 2,237.70 -0.0178 2304.95 2250.2 -0.0240
26-Feb-07 2,234.00 2,218.15 -0.0071 2253.85 2236.4 -0.0078
27-Feb-07 2,230.00 2,187.00 -0.0195 2239.8 2189.9 -0.0225
28-Feb-07 2,180.00 2,077.55 -0.0481 2126 2083 -0.0204
1-Mar-07 2,080.00 2,159.15 0.0373 2072.15 2157.85 0.0405
2-Mar-07 2,173.60 2,093.50 -0.0375 2145 2098.55 -0.0219
5-Mar-07 2,077.90 2,007.15 -0.0346 2050 2006.65 -0.0214
6-Mar-07 2,013.00 2,114.45 0.0492 2030 2113 0.0401
7-Mar-07 2,167.40 2,085.35 -0.0386 2139.7 2085.8 -0.0255
8-Mar-07 2,090.00 2,135.75 0.0217 2095 2143.35 0.0228
9-Mar-07 2,130.35 2,120.95 -0.0044 2158.4 2120.85 -0.0176
12-Mar-07 2,120.00 2,115.30 -0.0022 2120 2123 0.0014
13-Mar-07 2,117.00 2,105.05 -0.0057 2122.55 2115.3 -0.0034
14-Mar-07 2,075.00 2,020.00 -0.0269 1900 2025.4 0.0639
15-Mar-07 2,051.00 2,079.40 0.0138 2049.4 2072.75 0.0113
16-Mar-07 2,090.00 2,047.45 -0.0206 2075 2051.35 -0.0115
19-Mar-07 2,070.00 2,087.25 0.0083 2059.9 2092.5 0.0157
20-Mar-07 2,100.00 2,055.90 -0.0212 2101.15 2060.3 -0.0196
21-Mar-07 2,061.60 2,093.95 0.0156 2064.95 2089.7 0.0119
22-Mar-07 2,110.00 2,119.05 0.0043 2107.4 2124.9 0.0083
23-Mar-07 2,120.00 2,092.60 -0.0130 2120 2101.15 -0.0089
26-Mar-07 2,105.00 2,058.15 -0.0225 2100 2066.55 -0.0161
28-Mar-07 2,030.00 1,992.05 -0.0189 2049 1999.6 -0.0244
29-Mar-07 1,961.90 1,990.70 0.0146 1975 1987.9 0.0065
30-Mar-07 1,995.00 2,018.65 0.0118 2010 2021 0.0055

Annexure no. 11 Calculation of nominal return of IOC

SPOT MKT FUT MKT

DATE OPEN CLOSE NOM RTN OPEN CLOSE NOM RTN
2-Jan-07 453.8 447.6 -0.0138 454 449.25 -0.0105
3-Jan-07 448 448.05 0.0001 452 449.8 -0.0049
4-Jan-07 456 469.9 0.0300 462 468.6 0.0142
5-Jan-07 483.7 475.85 -0.0164 480 477.35 -0.0055
8-Jan-07 477.7 467.45 -0.0217 478 470.2 -0.0165
9-Jan-07 474.7 467.1 -0.0161 472.85 466.6 -0.0133
10-Jan-07 470 446.75 -0.0507 466.95 449.35 -0.0384
11-Jan-07 455 458.95 0.0086 453.35 461.65 0.0181
12-Jan-07 470 485.2 0.0318 470 485.65 0.0328
15-Jan-07 480 478.45 -0.0032 489.9 479.4 -0.0217
16-Jan-07 480.1 461.1 -0.0404 481.7 464.75 -0.0358
17-Jan-07 472 475.3 0.0070 465 479.25 0.0302
18-Jan-07 476.1 492.95 0.0348 481.85 493.2 0.0233
19-Jan-07 498 494.9 -0.0062 498 495.25 -0.0055

56
 22-Jan-07 498 495.25 -0.0055 494.9 495.05 0.0003
23-Jan-07 494 491.9 -0.0043 492.65 489.35 -0.0067
24-Jan-07 484 482.2 -0.0037 482 482.7 0.0015
25-Jan-07 482.2 497.55 0.0313 476.1 500.75 0.0505
29-Jan-07 495 498.25 0.0065 485.25 494.4 0.0187
31-Jan-07 508 495.6 -0.0247 488 485.8 -0.0045
1-Feb-07 494 495.05 0.0021 479 487.5 0.0176
2-Feb-07 488 494.9 0.0140 485.1 488.2 0.0064
5-Feb-07 495 487.8 -0.0147 485 485.5 0.0010
6-Feb-07 488 479.05 -0.0185 486 479 -0.0145
7-Feb-07 479.05 468.2 -0.0229 479 469.15 -0.0208
8-Feb-07 475 471.45 -0.0075 473.85 471.8 -0.0043
9-Feb-07 468.05 463.8 -0.0091 470 461.55 -0.0181
12-Feb-07 459 444.6 -0.0319 455.6 437.55 -0.0404
13-Feb-07 445 439.4 -0.0127 437 429.7 -0.0168
14-Feb-07 439 430.9 -0.0186 400 429.15 0.0703
15-Feb-07 433.9 427.15 -0.0157 434 428.15 -0.0136
19-Feb-07 427.15 441.1 0.0321 420.2 434.9 0.0344
20-Feb-07 439 445.4 0.0145 438 442.1 0.0093
21-Feb-07 447 434.35 -0.0287 444 437.25 -0.0153
22-Feb-07 439.85 443.8 0.0089 432.05 444.8 0.0291
23-Feb-07 432.65 431.85 -0.0019 426.15 428 0.0043
26-Feb-07 430.1 416.5 -0.0321 425 418.55 -0.0153
27-Feb-07 424 418.05 -0.0141 417.9 416.95 -0.0023
28-Feb-07 414.8 413.3 -0.0036 401 410.2 0.0227
1-Mar-07 417.5 410.55 -0.0168 417.8 408.75 -0.0219
2-Mar-07 410 408.65 -0.0033 410 403.25 -0.0166
5-Mar-07 400 402.4 0.0060 394.2 393.2 -0.0025
6-Mar-07 407 404.55 -0.0060 399 399.05 0.0001
7-Mar-07 414 404.7 -0.0227 403 394.55 -0.0212
8-Mar-07 402 405.5 0.0087 399.95 400.15 0.0005
9-Mar-07 405 399.45 -0.0138 400.95 398.25 -0.0068
12-Mar-07 405 410.15 0.0126 402.6 406.2 0.0089
13-Mar-07 413.9 414.25 0.0008 407.25 413.5 0.0152
14-Mar-07 406.5 397.75 -0.0218 400 396.85 -0.0079
15-Mar-07 409.5 405.9 -0.0088 402.85 402.15 -0.0017
16-Mar-07 408 399.7 -0.0206 403 397.55 -0.0136
19-Mar-07 405.5 406.25 0.0018 401 404.7 0.0092
20-Mar-07 409 421 0.0289 407 418.15 0.0270
21-Mar-07 419.95 419.8 -0.0004 420 418.8 -0.0029
22-Mar-07 421 420.7 -0.0007 419 418.7 -0.0007
23-Mar-07 419 410.75 -0.0199 411.15 411.2 0.0001
26-Mar-07 411.1 418.75 0.0184 407 415.1 0.0197
28-Mar-07 410.6 403.1 -0.0184 413 406.45 -0.0160
29-Mar-07 406 404.35 -0.0041 405 403.95 -0.0026
30-Mar-07 402.25 399.65 -0.0065 408 402.8 -0.0128

Annexure no. 12 Calculation of nominal return of ITC

SPOT MKT FUT MKT

DATE OPEN CLOSE NOM RTN OPEN CLOSE NOM REN
2-Jan-07 176.5 177 0.0028 177.45 177.2 -0.0014
3-Jan-07 177 175.45 -0.0088 177.45 175.75 -0.0096
4-Jan-07 176.25 168.95 -0.0423 176.1 169.95 -0.0355
5-Jan-07 170 165.3 -0.0280 169.15 166.5 -0.0158
8-Jan-07 165.5 162.7 -0.0171 165.5 163.7 -0.0109
9-Jan-07 164 162.05 -0.0120 164.5 163.1 -0.0085
10-Jan-07 162 163.15 0.0071 162.5 163.55 0.0064
11-Jan-07 163.75 169.2 0.0327 163.8 169.75 0.0357
12-Jan-07 170.8 171.1 0.0018 170.8 171.65 0.0050
15-Jan-07 173.8 172 -0.0104 172.95 172.05 -0.0052

