59576676 a Study on Risk and Return Analysis of Listed Stocks in Sensex With Special Reference to...

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“A STUDY ON RISK AND RETURN ANALYSIS OF LISTED STOCKS IN SENSEX

WITHSPECIAL REFERENCE TO BOMBAY STOCK EXCHANGE”

BY

V.RAMACHANDRAN

REG.NO:80709601067

Of

DEPARTMENT OF MANAGEMENT STUDIES

J.J.COLLEGE OF ENGINEERING & TECHNOLOGY

AMMAPETTAI

TIRUCHIRAPPALLI – 620 009

A PROJECT REPORT

Submitted to the

FACULTY OF MANAGEMENT STUDIES

In partial fulfillment of the requirements

For the award of the degree

Of

MASTER OF BUSINESS ADMINISTRATION

JUNE 2011

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BONAFIDE CERTIFICATE

Certified that this project report title “A STUDY ON RISK AND RETURN ANALYSIS OF

LISTED STOCKS IN SENSEX WITHSPECIAL REFERENCE TO BOMBAY STOCK EXCHANGE” is

the bonafide work of Mr. V.RAMACHANDRAN carried out the research under my supervision. Certified

further, that to the best of my knowledge the work reported-herein does not form part of any other

project report or dissertation on the basis of which a degree or award was conferred on an earlier

occasion on this or any other candidate.

Signature of Internal Guide Signature of Director

Signature of External Examiner

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ACKNOWLEDGEMENT

First and foremost I thank the Almighty for the courage and confidence to carry out the project.

I express my sincere thanks to Dr. V.SHANMUGHANATHAN, Msc(engg)., Ph.D.,

Director and Prof. K. Ponnusamy, M.sc., B.L., Chairman of J.J.COLLEGE OF

ENGINEERING AND TECNOLOGY-TRICHY for providing me an opportunity to do MBA

program in this prestigious institution.

I take an immense pleasure to thank our Principal DR.K.RAMSEWHARAN, M.E,

Ph.D., for giving me an opportunity to undergo the project

I am grateful to express my sincere and deep sense of gratitude to our Advisor

Dr. K. ABDULLAH BASHA M.A., M.Phil., Ph.D., for his learned counsel and encouragement

throughout my academic career.

I express my thanks to Dr SW. RAJA MANOHARANE M.TECH, MBA, PGDMM, PGDCA, SLET,

PH.D., Director, Department of Management Studies for his consent and encouragement throughout

the project.

I extend my gratitude of the internal guide Ms. P. JANET PORTIA MARY B.c.,

M.B.A., Lecturer, for her valuable guidance and motivation for the completion of the project..

My special thanks to Mr. G.BALAMURUGAN, Manager, BMA WEALTH

CREATORS, CHENNAI and other staff members for giving me a golden opportunity to

undergo the project in their esteemed organization and the valuable guidance.

I owe on affectionate thanks to my beloved Parents who have endured to raise me to this

level of education and my friends for the constant help towards the successful completion of the

project on time.

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TABLE OF CONTENT

CHAPTER No.

PARTICULARS PAGE No.

1 INTRODUCTION

BREIF HISTORY OF 30 COMPANIES

2 REVIEW OF LITERATURE

3 OBJECTIVES OF THE STUDY

SCOPE AND LIMITATIONS OF THE STUDY4 RESEARCH METHODOLOGY

TOOLS USED FOR ANALYSIS5 DATA ANALYSIS AND INTERPRETATION

6FINDINGS

SUGGESTIONS

CONCLUSION

BIBILOGRAPHY

ANNEXURE

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TABLE NO. PARTICULARS PAGE NO.

Average return for the financial year 2007-2008

Average returns for financial year 2008-2009


Standard deviation for the financial year 2007-2008



Beta value for the financial year 2007-2008



Alpha value for the financial year 2007-2008



Correlation coefficient for the financial year 2007-2008



R square value for the financial year 2007-2008



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Chart NO. PARTICULARS PAGE NO.

Average return for the financial year 2007-2008


















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ABSTRACT

The researcher carried out with the study with the objective of finding out the risk and return of all the stocks in SENSEX.

The researcher carried out the analytical research design using the secondary data which was downloaded from the website www.bseindia.com

The first chapter deals with Introduction of company and second chapter deals with Review of literature and the third one is Objectives, Scope and Limitations of the study. Analysis is made on fourth chapter using various tools.

The tools are Average Return, Standard Deviation, Beta, Alpha, Correlation Coefficient and R square value.

The final chapter deals with the findings i.e. the results obtained from the study and suggestions given to the investors.

http://www.bseindia.com/

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INTRODUCTION:

THE ORGANIZATION

Bombay Stock exchange is the oldest stock exchange in Asia with a rich heritage, now spanning three centuries in its 133 years of existence. What is now popularly known as BSE was established as “The Native Share & Stock Brokers’ Association” in 1875.

BSE is the first Stock exchange in the country which obtained permanent recognition (in 1956) from the government of India under the securities Contracts (Regulation) Act 1956. BSE’s pivotal and pre-eminent role in the development of the Indian Capital Market is widely recognized. It migrated from the open outcry system to online screen-based order driven trading system in 1995. Earlier an Association of persons (AOP), BSE is now a corporatized and demutualized entity incorporated under the provisions of company Act, 1956, pursuant to the BSE (Corporation and Demutualization) Scheme, 2005 notified by the Securities and Exchange Board of India(SEBI). With demutualization, BSE has two of world’s best exchanges, Deutsche Borse and Singapore Exchange, as its strategic partners.

Over the past 133 years,BSE has facilitated the growth of the Indian corporate sector by providing it with an efficient access to resources. There is perhaps no major corporate in India which has not sourced BSE’s services in raising resources from the capital market.

Today, BSE is the World’s number 1 exchange interms of the number of listed companies and the world’s 5th in transaction numbers. The market capitalization as on December 31,2007 stood at USD 1.79 trillion. An investor can choose from more than 4,700 listed companies, which for easy reference are classified into A,B,S,T and Z groups.

The BSE index, SENSEX, is India’s first stock market index that enjoys an iconic stature, and is tracked worldwide. It is an index of 30 stocks representing 12 major sectors. The SENSEX is constructed on a ‘free- float’ methodology, and is sensitive to market sentiments and market realities. Apart from SENSEX, BSE offers 21 indices, including 12 Sector indices. BSE has entered into an index cooperation agreement with Deutsche Borse. This agreement has made SENSEX and other BSE indices available to investors in Europe and America. Moreover, Barclays Global Investors (BGI) the global leader in ETFs through its isharesA brand has created the isharesA BSE

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SENSEX India tracker’ which tracks the SENSEX. The ETF enables investors in Hong Kong to take an exposure to an Indian equity market.

The first exchange Traded fund (ETF) on SENSEX, called “SPIcE” is listed on BSE. It brings to the investors a trading tool that can be easily used for the purpose of investment, trading, hedging and arbitrage. SPIcE allows small investors to take a long term view of the market.

BSE provides an efficient and transparent market for trading in equity, debt instruments and derivatives. It has a nation-wide reach with presence in more than 359 cities and towns of India. BSE has always been at par with the International Standards. The systems has and processes are designed to safeguard market integrity and enhance transparency in its operations. BSE is the first exchange in India and the second in the world to obtain an ISO 9001-2000 certifications. It is also the first exchange in India and second in the world to receive Informartion Security Management System Standrards BS 7799-2-2002 certification for its BSE On-line trading system(BOLT)

BSE continues to innovate. In recent times, it has become the first national level stock exchange to launch its website in Gujarati and Hindi to reach out a large number of investors. It has successfully launched a reporting platformfor corporate bonds in India has christened the ICDM or Indian Corporate Debt Market and a unique ticker-cum-screen aptly named BSE Broadcast’ which enables information dissemination to the common man on the street.

In 2006, BSE launched the Direactors Database and ICERS(Indian Corporate Electronic Reporting System) to facilitate information flow and increase transparency in Indian market. While the Directors Database provides a single – point access to the information on the board of directors of listed companies, the ICERS facilitates the corporate in sharing with BSE their corporate announcements. BSE also has a wide range of services to empower investors and facilitate smooth transactions

Investor Services: The department of Investor services grievances of investors. BSE was the first exchange in the country to provide an amount of Rs. 1 million towards the investor protection fund; it is an amount higher than that of any exchange in the country. BSE launched a world wide investor awareness programme- ‘Save Investing in the Stock Market’ under which 264 programmes where held in more then 200 cities.

