ISSN NO.: 2320-8236 Vol: 2, Issue: 4
IJRSMS
1 Empirical Study on Effects of Enterprise Governance on
Organizational
Dr M Arif Khattak, Dr Syed Umar Farooq, Shehiryar Ahmed,
2 A Study On “Financial Inclusion – Just a Buzzword or a Reality”
Dr. Suresh Chandra Bihari, Nihar Ranjan Samal
3 A study on trust in online shopping of youth in Pune: A factor
analysis
Vinay Kumar, Dr. Ujwala Dange
4 A Comparative Analysis of the Financial Ratios of Selected Banks in the
India for the period of 2011-2014
Rohit Bansal
5 Characteristic Line the relationship between return of the stock and the
market: A study with reference to selected companies in the Indian
Stock Market
Neeraj Gupta, Dr. Anil Vashisht, Ashwin Gedam
6 Risk and Return Strategy in Indian Stock market- A study on selected
portfolio
Anubhav Srivastava
7 Marital Satisfaction and Well Being Among Fraternal Polyandrous and
Monogamous Tribal People of Kinnaur
Sunder Kala Negi, Hoshiar Singh
8 Impact of occupational stress on job involvement in nursing
personnel
Dr. Deepa Pandey
9 Entrepreneurship in Health Care With Special Reference to Kerala State
SHYNI. MC
10 Employee Job Satisfaction: A Review of Literature
Prof(Dr) Ipseeta Satpathy, Dr.Sasmita Mishra, Monalisa Mohapatra
11 Antisocial and Imperative Behavior In Adolescents: A Threat to Social
Well Being
Anu Teotia
12 Analysis of Literature to Deduce the Determinants of Organizational
Citizenship Behavior
NIHARIKA SINGH, DR. BAJRANG D. KOLEKAR
13 An Introduction to Consumer Neuro-Marketing
Dr. Ankur Goutam
14 A Conceptual Study to Know the Relationship between Information
Technology and Human Resource Information Systems
Dr. Vibha Gupta, Ms. Sylvia R. Masih
15 Problems and Suggestions Regarding SHGs – A Case study of Mewat
District of Haryana
Parul Mittal
16 A study about poverty conditions and food consumption pattern among
pregnant women residing in urban slums of Varanasi district
Kalpna Gupta, Sadhana Singh Rajpoot
17 OTC Drug Promotion: Awareness and Attitude Among Indian
Consumers
Vipender Khatik
18 A Saga of Dr. Swaminathan’s Disillusionment: A Case Study
Dr. Bharti Venkatesh
19 Challenges and Opportunities of E-Commerce and Its Role in
Management Education in India
Dr. Rajesh Sharma
20 A Comparative Study of Non Performing Assets Management of Selected
Units W.r.t. HDFC & PNB
Dr. Praveen Choudhury, Prof. Apoorv Bhatnagar
21 Terrorism ; Role Of Technology And Globalization
Dr Nisar Ahmad Meer
22 Sociological Profile Of Women Prisoners In Jammu And
kashmir
Shahid Ul Mushtaq
23 Advent And Establishment Of Islam In Kashmir: Chronicles In Kashmir
History
Muzafar Ahmad Mir
24 Early Life Of Sultan Sikandar; Advent, Reign And Succession
Muzafar Ahmad Mir
25 Energy Security Being a State Security
Dr Nisar Ahmad Meer
Oct-Dec, 2014
ISSN: 2320-8236
VOLUME: 2, ISSUE:4
OCTOBER- DECEMBER 2014
www.ircjournals.org
CONTENT
S.No
1
TITLE
Empirical Study on Effects of Enterprise Governance on Organizational
2
A Study On “Financial Inclusion – Just a Buzzword or a Reality”
3
A study on trust in online shopping of youth in Pune: A factor analysis
4
A Comparative Analysis of the Financial Ratios of Selected Banks in the
India for the period of 2011-2014
5
Characteristic Line the relationship between return of the stock and the
market: A study with reference to selected companies in the Indian Stock
Market
Risk and Return Strategy in Indian Stock market- A study on selected
portfolio
Marital Satisfaction and Well Being Among Fraternal Polyandrous and
Monogamous Tribal People of Kinnaur
Impact of occupational stress on job involvement in nursing personnel