57
 16-Jan-07 173.5 171.65 -0.0107 172.9 171.45 -0.0084
17-Jan-07 170 169.5 -0.0029 171.3 170 -0.0076
18-Jan-07 170 172.2 0.0129 169.75 171.7 0.0114
19-Jan-07 170.8 175.6 0.0277 172.2 174.4 0.0127
22-Jan-07 176.95 178.95 0.0112 174.3 177.1 0.0159
23-Jan-07 180 177.25 -0.0154 177.35 176.25 -0.0062
24-Jan-07 177 178.25 0.0070 175.65 177.05 0.0079
25-Jan-07 178 177.85 -0.0008 177.9 177.3 -0.0034
29-Jan-07 176.6 171.7 -0.0281 178.75 172.4 -0.0362
31-Jan-07 172 174.6 0.0150 173 174.4 0.0081
1-Feb-07 173.1 174.85 0.0101 175 175.75 0.0043
2-Feb-07 175.75 177.15 0.0079 176.7 176.6 -0.0006
5-Feb-07 177.15 177.6 0.0025 177.9 176.75 -0.0065
6-Feb-07 177.6 175.05 -0.0145 177 175.2 -0.0102
7-Feb-07 176.15 175.7 -0.0026 175.7 175.15 -0.0031
8-Feb-07 175.1 176.45 0.0077 175 175.65 0.0037
9-Feb-07 176.95 176.4 -0.0031 175.9 175.35 -0.0031
12-Feb-07 176.4 175.35 -0.0060 172.25 174.25 0.0115
13-Feb-07 174 173.2 -0.0046 172.2 173.5 0.0075
14-Feb-07 172.15 173.95 0.0104 172.5 174.4 0.0110
15-Feb-07 175 174.25 -0.0043 175.25 174.1 -0.0066
19-Feb-07 175.5 174.4 -0.0063 175.3 174.7 -0.0034
20-Feb-07 174.1 175.85 0.0100 175 175.3 0.0017
21-Feb-07 176 174.45 -0.0088 179 176 -0.0169
22-Feb-07 174 174.45 0.0026 175 175.65 0.0037
23-Feb-07 174 167.05 -0.0408 175.5 174.6 -0.0051
26-Feb-07 167.25 170.3 0.0181 173.75 175.2 0.0083
27-Feb-07 171.5 165.2 -0.0374 174.45 166.25 -0.0481
28-Feb-07 163 171.7 0.0520 165 169.55 0.0272
1-Mar-07 172.7 172.5 -0.0012 169.85 165.65 -0.0250
2-Mar-07 172.1 166.7 -0.0319 155 172.35 0.1061
5-Mar-07 166 162.15 -0.0235 171.1 172.95 0.0108
6-Mar-07 164.8 162.05 -0.0168 172.5 166.95 -0.0327
7-Mar-07 163 158.2 -0.0299 164 161.6 -0.0147
8-Mar-07 160 159.95 -0.0003 163.1 162.55 -0.0034
9-Mar-07 162 154.15 -0.0497 163.5 158.65 -0.0301
12-Mar-07 150.3 148.6 -0.0114 159.95 161 0.0065
13-Mar-07 149 148.95 -0.0003 162.5 155.25 -0.0456
14-Mar-07 146.1 142.9 -0.0221 155.1 149.4 -0.0374
15-Mar-07 145 147.3 0.0157 149.55 149.75 0.0013
16-Mar-07 148.9 145.05 -0.0262 147.5 143.2 -0.0296
19-Mar-07 145.5 142 -0.0243 146 147.55 0.0106
20-Mar-07 144.5 140.85 -0.0256 148 144.85 -0.0215
21-Mar-07 141 144.6 0.0252 144.95 142.6 -0.0163
22-Mar-07 145.9 149.35 0.0234 143.85 141.15 -0.0189
23-Mar-07 149 144.15 -0.0331 142 145.05 0.0213
26-Mar-07 145 142.25 -0.0191 146.75 149.8 0.0206
28-Mar-07 142 143.35 0.0095 148.1 144.9 -0.0218
29-Mar-07 144 146.95 0.0203 146.95 143 -0.0272
30-Mar-07 147 151.15 0.0278 141.05 143.65 0.0183

Annexure no. 13 Calculation of nominal return of M&M

SPOT MKT FUT MKT

DATE OPEN CLOSE NOM REN OPEN CLOSE NOM REN
2-Jan-07 913 954.2 0.04414 917.5 959.9 0.0452
3-Jan-07 964.8 934.25 -0.03218 965 942.2 -0.0239
4-Jan-07 940 927.15 -0.01376 940 933.3 -0.0072
5-Jan-07 930 896.55 -0.03663 936.35 903.15 -0.0361

58
 8-Jan-07 890 898.55 0.00956 916 904.45 -0.0127
9-Jan-07 902 891.8 -0.01137 908 894.55 -0.0149
10-Jan-07 891.8 876.45 -0.01736 890 881 -0.0102
11-Jan-07 882 910.95 0.03230 894.9 915.85 0.0231
12-Jan-07 915.35 933.45 0.01958 925 937.05 0.0129
15-Jan-07 947.7 950.9 0.00337 943.9 951.65 0.0082
16-Jan-07 951 986.25 0.03640 960 987.9 0.0286
17-Jan-07 989.85 963.2 -0.02729 988.5 969.1 -0.0198
18-Jan-07 971 968.4 -0.00268 975 971.8 -0.0033
19-Jan-07 968.95 933.8 -0.03695 985 940.05 -0.0467
22-Jan-07 935.1 928.15 -0.00746 945 932.95 -0.0128
23-Jan-07 937 921.1 -0.01711 930.05 923.5 -0.0071
24-Jan-07 920 908.25 -0.01285 929.8 910.25 -0.0213
25-Jan-07 912 922.25 0.01118 913.6 920.55 0.0076
29-Jan-07 934.7 925.35 -0.01005 935 931.2 -0.0041
31-Jan-07 930 901.1 -0.03157 932.5 903.65 -0.0314
1-Feb-07 906 906.45 0.00050 910 913.55 0.0039
2-Feb-07 909.5 914.2 0.00515 918.7 919.8 0.0012
5-Feb-07 915 937.85 0.02467 922.7 940.65 0.0193
6-Feb-07 954.75 939.5 -0.01610 943.65 940.95 -0.0029
7-Feb-07 930.35 944.6 0.01520 944.8 947.25 0.0026
8-Feb-07 946 931.4 -0.01555 947 936.6 -0.0110
9-Feb-07 936 920.05 -0.01719 940 920.9 -0.0205
12-Feb-07 921.95 880.8 -0.04566 911.5 879.2 -0.0361
13-Feb-07 879.9 865.75 -0.01621 890 871.15 -0.0214
14-Feb-07 866.75 855.7 -0.01283 870 863.35 -0.0077
15-Feb-07 884.7 901.95 0.01931 877 903.7 0.0300
19-Feb-07 903 893.85 -0.01018 907.45 894.35 -0.0145
20-Feb-07 891 880.85 -0.01146 895 880.65 -0.0162
21-Feb-07 885 892.8 0.00877 880 894.2 0.0160
22-Feb-07 900 872.5 -0.03103 886.2 880.85 -0.0061
23-Feb-07 875.9 855.85 -0.02316 877.25 854.45 -0.0263
26-Feb-07 855.85 855.4 -0.00053 859.85 855 -0.0057
27-Feb-07 861.1 847.95 -0.01539 860.1 850.25 -0.0115
28-Feb-07 817 811.35 -0.00694 828.8 813.4 -0.0188
1-Mar-07 816 805.2 -0.01332 804.8 809.45 0.0058
2-Mar-07 799 770.5 -0.03632 810 772.05 -0.0480
5-Mar-07 744.8 709.2 -0.04898 765 708.45 -0.0768
6-Mar-07 716 725.15 0.01270 713.05 725.85 0.0178
7-Mar-07 738.7 761.05 0.02981 738.15 739.25 0.0015
8-Mar-07 765.3 765.6 0.00039 749 763.45 0.0191
9-Mar-07 775 733.9 -0.05449 774.9 731.6 -0.0575
12-Mar-07 739.25 738.25 -0.00135 733.5 733.9 0.0005
13-Mar-07 740 760.35 0.02713 734 753.55 0.0263
14-Mar-07 750 749.1 -0.00120 731 730.5 -0.0007
15-Mar-07 760 747.05 -0.01719 741 728.3 -0.0173
16-Mar-07 746 730.7 -0.02072 731 724.1 -0.0095
19-Mar-07 748.7 738.9 -0.01318 731 733.7 0.0037
20-Mar-07 744 743.85 -0.00020 736 734.05 -0.0027
21-Mar-07 749 753.5 0.00599 731.25 745.8 0.0197
22-Mar-07 758 781.6 0.03066 752 777.8 0.0337
23-Mar-07 779.8 796.8 0.02157 779.85 796.25 0.0208
26-Mar-07 800 788.55 -0.01442 797 790.4 -0.0083
28-Mar-07 785 762.35 -0.02928 763.35 763.95 0.0008
29-Mar-07 792.8 757.75 -0.04522 764.1 757.7 -0.0084
30-Mar-07 757 780.4 0.03044 764.95 780 0.0195

