A

COMPREHENSIVE PROJECT REPORT

ON

“AN ANALYTICAL STUDY ON THE VOLATILITY OF SECURITIES TRADED ON

BSE SENSEX”
Submitted to

SHREE R. R. TANTI INSTITUTE OF MANAGEMENT,

ANKLESHWAR

IN PARTIAL FULFILLMENT OF THE

REQUIREMENT OF THE AWARD FOR THE DEGREE OF

MASTER OF BUSINESS ADMINISTRATION

Under

Gujarat Technological University

UNDER THE GUIDANCE OF

MR.JAYDIP DESAI
Submitted by

SAGAR PAREKH MANISH GOLE

M.B.A-SEMESTER III/IV

SHREE R. R. TANTI INSTITUTE OF MANAGEMENT,

ANKLESHWAR
M.B.A-PROGRAMME

Affiliated to Gujarat Technological University

Ahmadabad

December 2011-12

1
 DECLARATION

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

PLACE:

DATE: SAGAR
PAREKH

MANISH GOLE

2
 INSTITUTIONAL CERTIFICATE

PREFACE

MBA is a stepping-stone to the management carrier and to develop good

manager it is necessary that the theoretical must be supplemented with exposure
to the real environment. Theoretical knowledge just provides the base and it‘s not
sufficient to produce a good manager that‘s why practical knowledge is needed.

3
The Professional training is the internal part of a MBA Program. It helps the
students understand practical aspects of Business Management in a better way
as a part of our MBA program at “Shree r.r.tanti institute of management”.

We were required to undertake a detailed study of the “AN ANALYTICAL STUDY

ON THE VOLATILITY OF SECURITIES TRADED ON BSE SENSEX”using
different statistical functions such as beta, Correlation, variance, standard deviation

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

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

ACKNOWLEDGEMENT

Learning is a delightful experience and in the ocean of knowledge you can

acquire limitless understanding through your craving for it. And in our craving to
know more, it has been memorizing extravagance of memorable experience. At

4
this enlightening moment of completion of our project, we feel obliged to record
my heartfelt and deep gratitude to those who have helped me.

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

We are extremely indebted to our project mentor Mr.Jaydip Desai (Director

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

Words are insufficient to express our gratitude towards Miss.Bhumika Bhatt

(professor -finance) for their immense help and invaluable guidance in
conduction of this study from its conception to its completion.

TABLE OF CONTENT

Sr. no. Particulars Page

No.
Chapter General Information 8
1
1.1 Overview of World Market 8

5
 1.2 Overview of Indian Capital market 9
1.3 Growth of the Stock Market 13
Chapter 2 About major industry 14
Chapter 3 Introduction of study
18
3.1 Literature Review
18
3.2 Background of the study
21
3.3 Problem Statement
24
3.4 Objective of the Study
25
Chapter 4 Research Methodology
26
4.1 Research Design
26
4.2 Sources of Data
26
4.3 Population
26
4.4 Statistical tool
27

Chapter 5 PROFILE OF THE INDUSTRY AND COMPANY

5.1 INDUSTRY PROFILE 29

5.2 COMPANY PROFILES 31

Chapter 6 DATA ANALYSIS AND INTERPRETATION 38

Chapter 7 Findings 74
Chapter 8 Conclusion 76
Chapter 9 Suggestion and recommendation 77
BIBILOGRAPHY 79

LIST OF TABLES
Sr.no. TOPIC PAGE NO
1 Volatility of BHEL (Capital Goods) return
2 Volatility of ACC LTD. | (Housing related)
3 Volatility of Bharti Airtel (Telecom) return

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 4 Volatility of Grasim Industries ( Diversified) return
5 Volatility of HDFC Bank | Finance. Return
6 Volatility of Hindalco Industries | Metal, Metal
Products & Mining.. Return
7 Volatility of Hindustan Uni Lever | FMCG. Return

8 Volatility of Mahindra and Mahindra | Transport

Equipments Return
10 Volatility of NTPC | Power |Return

11 Volatility of Larsen & Toubro | Capital Goods Return

12 Volatility of Reliance Industries | Oil & GasReturn

13 Volatility of State Bank of India | Finance Return

14 Volatility of Ranbaxy Laboratories | Healthcare

15 Volatility of TCS | Information Technology

16 Volatility of ONGC | Oil and Gas

EXECUTIVE SUMMARY

Master of Business Administration student is a matter of pride because we are in a

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

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In this topic our objective is to find out how we can make investment by analysis
of the bse sensex for only top traded 30 scrips which I selected 15 for analysis.

Volatility of securities price has important implications for firm’s investment and
financial decisions, valuations and investors sentiments. Price volatility of
securities has consequence for firm’s decisions on how much capital to issue,
type of instrument to be used when to use. Further high price volatility provides
opportunities for expropriations between various market players.

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

CHAPTER 1

1.1 Overview of World Market

Global Market Economy – Current Scenario

During last one-decade capital markets around the globe witnessed a series of
developments in terms of its movements, volatility and capitalization. Despite the
bearishness in the first half of 2003 due to war on terrorism, epidemic outbreaks,
and economic sluggishness, the markets in the advanced economies received
substantial benefits in terms of rise in Gross Domestic Product (GDP). For
example, in high-Income Countries, the market capitalization as a percentage of

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GDP was as high as 103.9%, where as in low-income countries it was at 18.3%
(For India, it was 23.1% as against the world‘s percentage at 90.7). A number of
initiatives undertaken to attract cross border Investments through liberalized
trade policies globalised economic reforms, portfolio investments ranging from
24% to 100% of the paid-up capital with repatriation facility in certain cases were
the prime factors of Asia now being in focus in the capital market. At present the
Foreign Institutional Investors (FIIs) are concentrating in the emerging markets
due to the fact that the rate of return on investment as well inflation rate in the
emerging economies are slightly higher than the market to which they belong. 

World Trade

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

World stock market & Bullion Market

The sharp fall of US dollar as against the Euro, Sterling and yen have brought
worries to the international investors in the US market and therefore there was
lesser demand for US securities. This situation made US to start investing
elsewhere in the global market. As a result the Asian countries received
substantial increase in the foreign exchange reserves. The evolution of Euro
currency due to the coordinate efforts of member countries set a classic example
of how common currency can stabilize the economic growth. In the bullion

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market, Gold is now commanding at its very high in its 13 years not track record
and other metals like silver and platinum are showing an upward trend.

1.2 Overview of Indian Capital market

Meaning of Capital Market

Capital Market may be defined as a market dealing in medium and longterm

funds. It is an institutional arrangement for borrowing medium and long-term
funds and which provides facilities for marketing and trading of securities. So it
constitutes all long-term borrowings from banks and financial institutions,
borrowings from foreign markets and raising of capital by issue various securities
such as shares debentures, bonds, etc. The market where securities are traded
known as Securities market. It consists of two different segments namely primary
and secondary market. The primary market deals with new or fresh issue of
securities and is, therefore, also known as new issue market; Whereas the
secondary market provides a place for purchase and sale of existing securities
and is often termed as stock market or stock exchange.

1) PRIMARY MARKET

The Primary Market consists of arrangements, which facilitate the procurement of

long term funds by companies by making fresh issue of shares and debentures.
You know that companies make fresh issue of shares and/or debentures at their
formation stage and, if necessary, subsequently for the expansion of business. It

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is usually done through private placement to friends, relatives and financial
institutions or by making public issue

2) SECONDARY MARKET

The secondary market known as stock market or stock exchange plays an

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

History of Indian Capital Markets

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

11
the stock market on account of the American war and the battles in Europe. Sir
Premchand Roychand remained a kingpin for many years.

Sir Phiroze Jeejeebhoy was another who dominated the stock market nscene
from 1946 to 1980. His word was law and he had a great deal of influence over
both brokers and the government. The planning process started in India in 1951,
with importance being given to the formation of institutions and markets. The
Securities Contract Regulation Act 1956 became the parent regulation after the
Indian Contract Act 1872, a basic law to be followed by security markets in India.
To regulate the issue of share prices, the stock markets have had many turbulent
times in the last 140 years of their existence. The imposition of wealth and
expenditure tax in 1957 by Mr. T.T.Krishnamachari, the then finance minister, led
to a huge fall in the markets. The dividend freeze and tax on bonus issues in
1958-59 also had a negative impact. War with China in 1962 was another
memorably bad year, with the resultant shortages increasing prices all round.
This led to a ban on forward trading in commodity markets in 1966, which was
again a very bad period, together with the introduction of the Gold Control Act in
1963. The markets have witnessed several golden times too. Retail investors
began participating in the stock markets in a small way with the dilution of the
FERA in 1978. Multinational companies, with operations in India, were forced to
reduce foreign share holding to below a certain percentage, which led to a
compulsory sale of shares or issuance of fresh stock. There was no free pricing
and their formula was very conservative. The next big boom and mass
participation by retail investors happened in 1980, with the entry of Mr. Dhirubhai
Ambani.Dhirubhai can be said to be the Father of modern capital markets. The
Reliance public issue and subsequent issues on various Reliance companies
generated huge interest. The general public was so unfamiliar with share
certificates that Dhirubhai is rumored to have distributed them to educate people.
Mr. V.P.Singh’s fiscal budget in 1984 was path breaking for it started the era of
liberalization.

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

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

1.3 Growth of the Stock Market

Despite the international disturbances like Iraq war, SARS, Bird flu in Asia,
terrorism threats and other natural calamities, capital market has shown steady
growth in 2003. There was an increased demand for the Asian equities. The
favorable liquidity conditions and macro environment factors accelerated further
growth in Asian markets. Indian sensex rose to 80% outperforming all the major
global indices. European markets have also shown remarkable progress.
Currently factors are encouraging FIIs to think about the investment proposals in
other countries. Another interesting factor in the global scenario is that the cross
border capital flow is largely flowing from FII‘s in the private sectors as compared
to public sectors of developing economies. There are few countries in the world,

13
which received mhigher turnover-ratio than India. The FII‘s investment in India as
on June 2003 was at US $ 17.39 billion with 509 registered FII‘s. India stood 19 th
place in terms of capitalization . In terms of turnover-ratio, India ranked 7 th in
position. Emerging Economies: The year 2003 was the year for emerging
economies. These economies undertook a number of initiatives in relation to their
fiscal and economic policies, which have contributed, substantially to the stability
of the world economy. The current fiscal year 2004 is a year of prospects and
promises for higher economic growth and fruitful activity in the capital market.
Lower exchange reserves and it has been predicted that the largest economies
in 2050 would be China, India, Russia and Japan. China showed strong growth
of indication with a real GDP at 8.7%. It has a market capitalization of 220 billion
dollars Nearly 20 out of 25 emerging country economies stock prices rose by
25% and amongst eight countries it was more than 75%. Further, currencies of
these countries appreciated against the US dollar.

CHAPTER 2: About major industry

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

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  FINANCIAL INSTITUTION
 CIGARETTES
 STEEL AND STEEL PRODUCTS

CHAPTER 3: Introduction of study

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

Factors responsible for price fluctuations

In a securities market, prices or returns show fluctuations for a variety of

reasons: changes in fundamental factors of firms, like, investors endowments,
tastes or alternatively the attitudes towards risk, correct or incorrect anticipations
or expectations of investor and other market participants, differences in
information and mode of evaluation, transient imbalances between demand for

15
and supply of securities, and the nature and number of stabilizing forces, among
others, cause prices to fluctuate either from one point of equilibrium to another or
above and below an equilibrium point.

The changes in fundamental factors cause prices or returns to shift from

one point of equilibrium to another. For instance, information regarding changes
in the economy, changes in policies, including industrial policy, as also the
political situation, and the social situation, influence the over all price behavior of
a market.

Apart from fundamental factors, the transitory imbalances between supply

of and demand for securities may also cause price fluctuations. For instance, in
the absence of stabilizing forces, excess supply (demand) of securities in the
short- run causes the price to fall (rise). In the presence of stabilizing forces, such
as traditional speculators and value based investors, the extent of fluctuations
tend to be small, as these stabilizing forces act as buyers (sellers), when there is
excess of supply (demand), thus, arresting the magnitude of a fall (rise) in the
price. However, the stabilizing forces may not completely mitigate the price
change; as such acts may not bestow any benefit on them. These forces require
a minimum extent of price change in order to undertake the act of stabilization of
prices, which would give them scope to earn a responsible reward.

The expectations and foresight of investors as well as speculators

determine the magnitude of price fluctuations to a large extent. If market
participants anticipate changes.

In either fundamental factors or technical factors correctly, and if the

change or anticipated change comes about gradually, the prices move in a
smooth fashion from one point of equilibrium to another. On the contrary, when
the anticipations prove to be either too optimistic or too pessimistic, or the
changes in these factors or anticipations about them, undergo a sudden change,

16
the prices move erratically, rather than move in a smooth fashion resulting in
greater price fluctuations.

The numbers of speculations in relation to other traders also influences

the extent of fluctuations. The traditional role of a speculator is to act as a buyer
when there is excess supply and as a seller when there is excess demand.

Changes in fundamental and other factors as well as correct or incorrect

anticipations also determine the short- term and the long- term price changes. If
the changes takes place gradually and anticipations prove to be correct, the
short-term fluctuations tend to be similar in magnitude as that of average long-
term fluctuations, as in this case, the short-term fluctuations or price changes
tend to be one direction, which add up to determine long- term fluctuations. On
the contrary, if the anticipations are not correct, irrespective of mode of arrival of
information- whether gradual or not gradual the average long-term fluctuations
tend to be smaller than the short-term fluctuations.

It is clear that the fluctuation of prices or price volatility is influenced by the

arrival of information- gradual or otherwise- and the correct or incorrect
anticipation of market participants. Further, the role played by speculators either
corrects the situation by minimizing the extent of fluctuations, or further
accentuates fluctuations and thereby destabilizes prices.

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 3.1 Literature Review

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

A similar conclusion was found by Reinganum (1983), however, he was of the

view that the entireseasonality in stock returns cannot be explained by tax-loss-
selling hypothesis. Gultekin andGultekin (1983) examined the presence of stock
market seasonality in sixteen industrial countries. Their evidence shows strong
seasonality’s in the stock market due to January returns, which is exceptionally

18
large in fifteen of sixteen countries. Brown et al. (1985) studied the Australian
stock market seasonality and found the evidence of December-January and July-
August seasonal effects, with the latter due to a June-July tax year. However, Raj
and Thurston(1994) found that the January and April effects are not statistically
significant in the NZ stock market. Mill and Coutts (1995) studied calendar effect
in FTSE 100, Mid 250 and 350 indices for the period 1986 and 1992. They found
calendar effect in FTSE 100. Ramcharan (1997),however, didn’t find seasonal
effect in stock returns of Jamaica. Choudhary (2001) reported January effect on
the UK and US returns but not in German returns. Fountas and
Segredakis(2002) studied 18 markets and reported seasonal patterns in returns.
The reasons for the January effect in stock returns in most of the developed
countries such as US, and UK attributed to the tax loss selling hypothesis,
settlement procedures, insider trading information. Another effect is window
dressing which is related to institutional trading. To avoid reporting to many losers
in their portfolios at the end of year, institutional investors tend to sell losers in
Decembers. They buy these stocks after the reporting date in January to hold
their desired portfolio structure again. Researchers have also reported half-
month effect in literature. Various studies have reported that daily stock returns in
first half of month are relatively higher than last half of the month. Ariel(1987)
conducted a study using US market indices from 1963 to 1981 to show this
effect. Aggarwal and Tandon (1994) found in their study such effect in other
international markets. Ziemba (1991) found that returns were consistently higher
on first and last four days of the month.

The holiday effect refers to higher returns around holidays, mainly in the pre-
holiday period as compared to returns of the normal trading days. Lakonishok
and Smidt (1988) studied DowJones Industrial Average and reported that half of
the positive returns occur during the 10 preholiday trading days in each year.
Ariel (1990) showed using US stock market that more than Exponential GARCH
(EGARCH) model was first developed by Nelson in 1991. The main purpose of

19
EGARCH model is to explain the asymmetrical response of the market under the
positive and negative shocks.

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

Smirlock and Starks (1986) reported similar results. Jaffe and Westerfield (1989)
studied day of the week effect on four international stock markets viz. U.K.,
Japan, Canada and Australia. They found that lowest returns occurred on
Monday in the UK and Canada. However, in Japanese and Australian market,
they found lowest return occurred on Tuesday. Brooks and Persand (2001)
studied the five southeast Asian stock markets namely Taiwan, South Korea, The
Philippines ,Malaysia and Thailand. The sample period was from 1989 to 1996.
They found that neither South Korea nor the Philippines has significant calendar
effects. However, Malaysia and Thailand showed significant positive return on
Monday and significant negative return on Tuesday. Ajayi& al. (2004) examined
eleven major stock market indices on Eastern Europe using data from 1990 to
2002. They found negative return on Monday in six stock markets and positive
return on Monday in rest of them. Pandey (2002) reported the existence of
seasonal effect in monthly stock returns of BSE Sensex in India and confirmed
the January effect. Bodla and Jindal (2006) studied Indian and US market and
found evidence of seasonality. Kumari and Mahendra (2006) studied the day of
the week effect using data from 1979 to 1998 on BSE and

20
NSE. They reported negative returns on Tuesday in the Indian stock market.
Moreover, they found returns on Monday were higher compared to the returns of
other days in BSE and NSE.Choudhary and Choudhary (2008) studied 20 stock
markets of the world using parametric as well as non-parametric tests. He
reported that out of twenty, eighteen markets showed significant positive return
on various day other than Monday. The scope of the study is restricted to days
of- the week effect, weekend effect and monthly effect in stock returns of S&P
CNX Nifty and select firms. The half month effect and holiday effect are not
studied here.

3.2 Background of the study

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

 Types of volatility

We can review volatility in three contexts:

 Historical volatility

 Implied volatility

 Projected volatility

Historical volatility

21
 It refers to the movements, which have been observed in a particular stock

price or index over a given period of time. The volatility can be measured by

using the past data on prices (or indices) and expressed by manner of the Beta,

and Coefficient Correlation. For this purpose, daily, monthly data may be taken.

Thus, we may determine volatility for any set of data and compare the

historical data with the prevailing conditions.

Implied volatility

Implied volatility is a key variable required for determining premium on

option. While the entire input variable for a model like that of Black and Scholes
can be easily observed, the standard deviation of the instantaneous rate of return
on the stock can’t be observed. We may estimate its values from historical data,
but there is a second way in which its value can be inferred.

Projected volatility

This refer to the estimate of future volatility on the basis of past volatility,

current market analysis and perception of the investor. All trading in options is in

a large measure, on the basis of projected volatility.

Statistical Tools used for calculation of volatility

 Beta

22
 Beta measures the non diversifiable risk. Beta shows how the price of a
security responds to market forces. In effect, the more responsive the price of a
security is to changes in the market, the higher will be its Beta. Beta is calculated
by relating the returns on a security with the return for the market. It can be
positive or negative.

