163

Annexure A:

Table 1: List of Sampled Stocks on which derivatives are traded (SSFs)

Sr. no. COMPANY

1 ABB

2 ACC

3 AMBUJACEM

4 AXISBANK

5 BHEL

6 BPCL

7 CIPLA

8 GAIL

9 GRASIM

10 HDFC

11 HDFC BANK

12 HEROHONDA

13 HINDALCO

14 HINDUNLIVR

15 ICICIBANK

16 INFOSYSTECH

17 ITC

18 JINDALSTEL

19 M&M

20 NATIONALALUM

21 ONGC

22 RANBAXY

23 RELIANCECAP

24 RELIANCE

25 SAIL

26 SBIN

27 SIEMENS

28 SUNPHARMA

29 TATAMOTORS

30 TATAPOWER

31 TATASTEEL

32 UNITECH

33 WIPRO

34 ABAN

164

35 ABIRLANUVO

36 ADANIENT

37 APOLLOTYRE

38 ASHOKLEY

39 ASIAN PAINT

40 AUROPHARMA

41 BAJAJHIND

42 BALRAMCHIN

43 BANKBARODA

44 BANKINDIA

45 BEL

46 BEML

47 CENTURYTEX

48 CESC

49 GECALSTHOM

50 MICO

Table2: List of Sampled Stocks on which no derivatives are traded (non- SSFs)