Annexure no. 14 Calculation of nominal return of MTNL

SPOT MKT FUT MKT

59
DATE OPEN CLOSE NOM REN OPEN CLOSE NOM RTN
2-Jan-07 143.1 146.85 0.0259 144.95 148.25 0.0225
3-Jan-07 148 150.7 0.0181 148.25 151.9 0.0243
4-Jan-07 150.05 146.55 -0.0236 152.45 147.6 -0.0323
5-Jan-07 143.8 149.05 0.0359 137 149.5 0.0873
8-Jan-07 149 157.8 0.0574 150 159.05 0.0586
9-Jan-07 154.6 154.6 0.0000 158.65 155.35 -0.0210
10-Jan-07 154 156.15 0.0139 153.95 156.75 0.0180
11-Jan-07 156 160.9 0.0309 156.4 162.2 0.0364
12-Jan-07 162 164.1 0.0129 164 164.65 0.0040
15-Jan-07 164.9 160.6 -0.0264 167.9 161.25 -0.0404
16-Jan-07 160 160.95 0.0059 160 162.1 0.0130
17-Jan-07 161.95 162.35 0.0025 162 162.9 0.0055
18-Jan-07 161.5 161.3 -0.0012 163 162.25 -0.0046
19-Jan-07 165 170.05 0.0301 165.1 170.7 0.0334
22-Jan-07 170 168.05 -0.0115 170.9 168.5 -0.0141
23-Jan-07 168 168.6 0.0036 167 168.7 0.0101
24-Jan-07 169 166.95 -0.0122 168.1 167.25 -0.0051
25-Jan-07 167.4 172.25 0.0286 168.1 172.8 0.0276
29-Jan-07 172.05 169.15 -0.0170 174 167.85 -0.0360
31-Jan-07 169.85 165.85 -0.0238 168 164.3 -0.0223
1-Feb-07 166.65 169.5 0.0170 164.2 168.3 0.0247
2-Feb-07 170.5 169.1 -0.0082 169.8 167.55 -0.0133
5-Feb-07 170 167 -0.0178 169 165.5 -0.0209
6-Feb-07 167 164.85 -0.0130 165.85 163.5 -0.0143
7-Feb-07 165.1 164.1 -0.0061 164.05 162.4 -0.0101
8-Feb-07 164.5 164.05 -0.0027 162.85 162.65 -0.0012
9-Feb-07 165 157.7 -0.0453 163.3 155.15 -0.0512
12-Feb-07 156.9 143.95 -0.0861 154 140.8 -0.0896
13-Feb-07 144 141 -0.0211 138.25 138.9 0.0047
14-Feb-07 142 146.25 0.0295 138 143.8 0.0412
15-Feb-07 147.5 151.8 0.0287 145.8 149.45 0.0247
19-Feb-07 151 149.15 -0.0123 150 149.45 -0.0037
20-Feb-07 149 144.85 -0.0282 150 145.35 -0.0315
21-Feb-07 146.5 143.1 -0.0235 146 143.6 -0.0166
22-Feb-07 144 140.4 -0.0253 143 140 -0.0212
23-Feb-07 143 138.75 -0.0302 142.9 139.25 -0.0259
26-Feb-07 140 140.8 0.0057 140 141.7 0.0121
27-Feb-07 140 139 -0.0072 142.75 139.95 -0.0198
28-Feb-07 135.3 133.3 -0.0149 130.65 134 0.0253
1-Mar-07 138.9 133.9 -0.0367 134.9 134.9 0.0000
2-Mar-07 133.5 135.1 0.0119 134.3 135.2 0.0067
5-Mar-07 132.5 134.05 0.0116 128.6 134 0.0411
6-Mar-07 134 141.2 0.0523 135.9 142.1 0.0446
7-Mar-07 144 143.15 -0.0059 144 142.25 -0.0122
8-Mar-07 136.1 150.3 0.0992 144.05 149.85 0.0395
9-Mar-07 152 142.4 -0.0652 151.4 142.9 -0.0578
12-Mar-07 144.4 139.15 -0.0370 143.1 140 -0.0219
13-Mar-07 140 142 0.0142 139.5 142.5 0.0213
14-Mar-07 140 138.9 -0.0079 139 139 0.0000
15-Mar-07 140.25 142.5 0.0159 141.75 142.45 0.0049
16-Mar-07 140 142.05 0.0145 143 142.35 -0.0046
19-Mar-07 142.6 147.85 0.0362 143 148.6 0.0384
20-Mar-07 149 145.15 -0.0262 149.5 145.7 -0.0257
21-Mar-07 144.2 146.55 0.0162 145.2 147 0.0123
22-Mar-07 147 149.25 0.0152 148.5 150.2 0.0114
23-Mar-07 156 146.05 -0.0659 150.4 146.85 -0.0239
26-Mar-07 146.15 148.8 0.0180 148.05 149.05 0.0067
28-Mar-07 143.2 148.45 0.0360 147.9 148.5 0.0040
29-Mar-07 148.45 146.05 -0.0163 148 146.25 -0.0119
30-Mar-07 144.2 146.75 0.0175 148.45 147.9 -0.0037