Beta for each stock calculated using daily opening and closing share price
each company and corresponding daily Bombay Stock Exchange Sensex. First,
rate of returns of companies and Bombay Stock Exchange Sensex are
calculated. The calculation as follows:

Rate of Return = share price in the closing – share price at the

opening

Share price in the opening

Computation of Beta:

β = N  XY    X    Y 

N X   X 
2 2

 Standard Deviation

This is the most commonly used measure of risk in fiancé. Its

square also is widely used to find out the risk associated with a security.

  Ri  R 
n
2
Computation of Variance =
i 1

23
 n 1

Standard Deviation = 2

 Coefficient of Correlation

Coefficient of Correlation is a statistical technique, which measures the

degree or extent to which two or more variables fluctuate with reference to one
another. Correlation analysis helps in determining the degree of relationship
between two variables but correlation does not always imply cause and effect
relationship

The Coefficient of Correlation is essentially the covariance taken not as an

absolute value but relative to the standard deviations of the individual securities.
It indicates, in effect, how much x and y vary together as a proportion of their
combined individual variations, measured by SD of x multiplied by SD of Y

           
Coefficient of Correlation =
          
2 2 2
   
2 1/ 2

3.3 Problem Statement

The Indians securities market has always witnessed fluctuations, The

study attempts identify the volatility of securities listed in Bombay Stock
Exchange with special reference to 15 Sensex stocks from 30 scrips.

Moreover this study helps the potential investors make better investment
decision based on calculated beta of 15 shares from 30 listed in Bombay Stock
Exchange (BSE) Sensex

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 Need and importance of study

The stock market in India existed for a well over a century. Now its
importance in the mobilization, allocation and efficient use of scarce investment
recourses has not been recognized until the last decade. During the last decade
both secondary and primary markets have witnessed phenomenal qualitative and
quantitative developments. One of the important characteristics of well
functioning stock market is the stability of prices of securities traded on it, which
is price volatility.

Volatility of security price has important implications for firm’s investment

and financial decisions, valuations and investors sentiments. Price volatility of
securities has consequence for firm’s decisions on how much capital to issue,
type of instrument to be used when to use. Further high price volatility provides
opportunities for expropriations between various market players.

There for the study of volatility of security is very important contextual as

well. Hence analytical study of volatility of securities traded on Bombay Stock
Exchange is the topic of this project.

3.4 Objective of the Study

To study the volatility of securities listed in the Bombay Stock Exchange

(BSE).

To analyze the present trend (Buying/Selling) of the company

To suggest better investment decision based on calculated statistical tools

of fifteen companies.

25
 To capture the trends, similarities and patterns in the activities and
movements of the Indian Stock Market.

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

of beta.

CHAPTER 4: Research Methodology

4.1 Research Design

Methodology

 It covers the type of research used in this dissertation, sample size

chosen, sample description, data collection. Each will be described
separately under the following headings.

4.2 Sample size

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

26
 4.3 Sample technique

 The current study requires no sampling techniques. All the fifteen

companies in the Bombay Stock Exchange Sensex which appear from
October to December (2011) which consisting of 60 days observations are
selected

4.4 Sample description

 Table 1. LIST OF 30 COMPANIES IN SENSEX

CODE NAME SECTOR

500103 Bharat Heavy Electricals Ltd. Capital Goods
500510 Larsen & Toubro Limited Capital Goods
500010 HDFC Finance
500180 HDFC Bank Ltd. Finance
532174 ICICI Bank Ltd. Finance
500112 State Bank of India Finance
500696 Hindustan Unilever Ltd. FMCG
500875 ITC Ltd. FMCG
500087 Cipla Ltd. Healthcare
532868 DLF Ltd. Housing Related
532532 Jaiprakash Associates Ltd. Housing Related
500209 Infosys Technologies Ltd. Information Technology
532540 Tata Consultancy Services Limited Information Technology
507685 Wipro Ltd. Information Technology
500440 Hindalco Industries Ltd. Metal, Metal Products & Mining

27
 532286 Jindal Steel & Power Ltd. Metal, Metal Products & Mining
500900 Sterlite Industries (India) Ltd. Metal, Metal Products & Mining
500470 Tata Steel Ltd. Metal, Metal Products & Mining
500312 ONGC Ltd. Oil & Gas
500325 Reliance Industries Ltd. Oil & Gas
532555 NTPC Ltd. Power
500390 Reliance Infrastructure Ltd. Power
500400 Tata Power Company Ltd. Power
532454 Bharti Airtel Ltd. Telecom
532712 Reliance Communications Limited Telecom
532977 Bajaj Auto Limited Transport Equipments
500182 Hero Honda Motors Ltd. Transport Equipments
500520 Mahindra & Mahindra Ltd. Transport Equipments
532500 Maruti Suzuki India Ltd. Transport Equipments
500570 Tata Motors Ltd. Transport Equipments

Actual collection of data

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

Techniques used for data analysis

 Basically whole data analysis has been performed using spreadsheet

in Excel by using different statistical functions inbuilt in Excel. The
following statistical functions have been employed during the data
analysis.

 Correlation: Calculates the coefficient of correlation between

Market Return and companies’ return and
companies’return.
 Sigma: Calculates the summation of data.
 Standard Deviation: Calculates the standard deviation that
28
 Measures the risk of an asset from the
Expected value of return.

 Beta : The whole market is assigned a beta of 1.

Stocks that have a beta greater than 1 have
greater price volatility than the overall market
And are considered to have greater risk.

Stocks with a beta less than 1 have less price

Volatility than the market as a whole and are
Considered to have less risk.

CHAPTER 5

PROFILE OF THE INDUSTRY AND COMPANY

5.1INDUSTRY PROFILE

The BSE Sensex or Bombay Stock Exchange Sensitive Index is a value-

weighted index composed of 30 stocks with the base April 1979. It consists of the
30 largest and most actively traded stocks, representative of various sectors, on
the Bombay Stock Exchange. These companies account for around one-fifth of
the market capitalization of the BSE.

The base value of the Sensex is 100 on April 1, 1979 and the base year of BSE-
SENSEX is 1978-79. At irregular intervals, the Bombay Stock Exchange
authorities review and modify its composition to make sure it reflects current
market conditions.

29
The abbreviated form "Sensex" was coined by Deepak Mohoni around 1990
while writing market analysis columns for some of the business newspapers and
magazines. It gained popularity over the next year or two.

The software industry comprises of businesses involved in the development,

maintenance and publication of computer software. The software industry started
in the mid-1970s at the time of the personal computer revolution. The industry
also includes software services, such as training and consultancy. The largest
and most profitable of software companies are located in the United States. As of
2006, the software industry is dominated by Microsoft. Software Magazine's 500
list in 2005 shows the total amount of revenue brought in by software companies
per locale, with the highest being California due to Silicon Valley and the amount
of Fortune 500 software companies residing in that area.

There are mainly two types of businesses in the software industry; those
developing proprietary software such as Microsoft, and those developing open
source software. Developing proprietary software is costly and involves software
licensing and the need to protect the software from cracking and piracy.

A pharmaceutical company, or drug company, is a commercial business licensed

to research, develop, market and/or distribute drugs, most commonly in the
context of healthcare. They can deal in generic and/or brand medications. They
are subject to a variety of laws and regulations regarding the patenting, Testing
and marketing of drugs, particularly prescription drugs. From its beginnings at the
start of the 19th Century, the pharmaceutical industry is now one of the most
successful and influential, attracting both praise and controversy

The oil industry operates on the petroleum market. Petroleum is vital to nearly all
other industries, if not industrialized civilization itself, and thus is critical concern
to many nations. Oil accounts for a large percentage of the world’s energy
consumption, ranging from a low of 32% for Europe and Asia, up to a high of
53% for the Middle East. Other geographic regions’ consumption patterns are as
follows: South and Central America (44%), Africa (41%), and North America
(40%). The world at large consumes 30 billion barrels (4.8 km) of oil per year,

30
and the top oil consumers largely consist of developed nations. In fact, 24% of
the oil consumed in 2004 went to the United States alone.

A public utility is a company that maintains the infrastructure for a public service
(often also providing a service using that infrastructure). Public utilities often
involve natural monopolies, and as a result are often government monopolies, or
if privately owned, treated as specially regulated sectors.

The manufacturing industry includes those economic sectors that create a

finished, usable product: manufacturing and construction. This sector of industry
generally takes the output of the primary sector and manufactures finished goods
or products to a point where they are suitable for use by other businesses, for
export, or sale to domestic consumers. This sector is often divided into light
industry and heavy industry. Many of these industries consume large quantities
of energy and require factories and machinery to convert the raw materials into
goods and products. They also produce waste materials and waste heat that may
pose environmental problems or cause pollution.

5.2 COMPANY PROFILES

The Associated Cement Companies Limited, an Indian company in

cement manufacturing business. Its registered office is called Cement House. It
is located on Maharishi Karve Road, Mumbai. It is a blue chip company. The
stock price of this company contributes in calculating BSE Sensex

The management control of the company was taken over by Swiss

cement major Holcim in 2004. On 1st September 2006 the name of The
Associated Cement Companies Limited was changed to ACC Limited. The
company is the only cement company to get the Super brand status in India

Bharti Airtel, formerly known as Bharti Tele-Ventures Limited (BTVL) is

among India's largest mobile phone and Fixed Network operators. With more
31
than 28.6 million subscriptions as of September 2006, the company is one of the
world's fastest growing telecom companies. It offers its mobile services under the
Airtel brand and is headed by Sunil Mittal, India's sixth richest men with a total
worth of US$6.9 billion. The company is the only operator to provide mobile
services in all the 23 circles in India. The company also provides telephone
services and Internet access over DSL in 14 circles. The company complements
its mobile, broadband & telephone services with national and international long
distance services.

BHEL or Bharat Heavy Electricals Limited is a Gas and Steam turbine

manufacturer in India. It is one of the nine large Public Sector Undertakings
known as navratnas or 'nine jewels'. Some of its manufacturing units are located
in Bhopal (Madhya Pradesh), Haridwar (UttarKhand), Hyderabad (Andhra
Pradesh), Trichi andRanipet (Tamil Nadu) and Bangalore (Karnataka). BHEL is a
key player in power sector through erection, commissioning and servicing of
power plants all over the world

Grasim industries limited, a flagship company of the Aditya Birla Group,

ranks among India's largest private sector companies, with consolidated net
revenues of Rs 102 billion (FY2006). Starting as a textiles manufacturer in 1948,
today Grasim's businesses comprise Viscose Staple Fibre (VSF), Cement,
Sponge Iron, Chemicals and Textiles — in all of which the company holds a
dominant position.

In July 2004, Grasim acquired a majority stake and management control in

UltraTech Cement Limited, the de-merged cement business of Larsen & Toubro
Limited (L&T). One of the largest of its kind, in the cement sector, this acquisition
catapulted the Aditya Birla Group at the top of the league in India. The Group's
combined capacity stands raised to 31 million tpa, of which 17.0 million tpa
capacity comes from UltraTech and 1.1 million tpa from Shree Digvijay Cement
Co. Ltd, another subsidiary of Grasim.

Ambuja Cements was set up in 1986. In the last decade the company
has grown tenfold. The total cement capacity of the company is 16 million

32
tonnes. Its plants are some of the most efficient in the world. With environment
protection measures that are on par with the finest in the developed world. The
company's most distinctive attribute, however, is its approach to the business.
Ambuja follows a unique homegrown philosophy of giving people the authority to
set their own targets, and the freedom to achieve their goals. This simple vision
has created an environment where there are no limits to excellence, no limits to
efficiency. And has proved to be a powerful engine of growth for the company. As
a result, Ambuja is the most profitable cement company in India, and the lowest
cost producer of cement in the world

HDFC or Housing Development Finance Corporation Limited, was

incorporated in 1977 with the primary objective of meeting a social need – that of
promoting home ownership by providing long-term finance to households for their
housing needs. HDFC was promoted with an initial share capital of Rs. 100
million.

Hindalco industries, Hindalco Industries Limited, a flagship company of

the Aditya Birla Group, is structured into two strategic businesses — Aluminium
and Copper — and is an industry leader in both. A non-ferrous metals
powerhouse with a turnover of Rs.11,396 crore (FY06), Hindalco's integrated
operations and operating efficiency have positioned the company as Asia's
largest integrated primary producer of aluminium and among the most cost
efficient producers globally. Its copper smelter is today the world's largest custom
smelter at a single location.

Established in 1958, Hindalco commissioned its aluminium facility at

Renukoot in eastern U.P. in 1962 and has today grown to become the country's
largest integrated aluminium producer and ranks among the top quartile of low
cost producers in the world.

With a strategic intent to achieve vertical integration in the copper

business, Hindalco acquired two captive copper mines in Australia — Nifty and
Mt. Gordon through Aditya Birla Minerals Limited

33
Hindustan Unilever Limited, erstwhile Hindustan Lever Limited (also called
HLL), headquartered in Mumbai, is India's largest consumer products company,
formed in 1933 as Lever Brothers India Limited. Its 41,000 employees are
headed by Mr.Harish

Manwani, the non-executive chairman of the board. HLL is the market

leader in Indian products such as tea, soaps, detergents, as its products have
become daily household name in India. The Anglo-Dutch company Unilever
owns a majority stake in Hindustan Lever Limited.

Recently in February 2007, the company has been renamed to "Hindustan

Unilever Limited" to provide the optimum balance between maintaining the
heritage of the Company and the future benefits and synergies of global
alignment with the corporate name of "Unilever". This decision will be put to the
Shareholdrs for approval in next "Annual General Meeting

Larsen & Toubro Limited is India's largest engineering and construction

conglomerate, with diverse interests such as Construction,hydraulic equipments,
power services electrical and electronics, fertilizer projects,medical electronics
and information technology. It generates almost 85% of its revenue from the
construction business. Founded in 1938, the company is currently headquartered
in Mumbai, India. A strong, customer-focussed approach and the constant quest
for top-class quality have enabled the Company to attain and sustain leadership
position for over six decades

L&T has made spectacular achievements in Indian industry. Many of the

engineering projects executed by L&T have set new benchmarks in terms of
scale, sophistication and speed. So do many buildings, highways, bridges and
civil structures around the country which are widely regarded as landmarks

Maruti Udyog Ltd is one of India's leading automobile manufacturers and

the market leader in the car segment, both in terms of volume of vehicles sold
and revenue earned. Untill recently, 18.28% of the company was owned by the
government, and 54.2% by Suzuki of Japan. The Indian government held an
Initial Public Offering of 25% of the company in June of 2003. As of May 10,

34
2007, govt. of India sold its complete share to other financial institutions. With
this, govt. of India no longer has any stake in Maruti Udyog.

Maruti Udyog Limited (MUL) was established in February 1981, though

the actual production commenced in 1983. Through 2004, Maruti has produced
over 5 Million vehicles. Marutis are sold in India and various several other
countries, depending upon export orders. Cars similar to Marutis (but not
manufactured by Maruti Udyog) are sold by Suzuki in Pakistan and other South
Asian countries.

The company annually exports more than 30,000 cars and has an extremely
large domestic market in India selling over five hundred thousand cars annually.
Maruti 800, till 2004, was the India's largest selling compact car ever since it was
launched in 1983.

More than a million units of this car have been sold worldwide so far.
Currently, Maruti Alto tops the sales charts.

National Thermal Power Corporation is the largest power generation

company in India. The Forbes Global 2000 ranking for 2005 ranks it as the 5th
leading company in India and the 486th leading company in the world. It is a
public listed (Bombay Stock Exchange) Indian public sector company, with
majority shares owned by the Government of India. At present, Government of
India holds 89.5% of the total equity shares of the company and the balance
10.5% is held by FIIs, Domestic Banks, Public and others. NTPC ranks amongst
the top five companies, in terms of market capitalisation

NTPC's core business is engineering, construction and operation of power

generating plants and also providing consultancy to power utilities in India and
abroad. As on date the installed capacity of NTPC is 26, 404 MW through its 14
coal based, 7 gas based and 4 Joint Venture Projects.

NTPC’s share on 31 Mar 2006 in the total installed capacity of the country
was 19.51% and it contributed 27.68% of the total power generation of the
country during 2005-06. Thus, every fourth home in India is enlightened by

35
NTPC. A total of 170.88 BUs of electricity was produced across all the stations of
the company in the financial year 2005-2006. The Net Profit after Tax on March
31, 2006 was INR 58, 202 million. Net Profit after Tax for the quarter ended June
30, 2006 was INR 15528 million, which is 18.65% more than the same quarter in
the previous financial year (2004-2005) where the profit was INR 13087 million

Oil and Natural Gas Corporation Limited (ONGC) (incorporated on

June 23, 1993) is a public sector petroleum company based in Dehradun, India.
It is a Fortune Global 500 company, and contributes 77% of India's crude oil
production and 81 % of India's natural gas production. It is the highest profit
making corporation in India. It was set up as a commission on August 14, 1956.
Indian government holds 74.14% equity stake in this company.

ONGC is engaged in exploration and production activities. It is involved in

exploring and exploiting hydrocarbons in 26 sedimentary basins of India. It
produces about 30% of India's crude oil. It owns and operates more than 11,000
kilometers of pipelines in India. Until recently it was the largest company in terms
of market cap in india.