Entrepreneurship in Health Care With Special Reference to Kerala State
Employee Job Satisfaction: A Review of Literature
6
7
8
9
10
11
23
24
25
Antisocial and Imperative Behavior In Adolescents: A Threat to Social Well
Being
Analysis of Literature to Deduce the Determinants of Organizational
Citizenship Behavior
An Introduction to Consumer Neuro-Marketing
A Conceptual Study to Know the Relationship between Information
Technology and Human Resource Information Systems
Problems and Suggestions Regarding SHGs – A Case study of Mewat
District of Haryana
A study about poverty conditions and food consumption pattern among
pregnant women residing in urban slums of Varanasi district
OTC Drug Promotion: Awareness and Attitude Among Indian Consumers
Challenges and Opportunities of E-Commerce and Its Role in Management
Education in India
A Comparative Study of Non Performing Assets Management of Selected
Units W.r.t. HDFC & PNB
Terrorism ; Role Of Technology And Globalization
Sociological Profile Of Women Prisoners In Jammu And Kashmir
Advent And Establishment Of Islam In Kashmir: Chronicles In Kashmir
History
Early Life Of Sultan Sikandar; Advent, Reign And Succession
Energy Security Being a State Security
Manage the Library with Strategic Management
26
Contemporary Issues in E-Tailing
27
A Saga of Dr. Swaminathan’s Disillusionment: A Case Study
12
13
14
15
16
17
18
19
20
21
22
AUTHOR’s
Dr M Arif Khattak,
Dr Syed Umar Farooq,
Shehiryar Ahmed,
Dr. Suresh Chandra
Bihari
Nihar Ranjan Samal
Vinay Kumar
Dr. Ujwala Dange
Rohit Bansal
Page No.
1-6
Neeraj Gupta
Dr. Anil Vashisht
Ashwin Gedam
Anubhav Srivastava
36 - 41
Sunder Kala Negi
Hoshiar Singh
Dr. Deepa Pandey
SHYNI. MC
Prof(Dr) Ipseeta
Satpathy
Dr.Sasmita Mishra
Monalisa Mohapatra
Anu Teotia
47 - 57
Niharika Singh
Dr. Bajrang Kolekar
Dr. Ankur Goutam
Dr. Vibha Gupta
Ms. Sylvia R. Masih
Parul Mittal
80 - 88
7 - 18
19-23
24 - 35
42 - 46
58- 64
65 - 70
71 - 74
75 - 79
89 - 95
96 - 99
100 - 107
Kalpna Gupta
Sadhana Singh Rajpoot
Vipender Khatik
Dr. Rajesh Sharma
108 - 111
Dr. Praveen Choudhury
Prof. Apoorv Bhatnagar
Dr Nisar Ahmad Meer
Shahid Ul Mushtaq
Muzafar Ahmad Mir
118 - 122
Muzafar Ahmad Mir
Dr Nisar Ahmad Meer
Nawal Kisor Manoj, Dr.
Manoj Kumar Sinha
Babita Singla,
Dr. Manish Bansal
Dr. Bharti Venkatesh
132 - 135
136 - 137
138 - 141
112 - 114
115 - 117
123 - 124
125 - 128
129 - 131
142 - 147
148
7
ISSN: 2320-8236
VOLUME: 2, ISSUE:4
OCTOBER- DECEMBER 2014
www.ircjournals.org
Characteristic Line, The relationship between return of the stock and the
market: A study with reference to selected companies in the Indian stock
market
Neeraj Gupta
Dr. Anil Vashisht
Assistant lecturer,
Amity Business School,
Amity University, Gwalior (M.P.)
Dy.Director &HOI,
Amity Business School, Amity University,
Gwalior, Madhya Pradesh
Ashwin Gedam
Student (MBA III Semester),
Amity Business School,
Amity University, Gwalior- M.P
Abstract:
Market risk and return are important parameters to consider while investing into a market. To evaluate it beta and alpha are used. Among
them beta is an important factor which is used to determine the systematic risk involved with a security. It is used to estimate the expected
return of a stock. Alpha (αi) is a risk-adjusted measure of a return on an investment. It is the return in excess of the compensation for the
risk borne (Howells and Bain 2005: 172). The characteristic line is a regression line showing the relationship between return of a security
and the return of the market. In this paper, we have found the characteristic line of different companies under study.