60
Annexure no. 15 Calculation of nominal return of ONGC

SPOT MKT FUT MKT

DATE OPEN CLOSE NOM REN OPEN CLOSE NOM RTN
2-Jan-07 880 876.85 -0.0036 868.9 873.3 0.0051
3-Jan-07 886.75 872.5 -0.0162 878.1 869.5 -0.0098
4-Jan-07 865.9 874.35 0.0097 871 870.6 -0.0005
5-Jan-07 869.05 895.2 0.0296 865.25 894.1 0.0328
8-Jan-07 895 911.15 0.0179 890.35 905.15 0.0165
9-Jan-07 919.7 916.45 -0.0035 910 918.45 0.0092
10-Jan-07 916.5 890.55 -0.0287 915.05 885.2 -0.0332
11-Jan-07 887.1 914.6 0.0305 888 917.25 0.0324
12-Jan-07 916 923.65 0.0083 924.8 926.35 0.0017
15-Jan-07 923 916.1 -0.0075 932 917.5 -0.0157
16-Jan-07 919.8 919.95 0.0002 919.9 919.25 -0.0007
17-Jan-07 921 895.05 -0.0286 924 896.9 -0.0298
18-Jan-07 896 914.8 0.0208 896 919.4 0.0258
19-Jan-07 922 896.3 -0.0283 922 899.95 -0.0242
22-Jan-07 909.9 894.45 -0.0171 901 898.15 -0.0032
23-Jan-07 895 891.9 -0.0035 892 896 0.0045
24-Jan-07 896.7 912.75 0.0177 901.25 917.35 0.0177
25-Jan-07 918 921.15 0.0034 921.9 919.2 -0.0029
29-Jan-07 912 916.85 0.0053 920 911.8 -0.0090
31-Jan-07 925 911.4 -0.0148 920.65 904.85 -0.0173
1-Feb-07 912 910.85 -0.0013 907.1 914.4 0.0080
2-Feb-07 920 905.55 -0.0158 914.95 907.95 -0.0077
5-Feb-07 928.1 910.05 -0.0196 910 909.1 -0.0010
6-Feb-07 917 908.2 -0.0096 912 907.85 -0.0046
7-Feb-07 910 891.9 -0.0201 912 897.1 -0.0165
8-Feb-07 910 894 -0.0177 900 899.25 -0.0008
9-Feb-07 897 883.9 -0.0147 902 887.15 -0.0166
12-Feb-07 888 866.8 -0.0242 886.9 869.7 -0.0196
13-Feb-07 860 885.6 0.0293 857.35 883.4 0.0299
14-Feb-07 885 900.8 0.0177 880 904.15 0.0271
15-Feb-07 905 906.25 0.0014 910 911.9 0.0021
19-Feb-07 906.25 906.15 -0.0001 911 908.4 -0.0029
20-Feb-07 910 876.15 -0.0379 909 881.2 -0.0311
21-Feb-07 880 873 -0.0080 883 877.2 -0.0066
22-Feb-07 872.95 855 -0.0208 875.6 857.8 -0.0205
23-Feb-07 860 830 -0.0355 863 829.5 -0.0396
26-Feb-07 825.1 834.65 0.0115 821.6 837.7 0.0194
27-Feb-07 835.1 817.8 -0.0209 840.1 813.55 -0.0321
28-Feb-07 801.25 788.05 -0.0166 751.35 776.65 0.0331
1-Mar-07 788.05 795.95 0.0100 781 792.9 0.0151
2-Mar-07 802 798.9 -0.0039 800 775.3 -0.0314
5-Mar-07 785 773.05 -0.0153 764.5 767.25 0.0036
6-Mar-07 785 768.95 -0.0207 742 765.25 0.0309
7-Mar-07 776.1 764.85 -0.0146 762.5 750.55 -0.0158
8-Mar-07 766 779.5 0.0175 755 777.85 0.0298
9-Mar-07 786.6 783.4 -0.0041 783 772.55 -0.0134
12-Mar-07 786 793.6 0.0096 771.9 792.1 0.0258
13-Mar-07 798 807.15 0.0114 792.2 805.35 0.0165
14-Mar-07 791 781.35 -0.0123 768.6 759.8 -0.0115
15-Mar-07 789.9 776.5 -0.0171 773 768.25 -0.0062
16-Mar-07 786 762.85 -0.0299 770 754.35 -0.0205
19-Mar-07 769 793.15 0.0309 757 791.4 0.0444
20-Mar-07 800 790.8 -0.0116 795.1 781.8 -0.0169
21-Mar-07 790.9 811.65 0.0259 785 810.35 0.0318
22-Mar-07 824 852.3 0.0338 815 851.45 0.0438
23-Mar-07 874 843.1 -0.0360 852 844.75 -0.0085
26-Mar-07 840 850.25 0.0121 850 855.6 0.0066

61
 28-Mar-07 850 864.55 0.0170 852 863.5 0.0134
29-Mar-07 860 874.8 0.0171 856 876.7 0.0239
30-Mar-07 872 880.8 0.0100 878 865.4 -0.0145

Annexure no. 16 Calculation of nominal return of RANBAXY

SPOT MKT FUT MKT

DATE OPEN CLOSE NOM REN OPEN CLOSE NOM RTN
2-Jan-07 391 399.15 0.0206 394 402.3 0.0208
3-Jan-07 397.4 412.1 0.0363 403 414.15 0.0273
4-Jan-07 414 413.2 -0.0019 412 414.45 0.0059
5-Jan-07 411 413.8 0.0068 415 414.95 -0.0001
8-Jan-07 412 418.8 0.0164 413 419.7 0.0161
9-Jan-07 425 416.8 -0.0195 425.2 417.5 -0.0183
10-Jan-07 417.5 411.15 -0.0153 415 413.2 -0.0043
11-Jan-07 411.9 416.4 0.0109 412.15 418.2 0.0146
12-Jan-07 416.1 421.25 0.0123 421 423.1 0.0050
15-Jan-07 426.95 430.4 0.0080 427 432.9 0.0137
16-Jan-07 431 429.65 -0.0031 434 431.4 -0.0060
17-Jan-07 430 432.3 0.0053 433.5 432.7 -0.0018
18-Jan-07 436 430.4 -0.0129 435 432.2 -0.0065
19-Jan-07 432 414.5 -0.0414 435 416.8 -0.0427
22-Jan-07 417 404.55 -0.0303 418.1 406.3 -0.0286
23-Jan-07 408 399.45 -0.0212 406 400.95 -0.0125
24-Jan-07 409.5 400.8 -0.0215 402.05 402.4 0.0009
25-Jan-07 402.05 397.3 -0.0119 400 396.8 -0.0080
29-Jan-07 400 402.4 0.0060 404 404.6 0.0015
31-Jan-07 404 408.95 0.0122 405.8 409.85 0.0099
1-Feb-07 409 411.2 0.0054 412 413.25 0.0030
2-Feb-07 413 413.05 0.0001 414.9 414.9 0.0000
5-Feb-07 414 414.7 0.0017 415 415.1 0.0002
6-Feb-07 414.7 420.05 0.0128 416.85 420.8 0.0094
7-Feb-07 424.2 419.3 -0.0116 421.8 421.15 -0.0015
8-Feb-07 421.9 420.95 -0.0023 420 421.7 0.0040
9-Feb-07 424.05 416.75 -0.0174 423.05 417.05 -0.0143
12-Feb-07 413.6 409.15 -0.0108 417.5 408.45 -0.0219
13-Feb-07 409.1 411.5 0.0058 407 411.8 0.0117
14-Feb-07 408 415.45 0.0181 404 415.15 0.0272
15-Feb-07 415 393.35 -0.0536 416.95 395.5 -0.0528
19-Feb-07 396 391.6 -0.0112 391.95 393.95 0.0051
20-Feb-07 385 395.5 0.0269 395 396.85 0.0047
21-Feb-07 396.5 382.7 -0.0354 398.4 384.45 -0.0356
22-Feb-07 383 367.45 -0.0414 379.75 366.55 -0.0354
23-Feb-07 367 356.55 -0.0289 375.05 358.8 -0.0443
26-Feb-07 365 351.35 -0.0381 349 354.85 0.0166
27-Feb-07 354.1 351.6 -0.0071 357 353.25 -0.0106
28-Feb-07 342 337.85 -0.0122 332.5 339.25 0.0201
1-Mar-07 344 342.75 -0.0036 340 344.4 0.0129
2-Mar-07 345 347.3 0.0066 345 347.45 0.0071
5-Mar-07 345.5 320.7 -0.0745 338.8 321.7 -0.0518
6-Mar-07 325 322.3 -0.0083 326 324.45 -0.0048
7-Mar-07 322 307.25 -0.0469 327.05 309.45 -0.0553
8-Mar-07 312 328.45 0.0514 313 328.95 0.0497
9-Mar-07 334 326.05 -0.0241 338 326.35 -0.0351
12-Mar-07 328 323.75 -0.0130 326 325.15 -0.0026
13-Mar-07 323.75 320.7 -0.0095 325.5 322.05 -0.0107
14-Mar-07 316.5 312.25 -0.0135 312.1 312.65 0.0018
15-Mar-07 315.95 311.2 -0.0151 316.8 311.5 -0.0169
16-Mar-07 315 316.25 0.0040 313 315.05 0.0065