Ranbaxy Laboratories Limited is an Indian company incorporated in

1961. It is India's largest pharmaceutical company. It exports its products to 125
countries with ground operations in 46 and manufacturing facilities in seven
countries. It is ranked among the top 10 generic companies worldwide. The CEO
of the company is Malvinder Mohan Singh.Ranbaxy went public in 1973

Reliance Industries is India's largest private sector company with a

turnover of US $19.976 billion and profit of US $2.033 billion for the fiscal year
ending in March 2006 making it India's first and only private sector Fortune 500
company. It was founded by the late Dhirubhai Ambani in the 1970s. After severe
differences between the two sons of the founder Dhirubhai Ambani, the group
was divided between the two sons Mukesh and Anil Ambani in 2006

State Bank of India (SBI) is the largest bank in India. If one measures by
the number of branch offices and employees, SBI is the largest bank in the world.
Established in 1806 as Bank of Bengal, it is the oldest commercial bank in the

36
Indian Subcontinent. SBI provides various domestic, international and NRI
products and services, through its vast network in India and overseas. With an
asset base of $126 billion and its reach, it is a regional banking behemoth. The
government nationalized the bank in 1955, with the Reserve Bank of India taking
a 60% ownership stake. In recent years the bank has focused on two priorities,
reducing its huge staff through Golden handshake schemes known as the
Voluntary Retirement Scheme, which saw many of its best and brightest defect to
the private sector, and, computerizing its operations

The State Bank of India traces its roots to the first decade of 19th century,
when the Bank of Calcutta, later renamed the Bank of Bengal, was established
on 2 June 1806. The government amalgamatted Bank of Bengal and two other
Presidency banks, namely, the Bank of Bombay (incorporated on 15 April 1840)
and the Bank of Madras on 27 January 1921, and named the the reorganized
banking entity the Imperial Bank of India

The State Bank of India Act 1955, enacted by the Parliament of India,
authorized the Reserve Bank of India, which is the central banking organization
of India, to acquire a controlling interest in the Imperial Bank of India, which was
renamed the State Bank of India on 30 April 1955

Tata Consultancy Services Limited (TCS Limited) is an Indian

information technology, consulting, services and business-process outsourcing
organization which commenced operations in 1968. As of 2007, it is Asia's largest
IT services firm with annualised revenues of over US $4 billion and has the
largest number of employees among all the Indian IT companies with strength of
over 95,000.For fiscal year 2005-06, it posted a net profit of Rs. 3,709 crore

TCS is part of one of Asia's largest conglomerates and most respected

groups, the Tata Group, which has interests in areas such as energy,
telecommunications, financial services, chemicals, engineering and materials

37
 CHAPTER -6

DATA ANALYSIS AND INTERPRETATION

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

STOCK SENSEX Stock Sensex

PRICE PRICE Return Return
Date close close Y (m) X X^2 Y^2 X*Y
16151.4 0.9805 0.4188
03-Oct-11 321.25 5 -0.6471 0.9615 -0.6345
15864.8 0.5578 1.8693
04-Oct-11 322.7 6 -1.3672 0.3111 -0.7626
15792.4 -2.8245 1.2323
05-Oct-11 315.1 1 -1.1101 7.9778 3.1355
16232.5 0.3705 0.0038
07-Oct-11 323.9 4 0.0619 0.1373 0.0229
16557.2 1.7332 3.0080
10-Oct-11 331.75 3 1.7343 3.0041 3.0060
16536.4 -2.9096 0.6341
11-Oct-11 326.5 7 -0.7963 8.4661 2.3170
16958.3 2.8656 3.0871
12-Oct-11 336.75 9 1.7570 8.2118 5.0349
16883.9 -1.5426 0.9444
13-Oct-11 333.85 2 -0.9718 2.3796 1.4991

38
 17082.6 -0.1950 2.0714
14-Oct-11 333.35 9 1.4392 0.0380 -0.2806
17025.0 -3.8308 0.7862
17-Oct-11 326.3 9 -0.8867 14.6753 3.3968
16748.2 -0.8547 0.1702
18-Oct-11 321.75 9 -0.4125 0.7305 0.3526
17085.3 -0.4934 1.3976
19-Oct-11 324.3 4 1.1822 0.2434 -0.5833
16936.8 -1.2583 0.0219
20-Oct-11 317.9 9 0.1478 1.5832 -0.1860
16785.6 0.5473 1.2833
21-Oct-11 319.75 4 -1.1328 0.2995 -0.6200
16939.2 -2.0575 0.1796
24-Oct-11 318.35 8 -0.4237 4.2332 0.8719
17254.8 -1.6034 1.9682
25-Oct-11 314.95 6 1.4029 2.5710 -2.2495
17288.8 -0.9002 0.0755
26-Oct-11 316.6 3 -0.2748 0.8103 0.2474
28-Oct-11 327.2 17804.8 1.8185 0.7467 0.5575 3.3068 1.3578
17705.0 -3.5079 0.3267
31-Oct-11 317.85 1 -0.5716 12.3057 2.0051
17480.8 0.7980 0.1167
01-Nov-11 319.55 3 -0.3416 0.6368 -0.2726
17464.8 -0.3006 0.4499
02-Nov-11 316.05 5 0.6708 0.0904 -0.2016
17481.9 3.7206 0.0859
03-Nov-11 329.25 3 0.2931 13.8427 1.0905
17562.6 0.1948 0.4073
04-Nov-11 333.65 1 -0.6382 0.0380 -0.1243
17569.5 -0.4629 0.0189
08-Nov-11 334.85 3 -0.1374 0.2143 0.0636
09-Nov-11 328.9 17362.1 -2.4628 -1.6120 2.5986 6.0652 3.9700
17192.8 -1.1725 0.0008
11-Nov-11 324.1 2 0.0287 1.3747 -0.0336
14-Nov-11 317.4 17118.74 -3.1821 -1.3423 1.8017 10.1258 4.2712
16882.6 -3.2684 1.3887
15-Nov-11 310.55 7 -1.1784 10.6824 3.8516
16775.8 -3.6452 0.3304
16-Nov-11 297.65 7 -0.5748 13.2876 2.0953
17-Nov-11 16461.7 -4.2333 3.1674
284.65 1 -1.7797 17.9206 7.5340
18-Nov-11 16371.5 -3.6420 0.0098
275.95 1 -0.0989 13.2639 0.3602
21-Nov-11 262.05 15946.1 -5.3043 -2.2007 4.8432 28.1359 11.6734
22-Nov-11 16065.4 -0.5656 0.1884
265.2 2 0.4340 0.3199 -0.2455
23-Nov-11 15699.9 -2.9918 2.9494
255.7 7 -1.7174 8.9508 5.1381
24-Nov-11 15858.4 1.6676 0.8095
260.85 9 0.8997 2.7810 1.5004
25-Nov-11 15695.4 2.9090 0.2990
269.85 3 -0.5468 8.4624 -1.5906
28-Nov-11 16167.1 1.3357 2.9214
280.75 3 1.7092 1.7841 2.2830
29-Nov-11 16008.3 0.1593 1.5927
282.45 4 -1.2620 0.0254 -0.2011
30-Nov-11 282.2 16123.4 0.2481 1.5784 2.4915 0.0615 0.3915

39
 6
01-Dec 16483.4 -5.3588 0.1933
275.25 5 -0.4397 28.7164 2.3563
02-Dec 16846.8 2.6376 4.3868
282.45 3 2.0945 6.9571 5.5244
05-Dec 16805.3 1.9097 0.0017
288 3 -0.0415 3.6470 -0.0792
07-Dec 16877.0 -0.4848 0.0776
288.8 6 0.2786 0.2350 -0.1351
08-Dec 16488.2 -5.4652 4.0422
273.55 4 -2.0105 29.8682 10.9879
09-Dec 16213.4 -1.8554 0.0770
264.1 6 -0.2774 3.4424 0.5147
12-Dec 15870.3 -4.4457 9.3242
257.55 5 -3.0536 19.7646 13.5753
13-Dec 16002.5 2.4484 1.9575
261.4 1 1.3991 5.9944 3.4255
14-Dec 15881.1 -0.6628 0.2706
256.5 4 -0.5202 0.4393 0.3448
15-Dec 15836.4 -1.0594 0.3784
250.15 7 0.6152 1.1223 -0.6517
16-Dec 15491.3 -5.2194 5.9360
240.45 5 -2.4364 27.2419 12.7165
19-Dec 15175.0 -5.5519 0.1561
228.75 8 -0.3951 30.8237 2.1934
20-Dec 15685.2 -0.2777 2.9590
234.05 1 -1.7202 0.0771 0.4777
21-Dec 15813.3 -0.1473 1.5848
237.65 6 1.2589 0.0217 -0.1854
22-Dec 241.95 15738.7 3.9884 1.6865 2.8444 15.9076 6.7267
23-Dec 15970.7 2.0936 0.6281
243.6 5 -0.7925 4.3831 -1.6592
26-Dec 15873.9 -1.2458 1.3942
240.8 5 1.1808 1.5521 -1.4711
27-Dec 15727.8 0.5076 0.4805
246.25 5 -0.6931 0.2577 -0.3519
28-Dec 15543.9 -0.5055 0.6470
237.4 3 -0.8044 0.2555 0.4066
29-Dec 15454.9 -1.8619 0.5475
239 2 -0.7399 3.4668 1.3776
30-Dec-11 16483.4 12.8065 0.6927
275.25 5 -0.8323 164.0075 -10.6588

SUM - - 85.0865 558.4909 104.9189

41.0524 14.1822

BETA S.D VARIAN CORREL

CE ATION
1.164 2.800007706 7.8400 0.4573

Interpretation of BHEL

40
Beta of BHEL company is 1.164 which means the BHEL company share price
fluctuate more than BSE Sensex because if BHEL beta is greater than 1 than it
represent the BHEL share price is more fluctuate compare to market return, if
BHEL beta is less than its represent that BHEL share price less fluctuate
compare to market return, if BHEL beta is equal to 1 than its shows that both
are fluctuate in same sense.
The value of correlation could be positive, negative or zero. It always varies
between the -1.0 (negative correlation) and +1.0 (positively correlation).so this is
Positive correlation so that It means that when market return increases, the
company’s return also increases.

Table No. 1. 2

Volatility of ACC LTD. | (Housing related)

STOCK SENSEX Stock Sensex

PRICE PRICE Return Return
Date close close Y (m) X X^2 Y^2 X*Y

41
3-Oct-11 1100.25 16151.45 0.9316 -0.6471 0.4187 0.8678 -0.6028
4-Oct-11 1100.25 15864.86 0.1136 -1.3672 1.8693 0.0129 -0.1553
5-Oct-11 1106.75 15792.41 0.5647 -1.1101 1.2323 0.3189 -0.6269
7-Oct-11 1111.75 16232.54 -0.2249 0.0619 0.0038 0.0506 -0.0139
10-Oct-11 1131.85 16557.23 1.5771 1.7343 3.0080 2.4871 2.7352
11-Oct-11 1133.25 16536.47 0.1103 -0.7963 0.6341 0.0122 -0.0878
12-Oct-11 1140.00 16958.39 0.7895 1.7570 3.0871 0.6233 1.3871
13-Oct-11 1121.10 16883.92 -2.1185 -0.9718 0.9444 4.4879 2.0587
14-Oct-11 1119.05 17082.69 0.3664 1.4392 2.0714 0.1342 0.5273
17-Oct-11 1109.55 17025.09 -0.2433 -0.8867 0.7862 0.0592 0.2158
18-Oct-11 1105.10 16748.29 0.4615 -0.4125 0.1702 0.2130 -0.1904
19-Oct-11 1126.40 17085.34 1.4560 1.1822 1.3976 2.1198 1.7212
20-Oct-11 1114.55 16936.89 -0.7492 0.1478 0.0219 0.5613 -0.1108
21-Oct-11 1117.80 16785.64 -0.5278 -1.1328 1.2833 0.2786 0.5979
24-Oct-11 1134.35 16939.28 0.4099 -0.4237 0.1796 0.1680 -0.1737
25-Oct-11 1181.15 17254.86 4.5845 1.4029 1.9682 21.0178 6.4317
26-Oct-11 1190.70 17288.83 1.2220 -0.2748 0.0755 1.4932 -0.3358
28-Oct-11 1221.20 17804.80 1.7155 0.7467 0.5575 2.9430 1.2809
31-Oct-11 1195.25 17705.01 -1.2466 -0.5716 0.3267 1.5540 0.7125
1-Nov-11 1183.95 17480.83 -1.3556 -0.3416 0.1167 1.8377 0.4631
2-Nov-11 1185.65 17464.85 0.4765 0.6708 0.4499 0.2271 0.3196
3-Nov-11 1210.25 17481.93 2.0863 0.2931 0.0859 4.3528 0.6115
4-Nov-11 1223.40 17562.61 0.6825 -0.6382 0.4073 0.4658 -0.4356
8-Nov-11 1218.45 17569.53 0.5171 -0.1374 0.0189 0.2673 -0.0710
9-Nov-11 1203.05 17362.10 -1.7414 -1.6120 2.5986 3.0325 2.8072
11-Nov-11 1218.45 17192.82 1.5388 0.0287 0.0008 2.3680 0.0441
14-Nov-11 1213.80 17118.74 -1.2317 -1.3423 1.8017 1.5170 1.6532
15-Nov-11 1205.80 16882.67 0.2986 -1.1784 1.3887 0.0891 -0.3518
16-Nov-11 1194.45 16775.87 -0.7744 -0.5748 0.3304 0.5997 0.4451
17-Nov-11 1156.60 16461.71 -2.0448 -1.7797 3.1674 4.1812 3.6391
18-Nov-11 1152.20 16371.51 0.1996 -0.0989 0.0098 0.0398 -0.0197
21-Nov-11 1133.10 15946.10 0.0838 -2.2007 4.8432 0.0070 -0.1845
22-Nov-11 1142.30 16065.42 0.2276 0.4340 0.1884 0.0518 0.0988
23-Nov-11 1131.80 15699.97 -0.2827 -1.7174 2.9494 0.0799 0.4856
24-Nov-11 1115.00 15858.49 -0.2735 0.8997 0.8095 0.0748 -0.2461
25-Nov-11 1119.40 15695.43 0.6745 -0.5468 0.2990 0.4549 -0.3688
28-Nov-11 1192.45 16167.13 5.0694 1.7092 2.9214 25.6988 8.6647
29-Nov-11 1159.95 16008.34 -2.8881 -1.2620 1.5927 8.3409 3.6448
30-Nov-11 1145.05 16123.46 0.0917 1.5784 2.4915 0.0084 0.1447
1-Dec-12 1170.75 16483.45 0.9268 -0.4397 0.1933 0.8589 -0.4075
2-Dec-12 1213.55 16846.83 3.5268 2.0945 4.3868 12.4386 7.3868

42
 5-Dec-12 1205.75 16805.33 -0.0207 -0.0415 0.0017 0.0004 0.0009
7-Dec-12 1217.70 16877.06 1.7820 0.2786 0.0776 3.1757 0.4965
8-Dec-12 1201.65 16488.24 -1.2732 -2.0105 4.0422 1.6212 2.5599
9-Dec-12 1164.70 16213.46 -1.3179 -0.2774 0.0770 1.7370 0.3656
12-Dec-12 1122.70 15870.35 -4.2131 -3.0536 9.3242 17.7499 12.8648
13-Dec-12 1136.45 16002.51 2.2262 1.3991 1.9575 4.9561 3.1147
14-Dec-12 1141.90 15881.14 0.5167 -0.5202 0.2706 0.2670 -0.2688
15-Dec-12 1141.20 15836.47 1.4196 0.6152 0.3784 2.0151 0.8733
16-Dec-12 1127.70 15491.35 -0.5720 -2.4364 5.9360 0.3271 1.3935
19-Dec-12 1129.85 15175.08 0.2478 -0.3951 0.1561 0.0614 -0.0979
20-Dec-12 1098.60 15685.21 -3.2041 -1.7202 2.9590 10.2661 5.5116
21-Dec-12 1138.80 15813.36 1.7475 1.2589 1.5848 3.0536 2.1999
22-Dec-12 1138.55 15738.70 0.4875 1.6865 2.8444 0.2376 0.8221
23-Dec-12 1139.55 15970.75 0.1229 -0.7925 0.6281 0.0151 -0.0974
26-Dec-12 1159.85 15873.95 1.9701 1.1808 1.3942 3.8812 2.3262
27-Dec-12 1173.95 15727.85 1.2735 -0.6931 0.4805 1.6217 -0.8827
28-Dec-12 1166.85 15543.93 -0.2914 -0.8044 0.6470 0.0849 0.2344
29-Dec-12 1150.25 15454.92 -0.8476 -0.7399 0.5475 0.7185 0.6272
30-Dec-11 1136.35 16483.45 -2.8556 -0.8323 0.6927 8.1546 2.3767

SUM 12.1981 -14.1822 85.0865 166.3395 78.1148

BETA S.D VARIANCE CORRELATION

0.9910 1.3239 1.7527 0.6999

Interpretation of ACC LTD

Beta of ACC LTD. Company is 0.990992 which means the ACC LTD company
beta less than 1 means it tends to be less volatile than the market BSE Sensex.

So it is a less risky for investment.standard deviation of ACC Ltd. Is 1.323887846

So and variance is 1.7526 so this is Positive correlation so that It means that
when market return increases, the company’s return also increases.

43
 Table No. 1. 3

Volatility of Bharti Airtel (Telecom) return

STOC SENSEX Stock Sensex

K PRICE Return Return
PRICE
Date close close Y (m) X X^2 Y^2 X*Y

03-Oct-11 380.55 16151.45 1.5110 -0.6471 0.4188 2.2830 -0.9778

04-Oct-11 370 15864.86 -2.4324 -1.3672 1.8693 5.9167 3.3257
05-Oct-11 367.05 15792.41 -2.1387 -1.1101 1.2323 4.5739 2.3741
07-Oct-11 354.8 16232.54 -5.1437 0.0619 0.0038 26.4581 -0.3185
10-Oct-11 363.25 16557.23 3.0145 1.7343 3.0080 9.0869 5.2281
11-Oct-11 374.8 16536.47 2.2145 -0.7963 0.6341 4.9041 -1.7634
12-Oct-11 374.05 16958.39 -0.7619 1.7570 3.0871 0.5805 -1.3387
13-Oct-11 369.85 16883.92 -1.9197 -0.9718 0.9444 3.6852 1.8656
14-Oct-11 383.75 17082.69 3.8567 1.4392 2.0714 14.8740 5.5507
17-Oct-11 379.05 17025.09 -0.7123 -0.8867 0.7862 0.5074 0.6316
18-Oct-11 374.05 16748.29 -0.7352 -0.4125 0.1702 0.5405 0.3033
19-Oct-11 384.95 17085.34 2.8315 1.1822 1.3976 8.0176 3.3474
20-Oct-11 389.9 16936.89 2.3852 0.1478 0.0219 5.6893 0.3526
21-Oct-11 377.9 16785.64 -3.3342 -1.1328 1.2833 11.1170 3.7770
24-Oct-11 383.05 16939.28 -0.0653 -0.4237 0.1796 0.0043 0.0277
25-Oct-11 388.3 17254.86 1.1074 1.4029 1.9682 1.2263 1.5536
26-Oct-11 392.85 17288.83 1.1200 -0.2748 0.0755 1.2544 -0.3078
28-Oct-11 391.85 17804.8 -1.3781 0.7467 0.5575 1.8991 -1.0290
31-Oct-11 391.4 17705.01 -0.4216 -0.5716 0.3267 0.1777 0.2410
01-Nov-11 394.7 17480.83 1.2161 -0.3416 0.1167 1.4789 -0.4155
02-Nov-11 384.3 17464.85 -1.5222 0.6708 0.4499 2.3172 -1.0211
03-Nov-11 392.55 17481.93 2.1781 0.2931 0.0859 4.7440 0.6384
04-Nov-11 397.95 17562.61 2.2490 -0.6382 0.4073 5.0581 -1.4354
08-Nov-11 397.25 17569.53 0.0755 -0.1374 0.0189 0.0057 -0.0104
09-Nov-11 395.2 17362.1 -0.4428 -1.6120 2.5986 0.1961 0.7138
11-Nov-11 395.5 17192.82 1.1504 0.0287 0.0008 1.3235 0.0330
14-Nov-11 405.3 17118.74 1.8011 -1.3423 1.8017 3.2441 -2.4176
15-Nov-11 401.45 16882.67 -0.8718 -1.1784 1.3887 0.7601 1.0274
16-Nov-11 401.1 16775.87 -0.9723 -0.5748 0.3304 0.9454 0.5589