Keywords: beta; alpha; characteristic line; risk; market return; stock return
Introduction
To estimate the expected return on investments in the stock market is a challenging and tedious job before any ordinary investor. For
taking suitable investment decisions different market models and techniques are being used. The past behavior of the price of a security
and the share price index play a very important role in security analysis. The straight line showing the relationship between the rate of
return of a security and the rate of market return is known as the security’s characteristic line. The slope of the characteristic line is called
the security’s beta. The concept of beta introduced by Markowitz (1959) is being widely used to measure the systematic risk involved in
an investment.
1.1 Security Characteristic line and beta
Definition of 'Characteristic Line'
It is a line formed by using regression analysis that summarizes a particular security’s systematic risk and rate of return. The rate of return is
dependent on the slope of the characteristic line, which is represented by the asset's beta.
Empirical studies showed that there is a linear relation between the share price index ‘X’ and Y(security stock). Let (X1, Y1), (X2, Y2), …
(Xn, Yn) be ‘n’ observations relating to X and Y made at ‘n’ consecutive periods of time. If ‘x’ denotes the percentage rate of return of the
price index and ‘y’ denotes that of the security, then the values of x and y are given by:
𝑋𝑖 +1−𝑋𝑖
(𝑌𝑖 +1−𝑌𝑖 )
𝑥𝑖 =
∗ 100 And 𝑦𝑖 =
∗ 100,
𝑋𝑖
𝑌𝑖
for i = 1, 2, 3,…, n-1
The equation of the characteristic line can be written as
y=α+βx
……………………. (1)
Where α and β are constants. The slope of characteristic line β is the security’s beta. At present, beta is taken as the measure of the sensitivity
of the security’s price Y with respect to market changes.
1.2 Significance of Alpha
The alpha coefficient ( ) of the security refers to the expected excess return of the security over the expected rate of return (for example,
estimated by an equilibrium asset pricing model like the CAPM). It is the intercept of the security characteristic line (SCL). The alpha
coefficient indicates how an investment has performed after taking into consideration the risk involved. This is an assessment of alpha, if,
I.
Alpha(α) less than zero: the investment has earned too little for its risk (or, was too risky for the return)
II.
Alpha (α) equal to zero: the investment has earned a return adequate for the risk taken
III.
Alpha(α) greater than zero: the investment has a return in excess of the reward for the assumed risk
Alpha for the stock
Alpha for the stock (α) =Expected Return of the stock {E(A)}-Required Return {(A)} of the stock
The required rate of return can be calculated from the CAPM model, therefore, the Required Return (A) of the stock can be calculated as
Required Return (A) of the stock=Rf + β(Rm-Rf). …(2)
1.3 Significance of Beta
Beta is a measure of a stock's volatility in relation to the market. The market has a beta of 1.0, and individual stocks are ranked according to
how much they deviate from the market. A stock that swings more than the market over time has a beta above 1.0. If a stock moves less than
the market, the stock's beta is less than 1.0. High-beta stocks are supposed to be riskier but provide a potential for higher returns; low-beta
stocks pose less risk but also lower returns.
Here is a basic guide to various betas:
36
ISSN: 2320-8236
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a. Negative beta: A beta less than 0, which would indicate an inverse relation to the market - is possible but highly unlikely. However,
some investors believe that gold and gold stocks should have negative betas because they tended to do better when the stock market
declines.
b. Beta of 0: Basically, cash has a beta of 0. In other words, regardless of which way the market moves, the value of cash remains
unchanged.
c. Beta between 0 and 1: Companies with volatilities lower than the market have a beta of less than 1 but more than 0.
d. Beta of 1: A beta of 1 represents the volatility of the given index used to represent the overall market, against which other stocks and
their betas are measured. The S&P 500 is such an index. If a stock has a beta of one, it will be in the same ratio and direction as the
index. So, an index fund that mirrors the S&P 500 will have a beta close to 1.
e. Beta greater than 1: This denotes a volatility that is greater than the broad-based index.
