Академический Документы
Профессиональный Документы
Культура Документы
ON
By
V.VEENA
(Reg No: 08E51E0055)
1
CERTIFICATE
This is to certify that this project report titled “STUIDY OF VOLATILITY IN PANIC
SITUATIONS ” is a bonafide work done by V.VEENA student of ІV semester MBA
(Finance) hall ticket no: 08E51E0055 of our institute under our guidance in partial
fulfillment of the requirement for the award of degree of Master Of Business
Administration during the year 2008 – 2010 . This has not been submitted in any other
Institute / University for the award of any degree.
2
DECLARATION
This project (study of volatility in panic situations) has been written and
submitted by me under the guidance of Mrs. P. keerthi priyadarshni, Department of
Management Studies, Hyderabad Institute of Technology & Management, Hyderabad.
Place: V.VEENA,
Date: Reg no.08E51E00055.
.
3
ACKNOWLEDGEMENT
First and foremost I would like to thank BONANZA PORTFOLIO LTD for giving me
an opportunity to take up the project. It has been a commendable experience to work
with such an esteemed organization.
I would like to render a heart full of thanks to the people who are associated with
bonanza portfolio ltd, Hyderabad for their cooperation.
I sincerely thank Mr.Brig.R.R.N.Chowdary, Principal of the college, for his
continuous support.
I would like to thank my family members who gave moral support and encouraged me
to complete this company analysis
(V.VEENA)
4
CONTENTS
Page No’s
CHAPTER-1
CHAPTER-2
♦ INDUSTRY PROFILE
♦ COMPANY PROFILE
♦ ORGANISATION CHART
CHAPTER-3
♦ REVIEW OF LITERATURE
CHAPTER-4
♦ DATA ANALYSIS AND INTERPERTATION
CHAPTER-V
♦ CONCLUSIONS AND SUGGESTIONS
♦ ANNEXURE
BIBILOGRAPHY
5
LIST OF TABLES
6
LIST OF FIGURES
7
ABSTRACT
Volatility is one of the most important factors in a stock price. It measures the amount
by which an underlying asset is expected to fluctuate in a given period of time such as
a day or a year.
The analysis done based on fluctuations in price compared to a security. This helps
the security with high volatility has bigger fluctuations in price compared to a security
with low volatility.
I have done my project at bonanza portfolio ltd; it is a leading financial service and
brokerage house and I observed the trading of every day and I noted the closing price
of selected companies.
8
CHAPTER-1
9
INTRODUCTION TO THE TOPIC
There are two basic kinds of volatility: implied and historical. Historical volatility is calculated
using the standard deviation of underlying asset price changes going back a set number of
days. Implied volatility is a computed value that measures expected volatility and is partially
based upon historical volatility.
The theoretical fair value of an option is calculated by entering the historical volatility of the
underlying asset into an option pricing model (i.e. Black-Scholes for stocks). This value may
differ from its actual market price. Implied volatility is the volatility needed to achieve the
option's actual market price.
In more basic terms, historical volatility (also called statistical volatility) gauges price
movement in terms of past performance and implied volatility approximates how much the
marketplace thinks prices will move.
My project (Study of Volatility in Panic Situations) is based on panic situation i.e. I have taken
when union budget releases before and after the period how the volatility will be (high or low).
I had observed 20-period of closing price of 14 companies. Why I have taken 20-period
means almost it covers one month of trading
10
OBJECTIVES OF STUDY
To know the price changes in panic situations (when the union budget releases before
and after period, how the stock price will be).
To know the exact standard deviation of the return, over the period of time.
To know how it measures and how widely values (closing prices for instance) are
dispersed from the average.
If an investor is short on the peaks, and long on the lows of a security, the profit will be
greatest when volatility is highest.
To know that the investor invest in which I have selected companies.
11
RESEARCH METHODOLOGY
The sample contains fourteen nifty stocks from six different industries and the stock
values are taken over the 20 days of period.
The choice of the period is guided by the fact that many events, which had a crucial
impact on the stock market, occurred during this period i.e. before and after of union
budget period.
My project (Study of Volatility in Panic Situations) is based on panic situation i.e. I have
taken when union budget releases before and after the period how the volatility will be
(high or low). I had observed 20-period of closing price of 14 companies. Why I have
taken 20-period means almost it covers one month of trading
Data collection techniques are not mutually exclusive. Two basic approach acquiring
information can be identified:
1) Primary Data Collection Techniques - Data directly from a client or target population:
12
Limitations of the study
Volatility does not measure the direction of price changes, merely how dispersed that
are expected to be
13
CHAPTER-2
(COMPANY PROFILE)
14
INTRODUCTION TO THE NATIONAL STOCK EXCHANGE
The National Stock Exchange of India Limited (NSE), is a Mumbai-based stock exchange. It is
the largest stock exchange in India in terms of daily turnover and number of trades, for both
equities and derivative trading. Though a number of other exchanges exist, NSE and the
Bombay Stock Exchange are the two most significant stock exchanges in India, and between
them are responsible for the vast majority of share transactions. The NSE’s key index is the
S&P CNX Nifty, known as the Nifty, an index of fifty major stocks weighted by market
capitalisation.
NSE has played a catalytic role in reforming the Indian securities market in terms of
microstructure, market practices and trading volumes. The market today uses state-of-art
information technology to provide an efficient and transparent trading, clearing and settlement
mechanism, and has witnessed several innovations in products & services viz.
demutualisation of stock exchange governance, screen based trading, compression of
settlement cycles, dematerialisation and electronic transfer of securities, securities lending
and borrowing, professionalisation of trading members, fine-tuned risk management systems,
emergence of clearing corporations to assume counterparty risks, market of debt and
derivative instruments and intensive use of information technology.