The BSE On-Line trading (BOLT): BSE On-Line trading(BOLT) facilitates on=-line screen based trading in securities. BOLT is currently operating in 25,000 Trader workstations located across 359 cities in India.

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Surveillance: BSE’s On-Line Surveillance system (BOSS) monitors on a real – time basis the price movements , Volume positions and member’s positions and real- time movements of default risk, market reconstruction and generation of cross market alerts.

BSE Training Institute: BTI imparts capital market training and certification , in collaboration with reputed management institutes and Universities. It offers over 40 courses on various aspects of the capital market and financial sector. More than 20,000 people have attended the BTI programmes.

AWARDS

The world council of corporate governance has awarded the Golden Peacock Global Award for BSE’s initiatives in Corporate Social Responsibility (CSR).

The Annual Reports and Accounts of BSE for the year ended March 31,2006 and March 31 2007 have been awarded for excellence in financial reporting.

The Human Resource Management at BSE has won the Asia-Pacific HRM awards for its efforts in employer branding through talent management at work and excellence in HR through technology drawing from its rich past and is equally robust performance in recent times, BSE will continue to remain an icon in the Indian Capital Market.

Vision

“ Emerge as the Indian Stock Exchange by establishing global benchmarks “

The Stock Exchange, Mumbai is Bombay Stock Exchange Limited (BSE) a new name and an entirely new perspective . . . a perspective born out of corporatization and demutualization. As a corporate entity, our new logo reflects our new mission. . . smoother , seamless and efficient , whichever way you look at it.

BSE is Asia’s oldest stock exchange carrying the depth of knowledge of capital markets acquired since its inception in 1875. Located in Mumbai, the financial capital of India, BSE has been the backbone of the country’s capital markets.

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BREIF HISTORY OF 30 COMPANIES

ACC

ACC (ACC Limited) is India’s foremost manufacturer of cement and concrete. ACC’s operations are spread throughout with 14 modern cement factories , more than 30 Ready mix concrete plants , 20 sales offices and several zone offices. It has a workforce of about 10,000 persons and a country wide distribution network of over 9,000 dealers. ACC’s brand name is synonymous with cement and enjoys a high level of equity in the Indian Market. It is the only cement company that figures in the list of Consumer Super Brands of India.

BHARTI AIRTEL LIMITED

Bharti cement limited is one of the Asia’s telecommunication service providers. The company is largest integrated telecom company in terms of customer base and offers mobile services , Fixed Line services, Broadband & IPTV, DTH, Long Distance and Enterprise Services. Airtel offers also mobile services in Srilanka on a state –of-the art 3.5 G network.

BHEL

BHEL is the Largest engineering and manufacturing enterprise in India in rhe energy related/infrastructure sector, today. BHEL was established more than 40 years ago, ushering the indigenous Heavy electrical equipment industry in India – a dream that has been more than realized with a well- recognized track of performance. The company has been earning profits continuously since 1971-72 and paying dividends sice 1976-77.

BHEL manufactures over 180 products under 30 major product groups and caters to core sectors of the Indian Economy viz.., Power generation & Transmission, Industry, Transportation, Telecommunication, Renewable Energy. The wide network of BHEL’s 14 manufacturing divisions, four power sectors regional centres over 100 project sites, eight services centres and 18 regional offices enable the company to promptly service its customers and provide them with well suitable products, systems and services.

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DLF

DLF Limited or DLF is India’s largest real estate developer based in New Delhi ,India. The DLF Group was founded by Chaudary Raghuvendra Singh in 1946.

The company is currently headed by Indian Billionaire Kushal Pal Singh, Who inherited the company from Chaudary. Kushal Pal Singh, according to the forbes listing of the richest billionaires in 2008, now stands as the 8th richest man in the world. In July 2007 , DLF announced its first quarter results ending 30 June 2007. The company reported a turnover of Rs. 3,120.98 Crore and PAT at Rs. 1,515.48 Crore.

GRASIM INDUSTRIES LIMITED

Grasim industries Limited, a flagship of the Aditya Birla Group, ranks among India’s largest private sector companies , with consolidated net turnover of Rs.170 billion and a consolidated net profit of Rs. 29 billion. Starting as textiles manufacturer in 1948, today Grasim businesses has comprise viscose staple fibre (VSF), cement, sponge iron, chemicals and textiles. It is also the second largest producer of caustic soda in India. In cement Grasim along with its subsidiary Ultra tech Cement Ltd. Has a capacity of 35 million tpa and it is leading cement player in India.

HDFC

Housing Development Financing Corporation or HDFC, founded 1977 by Ravi Mauraya and Hasmukhbai Parekh, is an Indian bank, focusing on Home mortgages. HDFC’s distribution network spans 243 outlets that include 49 offices of HDFC’s distribution company, HDFC sales Private Limited. IN addition, HDFC covers over 90 locations through its outreach programmes. HDFC’s marketing efforts continue to be concentrated on developing a stronger distribution network.

HINDALCO INDUSTRIES

Hindalco Industries is India’s largest Aluminium manufacturing company and is subsiday of the Aditya Birla Group. It is run by one of the World’s youngest billionaires, Mr.K.M.Birla. The company has annual sales of $ 5 billion and employs 13,675 people and is listed on Forbes 2000. A metals power house with a turnover of US$14 billion. Hindalco is the world’s largest aluminium rolling company and one of the biggest producer of primary aluminium in Asia.

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HINDUSTAN UNILEVER LIMITED

HUL is India’s largest consumer products company and has an annual turnover of over Rs 13,000 crores. It was formed in 1933 as Lever Brothers India Limited and came into being in 1956 as Hindustan lever Limited through a merger of Lever Brothers, Hindustan Vanaspati Mfg.Co.Ltd. and united traders Ltd. The company was renemed in late June 2007 to “ Hindustan Unilever Limited”. In 2007 Hindustan Unilever was rated as the most respected company in India for 25 years by Business World, one of the India’s Leading Business Magazines.

ICICI BANK

ICICI bank is India’s largest private sector bank in market capitalization and second in largest overall in terms of assets. Bank has total assets of about USD 100 billion a network of over 1,399 branches, 22 regional offices and 49 regional processing centres about 4,485 ATMs and 24 milion customers. ICICI bank offers a wide range of banking products and financial services to corporate and retail customers through a variety of delivery channels and specialized subsidiaries and affiliates in the area of Investment banking. ICICI bank has got its equity shares listed on the stock exchanges at Kolkata and Vadodara, Mumbai and the National Stock Exchange of India Limited, and its ADRS on the New York Stock Exchange.

INFOSYS TECHNOLOGIES LIMITED

Infosys technologies limited is a multinational informational technology seervices company headquartered in Bangalore,India. It is one of the India’s largest IT companies with over 1,00,000 professionals. It has 9 department centres in India and over 50 offices worldwide. Its annual revenues for the fiscal year 2007-2008 exceeded US$4 billion with a market capitalization of over US$14 billion. Infosys was founded on July 2,1981 in pune by N.R. Marayana Murthy and six others.

ITC LIMITED

ITC Limited which previously stood for Imperial Tobacco company of India Limited, is an Indian conglomerate with a turnover of US $ 4.75 billion. ITC is independent of Imperial tobacco. It ranks in pre-tax profit among India’s Private sector corporations. The company is headed by Yogesh Chander Deveshwar. It employs over 20,000 people at more than 60 locations across India and is listed on Forbes 2000.

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L&T

Larsen & Toubrowas founded in Bombay in 1938 by two Danish engineers, Henning Holck-Larsen and soren Kristaian Toubro. Beginning with the import of machinery from Europe,the company rapidly took an engineering construction assignments of increasing sophistication. Today, the company sets global engineering benchmarks interms of scale and complexity.