1.4 Characteristic line formation:
It is formed by taking realized excess return on market portfolio on X axis and the realized excess return on asset on Y axis. It is shown
in the following diagram (Fig1.):
Fig 1.
2. REVIEW OF LITERATURE
Blume (1971),Hamada (1972) and Alexander & Chervani (1980) challenged the stability of beta. They argued that beta varies over a
period of time. Black (1976) linked beta to leverage which changes owing to changes in the stock price. Mandelker & Rhee (1984)
related beta to decisions by the firm and thus a varying measure. The relationship between macro-economic variables and the firm’s
beta, as illustrated in the work of Rosenberg & Guy (1976) points to the varying character of beta. Since beta is evaluated as the
covariance between the stock returns and index returns, scaled down by the variance of the index returns and the index volatility is timevarying (Bollerslev et al. 1992), beta is not constant over a period of time. Roll et al (1994) point out the inefficiency of the CAPM for
estimating the expected returns using beta. The constancy nature of beta raises doubts about the suitability of using it as a measure of the
sensitivity of the security’s return corresponding to market returns. This led us to think of a suitable measure that reflects instantaneous
changes of the market. Even if x and y are related by (1), beta alone cannot be used to measure the sensitivity of the price of the security.
The parameter α also will play a major role unless its value is tested statistically insignificant.
Amongst many others, some studies of beta estimations concentrated on the stability of beta over time (Harvey 1989), an asset. The
studies on the impact of return interval on beta estimates point out the importance of the timescale issue. An early study by Levhari and
Levy (1977) shows that if the analyst uses a time horizon shorter than the true one, the beta estimates are biased. Handa (1989) report
that different beta estimates are possible for the same stock if different return intervals are considered.
3.OBJECTIVE OF STUDY



To find out the alpha of the stock
To find out the beta of the stock
To find out the characteristic line of the selected stock for finding out the relationship between the return of the stock and the
return of the market.
4.RESEARCH METHODOLOGY



The period of study is taken from 1st July 2014 to 31st July 2014 covering all the working days of the NSE.
The sources of data for research paper are mainly secondary which is collected from the websites, documents, which are in
printed form like annual reports etc.
For this paper following seven companies have been selected for the study:
Characteristic Line, The relationship between return of the stock and the market: A study with reference to selected companies
in the Indian stock
Neeraj Gupta, Dr. Anil Vashisht, Ashwin Gedam
37
ISSN: 2320-8236
VOLUME: 2, ISSUE:4
OCTOBER - DECEMBER 2014
www.ircjournals.org
Table 1.Sectorwise name of companies
S.no.
Sector
1
Software
2.
Power sector
3.
Automobile sector
4.
Pharmaceuticals
5.
Financial sector
6.
Food industry