62
 19-Mar-07 319.5 316.95 -0.0080 317.5 317.6 0.0003
20-Mar-07 318.9 336.35 0.0533 319 335.15 0.0494
21-Mar-07 340 331.55 -0.0252 337.3 331.7 -0.0167
22-Mar-07 334.2 333.2 -0.0030 335 333.9 -0.0033
23-Mar-07 334.25 330.15 -0.0123 332.55 331.5 -0.0032
26-Mar-07 333 327.05 -0.0180 332 328.05 -0.0120
28-Mar-07 326 338.9 0.0388 325.25 337.8 0.0379
29-Mar-07 336.95 345.05 0.0238 337 344.85 0.0230
30-Mar-07 347.2 351.9 0.0134 345 347.4 0.0069

Annexure no. 17 Calculation of nominal return of RELIANCE

SPOT MKT
DATE OPEN CLOSE NOM REN OPEN CLOSE NOM RTN
2-Jan-07 1,275.00 1,280.90 0.0046 1281.15 1289.45 0.0065
3-Jan-07 1,285.00 1,284.55 -0.0004 1293.15 1292.45 -0.0005
4-Jan-07 1,290.00 1,280.50 -0.0074 1294 1289.4 -0.0036
5-Jan-07 1,275.00 1,288.15 0.0103 1288.35 1295.4 0.0055
8-Jan-07 1,294.00 1,276.85 -0.0133 1290 1287.1 -0.0023
9-Jan-07 1,294.80 1,278.30 -0.0128 1287.85 1286.05 -0.0014
10-Jan-07 1,275.00 1,273.15 -0.0015 1280 1279.2 -0.0006
11-Jan-07 1,275.00 1,296.50 0.0167 1280.1 1303.45 0.0181
12-Jan-07 1,308.70 1,339.50 0.0233 1310 1343.1 0.0250
15-Jan-07 1,364.80 1,364.95 0.0001 1350 1367.95 0.0132
16-Jan-07 1,367.00 1,346.95 -0.0148 1367 1354.1 -0.0095
17-Jan-07 1,358.00 1,349.85 -0.0060 1358 1358.35 0.0003
18-Jan-07 1,355.00 1,367.40 0.0091 1361 1370.4 0.0069
19-Jan-07 1,428.00 1,382.75 -0.0322 1397 1383.7 -0.0096
22-Jan-07 1,385.00 1,373.85 -0.0081 1386 1379.15 -0.0050
23-Jan-07 1,371.05 1,360.55 -0.0077 1372.5 1364.4 -0.0059
24-Jan-07 1,374.40 1,369.50 -0.0036 1367.95 1370.5 0.0019
25-Jan-07 1,379.70 1,370.60 -0.0066 1376.9 1369.95 -0.0051
29-Jan-07 1,370.00 1,382.30 0.0089 1384.4 1385.4 0.0007
31-Jan-07 1,385.95 1,366.45 -0.0142 1380.5 1371.25 -0.0067
1-Feb-07 1,368.00 1,377.60 0.0070 1373.25 1385.45 0.0088
2-Feb-07 1,383.70 1,375.05 -0.0063 1390 1381.15 -0.0064
5-Feb-07 1,380.00 1,387.35 0.0053 1382 1390.65 0.0062
6-Feb-07 1,330.00 1,389.20 0.0435 1393.5 1394.35 0.0006
7-Feb-07 1,398.00 1,394.90 -0.0022 1390.9 1397.65 0.0048
8-Feb-07 1,396.95 1,397.05 0.0001 1399 1399.85 0.0006
9-Feb-07 1,400.50 1,391.80 -0.0062 1401 1393.8 -0.0052
12-Feb-07 1,387.00 1,358.95 -0.0204 1380.25 1362.05 -0.0133
13-Feb-07 1,356.00 1,366.00 0.0073 1355 1369.7 0.0108
14-Feb-07 1,365.15 1,377.05 0.0087 1360 1385.3 0.0184
15-Feb-07 1,382.50 1,406.95 0.0175 1398 1413.7 0.0112
19-Feb-07 1,410.00 1,420.75 0.0076 1419.95 1424.15 0.0030
20-Feb-07 1,429.00 1,414.60 -0.0101 1427.95 1418.8 -0.0064
21-Feb-07 1,391.00 1,406.75 0.0113 1419.8 1408.45 -0.0080
22-Feb-07 1,415.00 1,412.05 -0.0021 1405 1412.2 0.0051
23-Feb-07 1,424.00 1,413.25 -0.0076 1426.4 1423.5 -0.0020
26-Feb-07 1,420.00 1,406.55 -0.0095 1430 1419.8 -0.0072
27-Feb-07 1,305.10 1,405.45 0.0741 1412.05 1413 0.0007
28-Feb-07 1,350.10 1,352.50 0.0018 1350 1360.75 0.0079
1-Mar-07 1,375.00 1,367.75 -0.0053 1350 1370.7 0.0152
2-Mar-07 1,371.00 1,316.20 -0.0408 1362.7 1315.4 -0.0353
5-Mar-07 1,300.00 1,259.35 -0.0318 1300 1263.65 -0.0284
6-Mar-07 1,274.00 1,297.85 0.0185 1349 1300.2 -0.0368
7-Mar-07 1,311.00 1,288.65 -0.0172 1310.5 1290.55 -0.0153
8-Mar-07 1,319.00 1,335.55 0.0125 1298 1335.95 0.0288
9-Mar-07 1,338.00 1,318.20 -0.0149 1342 1314.8 -0.0205

63
 12-Mar-07 1,329.90 1,315.70 -0.0107 1315 1309.75 -0.0040
13-Mar-07 1,315.70 1,326.75 0.0084 1314.95 1323.5 0.0065
14-Mar-07 1,309.00 1,285.35 -0.0182 1285.2 1275.2 -0.0078
15-Mar-07 1,299.00 1,283.40 -0.0121 1281.9 1275.35 -0.0051
16-Mar-07 1,283.40 1,300.15 0.0130 1275 1289.25 0.0111
19-Mar-07 1,301.10 1,313.55 0.0095 1298 1307.35 0.0072
20-Mar-07 1,318.00 1,322.95 0.0037 1310 1310.05 0.0000
21-Mar-07 1,320.00 1,340.00 0.0150 1315 1339 0.0181
22-Mar-07 1,347.00 1,375.25 0.0208 1354.95 1374.45 0.0143
23-Mar-07 1,376.00 1,376.05 0.0000 1374.95 1377.3 0.0017
26-Mar-07 1,383.00 1,364.55 -0.0134 1375 1369.75 -0.0038
28-Mar-07 1,360.00 1,350.00 -0.0074 1362.1 1352.3 -0.0072
29-Mar-07 1,364.00 1,357.20 -0.0050 1349.7 1359.15 0.0070
30-Mar-07 1,360.00 1,370.30 0.0075 1369.85 1376.3 0.0047