MAHINDRA & MAHINDRA LIMITED

Mahindra & Mahindra limited is part of US $6.7 billion Mahindra group an automotive, farm equipment, financial services, trade and logistics, automotive components, after- market, IT and infrastructure conglomerate. The company was setup in 1945 as Mahindra & Mohammed. Later after the partition of India, Ghulam Mohammad returned to Pakistan and became the nation’s first finance minister. Hence,the name was changed from Mahindra & Mohammed to Mahindra & Mahindra in 1948. Intaially setup set up to manufacture general- purpose utility vehicles, Mahindra & Mahindra was first known for assembly of the iconic jeep in India.

MARUTI SUZUKI INDIA LIMITED

Maruti Suzuki India Limited is publicly listed automaker in India. It is a leading four-Wheeler automobile manufacture in South Asia. Suzuki Motor Corporation of Japan holds a majority stake in the company. It was the first company in India to produce and sell more than a million cars. It is largely credited for having brought in an automobile revolution to India. Maruti udyog was established in February 1981, though the actual production commenced in 1983 with the maruti 800, based on Suzuki Alto kei car which at the time was only the modern car available in India, its only competitor – The Hindustan Ambassador and Premier Padmini were both around 25 years out of date at that point.

NTPC LIMITED

NTPC Limited is the largest power generation company in India. Forbes 2000 for 2008 ranked it 411th in the world. It is an Indian Public sector listed on the Bombay stock exchange at present Government of India holds 89.5% of its equity. It was founded on November 7,1975.

NTPC’s core business is engineering, construction and operation of power generating plants and providing consultancy to power utilities in India and abroad.

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OIL AND NATURAL GAS CORPORATION LIMITED

Oil and natural gas corporation limited incorporated on June 23 1993 is an Indian public sector petroleum company. It is a Fortune Global 500 company ranked 335th 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 setup as a commission on August 14,1956. Indian government holds 74.14% equity stake in this company.

RELIANCE INDUSTRIES LIMITED

Reliance Industries Limited is India’s largest private secor conglomerate with an annual turnover of US$ 35.9 billion and profit of US$4.85 billion for the fiscal year ending in March 2008 making it one of the India’s private sector Fortune Global 500 companies, being ranked at 206th position(2008). It was founded by the industrialist Dhirubhai Ambani in 1966. Though the company’s oil-related operations forms the core of its business, it has diversified its operations in recent years.

RANBAXY LABORATORIES LIMITED

Ranbaxy Laboratories Limited is India’s largest pharmaceutical company. Incorporated in 1961, Ranbaxy exports its product to 125 countries with ground operations in 46 and manufacturing facilities in seven countries. It is ranked among the top 10 generic operations worldwide. The CEO of the company is Malvinder Mohan Singh. Ranbaxy went public in 1973. Ranbaxy was started by Ranjit Singh and Gurbax singh in 1937 as a distributor for a Japanese Company Shionogi.

RELIANCE COMMUNICATIONS

Reliance Communications along with Relainace telecom and flag telecom is part of Reliance Communications Ventures. It is an Indian telecommunications company. According to National Stock Exchange data, Anil Dhirubhai company controls 66.77 percent of the company which accounts for more than 1.36 billion shares. It is the flagship of Reliance-Anil Dhirubhai company comprising of power, financial services and telecom initiatives of the reliance ADAG. It uses CDMA2000 1x technology for its existing CDMA mobile services and GSM-900/GSM-1800 technology for its existing/Newly launched GSM services.

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RELIANCE INFRASTRUCTURE

Reliance infrastructure formely known as Relainace energy and prior to that as Bombay Suburban Electric supply (BSES), is accompany under the Reliance – Anil Dhirubhai Ambani group (1) banner, one of the India’s Largest conglomerates. The company is headed by Anil Ambani. The company’s corporate headquarters is situated in sector 24, Noida. The company is the sole distributor of electricity to consumers in the suburbs of Mumbai. It also runs power generation, transmission and distribution business in other parts of Maharashtra ,Goa and Andhra Pradesh.

STATE BANK OF INDIA

State bank of India is the largest bank in India. It is also measured by the number of Branch offices and employees the second largest bank in the world The bank traces its ancestry back through the Imperial Bank of India to the founding in 1806 of the bank of Calcutta, making it is the oldest commercial bank in the Indian Subcontinent. The Government of India nationalized the Imperial Bank of India in 1955, with the Reserve bank of India taking a 60% stake and renamed it the state bank of India. In 2008 the Government took over the stake by the reserve bank of India. SBI provides a range of banking products through its Vast network in India and overseas, including products aimed at NRIs.

STERLITE

The company engages primarily in the production of copper in India. Its products include copper cathodes and cast copper rods including 11mm and 12 mm rods used in the transformer industry and 8 mm rods used by the wires and cables industry with applications in housing wires, electric cables and telecom cables. In addition sterlite produces various chemical products such as acids, phosphoric acids, hydro fluo silicic acids and granulated slag. The company entered in to commercial power generation business by setting up a large scale 2,400 MW coal based independent thermal power plant on Jharsuguda, Orissa and a wind energy project at Karnataka,Gujarat and Maharashtra, totaling 110.4 MW.

SUN PHARMACEUTICAL

Sun pharmaceutical is an International pharmaceutical company based in Mumbai, India. It takes many generic and brand name drugs that are distributed in the United States, Europe, Asia and worldwide. Sun manufactures both pharmaceuticals and active pharmaceutical in essence , ingredients to be used in finished products. Its products are in several therapeutic

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areas, including psychiatry, neurology, cardiology, diabetology, gastroenterology , respiratory and orthopedics. Established in 1983, SUN pharma was a start up company with five products.

TATA MOTORS LIMITED

Tata motors Limited formerly known as TELCO( Tata Engineering and Locomotive Company) is a multinational corporation headquartered in Mumbai, India. It is India’s largest passenger automobile and commercial vehicle manufacturing company. Part of the Tata Group and one of the world’s largest manufacturers of commercial vehicles. The OICA ranked it as the world’s 20th

largest automaker, based on figure 2006. Tata motors was established in 1945, when the company began manufacturing locomotives. The company manufactured its first commercial vehicle in 1954 in a collaboration with Daimler- Benz AG, which ended in 1969.

TATA POWER

Started as the Tata Hydroelectric power supply company in 1911, it is an amalgamation of two entities: TATA Hydroelectric power supply company Limited is India’s largest private sector electricity generating company with an installed capacity of over 2300 MW. The company is a pioneer in the Indian Power Sector. Tata power has a presence in thermal,hydro, solar and wind areas of power generation, transmission and retail.

TATA STEEL

Tata steel formerly known as TISCO and Tata Iron and Steel company Limited is the world’s sixth largest steel company, with an annual crude steel capacity of 28 million tones. It is the second largest private sector steel company in India in terms of domestic production. Ranked 315th on FortuneGlobal 500,it is based in Jamshedpur, India. It is a part of Tata Group of Companies. Tata steel is also India’s second-largest and second most profitable company ion private sector with consolidated revenues of Rs.1.32.110 crore and net profit of Rs 12,350 crore during the year ended March 31,2008. Its main plant is located in Jamshedpur, Jharkhand with its recent acquisitions the company has become a multinational with operations in Various countries.

TATA CONSULTANCY SERVICES LIMITED

Tata consultancy services Limited is an Indian software services and consulting company. It is India’s largest provider of Information technology and business process outsourcing services. The company is listed on the National Stock Exchange and Bombay Stock Exchange of India.TCS is part of tone of India’s largest and oldest conglomeratesm Tata group whichhas interests in

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areas such as energy relecommunications, financial services, manufacturing, chemicals ,engineering, materials, government and health care.

WIPRO TECHNOLOGIES

Wipro technologies is a corporation based in India. It was founded as Vegetable Oil company, but since then has diversified into the information technology, customer care, lighting, engineering and health care businesses. Wipro started as a vegetable oil company in 1947 from an old mill founded by Azim Premji’s Father. When his father died in 1966, Azim a graduate in Electrical engineering from Stanford University, took an leadership of the company at the age of 21. Herepositioned it and transformed Wipro(Western India Vegetable products Ltd) into a consumer goods company that produces hydrogenated cooking oils/fat company, laundry soap, wax and tin containers and later setup wipro Fluid power to manufacture hydraulic and Pneumatic cylinders in 1975.