7.
Textile sector
Name of the company
TCS ltd.
NTPC ltd.
TATA MOTORS
CIPLA ltd.
KOTAK Mahindra Bank
Nestle Ltd.
WELSPUN ltd.
No. of companies
1
1
1
1
1
1
1
5.RESEARCH PLAN
5.1 Determination of company’s stock return (denoted by Y %)
The return on individual company stock for each day is calculated as :
𝑐𝑙𝑜𝑠𝑖𝑛𝑔 𝑝𝑟𝑖𝑐𝑒 𝑜𝑓 𝑐𝑜𝑚𝑎𝑛 𝑦 ′ 𝑠
𝑠𝑡𝑜𝑐𝑘 𝑜𝑛 𝑠𝑒𝑐𝑜𝑛𝑑 𝑑𝑎𝑦 −𝑐𝑙𝑜𝑠𝑖𝑛𝑔 𝑝𝑟𝑖𝑐𝑒 𝑜𝑓 𝑐𝑜𝑚𝑝𝑎𝑛 𝑦 ′ 𝑠
𝑠𝑡𝑜𝑐𝑘 𝑜𝑛 𝑓𝑖𝑟𝑠𝑡 𝑑𝑎𝑦
𝑐𝑙𝑜𝑠𝑖𝑛𝑔 𝑝𝑟𝑖𝑐𝑒 𝑜𝑓 𝑐𝑜𝑚𝑝𝑎𝑛𝑦 ′𝑠𝑠𝑡𝑜𝑐𝑘 𝑜𝑛 𝑓𝑖𝑟𝑠𝑡 𝑑𝑎𝑦
∗ 100 ….(3)
5.2 Determination of market return (denoted by X %):
The return on NSE market for each day is calculated as:
𝑐𝑙𝑜𝑠𝑖𝑛𝑔 𝑝𝑟𝑖𝑐𝑒 𝑜𝑓 𝑚𝑎𝑟𝑘𝑒𝑡
𝑜𝑛 𝑠𝑒𝑐𝑜𝑛𝑑 𝑑𝑎𝑦 −𝑐𝑙𝑜𝑠𝑖𝑛𝑔 𝑝𝑟𝑖𝑐𝑒 𝑜𝑓 𝑚𝑎𝑟𝑘𝑒𝑡
𝑜𝑛 𝑓𝑖𝑟𝑠𝑡 𝑑𝑎𝑦
𝑐𝑙𝑜𝑠𝑖𝑛𝑔 𝑝𝑟𝑖𝑐𝑒 𝑜𝑓 𝑚𝑎𝑘𝑒𝑡 𝑜𝑛 𝑓𝑖𝑟𝑠𝑡 𝑑𝑎𝑦
*100………… (4)
5.3 Estimation of Beta (β):
Beta is calculated by using formula:
β=
∑𝑋𝑌 −𝑛𝑋 𝑚𝑒𝑎𝑛 𝑌 𝑚𝑒𝑎𝑛
∑𝑋 2 −𝑛 𝑋 𝑚𝑒𝑎𝑛 2
….. (5)
here ,
XY=product of individual stocks return with market index return
X(mean)=average of the market index return
Y(mean)=average of the companies stocks return
n=total number of working days
5.4 Estimation of Alpha (α):
Alpha is calculated by using formula:
𝛼 = 𝑌 𝑚𝑒𝑎𝑛 − 𝛽𝑋 𝑚𝑒𝑎𝑛
here, X(mean)= average of the market return
Y(mean)= average of the companies stocks return
β =systematic risk
…..(6)
6. DATA EVALUATION AND FINDINGS
Table2.
Company C
TCS
NTPC
TATA MOTORS
CIPLA Ltd.
KOTAK Bank
NESTLE
WELSPUN
Y(mean)
0.374
-0.286
-0.025
0.210
0.371
0.188
1.284
XY(sum)
8.509
22.640
19.705
6.238
11.279
6.560
19.261
Beta
0.551
1.576
1.352
0.409
0.741
0.433
1.209
Alpha
0.342
-0.375
-0.102
0.186
0.328
0.163
1.215
The characteristic lines of the companies are as follows:
TCS: Y= 0.342+0.551X
NTPC: Y= -0.375+1.576X
TATA MOTORS: Y= -0.102+1.352X
CIPLA pharmaceuticals: Y= 0.186+0.409X
Characteristic Line, The relationship between return of the stock and the market: A study with reference to selected companies
in the Indian stock
Neeraj Gupta, Dr. Anil Vashisht, Ashwin Gedam
38
ISSN: 2320-8236
VOLUME: 2, ISSUE:4
OCTOBER - DECEMBER 2014
www.ircjournals.org
KOTAK MAHINDRA bank: Y= 0.328+0.741X
NESTLE ltd.: Y= 0.163+0.433X
WELSPUN Ltd.: Y= 1.215+1.209X
7. INFERENCES
Table3. Inferences from the characteristic line obtained of companies
Beta
0<β<1
β>1
>0
α inference
the investment has a return in excess of the reward for the assumed risk
the investment has earned too little for its risk (or, was too risky for the
return)
the investment has earned too little for its risk (or, was too risky for the
return)
the investment has a return in excess of the reward for the assumed risk
0<β<1
β inference
volatility lower than the market
Volatility that is greater than the broadbased index. (risky stock)
Volatility is greater than the broad-based
index.(risky stock)
volatility lower than the market
>0
the investment has a return in excess of the reward for the assumed risk
0<β<1
Volatility lower than the market
>0
>0
the investment has a return in excess of the reward for the assumed risk
the investment has a return in excess of the reward for the assumed risk
0<β<1
β>1
volatility lower than the market
Volatility is greater than the broad-based
index.(risky stock)
Company name
TCS
NTPC Ltd.