44
 17-Nov-11 395.7 16461.71 -1.3394 -1.7797 3.1674 1.7940 2.3837
18-Nov-11 397.65 16371.51 1.4208 -0.0989 0.0098 2.0188 -0.1405
21-Nov-11 388.5 15946.1 1.1583 -2.2007 4.8432 1.3417 -2.5491
22-Nov-11 378.85 16065.42 -1.6233 0.4340 0.1884 2.6352 -0.7046
23-Nov-11 364.85 15699.97 -2.6449 -1.7174 2.9494 6.9956 4.5424
24-Nov-11 378.15 15858.49 3.4378 0.8997 0.8095 11.8184 3.0930
25-Nov-11 374.9 15695.43 -0.1600 -0.5468 0.2990 0.0256 0.0875
28-Nov-11 388.2 16167.13 2.7177 1.7092 2.9214 7.3857 4.6451
29-Nov-11 373.45 16008.34 -4.4450 -1.2620 1.5927 19.7584 5.6098
30-Nov-11 385.3 16123.46 2.6084 1.5784 2.4915 6.8035 4.1171
01-Dec-11 378.95 16483.45 -2.9028 -0.4397 0.1933 8.4260 1.2764
02-Dec-11 390.15 16846.83 2.4734 2.0945 4.3868 6.1177 5.1805
05-Dec-11 390.3 16805.33 -0.2818 -0.0415 0.0017 0.0794 0.0117
07-Dec-11 377.3 16877.06 -3.3660 0.2786 0.0776 11.3301 -0.9378
08-Dec-11 367.1 16488.24 -2.4244 -2.0105 4.0422 5.8778 4.8743
09-Dec-11 358.7 16213.46 -1.7563 -0.2774 0.0770 3.0847 0.4873
12-Dec-11 342.2 15870.35 -4.9094 -3.0536 9.3242 24.1023 14.9912
13-Dec-11 346.4 16002.51 1.7032 1.3991 1.9575 2.9010 2.3830
14-Dec-11 348.85 15881.14 0.5590 -0.5202 0.2706 0.3125 -0.2908
15-Dec-11 337 15836.47 -0.5935 0.6152 0.3784 0.3522 -0.3651
16-Dec-11 336.3 15491.35 -0.2825 -2.4364 5.9360 0.0798 0.6882
19-Dec-11 336.4 15175.08 0.7134 -0.3951 0.1561 0.5090 -0.2819
20-Dec-11 322.85 15685.21 -5.3121 -1.7202 2.9590 28.2180 9.1378
21-Dec-11 341.5 15813.36 2.7818 1.2589 1.5848 7.7387 3.5020
22-Dec-11 335.45 15738.7 -1.0583 1.6865 2.8444 1.1200 -1.7848
23-Dec-11 330.45 15970.75 -1.3920 -0.7925 0.6281 1.9378 1.1032
26-Dec-11 344.7 15873.95 3.1187 1.1808 1.3942 9.7260 3.6825
27-Dec-11 343.05 15727.85 -1.1514 -0.6931 0.4805 1.3258 0.7981
28-Dec-11 343.5 15543.93 -0.3785 -0.8044 0.6470 0.1432 0.3044
29-Dec-11 341.1 15454.92 -0.0586 -0.7399 0.5475 0.0034 0.0434
30-Dec-11 342.9 16483.45 0.5249 -0.8323 0.6927 0.2756 -0.4369

-
SUM -9.0042 14.1822 85.0865 297.1072 85.9658

BETA S.D VARIAN CORREL

CE ATION
1.025732 1.982237773 3.9293 0.5392

Interpretation of BHARTI AIRTEL

45
Beta of Bharti Airtel is 1.025732 which means the ACC LTD company beta
greater than 1 means it tends to be more volatile than the market BSE Sensex.

So it is a less risky for investment.standard deviation of ACC Ltd. Is 1.982237773

So and correlation is 3.929266588 so this is Positive correlation so that It means
that when market return increases, the company’s return also increases.

Table No. 1. 4

Volatility of Grasim Industries ( Diversified) return

STOCK SENSEX Stock Sensex

PRICE PRICE Return Return
Date close close Y (m) X X^2 Y^2 X*Y

03-Oct-11 2290.25 16151.45 -1.6483 -0.6471 0.4188 2.7169 1.0667

04-Oct-11 2292.2 15864.86 1.3175 -1.3672 1.8693 1.7358 -1.8014
05-Oct-11 2322.55 15792.41 0.9709 -1.1101 1.2323 0.9427 -1.0778
07-Oct-11 2336.45 16232.54 0.2054 0.0619 0.0038 0.0422 0.0127
10-Oct-11 2326.05 16557.23 1.0103 1.7343 3.0080 1.0207 1.7522
11-Oct-11 2330.95 16536.47 -0.1609 -0.7963 0.6341 0.0259 0.1281
12-Oct-11 2394.15 16958.39 2.6794 1.7570 3.0871 7.1794 4.7078

46
13-Oct-11 2326.05 16883.92 -2.9213 -0.9718 0.9444 8.5338 2.8389
14-Oct-11 2380.35 17082.69 2.3253 1.4392 2.0714 5.4070 3.3466
17-Oct-11 2334.15 17025.09 -1.5359 -0.8867 0.7862 2.3590 1.3619
18-Oct-11 2334.3 16748.29 0.0129 -0.4125 0.1702 0.0002 -0.0053
19-Oct-11 2353.35 17085.34 0.7372 1.1822 1.3976 0.5435 0.8716
20-Oct-11 2315.25 16936.89 -0.3347 0.1478 0.0219 0.1120 -0.0495
21-Oct-11 2291.15 16785.64 -1.3028 -1.1328 1.2833 1.6974 1.4759
24-Oct-11 2362.3 16939.28 2.0002 -0.4237 0.1796 4.0007 -0.8476
25-Oct-11 2458.35 17254.86 3.5939 1.4029 1.9682 12.9159 5.0419
26-Oct-11 2492.45 17288.83 1.5025 -0.2748 0.0755 2.2576 -0.4129
28-Oct-11 2541.85 17804.8 1.9435 0.7467 0.5575 3.7771 1.4511
31-Oct-11 2477.8 17705.01 -2.5446 -0.5716 0.3267 6.4750 1.4545
01-Nov-11 2492.15 17480.83 0.5658 -0.3416 0.1167 0.3201 -0.1933
02-Nov-11 2475.7 17464.85 -0.5796 0.6708 0.4499 0.3360 -0.3888
03-Nov-11 2503.45 17481.93 1.2183 0.2931 0.0859 1.4843 0.3571
04-Nov-11 2520.85 17562.61 0.4304 -0.6382 0.4073 0.1853 -0.2747
08-Nov-11 2522.15 17569.53 2.3849 -0.1374 0.0189 5.6876 -0.3277
09-Nov-11 2470.85 17362.1 -2.1106 -1.6120 2.5986 4.4547 3.4023
11-Nov-11 2469.3 17192.82 0.1701 0.0287 0.0008 0.0289 0.0049
14-Nov-11 2451.5 17118.74 -1.7744 -1.3423 1.8017 3.1486 2.3818
15-Nov-11 2455.05 16882.67 -0.5275 -1.1784 1.3887 0.2782 0.6216
16-Nov-11 2397.25 16775.87 -1.6874 -0.5748 0.3304 2.8472 0.9699
17-Nov-11 2332.6 16461.71 -1.9699 -1.7797 3.1674 3.8805 3.5059
18-Nov-11 2333.55 16371.51 1.3092 -0.0989 0.0098 1.7139 -0.1295
21-Nov-11 2275.45 15946.1 -1.8941 -2.2007 4.8432 3.5877 4.1685
22-Nov-11 2295.3 16065.42 0.6666 0.4340 0.1884 0.4443 0.2893
23-Nov-11 2260.15 15699.97 -1.0995 -1.7174 2.9494 1.2089 1.8882
24-Nov-11 2306.25 15858.49 0.2710 0.8997 0.8095 0.0734 0.2438
25-Nov-11 2262.35 15695.43 -1.5073 -0.5468 0.2990 2.2719 0.8242
28-Nov-11 2316.45 16167.13 0.8396 1.7092 2.9214 0.7050 1.4351
29-Nov-11 2314.6 16008.34 0.1555 -1.2620 1.5927 0.0242 -0.1963
30-Nov-11 2337.85 16123.46 1.6618 1.5784 2.4915 2.7615 2.6230
01-Dec-11 2426.95 16483.45 3.2160 -0.4397 0.1933 10.3425 -1.4141
02-Dec-11 2459.6 16846.83 1.2034 2.0945 4.3868 1.4483 2.5206
05-Dec-11 2455.75 16805.33 0.2341 -0.0415 0.0017 0.0548 -0.0097
07-Dec-11 2428.1 16877.06 -0.2945 0.2786 0.0776 0.0867 -0.0820
08-Dec-11 2405.9 16488.24 -1.3986 -2.0105 4.0422 1.9562 2.8120
09-Dec-11 2396 16213.46 0.4007 -0.2774 0.0770 0.1605 -0.1112
12-Dec-11 2316.1 15870.35 -4.1276 -3.0536 9.3242 17.0373 12.6039
13-Dec-11 2412.45 16002.51 2.6301 1.3991 1.9575 6.9175 3.6798
14-Dec-11 2398.65 15881.14 -0.0563 -0.5202 0.2706 0.0032 0.0293

47
 15-Dec-11 2363.55 15836.47 -0.6960 0.6152 0.3784 0.4844 -0.4281
16-Dec-11 2368.2 15491.35 0.2196 -2.4364 5.9360 0.0482 -0.5350
19-Dec-11 2376.9 15175.08 1.0265 -0.3951 0.1561 1.0538 -0.4056
20-Dec-11 2347.25 15685.21 -1.1822 -1.7202 2.9590 1.3977 2.0337
21-Dec-11 2383.3 15813.36 0.9776 1.2589 1.5848 0.9558 1.2307
22-Dec-11 2407.95 15738.7 1.0362 1.6865 2.8444 1.0736 1.7475
23-Dec-11 2453.95 15970.75 1.9947 -0.7925 0.6281 3.9790 -1.5808
26-Dec-11 2477.85 15873.95 1.0029 1.1808 1.3942 1.0058 1.1842
27-Dec-11 2473.7 15727.85 0.3355 -0.6931 0.4805 0.1126 -0.2326
28-Dec-11 2462.85 15543.93 -0.2903 -0.8044 0.6470 0.0843 0.2335
29-Dec-11 2517.2 15454.92 2.3915 -0.7399 0.5475 5.7195 -1.7695
30-Dec-11 2508.55 16483.45 0.3408 -0.8323 0.6927 0.1162 -0.2837

-
SUM 13.3376 14.1822 85.0865 151.2227 63.7437

BETA S.D VARIAN CORREL

CE ATION
0.818461 1.212832762 1.4710 0.6077

Introduction of GRASIM

Beta of Grasim industries is 0.818461 which means the Grasim industry ompany
beta less than 1 means it tends to be less volatile than the market BSE Sensex.

So it is a less risky for investment.standard deviation of Grasim. Is

1.212832762So and correlation is 0.607702558so this is Positive correlation so
that It means that when market return increases, the company’s return also
increases.

Table No. 1. 5

Volatility of HDFC Bank | Finance. Return

STOC SENSEX Stock Sensex

48
 K PRICE Return Return
PRICE
Date close close Y (m) X X^2 Y^2 X*Y

03-Oct-11 458.45 16151.45 -1.4287 -0.6471 0.4188 2.0413 0.9246

04-Oct-11 450.3 15864.86 -1.0215 -1.3672 1.8693 1.0435 1.3967
05-Oct-11 438.35 15792.41 -2.7261 -1.1101 1.2323 7.4318 3.0263
07-Oct-11 449.8 16232.54 -1.1561 0.0619 0.0038 1.3365 -0.0716
10-Oct-11 454.55 16557.23 0.3630 1.7343 3.0080 0.1318 0.6296
11-Oct-11 457.65 16536.47 -0.0765 -0.7963 0.6341 0.0058 0.0609
12-Oct-11 467.15 16958.39 1.5306 1.7570 3.0871 2.3426 2.6892
13-Oct-11 470.45 16883.92 0.1169 -0.9718 0.9444 0.0137 -0.1136
14-Oct-11 474.15 17082.69 0.7276 1.4392 2.0714 0.5294 1.0472
17-Oct-11 477.85 17025.09 0.4813 -0.8867 0.7862 0.2317 -0.4268
18-Oct-11 476.8 16748.29 0.3775 -0.4125 0.1702 0.1425 -0.1557
19-Oct-11 491.1 17085.34 1.8530 1.1822 1.3976 3.4335 2.1906
20-Oct-11 489.5 16936.89 -0.0919 0.1478 0.0219 0.0085 -0.0136
21-Oct-11 486.3 16785.64 -0.6683 -1.1328 1.2833 0.4466 0.7571
24-Oct-11 484.1 16939.28 -1.4253 -0.4237 0.1796 2.0316 0.6040
25-Oct-11 468.75 17254.86 -3.2533 1.4029 1.9682 10.5842 -4.5641
26-Oct-11 471.9 17288.83 -0.5510 -0.2748 0.0755 0.3036 0.1514
28-Oct-11 482.5 17804.8 0.0000 0.7467 0.5575 0.0000 0.0000
31-Oct-11 489.05 17705.01 1.2371 -0.5716 0.3267 1.5304 -0.7071
01-Nov-11 481.95 17480.83 -0.6328 -0.3416 0.1167 0.4005 0.2162
02-Nov-11 483.05 17464.85 0.8591 0.6708 0.4499 0.7381 0.5763
03-Nov-11 480.8 17481.93 -0.2496 0.2931 0.0859 0.0623 -0.0732
04-Nov-11 482.1 17562.61 -0.8090 -0.6382 0.4073 0.6544 0.5163
08-Nov-11 484.7 17569.53 0.1444 -0.1374 0.0189 0.0209 -0.0198
09-Nov-11 477.45 17362.1 -1.7908 -1.6120 2.5986 3.2068 2.8867
11-Nov-11 463.95 17192.82 -1.0561 0.0287 0.0008 1.1154 -0.0303
14-Nov-11 470.7 17118.74 0.3612 -1.3423 1.8017 0.1304 -0.4848
15-Nov-11 471.8 16882.67 0.3815 -1.1784 1.3887 0.1456 -0.4496
16-Nov-11 465.95 16775.87 -1.2984 -0.5748 0.3304 1.6859 0.7464
17-Nov-11 458.85 16461.71 -1.3403 -1.7797 3.1674 1.7964 2.3854
18-Nov-11 457.7 16371.51 -0.0218 -0.0989 0.0098 0.0005 0.0022
21-Nov-11 444.9 15946.1 -3.1468 -2.2007 4.8432 9.9022 6.9252
22-Nov-11 443.8 16065.42 -1.1717 0.4340 0.1884 1.3729 -0.5086
23-Nov-11 426.7 15699.97 -3.5857 -1.7174 2.9494 12.8569 6.1580
24-Nov-11 429.95 15858.49 0.4535 0.8997 0.8095 0.2057 0.4081
25-Nov-11 431.5 15695.43 1.2051 -0.5468 0.2990 1.4523 -0.6589
28-Nov-11 440.8 16167.13 0.1815 1.7092 2.9214 0.0329 0.3102
29-Nov-11 434.4 16008.34 -1.9797 -1.2620 1.5927 3.9194 2.4985

49
 30-Nov-11 441.45 16123.46 2.3899 1.5784 2.4915 5.7114 3.7723
01-Dec-11 453.45 16483.45 -0.5624 -0.4397 0.1933 0.3162 0.2473
02-Dec-11 465.75 16846.83 2.0934 2.0945 4.3868 4.3823 4.3845
05-Dec-11 462.25 16805.33 -0.5949 -0.0415 0.0017 0.3539 0.0247
07-Dec-11 465.95 16877.06 -0.2253 0.2786 0.0776 0.0508 -0.0628
08-Dec-11 453.9 16488.24 -2.7539 -2.0105 4.0422 7.5840 5.5368
09-Dec-11 444.8 16213.46 -0.7419 -0.2774 0.0770 0.5504 0.2058
12-Dec-11 431.9 15870.35 -4.1908 -3.0536 9.3242 17.5627 12.7968
13-Dec-11 436.4 16002.51 1.9248 1.3991 1.9575 3.7050 2.6930
14-Dec-11 433.85 15881.14 -1.4175 -0.5202 0.2706 2.0094 0.7374
15-Dec-11 431.35 15836.47 -0.1275 0.6152 0.3784 0.0163 -0.0784
16-Dec-11 415.95 15491.35 -4.5799 -2.4364 5.9360 20.9753 11.1584
19-Dec-11 406.05 15175.08 -1.8840 -0.3951 0.1561 3.5495 0.7443
20-Dec-11 414.1 15685.21 1.9802 -1.7202 2.9590 3.9212 -3.4063
21-Dec-11 435.3 15813.36 2.1365 1.2589 1.5848 4.5645 2.6896
22-Dec-11 443 15738.7 2.4831 1.6865 2.8444 6.1656 4.1878
23-Dec-11 437.6 15970.75 -0.7998 -0.7925 0.6281 0.6397 0.6339
26-Dec-11 443.45 15873.95 -0.0113 1.1808 1.3942 0.0001 -0.0133
27-Dec-11 439.6 15727.85 -1.0009 -0.6931 0.4805 1.0018 0.6938
28-Dec-11 439.65 15543.93 -0.0796 -0.8044 0.6470 0.0063 0.0640
29-Dec-11 430.65 15454.92 -1.8925 -0.7399 0.5475 3.5815 1.4003
30-Dec-11 427.05 16483.45 -0.9250 -0.8323 0.6927 0.8555 0.7698

-
SUM 27.9876 -14.1822 85.0865 160.7920 78.0086

BETA S.D VARIAN CORRE

CE LATION
0.873478831 1.2092483 1.4623 0.6497

Interpretation of HDFC BANK

Beta of HDFC bank is 0.873478831 which means the HDFC bank beta is less
than 1 means it tends to be less volatile than the market BSE Sensex.

So it is a less risky for investment.standard deviation of HDFC bank Is

1.2092483So and correlation is 0.649695732 is Positive correlation so that It
means that when market return increases, the company’s return also increases.