JAIPRAKASH ASSOCIATES

Jaiprakash Associates was previously known as Jaiprakash Industries but after its merger with Jaypee Cement, the company got its present name. Jaiprakash Assocites Ltd is under the Jaypee Group which is an Industrial Infrastructure group in India. The group was established in 1972 and has a turnover of more than Rs. 30,000 million. Jaiprakash Associates company has, for over 3 decades been in business and is aleader in building on the basis of turnkey, hydro-power and river valley projects. Jaiprakash Associates executed many as 13 hydro-power projects at the same time. These projects are in 6 Indian States and also in the country of Bhutan, leading to the production of 10,290 MW power.

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REVIEW OF LITERATURE

The risk/return trade off is a perennial problem of portfolio managers. Portfolio diversification strategies should be such that investment are held in market that are well insulated from each other so that the effect of market fluctuation in one market a re not transferred to the other. Conventional wisdom suggest that a well-diversified portfolio should contain assets spread across different markets, such as holding of equities, bond and property, while an increasingly accepted notion is that portfolios should also be diversified internationally. Research over the last few years has, if not questioned this conventional wisdom, at least sought confirmation. The current paper continues this inquiry. Looks, in particular, at the twin issues of whether property should from part of a well-diversified domestic portfolio, and whether property should from part of a port folio that is diversified internationally. Using the relatively new technique of co integeration analysis, provides evidence from the USA the UK and Australia that domestic real estate and equities market are segmented, and also provides evidence that securitized property markets are segment internationally.

Journal: Jurnal of property finance.

Author(s) : Patrick J.Wilson , John Okunev.

Tittle: Evidence of segmentation in domestic and international property markets.

Year : 1996.

Page: 78_97

Article type: Research paper.

Indian equity market witnessed bullish trends during 1989_1994 drawing a large number of

retail investors into equity investment. However, expects for a brief period during the year

2000 the markets have remined subdued. During the period 1997_2002, there were just 302

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public issues (rs.316.86bn.) and 143 right issues index showing sideways movement in the

range of 2800-3700 during the period 2001-2003. This is significantly lower than the trends

observed during previous periods. This berish phase has resulted in considered decline in the

value of the equity portfolio of the investors. While mutual funds and money managers

attempted to convey the risk return profile of equity asset to the investors, it has been difficult

for them to convince the investors about t he attractively of equity investment as long-term

proposition. In relatively poorer economies, capital is scarce and it is of paramount importance

that households saving are carefully channelized into investment avenues. Unless we are able

to clearly delineate the risk, return and investment horizon relationships, it would be difficult

for the investors to make informed investment decisions. The study is expected to be of use in

analyzing policies that guide equity investment.

For example, policy decision have been taken in India permitted banks and pensions funds to

invest in equity markets. It is not clear if these policies are in the right direction. Many eminent

opinion are not completely convinced about the safety of parking bank and pensions money,

even in small amount, in equity.

It is useful to understand the historical trends in equity investment as it would help in making

informed long-term asset allocation decisions. The paper provides a therotical frame work for

examination the relationship between risk return and investment horizon. It furture attempts

to collect the available evidence in the Indian equity market to make inference about the risk

return relationship over varied investment horizons.The US equities furnished risk premium of

about 6% over the 1889-1978 period (mehra and Prescott,1985) . siegal (1992) showed that

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over the period 1802-1990, the real compounded annual return on equity in USA delivered a

real return on 67% while in their worst single year they return –39% for a range of 160% . in the

period 1802-1997, the standard deviation of the annual return from stocks was18% (Campbell

1995). As the investment horizon increases, the dispersion in stock return decreses.For

example, the range for stock returns was 18% for holding period of 20 year and 8% for holding

period 10 years ; period, 12% for holding period of 20 years and 8% for 30 years. Standard

deviation of real returns follow declining patterns when measured over long holding periods. In

fact, it is seen that as holding period increasing t he stocks appear to offer investor excessive

return over longer investment horizons. Siegel (1992) noted that equity appeared to to be best

route to long-term wealth accumulation. Jorian and goetzmann (1992) studied thirty-nine

markets over long time horizons. They found that real return are the highest in the USA. They

concluded that the hignhg US equity premium seemed to an exceptions rather then the rule.

For example, the the German market showed only 1.91% equity return during most of last

century. The story is similar for japan where the post-war return on equity was 5.52% and the

pre-war –3.04%. Markets such as Portugal, chile and peru did not do well over long periods of

analysis.

Journal: Journal of the Academy of Business and Economics

Year: January 2003.

Author : G.SETHU & RACHANA BALD

Article type: Research paper.

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OBJECTIVES :

To calculate daily securities return of the stock in SENSEX and daily market return.

To find out the variability of return of the stock in the SENSEX.

To measures t he relationship between the stock return and the index return .

To find out whether the stock return is independent of the market return .

To measures the nature and the extent the relationship between the stock return

and stock market index return in a particular period.

PERIOD OF STUDY

Study is restricted for 3 years. Only daily stock prices have been taken.

Source of data

Data are collected from Journals, Websites etc..

LIMITATIONS OF THE STUDY

The study was conducted by the researcher only with those scrips that has

been listed in the SENSEX.

Only the daily stock prices have been taken for the study.

The study is restricted only for 3 years due to the time constraints.

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SCOPE OF THE STUDY

The major scope of the study is to find risk and return of all the stocks in SENSEX.

This study is an attempt by the researcher to find out the pattern of stock risk,

arise along with SENSEX.

RESEARCH METHODOLOGY

Analytical Research

“The researcher has to use facts or information already available and analyze this to make c critical evaluation of the material” is known as Analytical Research.

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The companies in SENSEX are as follows

1. ACC2. BHEL3. BHARTI AIRTEL4. DLF LIMITED5. GRASIM INDUSTRIES6. HDFC7. HDFC BANK8. HINDALCO INDUSTRIES9. HINDUSTAN UNILEVER LIMITED10. ICICI BANK11. INFOSYS12. ITC13. JAI PRAKASH14. LARSEN & TOUBRO15. MAHINDRA & MAHINDRA LIMITED16. MARUTI UDYOG17. NTPC18. ONGC19. TATA POWER20. TATA STEEL21. TATA MOTORS22. RELIANCE INDUSTRIES23. RELIANCE INFRASTRUCTURE24. RELIANCE COMMUNICATION25. RANBAXY26. STERLITE27. SUN PHARMACEUTICALS28. WIPRO29. TCS30. SBI

ANALYSIS AND INTERPRETATION

1

Table No. 4.1.1: Showing the Average Returns of BSE index and various companies for the financial year 2007-2008.

S.NO. COMPANY NAMES AVERAGE RETURN

1 BSE INDEX 0.0683292 HDFC BANK 0.1087450943 Hindalco Industries (0.09344)4 Hindustan Unilever Limited (0.08726)5 Grasim Industries 0.0443846 Mahindra & Mahindra Limied 0.1205477 ICICI Bank 0.1763578 Infosys (0.05806)9 ITC (0.0797)10 Jai Prakash 0.1235311 Ranbaxy (0.05385)12 Reliance Communication 0.17430813 Reliance Infrastructure 0.07699814 Reliance Industries 0.24153615 State Bank of India 0.03590816 Sterlite (0.13394)17 Sun pharmaceuticals 0.09643918 Tata Motors (0.06707)19 Tata Power (0.0304)20 Tata Steel (0.02365)21 Wipro 0.00464322 Airtel 0.27121923 ACC 0.00851824 BHEL 0.03329525 TCS (0.07224)26 HDFC (0.32175)27 Maruti Udyog 0.00584928 L&T (0.04895)29 ONGC (0.011121)30 NTPC 0.064982

1

Fig No. 4.1.1

Showing the Average return of BSE index and various companies for the financial year 2007-2008.