Alpha
>0
<0
TATA MOTORS
<0
CIPLA
pharmaceuticals
KOTAK
MAHINDRA
NESTLE Ltd.
WELSPUN
India Ltd.
β>1
8.LIMITATIONS
1. The value of the beta change over a period of time. Therefore, the return of the stock calculated using the characteristic line may not
be same always.
2. The period of study is small therefore more scope of changes in characteristic line is always there.
9. CONCLUSION
The beta of the NTPC Ltd., TATA motors Ltd. and the WELSPUN Ltd is more than one therefore they are high risky stocks as
compared to the market. The characteristic line of the selected stock has been found by putting the values of α and β in the equation
y=α+βx . The return of the selected stocks can be found out by putting value of the market return in their respective characteristic line.
10. APPENDIX
Table4.TCS data
Date
1-july-14
2-july-14
3-july-14
4-july-14
7-july-14
8-july-14
9- july-14
10 july-14
11 july-14
14 july-14
15 july-14
16 july-14
17 july-14
18 july-14
21 july-14
22 july-14
23 july-14
24 july-14
25 july-14
28 july-14
30 july-14
31 july-14
Closing
price of
TCS
2390.75
2401.6
2417.9
2410.5
2488.55
2449.45
2398.15
2351.8
2394.45
2426.25
2399.3
2401.85
2381.95
2441.2
2463.75
2532.4
2586.15
2595.2
2605.75
2589.3
2595.05
2580.05
Table5.NTPC limited data
Market return of TCS
(Y)%
0.453832
0.678714
-0.30605
3.237917
-1.5712
-2.09435
-1.93274
1.813505
1.328071
-1.11077
0.106281
-0.82853
2.487458
0.923726
2.786403
2.122492
0.349941
0.40652
-0.6313
0.222068
-0.57802
Mean Y=0.374,
sum=7.863
Date
1-july-14
2-july-14
3-july-14
4-july-14
7-july-14
8-july-14
9- july-14
10 july-14
11 july-14
14 july-14
15 july-14
16 july-14
17 july-14
18 july-14
21 july-14
22 july-14
23 july-14
24 july-14
25 july-14
28 july-14
30 july-14
31 july-14
Closing
price of
NTPC ltd.
154.6
159.75
157.35
158.55
161.35
153
150.65
151.15
149.7
147.8
145.6
146.65
150.4
149.7
148
149.85
149.6
149.7
148.95
149.05
149.8
145.05
Market return of
NTPC ltd.(Y%)
3.331177
-1.50235
0.762631
1.766004
-5.17509
-1.53595
0.331895
-0.95931
-1.26921
-1.4885
0.721154
2.557109
-0.46543
-1.1356
1.25
-0.16683
0.066845
-0.501
0.067137
0.503187
-3.17089
Mean Y= -0.286 ,
Sum= -6.013
Characteristic Line, The relationship between return of the stock and the market: A study with reference to selected companies
in the Indian stock
Neeraj Gupta, Dr. Anil Vashisht, Ashwin Gedam
39
ISSN: 2320-8236
VOLUME: 2, ISSUE:4
OCTOBER - DECEMBER 2014
Table6.TATA MOTORS data
Date
Closing price of
TATA MOTORS
1-july-14
2-july-14
3-july-14
4-july-14
7-july-14
8-july-14
9- july-14
10 july-14
11 july-14
14 july-14
15 july-14
16 july-14
17 july-14
18 july-14
21 july-14
22 july-14
23 july-14
24 july-14
25 july-14
28 july-14
30 july-14
31 july-14
450.8
455.8
469.75
469.45
478.85
470
457.25
453.15
445.95
456
462.9
470.3
475.3
475.3
474.95
486.7
484.85
485.25
461.1
453.85
451.35
446.75
Table7.CIPLA pharmaceuticals data
Market return of
TATA MOTORS
(Y)%
1.109139
3.060553
-0.06386
2.002343
-1.84818
-2.71277
-0.89666
-1.58888
2.253616
1.513158
1.598617