Sr. no. COMPANY

1 AARTIIND

2 ADORWELD

3 ALOKTEXT

4 ANDHRSUGR

5 APOLLOHOSP

6 ARVIND

7 ASIANELEC

8 BAJAJHLDNG

9 BASF

10 BIRLACORP

11 BOMDYEING

12 BPL

13 CANFINHOME

14 CARBORUNIV

15 CENTENKA

16 CHAMPLAST

17 CHOLADBS

18 CLNINDIA

165

19 COROMANDEL

20 COSMOFILMS

21 CRISIL

22 DALMIACEM

23 DCMSRMCONS

24 DCW

25 DHAMPURSUG

26 DSKULKARNI

27 EIDPARRY

28 EIHOTEL

29 ELGIEQUIP

30 ESABINDIA

31 ESCORTS

32 EVERESTIND

33 FINCABELS

34 FINPIPE

35 GIPCL

36 GLFL

37 GNFC

38 GSFC

39 GUJFLUORO

40 HEG

41 HINDMOTOR

42 INGVYSYABK

43 IPCALAB

44 JAYSREETEA

45 KESORAMIND

46 KSBPUMPS

47 LAXMIMACH

48 MAHINDUGIN

49 MARICO

50 MASTEK

51 MERCK

52 NAVNETPUBL

53 NBVENTURES

54 NILKAMAL

55 NIRMA

56 ORIENTPPR

57 PENINLAND

166

58 PIDILITIND

59 PRICOL

60 RAYMOND

61 RIIL

62 SAKHTISUG

63 SEAMECLTD

64 SHANTIGEAR

65 SIRPAPER

66 SKUMARSYNF

67 SREECEM

68 SREINTFIN

69 SURYAROSNI

70 SWARAJENG

71 THERMAX

72 TNPL

73 TUBEINVEST

74 UFLEX

75 ZODIACLOTH

Table 3 .a.: Descriptive Statistics for SSFs

Company Mean Standard

deviation

Skewness Kurtosis Jarque

Bera

ABB 0.000383 0.025599 -0.338228 6.670363 1775.968

ACC 0.000447 0.027895 -0.131117 5.654956 1018.107

AMBUJACEM 0.000231 0.059831 -0.539705 42.93765 206173.4

AXISBANK 0.001217 0.035455 0.353316 7.755807 2528.425

BHEL 0.000735 0.029897 -0.113453 5.879222 1070.828

BPCL 0.000232 0.030702 -0.011035 5.787329 982.2185

CIPLA 0.000185 0.063587 -0.2406689 134.2738 2203732

GAIL 0.000445 0.028298 -0.066619 6.026422 1148.653

GRASIM 0.000481 0.028083 -0.070364 5.390303 763.2528

HDFC 0.000717 0.02969 0.012092 6.606536 1717.557

HDFC BANK 0.000974 0.026604 0.200321 5.033392 559.2706

HERO HONDA 0.000902 0.044582 -0.88187 148.6211 2738561

HINDALCO -0.000169 0.212928 0.009136 8.235626 3947.344

167

HINDUNILVR -0.000361 1.154775 -0.001615 7.752245 3616.237

ICICIBANK 0.000577 0.119179 0.088726 23.36167 57011.47

INFOSYSTECH 0.001386 0.030436 -0.125343 6.006987 1272.777

ITC 0.000575 0.023395 -0.054325 5.850354 1144.509

JINDALSTEL 0.00181 0.035785 0.305716 6.150493 1092.171

M&M 0.000275 0.030284 -0.109384 5.941129 1124.592

NATIONALALUM 0.000749 1.203586 -0.002262 5.723019 861.0499

ONGC 0.000548 0.028099 -0.025938 6.493015 1562.601

RANBAXY -0.000384 0.236031 -0.01571 22.19857 54228.23

RELIANCECAP 0.000602 0.037584 -0.13925 5.731795 1002.226

RELIANCE 0.000574 0.39652 0.037003 8.428319 5955.825

SAIL 0.000514 0.049267 -0.32218 33.54369 123549.8

SBIN 0.000372 0.050898 -0.06645 11.18481 10528.76

SIEMENS 0.000702 0.030737 9.98E-05 5.617482 921.488

SUNPHARMA 0.000451 0.48662 -0.050892 120.1478 1767488

TATAMOTORS -0.000186 0.551906 0.006614 4.683725 548.0024

TATAPOWER 0.000596 0.029092 -0.87231 8.128289 3347.173

TATASTEEL -0.00012 0.839993 -0.00549 11.42131 13394.74

UNITECH 0.00162 0.036005 0.261423 6.857617 1928.42

WIPRO 0.001229 0.034963 -0.68153 6.769885 1860.059

ABAN 0.001215 0.034862 -0.07437 5.498791 802.5805

ABIRLANUVO 0.000129 0.212339 -0.000244 30.47189 100249.9

ADANIENT 0.000954 0.033051 0.214765 8.689681 4075.047

APOLLOTYRE 0.000149 0.033362 0.552754 6.472137 1673.567

ASHOKLEY 0.000226 0.034491 0.099461 5.586456 886.3083

ASIAN PAINT 0.000642 0.020178 0.047281 7.862361 2991.914

AUROPHARMA 0.000944 0.034826 -0.022077 6.99172 2078.291

BAJAJHIND 0.000951 0.042505 -0.127925 6.966199 1696.774

BALRAMCHIN 0.000687 0.032879 0.198845 6.73858 1768.07

BANKBARODA 0.000647 0.076776 0.05758 22.13594 51954.29

BANKINDIA 0.000373 0.033445 0.025048 5.946888 1152.792

168

BEL 0.00093 0.036508 0.193795 4.862906 479.7352

BEML 0.000626 0.03904 0.48515 6.420936 1765.458

CENTURYTEX 0.000254 0.038862 -0.0314 5.13169 583.666

CESC 0.000503 0.035136 0.503639 5.895306 1175.459

GECALSTHOM -0.00078 0.042115 0.32395 4.758739 242.3926

MICO 0.000637 0.022572 0.446877 9.981053 6519.899

Table 3 .b. : Descriptive Statistics for Non -SSFs

Company Mean Standard

deviation

Skewness Kurtosis Jarque

Bera AARTIIND 0.000646 0.033918 0.327283 5.80143 977.6576

ADORWELD 0.000227 0.031741 0.413025 5.78653 1085.101