1

BSE IN

DEX

HDFC BANK

HINDALCO IN

DUSTRIES

HINDUSTAN UNILE

VER LIM

ITED

GRASIM IN

DUSTRIES

MAHINDRA & M

AHINDRA LIMITE

D

ICICI BANK

INFOSY

S ITC

JAI P

RAKASH

RANBAXY

RELIANCE C

OMMUNICATION

RELIANCE I

NFRAST

RUCTURE

STATE

BANK OF I

NDIA

STER

LITE

SUN PHARAMACEU

TICALS

TATA

MOTO

RS

TATA

POWER

TATA

STEE

L

WIPRO

AIRTEL

ACCBHEL TC

SHDFC

MARUTI UDYO

GL &

TONGC

NTPC

-0.4

-0.3

-0.2

-0.1

0

0.1

0.2

0.3

0.4

Inference

The average daily return is high (0.27) for Bharti Airtel among the SENSEX stocks when compared to the aerage daily market return(0.068)

Table No. 4.1.2: Showing the Average Returns of BSE index and various companies for the financial year 2008-2009.

S.NO. COMPANY NAMES AVERAGE RETURN

1 BSE INDEX 0.099452 HDFC BANK 0.1859842823 Hindalco Industries 0.156434 Hindustan Unilever Limited 0.06718

1

5 Grasim Industries 0.116686 Mahindra & Mahindra Limied 0.000237 ICICI Bank 0.200618 Infosys -0.09389 ITC 0.1721810 Jai Prakash 0.0976311 Ranbaxy 0.1266712 Reliance Communication 0.1504113 Reliance Infrastructure 0.5697514 Reliance Industries 0.2637915 State Bank of India 0.2596616 Sterlite 0.2622117 Sun pharmaceuticals 0.083618 Tata Motors -0.000819 Tata Power 0.416520 Tata Steel 0.2332221 Wipro -0.07422 Airtel 0.0709323 ACC 0.101824 BHEL 0.1012325 TCS 0.0656426 HDFC -0.117527 Maruti Udyog 0.2390128 L&T 0.0576629 ONGC 0.295630 NTPC 0.1597831 DLF 0.14387

1

Fig 4.1.2.: Showing the Average Returns of BSE index and Various companies for the financial year 2008-2009.

1

BSE IN

DEX

HINDALCO IN

DUSTRIES

GRASIM IN

DUSTRIES

ICICI BANK ITC

RANBAXY

RELIANCE I

NFRAST

RUCTURE

STER

LITE

TATA

MOTO

RS

TATA

STEE

L

AIRTEL

BHELHDFC

L & T

NTPC

-0.2

-0.1

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

Inference

The Average daily security return is high(0.56) for Reliance Infrastructure among the SENSEX stocks when compared to the average daily market return(0.099)

S.NO. COMPANY NAMES STANDARD DEVIATION

1 BSE INDEX 1.913262 HDFC BANK 2.6019564573 Hindalco Industries 3.309164 Hindustan Unilever Limited 2.195095 Grasim Industries 2.173296 Mahindra & Mahindra Limied 2.386157 ICICI Bank 3.001838 Infosys 2.299869 ITC 2.3182510 Jai Prakash 6.7548411 Ranbaxy 2.1291912 Reliance Communication 2.901413 Reliance Infrastructure 4.1409414 Reliance Industries 2.5561215 State Bank of India 2.73513

1

16 Sterlite 3.4624517 Sun pharmaceuticals 2.3541318 Tata Motors 2.23519 Tata Power 3.8369720 Tata Steel 3.2406621 Wipro 2.3430222 Airtel 2.5538623 ACC 2.5781524 BHEL 2.7304325 TCS 4.2872726 HDFC 2.1627927 Maruti Udyog 2.8343328 L&T 2.2963229 ONGC 2.8459830 NTPC 3.0734731 DLF 3.91433

Table 4.1.3 Showing the Average Returns of BSE index and Various companies for the financial year 2009-2010.

1

Fig 4.1.3 Showing Average Return of BSE index for the year 2009-2010.

BSE IN

DEX

HINDALCO IN

DUSTRIES

GRASIM IN

DUSTRIES

ICICI BANK ITC

RANBAXY

RELIANCE I

NFRAST

RUCTURE

STER

LITE

TATA

MOTO

RS

TATA

STEE

L

AIRTEL

BHELHDFC

L & T

NTPC

-0.2

-0.1

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

Inference

The Average daily security return is high(0.56) for Reliance Infrastructure among the SENSEX stocks when compared to the average daily market return(0.099)

1

.

Table No.4.2.1: Showing the standard deviation of BSE index and various companies for the financial year 2007-2008.


1 BSE INDEX 1.7775772 HDFC BANK 2.3135185453 Hindalco Industries 2.8645874 Hindustan Unilever Limited 2.3619795 Grasim Industries 2.7756426 Mahindra & Mahindra Limied 2.5601077 ICICI Bank 2.3587618 Infosys 3.7942129 ITC 2.21508410 Jai Prakash 3.75302711 Ranbaxy 2.34541212 Reliance Communication 3.18904313 Reliance Infrastructure 3.88610814 Reliance Industries 2.19450815 State Bank of India 2.26917216 Sterlite 6.42480617 Sun pharmaceuticals 1.88694918 Tata Motors 2.54112719 Tata Power 2.06380620 Tata Steel 3.07090921 Wipro 2.635149

1

22 Airtel 2.20467323 ACC 2.58742124 BHEL 2.49788225 TCS 3.89685526 HDFC 6.78610127 Maruti Udyog 2.52900328 L&T 4.13340429 ONGC 2.95737430 NTPC 2.023419

1

Fig No. 4.2.1: Showing the Standard Deviation of BSE index and various companies for the financial year 2007-2008.

BSE IN

DEX

HDFC BANK

HINDALCO IN

DUSTRIES

HINDUSTAN UNILE

VER LIM

ITED

GRASIM IN

DUSTRIES

MAHINDRA & M

AHINDRA LIMITE

D

ICICI BANK

INFOSY

S ITC

JAI P

RAKASH

RANBAXY

RELIANCE C

OMMUNICATION

RELIANCE I

NFRAST

RUCTURE

STATE

BANK OF I

NDIA

STER

LITE

SUN PHARAMACEU

TICALS

TATA

MOTO

RS

TATA

POWER

TATA

STEE

L

WIPRO

AIRTEL

ACCBHEL TC

SHDFC

MARUTI UDYO

GL &

TONGC

NTPC

0

2

4

6

8

10

12

Inference:

Sun pharmaceuticals (1.86) expected return is stable compared to the stocks in the Sensex. The standard deviation helps to measure the variability of return. The variability in return includes systematic and unsystematic risks.

1

Table No. 4.2.2: Showing the Standard Deviation of BSE index and various companies for the financial year 2008-2009.


1 BSE INDEX 1.913262 HDFC BANK 2.6019564573 Hindalco Industries 3.309164 Hindustan Unilever Limited 2.195095 Grasim Industries 2.173296 Mahindra & Mahindra Limied 2.386157 ICICI Bank 3.001838 Infosys 2.299869 ITC 2.3182510 Jai Prakash 6.7548411 Ranbaxy 2.1291912 Reliance Communication 2.901413 Reliance Infrastructure 4.1409414 Reliance Industries 2.5561215 State Bank of India 2.7351316 Sterlite 3.4624517 Sun pharmaceuticals 2.3541318 Tata Motors 2.23519 Tata Power 3.8369720 Tata Steel 3.2406621 Wipro 2.3430222 Airtel 2.5538623 ACC 2.5781524 BHEL 2.7304325 TCS 4.2872726 HDFC 2.1627927 Maruti Udyog 2.8343328 L&T 2.2963229 ONGC 2.8459830 NTPC 3.0734731 DLF 3.91433

1

Fig 4.2.2: Showing the Standard deviation of BSE index and Various companies for the financial year 2008-2009

1

BSE IN

DEX

HINDALCO IN

DUSTRIES

GRASIM IN

DUSTRIES

ICICI BANK ITC

RANBAXY

RELIANCE I

NFRAST

RUCTURE

STER

LITE

TATA

MOTO

RS

TATA

STEE

L

AIRTEL

BHELHDFC

L & T

NTPC

0

1

2

3

4

5

6

7

8

Inference

Ranbaxy(2.12) expected return is stable compared to the stocks in SENSEX. The standard deviation helps to measure the variability of return. The Variability in return includes systematic and unsystematic risks.