Annexure no. 18 Calculation of nominal return of SATYMCOMP

SPOT MKT FUT MKT

DATE OPEN CLOSE NOM REN OPEN CLOSE NOM RTN
2-Jan-07 486.9 508.45 0.0433 493 508.9 0.0317
3-Jan-07 511 515.15 0.0081 510.3 516.35 0.0118
4-Jan-07 525 501.85 -0.0451 516.7 504.8 -0.0233
5-Jan-07 502 501.05 -0.0019 503.95 503.75 -0.0004
8-Jan-07 503.2 486.25 -0.0343 475 488.85 0.0287
9-Jan-07 490 467.7 -0.0466 489 470.75 -0.0380
10-Jan-07 469.9 464.2 -0.0122 466 465.15 -0.0018
11-Jan-07 460 480.55 0.0437 467 482.8 0.0333
12-Jan-07 489.9 496.5 0.0134 489.4 495.8 0.0130
15-Jan-07 499.7 501.05 0.0027 499 500.5 0.0030
16-Jan-07 507 506.9 -0.0002 505 505.65 0.0013
17-Jan-07 510 508.2 -0.0035 509 508.1 -0.0018
18-Jan-07 512 514.75 0.0054 510 513.4 0.0066
19-Jan-07 517 489.1 -0.0555 517.9 487.95 -0.0596
22-Jan-07 485 472.3 -0.0265 485 474 -0.0229
23-Jan-07 474 471.25 -0.0058 472.15 472.45 0.0006
24-Jan-07 475 470.5 -0.0095 475 471.1 -0.0082
25-Jan-07 474.9 475.35 0.0009 472.85 474.85 0.0042
29-Jan-07 477 465.15 -0.0252 479.9 467.75 -0.0256
31-Jan-07 467 472.45 0.0116 468 473.75 0.0122
1-Feb-07 475 473.9 -0.0023 474.8 476.6 0.0038
2-Feb-07 475.9 490.65 0.0305 478.9 487.9 0.0186
5-Feb-07 490 489.95 -0.0001 491 488.3 -0.0055
6-Feb-07 490 490.65 0.0013 489.95 488.3 -0.0034
7-Feb-07 491.1 490.15 -0.0019 489.7 490.7 0.0020
8-Feb-07 493.9 485.85 -0.0164 495 487.85 -0.0145
9-Feb-07 486 468.8 -0.0360 495 470.6 -0.0505
12-Feb-07 468 463.3 -0.0101 466.1 463.4 -0.0058
13-Feb-07 467 459.8 -0.0155 463.5 460.5 -0.0065
14-Feb-07 460 464.85 0.0105 469.7 465.85 -0.0082
15-Feb-07 468 485.6 0.0369 469.2 484.5 0.0321
19-Feb-07 487 481.8 -0.0107 486 483 -0.0062
20-Feb-07 478.8 477.7 -0.0023 483.45 477.25 -0.0129
21-Feb-07 478 462.15 -0.0337 477 464.45 -0.0267
22-Feb-07 462.5 458.95 -0.0077 464.25 459.85 -0.0095
23-Feb-07 462 449.9 -0.0265 462 449.6 -0.0272
26-Feb-07 454 459.15 0.0113 450 461.1 0.0244
27-Feb-07 505 449.05 -0.1174 463 449.15 -0.0304
28-Feb-07 432.15 414.4 -0.0419 436 416.4 -0.0460
1-Mar-07 415 435.85 0.0490 416 435.2 0.0451
2-Mar-07 437 427.3 -0.0224 430.15 426.3 -0.0090

64
 5-Mar-07 419 414.15 -0.0116 415.05 412.05 -0.0073
6-Mar-07 417 433.6 0.0390 418.35 430.85 0.0294
7-Mar-07 439.45 430.1 -0.0215 436.5 429.45 -0.0163
8-Mar-07 431 445.8 0.0338 434 443.5 0.0217
9-Mar-07 447 439.05 -0.0179 446 439.2 -0.0154
12-Mar-07 440 441.85 0.0042 441 442.45 0.0033
13-Mar-07 442 454.7 0.0283 445.45 453.65 0.0182
14-Mar-07 411.1 431 0.0473 411.1 431.75 0.0490
15-Mar-07 455 434.95 -0.0451 436 433.1 -0.0067
16-Mar-07 446 429.6 -0.0375 435 429.05 -0.0138
19-Mar-07 434 433.15 -0.0020 433.85 434.5 0.0015
20-Mar-07 436 445.15 0.0208 440 443.6 0.0081
21-Mar-07 446 451.35 0.0119 445 452.05 0.0157
22-Mar-07 457 467.05 0.0218 460 466.7 0.0145
23-Mar-07 461 464.55 0.0077 467.3 464.2 -0.0067
26-Mar-07 460 472 0.0258 465.25 472.1 0.0146
28-Mar-07 469.7 455.7 -0.0303 467.1 456.45 -0.0231
29-Mar-07 458.1 461.1 0.0065 456.1 461.85 0.0125
30-Mar-07 465.8 470.35 0.0097 464.1 469.7 0.0120

Annexure no. 19 Calculation of nominal return of SBIN

SPOT MKT FUT MKT

DATE OPEN CLOSE NOM REN OPEN CLOSE NOM RTN
2-Jan-07 1,250.00 1,253.55 0.0028 1256.5 1260.05 0.0028
3-Jan-07 1,250.00 1,264.85 0.0118 1262 1269.1 0.0056
4-Jan-07 1,270.00 1,243.00 -0.0215 1272 1252.15 -0.0157
5-Jan-07 1,241.00 1,244.10 0.0025 1246.5 1244.15 -0.0019
8-Jan-07 1,248.80 1,213.70 -0.0285 1240 1218.5 -0.0175
9-Jan-07 1,219.85 1,174.90 -0.0375 1220.5 1182.25 -0.0318
10-Jan-07 1,171.00 1,136.40 -0.0300 1175.5 1143.4 -0.0277
11-Jan-07 1,145.00 1,147.45 0.0021 1144 1159.5 0.0135
12-Jan-07 1,162.00 1,225.45 0.0532 1175 1228.9 0.0449
15-Jan-07 1,235.00 1,222.25 -0.0104 1230 1226.95 -0.0025
16-Jan-07 1,255.00 1,209.80 -0.0367 1230.05 1216.9 -0.0107
17-Jan-07 1,219.00 1,222.55 0.0029 1222 1225.4 0.0028
18-Jan-07 1,226.00 1,229.00 0.0024 1224.1 1233.9 0.0080
19-Jan-07 1,282.25 1,220.30 -0.0495 1242 1223.35 -0.0151
22-Jan-07 1,218.00 1,224.55 0.0054 1228 1229.4 0.0011
23-Jan-07 1,225.05 1,174.05 -0.0425 1225 1176.05 -0.0408
24-Jan-07 1,174.05 1,172.55 -0.0013 1177 1175 -0.0017
25-Jan-07 1,175.25 1,176.45 0.0010 1180 1175.55 -0.0038
29-Jan-07 1,190.00 1,156.15 -0.0289 1175.15 1166.25 -0.0076
31-Jan-07 1,162.00 1,140.45 -0.0187 1155 1149.15 -0.0051
1-Feb-07 1,158.00 1,203.00 0.0381 1155 1212.65 0.0487
2-Feb-07 1,215.00 1,181.05 -0.0283 1219.8 1190.05 -0.0247
5-Feb-07 1,176.00 1,197.05 0.0177 1192 1206.85 0.0124
6-Feb-07 1,205.00 1,196.50 -0.0071 1211 1202.55 -0.0070
7-Feb-07 1,195.00 1,195.05 0.0000 1206.9 1204.2 -0.0022
8-Feb-07 1,195.00 1,205.25 0.0085 1207 1214.5 0.0062
9-Feb-07 1,206.00 1,199.65 -0.0053 1215 1205.3 -0.0080
12-Feb-07 1,199.65 1,183.70 -0.0134 1195.1 1185 -0.0085
13-Feb-07 1,182.95 1,173.40 -0.0081 1177.3 1175.3 -0.0017
14-Feb-07 1,150.00 1,102.30 -0.0424 1125.55 1106.1 -0.0174
15-Feb-07 1,110.55 1,122.60 0.0108 1130 1128.65 -0.0012
19-Feb-07 1,128.00 1,132.10 0.0036 1135 1133.7 -0.0011
20-Feb-07 1,132.10 1,107.75 -0.0217 1137.15 1109.05 -0.0250
21-Feb-07 1,099.70 1,105.90 0.0056 1109 1106.15 -0.0026
22-Feb-07 1,105.00 1,078.05 -0.0247 1115 1078.45 -0.0333

