Report

on calculated for the companies chosen with respect to different

market indices:
Market indices chosen: Weve taken S&P BSE Sensex and NIFTY 50 as market indices and
one another sector specific index which was custom made.
Methodology for creating custom index: We considered the 8 biggest companies in the
automobile sector to create the index, namely: Ashok Leyland, Bajaj Auto, Eicher Motors,
Hero Motorcorp, Mahindra & Mahindra, Maruti Suzuki, Tata Motors and TVS Motors. The
data used was daily prices of stocks from Jan 2010 to Dec 2015 to ensure a huge dataset.
Index value for base year was taken as 100. Index value for any other day was calculated as:
Index = Sum of free float market capitalisation for all stocks on that day
Free float market capitalisation = No. of free float (available for public trading) shares *
Share price for that day
calculation : For calculation of , independent variable was the market index returns and
dependent variable was stock return. The coefficient of market index is our estimation of .
Interpretation of : tells us how volatile a stock is with respect to some benchmark index.
A value equal to 1 means the stock has returns exactly equal to the benchmark index.
less than implies that the stock has returns that are less volatile than market returns.
more than 1 implies that the stock has returns which are more volatile than market returns.
Bajaj Auto:
With BSE Sensex:
Stock_return = 0.0002873 + 0.7282228 (market return)

(.0005049) (.0485366)

(with BSE Sensex as benchmark index) is 0.728

With NIFTY 50:
Stock_return = 0.0002772 + 0. 7239858 (market return)

(.0005041) (.0476963)

(with NIFTY 50 as benchmark index) is 0.724

With sectoral index (custom made):

Stock_return = .0002226 + .8142226(market return)

(.0004192) (.0257927)

(with sectoral index as benchmark index) is 0.814

TVS Motors:
With BSE Sensex:
Stock_return = .0010947 + 1.031911 (market return)

(.0007207) (.0692826)

(with BSE Sensex as benchmark index) is 1.032

With NIFTY 50:

Stock_return = .0010774 + 1.034914 (market return)

(.0007186) (.0679931)

(with NIFTY 50 as benchmark index) is 1.035

With sectoral index (custom made):

Stock_return = .0011267 + .8157683 (market return)

(.0006917) (.0425613)

(with sectoral index as benchmark index) is 0.816

Ashok Leyland:
With BSE Sensex:
Stock_return = 0.00041 + 1.096535 (market return)

(.0006407) (.0615943)

(with BSE Sensex as benchmark index) is 1.096

With NIFTY 50:

Stock_return = .0003894 + 1.106623 (market return)

(.0006372) (.0602887)

(with NIFTY 50 as benchmark index) is 1.107

With sectoral index (custom made):

Stock_return = .0005236 + .6494446 (market return)

(.0006503) (.0400116)

(with sectoral index as benchmark index) is 0.649