50
 Table No. 1.6

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

STOC SENSEX Stock Sensex

K PRICE Return Return
PRICE
Date close close Y (m) X X^2 Y^2 X*Y

03-Oct-11 124.15 16151.45 -4.2690 -0.6471 0.4188 18.2246 2.7626

04-Oct-11 124.7 15864.86 1.8444 -1.3672 1.8693 3.4019 -2.5218
05-Oct-11 120.15 15792.41 -5.7012 -1.1101 1.2323 32.5038 6.3289
07-Oct-11 125.95 16232.54 0.3573 0.0619 0.0038 0.1277 0.0221
10-Oct-11 127.45 16557.23 1.1377 1.7343 3.0080 1.2944 1.9732
11-Oct-11 130.25 16536.47 0.5758 -0.7963 0.6341 0.3316 -0.4585
12-Oct-11 132.85 16958.39 0.8656 1.7570 3.0871 0.7493 1.5209
13-Oct-11 128.85 16883.92 -4.3073 -0.9718 0.9444 18.5531 4.1859
14-Oct-11 128.65 17082.69 0.6607 1.4392 2.0714 0.4365 0.9509
17-Oct-11 130.1 17025.09 0.1537 -0.8867 0.7862 0.0236 -0.1363
18-Oct-11 125.45 16748.29 -1.4747 -0.4125 0.1702 2.1747 0.6083
19-Oct-11 127.65 17085.34 0.2742 1.1822 1.3976 0.0752 0.3241
20-Oct-11 124.75 16936.89 -0.2806 0.1478 0.0219 0.0787 -0.0415
21-Oct-11 121.65 16785.64 -3.1648 -1.1328 1.2833 10.0161 3.5851
24-Oct-11 123.45 16939.28 -1.0936 -0.4237 0.1796 1.1959 0.4634
25-Oct-11 125.5 17254.86 0.9163 1.4029 1.9682 0.8397 1.2855
26-Oct-11 128.25 17288.83 1.2865 -0.2748 0.0755 1.6552 -0.3536
28-Oct-11 142.2 17804.8 5.5556 0.7467 0.5575 30.8642 4.1481
31-Oct-11 136.35 17705.01 -3.9971 -0.5716 0.3267 15.9765 2.2847
01-Nov-11 135.85 17480.83 0.9569 -0.3416 0.1167 0.9157 -0.3269
02-Nov-11 136.2 17464.85 1.9090 0.6708 0.4499 3.6441 1.2805
03-Nov-11 135.7 17481.93 0.4053 0.2931 0.0859 0.1643 0.1188
04-Nov-11 139 17562.61 0.1799 -0.6382 0.4073 0.0323 -0.1148
08-Nov-11 139.65 17569.53 -0.1790 -0.1374 0.0189 0.0320 0.0246
09-Nov-11 134.5 17362.1 -4.5353 -1.6120 2.5986 20.5691 7.3110
11-Nov-11 128.7 17192.82 -5.6721 0.0287 0.0008 32.1728 -0.1627
14-Nov-11 125.85 17118.74 -4.1716 -1.3423 1.8017 17.4025 5.5995
15-Nov-11 125.5 16882.67 -0.0398 -1.1784 1.3887 0.0016 0.0469
16-Nov-11 123.25 16775.87 -1.7850 -0.5748 0.3304 3.1862 1.0260

51
 17-Nov-11 122.75 16461.71 -1.4257 -1.7797 3.1674 2.0325 2.5373
18-Nov-11 123.7 16371.51 1.5764 -0.0989 0.0098 2.4850 -0.1559
21-Nov-11 119.1 15946.1 -2.8128 -2.2007 4.8432 7.9116 6.1901
22-Nov-11 121.8 16065.42 1.4778 0.4340 0.1884 2.1840 0.6414
23-Nov-11 119.5 15699.97 -0.5858 -1.7174 2.9494 0.3431 1.0060
24-Nov-11 118 15858.49 -1.3136 0.8997 0.8095 1.7254 -1.1818
25-Nov-11 113.6 15695.43 -3.2130 -0.5468 0.2990 10.3236 1.7568
28-Nov-11 124.05 16167.13 7.1745 1.7092 2.9214 51.4738 12.2628
29-Nov-11 122.6 16008.34 -1.5498 -1.2620 1.5927 2.4017 1.9558
30-Nov-11 122.65 16123.46 1.3453 1.5784 2.4915 1.8098 2.1235
01-Dec-11 131.2 16483.45 1.2957 -0.4397 0.1933 1.6789 -0.5698
02-Dec-11 135.3 16846.83 3.7694 2.0945 4.3868 14.2084 7.8949
05-Dec-11 136.25 16805.33 1.7248 -0.0415 0.0017 2.9748 -0.0715
07-Dec-11 137.55 16877.06 0.1818 0.2786 0.0776 0.0330 0.0506
08-Dec-11 130.65 16488.24 -4.0949 -2.0105 4.0422 16.7683 8.2329
09-Dec-11 131.95 16213.46 3.7514 -0.2774 0.0770 14.0732 -1.0407
12-Dec-11 123.55 15870.35 -8.2962 -3.0536 9.3242 68.8275 25.3330
13-Dec-11 129.45 16002.51 5.5620 1.3991 1.9575 30.9358 7.7817
14-Dec-11 127.3 15881.14 -1.5711 -0.5202 0.2706 2.4683 0.8172
15-Dec-11 127.2 15836.47 2.3192 0.6152 0.3784 5.3786 1.4267
16-Dec-11 125.6 15491.35 -1.7118 -2.4364 5.9360 2.9302 4.1706
19-Dec-11 124.7 15175.08 0.5613 -0.3951 0.1561 0.3151 -0.2218
20-Dec-11 119.15 15685.21 -5.3294 -1.7202 2.9590 28.4027 9.1676
21-Dec-11 123 15813.36 -0.8943 1.2589 1.5848 0.7998 -1.1258
22-Dec-11 122.55 15738.7 1.2648 1.6865 2.8444 1.5997 2.1331
23-Dec-11 121.75 15970.75 -1.1910 -0.7925 0.6281 1.4184 0.9438
26-Dec-11 121.1 15873.95 -1.2799 1.1808 1.3942 1.6382 -1.5113
27-Dec-11 119.6 15727.85 -1.1288 -0.6931 0.4805 1.2741 0.7824
28-Dec-11 116.6 15543.93 -2.3156 -0.8044 0.6470 5.3620 1.8626
29-Dec-11 117.2 15454.92 1.4505 -0.7399 0.5475 2.1040 -1.0732
30-Dec-11 115.75 16483.45 -2.2462 -0.8323 0.6927 5.0455 1.8695

- -
SUM 31.0970 14.1822 85.0865 507.5706 135.7237

BETA S.D VARIAN CORRE

CE LATION
1.570618156 2.681583867 7.1909 0.6405

Interpretation OF HINDALCO INDUSTRIES

52
Beta of Hindalco Industries is 1.570618156 which means the Hindalco Industries
beta is greater than 1 means it tends to be more volatile than the market BSE
Sensex.

So it is a less risky for investment. Standard deviation of Hidalco Industries Is

2.681583867 and correlation is 0.640518221 is Positive correlation so that It
means that when market return increases, the company’s return also increases.

Table No. 1.7

Volatility of Hindustan Uni Lever | FMCG. Return

STOC SENSEX Stock Sensex

K PRICE Return Return
PRICE
Date close close Y (m) X X^2 Y^2 X*Y

03-Oct-11 334.45 16151.45 -1.3604 -0.6471 0.4188 1.8508 0.8804

04-Oct-11 327.05 15864.86 -2.0486 -1.3672 1.8693 4.1968 2.8009
05-Oct-11 322.05 15792.41 -1.2265 -1.1101 1.2323 1.5043 1.3616
07-Oct-11 329.2 16232.54 0.3645 0.0619 0.0038 0.1329 0.0226
10-Oct-11 332.4 16557.23 0.4212 1.7343 3.0080 0.1774 0.7305
11-Oct-11 326.55 16536.47 -2.0058 -0.7963 0.6341 4.0233 1.5972
12-Oct-11 329.65 16958.39 1.2589 1.7570 3.0871 1.5849 2.2119
13-Oct-11 326.75 16883.92 -1.0099 -0.9718 0.9444 1.0200 0.9815
14-Oct-11 332.1 17082.69 1.5357 1.4392 2.0714 2.3583 2.2102
17-Oct-11 333.1 17025.09 -0.4953 -0.8867 0.7862 0.2454 0.4392
18-Oct-11 330.55 16748.29 -0.2420 -0.4125 0.1702 0.0586 0.0998
19-Oct-11 331.55 17085.34 -0.1056 1.1822 1.3976 0.0111 -0.1248
20-Oct-11 331.35 16936.89 0.1056 0.1478 0.0219 0.0112 0.0156
21-Oct-11 326.1 16785.64 -1.8093 -1.1328 1.2833 3.2734 2.0496
24-Oct-11 336.35 16939.28 2.2447 -0.4237 0.1796 5.0386 -0.9512
25-Oct-11 340.4 17254.86 1.5570 1.4029 1.9682 2.4242 2.1843

53
26-Oct-11 342.85 17288.83 0.3938 -0.2748 0.0755 0.1550 -0.1082
28-Oct-11 349.45 17804.8 1.5310 0.7467 0.5575 2.3439 1.1431
31-Oct-11 375.25 17705.01 6.4624 -0.5716 0.3267 41.7621 -3.6938
01-Nov-11 135.85 17480.83 0.9569 -0.3416 0.1167 0.9157 -0.3269
02-Nov-11 136.2 17464.85 1.9090 0.6708 0.4499 3.6441 1.2805
03-Nov-11 135.7 17481.93 0.4053 0.2931 0.0859 0.1643 0.1188
04-Nov-11 139 17562.61 0.1799 -0.6382 0.4073 0.0323 -0.1148
08-Nov-11 139.65 17569.53 -0.1790 -0.1374 0.0189 0.0320 0.0246
09-Nov-11 134.5 17362.1 -4.5353 -1.6120 2.5986 20.5691 7.3110
11-Nov-11 128.7 17192.82 -5.6721 0.0287 0.0008 32.1728 -0.1626
14-Nov-11 125.85 17118.74 -4.1716 -1.3423 1.8017 17.4025 5.5995
15-Nov-11 125.5 16882.67 -0.0398 -1.1784 1.3887 0.0016 0.0470
16-Nov-11 123.25 16775.87 -1.7850 -0.5748 0.3304 3.1862 1.0260
17-Nov-11 122.75 16461.71 -1.4257 -1.7797 3.1674 2.0325 2.5373
18-Nov-11 123.7 16371.51 1.5764 -0.0989 0.0098 2.4850 -0.1559
21-Nov-11 119.1 15946.1 -2.8128 -2.2007 4.8432 7.9116 6.1901
22-Nov-11 121.8 16065.42 1.4778 0.4340 0.1884 2.1840 0.6414
23-Nov-11 119.5 15699.97 -0.5858 -1.7174 2.9494 0.3431 1.0060
24-Nov-11 118 15858.49 -1.3136 0.8997 0.8095 1.7254 -1.1818
25-Nov-11 113.6 15695.43 -3.2130 -0.5468 0.2990 10.3236 1.7568
28-Nov-11 124.05 16167.13 7.1745 1.7092 2.9214 51.4738 12.2628
29-Nov-11 122.6 16008.34 -1.5498 -1.2620 1.5927 2.4017 1.9558
30-Nov-11 122.65 16123.46 1.3453 1.5784 2.4915 1.8098 2.1235
01-Dec-11 131.2 16483.45 1.2957 -0.4397 0.1933 1.6789 -0.5698
02-Dec-11 135.3 16846.83 3.7694 2.0945 4.3868 14.2084 7.8949
05-Dec-11 136.25 16805.33 1.7248 -0.0415 0.0017 2.9748 -0.0715
07-Dec-11 137.55 16877.06 0.1818 0.2786 0.0776 0.0330 0.0506
08-Dec-11 130.65 16488.24 -4.0949 -2.0105 4.0422 16.7683 8.2329
09-Dec-11 131.95 16213.46 3.7514 -0.2774 0.0770 14.0732 -1.0407
12-Dec-11 123.55 15870.35 -8.2962 -3.0536 9.3242 68.8275 25.3330
13-Dec-11 129.45 16002.51 5.5620 1.3991 1.9575 30.9358 7.7818
14-Dec-11 127.3 15881.14 -1.5711 -0.5202 0.2706 2.4683 0.8173
15-Dec-11 127.2 15836.47 2.3192 0.6152 0.3784 5.3786 1.4267
16-Dec-11 125.6 15491.35 -1.7118 -2.4364 5.9360 2.9302 4.1706
19-Dec-11 124.7 15175.08 0.5613 -0.3951 0.1561 0.3151 -0.2218
20-Dec-11 119.15 15685.21 -5.3294 -1.7202 2.9590 28.4027 9.1676
21-Dec-11 123 15813.36 -0.8943 1.2589 1.5848 0.7998 -1.1258
22-Dec-11 122.55 15738.7 1.2648 1.6865 2.8444 1.5997 2.1331
23-Dec-11 121.75 15970.75 -1.1910 -0.7925 0.6281 1.4184 0.9439
26-Dec-11 121.1 15873.95 -1.2799 1.1808 1.3942 1.6382 -1.5113
27-Dec-11 119.6 15727.85 -1.1288 -0.6931 0.4805 1.2741 0.7824

54
 28-Dec-11 116.6 15543.93 -2.3156 -0.8044 0.6470 5.3620 1.8626
29-Dec-11 117.2 15454.92 1.4505 -0.7399 0.5475 2.1040 -1.0732
30-Dec-11 115.75 16483.45 -2.2462 -0.8323 0.6927 5.0455 1.8695

- -
SUM 14.8655 14.1822 85.0865 441.2202 122.6420

BETA S.D VARIAN CORRE

CE LATION
1.457506 2.508442833 6.2923
0.6299

Interpretation of HUL

Beta of Hindustan Uni Lever is 1.457506which means the Hindustan Uni Lever
beta is greater than 1 means it tends to be more volatile than the market BSE
Sensex.

So it is a more risky for investment.standard deviation of Hindustan Uni Lever Is

2.508442833 and correlation is 0.629948332 is Positive correlation so that It
means that when market return increases, the company’s return also increases.

Table No. 1.8

Volatility of Mahindra and Mahindra | Transport Equipments Return

STOCK SENSEX Stock Sensex

PRICE PRICE Return Return
Date close close Y (m) X X^2 Y^2 X*Y

03-Oct-11 809.35 16151.45 1.1552 -0.6471 0.4188 1.3346 -0.7476

04-Oct-11 777.9 15864.86 -3.4837 -1.3672 1.8693 12.1364 4.7631
05-Oct-11 784.45 15792.41 0.4398 -1.1101 1.2323 0.1934 -0.4882
07-Oct-11 795.95 16232.54 0.4334 0.0619 0.0038 0.1879 0.0268
10-Oct-11 806.1 16557.23 1.9352 1.7343 3.0080 3.7452 3.3564
11-Oct-11 798.5 16536.47 -1.6281 -0.7963 0.6341 2.6506 1.2964
12-Oct-11 808.05 16958.39 1.1076 1.7570 3.0871 1.2268 1.9461

55
13-Oct-11 798.9 16883.92 -1.7649 -0.9718 0.9444 3.1150 1.7152
14-Oct-11 805.6 17082.69 1.0675 1.4392 2.0714 1.1396 1.5364
17-Oct-11 810.55 17025.09 0.5367 -0.8867 0.7862 0.2880 -0.4759
18-Oct-11 805.65 16748.29 -0.1552 -0.4125 0.1702 0.0241 0.0640
19-Oct-11 810.4 17085.34 0.0494 1.1822 1.3976 0.0024 0.0584
20-Oct-11 800.2 16936.89 -1.3497 0.1478 0.0219 1.8216 -0.1995
21-Oct-11 801.1 16785.64 0.0125 -1.1328 1.2833 0.0002 -0.0141
24-Oct-11 808.8 16939.28 0.0989 -0.4237 0.1796 0.0098 -0.0419
25-Oct-11 853.2 17254.86 5.0340 1.4029 1.9682 25.3411 7.0622
26-Oct-11 849.45 17288.83 -0.0647 -0.2748 0.0755 0.0042 0.0178
28-Oct-11 868.5 17804.8 0.9787 0.7467 0.5575 0.9579 0.7307
31-Oct-11 863.2 17705.01 -0.7878 -0.5716 0.3267 0.6206 0.4503
01-Nov-11 834.05 17480.83 -2.5118 -0.3416 0.1167 6.3093 0.8581
02-Nov-11 838.7 17464.85 0.5604 0.6708 0.4499 0.3140 0.3759
03-Nov-11 838.3 17481.93 -0.5607 0.2931 0.0859 0.3143 -0.1643
04-Nov-11 835.05 17562.61 -0.7125 -0.6382 0.4073 0.5077 0.4548
08-Nov-11 833.65 17569.53 -0.7977 -0.1374 0.0189 0.6363 0.1096
09-Nov-11 813 17362.1 -3.3210 -1.6120 2.5986 11.0293 5.3536
11-Nov-11 838.4 17192.82 3.1489 0.0287 0.0008 9.9153 0.0903
14-Nov-11 790.4 17118.74 -6.9079 -1.3423 1.8017 47.7190 9.2723
15-Nov-11 759 16882.67 -4.3478 -1.1784 1.3887 18.9036 5.1236
16-Nov-11 773.35 16775.87 0.4332 -0.5748 0.3304 0.1876 -0.2490
17-Nov-11 758.55 16461.71 -2.1686 -1.7797 3.1674 4.7029 3.8595
18-Nov-11 737.8 16371.51 -3.0089 -0.0989 0.0098 9.0538 0.2976
21-Nov-11 717.7 15946.1 -2.7031 -2.2007 4.8432 7.3066 5.9487
22-Nov-11 709.6 16065.42 -1.4656 0.4340 0.1884 2.1480 -0.6361
23-Nov-11 695.55 15699.97 -1.3730 -1.7174 2.9494 1.8852 2.3580
24-Nov-11 713.4 15858.49 1.8783 0.8997 0.8095 3.5281 1.6899
25-Nov-11 706.3 15695.43 -0.0991 -0.5468 0.2990 0.0098 0.0542
28-Nov-11 713.65 16167.13 -0.1822 1.7092 2.9214 0.0332 -0.3114
29-Nov-11 725.05 16008.34 0.9723 -1.2620 1.5927 0.9455 -1.2271
30-Nov-11 723.85 16123.46 0.4283 1.5784 2.4915 0.1834 0.6760
01-Dec-11 729.8 16483.45 -1.8224 -0.4397 0.1933 3.3212 0.8013
02-Dec-11 748.05 16846.83 1.7713 2.0945 4.3868 3.1374 3.7099
05-Dec-11 750.05 16805.33 0.2733 -0.0415 0.0017 0.0747 -0.0113
07-Dec-11 757.45 16877.06 0.9836 0.2786 0.0776 0.9674 0.2740
08-Dec-11 730.15 16488.24 -3.8143 -2.0105 4.0422 14.5488 7.6687
09-Dec-11 703.75 16213.46 -2.0249 -0.2774 0.0770 4.1001 0.5617
12-Dec-11 684.05 15870.35 -3.7936 -3.0536 9.3242 14.3913 11.5839
13-Dec-11 700.3 16002.51 2.4989 1.3991 1.9575 6.2446 3.4962
14-Dec-11 675.55 15881.14 -3.6193 -0.5202 0.2706 13.0991 1.8827

56
 15-Dec-11 665.55 15836.47 -0.5184 0.6152 0.3784 0.2687 -0.3189
16-Dec-11 659.3 15491.35 -1.0162 -2.4364 5.9360 1.0327 2.4759
19-Dec-11 652.45 15175.08 -1.5403 -0.3951 0.1561 2.3727 0.6086
20-Dec-11 650.95 15685.21 -0.4685 -1.7202 2.9590 0.2195 0.8060
21-Dec-11 689.8 15813.36 4.0302 1.2589 1.5848 16.2421 5.0735
22-Dec-11 693.3 15738.7 4.0819 1.6865 2.8444 16.6621 6.8844
23-Dec-11 696.4 15970.75 0.4882 -0.7925 0.6281 0.2384 -0.3869
26-Dec-11 702.1 15873.95 0.3632 1.1808 1.3942 0.1319 0.4289
27-Dec-11 703.6 15727.85 -0.0426 -0.6931 0.4805 0.0018 0.0296
28-Dec-11 686.75 15543.93 -2.3662 -0.8044 0.6470 5.5990 1.9033
29-Dec-11 686.6 15454.92 0.3787 -0.7399 0.5475 0.1434 -0.2802
30-Dec-11 683.05 16483.45 -0.9882 -0.8323 0.6927 0.9766 0.8225

SUM -26.2694 -14.1822 85.0865 284.2057 103.0044

BETA S.D VARIAN CORREL

CE ATION
1.184265 1.882836062 3.5451 0.6483

Interpretation of MAHIDRA & MAHINDRA

Beta of Mahindra and Mahindra is 1.1842653 which means the Mahindra and
Mahindra beta is greater than 1 means it tends to be more volatile than the
market BSE Sensex.

