A STUDY ON VOLATILITY OF BELLWETHER STOCKS WITH RESPECT TO PRE AND POST BUDGET SESSION

ANNEXURE

ACHARYA INSTITUTE OF TECHNOLOGY, BANGALORE

A STUDY ON VOLATILITY OF BELLWETHER STOCKS WITH RESPECT TO PRE AND POST BUDGET SESSION

INDIAN TOBACCO COMPANY LTD(ITC LTD)

Pre Budget
Date
1-Mar-12
2-Mar-12
3-Mar-12
5-Mar-12
6-Mar-12
7-Mar-12
9-Mar-12
12-Mar-12
13-Mar-12
14-Mar-12
15-Mar-12

PRICE
206.85
205.25
205
207
210.4
209.95
208.25
206.8
209.05
212.5
208.9

risk
2.35

variance
5.54

return
-0.773507
-0.121803
0.9756098
1.6425121
-0.213878
-0.809717
-0.696279
1.0880077
1.6503229
-1.694118

Post Budget
Date
16-Mar-12
19-Mar-12
20-Mar-12
21-Mar-12
22-Mar-12
23-Mar-12
26-Mar-12
27-Mar-12
28-Mar-12
29-Mar-12
30-Mar-12

close
216.15
220.5
223.6
223.85
219.7
222.45
222.7
226.05
226.8
224.55
226.9

risk
2.47

variance
6.10

return
2.012491
1.405896
0.111807
-1.85392
1.251707
0.112385
1.504266
0.331785
-0.99206
1.046538

t-Test: Paired Two Sample for Mean

Mean
Variance
Observations
Pearson Correlation
Hypothesized Mean Difference
df
t Stat
P(T<=t) one-tail
t Critical one-tail
P(T<=t) two-tail
t Critical two-tail

Variable 1
0.104715132
1.346300781
10
-0.765487813
0
9
-0.552541859
0.297015995
1.833112923
0.59403199
2.262157158

ACHARYA INSTITUTE OF TECHNOLOGY, BANGALORE

Variable 2
0.49308903
1.45294939
10

correlation
-0.77

A STUDY ON VOLATILITY OF BELLWETHER STOCKS WITH RESPECT TO PRE AND POST BUDGET SESSION

STATE BANK OF INDIA

Pre Budget
Date
1-Mar-12
2-Mar-12
3-Mar-12
5-Mar-12
6-Mar-12
7-Mar-12
9-Mar-12
12-Mar-12
13-Mar-12
14-Mar-12
15-Mar-12

close
2,218.75
2,246.70
2,250.85
2,176.05
2,147.85
2,141.55
2,226.40
2,310.80
2,327.50
2,354.80
2,299.30

risk
75.51

variance
5701.83

return
1.2597183
0.1847154
-3.323189
-1.295926
-0.293317
3.9620835
3.7908732
0.7226934
1.1729323
-2.356888

Post Budget
Date
16-Mar-12
19-Mar-12
20-Mar-12
21-Mar-12
22-Mar-12
23-Mar-12
26-Mar-12
27-Mar-12
28-Mar-12
29-Mar-12
30-Mar-12

close
2,227.90
2,157.55
2,187.35
2,232.85
2,160.60
2,166.75
2,117.45
2,129.15
2,079.25
2,061.35
2,096.35

risk
52.39

variance
2745.12

return
-3.15768
1.381196
2.080143
-3.23577
0.284643
-2.2753
0.552551
-2.34366
-0.86089
1.697916

t-Test: Paired Two Sample for Mean

Mean
Variance
Observations
Pearson Correlation
Hypothesized Mean Difference
df
t Stat
P(T<=t) one-tail
t Critical one-tail
P(T<=t) two-tail
t Critical two-tail

Variable 1
0.382369638
5.609976839
10
-0.409275045
0
9
0.825765344
0.215141034
1.833112923
0.430282067
2.262157158