65
 23-Feb-07 1,135.00 1,058.20 -0.0701 1088.7 1063.8 -0.0231
26-Feb-07 1,070.00 1,088.40 0.0171 1075.35 1099.65 0.0223
27-Feb-07 1,091.00 1,069.15 -0.0202 1105 1077.5 -0.0252
28-Feb-07 971.6 1,041.85 0.0698 1031.1 1043.9 0.0123
1-Mar-07 1,042.00 1,055.65 0.0130 1039.9 1059 0.0182
2-Mar-07 1,035.00 1,004.90 -0.0295 1053.95 1010.75 -0.0419
5-Mar-07 999 962.55 -0.0372 991.2 961.3 -0.0306
6-Mar-07 999 988.05 -0.0110 977.9 994.2 0.0165
7-Mar-07 998 964.4 -0.0342 1003 960.75 -0.0430
8-Mar-07 989 999.3 0.0104 971.5 1005.7 0.0346
9-Mar-07 1,001.10 982.65 -0.0186 1008.65 989.7 -0.0190
12-Mar-07 990 974.2 -0.0161 993.95 979.65 -0.0145
13-Mar-07 979 980.4 0.0014 980 987.35 0.0075
14-Mar-07 960 948 -0.0126 961.2 948.85 -0.0129
15-Mar-07 955 922.1 -0.0351 959 924.55 -0.0366
16-Mar-07 925 913.6 -0.0124 932 915.1 -0.0183
19-Mar-07 924.8 926.5 0.0018 920 930.05 0.0109
20-Mar-07 930 952.35 0.0237 935.15 953.75 0.0197
21-Mar-07 955 982.95 0.0288 955 984 0.0299
22-Mar-07 992 1,029.40 0.0370 995.05 1033.9 0.0383
23-Mar-07 1,034.00 1,026.20 -0.0076 1030 1028.9 -0.0011
26-Mar-07 1,030.00 1,013.65 -0.0160 1039 1018.15 -0.0203
28-Mar-07 1,006.00 973.65 -0.0327 1006.15 975.05 -0.0314
29-Mar-07 974 985.65 0.0119 995 981.05 -0.0141
30-Mar-07 990.1 994.45 0.0044 1004 999.65 -0.0043

Annexure no. 20 Calculation of nominal return of TATAPOWER

SPOT MKT FUT MKT

DATE OPEN CLOSE NOM REN OPEN CLOSE NOM RTN
2-Jan-07 559 564.85 0.0104 563.25 566.05 0.0050
3-Jan-07 562.05 562.65 0.0011 568.55 563.9 -0.0082
4-Jan-07 570 559.7 -0.0182 564 559.3 -0.0084
5-Jan-07 562 560.1 -0.0034 560 557.05 -0.0053
8-Jan-07 564.2 561.8 -0.0043 555 556.55 0.0028
9-Jan-07 562 560.2 -0.0032 558 558.5 0.0009
10-Jan-07 562 557.55 -0.0079 556 550.5 -0.0099
11-Jan-07 556 567.15 0.0199 552.95 562.55 0.0172
12-Jan-07 572 579.05 0.0122 564.9 572.95 0.0141
15-Jan-07 582 582.75 0.0013 578 575.8 -0.0038
16-Jan-07 583 575.55 -0.0129 577 572.75 -0.0074
17-Jan-07 565 581.65 0.0290 577.4 575.1 -0.0040
18-Jan-07 588.4 578.05 -0.0177 572.5 575 0.0044
19-Jan-07 575.85 579.5 0.0063 578 571.85 -0.0107
22-Jan-07 580 589.45 0.0162 576 587.65 0.0200
23-Jan-07 600 599.85 -0.0003 589 595.05 0.0102
24-Jan-07 630 603.5 -0.0430 598 599.6 0.0027
25-Jan-07 615 615.3 0.0005 603.75 613.2 0.0155
29-Jan-07 640 611.95 -0.0448 609 605.85 -0.0052
31-Jan-07 605.85 605.45 -0.0007 605 596.3 -0.0145
1-Feb-07 591.15 593.55 0.0041 602 593.7 -0.0139
2-Feb-07 587 607.75 0.0347 595 603.9 0.0148
5-Feb-07 610 612.95 0.0048 606.4 607.55 0.0019
6-Feb-07 620 611.6 -0.0136 611.1 608.05 -0.0050
7-Feb-07 610 602.4 -0.0125 610.8 602.25 -0.0141
8-Feb-07 607.05 607.05 0.0000 608.5 606 -0.0041
9-Feb-07 608 600.2 -0.0129 605 597.65 -0.0122
12-Feb-07 606.15 602.35 -0.0063 595 593.65 -0.0023
13-Feb-07 601 603.7 0.0045 592 595.4 0.0057
14-Feb-07 612 611.2 -0.0013 582 606 0.0404

66
 15-Feb-07 620 608.3 -0.0191 614.5 604.85 -0.0158
19-Feb-07 615 610.65 -0.0071 607.9 608.85 0.0016
20-Feb-07 605 609.15 0.0068 610 607.25 -0.0045
21-Feb-07 608 601.65 -0.0105 608 603.1 -0.0081
22-Feb-07 591.1 595.9 0.0081 603.8 597.3 -0.0108
23-Feb-07 597 574.7 -0.0381 600 568.1 -0.0546
26-Feb-07 588 575.55 -0.0214 574 575.2 0.0021
27-Feb-07 580 554.85 -0.0443 489.9 555.7 0.1260
28-Feb-07 525 542.75 0.0333 496.2 529.1 0.0642
1-Mar-07 502.35 541.25 0.0746 534 528.4 -0.0105
2-Mar-07 535.1 529.55 -0.0104 533 505.85 -0.0523
5-Mar-07 510 508.55 -0.0028 490 487.4 -0.0053
6-Mar-07 510 492.5 -0.0349 497 485 -0.0244
7-Mar-07 515 498.75 -0.0321 488.5 479.65 -0.0183
8-Mar-07 500 522.55 0.0441 489.45 513.85 0.0486
9-Mar-07 524 510.25 -0.0266 516 503.25 -0.0250
12-Mar-07 518 513.25 -0.0092 503 507.05 0.0080
13-Mar-07 518 517.8 -0.0004 505 511.95 0.0137
14-Mar-07 500.1 515.5 0.0303 498 492.85 -0.0104
15-Mar-07 524 513.5 -0.0202 498.2 499.75 0.0031
16-Mar-07 510 508.65 -0.0027 500.05 487.15 -0.0261
19-Mar-07 510.05 506.2 -0.0076 492 502.9 0.0219
20-Mar-07 517.4 503.75 -0.0267 506.5 496.9 -0.0191
21-Mar-07 515 506.95 -0.0158 495.1 504.1 0.0180
22-Mar-07 519.9 515.45 -0.0086 509.7 516.05 0.0124
23-Mar-07 518.4 507.65 -0.0210 517 510.4 -0.0128
26-Mar-07 510 503.45 -0.0129 512.5 506.65 -0.0115
28-Mar-07 514.75 506.35 -0.0165 490.15 504.15 0.0282
29-Mar-07 526.55 510.65 -0.0307 510 511.15 0.0023
30-Mar-07 511 509.3 -0.0033 508 508.7 0.0014

Annexure no. 21 Calculation of nominal return of TATATEA

SPOT MKT FUT MKT

DATE OPEN CLOSE NOM RTN OPEN CLOSE NOM RTN
2-Jan-07 725 717.4 -0.011 729.95 724.55 -0.0074
3-Jan-07 724 716.4 -0.011 725.05 723.7 -0.0019
4-Jan-07 720 716.2 -0.005 725.5 719.45 -0.0084
5-Jan-07 710.1 722.85 0.018 721 725.25 0.0059
8-Jan-07 730 717.05 -0.018 725.25 719.45 -0.0080
9-Jan-07 710.4 725.95 0.022 721 730.55 0.0132
10-Jan-07 727.5 723.8 -0.005 728 723.2 -0.0066
11-Jan-07 725 724.05 -0.001 727 727.75 0.0010
12-Jan-07 729.85 726.9 -0.004 730.5 730.7 0.0003
15-Jan-07 734 728.95 -0.007 734 732.05 -0.0027
16-Jan-07 729 729.05 0.000 731.25 730 -0.0017
17-Jan-07 720.3 727.95 0.011 727.5 727.95 0.0006
18-Jan-07 729 729.9 0.001 729.5 729.5 0.0000
19-Jan-07 720.7 724.75 0.006 729.5 727.6 -0.0026
22-Jan-07 724.75 729.15 0.006 726 731.55 0.0076
23-Jan-07 710.3 725.3 0.021 730 727.6 -0.0033
24-Jan-07 718.05 728.75 0.015 732.95 727.2 -0.0079
25-Jan-07 722 716.75 -0.007 727 718.15 -0.0122
29-Jan-07 720 715.7 -0.006 726 723.45 -0.0035
31-Jan-07 715 713.55 -0.002 724.25 718.05 -0.0086
1-Feb-07 715.35 725.6 0.014 723 732.35 0.0128
2-Feb-07 732 722.25 -0.013 734.9 728 -0.0094
5-Feb-07 715.05 721.2 0.009 725.5 725.9 0.0006
6-Feb-07 714 715.4 0.002 655 719.4 0.0938
7-Feb-07 715 705.1 -0.014 719 710.25 -0.0122