So it is a more risky for investment.standard deviation of Mahindra and Mahindra

Is 1.882836062and correlation is 0.648343438 is Positive correlation so that It
means that when market return increases, the company’s return also increases.

57
 Table No. 1.9

Volatility of NTPC | Power |Return

STOCK SENSEX Stock Sensex

PRICE PRICE Return Return
Date close close Y (m) X X^2 Y^2 X*Y

03-Oct-11 164.7 16151.45 -1.2143 -0.6471 0.4188 1.4746 0.7858

04-Oct-11 163.95 15864.86 -0.2135 -1.3672 1.8693 0.0456 0.2919
05-Oct-11 163.9 15792.41 -0.2746 -1.1101 1.2323 0.0754 0.3048
07-Oct-11 166.6 16232.54 -0.8403 0.0619 0.0038 0.7062 -0.0520
10-Oct-11 170.5 16557.23 1.9941 1.7343 3.0080 3.9766 3.4585
11-Oct-11 176.45 16536.47 3.3437 -0.7963 0.6341 11.1805 -2.6626
12-Oct-11 177.1 16958.39 0.6211 1.7570 3.0871 0.3858 1.0913
13-Oct-11 173.7 16883.92 -2.1877 -0.9718 0.9444 4.7859 2.1260
14-Oct-11 173 17082.69 0.0000 1.4392 2.0714 0.0000 0.0000
17-Oct-11 168.45 17025.09 -2.7011 -0.8867 0.7862 7.2959 2.3950
18-Oct-11 168.45 16748.29 0.2671 -0.4125 0.1702 0.0714 -0.1102
19-Oct-11 171.9 17085.34 2.0942 1.1822 1.3976 4.3858 2.4758
20-Oct-11 171.4 16936.89 -0.1750 0.1478 0.0219 0.0306 -0.0259
21-Oct-11 169.25 16785.64 -1.0340 -1.1328 1.2833 1.0691 1.1713
24-Oct-11 171.15 16939.28 -0.2921 -0.4237 0.1796 0.0853 0.1238
25-Oct-11 173.6 17254.86 1.3537 1.4029 1.9682 1.8325 1.8991
26-Oct-11 174.25 17288.83 0.1148 -0.2748 0.0755 0.0132 -0.0315
28-Oct-11 178.6 17804.8 0.1960 0.7467 0.5575 0.0384 0.1463
31-Oct-11 179.35 17705.01 0.1951 -0.5716 0.3267 0.0381 -0.1115
01-Nov-11 177.6 17480.83 -0.5068 -0.3416 0.1167 0.2568 0.1731
02-Nov-11 176.05 17464.85 -0.5396 0.6708 0.4499 0.2912 -0.3620
03-Nov-11 178 17481.93 1.0955 0.2931 0.0859 1.2001 0.3211
04-Nov-11 179.55 17562.61 -0.0278 -0.6382 0.4073 0.0008 0.0178
08-Nov-11 177.75 17569.53 -0.3094 -0.1374 0.0189 0.0957 0.0425
09-Nov-11 174.4 17362.1 -2.6376 -1.6120 2.5986 6.9570 4.2519
11-Nov-11 173.7 17192.82 -0.1727 0.0287 0.0008 0.0298 -0.0050
14-Nov-11 172.65 17118.74 -1.3322 -1.3423 1.8017 1.7747 1.7881
15-Nov-11 169.95 16882.67 -1.7946 -1.1784 1.3887 3.2208 2.1149
16-Nov-11 169.25 16775.87 -0.4431 -0.5748 0.3304 0.1964 0.2547
17-Nov-11 165.25 16461.71 -1.7852 -1.7797 3.1674 3.1868 3.1771
18-Nov-11 162.8 16371.51 -1.9656 -0.0989 0.0098 3.8636 0.1944
21-Nov-11 156.4 15946.1 -3.5806 -2.2007 4.8432 12.8204 7.8798

58
22-Nov-11 155.75 16065.42 -1.5730 0.4340 0.1884 2.4744 -0.6828
23-Nov-11 156.65 15699.97 0.6064 -1.7174 2.9494 0.3678 -1.0415
24-Nov-11 158.65 15858.49 1.0085 0.8997 0.8095 1.0171 0.9074
25-Nov-11 156.95 15695.43 -1.2743 -0.5468 0.2990 1.6238 0.6968
28-Nov-11 159.55 16167.13 -0.2194 1.7092 2.9214 0.0481 -0.3749
29-Nov-11 158.25 16008.34 -1.1058 -1.2620 1.5927 1.2229 1.3956
30-Nov-11 162.05 16123.46 2.5609 1.5784 2.4915 6.5584 4.0423
01-Dec-11 166.3 16483.45 0.7517 -0.4397 0.1933 0.5650 -0.3305
02-Dec-11 172.2 16846.83 3.4262 2.0945 4.3868 11.7392 7.1761
05-Dec-11 175.9 16805.33 2.3309 -0.0415 0.0017 5.4330 -0.0967
07-Dec-11 170.25 16877.06 -2.7900 0.2786 0.0776 7.7842 -0.7773
08-Dec-11 166.35 16488.24 -1.6531 -2.0105 4.0422 2.7329 3.3237
09-Dec-11 166.15 16213.46 1.2940 -0.2774 0.0770 1.6745 -0.3590
12-Dec-11 163.15 15870.35 -2.9727 -3.0536 9.3242 8.8371 9.0774
13-Dec-11 166.7 16002.51 2.3395 1.3991 1.9575 5.4734 3.2732
14-Dec-11 163.1 15881.14 -1.1649 -0.5202 0.2706 1.3571 0.6060
15-Dec-11 166.4 15836.47 2.0433 0.6152 0.3784 4.1749 1.2569
16-Dec-11 161.05 15491.35 -3.1357 -2.4364 5.9360 9.8324 7.6397
19-Dec-11 160.5 15175.08 -0.9034 -0.3951 0.1561 0.8162 0.3569
20-Dec-11 154.85 15685.21 -4.2622 -1.7202 2.9590 18.1663 7.3318
21-Dec-11 160.3 15813.36 2.3082 1.2589 1.5848 5.3277 2.9057
22-Dec-11 163.8 15738.7 1.7094 1.6865 2.8444 2.9221 2.8830
23-Dec-11 158.5 15970.75 -1.5773 -0.7925 0.6281 2.4878 1.2500
26-Dec-11 160.6 15873.95 0.9963 1.1808 1.3942 0.9925 1.1764
27-Dec-11 156.95 15727.85 -1.9433 -0.6931 0.4805 3.7764 1.3470
28-Dec-11 161.15 15543.93 1.6755 -0.8044 0.6470 2.8072 -1.3477
29-Dec-11 160.8 15454.92 -0.4353 -0.7399 0.5475 0.1895 0.3221
30-Dec-11 160.6 16483.45 0.5915 -0.8323 0.6927 0.3499 -0.4923

- -
SUM 14.1207 14.1822 85.0865 182.1366 84.5896

BETA S.D VARIAN CORREL

CE ATION
0.9940986 1.407204178 1.9802 0.6721

59
Interpretation of NTPC

Beta of NTPC is 0.9940986which means the NTPC beta is less than 1 means it
tends to be less volatile than the market BSE Sensex.

So it is a less risky for investment.standard deviation of NTPC Is

1.407204178and correlation is 0.672096314is Positive correlation so that It
means that when market return increases, the company’s return also increases

Table No. 1.10

Volatility of Larsen & Toubro | Capital Goods Return

STOCK SENSEX Stock Sensex

PRICE PRICE Return Return
Date close close Y (m) X X^2 Y^2 X*Y
16151.4
03-Oct-11 1318.25 5 -2.1809 -0.6471 0.4188 4.7564 1.4113
15864.8
04-Oct-11 1337 6 1.3912 -1.3672 1.8693 1.9354 -1.9021
15792.4
05-Oct-11 1343.65 1 -0.6810 -1.1101 1.2323 0.4637 0.7560
16232.5
07-Oct-11 1393.45 4 0.9652 0.0619 0.0038 0.9317 0.0598
16557.2
10-Oct-11 1386.3 3 -0.4833 1.7343 3.0080 0.2336 -0.8382
16536.4
11-Oct-11 1409.7 7 0.7519 -0.7963 0.6341 0.5654 -0.5988
16958.3
12-Oct-11 1443.45 9 1.7216 1.7570 3.0871 2.9638 3.0248
16883.9
13-Oct-11 1418.3 2 -2.2351 -0.9718 0.9444 4.9955 2.1721
17082.6
14-Oct-11 1407.8 9 -0.6535 1.4392 2.0714 0.4271 -0.9405
17025.0
17-Oct-11 1379.9 9 -2.6886 -0.8867 0.7862 7.2286 2.3840
16748.2
18-Oct-11 1349.15 9 -1.3082 -0.4125 0.1702 1.7115 0.5397
17085.3
19-Oct-11 1399.6 4 2.9616 1.1822 1.3976 8.7708 3.5011
16936.8
20-Oct-11 1385.05 9 0.3646 0.1478 0.0219 0.1329 0.0539
16785.6
21-Oct-11 1336 4 -3.7425 -1.1328 1.2833 14.0064 4.2396
16939.2
24-Oct-11 1294.4 8 -4.2954 -0.4237 0.1796 18.4507 1.8202
17254.8
25-Oct-11 1336.75 6 2.9138 1.4029 1.9682 8.4901 4.0878

60
 17288.8
26-Oct-11 1350.65 3 0.3591 -0.2748 0.0755 0.1289 -0.0987
28-Oct-11 1413.25 17804.8 2.1263 0.7467 0.5575 4.5212 1.5876
17705.0
31-Oct-11 1413.25 1 -0.0531 -0.5716 0.3267 0.0028 0.0303
17480.8
01-Nov-11 1390.2 3 -0.4999 -0.3416 0.1167 0.2499 0.1708
17464.8
02-Nov-11 1387.3 5 1.1605 0.6708 0.4499 1.3468 0.7785
17481.9
03-Nov-11 1380.85 3 -0.4454 0.2931 0.0859 0.1984 -0.1305
17562.6
04-Nov-11 1392.85 1 -0.2980 -0.6382 0.4073 0.0888 0.1902
17569.5
08-Nov-11 1391.65 3 -0.6000 -0.1374 0.0189 0.3600 0.0824
09-Nov-11 1376 17362.1 -1.5988 -1.6120 2.5986 2.5563 2.5774
17192.8
11-Nov-11 1330.65 2 -2.2170 0.0287 0.0008 4.9149 -0.0636
14-Nov-11 1326.1 17118.74 -1.7269 -1.3423 1.8017 2.9821 2.3179
16882.6
15-Nov-11 1288.8 7 -2.9562 -1.1784 1.3887 8.7394 3.4837
16775.8
16-Nov-11 1236.7 7 -3.2587 -0.5748 0.3304 10.6189 1.8731
16461.7
17-Nov-11 1232.5 1 -0.0974 -1.7797 3.1674 0.0095 0.1733
18-Nov-11 1243 16371.5 1.4401 -0.0989 0.0098 2.0738 -0.1424
1
21-Nov-11 1226.3 15946.1 -1.9082 -2.2007 4.8432 3.6412 4.1994
16065.4
22-Nov-11 1226.25 2 -0.0612 0.4340 0.1884 0.0037 -0.0266
15699.9
23-Nov-11 1191.35 7 -2.4048 -1.7174 2.9494 5.7832 4.1300
15858.4
24-Nov-11 1224.2 9 2.7120 0.8997 0.8095 7.3548 2.4400
15695.4
25-Nov-11 1265.8 3 3.7447 -0.5468 0.2990 14.0225 -2.0475
16167.1
28-Nov-11 1279.3 3 -0.1798 1.7092 2.9214 0.0323 -0.3073
16008.3
29-Nov-11 1273.35 4 -0.6636 -1.2620 1.5927 0.4404 0.8375
16123.4
30-Nov-11 1268.8 6 0.3783 1.5784 2.4915 0.1431 0.5971
16483.4
01-Dec-11 1294.7 5 -0.7956 -0.4397 0.1933 0.6329 0.3498
16846.8
02-Dec-11 1310.75 3 0.9346 2.0945 4.3868 0.8734 1.9574
16805.3
05-Dec-11 1314.4 3 0.9282 -0.0415 0.0017 0.8615 -0.0385
16877.0
07-Dec-11 1331 6 0.7663 0.2786 0.0776 0.5873 0.2135
16488.2
08-Dec-11 1262.95 4 -5.2298 -2.0105 4.0422 27.3510 10.5147
16213.4
09-Dec-11 1227 6 -1.6300 -0.2774 0.0770 2.6569 0.4522
15870.3
12-Dec-11 1194.85 5 -4.0214 -3.0536 9.3242 16.1719 12.2796
16002.5
13-Dec-11 1171.65 1 -1.3699 1.3991 1.9575 1.8765 -1.9166
14-Dec-11 1159.5 15881.1 -0.5606 -0.5202 0.2706 0.3143 0.2916

61
 4
15836.4
15-Dec-11 1136.35 7 -1.1968 0.6152 0.3784 1.4324 -0.7362
15491.3
16-Dec-11 1075.8 5 -6.8042 -2.4364 5.9360 46.2977 16.5778
15175.0
19-Dec-11 1032.1 8 -3.6721 -0.3951 0.1561 13.4845 1.4508
15685.2
20-Dec-11 979.1 1 -5.1680 -1.7202 2.9590 26.7083 8.8900
15813.3
21-Dec-11 1001.15 6 0.1149 1.2589 1.5848 0.0132 0.1446
22-Dec-11 1009.35 15738.7 1.4217 1.6865 2.8444 2.0213 2.3978
15970.7
23-Dec-11 1008.7 5 -0.8328 -0.7925 0.6281 0.6935 0.6600
15873.9
26-Dec-11 1025.75 5 0.7555 1.1808 1.3942 0.5709 0.8921
15727.8
27-Dec-11 1028.8 5 -0.2819 -0.6931 0.4805 0.0795 0.1954
15543.9
28-Dec-11 1029.75 3 0.4904 -0.8044 0.6470 0.2405 -0.3945
15454.9
29-Dec-11 1000.5 2 -2.3388 -0.7399 0.5475 5.4701 1.7305
16483.4
30-Dec-11 995.1 5 -0.9949 -0.8323 0.6927 0.9898 0.8280

SUM -43.7317 -14.1822 85.0865 295.6040 99.1632

BETA S.D VARIAN CORRE

CE LATION
1.086769653 1.842685257 3.3955 0.6050

Interpretation of L & T

Beta of Larsen & Toubro is 1.086769653 which means the Larsen & Toubro beta
is more than 1 means it tends to be more volatile than the market BSE Sensex.

So it is a more risky for investment.standard deviation of Larsen & Toubro Is

1.842685257 and correlation is 0.605006976is Positive correlation so that It
means that when market return increases, the company’s return also increases.