1

Table No.4.2.3: Showing the standard deviation of BSE index and various companies for the financial year 2009-2010.


1 BSE INDEX 2.8396982 HDFC BANK 3.5368863 Hindalco Industries 4.2750584 Hindustan Unilever Limited 2.2315935 Grasim Industries 3.1462736 Mahindra & Mahindra Limied 4.1653257 ICICI Bank 5.0144478 Infosys 2.9048949 ITC 2.32789710 Jai Prakash 6.04721411 Ranbaxy 4.31010512 Reliance Communication 5.16104313 Reliance Infrastructure 4.3775214 Reliance Industries 3.85842815 State Bank of India 3.66579916 Sterlite 4.85933817 Sun pharmaceuticals 2.58567918 Tata Motors 4.2451719 Tata Power 3.7570320 Tata Steel 4.84635121 Wipro 3.56248122 Airtel 3.24736823 ACC 2.99925524 BHEL 3.00797825 TCS 3.51117826 HDFC 3.61732127 Maruti Udyog 4.18490328 L&T 3.20369929 ONGC 4.83029730 NTPC 2.76506931 DLF 5.539611

1

Fig No. 4.2.3: Showing the Standard Deviation between BSE index and various companies for the financial year 2009-2010.

1

BSE IN

DEX

HINDALCO IN

DUSTRIES

GRASIM IN

DUSTRIES

ICICI BANK ITC

RANBAXY

RELIANCE I

NFRAST

RUCTURE

STATE

BANK OF I

NDIA

SUN PHARMACEU

TICALS

TATA

POWER

WIPRO

ACCTC

S

MARUTI UDYO

GONGC

DLF0

1

2

3

4

5

6

7

Inference:

Hindustan unilever limited(2.23) expected return is stable compared to the stocks in the Sensex. The standard deviation helps to measure the variability of return.

Table 4.3.1 Showing the Beta values between BSE index various companies for the financial year 2007-2008

S.NO. COMPANY NAMES BETA VALUES

1 HDFC BANK 0.1085682 Hindalco Industries (0.09536)3 Hindustan Unilever Limited (0.09066)4 Grasim Industries 0.0388685 Mahindra & Mahindra Limied 0.111266 ICICI Bank 0.1739197 Infosys (0.7575)8 ITC (0.08714)9 Jai Prakash 0.12907710 Ranbaxy (0.05625)

1

11 Reliance Communication 0.17646112 Reliance Infrastructure 0.08276513 Reliance Industries 0.24450914 State Bank of India 0.03475415 Sterlite (0.12723)16 Sun pharmaceuticals 0.09571217 Tata Motors (0.06794)18 Tata Power (0.02628)19 Tata Steel (0.02286)20 Wipro (0.01949)21 Airtel 0.27218622 ACC (0.0026)23 BHEL 0.030324 TCS (0.07357)25 HDFC (0.35279)26 Maruti Udyog 0.0041227 L&T (0.04875)28 ONGC (0.11173)29 NTPC 0.062862

1

Fig No. 4.3.1: Showing the Beta return of BSE index and various companies for the financial year 2007-2008.

HDFC BANK

HINDUSTAN UNILE

VER LIM

ITED

MAHINDRA & M

AHINDRA LIMITE

D

INFOSY

S

JAI P

RAKASH

RELIANCE C

OMMUNICATION

RELIANCE I

NFRAST

RUCTURE

STER

LITE

TATA

MOTO

RS

TATA

STEE

L

AIRTEL

BHELHDFC

L & T

NTPC

-0.2

-0.1

0

0.1

0.2

0.3

0.4

0.5

Inference:

1

Negative beta values indicates that the stocks return moves in the opposite direction to the market return. In the year 2007-2008, the sterlite(0.09) moves in the opposite direction to the market return. The stock return of sterlite provides a return of 0.9%

Table No. 4.3.2: Showing the Beta values between BSE index and various companies for the financial year 2008-2009.


1 HDFC BANK -0.0362 Hindalco Industries 0.03763 Hindustan Unilever Limited 0.045234 Grasim Industries 0.018095 Mahindra & Mahindra Limied 0.128976 ICICI Bank -0.05627 Infosys -0.05458 ITC 0.096759 Jai Prakash 0.3748810 Ranbaxy 0.0978811 Reliance Communication 0.1337412 Reliance Infrastructure -0.247113 Reliance Industries 01.1017414 State Bank of India 0.0529315 Sterlite 0.0590616 Sun pharmaceuticals -0.107417 Tata Motors 0.0222818 Tata Power 0.2140419 Tata Steel 0.09820 Wipro -0.062421 Airtel -0.130822 ACC 0.16747

1

23 BHEL 0.1673724 TCS 0.1025525 HDFC -0.014726 Maruti Udyog 0.0045527 L&T -0.123528 ONGC 0.0368929 NTPC 0.1091730 DLF -0.008

1

Fig 4.3.2.: Showing the Beta values of BSE index and Various companies for the financial year 2008-2009

HDFC BANK

HINDUSTAN UNILE

VER LIM

ITED

MAHINDRA & M

AHINDRA LIMITE

D

INFOSY

S

JAI P

RAKASH

RELIANCE C

OMMUNICATION

RELIANCE I

NFRAST

RUCTURE

STER

LITE

TATA

MOTO

RS

TATA

STEE

L

AIRTEL

BHELHDFC

L & T

NTPC

-0.3

-0.2

-0.1

0

0.1

0.2

0.3

0.4

0.5

Inference

Negative beta values indicates that the stocks return moves in the opposite direction to the market return. In the year 2008-09, the stock return of reliance infrastructure (0.24) moves in the opposite direction to the market return.

1

Table No. 4.3.3: Showing the Beta values between BSE index and various companies for the financial year 2009-2010.


1 HDFC BANK 0.1175972 Hindalco Industries 0.1211523 Hindustan Unilever Limited 0.045034 Grasim Industries 0.0764275 Mahindra & Mahindra Limied -0.033496 ICICI Bank 0.1014287 Infosys -0.062468 ITC 0.0839099 Jai Prakash 0.20150810 Ranbaxy 0.04489211 Reliance Communication 0.06367712 Reliance Infrastructure -0.144613 Reliance Industries 0.09887114 State Bank of India 0.12489915 Sterlite 0.15814216 Sun pharmaceuticals 0.04081317 Tata Motors -0.003618 Tata Power 0.10523919 Tata Steel -0.0027720 Wipro 0.03900621 Airtel 0.0006322 ACC 0.12622523 BHEL 0.12622524 TCS -0.0088525 HDFC 0.10197726 Maruti Udyog 0.03086327 L&T 0.06058928 ONGC -0.0764429 NTPC -0.0009330 DLF 0.198214

1

Fig No. 4.3.3: Showing the Beta values of BSE index and various companies for the financial year 2009-2010.

1

HDFC BANK

HINDUSTAN UNILE

VER LIM

ITED

MAHINDRA & M

AHINDRA LIMITE

D

INFOSY

S

JAI P

RAKASH

RELIANCE C

OMMUNICATION

RELIANCE I

NFRAST

RUCTURE

STER

LITE

TATA

MOTO

RS

TATA

STEE

L

AIRTEL

BHELHDFC

L & T

NTPC

-0.2

-0.15

-0.1

-0.05

0

0.05

0.1

0.15

0.2

0.25

Inference

Negative Beta value indicates that the stocks return moves in the opposite direction to the market return. In the year 2008-09, the stock return of RIL(0.14) moves in opposite direction to the market return.

It is inferred that one percent change in market index return causes 0.20 percent change in the Jai Prakash stock return. Jai Prakash stock is less volatile compared to the market.

Table No. 4.4.1: Showing the Alpha values between BSE index and various companies for the financial year 2007-2008.