15
In recognition of the fact that technology will continue to redefine the shape of the securities
industry, NSE stresses on innovation and sustained investment in technology to remain ahead
of competition. NSE’s IT set-up is the largest by any company in India. It uses satellite
communication technology to energise participation from around 200 cities spread all over the
country. In the recent past, capacity enhancement measures were taken up in regard to the
trading systems so as to effectively meet the requirements of increased users and associated
trading loads. With upgradation of trading hardware, NSE today can handle up to 15 million
trades per day in Capital Market segment. In order to capitalise on in-house expertise in
technology, NSE set up a separate company, NSE Technology Services Ltd. which is
expected to provide a platform for taking up all IT related assignments of NSE.
NEAT is a state-of-the-art client server based application. At the server end, all trading
information is stored in an in-memory database to achieve minimum response time and
maximum system availability for users. The trading server software runs on a fault tolerant
STRATUS main frame computer while the client software runs under Windows on PCs.
NSE is one of the largest interactive VSAT based stock exchanges in the world. Today it
supports more than 2000 VSATs and 3000 leased lines across the country. The NSE- network
is the largest private wide area network in the country and the first extended C- Band VSAT
network in the world. Currently more than 9000 users are trading on the real time-online NSE
application. There are over 15 large computer systems which include non-stop fault-tolerant
computers and high end UNIX servers, operational under one roof to support the NSE
applications. This coupled with the nation wide VSAT network makes NSE the country’s
largest Information Technology user.
16
Origins
The National Stock Exchange of India was promoted by leading Financial institutions at the
behest of the Government of India, and was incorporated in November 1992 as a tax-paying
company. In April 1993, it was recognized as a stock exchange under the Securities Contracts
(Regulation) Act, 1956. NSE commenced operations in the Wholesale Debt Market (WDM)
segment in June 1994. The Capital Market (Equities) segment of the NSE commenced
operations in November 1994, while operations in the Derivatives segment commenced in
June 2000.
Innovations
NSE has remained in the forefront of modernization of India’s capital and financial markets,
and its pioneering efforts include:
• Being the first national, anonymous, electronic limit order book (LOB) exchange to
trade securities in India. Since the success of the NSE, existent market and new
market structures have followed the “NSE” model.
• Setting up the first clearing corporation “National Securities Clearing Corporation Ltd.”
in India. NSCCL was a landmark in providing innovation on all spot equity market (and
later, derivatives market) trades in India.
• Co-promoting and setting up of National Securities Depository Limited, first depository
in India.
• Setting up of S&P CNX Nifty.
• NSE pioneered commencement of Internet Trading in February 2000, which led to the
wide popularization of the NSE in the broker community.
• Being the first exchange that, in 1996, proposed exchange traded derivatives,
particularly on an equity index, in India. After four years of policy and regulatory debate
and formulation, the NSE was permitted to start trading equity derivatives
17
Being the first and the only exchange to trade GOLD ETFs (exchange traded funds) in
India.
• NSE has also launched the NSE-CNBC-TV18 media centre in association with CNBC-
TV18.
Markets
Currently, NSE has the following major segments of the capital market:
• Equity
• Futures and Options
• Retail Debt Market
• Wholesale Debt Market
• Currency futures
Hours of Operation
NSE’s normal trading sessions are from 09:55am to 03:30pm on all days of the week except
Saturdays, Sundays and holidays declared by the Exchange in advance.
Indices
NSE also set up as index services firm known as India Index Services & Products Limited
(IISL) and has launched several stock indices, including:
Certifications
18
NSE also conducts online examination and awards certification, under its programmes of
NSE’s Certification in Financial Markets (NCFM). Currently, certifications are available in 19
modules, covering different sectors of financial and capital markets. Branches of the NSE are
located throughout India.
NSE Milestones
Corporate Office:
19
National Stock Exchange of India Ltd.
Exchange Plaza,
Plot no. C/1, G Block,
Bandra-Kurla Complex
Bandra (E)
Mumbai – 400 051.
India
About Us
A financial powerhouse! That’s what Bonanza is for you! Established in the year 1994,
Bonanza developed into one of the largest financial services and broking house in India within
a short span of time. Today, Bonanza is the fastest growing financial service with 5 mega
group companies under it. With diligent effort, acknowledged industry leadership and
experience, Bonanza has spread its trustworthy tentacles all over the country with pan-India
presence across more than 1400 outlets spread across 460 cities.
With a smorgasbord of services across all verticals in finance, Bonanzas offers you the perfect
blend of financial services right from Equity Broking, Advisory Services that cover Portfolio
Management Services, Mutual Fund Investments, Insurance to exceptional Depository
Services.
Bonanza believes in being technologically advanced so that we can offer you – our tech-savvy
customers - an integrated and innovative platform to trade online as well as offline. Besides,
we also have one of the finest and most dedicated research teams with experts who have in-
depth, unsurpassed knowledge of the market place. All this and more makes Bonanza the
perfect place for you to take your first step in the direction of financial success.
20
Bonanza is affiliated with the best in the industry – right from the NSE, BSE MCX, MCX-SX to
CDSL, NSDL, etc. These affiliations prove our worth in the market and make Bonanza a name
to reckon with.
With various titles and achievements under our belt, Bonanza looks forward to tougher
challenges and newer milestones to conquer, so that you – our customer can get nothing less
than the BEST!
So come join the Bonanza family. We look forward to helping you grow financially
VISION
To be one of the most trusted and globally reputed financial distribution companies.