Table No. 1.11

62
 Volatility of Reliance Industries | Oil & GasReturn

STOCK SENSEX Stock Sensex

PRICE PRICE Return Return
Date close close Y (m) X X^2 Y^2 X*Y

03-Oct-11 788.2 16151.45 -0.7866 -0.6471 0.4188 0.6187 0.5090

04-Oct-11 772.4 15864.86 -1.6831 -1.3672 1.8693 2.8327 2.3011
05-Oct-11 767.25 15792.41 -0.8667 -1.1101 1.2323 0.7512 0.9622
07-Oct-11 801.45 16232.54 1.9278 0.0619 0.0038 3.7162 0.1194
10-Oct-11 827.9 16557.23 2.9774 1.7343 3.0080 8.8650 5.1639
11-Oct-11 825.85 16536.47 -1.2290 -0.7963 0.6341 1.5105 0.9787
12-Oct-11 849.5 16958.39 2.4132 1.7570 3.0871 5.8235 4.2400
13-Oct-11 846.85 16883.92 -0.3720 -0.9718 0.9444 0.1384 0.3615
14-Oct-11 866.8 17082.69 2.9072 1.4392 2.0714 8.4521 4.1842
17-Oct-11 833.2 17025.09 -4.2967 -0.8867 0.7862 18.4615 3.8098
18-Oct-11 820 16748.29 -0.6098 -0.4125 0.1702 0.3718 0.2515
19-Oct-11 842.3 17085.34 2.0658 1.1822 1.3976 4.2674 2.4421
20-Oct-11 838.4 16936.89 0.5844 0.1478 0.0219 0.3416 0.0864
21-Oct-11 835.4 16785.64 -0.4309 -1.1328 1.2833 0.1857 0.4882
24-Oct-11 846.25 16939.28 -0.1950 -0.4237 0.1796 0.0380 0.0826
25-Oct-11 875 17254.86 2.5143 1.4029 1.9682 6.3216 3.5273
26-Oct-11 873.35 17288.83 -0.4179 -0.2748 0.0755 0.1747 0.1148
28-Oct-11 898 17804.8 0.1114 0.7467 0.5575 0.0124 0.0831
31-Oct-11 877.75 17705.01 -2.3754 -0.5716 0.3267 5.6425 1.3577
01-Nov-11 860.55 17480.83 -0.9819 -0.3416 0.1167 0.9642 0.3355
02-Nov-11 871.45 17464.85 1.8877 0.6708 0.4499 3.5633 1.2662
03-Nov-11 884.6 17481.93 1.8257 0.2931 0.0859 3.3331 0.5351
04-Nov-11 879.6 17562.61 -2.4443 -0.6382 0.4073 5.9746 1.5600
08-Nov-11 881.85 17569.53 0.2098 -0.1374 0.0189 0.0440 -0.0288
09-Nov-11 864.55 17362.1 -2.9553 -1.6120 2.5986 8.7338 4.7640
11-Nov-11 883.85 17192.82 2.8229 0.0287 0.0008 7.9686 0.0809
14-Nov-11 875.15 17118.74 -1.6454 -1.3423 1.8017 2.7074 2.2086
15-Nov-11 862.7 16882.67 -0.9621 -1.1784 1.3887 0.9256 1.1338
16-Nov-11 848.95 16775.87 -1.3369 -0.5748 0.3304 1.7874 0.7685
17-Nov-11 810.65 16461.71 -4.2373 -1.7797 3.1674 17.9551 7.5412
18-Nov-11 808.05 16371.51 0.9900 -0.0989 0.0098 0.9802 -0.0979
21-Nov-11 786.85 15946.1 -1.7856 -2.2007 4.8432 3.1884 3.9296
22-Nov-11 795.05 16065.42 1.0628 0.4340 0.1884 1.1296 0.4613

63
 23-Nov-11 773.75 15699.97 -1.9709 -1.7174 2.9494 3.8845 3.3848
24-Nov-11 774.2 15858.49 -0.1033 0.8997 0.8095 0.0107 -0.0930
25-Nov-11 754 15695.43 -1.9761 -0.5468 0.2990 3.9051 1.0805
28-Nov-11 783 16167.13 2.4266 1.7092 2.9214 5.8882 4.1475
29-Nov-11 765 16008.34 -2.3268 -1.2620 1.5927 5.4140 2.9365
30-Nov-11 778.8 16123.46 2.8505 1.5784 2.4915 8.1256 4.4994
01-Dec-11 798.5 16483.45 -0.0063 -0.4397 0.1933 0.0000 0.0028
02-Dec-11 810.8 16846.83 1.5787 2.0945 4.3868 2.4923 3.3065
05-Dec-11 807.35 16805.33 -0.0372 -0.0415 0.0017 0.0014 0.0015
07-Dec-11 809.2 16877.06 0.2286 0.2786 0.0776 0.0523 0.0637
08-Dec-11 779.2 16488.24 -3.0416 -2.0105 4.0422 9.2512 6.1152
09-Dec-11 755.45 16213.46 -1.8863 -0.2774 0.0770 3.5581 0.5233
12-Dec-11 727.9 15870.35 -4.5611 -3.0536 9.3242 20.8033 13.9275
13-Dec-11 742.6 16002.51 2.7067 1.3991 1.9575 7.3263 3.7869
14-Dec-11 741.7 15881.14 0.5123 -0.5202 0.2706 0.2625 -0.2665
15-Dec-11 748.7 15836.47 2.1905 0.6152 0.3784 4.7981 1.3475
16-Dec-11 723 15491.35 -3.9557 -2.4364 5.9360 15.6479 9.6377
19-Dec-11 735.85 15175.08 2.1676 -0.3951 0.1561 4.6983 -0.8564
20-Dec-11 713.55 15685.21 -3.7068 -1.7202 2.9590 13.7405 6.3764
21-Dec-11 747.25 15813.36 2.4423 1.2589 1.5848 5.9648 3.0746
22-Dec-11 754.75 15738.7 1.6827 1.6865 2.8444 2.8314 2.8379
23-Dec-11 746.45 15970.75 -1.6813 -0.7925 0.6281 2.8267 1.3324
26-Dec-11 760.95 15873.95 1.4390 1.1808 1.3942 2.0707 1.6991
27-Dec-11 753.25 15727.85 -1.5732 -0.6931 0.4805 2.4749 1.0904
28-Dec-11 738.55 15543.93 -1.7399 -0.8044 0.6470 3.0272 1.3995
29-Dec-11 712.9 15454.92 -2.9457 -0.7399 0.5475 8.6772 2.1795
30-Dec-11 692.9 16483.45 -2.9009 -0.8323 0.6927 8.4149 2.4144

- -
SUM 19.4993 14.1822 85.0865 273.9289 131.4715

BETA S.D VARIAN CORRE

CE LATION
1.552133406 1.860071268 3.4599 0.8578

Interpretation OF Reliance Industries

64
Beta of Reliance Industries is 1.552133406 which means the Reliance Industries
beta is more than 1 means it tends to be more volatile than the market BSE
Sensex.

So it is a more risky for investment.standard deviation of Reliance Industries Is

1.860071268 and correlation is 0.857817022 is Positive correlation so that It
means that when market return increases, the company’s return also increases.

Table No. 1.12

Volatility of State Bank of India | Finance Return

STOCK SENSEX Stock Sensex

PRICE PRICE Return Return
Date close close Y (m) X X^2 Y^2 X*Y

03-Oct-11 1862.75 16151.45 -1.1891 -0.6471 0.4188 1.4140 0.7695

04-Oct-11 1786.7 15864.86 -3.6380 -1.3672 1.8693 13.2350 4.9740
05-Oct-11 1715.3 15792.41 -5.1711 -1.1101 1.2323 26.7403 5.7404
07-Oct-11 1751.85 16232.54 -0.6365 0.0619 0.0038 0.4051 -0.0394
10-Oct-11 1754.55 16557.23 -0.3106 1.7343 3.0080 0.0965 -0.5387
11-Oct-11 1765.1 16536.47 -0.4476 -0.7963 0.6341 0.2003 0.3564
12-Oct-11 1872.25 16958.39 4.9272 1.7570 3.0871 24.2776 8.6572
13-Oct-11 1886.95 16883.92 0.2623 -0.9718 0.9444 0.0688 -0.2549
14-Oct-11 1882.5 17082.69 0.4515 1.4392 2.0714 0.2039 0.6499
17-Oct-11 1891.8 17025.09 -0.4334 -0.8867 0.7862 0.1879 0.3843
18-Oct-11 1863.4 16748.29 -0.3918 -0.4125 0.1702 0.1535 0.1616
19-Oct-11 1919.1 17085.34 1.5215 1.1822 1.3976 2.3151 1.7987
20-Oct-11 1934.45 16936.89 2.1582 0.1478 0.0219 4.6580 0.3191
21-Oct-11 1948.6 16785.64 0.4208 -1.1328 1.2833 0.1771 -0.4767
24-Oct-11 1907.55 16939.28 -3.5359 -0.4237 0.1796 12.5029 1.4984

65
25-Oct-11 1840.45 17254.86 -4.3223 1.4029 1.9682 18.6824 -6.0638
26-Oct-11 1866.95 17288.83 0.4794 -0.2748 0.0755 0.2298 -0.1317
28-Oct-11 1907 17804.8 -0.7918 0.7467 0.5575 0.6270 -0.5912
31-Oct-11 1906.7 17705.01 -0.6451 -0.5716 0.3267 0.4161 0.3687
01-Nov-11 1902.2 17480.83 0.4311 -0.3416 0.1167 0.1858 -0.1473
02-Nov-11 1908.95 17464.85 1.2546 0.6708 0.4499 1.5741 0.8416
03-Nov-11 1934.5 17481.93 1.6800 0.2931 0.0859 2.8225 0.4924
04-Nov-11 1964.25 17562.61 0.3335 -0.6382 0.4073 0.1112 -0.2128
08-Nov-11 1997.55 17569.53 1.3166 -0.1374 0.0189 1.7335 -0.1809
09-Nov-11 1862.5 17362.1 -8.1450 -1.6120 2.5986 66.3405 13.1298
11-Nov-11 1797.65 17192.82 -3.4684 0.0287 0.0008 12.0299 -0.0995
14-Nov-11 1753.05 17118.74 -4.1613 -1.3423 1.8017 17.3166 5.5856
15-Nov-11 1729.9 16882.67 -0.9307 -1.1784 1.3887 0.8662 1.0968
16-Nov-11 1764.9 16775.87 1.9973 -0.5748 0.3304 3.9891 -1.1481
17-Nov-11 1757.5 16461.71 -0.3528 -1.7797 3.1674 0.1244 0.6278
18-Nov-11 1725.5 16371.51 -1.7096 -0.0989 0.0098 2.9229 0.1691
21-Nov-11 1673.05 15946.1 -3.0394 -2.2007 4.8432 9.2377 6.6888
22-Nov-11 1688.65 16065.42 0.5122 0.4340 0.1884 0.2624 0.2223
23-Nov-11 1654.3 15699.97 -0.9490 -1.7174 2.9494 0.9007 1.6299
24-Nov-11 1653.25 15858.49 -0.2268 0.8997 0.8095 0.0515 -0.2041
25-Nov-11 1690.7 15695.43 2.5374 -0.5468 0.2990 6.4385 -1.3874
28-Nov-11 1776.9 16167.13 2.9208 1.7092 2.9214 8.5312 4.9923
29-Nov-11 1756.5 16008.34 -1.6225 -1.2620 1.5927 2.6327 2.0477
30-Nov-11 1762.85 16123.46 0.8424 1.5784 2.4915 0.7096 1.3297
01-Dec-11 1819.25 16483.45 0.3985 -0.4397 0.1933 0.1588 -0.1752
02-Dec-11 1886.5 16846.83 3.4190 2.0945 4.3868 11.6898 7.1610
05-Dec-11 1908.6 16805.33 1.3937 -0.0415 0.0017 1.9424 -0.0578
07-Dec-11 1936.7 16877.06 1.2754 0.2786 0.0776 1.6266 0.3553
08-Dec-11 1865.85 16488.24 -3.8133 -2.0105 4.0422 14.5411 7.6667
09-Dec-11 1863.95 16213.46 1.8268 -0.2774 0.0770 3.3371 -0.5068
12-Dec-11 1773.1 15870.35 -6.0854 -3.0536 9.3242 37.0319 18.5821
13-Dec-11 1787.2 16002.51 1.5779 1.3991 1.9575 2.4897 2.2076
14-Dec-11 1784.65 15881.14 0.0364 -0.5202 0.2706 0.0013 -0.0189
15-Dec-11 1744.5 15836.47 -0.6019 0.6152 0.3784 0.3623 -0.3703
16-Dec-11 1680.45 15491.35 -4.3709 -2.4364 5.9360 19.1044 10.6491
19-Dec-11 1631.55 15175.08 -2.2892 -0.3951 0.1561 5.2406 0.9044
20-Dec-11 1582.8 15685.21 -3.1084 -1.7202 2.9590 9.6622 5.3471
21-Dec-11 1623.1 15813.36 0.0062 1.2589 1.5848 0.0000 0.0078
22-Dec-11 1668.45 15738.7 3.2635 1.6865 2.8444 10.6505 5.5041
23-Dec-11 1648.35 15970.75 -1.7381 -0.7925 0.6281 3.0210 1.3775
26-Dec-11 1664.65 15873.95 1.3606 1.1808 1.3942 1.8514 1.6066

66
 27-Dec-11 1642.9 15727.85 -1.5887 -0.6931 0.4805 2.5238 1.1012
28-Dec-11 1609.7 15543.93 -0.9691 -0.8044 0.6470 0.9392 0.7795
29-Dec-11 1627.05 15454.92 1.7854 -0.7399 0.5475 3.1878 -1.3211
30-Dec-11 1619.5 16483.45 -1.1670 -0.8323 0.6927 1.3620 0.9713

SUM -31.4604 -14.1822 85.0865 376.0958 114.8265

BETA S.D VARIAN CORRE

CE LATION
1.313894344 2.234576313 4.9933 0.6264

Interpretation of SBI

Beta of State Bank of India is 1.313894344 which means the State Bank of India
beta is more than 1 means it tends to be more volatile than the market BSE
Sensex.

So it is a more risky for investment.standard deviation of State Bank of India Is

2.234576313and correlation is 0.626401482 is Positive correlation so that It
means that when market return increases, the company’s return also increases.

Table No. 1.13

Volatility of Ranbaxy Laboratories | Healthcare

STOC SENSEX Stock Sensex

K PRICE Return Return
PRICE
Date close close Y X X^2 Y^2 X*Y
03-Oct-11 513.35 16151.45 0.8474 -0.6471 0.4188 0.7180 -0.5484
04-Oct-11 516.25 15864.86 0.6295 -1.3672 1.8693 0.3963 -0.8607
05-Oct-11 519.5 15792.41 -0.8085 -1.1101 1.2323 0.6536 0.8975
07-Oct-11 517.5 16232.54 -0.8696 0.0619 0.0038 0.7561 -0.0538

67
10-Oct-11 516.6 16557.23 -0.2323 1.7343 3.0080 0.0540 -0.4029
11-Oct-11 516.2 16536.47 -0.3487 -0.7963 0.6341 0.1216 0.2777
12-Oct-11 516.55 16958.39 -0.6679 1.7570 3.0871 0.4461 -1.1735
13-Oct-11 502.35 16883.92 -2.5779 -0.9718 0.9444 6.6455 2.5052
14-Oct-11 502.5 17082.69 0.9950 1.4392 2.0714 0.9901 1.4321
17-Oct-11 497.85 17025.09 -1.4362 -0.8867 0.7862 2.0626 1.2734
18-Oct-11 501.4 16748.29 1.4759 -0.4125 0.1702 2.1782 -0.6088
19-Oct-11 514.45 17085.34 1.8369 1.1822 1.3976 3.3743 2.1716
20-Oct-11 501.4 16936.89 -1.5257 0.1478 0.0219 2.3278 -0.2256
21-Oct-11 496.6 16785.64 -1.2888 -1.1328 1.2833 1.6609 1.4599
24-Oct-11 505.05 16939.28 1.5939 -0.4237 0.1796 2.5405 -0.6754
25-Oct-11 509.9 17254.86 0.8727 1.4029 1.9682 0.7616 1.2243
26-Oct-11 516 17288.83 0.7752 -0.2748 0.0755 0.6009 -0.2130
28-Oct-11 514.4 17804.8 -1.2830 0.7467 0.5575 1.6462 -0.9580
31-Oct-11 501.1 17705.01 -2.4546 -0.5716 0.3267 6.0251 1.4030
01-Nov-11 504.95 17480.83 0.9803 -0.3416 0.1167 0.9610 -0.3349
02-Nov-11 511.85 17464.85 2.3151 0.6708 0.4499 5.3598 1.5529
03-Nov-11 513.6 17481.93 0.5062 0.2931 0.0859 0.2563 0.1484
04-Nov-11 503.6 17562.61 -2.6608 -0.6382 0.4073 7.0801 1.6982
08-Nov-11 496.8 17569.53 -2.4557 -0.1374 0.0189 6.0305 0.3374
09-Nov-11 475.4 17362.1 -3.9125 -1.6120 2.5986 15.3076 6.3070
11-Nov-11 468.1 17192.82 -1.4740 0.0287 0.0008 2.1728 -0.0423
14-Nov-11 483.9 17118.74 1.6326 -1.3423 1.8017 2.6653 -2.1914
15-Nov-11 468.5 16882.67 -3.3191 -1.1784 1.3887 11.0164 3.9113
16-Nov-11 473.05 16775.87 -0.2008 -0.5748 0.3304 0.0403 0.1154
17-Nov-11 453.25 16461.71 -3.9934 -1.7797 3.1674 15.9471 7.1070
18-Nov-11 458.4 16371.51 1.8325 -0.0989 0.0098 3.3579 -0.1812
21-Nov-11 447.4 15946.1 -2.3692 -2.2007 4.8432 5.6133 5.2141
22-Nov-11 445.9 16065.42 -1.5923 0.4340 0.1884 2.5354 -0.6911
23-Nov-11 429.4 15699.97 -3.1905 -1.7174 2.9494 10.1793 5.4793
24-Nov-11 428.95 15858.49 -0.2448 0.8997 0.8095 0.0599 -0.2202
25-Nov-11 440.6 15695.43 1.2710 -0.5468 0.2990 1.6154 -0.6950
28-Nov-11 449.4 16167.13 0.9791 1.7092 2.9214 0.9586 1.6735
29-Nov-11 452.35 16008.34 -1.8901 -1.2620 1.5927 3.5726 2.3854
30-Nov-11 434.8 16123.46 -4.1858 1.5784 2.4915 17.5212 -6.6071
01-Dec-11 444.1 16483.45 -6.1247 -0.4397 0.1933 37.5125 2.6931
02-Dec-11 442.4 16846.83 -0.8024 2.0945 4.3868 0.6439 -1.6807
05-Dec-11 436.4 16805.33 -1.0541 -0.0415 0.0017 1.1111 0.0437
07-Dec-11 437.75 16877.06 -0.9595 0.2786 0.0776 0.9205 -0.2673
08-Dec-11 418.65 16488.24 -4.8609 -2.0105 4.0422 23.6280 9.7729
09-Dec-11 415.9 16213.46 0.5771 -0.2774 0.0770 0.3330 -0.1601
12-Dec-11 405.75 15870.35 -3.3272 -3.0536 9.3242 11.0701 10.1597
13-Dec-11 406.2 16002.51 0.8124 1.3991 1.9575 0.6600 1.1366

68
 14-Dec-11 400.85 15881.14 -1.2848 -0.5202 0.2706 1.6506 0.6683
15-Dec-11 383.95 15836.47 -2.8780 0.6152 0.3784 8.2828 -1.7704
16-Dec-11 380.25 15491.35 -1.5122 -2.4364 5.9360 2.2866 3.6842
19-Dec-11 383.5 15175.08 1.1604 -0.3951 0.1561 1.3464 -0.4584
20-Dec-11 395.35 15685.21 2.6306 -1.7202 2.9590 6.9200 -4.5251
21-Dec-11 406.95 15813.36 1.3392 1.2589 1.5848 1.7935 1.6859
22-Dec-11 421.55 15738.7 4.4004 1.6865 2.8444 19.3638 7.4215
23-Dec-11 405.5 15970.75 -3.2182 -0.7925 0.6281 10.3571 2.5505
26-Dec-11 401.65 15873.95 -1.3320 1.1808 1.3942 1.7742 -1.5728
27-Dec-11 410.75 15727.85 2.3737 -0.6931 0.4805 5.6345 -1.6453
28-Dec-11 405 15543.93 -0.3704 -0.8044 0.6470 0.1372 0.2979
29-Dec-11 403.65 15454.92 -0.3344 -0.7399 0.5475 0.1119 0.2475
30-Dec-11 405.25 16483.45 -0.8267 -0.8323 0.6927 0.6834 0.6880

- -
SUM 42.0306 14.1822 85.0865 282.4315 60.8613
BETA S.D VARIA Correl
NCE ation
0.62304 2.0707 4.2879 0.3542

Interpretation Ranbaxy Laboratories

Beta of Ranbaxy Laboratories is 0.62304 which means the Ranbaxy

Laboratories beta is less than 1 means it tends to be less volatile than the
market BSE Sensex.
So it is a less risky for investment. Standard deviation of Ranbaxy Laboratories Is
2.070734721 and correlation is 0.354153414is Positive correlation so that It
means that when market return increases, the company’s return also increases.