67
 8-Feb-07 700.1 695.1 -0.007 704.75 697.3 -0.0106
9-Feb-07 698 682.95 -0.022 699 685.35 -0.0197
12-Feb-07 689.75 667.3 -0.033 682.5 667.85 -0.0217
13-Feb-07 661 678.3 0.026 662.15 678.95 0.0251
14-Feb-07 670 670.6 0.001 670 673.3 0.0049
15-Feb-07 684 676.05 -0.012 679 678.5 -0.0007
19-Feb-07 683 673.85 -0.013 682.9 676.85 -0.0089
20-Feb-07 672.9 664.95 -0.012 678.9 668.6 -0.0153
21-Feb-07 670 675.25 0.008 665 675.1 0.0151
22-Feb-07 677.5 658.25 -0.029 676.9 659.1 -0.0266
23-Feb-07 655 650 -0.008 670.2 655.7 -0.0219
26-Feb-07 650 656.85 0.010 645.1 660.65 0.0238
27-Feb-07 680 636.65 -0.066 663 642.05 -0.0321
28-Feb-07 616 618 0.003 555 616.85 0.1057
1-Mar-07 606.3 609.95 0.006 606 614.1 0.0133
2-Mar-07 605 597.1 -0.013 610.3 599.9 -0.0172
5-Mar-07 590 568.7 -0.037 590 563.5 -0.0460
6-Mar-07 575 575.5 0.001 580 573.6 -0.0111
7-Mar-07 572.25 572 0.000 579 569.2 -0.0171
8-Mar-07 567 587.35 0.035 590 590.95 0.0016
9-Mar-07 590 589.7 -0.001 591 592.3 0.0022
12-Mar-07 595 599.35 0.007 595 599.9 0.0082
13-Mar-07 599.35 614.55 0.025 599.6 613.65 0.0232
14-Mar-07 581 611.05 0.050 600 608.55 0.0141
15-Mar-07 615 617.6 0.004 618 617.2 -0.0013
16-Mar-07 615 605.9 -0.015 618.75 606.4 -0.0202
19-Mar-07 607 627.1 0.033 610.35 630.4 0.0323
20-Mar-07 632 632.1 0.000 640 633.35 -0.0104
21-Mar-07 633.25 629.8 -0.005 635 632.2 -0.0044
22-Mar-07 630.05 626.95 -0.005 636.9 629.75 -0.0113
23-Mar-07 646 625.95 -0.032 624.55 628.85 0.0069
26-Mar-07 621.35 622.75 0.002 628.85 623.55 -0.0085
28-Mar-07 597.85 615 0.028 620 617.55 -0.0040
29-Mar-07 610 600.75 -0.015 610 599.45 -0.0174
30-Mar-07 602 607.35 0.009 608.5 612.9 0.0072

Annexure no.22 Calculation of nominal return of VSNL

SPOT MKT FUT MKT

DATE OPEN CLOSE NOM REN OPEN CLOSE NOM RTN
2-Jan-07 430 444.65 0.0335 430.4 448.6 0.041
3-Jan-07 446.4 439.05 -0.0166 448.5 442.95 -0.012
4-Jan-07 441.7 437.35 -0.0099 446.8 439.1 -0.017
5-Jan-07 436 431.45 -0.0105 436.1 433.55 -0.006
8-Jan-07 431 436 0.0115 430 437.55 0.017
9-Jan-07 437.75 434.25 -0.0080 439.4 435.65 -0.009
10-Jan-07 431.25 421.75 -0.0223 430 421.85 -0.019
11-Jan-07 418.95 420.65 0.0040 417.85 423.6 0.014
12-Jan-07 429.7 436 0.0146 430 439.4 0.022
15-Jan-07 439 465.05 0.0576 442.7 465.55 0.050
16-Jan-07 466 473.55 0.0161 468.4 475.7 0.015
17-Jan-07 472.3 462.15 -0.0217 478 464.3 -0.029
18-Jan-07 463.8 478.25 0.0307 464 481.55 0.037
19-Jan-07 481.5 477 -0.0094 483.7 479.3 -0.009
22-Jan-07 483.4 489.25 0.0120 480.3 492.65 0.025
23-Jan-07 481.05 484.8 0.0078 495 485.9 -0.019
24-Jan-07 480.1 481.05 0.0020 484.95 482.25 -0.006
25-Jan-07 483 490.6 0.0156 487 489.05 0.004

68
29-Jan-07 491.1 483.15 -0.0163 495 486.15 -0.018
31-Jan-07 483.5 462.25 -0.0449 480.65 464.2 -0.035
1-Feb-07 471.65 475.45 0.0080 466.4 478 0.025
2-Feb-07 479.4 505.25 0.0525 481 508.9 0.056
5-Feb-07 508 506.95 -0.0021 509.9 508.4 -0.003
6-Feb-07 507.7 488.25 -0.0391 508 491.6 -0.033
7-Feb-07 479 502.5 0.0479 491 505.9 0.030
8-Feb-07 508 500.6 -0.0147 509.5 502.45 -0.014
9-Feb-07 497 490.05 -0.0141 504 490.4 -0.027
12-Feb-07 489.1 440.5 -0.1047 485.5 440.75 -0.097
13-Feb-07 440 412.3 -0.0650 434.7 413.9 -0.049
14-Feb-07 408.85 417 0.0197 410 419.65 0.023
15-Feb-07 423 428.2 0.0122 423 431.15 0.019
19-Feb-07 439 430.95 -0.0185 433 432.4 -0.001
20-Feb-07 432.95 428.3 -0.0108 433.05 427.9 -0.012
21-Feb-07 429 428.25 -0.0017 428.5 426.95 -0.004
22-Feb-07 435 410.75 -0.0574 427.95 413.3 -0.035
23-Feb-07 416 393.8 -0.0548 417 391.4 -0.063
26-Feb-07 396 393.35 -0.0067 399 396.35 -0.007
27-Feb-07 395.2 393.1 -0.0053 402 395.25 -0.017
28-Feb-07 370 365.8 -0.0114 366.3 367.35 0.003
1-Mar-07 378 379.9 0.0050 371 381.9 0.029
2-Mar-07 379.8 359.7 -0.0544 378.5 360.4 -0.049
5-Mar-07 336.6 355.05 0.0534 345 352.45 0.021
6-Mar-07 355 363.65 0.0241 358 364.2 0.017
7-Mar-07 371.4 359.55 -0.0324 369 354.05 -0.041
8-Mar-07 360 374.8 0.0403 357 374.55 0.048
9-Mar-07 375.35 371 -0.0117 378 368.45 -0.026
12-Mar-07 374 372.9 -0.0029 368.1 370 0.005
13-Mar-07 374.7 376.45 0.0047 371 372.2 0.003
14-Mar-07 365 365.3 0.0008 355 357.15 0.006
15-Mar-07 374 365.85 -0.0220 364.4 362.5 -0.005
16-Mar-07 369.05 369.45 0.0011 365.9 369.15 0.009
19-Mar-07 372 377.3 0.0141 371 378.55 0.020
20-Mar-07 381.4 377.65 -0.0099 380 375.85 -0.011
21-Mar-07 382.9 384.6 0.0044 376.35 385.5 0.024
22-Mar-07 389.4 423.85 0.0848 400 424.95 0.061
23-Mar-07 430 407.2 -0.0545 433.8 409.3 -0.058
26-Mar-07 409.7 403.4 -0.0155 410.5 404.9 -0.014
28-Mar-07 400 395.9 -0.0103 397.05 396.45 -0.002
29-Mar-07 398 402.35 0.0109 399.9 400.1 0.001
30-Mar-07 408 402.3 -0.0141 407.9 403.75 -0.010

69