VALUES
Customer-Centric Approach
At Bonanza, customers come first. And their satisfaction is not just our top priority but
also the driving force for us, every single day
Transparency
Honesty is our forte. We believe in dealing on thoroughly ethical grounds, being fair
and transparent with our customers.
Meritocracy
We recognize and appreciate efforts put in by our employees. And we, as a matter of
fact, reward and distinguish each one of them, ceaselessly
21
Solidarity
Strengths
Bonanza has over 1400 outlets in more than 460 cities in India
Bonanza has more then 264500 clients comprising of corporate
financial institutions & investors, mutual funds, high net-worth
individuals and retail investors
Bonanza has a young dynamic team of 1900 professionals
Strong infrastructure supporting over 3000 trading terminals.
24*7 service and support via our federal support system.
Milestones
22
Nominated among the Top 3 for the "Best Financial Advisor Awards '08" in
the category of National Distributors – Retail instituted by CNBC-TV18 and
OptiMix
. Awarded by BSE 'Major Volume Driver
04-05,06-07,07-08' .
Top Equity Broking House in terms of branch expansion for 2008*
9th in terms of Sub Brokers for 2007
*Nominated among the Top 3 for the "Best Financial Advisor Awards '09" in
the category of National Distributors – Retail instituted by CNBC-TV18 and
OptiMix.
Ranked 2nd by UTI MF & CNBC TV 18 Financial Awards 2009 in the
category Best Financial Advisor- Retail.
Research desk
Good Research is the foundation of any success story. And at Bonanza we believe it to be the
backbone of our services and our company. With a strong and dedicated research team which
is constantly engaged in analyzing the Indian economy, its market structure and trends, it is
our constant Endeavour to bring you quality research that help you in your financial decisions
every time.
Mutual funds
Daily performance sheet
Weekly mutual fund report-‘the edge’
Monthly free news letter-‘the perspective’
Regular updates on products , performance and new launches.
Equity
SMS alert
23
Daily market strategy
Weekly market strategy
Monthly market strategy –‘equity talk’
Daily derivative strategy
Commodities
SMS alert
Daily report
Weekly report
Monthly: commodity review
Currency derivatives
Sms alert
Daily forex insight report
MANAGEMENT
Meet the masterminds behind the success of Bonanza – the Directors who are leading the
gigantic force.
Mr.S P Goel
The Founder Director of Bonanza who has been instrumental in chartering
critical and strategic initiatives. With an experience of 25 years in the finance
business, Mr. Goel has also been appointed as the director of the OTC
Exchange of India. He represents NSEIL for the SEBI constituted Dr. J.R.
Verma Advisory committee for the development of the derivatives market in
India.
24
prominent committees on settlement issues (COSI), a policy generating body at
the NSE of India Ltd and Dispute Resolution Committee (DRC) of National
Stock Exchange Clearing Corporation Limited (NSCCL).
Mr.Shivkumar Goel
Being the Founder Director of Bonanza, he has been handling IT & risk
initiatives since inception. Formerly, designated as the CEO of SRF Finance
Limited, Delhi; Mr. Shivkumar Goel had also spearheaded the IT committee of
the DELHI Stock Exchange.
. Mr. S K Goel
Has been Bonanza’s Founder Director and a prominent CA for more than 35
years now. Mr. S.K. Goel has been mainly heading Bonanza’s Northern and
Eastern zone. He was formerly with the Modi’s & Oswal’s - leading
manufacturing companies.
25
Bonanza portfolio ltd were following functional structure. The functional structure seeks to
distribute decision making and operational authority along functional lines.
S.P Goel
ADVANTAGES:
• The advantages that a functional structure offers are & efficient specialization.
• Delegation of day-to-day operational functions.
DISADVANTAGES:
• Creates difficulty in co-ordation among different functional areas.
• Leads to functional and line and staff conflicts.
• Brokerage services
Equity
Commodity
26
Currency
Derivatives
• Distribution
Insurance
Mutual funds
IPO
Fixed deposits
• Institutional broking
• Custody service
Depository
• Asset management
Advisory
PMS
LOGO OF BONANZA:
Growth
Stability
Customer center
GROUP COMPANIES
27
6. Bonanza corporate solutions pvt.
AFFILIATIONS:
EQUITY
• National stock exchange of India ltd (NSEIL).
NEW INNOVATIONS
28
Chapter-3
29
(Review of literature)
Volatility
History of volatility:
Observes have long taken note of the movement patterns of individual stocks; it
was only in the 1970s that an indicator was created to measure the volatility of the market as
a whole. Today, almost every professional trader makes sure he is aware of the present
volatility situation, as this usually has a large impact on the future movement of stocks and
stocks.
Significance:
Stock market volatility is significant and understanding it is imperative to
investing in stocks that suit your investment or trading style and risk tolerance level. Stock
prices rarely move in a straight line. Most of the time they move up and down and, some of
the time, they trend higher or lower. More volatile stocks tend to chop more intensively and
30
have a larger high-low range than because they can make an impressive profit quickly, while
conservative longer-term investors usually like to stay away from volatile securities.
Features:
Stock market volatility is determined by calculating how far a particular stock or
index has moved over a set period of time. the more a stock has moved, the more moved over
a set period of time .the more a stock has moved ,the more volatile it is . Stock market
volatility is an especially critical statistic for options traders because volatility has a huge effect
on the price of options. The more volatile a stock is, the more expensive its options are likely
Calculation
1. Calculate the simple average (mean) of the closing price. i.e., Sum the last 20 closing
prices and divide by 20.
31
2. For each period, subtract the average closing price from the actual closing price. This
gives us the deviation for each period.
3. Square each period's deviation.
4. Sum the squared deviations.
5. Divide the sum of the squared deviations by the number of periods (20 in our example
below).