1.063151
0
-0.07364
2.473945
-0.38011
0.0825
-4.97682
-1.57233
-0.55084
-1.01916
Mean =-0.025,
sum=-0.526
Table8.KOTAK MAHINDRA BANK
Date
1-july-14
2-july-14
3-july-14
4-july-14
7-july-14
8-july-14
9- july-14
10 july-14
11 july-14
14 july-14
15 july-14
16 july-14
17 july-14
18 july-14
21 july-14
22 july-14
23 july-14
24 july-14
25 july-14
28 july-14
30 july-14
31 july-14
Closing
price of
KOTAK
BANK
884.35
893.15
891.2
882.2
870.9
872.25
864.25
866.45
858.35
855.35
871.55
885.05
914.9
935.85
941.2
949.2
932.8
938.65
944.7
941.2
974.25
953.7
www.ircjournals.org
Market return of
KOTAK bank
0.995081
-0.21833
-1.00987
-1.28089
0.155012
-0.91717
0.254556
-0.93485
-0.34951
1.893962
1.548964
3.372691
2.289868
0.571673
0.849979
-1.72777
0.627144
0.644543
-0.37049
3.511475
-2.10931
Mean = 0.371,
sum=7.796
Date
1-july-14
2-july-14
3-july-14
4-july-14
7-july-14
8-july-14
9- july-14
10 july-14
11 july-14
14 july-14
15 july-14
16 july-14
17 july-14
18 july-14
21 july-14
22 july-14
23 july-14
24 july-14
25 july-14
28 july-14
30 july-14
31 july-14
Closing
price of
CIPLA
437.25
444.3
447.7
449.3
449.65
442
436.25
436.05
436
432.65
431.85
432.15
437.05
441.35
438.3
441.25
442
439.55
445.65
440.95
448.2
456.5
Table9.NESTLE Ltd. data:
Date
Closing
price of
NESTLE
1-july-14
4933.85
2-july-14
4989.40
3-july-14
4997.95
4-july-14
4973.95
7-july-14
5022.90
8-july-14
4983.20
9- july-14
5007.00
10 july-14
4954.35
11 july-14
4992.00
14 july-14
4957.70
15 july-14
4946.50
16 july-14
4970.55
17 july-14
4994.80
18 july-14
5012.80
21 july-14
5038.55
22 july-14
5203.00
23 july-14
5171.80
24 july-14
5149.10
25 july-14
5166.00
28 july-14
5186.60
30 july-14
5181.85
31 july-14
5128.35
Market return of
CIPLA (Y)%
1.61235
0.765249
0.357382
0.077899
-1.70132
-1.3009
-0.04585
-0.01147
-0.76835
-0.18491
0.069469
1.133866
0.983869
-0.69106
0.673055
0.169972
-0.5543
1.387783
-1.05464
1.644177
1.851852
Mean = 0.210,
sum=4.414
Market return on
NESTLE (Y)%
1.125896
0.171363
-0.4802
0.984127
-0.79038
0.477605
-1.05153
0.759938
-0.6871
-0.22591
0.486202
0.487874
0.360375
0.513685
3.263836
-0.59965
-0.43892
0.328213
0.398761
-0.09158
-1.03245
Mean = 0.188,
sum=3.960
Characteristic Line, The relationship between return of the stock and the market: A study with reference to selected companies
in the Indian stock
Neeraj Gupta, Dr. Anil Vashisht, Ashwin Gedam
40
ISSN: 2320-8236
VOLUME: 2, ISSUE:4
OCTOBER - DECEMBER 2014
Table10.WELSPUN India limited data
DATE
Closing
Market return on
price of
WELSPUN Ltd.(Y)%
WELSPUN
1-july-14
183.85
2-july-14
193
4.976883
3-july-14
196.85
1.994819
4-july-14
206.65
4.97841
7-july-14
216.95
4.984273
8-july-14
221.75
2.212491
9- july-14
215.8
-2.6832
10 july-14
211.65
-1.92308
11 july-14
203.6
-3.80345
14 july-14
207.2
1.768173
15 july-14
209.3
1.013514
16 july-14
204.55
-2.26947
17 july-14
207.15
1.271083
18 july-14
205.3
-0.89307
21 july-14
215.55
4.992694
22 july-14
221.45
2.737184
23 july-14
220.7
-0.33868
24 july-14
231.7
4.984141
25 july-14
234.55
1.230039
28 july-14