ACHARYA INSTITUTE OF TECHNOLOGY, BANGALORE

Variable 2
-0.587685
4.21136096
10

correlation
-0.41

A STUDY ON VOLATILITY OF BELLWETHER STOCKS WITH RESPECT TO PRE AND POST BUDGET SESSION

TCS

Pre Budget
Date
1-Mar-12
2-Mar-12
3-Mar-12
5-Mar-12
6-Mar-12
7-Mar-12
9-Mar-12
12-Mar-12
13-Mar-12
14-Mar-12
15-Mar-12

close
1,219.60
1,217.25
1,218.40
1,207.30
1,202.00
1,192.85
1,208.55
1,189.05
1,197.00
1,154.55
1,163.70

risk
21.31

variance
454.04

return
-0.192686
0.0944753
-0.911031
-0.438996
-0.761231
1.3161755
-1.613504
0.668601
-3.546366
0.7925166

Post Budget
Date
16-Mar-12
19-Mar-12
20-Mar-12
21-Mar-12
22-Mar-12
23-Mar-12
26-Mar-12
27-Mar-12
28-Mar-12
29-Mar-12
30-Mar-12

close
1,169.55
1,122.00
1,134.85
1,175.75
1,167.75
1,184.65
1,161.60
1,174.75
1,165.10
1,141.20

risk
20.19

variance
407.56

return

correlation
0.04

-4.06567
1.145276
3.604001
-0.68042
1.447228
-1.94572
1.132059
-0.82145
-2.05133
2.418507

1,168.80

t-Test: Paired Two Sample for Mean

Mean
Variance
Observations
Pearson Correlation
Hypothesized Mean Difference
df
t Stat
P(T<=t) one-tail
t Critical one-tail
P(T<=t) two-tail
t Critical two-tail

Variable 1
-0.459204573
1.947451834
10
0.038957321
0
9
-0.564328311
0.293158681
1.833112923
0.586317362
2.262157158

ACHARYA INSTITUTE OF TECHNOLOGY, BANGALORE

Variable 2
0.01824876
5.46483492
10

A STUDY ON VOLATILITY OF BELLWETHER STOCKS WITH RESPECT TO PRE AND POST BUDGET SESSION

National Thermal Power corporation Limited

Pre Budget
Date
14-Feb-13
15-Feb-13
18-Feb-13
19-Feb-13
20-Feb-13
21-Feb-13
22-Feb-13
25-Feb-13
26-Feb-13
27-Feb-13
28-Feb-13

close
149.3
149.95
151.1
153.5
152.4
152
151.55
149.85
151
153.85
150.9

risk
1.35

variance
1.82

return
0.435365
0.7669223
1.5883521
-0.716612
-0.262467
-0.296053
-1.121742
0.7674341
1.8874172
-1.917452

Post Budget
Date
1-Mar-13
4-Mar-13
5-Mar-13
6-Mar-13
7-Mar-13
8-Mar-13
11-Mar-13
12-Mar-13
13-Mar-13
14-Mar-13
15-Mar-13

close
150.05
149.35
149.55
148.45
148.15
149.05
149.6
147.8
146.8
146.85
145.95

risk
1.29

variance
1.65

return
-0.46651
0.133914
-0.73554
-0.20209
0.607492
0.369004
-1.20321
-0.67659
0.03406
-0.61287

t-Test: Paired Two Sample for Mean

Mean
Variance
Observations
Pearson Correlation
Hypothesized Mean Difference
df
t Stat
P(T<=t) one-tail
t Critical one-tail
P(T<=t) two-tail
t Critical two-tail

Variable 1
0.113116448
1.436546383
10
0.162945032
0
9
0.991794228
0.173606111
1.833112923
0.347212222
2.262157158

ACHARYA INSTITUTE OF TECHNOLOGY, BANGALORE

Variable 2
-0.2752339
0.31637257
10

correlation
0.16

A STUDY ON VOLATILITY OF BELLWETHER STOCKS WITH RESPECT TO PRE AND POST BUDGET SESSION

STEEL AUTHORITY OF INDIA LIMITED (SAIL Ltd)

Pre Budget
Date
14-Feb-13
15-Feb-13
18-Feb-13
19-Feb-13
20-Feb-13
21-Feb-13
22-Feb-13
25-Feb-13
26-Feb-13
27-Feb-13
28-Feb-13

close
77.6
77.85
78
78.5
78.85
75.95
76.5
74.95
72.75
74.35
70.9

risk
2.63

variance
6.92

return
0.3221649
0.1926782
0.6410256
0.4458599
-3.677869
0.7241606
-2.026144
-2.93529
2.1993127
-4.640215