6. The standard deviation is then equal to the square root of that number
How I taken the data: I have selected some list of major companies in India. In the panic
situations the stock price will be increases and decreases. So I have taken the before and
after days of union budget releases i.e. 26-Feb, 2010.The profit will be greatest when volatility
is highest. By this we know that the investor invests in which these listed companies in India. I
have taken sample of 18 companies from six different industries. They are:
BANKING
• ICICI
• HDFC
• AXIS
AUTOMOBILE INDUSTRIES
• HERO HONDA
• TATA MOTORS
• MARUTI UDYOG
32
CEMENT INDUSTRIES
• ACC LTD
• ULTRATECH
TELECOMMUNICATION SERVICES
• BHARTI AIRTEL
• RELIANCE COMMUNICATIONS
• WIPRO
• INFOSYS TECHNOLOGIES
PHARMACEUTICALS LTD
• DR.REDDY’S
• RANBAXY
Chapter-4
(DATA ANANLYSIS)
33
Calculation of the Data:
BANKING ICICI:Icici (industrial credit Investment Corporation of India) is one of the leading,
banking industries in India. It places 329 world rank.
ICICI(BEFORE UB RELEASES)
Dates Closing price 10-day mean Deviation Deviation squared
15 36.12 36.62 -0.49 0.2401
16 36.13 36.62 -0.27 0.0729
17 36.35 36.62 0.09 0.0081
18 36.71 36.62 -0.1 0.01
19 36.52 36.62 -0.27 0.0784
22 36.35 36.62 -0.28 0.0789
23 36.34 36.62 -0.02 0.0004
24 36.6 36.62 0.23 0.0529
25 36.85 36.62 1.63 2.6569
26 38.25 36.62 -0.5 0.25
34
Total:366.
22 3.4426
=3.4426/10=√0.34426=0.587
ICICI(AFTER UB RELEASES)
Dates Closing price 10-day mean Deviation Deviation squared
1 38.89 40.31 -1.42 2.0164
2 39.29 40.31 -1.02 1.0404
3 40.05 40.31 -0.26 0.0676
4 39.57 40.31 -0.74 0.5476
5 40.96 40.31 0.65 0.4225
8 40.75 40.31 0.44 0.1936
9 40.85 40.31 0.54 0.2916
10 40.91 40.31 0.6 0.36
11 41.39 40.31 1.08 1.1664
12 40.46 40.31 0.15 0.0225
Total:403.
12 6.1286
=6.1286/10= √0.61286=0.783
√
Findings:
I find that icici bank stock price has been increased after union budget releases. So the
volatility also increased. Before union budget the standard deviation is 0.587 and after it is
0.783
HDFC:
Housing Development Finance Corporation (HDFC) is also a leading banking industry in India.
It places 864 world rank.
HDFC(BEFORE UB RELEASES)
Dates Closing price 10-day mean Deviation Deviation squared
15 117.91 119.94 -2.07 4.2849
16 117.87 119.94 -2.37 5.6169
17 117.57 119.94 0.53 0.2809
18 120.47 119.94 0.85 0.7225
19 120.79 119.94 1.16 1.3456
22 121.10 119.94 -0.31 0.0961
23 119.63 119.94 1.53 2.3409
24 121.47 119.94 1 1
25 120.94 119.94 1.75 3.0625
26 121.69 119.94 -2.03 4.1209
TOTAL:111 22.8712
35
9.44
=22.8712/10=√2.28712=1.512
HDFC(AFTER UB RELEASES)
Dates Closing price 10-day mean Deviation Deviation squared
1 122.50 127.39 -4.89 23.9121
2 124.75 127.39 -2.64 6.9696
3 124.38 127.39 -3.01 9.0601
4 124.70 127.39 -2.69 7.2361
5 127.09 127.39 -0.3 0.09
8 126.88 127.39 -0.51 0.2601
9 126.95 127.39 -0.44 0.1936
10 132.81 127.39 5.42 29.3764
11 132.61 127.39 5.22 27.2484
12 131.25 127.39 3.86 14.8996
Total:1273.92 119.246
=119.246/10=√11.9246=3.45
Findings:
I find that HDFC bank stock price has been increased after union budget releases. So the
volatility also increased before union budget the standard deviation is 1.512 and after it is
3.45.
AXIS
AXIS bank is a leading banking industry in India. It places 1332 world rank.
36
TOTAL:10833.1 10278.78
=10278.78/10=√1027.878=32.060
AXIS(AFTER UB RELEASES)
Dates Closing price 10-day mean Deviation Deviation squared
2 1152.70 1134.2 18.5 342.25
3 1148.15 1134.2 13.95 194.60
4 1121.65 1134.2 -12.55 157.50
5 1102.80 1134.2 -31.4 985.96
8 1128.40 1134.2 -5.8 33.64
9 1115.40 1134.2 -18.8 353.44
10 1129.90 1134.2 -4.3 18.49
11 1151.25 1134.2 17.05 290.70
12 1151.95 1134.2 17.75 315.06
15 1139.80 1134.2 5.6 31.36
TOTAL:
11342 2723
=2723/10=√272.3=16.50
Findings:
I find that AXIS bank stock price has been increased after union budget releases. But the
volatility has decreased, before union budget the standard deviation is 32.060 and after it is
16.50.
AUTOMOBILE INDUSTRIES
Hero Honda: Hero Honda is one of the largest automobile industries in India. It places 1939
world rank.