S.NO. COMPANY NAMES ALPHA VALUES

1 HDFC BANK 0.189562 Hindalco Industries 0.15269

1

3 Hindustan Unilever Limited 0.062684 Grasim Industries 0.115595 Mahindra & Mahindra Limied -0.01266 ICICI Bank 0.02627 Infosys -0.08838 ITC 0.162559 Jai Prakash 0.0603510 Ranbaxy 0.1169311 Reliance Communication 0.1371112 Reliance Infrastructure 0.5943213 Reliance Industries 0.2536714 State Bank of India 0.254415 Sterlite 0.2563416 Sun pharmaceuticals 0.0942717 Tata Motors -0.00318 Tata Power 0.4066119 Tata Steel 0.2234720 Wipro -0.067821 Airtel 0.0839422 ACC 0.0851523 BHEL 0.0845924 TCS 0.0554825 HDFC -0.11626 Maruti Udyog 0.2385627 L&T 0.0699428 ONGC 0.2919329 NTPC 0.1489230 DLF 0.14466

1

Fig 4.4.2: Showing the Alpha values between BSE index and Various companies for the financial year 2008-2009

1

HDFC BANK

HINDUSTAN UNILE

VER LIM

ITED

MAHINDRA & M

AHINDRA LIMITE

D

INFOSY

S

JAI P

RAKASH

RELIANCE C

OMMUNICATION

RELIANCE I

NFRAST

RUCTURE

STER

LITE

TATA

MOTO

RS

TATA

STEE

L

AIRTEL

BHELHDFC

L & T

NTPC

-0.2

-0.1

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

Inference:

Positive alpha values would yield profitable return. It is inferred that Reliance infrastructure, Tata power, ONGC, Sterlite has yielded good profitable return for the year 2007-08.

Table No. 4.4.3: Showing the Alpha values between BSE index and various companies for the financial year 2009-2010.

1

S.NO. COMPANY NAMES ALPHA VALUES

1 HDFC BANK -0.059942 Hindalco Industries -0.39393 Hindustan Unilever Limited 0.0311174 Grasim Industries -0.152495 Mahindra & Mahindra Limied -0.134036 ICICI Bank -0.218197 Infosys -0.011938 ITC -0.013249 Jai Prakash -0.2122910 Ranbaxy -0.3103811 Reliance Communication -0.3100412 Reliance Infrastructure -0.550613 Reliance Industries -0.0934214 State Bank of India -0.101815 Sterlite -0.1543716 Sun pharmaceuticals -0.0072817 Tata Motors -0.4322418 Tata Power -0.1231819 Tata Steel -0.3587520 Wipro -0.1708921 Airtel -0.0613422 ACC -0.03810123 BHEL -0.0952824 TCS -0.0260525 HDFC -0.1126726 Maruti Udyog -0.1424627 L&T 0.03825428 ONGC -0.4631329 NTPC 0.00687230 DLF 0.007174

1

Fig No. 4..4.3: Showing the Alpha Values of BSE index and various companies for the financial year 2009-2010.

1

HDFC BANK

HINDUSTAN UNILE

VER LIM

ITED

MAHINDRA & M

AHINDRA LIMITE

D

INFOSY

S

JAI P

RAKASH

RELIANCE C

OMMUNICATION

RELIANCE I

NFRAST

RUCTURE

STER

LITE

TATA

MOTO

RS

TATA

STEE

L

AIRTEL

BHELHDFC

L & T

NTPC

-0.6

-0.5

-0.4

-0.3

-0.2

-0.1

0

0.1

Inference:

Positive alpha values would yield profitable return. It is inferred that Hindustan Unilever Limited, L & T, NTPC, DLF has yielded good profitable return for the year 2009-10.

Table 4.5.1: Showing the Correlation values between BSE index and various companies for the financial year 2007-2008.

1 HDFC BANK 0.0019792 Hindalco Industries 0.0174523 Hindustan Unilever Limited 0.0311914 Grasim Industries 0.0481795 Mahindra & Mahindra Limied 0.092269

1

6 ICICI Bank 0.0185627 Infosys 0.1197028 ITC 0.725259 Jai Prakash 0.0543210 Ranbaxy 0.0038211 Reliance Communication 0.0345612 Reliance Infrastructure 0.0455913 Reliance Industries 0.0694214 State Bank of India 0.0723315 Sterlite 0.0082416 Sun pharmaceuticals 0.0261417 Tata Motors 0.0183918 Tata Power 0.0470419 Tata Steel 0.0860820 Wipro 0.0550421 Airtel 0.20688522 ACC 0.0393723 BHEL 0.06832624 TCS 0.1622925 HDFC 0.022826 Maruti Udyog 0.12470427 L&T 0.035328 ONGC 0.0213629 NTPC 0.03717

1

Fig No. 4.5.1: Showing the Coefficient values between BSE index and various companies for the financial year 2007-2008.

1

HDFC BANK

HINDUSTAN UNILE

VER LIM

ITED

MAHINDRA & M

AHINDRA LIMITE

D

INFOSY

S

JAI P

RAKASH

RELIANCE C

OMMUNICATION

RELIANCE I

NFRAST

RUCTURE

STER

LITE

TATA

MOTO

RS

TATA

STEE

L

AIRTEL

BHELHDFC

L & T

NTPC

-0.4

-0.3

-0.2

-0.1

0

0.1

0.2

0.3

0.4

Inference:

Positive alpha values would yield profitable return. It is inferred that AIRTEL, RELIANCE INDUSTRIES, RELIANCE COMMUNICATION, ICICI BANK has yielded good profitable return for the year 2007-2008.

Table No 4. 5.2: Showing the Correlation values between BSE index and various companies for the financial year 2008-2009.

S.NO. COMPANY NAMES CORRELATION VALUES

1 HDFC BANK -0.02632 Hindalco Industries 0.013333 Hindustan Unilever Limited 0.03998

1

4 Grasim Industries 0.01435 Mahindra & Mahindra Limied 0.102416 ICICI Bank -0.03427 Infosys -0.04218 ITC 0.071529 Jai Prakash 0.1039810 Ranbaxy 0.0836511 Reliance Communication 0.0813412 Reliance Infrastructure -0.121313 Reliance Industries -0.062614 State Bank of India 0.0733115 Sterlite 0.0290716 Sun pharmaceuticals 0.030217 Tata Motors -0.13318 Tata Power 0.0097919 Tata Steel 0.1149720 Wipro 0.0686521 Airtel -0.04422 ACC -0.108623 BHEL 0.1136924 TCS 0.1113925 HDFC 0.0439226 Maruti Udyog -0.00827 L&T -0.006928 ONGC -0.107329 NTPC 0.0288430 DLF 0.02862

1

Fig 4.5.2.: Showing the Correlation values between BSE index and Various companies for the financial year 2008-2009.

1

HDFC BANK

HINDUSTAN UNILE

VER LIM

ITED

MAHINDRA & M

AHINDRA LIMITE

D

INFOSY

S

JAI P

RAKASH

RELIANCE C

OMMUNICATION

RELIANCE I

NFRAST

RUCTURE

STER

LITE

TATA

MOTO

RS

TATA

STEE

L

AIRTEL

BHELHDFC

L & T

NTPC

-0.15

-0.1

-0.05

0

0.05

0.1

0.15

Inference

There is a relationship between Tata steel stock return to the SENSEX return.

Table 4.5.3 :Showing the Correlation values between BSE index and various companies for the financial year 2009-2010.

S.NO. COMPANY NAMES Correlation Coefficient

1 HDFC BANK 0.0944172 Hindalco Industries 0.0805323 Hindustan Unilever Limited 0.055345

1

4 Grasim Industries 0.0748685 Mahindra & Mahindra Limied -0.016016 ICICI Bank 0.0623197 Infosys -0.023018 ITC 0.1095259 Jai Prakash 0.10108710 Ranbaxy 0.02784311 Reliance Communication 0.03875112 Reliance Infrastructure -0.0757513 Reliance Industries 0.0742514 State Bank of India 0.10399615 Sterlite 0.09064516 Sun pharmaceuticals 0.0519217 Tata Motors 0.00389718 Tata Power 0.08376519 Tata Steel 0.00034620 Wipro 0.03423421 Airtel 0.01678422 ACC 0.1081123 BHEL 0.12524224 TCS 0.00659525 HDFC 0.06704726 Maruti Udyog 0.03589327 L&T 0.0502228 ONGC -0.0447929 NTPC 0.001430 DLF 0.00127

1

Fig No.4. 5.2: Showing the correlation coefficient between BSE index and various companies for the financial year 2009-2010.