232.3
-0.95928
30 july-14
239.75
3.20706
31 july-14
238.55
-0.50052
Mean Y=1.284,
sum=26.980
www.ircjournals.org
Date
1-july-14
2-july-14
3-july-14
4-july-14
7-july-14
8-july-14
9- july-14
10 july-14
11 july-14
14 july-14
15 july-14
16 july-14
17 july-14
18 july-14
21 july-14
22 july-14
23 july-14
24 july-14
25 july-14
28 july-14
30 july-14
31 july-14
Table11.NSE data
Closing
Market return of
price of
NSE (X)%
NSE
7634.7
7725.15
1.184722
7714.8
-0.13398
7751.6
0.477005
7787.15
0.458615
7623.2
-2.10539
7585
-0.5011
7567.75
-0.22742
7459.6
-1.42909
7454.15
-0.07306
7526.65
0.972613
7624.4
1.298719
7640.45
0.210508
7663.9
0.306919
7684.2
0.264878
7767.85
1.088597
7795.75
0.359173
7830.6
0.447038
7790.45
-0.51273
7748.7
-0.53591
7791.4
0.55106
7721.3
-0.89971
Mean
X=0.057,sum=1.201
X^2
1.403567
0.01795
0.227534
0.210328
4.432674
0.251103
0.051721
2.0423
0.005338
0.945975
1.68667
0.044314
0.094199
0.07016
1.185044
0.129005
0.199843
0.262894
0.287202
0.303667
0.809478
Sum=14.660
REFERENCES
[1] Antony, Jeevanand(2011), The Elasticity of the Price of Stock and its Beta, Journal of Applied Quantitative Methods,Vol.2(No.3); 2007.
[2] Dr.George Thomas, Bainy George ,An empirical Analysis Of Beta in Indian Stock Market,Abhinav National monthly Refereed Journal of Research in
Commerce and Management, Vol.no.1,Issue no.10.
[3] Muhammad Junaid Iqbal, Dr. Syed Zulfiqar Ali Shah, Determinants Of Systematic Risk Journal of Economics Volume-4, No.1, ISSN- 2218- 8118-2220-6043.
[4] Mandimika Neville, Volatility and the Risk-Return Relationship on the South African Equity Market, Thesis work, DEPARTMENT OF ECONOMICS AND
ECONOMIC HISTORY RHODES UNIVERSITY, GRAHAMSTOWN.
[5] Ramazan Gen¸cay, Faruk Sel¸cuk and Brandon Whitcher, Systematic risk and timescales. QUANTITATIVE FINANCE VOLUME 3 (2003) 108–116
REFERENCE LINKS
http://upload.wikimedia.org/wikipedia/commons/4/43/SCL-plot.PNG
http://financialdictionary.thefreedictionary.com/characteristic+line
http://www.investopedia.com/terms/c/characteristicline.asp
http://www.nseindia.com/
http://people.duke.edu/~charvey/classes/ba350/riskman/rm13.gif
http://wenku.baidu.com/view/b158e8ef4afe04a1b071de12.html
http://www.zacks.com/education/articles.php?id=58
http://highered.mheducation.com/sites/dl/free/.../Peirson11e_Ch07.pdf
http://contentpro.seals.ac.za/iii/cpro/app?id=8446765932962219.
http://instruct.uwo.ca/economics/.../Capital%20Asset%20Pricing%20Model.pdf
http://www.sciedu.ca/journal/index.php/rwe/article/download/4331/2490
http://businessperspectives.org/journals.../imfi_en_2008_04_cont_Celik.pdf
http://www.investopedia.com/articles/stocks/04/113004.asp
http://shodhganga.inflibnet.ac.in/
http://wwwf.imperial.ac.uk/~bwhitche/papers/qf.pdf
http://finance.zacks.com/investing-for-beginners/
http://www.bogleheads.org/wiki/Risk_and_return
Characteristic Line, The relationship between return of the stock and the market: A study with reference to selected companies
in the Indian stock
Neeraj Gupta, Dr. Anil Vashisht, Ashwin Gedam
41