Post Budget
Date
1-Mar-13
4-Mar-13
5-Mar-13
6-Mar-13
7-Mar-13
8-Mar-13
11-Mar-13
12-Mar-13
13-Mar-13
14-Mar-13
15-Mar-13

close
71.6
68.2
69.5
70.45
69.1
70.35
70.45
70.9
70.9
70.55
68.75

risk
0.96

variance
0.92

return
-4.7486
1.906158
1.366906
-1.91625
1.808973
0.142146
0.638751
0
-0.49365
-2.55138

t-Test: Paired Two Sample for Mean

Mean
Variance
Observations
Pearson Correlation
Hypothesized Mean Difference
df
t Stat
P(T<=t) one-tail
t Critical one-tail
P(T<=t) two-tail
t Critical two-tail

Variable 1
-0.875431652
5.136411856
10
-0.036879623
0
9
-0.490398241
0.317792863
1.833112923
0.635585726
2.262157158

ACHARYA INSTITUTE OF TECHNOLOGY, BANGALORE

Variable 2
-0.3846956
4.52189521
10

correlation
-0.04

A STUDY ON VOLATILITY OF BELLWETHER STOCKS WITH RESPECT TO PRE AND POST BUDGET SESSION

Raymond Limited
Pre Budget
Date
14-Feb-13
15-Feb-13
18-Feb-13
19-Feb-13
20-Feb-13
21-Feb-13
22-Feb-13
25-Feb-13
26-Feb-13
27-Feb-13
28-Feb-13

close
341.65
341.5
349.6
356.4
358.6
343.65
337.75
338.3
333.15
329.15
311.15

risk
13.85

variance
191.95

return
-0.043905
2.3718887
1.9450801
0.617284
-4.168991
-1.716863
0.1628423
-1.522317
-1.20066
-5.468631

Post Budget
Date
1-Mar-13
4-Mar-13
5-Mar-13
6-Mar-13
7-Mar-13
8-Mar-13
11-Mar-13
12-Mar-13
13-Mar-13
14-Mar-13
15-Mar-13

close
317.05
310.85
321.2
325.55
321.1
321.1
321.2
320.4
313.05
309.3
299.3

risk
7.99

variance
63.86

return
-1.95553
3.32958
1.354296
-1.36692
0
0.031143
-0.24907
-2.29401
-1.19789
-3.23311

t-Test: Paired Two Sample for Mean

Mean
Variance
Observations
Pearson Correlation
Hypothesized Mean Difference
df
t Stat
P(T<=t) one-tail
t Critical one-tail
P(T<=t) two-tail
t Critical two-tail

Variable 1
-0.902427224
6.185332623
10
0.638675081
0
9
-0.561197257
0.294180709
1.833112923
0.588361418
2.262157158

ACHARYA INSTITUTE OF TECHNOLOGY, BANGALORE

Variable 2
-0.5581498
3.63454025
10

correlation
0.64

A STUDY ON VOLATILITY OF BELLWETHER STOCKS WITH RESPECT TO PRE AND POST BUDGET SESSION

TATA MOTORS
Pre Budget
Date
4-Feb-14
5-Feb-14
6-Feb-14
7-Feb-14
10-Feb-14
11-Feb-14
12-Feb-14
13-Feb-14
14-Feb-14
17-Feb-14
18-Feb-14

close
345.85
355.1
357.65
360.2
364.05
374.5
376.65
375.95
388.8
386.6
391.4

Risk
13.32

variance
177.48

return
2.6745699
0.7181076
0.7129876
1.0688506
2.8704848
0.5740988
-0.185849
3.4180077
-0.565844
1.2415934

Post Budget
Date
19-Feb-14
20-Feb-14
21-Feb-14
24-Feb-14
25-Feb-14
26-Feb-14
28-Feb-14
3-Mar-14
4-Mar-14
5-Mar-14
6-Mar-14

close
391.5
391.85
396.2
396.55
398.5
401.2
416.95
410.7
412.9
409.6
408.45

Risk
9.20

variance
84.64

return
0.0894
1.110119
0.088339
0.491741
0.677541
3.925723
-1.49898
0.535671
-0.79922
-0.28076

t-Test: Paired Two Sample for Mean

Mean
Variance
Observations
Pearson Correlation
Hypothesized Mean Difference
df
t Stat
P(T<=t) one-tail
t Critical one-tail
P(T<=t) two-tail
t Critical two-tail