HEROHONDA(BEFORE UB RELEASES)
Dates Closing price 10-day mean Deviation Deviation squared
15 1700.00 1706.16 -6.16 37.95
16 1701.00 1706.16 -5.16 26.63
17 1693.25 1706.16 -12.91 166.67
18 1701.90 1706.16 -4.26 18.15
19 1681.40 1706.16 -24.76 613.06
22 1709.00 1706.16 2.84 8.0656
23 1701.00 1706.16 -5.16 26.63
24 1676.00 1706.16 -30.16 909.63
25 17000.00 1706.16 -6.16 37.95
26 1798.00 1706.16 91.84 8434.58
TOTAL:17061.55 10279.315
=10279.315/10=√1027.9315=32.06
37
HEROHONDA(AFTER UB RELEASES)
Dates Closing price 10-day mean Deviation Deviation squared
2 1793.00 1875.94 -82.94 6879.04
3 1811.00 1875.94 -64.94 4217.20
4 1801.70 1875.94 -74.24 5511.56
5 1874.00 1875.94 -1.94 3.76
8 1912.85 1875.94 36.91 1362.35
9 1876.00 1875.94 0.06 0.0036
10 1954.00 1875.94 78.06 6093.36
11 1908.25 1875.94 32.31 1043.94
12 1918.00 1875.94 42.06 1769.04
15 1910.65 1875.94 34.71 1204.78
Total:18759.
45 28085.03
=28085.03/10=√2808.50=53
Findings:
I find that hero Honda stock price has been increased after union budget releases. So the
volatility also increased before union budget the standard deviation is 32.06 and after it is 53.
Tata motors:
Tata motors are one the leading automobile industry in India. It places 1157 world rank.
=1.3239/10=√0.13239=0.36
38
Dates Closing price 10-day mean Deviation Deviation squared
1 16.70 17.97 -1.27 1.6129
2 17.50 17.97 -0.47 0.2209
3 17.64 17.97 -0.33 0.1089
4 17.78 17.97 -0.19 0.0361
5 18.56 17.97 0.59 0.3481
8 18.00 17.97 0.03 0.0009
9 18.46 17.97 0.49 0.2401
10 18.59 17.97 0.62 0.3844
11 18.24 17.97 0.27 0.0729
12 18.18 17.97 0.21 0.0441
Total:179.65 3.0693
=3.0693/10=√0.30693=0.55
Findings:
I find that tata motors stock price has been increased after union budget releases. So the
volatility also increased before union budget the standard deviation is 0.36 and after it is 0.55.
MARUTI UDYOG
Maruti Udyog is one of the leading automobile sectors in India. It places 1563 world rank in
India.
39
=10189.816/10=√1018.9816=31.92
Findings:
I find that maruti udyog stock price has been increased after union budget releases. But the
volatility has decreased, before union budget the standard deviation is 31.92 and after it is
15.61.
CEMENT INDUSTRY.
Acc ltd:
Acc cement is one of the leading industries in India.
=463.22/10=√46.32=6.81
40
2 962.95 982.46 -19.51 380.64
3 958.50 982.46 -23.96 574.08
4 957.25 982.46 -25.21 635.54
5 967.00 982.46 -15.46 239.01
8 995.00 982.46 12.54 157.25
9 988.00 982.46 5.54 30.69
10 1020.00 982.46 37.54 1409.25
11 1000.25 982.46 17.79 316.48
12 998.10 982.46 15.64 244.61
15 977.50 982.46 -4.96 24.60
Total:18759.
45 4012.15
=4012.15/10=√401.2115=20.03
Findings:
I find that acc cement stock price has been increased after union budget releases. So the
volatility also increased before union budget the standard deviation is 6.81 and after it is 20.03
Ultratech cement:
Ultratech cement is one of the leading cement industries in India.
=673.3105/10=√67.33105=8.2055
41
3 1080.00 1098.22 -18.22 331.9684
4 1090.00 1098.22 -8.22 67.5684
5 1100.10 1098.22 1.78 3.1684
8 1106.05 1098.22 7.83 61.3089
9 1095.00 1098.22 -3.22 10.3684
10 1110.00 1098.22 11.78 138.7684
11 1120.00 1098.22 21.78 474.3684
12 1102.05 1098.22 3.83 14.6689
15 1109.05 1098.22 10.83 117.2889
TOTAL:10982.25 2015.8455
=201.8455/10=√201.58455=14.20
Findings:
I find that ultratech cement stock price has been increased after union budget releases. But
the volatility has decreased, before union budget the standard deviation is 8.2055 and after it
is 14.20.
=383.9281/10=√38.39281=6.1961931
ONGC(AFTER UB RELEASES)
Dates Closing price 10-day mean Deviation Deviation squared
2 1106.00 1091.64 14.36 206.2096
3 1101.00 1091.64 9.36 87.6096
42
4 1094.10 1091.64 2.46 6.0516
5 1095.00 1091.64 3.36 11.2896
8 1100.00 1091.64 8.36 69.18896
9 1093.50 1091.64 1.86 3.4596
10 1086.00 1091.64 -5.64 31.8096
11 1086.00 1091.64 -5.64 31.8096
12 1085.80 1091.64 -5.84 34.1056
15 1069.00 1091.64 -22.64 512.5696
994.804
=994.804/10=√99.4804=9.99739
Findings:
I find that ongc stock price has been increased after union budget releases. So the volatility
also increased before union budget the standard deviation is 6.12 and after it is 9.997.
=945.1911/10=√94.51911=9.722
43
5 541.50 536.08 5.42 29.3764
8 541.45 536.08 5.37 28.8369
9 535.00 536.08 -1.08 1.1664
10 538.00 536.08 1.92 3.6864
11 532.00 536.08 -4.08 16.6464
12 527.50 536.08 -8.58 73.6164
15 528.00 536.08 -8.08 65.5864
TOTAL:5360.85 266.3905
=266.3905/10=√26.63905=5.16
Findings:
I find that bharath petroleum stock price has been increased after union budget releases. But
the volatility has decreased, before union budget the standard deviation is 9.722 and after it is
5.16.