ALOKTEXT -0.000191 0.040236 0.157176 5.987293 1115.812

ANDHRSUGAR 9.96E-05 0.038089 0.13224 6.69528 1612.692

APPOLOHOSP 0.000917 0.032728 0.292209 6.423683 1507.391

ARVIND -0.000683 1.001422 -0.003951 14.69069 19077.17

ASAINELEC -0.000329 0.041623 0.326091 6.012958 1188.699

BAJAJHLDNG 8.55E-05 0.025266 -0.234029 7.104048 2198.903

BASF 0.000115 0.025629 0.407047 6.279177 1424.591

BIRLACORP 0.000265 0.039484 0.212091 7.329506 2414.458

BOMDYEING 0.000134 0.064277 0.160952 74.202 660133.9

BPL -0.000292 0.038789 0.43971 4.84149 526.6316

CANFINHOME 0.000402 0.026137 0.612966 11.55672 9614.011

CARBORUNIV 0.000619 0.030082 0.091479 6.27168 1357.829

CENTENKA -0.000186 0.031018 0.274646 5.946106 1158.957

CHAMPLAST 7.66E-05 0.038056 0.607399 5.803846 1179.61

CHOLADBS -0.000136 0.132067 0.042986 92.29076 1035141

CLNINDIA -0.000129 0.028591 0.519385 8.72908 4079.469

COROMANDEL 0.00084 0.033992 0.106668 4.35149 222.3045

COSMOFILMS 0.000495 0.038663 0.391841 7.465502 2624.171

169

CRISIL 0.000823 0.027837 0.22815 6.225491 1292.895

DALMIACEM -0.00204 0.357369 -0.972363 150.9168 2681598

DCMSRMCONS 0.000463 0.036416 0.142738 4.257448 206.3791

DCW -0.00033 0.297205 0.035986 43.37872 212841.1

DHAMPURSUG -0.00019 0.101722 0.046952 120.6297 1696733

DSKULKARNI 4.14E-05 0.09254 0.330755 10.03671 3400.957

EIDPARRY 7.24E-04 0.033206 0.124276 6.597269 1661.563

EIHOTEL 0.000101 0.025677 0.322348 7.175057 2261.33

ELGIEQUIP 0.000191 0.242127 0.070725 23.82532 58153.83

ESABINDIA 0.000412 0.031743 0.279309 5.290164 698.3175

ESCORTS -0.000129 0.067198 0.001899 24.56074 59987.05

EVERESTIND -5.17E-05 0.036591 0.165012 6.155544 1263.33

FINCABLES 5.24E-05 0.028208 0.028611 6.508012 1556.116

FINPIPE 0.000263 0.037106 0.827055 11.2753 9364.984

GIPCL -0.000164 0.565108 -0.000452 4.703194 457.7331

GLFL -0.001065 0.087027 -0.192077 9.208986 4182.726

GNFC 0.000306 0.161879 -0.040788 19.50462 35776.42

GSFC 5.56E-06 0.035749 0.318419 6.221465 1387.914

GUJFLUORO 0.000891 0.034909 0.155035 4.685715 368.4465

HEG 0.0005 0.029718 0.315895 8.74086 4325.243

HINDMOTOR -4.41E-05 0.049368 0.781584 9.003602 4903.851

INGVYSYABK 0.000298 0.030332 0.764183 6.950768 2252.778

IPCALAB 0.000629 0.03087 -0.029177 6.15285 1302.232

JAYSREETEA 0.000174 0.033917 0.607922 6.616766 1790.791

KESORAMIND 0.00038 0.037788 0.22 6.689207 1751.363

KSBPUMPS 0.000147 0.03027 0.310526 4.626986 373.0332

LAXMIMACH 0.000241 0.03245 -0.006898 5.732382 867.623

MAHINDUGIN -0.000189 0.067638 -0.508209 22.5809 45476.61

MARICO 0.000749 0.025281 0.198077 6.852959 1837.773

MASTEK 0.001022 0.043176 -0.019615 4.937039 483.1271

MERCK 2.36E-04 0.023848 0.291262 6.176537 1353.256

170

NAVNETPUBL 0.000486 0.031742 0.484511 5.094532 635.5778

NBVENTURES 0.001195 0.048711 0.015928 8.449566 3206.231

NILKAMAL 0.000211 0.036833 0.468313 5.148011 690.2923

NIRMA -0.000292 1.652258 -1.670063 0.40079 0.02897

ORIENTPPR 0.000486 0.095824 0.083166 21.93409 43680.59

PENINLAND 0.000308 0.066708 -0.112947 10.02008 5584.862

PIDILITIND 0.000684 0.025178 0.225701 9.038612 4612.603

PRICOL -2.28E-05 0.032246 0.121413 3.840739 92.3435

RAYMOND -7.18E-05 0.084139 0.109792 45.52702 242577.9

RIIL 0.000693 0.034126 0.571025 5.810119 1187.702

SAKHTISUG 8.37E-05 0.054777 0.423212 9.050043 4650.936

SEAMECLTD 6.95E-04 0.046432 0.401441 5.750375 1065.826

SHANTIGEAR 0.000337 0.030248 0.312219 6.243335 1378.189

SIRPAPER 1.32E-04 0.237348 -0.019454 14.79013 16292.96

SKUMARSYNF -1.82E-05 0.054145 0.54219 8.758609 4224.938

SREECEM 0.001184 0.03759 0.211695 5.336805 705.4597

SREINTFIN 0.000326 0.060264 0.538879 9.558162 5195.62

SURYAROSNI -2.77E-05 0.041046 0.314467 6.974914 2041.983

SWARAJENG -0.000112 0.027246 0.266837 6.909366 1980.373

THERMAX -0.000157 1.14952 0.0064 11.10872 8717.56

TNPL 7.56E-05 0.034693 0.284099 6.01399 1203.311

TUBEINVEST 0.000491 0.033572 0.102615 6.35662 1461.219

UFLEX -4.28E-05 0.494901 0.106041 27.19377 80148.75

ZODIACLOTH 6.89E-04 0.03718 0.3584 4.468266 311.0091

171

Annexure B

Fig. 1 : Graph of Nifty Index Return Series.