Variable 1
1.252700783
1.752836143
10
0.151289136
0
9
1.434868091
0.092573785
1.833112923
0.18514757
2.262157158

ACHARYA INSTITUTE OF TECHNOLOGY, BANGALORE

Variable 2
0.43395659
2.08095791
10

correlation
0.15

A STUDY ON VOLATILITY OF BELLWETHER STOCKS WITH RESPECT TO PRE AND POST BUDGET SESSION

ASHOK LEYLAND LIMITED

Pre Budget
Date
4-Feb-14
5-Feb-14
6-Feb-14
7-Feb-14
10-Feb-14
11-Feb-14
12-Feb-14
13-Feb-14
14-Feb-14
17-Feb-14
18-Feb-14

close
16.45
16
15.95
16.1
15.65
15.7
15.6
15.5
15.6
15.35
15.35

risk
0.26

variance
0.07

return
-2.735562
-0.3125
0.9404389
-2.795031
0.3194888
-0.636943
-0.641026
0.6451613
-1.602564
0

Post Budget
Date
19-Feb-14
20-Feb-14
21-Feb-14
24-Feb-14
25-Feb-14
26-Feb-14
28-Feb-14
3-Mar-14
4-Mar-14
5-Mar-14
6-Mar-14

close
15.65
15.65
15.7
15.5
15.5
15.7
15.65
15.55
15.6
16.15
16

risk
0.21

variance
0.05

return

correlation
-0.26

0
0.319489
-1.27389
0
1.290323
-0.31847
-0.63898
0.321543
3.525641
-0.92879

t-Test: Paired Two Sample for Mean

Mean
Variance
Observations
Pearson Correlation
Hypothesized Mean Difference
df
t Stat
P(T<=t) one-tail
t Critical one-tail
P(T<=t) two-tail
t Critical two-tail

Variable 1
-0.68185368
1.725718289
10
-0.257135916
0
9
-1.3571884
0.103888735
1.833112923
0.207777471
2.262157158

ACHARYA INSTITUTE OF TECHNOLOGY, BANGALORE

Variable 2
0.22968689
1.86312617
10

A STUDY ON VOLATILITY OF BELLWETHER STOCKS WITH RESPECT TO PRE AND POST BUDGET SESSION

LARSEN & TOUBRO LIMITED

Pre Budget
Date
4-Feb-14
5-Feb-14
6-Feb-14
7-Feb-14
10-Feb-14
11-Feb-14
12-Feb-14
13-Feb-14
14-Feb-14
17-Feb-14
18-Feb-14

close
983
985.4
975.25
984.15
995.9
993.65
1,010.50
986.95
992.75
998.3
1,017.40

risk
12.54

variance
157.32

return
0.2441506
-1.030039
0.9125865
1.1939237
-0.225926
1.6957681
-2.330529
0.5876691
0.5590531
1.9132525

Post Budget
Date
19-Feb-14
20-Feb-14
21-Feb-14
24-Feb-14
25-Feb-14
26-Feb-14
28-Feb-14
3-Mar-14
4-Mar-14
5-Mar-14
6-Mar-14

close
1,031.30
1,034.65
1,055.15
1,084.65
1,087.90
1,096.65
1,109.65
1,097.55
1,116.70
1,123.35
1,142.50

risk
31.87

variance
1015.80

return
0.324833
1.981346
2.795811
0.299636
0.804302
1.185428
-1.09043
1.744795
0.595505
1.704722

t-Test: Paired Two Sample for Mean

Mean
Variance
Observations
Pearson Correlation
Hypothesized Mean Difference
df
t Stat
P(T<=t) one-tail
t Critical one-tail
P(T<=t) two-tail
t Critical two-tail

Variable 1
0.351990934
1.646261222
10
0.498144885
0
9
-1.795691893
0.053055779
1.833112923
0.106111559
2.262157158

ACHARYA INSTITUTE OF TECHNOLOGY, BANGALORE

Variable 2
1.03459445
1.19777073
10

correlation
0.50