TELECOMMUNICATIONS:
Bharath Airtel:
Bharath airtel is one of the largest telecommunications services industries in India. It places
508 world rank.
=85.2715/10=√8.52715=2.920
44
8 292.20 293.78 -1.58 2.4964
9 291.35 293.78 -2.43 5.9049
10 288.15 293.78 -5.63 31.6969
11 293.85 293.78 0.07 0.00049
12 299.05 293.78 5.27 27.7729
15 299.55 293.78 5.77 33.2929
TOTAL:2937.8 1410286
=141.286/10=√14.1286=3.759
Findings:
I find that bharti airtel stock price has been increased after union budget releases. So the
volatility also increased before union budget the standard deviation is 2.920 and after it is
3.759.
Reliance communications:
Reliance communications is one of the largest communications and services of India. It places
689 world rank.
=282.335/10=√28.2335=5.31
45
9 162.25 161.68 0.57 0.3249
10 162.60 161.68 0.92 0.8464
11 161.10 161.68 -0.58 0.3364
12 158.40 161.68 -3.28 10.7584
15 158.00 161.68 -3.86 14.8996
TOTAL:16168 59.7632
=59.7632/10=√5.97632=2.44
Findings:
I find that reliance communications stock price has been increased after union budget
releases. But the volatility has decreased, before union budget the standard deviation is 5.31
and after it is 2.44.
=0.4293/10=√0.04293=0.207
46
9 22.93 22.83 0.1 0.01
10 22.89 22.83 0.06 0.0036
11 22.88 22.83 0.05 0.0025
12 22.97 22.83 0.14 0.0196
15 23.33 22.83 0.5 0.25
TOTAL:228.34 0.5658
=0.5658/10=√0.05658=0.237
Findings:
I find that wipro ltd stock price has been increased after union budget releases. So the
volatility also increased before union budget the standard deviation is 0.207 and after it is
0.237.
Infosys technologies:
An Infosys technology is one of the leading software & services in India. It places 891 world
rank.
INFOSYS(BEFORE UB RELEASES)
Dates 10-day mean
Closing price Deviation Deviation squared
15 55.48 55.87 -0.39 0.1521
16 55.49 55.87 -0.38 0.1444
17 55.40 55.87 -0.47 0.2209
18 55.83 55.87 -0.04 0.0016
19 55.99 55.87 0.12 0.0144
22 55.92 55.87 0.05 0.0025
23 55.52 55.87 -0.35 0.1225
24 55.47 55.87 -0.1 0.16
25 56.79 55.87 0.92 0.8464
26 56.90 55.87 1.03 1.0609
TOTAL:558.49 2.7257
=2.7257/10=√0.27257=0.52
INFOSYS(AFTER UB RELEASES)
Dates Closing price 10-day mean Deviation Deviation squared
1 58.34 59.24 0.9 0.81
2 59.08 59.24 -0.16 0.0256
3 59.04 59.24 -0.2 0.04
4 58.19 59.24 -1.05 1.1025
5 59.56 59.24 0.32 0.1024
8 59.87 59.24 0.63 0.3969
47
9 59.48 59.24 0.24 0.0576
10 59.81 59.24 0.57 0.3249
11 59.97 59.24 0.73 0.5329
12 59.12 59.24 -0.12 0.0144
TOTAL:592.46 3.4072
=3.4072/10=√0.34072=0.58
Findings:
I find that infosys technologies stock price has been increased after union budget releases. So
the volatility also increased before union budget the standard deviation is 0.52 and after it is
0.58.
Pharmaceuticals industry:
Dr.reddy’s is one of the leading Pharmaceuticals industries in India.
=0.4166/10=√0.04166=0.204
48
10 26.01 25.712 0.298 0.0889
11 25.95 25.712 0.238 0.0567
12 26.23 25.712 0.518 0.2683
Total:257.12 0.9527
=0.9527/10=√0.09527=0.309
Findings:
I find that Dr.reddy’s stock price has been increased after union budget releases. So the
volatility also increased before union budget the standard deviation is 0.0204 and after it is
0.309.
Ranbaxy ltd:
Ranbaxy ltd is one of the leading pharmaceuticals in India.
=658.9705/10=√65.89705=8.1176
49
12 463.15 465.08 -1.93 3.7249
15 465.30 465.08 0.22 0.0484
TOTAL:4650.8 709.559
=709.559/10=√70.9559=8.423
Findings:
I find that ranbaxy stock price has been increased after union budget releases. So the volatility
also increased before union budget the standard deviation is 8.1176 and after it is 8.423.
FMGC products:
Glaxo smithkline:
=8.2135/10=√0.82135=0.906
50
0.6406/10=√0.06406=0.2531
Findings:
I find that glaxosmithkline stock price has been increased after union budget releases. So the
volatility also increased before union budget the standard deviation is 0.906 and after it is
0.2531.
Dabur:
=40.5575/10=√4.05575=2.01388
=95.405/10=√9.5405=3.089
51
Findings:
I find that dabur stock price has been increased after union budget releases. So the volatility
also increased before union budget the standard deviation is 2.01388 and after it is 3.089.
Godrej
=377.9165/10=√37.79165=6.147
=579.5266/10=√57.95266=7.613
Findings:
52
I find that godrej stock price has been increased after union budget releases. So the volatility
also increased before union budget the standard deviation is 6.147 and after it is 7.613.