HDFC BANK

HINDUSTAN UNILE

VER LIM

ITED

MAHINDRA & M

AHINDRA LIMITE

D

INFOSY

S

JAI P

RAKASH

RELIANCE C

OMMUNICATION

RELIANCE I

NFRAST

RUCTURE

STER

LITE

TATA

MOTO

RS

TATA

STEE

L

AIRTEL

BHELHDFC

L & T

NTPC

-0.1

-0.05

0

0.05

0.1

0.15

Inference

1

There is a relationship between BHEL stock return to the SENSEX return.

Table 4.6.1 Showing the R square values between BSE index and various companies for the financial year 2007-2008

S.NO. COMPANY NAMES R SQUARE VALUES

1 HDFC BANK 0.000003912 Hindalco Industries 0.000304593 Hindustan Unilever Limited 0.0009728674 Grasim Industries 0.0023212015 Mahindra & Mahindra Limied 0.0085135266 ICICI Bank 0.0003445667 Infosys 0.143285638 ITC 0.0052598389 Jai Prakash 0.00295115810 Ranbaxy 0.00000014511 Reliance Communication 0.001194161

1

12 Reliance Infrastructure 0.0020781313 Reliance Industries 0.00481927814 State Bank of India 0.00523174415 Sterlite 0.0000678516 Sun pharmaceuticals 0.00068345817 Tata Motors 0.00033815918 Tata Power 0.00221251519 Tata Steel 0.00740946920 Wipro 0.0030299521 Airtel 0.04280140322 ACC 0.00155003723 BHEL 0.0465613724 TCS 0.00026337525 HDFC 0.0005196626 Maruti Udyog 0.0155511427 L&T 0.00124629328 ONGC 0.00045645429 NTPC 0.001381671

1

Fig No.4 .6.1: Showing the R Square value of BSE index and various companies for the financial year 2007-2008.

HDFC BANK

HINDUSTAN UNILE

VER LIM

ITED

MAHINDRA & M

AHINDRA LIMITE

D

INFOSY

S

JAI P

RAKASH

RELIANCE C

OMMUNICATION

RELIANCE I

NFRAST

RUCTURE

STER

LITE

TATA

MOTO

RS

TATA

STEE

L

AIRTEL

BHELHDFC

L & T

NTPC

00.005

0.010.015

0.020.025

0.030.035

0.040.045

Inference

The Interpretation is that 4.28 percent of variation in Airtel stock’s return is explained by the variation in SENSEX index return.

1

Table No. 4.6.2: Showing the R square values between BSE index and various companies for the financial year 2008-2009.


1 HDFC BANK 0.000692 Hindalco Industries 0.000183 Hindustan Unilever Limited 0.00164 Grasim Industries 0.00025 Mahindra & Mahindra Limied 0.010496 ICICI Bank 0.001777 Infosys 0.001178 ITC 0.005129 Jai Prakash 0.0108110 Ranbaxy 0.00711 Reliance Communication 0.0066212 Reliance Infrastructure 0.014713 Reliance Industries 0.0039214 State Bank of India 0.0053715 Sterlite 0.0008416 Sun pharmaceuticals 0.0009117 Tata Motors 0.0176918 Tata Power 0.00009619 Tata Steel 0.0132220 Wipro 0.0047121 Airtel 0.0019322 ACC 0.0117923 BHEL 0.0129324 TCS 0.0124125 HDFC 0.0019326 Maruti Udyog 0.00006427 L&T 0.00004828 ONGC 0.0115229 NTPC 0.0008330 DLF 0.00082

1

Fig 4.6.2.: Showing the R square values between BSE index and Various companies for the financial year 2008-2009

HDFC BANK

HINDUSTAN UNILE

VER LIM

ITED

MAHINDRA & M

AHINDRA LIMITE

D

INFOSY

S

JAI P

RAKASH

RELIANCE C

OMMUNICATION

RELIANCE I

NFRAST

RUCTURE

STER

LITE

TATA

MOTO

RS

TATA

STEE

L

AIRTEL

BHELHDFC

L & T

NTPC

00.0020.0040.0060.008

0.010.0120.0140.0160.018

0.02

Inference:

The Interpretation is that 1.7 percent of variation in Tata Motors stock’s return is explained by the variation in Sensex index return.

Table 4.6.3 Showing the R Square values between BSE index and various companies for the financial year 2009-2010.

1


1 HDFC BANK 0.0089142 Hindalco Industries 0.0064853 Hindustan Unilever Limited 0.0030634 Grasim Industries 0.0056055 Mahindra & Mahindra Limied 0.0002566 ICICI Bank 0.0038847 Infosys 0.0005298 ITC 0.0119969 Jai Prakash 0.01021910 Ranbaxy 0.00077511 Reliance Communication 0.00150212 Reliance Infrastructure 0.00573813 Reliance Industries 0.00551314 State Bank of India 0.01081515 Sterlite 0.00821716 Sun pharmaceuticals 0.00269617 Tata Motors 0.000015218 Tata Power 0.00701719 Tata Steel 0.0000001220 Wipro 0.00117221 Airtel 0.00028222 ACC 0.01168823 BHEL 0.01568624 TCS 0.000043525 HDFC 0.00449526 Maruti Udyog 0.00128827 L&T 0.00252228 ONGC 0.00200629 NTPC 0.000001930 DLF 0.0000016

1

Fig No. 4.6.3: Showing the R square Value of BSE index and various companies for the financial year 2009-2010.

1

Inference

The interpretation is that 1.5 percent of variation in BHEL stocks return is explained by the variation in SENSEX index return.

FINDINGS

Bharti Airtel has provided higher returns among the other SENSEX stocks

in the year 2007-08.

HDFC BANK

HINDUSTAN UNILE

VER LIM

ITED

MAHINDRA & M

AHINDRA LIMITE

D

INFOSY

S

JAI P

RAKASH

RELIANCE C

OMMUNICATION

RELIANCE I

NFRAST

RUCTURE

STER

LITE

TATA

MOTO

RS

TATA

STEE

L

AIRTEL

BHELHDFC

L & T

NTPC

00.0020.0040.0060.008

0.010.0120.0140.0160.018

1

There is a close relationship between AIRTEL stock’s return is explained by

the variation in SENSEX index return.

Reliance Infrastructure has provided higher returns among the other stocks

in the year 2008-09.

When comparing the Sensex companies stock’s the standard deviation of

Ranbaxy is higher in the year 2008-09.

Positive alpha values would yield profitable return. Reliance infrastructure,

Tata power, ONGC, Sterlite has yielded good profitable return for the year

2008-09.

Hindustan Unilever Ltd is higher in the year 2009-10.

Beta value of Jai prakash is higher than the other stocks in the Sensex in

the year 2008-09.

Positive alpha value would yield profitable return. Hindustan Unilever

limited, L&T, NTPC,DLF has yielded good profitable return for the year

2009-10.

1

SUGGESTIONS

Investor in general would analyze the risk factors and have a thorough

knowledge of the risk which helps him to plan his investment in the such a

manner as to minimize the risk associated with investments.

The investor should be prepared to hold the stock for a period of time to

reap the benefits of the rising trends in the market. He should be careful in

the timings of the purchase and sale of the stock.

Another way to avoid the risk is to have an investment in short term

security and to avoid long term investment.

The calculation of standard deviation would yield the variability of the

return, if there is inconsistency in the earnings it is better to avoid it.

It is suggested that the investors can invest in the shares that earn high

average return. Also, the investors can invest in the companies which

involves less risk and which moves tandem with the market.

1

CONCLUSION

In India most of the industries require huge amount of investments. Funds

are raised mostly through the issue of share. An investor is satisfied from the

reasonable return from investment in shares. An investor is satisfied from the

reasonable return from investment in shares. The investors are motivated to buy

the shares from the stock market either for speculation or investments.

Speculation involves higher risk to get return on the other hand investment

involves no such risks and returns will be fair.

An investor can succeed in his investment only when he is able to select the

right stocks. The investors should keenly watch the situation like market price,

economy, company progress, returns and the risk involved in a company’s share

price before taking decision on a particular stock purchase.

59576676 a Study on Risk and Return Analysis of Listed Stocks in Sensex With Special Reference to...

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