Professional Documents
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NIFTY
Individual Assignment:
Kumar Niraj Mohan
09P149
Section B
Objective
10000
8000
6000 NIFTY
IT
BANK
4000 INFRA
REALTY
2000
0
8 8 8 8 8 8 8 8 8 8 8 9 9 9 9 9 9 9 9 9 9 0 0 0 0 0 0
n -0 b-0 r-0 r-0 y-0 n-0 l-0 p-0 t-0 v-0 c-0 n-0 r-0 r-0 y-0 n-0 l-0 p-0 ct-0 v-0 c-0 n-1 r-1 r-1 y-1 n-1 ul-1
a p a u Ju Se Oc o e Ja a Ap a Ju Ju Se O o e a p a
Ja Fe M A J - N D M M - - - N D Ja M - A M Ju - J
2- 5- 11- 17- 6-M 27- 31 5- 13- 18- 24- 30- 6- 17- 25- 26- 30 2 9 16- 18- 27- 3- 8 13- 16- 20
2
Beta Analysis
Beta Calculation
Covariance
VARIANCE - NIFTY
0.000505416
BETA
• Beta for IT is less than NIFTY and other three are more than NIFTY for the
period 01/01/2008 – Till Date
• This might seems counter-intuitive as bank stocks are relatively stable and IT is
relatively more volatile.
• However, a closer look at the next graph shows this is indeed true. The
“Normalized Indices (Index/Average)” plots the daily value divided by the
mean over the period.
• The highest variation is in REALTY showing it have moved more with respect
to its mean – variance from mean is high. This is followed by INFRA, BANK
and then IT, being the least
Normalized Indices (Index/Average)
3.5
2.5
2
Normalized NIFTY
Normalized IT
1.5
Normalized BANK
Normalized INFRA
1 Noramalized REALTY
0.5
0
8 8 8 8 8 8 8 8 8 8 8 9 9 9 9 9 9 9 9 9 9 0 0 0 0 0 0
n -0 b-0 r-0 r-0 y-0 n-0 l-0 p-0 t-0 v-0 c-0 n-0 r-0 r-0 y-0 n-0 l-0 p-0 ct-0 v-0 c-0 n-1 r-1 r-1 y-1 n-1 ul-1
a p a u Ju Se Oc o e Ja a Ap a Ju Ju Se O o e a p a
Ja F e M A J - N D M M - - - N D Ja M -A M Ju -J
2- 5- 11- 17- 6-M 27- 31 5- 13- 18- 24- 30- 6- 17- 25- 26- 30 2 9 16- 18- 27- 3- 8 13- 16- 20
2
Regression Analysis
• CNX NIFTY regressed with CNX IT, CNX BANK, CNX INFRA, CNX
REALTY
Regression Statistics
Multiple R 0.996006506
R Square 0.992028961
Adjusted R Square 0.991979374
Standard Error 79.61902577
Observations 648
ANOVA
df SS MS F Significance F
Regression 4 507287426.6 126821856.6 20006.00571 0
Residual 643 4076098.698 6339.189265
Total 647 511363525.3
Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept 150.5918082 30.40511213 4.952845018 9.35906E-07 90.88650077 210.2971156 90.88650077 210.2971156
IT 0.323941202 0.005836275 55.50478647 2.0282E-247 0.312480741 0.335401662 0.312480741 0.335401662
BANK 0.083096314 0.004567562 18.19270649 5.65604E-60 0.074127175 0.092065453 0.074127175 0.092065453
INFRA 0.732832329 0.017484644 41.9129107 4.8415E-186 0.69849843 0.767166229 0.69849843 0.767166229
REALTY -0.352469623 0.032852017 -10.72901019 8.10776E-25 -0.416979819 -0.287959426 -0.416979819 -0.287959426
Regression Analysis - Results
• High R2 /Adjusted R2 of 99. 2/99.1%
▫ Most of the variation in NIFTY explained by 4 chosen sectoral
indices
▫ Significance F = 0 implies the reliability of R2 – model fits
properly and R2 is authentic
▫ Near zero p-values for intercept, IT, REALTY, INFRA, BANK
show they are significantly different from zero, giving their
coefficients credence
▫ REALTY negatively correlated. Intercept, IT, INFRA BANK
positively correlated
CNX IT versus NIFTY
CNX IT versus NIFTY
• Here, the IT index improves after the nadir of the business cycle
trough – showing the IT spending may have been delayed – should
usually start before the nadir of the trough (Around March 2009)