53
FINDINGS
The hypothesis that volatility increases during the budget period does not hold good in
this study. Out of the 18 companies, 5 have witnessed a fall in the volatility.
After the budget date, volatility dies down or rises up to the normal volatility.
Anticipation of the budget begins in Feb, which is shown by the increase in volatility.
Market is very sensitive to any information in this period of the 1 month. Any small
information can be the cause of the large volatility on a daily basis.
I find that after union budget there is a chance of increases and decreases in stock
prices in various leading and other industries.
According following graphs we can know the, how volatility in various sectors
First we will of banking sectors
I have taken before the 15 days and after the 15 days of union budget releases period.
Note: before and after in graph means before union budget releases and after union
budget releases how the selected companies will be.
54
Banking:
Graph:
35
30
25
20
BFORE
15 AFTER
10
5
0
ICICI HDFC AXIS
if we observe these banking sectors except axis bank , the remaining two banking
sectors were increased after the union budget releases i.e. icici(0.587 to 0.783) and
hdfc (1.512 to 3.45)
I have selected only three banking industries viz., ICICI, HDFC, AXIS BANK.
55
Automobile industries:
GRAPH:
60
50
40
30 BEFORE
20 AFTER
10
0
HERO TATA M ARUTI
HONDA M OTORS UDYOG
if we observe these industries except maruti udyog , the remaining two automobile
industries were increased after the union budget releases i.e. hero Honda(32.06 to 53)
and tata motors (0.36 to 0.55)
I have selected only three automobile industries viz., hero Honda, tata motors, maruti
udyog.
Maruti udyog were decreased 31.92 to 15.61.
56
Cement industries:
Graph :
25
20
15
10 BEFORE
AFTER
5
0
ACC LTD ULTRA
TECH
CEMENT
57
OIL & GAS OPERATIONS:
GRAPH:
10
6
BEFORE
4
AFTER
2
0
ONGC BHARATH
PETROLEUM
In oil and gases operations I have taken ongc and bharath petroleum.
Ongc has been increased after the union budget releases i.e. 6.19619 to 9.99739.
Where as bharath petroleum has been decreased i.e., 9.722 to 5.16.
58
Telecommunications and services:
Graph:
6
5
4
3
before
2 after
1
0
bharti airtal ltd reliance
communications
59
Software and services:
Graph:
0.6
0.5
0.4
0.3 BEFORE
AFTER
0.2
0.1
0
WIPRO INFOS
60
PHARMACEUTICALS INDUSTRIES:
Graph:
9
8
7
6
5
BEFORE
4
AFTER
3
2
1
0
DR.REDDYS RANBAXY
61
FMGC PRODUCTS:
GRAPH:
8
7
6
5
BEFORE
4
AFTER
3
2
1
0
GLAXOSMITHKLINE DABUR GODREJ
62
INTERPRETATION:
The study shows that an opportunity to buy exists storms at the time when the monster
storms create a panic in the market and investor can earn very high short term profits
The study supports the general perception that when volatility is high, its time to buy.
If an investor is already long in some stock, then he could look for the strategy of
averaging cost.
As the holding period increases, the average returns also increase.
In addition, the study proves the fact that the Indian economy is fundamentally strong
as recovered from the panic situations very swiftly.
If the market is in a period of high volatility, you have to account for that in your
investment evolution.
The reason is that investors have to be able can be difficult with certain stocks.but
fortunately; there are options strategies for volatile markets. Stock options have a
degree of flexibility when creating wining option spread position that are easily
implemented and take advantage of the volatility.
63
Suggestions
When the finance minister reads out the budget speech, the efficient stock market
should react within seconds to each sentence that is read out, in terms of a direct
impact on the stock price of firms and industries that are either positively or negatively
affected.
Given that intra-day stock price information is now available , it should be possible to
test whether there is over reaction or under-reaction in these in these immediate
responses
64
APPENDIX
65
BEFORE THE UNION BUDGET RELEASES THE CLOSING PRICE OF A
COMPANY IS FOLLOWS:
ICICI
HDFC
66
AXIS BANK
HERO HONDA
Tata motors
67
22-Feb-10 15.42 15.74 15.42 15.56 1,407,800 15.56
19-Feb-10 15.42 15.54 15.32 15.36 846,500 15.36
18-Feb-10 15.75 15.80 15.48 15.66 1,160,500 15.66
17-Feb-10 15.74 15.92 15.45 15.92 1,369,600 15.92
16-Feb-10 15.52 15.60 15.45 15.54 765,000 15.54
Maruti udyog
Acc cement
Ultra tech
68
26-Feb-10 1,042.00 1,049.95 1,022.55 1,041.60 422,900 1,041.60
25-Feb-10 1,024.00 1,039.45 998.10 1,032.25 298,300 1,032.25
24-Feb-10 1,026.00 1,035.00 992.05 1,034.00 82,700 1,034.00
23-Feb-10 1,035.80 1,040.00 1,017.15 1,025.00 544,100 1,025.00
22-Feb-10 1,052.00 1,052.00 1,007.50 1,032.00 114,500 1,032.00
19-Feb-10 1,025.00 1,039.70 1,010.10 1,027.00 111,200 1,027.00
18-Feb-10 1,047.45 1,047.45 1,018.10 1,025.00 202,500 1,025.00
17-Feb-10 1,055.00 1,059.90 1,032.15 1,041.00 499,300 1,041.00
16-Feb-10 1,010.00 1,052.00 996.00 1,048.00 943,300 1,048.00
Ongc
BPCL
69
17-Feb-10 574.10 574.95 562.40 563.30 358,900 563.30
16-Feb-10 560.00 573.95 556.00 573.10 236,200 573.10
Airtel
Reliance communications
70
Wipro
Infosys
Reddy’s
71
25-Feb-10 24.42 24.60 24.15 24.50 105,800 24.31
24-Feb-10 24.47 24.67 24.33 24.55 153,400 24.36
23-Feb-10 25.22 25.22 24.17 24.23 340,300 24.04
22-Feb-10 24.69 24.69 23.82 23.90 249,400 23.71
19-Feb-10 24.35 24.45 24.25 24.37 193,300 24.18
18-Feb-10 24.10 24.47 24.10 24.44 178,900 24.25
17-Feb-10 24.38 24.62 24.07 24.29 433,200 24.10
16-Feb-10 24.09 24.28 23.95 24.25 199,800 24.06
Ranbaxy
GlaxoSmithKline:
(GSK)
72
26-Feb-10 36.96 37.26 36.84 37.14 1,610,500 36.21
25-Feb-10 36.80 37.13 36.71 37.13 2,255,200 36.21
24-Feb-10 37.36 37.58 37.28 37.33 1,345,000 36.40
23-Feb-10 37.37 37.52 37.28 37.42 1,781,000 36.49
22-Feb-10 37.40 37.60 37.20 37.32 3,565,400 36.39
19-Feb-10 38.13 38.38 37.96 38.26 1,422,700 37.31
18-Feb-10 38.97 39.16 38.84 38.84 3,773,400 37.87
17-Feb-10 39.39 39.44 39.14 39.36 1,532,500 38.38
16-Feb-10 38.87 39.33 38.69 39.25 3,656,900 38.27
73
PRICES
74
ICICI Bank Ltd.