Table No. 1.14

Volatility of TCS | Information Technology

stock STOCK SENSEX Stock Sensex

PRICE PRICE Return Return
Date open close close Y X X^2 Y^2 X*Y

03-Oct-11 1024.95 1044 16151.45 1.824713 -0.64712 0.41877 3.329576 -1.18082

69
04-Oct-11 1036 1045.95 15864.86 0.951288 -1.36724 1.869333 0.904949 -1.30064
05-Oct-11 1052.25 1043.5 15792.41 -0.83852 -1.11009 1.2323 0.703123 0.930838
07-Oct-11 1070 1048.7 16232.54 -2.03109 0.061913 0.003833 4.125311 -0.12575
10-Oct-11 1048.3 1065.3 16557.23 1.595795 1.734348 3.007963 2.54656 2.767663
11-Oct-11 1071.05 1041.2 16536.47 -2.86688 -0.7963 0.634095 8.219026 2.282902
12-Oct-11 1064 1079.35 16958.39 1.422152 1.757006 3.087072 2.022517 2.498731
13-Oct-11 1095 1090.8 16883.92 -0.38504 -0.97181 0.944419 0.148255 0.374185
14-Oct-11 1088.6 1134.5 17082.69 4.045835 1.439235 2.071396 16.36878 5.822906
17-Oct-11 1150 1119.8 17025.09 -2.69691 -0.88669 0.786222 7.273324 2.391327
18-Oct-11 1062 1033.5 16748.29 -2.75762 -0.41252 0.170173 7.604467 1.137573
19-Oct-11 1043.5 1048.7 17085.34 0.495852 1.182183 1.397557 0.245869 0.586188
20-Oct-11 1036 1044.7 16936.89 0.832775 0.147843 0.021858 0.693514 0.12312
21-Oct-11 1052 1048.25 16785.64 -0.35774 -1.13281 1.283266 0.127977 0.405252
24-Oct-11 1057 1079.35 16939.28 2.070691 -0.42375 0.179563 4.28776 -0.87745
25-Oct-11 1086.1 1099.3 17254.86 1.200764 1.402909 1.968154 1.441834 1.684563
26-Oct-11 1101 1095.55 17288.83 -0.49747 -0.2748 0.075516 0.247473 0.136705
28-Oct-11 1116.5 1119.65 17804.8 0.281338 0.746653 0.55749 0.079151 0.210062
31-Oct-11 1118 1114.2 17705.01 -0.34105 -0.57159 0.326715 0.116316 0.194942
01-Nov-11 1100 1107.5 17480.83 0.677201 -0.34163 0.116712 0.458601 -0.23135
02-Nov-11 1095.05 1106.3 17464.85 1.016903 0.670776 0.44994 1.034092 0.682114
03-Nov-11 1100 1103.45 17481.93 0.312656 0.293103 0.085909 0.097754 0.09164
04-Nov-11 1117.2 1099.1 17562.61 -1.6468 -0.63823 0.407339 2.711957 1.05104
08-Nov-11 1100.95 1103.5 17569.53 0.231083 -0.1374 0.018878 0.053399 -0.03175
09-Nov-11 1111 1123 17362.1 1.068566 -1.61202 2.598599 1.141834 -1.72255
11-Nov-11 1102 1130.8 17192.82 2.546869 0.028675 0.000822 6.486544 0.073031
14-Nov-11 1136 1126.5 17118.74 -0.84332 -1.34227 1.801693 0.711189 1.131965
15-Nov-11 1127.8 1122.95 16882.67 -0.4319 -1.17843 1.388691 0.186536 0.508961
16-Nov-11 1122.2 1116.2 16775.87 -0.53754 -0.57481 0.330411 0.288947 0.308984
17-Nov-11 1114.7 1113 16461.71 -0.15274 -1.77971 3.167353 0.02333 0.271833
18-Nov-11 1109.95 1088.05 16371.51 -2.01278 -0.09889 0.009779 4.051264 0.199046
21-Nov-11 1085 1064.95 15946.1 -1.88272 -2.20073 4.843196 3.544625 4.143346
22-Nov-11 1068 1084.55 16065.42 1.525979 0.434038 0.188389 2.32861 0.662332
23-Nov-11 1083 1062.4 15699.97 -1.93901 -1.71739 2.949435 3.759744 3.330033
24-Nov-11 1069.75 1089.25 15858.49 1.790223 0.899707 0.809473 3.204897 1.610676
25-Nov-11 1088.4 1062.95 15695.43 -2.39428 -0.54678 0.298972 5.732577 1.309153
28-Nov-11 1074 1089.15 16167.13 1.390993 1.709209 2.921395 1.934861 2.377497
29-Nov-11 1094.4 1090.7 16008.34 -0.33923 -1.26203 1.592719 0.115078 0.42812
30-Nov-11 1089 1113.1 16123.46 2.165124 1.578445 2.49149 4.687764 3.417531
01-Dec-11 1135 1134.75 16483.45 -0.02203 -0.43971 0.193348 0.000485 0.009687
02-Dec-11 1130 1175.5 16846.83 3.870693 2.094459 4.38676 14.98227 8.10701
05-Dec-11 1172 1179.55 16805.33 0.640075 -0.04147 0.00172 0.409695 -0.02655
07-Dec-11 1177.2 1179.1 16877.06 0.16114 0.278603 0.07762 0.025966 0.044894
08-Dec-11 1166.3 1177.3 16488.24 0.934341 -2.01052 4.042206 0.872994 -1.87852

70
09-Dec-11 1170.95 1171.7 16213.46 0.06401 -0.27742 0.076964 0.004097 -0.01776
12-Dec-11 1174.2 1179.9 15870.35 0.483092 -3.05356 9.324203 0.233378 -1.47515
13-Dec-11 1169 1179.7 16002.51 0.90701 1.399093 1.957461 0.822668 1.268992
14-Dec-11 1179 1179.8 15881.14 0.067808 -0.52018 0.270584 0.004598 -0.03527
15-Dec-11 1170 1182.6 15836.47 1.065449 0.615162 0.378425 1.135182 0.655424
16-Dec-11 1180.5 1143.5 15491.35 -3.23568 -2.43639 5.936006 10.46962 7.883384
19-Dec-11 1143.5 1142.55 15175.08 -0.08315 -0.39508 0.156085 0.006913 0.032849
20-Dec-11 1141 1133.1 15685.21 -0.6972 -1.72019 2.959049 0.486091 1.19932
21-Dec-11 1149 1159.9 15813.36 0.939736 1.258893 1.584811 0.883104 1.183027
22-Dec-11 1148 1149 15738.7 0.087032 1.686549 2.844446 0.007575 0.146784
23-Dec-11 1150 1156.3 15970.75 0.544841 -0.79251 0.628064 0.296852 -0.43179
26-Dec-11 1152.3 1187.9 15873.95 2.996885 1.180784 1.39425 8.981321 3.538673
27-Dec-11 1186 1176.75 15727.85 -0.78606 -0.69315 0.480454 0.617896 0.544858
28-Dec-11 1169.9 1169.15 15543.93 -0.06415 -0.80437 0.64701 0.004115 0.0516
29-Dec-11 1161.1 1165.35 15454.92 0.364697 -0.7399 0.547456 0.133004 -0.26984
30-Dec-11 1175 1161.25 16483.45 -1.18407 -0.83229 0.692709 1.402019 0.985491

SUM 9.548638 -14.1822 85.08652 144.8192 59.19107

BETA S.D VARIAN Correlati
CE on
0.751803 0 0 0.567785

Interpretation of TCS

Beta of TCS is 0.751803 which means the TCS beta is less than 1 means it
tends to be less volatile than the market BSE Sensex.
So it is a less risky for investment. Standard deviation of TCS Is
1.545421337and correlation is 0.567784783 is Positive correlation so that It
means that when market return increases, the company’s return also increases.

Table No. 1.15

Volatility of ONGC | Oil and Gas

71
STOCK SENSEX Stock Sensex
PRICE PRICE Return Return

72
 Date close close Y X X^2 Y^2 X*Y

03-Oct-11 268.55 16151.45 1.9736 -0.6471 0.4188 3.8949 -1.2771

04-Oct-11 264.4 15864.86 -1.2670 -1.3672 1.8693 1.6053 1.7323
05-Oct-11 264.2 15792.41 0.3028 -1.1101 1.2323 0.0917 -0.3361
07-Oct-11 264.45 16232.54 -1.3424 0.0619 0.0038 1.8021 -0.0831
10-Oct-11 273.5 16557.23 3.4735 1.7343 3.0080 12.0651 6.0242
11-Oct-11 268.35 16536.47 -0.9875 -0.7963 0.6341 0.9752 0.7864
12-Oct-11 270.5 16958.39 0.5545 1.7570 3.0871 0.3075 0.9743
13-Oct-11 265 16883.92 -3.0566 -0.9718 0.9444 9.3428 2.9704
14-Oct-11 266.65 17082.69 0.6188 1.4392 2.0714 0.3829 0.8906
17-Oct-11 269.5 17025.09 0.5566 -0.8867 0.7862 0.3098 -0.4935
18-Oct-11 263.6 16748.29 -1.8778 -0.4125 0.1702 3.5263 0.7746
19-Oct-11 268.35 17085.34 1.5838 1.1822 1.3976 2.5083 1.8723
20-Oct-11 266.8 16936.89 -0.0750 0.1478 0.0219 0.0056 -0.0111
21-Oct-11 265.4 16785.64 -0.6217 -1.1328 1.2833 0.3865 0.7043
24-Oct-11 276.25 16939.28 2.4796 -0.4237 0.1796 6.1486 -1.0507
25-Oct-11 276.7 17254.86 0.1626 1.4029 1.9682 0.0264 0.2282
26-Oct-11 276.2 17288.83 -0.2896 -0.2748 0.0755 0.0839 0.0796
28-Oct-11 284.6 17804.8 1.6163 0.7467 0.5575 2.6124 1.2068
31-Oct-11 278.2 17705.01 -2.8037 -0.5716 0.3267 7.8609 1.6026
01-Nov-11 277.95 17480.83 0.7016 -0.3416 0.1167 0.4922 -0.2397
02-Nov-11 278.25 17464.85 0.4852 0.6708 0.4499 0.2354 0.3254
03-Nov-11 277.95 17481.93 0.0899 0.2931 0.0859 0.0081 0.0264
04-Nov-11 277.65 17562.61 -1.2966 -0.6382 0.4073 1.6812 0.8275
08-Nov-11 278 17569.53 -3.0576 -0.1374 0.0189 9.3486 0.4201
09-Nov-11 271.25 17362.1 -3.0415 -1.6120 2.5986 9.2506 4.9029
11-Nov-11 265.8 17192.82 -2.3326 0.0287 0.0008 5.4409 -0.0669
14-Nov-11 261.2 17118.74 -1.9142 -1.3423 1.8017 3.6643 2.5694
15-Nov-11 258.8 16882.67 -1.2365 -1.1784 1.3887 1.5289 1.4571
16-Nov-11 263.3 16775.87 1.2533 -0.5748 0.3304 1.5708 -0.7204
17-Nov-11 257.35 16461.71 -2.5840 -1.7797 3.1674 6.6772 4.5988
18-Nov-11 259.25 16371.51 0.5786 -0.0989 0.0098 0.3348 -0.0572
21-Nov-11 252.25 15946.1 -3.6472 -2.2007 4.8432 13.3019 8.0264
22-Nov-11 251.85 16065.42 -0.4566 0.4340 0.1884 0.2085 -0.1982
23-Nov-11 246.3 15699.97 -2.3143 -1.7174 2.9494 5.3558 3.9745
24-Nov-11 253.45 15858.49 2.5449 0.8997 0.8095 6.4764 2.2896
25-Nov-11 251.85 15695.43 -1.1713 -0.5468 0.2990 1.3720 0.6405
28-Nov-11 261.65 16167.13 2.2358 1.7092 2.9214 4.9989 3.8215
29-Nov-11 257.9 16008.34 -1.5898 -1.2620 1.5927 2.5273 2.0063
30-Nov-11 265.8 16123.46 3.6870 1.5784 2.4915 13.5938 5.8197
01-Dec-11 266.05 16483.45 -1.9733 -0.4397 0.1933 3.8940 0.8677
02-Dec-11 268.05 16846.83 0.3731 2.0945 4.3868 0.1392 0.7814
05-Dec-11 268.6 16805.33 -0.1489 -0.0415 0.0017 0.0222 0.0062

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 07-Dec-11 273 16877.06 1.8315 0.2786 0.0776 3.3544 0.5103
08-Dec-11 266.8 16488.24 -1.9490 -2.0105 4.0422 3.7987 3.9186
09-Dec-11 261.7 16213.46 -0.8407 -0.2774 0.0770 0.7067 0.2332
12-Dec-11 257.45 15870.35 -2.5053 -3.0536 9.3242 6.2767 7.6502
13-Dec-11 255.35 16002.51 -0.6462 1.3991 1.9575 0.4175 -0.9041
14-Dec-11 252 15881.14 -1.0714 -0.5202 0.2706 1.1480 0.5573
15-Dec-11 251.25 15836.47 0.4975 0.6152 0.3784 0.2475 0.3061
16-Dec-11 250.1 15491.35 -1.4794 -2.4364 5.9360 2.1886 3.6044
19-Dec-11 247.3 15175.08 -1.6983 -0.3951 0.1561 2.8844 0.6710
20-Dec-11 253.2 15685.21 1.2441 -1.7202 2.9590 1.5477 -2.1400
21-Dec-11 260.65 15813.36 1.5922 1.2589 1.5848 2.5350 2.0044
22-Dec-11 264.75 15738.7 2.5496 1.6865 2.8444 6.5003 4.3000
23-Dec-11 261.55 15970.75 -1.7014 -0.7925 0.6281 2.8947 1.3484
26-Dec-11 262.25 15873.95 0.4766 1.1808 1.3942 0.2272 0.5628
27-Dec-11 263.55 15727.85 0.3984 -0.6931 0.4805 0.1587 -0.2762
28-Dec-11 260.55 15543.93 -0.5565 -0.8044 0.6470 0.3097 0.4476
29-Dec-11 258.45 15454.92 -0.9867 -0.7399 0.5475 0.9735 0.7300
30-Dec-11 256.95 16483.45 -0.4281 -0.8323 0.6927 0.1833 0.3563

Sum -19.0875 -14.1822 85.0865 182.4121 82.5542

BETA S.D VARIAN Correlati

CE on
0.954831914 0.0000 0.0000 0.6501

Interpretation of ONGC

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

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CHEPTER -7

FINDINGS

Company Name Beta Rank

(beta
S.D Correlation wise)
Bharat Heavy Electricals Ltd.
1.164 2.8 0.4573 10
Larsen & Toubro Limited 1.0867
1.8427 0.605 9
HDFC Bank 0.8735
1.2092 0.6497 4
ACC LTD 0.9909
1.3239 0.6999 6
State Bank of India 1.3139
2.2346 0.6264 12
Hindustan Unilever Ltd. 1.4575
2.5084 0.6299 13
Tata Consultancy Services 0.7518
Limited 1.5454 0.5678 2
Hindalco Industries Ltd. 1.5706
2.6816 0.6405 15
ONGC Ltd. 0.9548
1.7288 0.65 5
Reliance Industries Ltd. 1.5521
1.86 0.8578 14
NTPC Ltd. 0.9941
1.4072 0.6721 7
Mahindra & Mahindra Ltd. 1.1843
1.8828 0.6483 11
Grasim Industry 0.8185
1.2128 0.6077 3
Ranbaxy Laboratories 0.623
2.0707 0.3542 1
Bharti Airtel 1.026 1.9822 5392 8

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Beta of BHEL company is 1.164 which means the BHEL company share price
fluctuate more than BSE Sensex because if BHEL beta is greater than 1 than it
represent the BHEL share price is more fluctuate compare to market return, if
BHEL beta is less than its represent that BHEL share price less fluctuate
compare to market return, if BHEL beta is equal to 1 than its shows that both
are fluctuate in same sense.

The value of correlation could be positive, negative or zero. It always varies

between the -1.0 (negative correlation) and +1.0 (positively correlation).so this is
Positive correlation so that It means that when market return increases, the
company’s return also increases.

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CHEPTER - 8

Conclusion

There are number of factors which have an influence on the price

movements. The volatility is depends on the internal and external factors.
Some of them are controllable and others are non controllable.

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

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

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

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CHEPTER-9

SUGGESTION & RECOMMANDATION

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

By applying the statistical analysis it is found that we can buy the

company's stock as a speculator and also as an investor.

• We suggest investors category as per them investment purpose.

• Hedger-: as per price volatility of various securities who's beta is show in
green box those securities are useful to investors for heading them
portfolio.
• Specially beta rank from 1 to 5 are those securities which heading portfolio
risk.
• Securities rank in yellow box which show that securities are move with
market return (Sensex) , it denoted that if market id positive then securities
return is also positive and vice versa market return is negative then
securities return is also negatives.
• Beta rank from 6 to 10 is those securities it may can be use for hedging
portfolio.
• Speculators-: those investors whose main purpose is to take high risk
and gain short term profit.
• as per price volatility of various securities who's beta is show in RED box
those securities are useful to investors for speculate them portfolio.
• specially beta rank from 11 to 15 are those securities which speculating
portfolio .

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 Limitations of the study

The most important limitation of this study is that it considers only Sensex
companies listed in Bombay Stock Exchange.

Only three months duration has been taken for the study.

The indices taken as benchmark have their own limitations. The BSE sensex
consist of 30 scripts. So it does not truly reflect as a whole. Hence there is a
limitation that the true returns from the market is not reflected indices

Generalization of findings and conclusions of the study are likely to be

disputed as security prices are determined by so many factors. However the
findings and conclusions drawn upon the secondary data collected is
expected to through some new light on volatility of share prices during public
issues.

79
 BIBILOGRAPHY

Book refer :-

1. Reilly/Brown, Investments- Analysis and Portfolio Management, Cengage

Learning Eighth Edition.

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

Latest Edition.

3. Business statistics

Authors-: ken black

Internet source :-

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

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