(IBN
Date Open High Low Close Volume Adj Close*
HDFC
Date Open High Low Close Volume Adj Close*
75
Axis bank
Hero Honda
76
Tata motors
77
ACC LTD
.
ULTRATECH CEMENT
78
ONGC
BHARAT PETROLEUM
79
BHARTI AIRTEL
RELIANCE COMMUNICATIONS
80
5-Mar-10 165.50 167.40 164.55 164.75 2,381,200 164.75
4-Mar-10 160.00 164.85 160.00 164.40 2,773,300 164.40
3-Mar-10 160.00 161.45 159.75 160.70 1,548,700 160.70
2-Mar-10 158.35 160.90 157.85 159.65 3,013,000 159.65
Wipro ltd
Date Open High Low Close Volume Adj Close*
INFOSYS
81
4-Mar-10 58.67 58.67 57.66 58.19 2,158,300 57.84
3-Mar-10 59.20 59.48 58.90 59.04 1,331,500 58.68
2-Mar-10 58.33 59.60 58.31 59.08 1,800,100 58.72
1-Mar-10 57.06 58.51 56.90 58.34 1,550,800 57.98
GODREJ
Date Open High Low Close Volume Adj Close*
15-Mar-10 275.00 283.00 273.05 274.00 190,400 274.00
12-Mar-10 272.00 275.00 270.00 271.00 35,700 271.00
11-Mar-10 269.00 277.00 269.00 273.00 75,000 273.00
10-Mar-10 272.00 272.00 265.00 271.00 137,000 271.00
9-Mar-10 260.00 270.00 260.00 268.25 111,200 268.25
8-Mar-10 260.00 262.00 256.50 261.80 59,500 261.80
5-Mar-10 256.00 260.00 256.00 258.00 32,800 258.00
4-Mar-10 256.00 258.95 254.25 255.05 14,700 255.05
3-Mar-10 254.00 258.10 248.90 256.00 37,600 256.00
2-Mar-10 254.45 257.00 244.00 254.10 50,600 254.10
REDDYS
Date Open High Low Close Volume Adj Close*
82
4-Mar-10 25.83 25.83 25.21 25.31 216,800 25.11
3-Mar-10 25.59 25.81 25.28 25.53 371,000 25.33
2-Mar-10 24.88 25.54 24.40 25.45 734,200 25.25
1-Mar-10 25.08 25.35 24.85 25.24 347,700 25.04
RANBAXY
Date Open High Low Close Volume Adj Close*
Mar 15, 2010 463.00 468.95 455.00 465.30 371,500 465.30
Mar 12, 2010 462.00 466.00 456.50 463.15 931,300 463.15
Mar 11, 2010 457.00 463.95 454.00 460.10 456,200 460.10
Mar 10, 2010 454.00 458.45 450.10 454.65 213,300 454.65
Mar 9, 2010 456.00 465.00 451.55 453.20 294,700 453.20
Mar 8, 2010 479.00 480.00 458.15 460.25 373,100 460.25
Mar 5, 2010 475.55 481.50 466.50 468.65 375,500 468.65
Mar 4, 2010 474.00 477.80 465.50 473.05 827,300 473.05
Mar 3, 2010 475.00 491.60 450.00 473.10 2,048,200 473.10
Mar 2, 2010 475.00 484.40 460.00 479.35 1,182,700 479.35
GLAXO SMITHkLINE
83
4-Mar-10 37.52 37.57 37.31 37.37 1,446,500 36.90
3-Mar-10 37.31 37.59 37.21 37.36 1,089,600 36.89
2-Mar-10 37.12 37.44 37.03 37.23 1,475,700 36.77
1-Mar-10 36.75 37.09 36.66 37.03 2,009,800 36.57
DABUR
84
BIBILOGRAPHY
Web-sites
www.economywatch.com
www.google.com
www.bseindia.com
www.nseindia.com
www.investopedia.com/terms/volatility.asp
www.bonanza.com
www.bonanzaonline.com
85