-.15

-.10

-.05

.00

.05

.10

.15

.20

97 98 99 00 01 02 03 04 05 06 07 08 09

RETNIFTY

Table 1: ADF test statistic for Nifty Return Series

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -51.57018 0.0001

Test critical values: 1% level -3.432342

5% level -2.862306

10% level -2.567222

Table 2.1: Correlogram of the residuals from ARMA (1,1) for nifty:

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

| | | | 1 -0.003 -0.003 0.0252

| | | | 2 -0.013 -0.013 0.5653

| | | | 3 -0.008 -0.008 0.7867 0.375

| | | | 4 0.019 0.019 2.0006 0.368

| | | | 5 -0.009 -0.009 2.2574 0.521

| | | | 6 -0.048 -0.048 9.8996 0.042

| | | | 7 0.008 0.007 10.090 0.073

| | | | 8 0.036 0.034 14.196 0.028

| | | | 9 0.022 0.022 15.790 0.027

| | | | 10 0.039 0.042 20.775 0.008

| | | | 11 -0.011 -0.011 21.205 0.012

| | | | 12 -0.017 -0.019 22.134 0.014

172

Table 2.2: Correlogram of the squared residuals from ARMA(1,1) for Nifty:

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

|** | |** | 1 0.305 0.305 279.50

|** | |* | 2 0.220 0.140 425.18

|* | | | 3 0.140 0.045 484.41 0.000

|* | |* | 4 0.180 0.115 581.70 0.000

|* | |* | 5 0.164 0.074 662.83 0.000

|* | | | 6 0.102 -0.003 694.25 0.000

|* | |* | 7 0.145 0.082 757.19 0.000

|* | | | 8 0.097 0.005 785.35 0.000

|* | |* | 9 0.141 0.068 845.42 0.000

|* | | | 10 0.129 0.048 895.65 0.000

|* | | | 11 0.132 0.041 948.41 0.000

|* | | | 12 0.070 -0.029 963.18 0.000

Table 3: Result of ARCH LM Test at lag 12

F-statistic 41.55279 Prob. F(12,2972) 0.000000

Obs*R-squared 428.8615 Prob. Chi-Square(12) 0.000000

173

Annexure C:

Table 1: ADF Test for nifty return series. t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -51.57018 0.0001

Test critical values: 1% level -3.432342

5% level -2.862306

10% level -2.567222

Table 2: Descriptive Statistics of Nifty Return Series

0

200

400

600

800

1000

-0.10 -0.05 -0.00 0.05 0.10 0.15

Series: RETNIFTY

Sample 4/01/1997 3/31/2010

Observations 3242

Mean 0.000521

Median 0.001216

Maximum 0.163343

Minimum -0.130539

Std. Dev. 0.017545

Skewness -0.231506

Kurtosis 9.143026

Jarque-Bera 5126.567

Probability 0.000000

Table 3: Q statistic probabilities for squared residuals from ARMA(1,1)

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

|** | |** | 1 0.305 0.305 279.50

|** | |* | 2 0.220 0.140 425.18

|* | | | 3 0.140 0.045 484.41 0.000

|* | |* | 4 0.180 0.115 581.70 0.000

|* | |* | 5 0.164 0.074 662.83 0.000

|* | | | 6 0.102 -0.003 694.25 0.000

|* | |* | 7 0.145 0.082 757.19 0.000

|* | | | 8 0.097 0.005 785.35 0.000

|* | |* | 9 0.141 0.068 845.42 0.000

|* | | | 10 0.129 0.048 895.65 0.000

|* | | | 11 0.132 0.041 948.41 0.000

|* | | | 12 0.070 -0.029 963.18 0.000

174

Table 4: ARCH LM Test for nifty index at lag 12.

Table 5: Result of ADF Test for ABB t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -52.47395 0.0001

Test critical values: 1% level -3.432298

5% level -2.862286

10% level -2.567211

Table 6: Descriptive statistics for SSF stocks

Mean Standard

Deviation

Skewness Kurtosis JB

ABB 0.000383 0.025599 -0.338228 6.670363 1775.968

ACC 0.000447 0.027895 -0.131117 5.654956 1018.107

AMBUJACEM 0.000231 0.059831 -0.539705 42.93765 206173.4

AXISBANK 0.001217 0.035455 0.353316 7.755807 2528.425

BHEL 0.000735 0.029897 -0.113453 5.879222 1070.828

BPCL 0.000232 0.030702 -0.011035 5.787329 982.2185

CIPLA 0.000185 0.063587 -0.2406689 134.2738 2203732

GAIL 0.000445 0.028298 -0.066619 6.026422 1148.653

GRASIM 0.000481 0.028083 -0.070364 5.390303 763.2528

HDFC 0.000717 0.02969 0.012092 6.606536 1717.557

HDFC BANK 0.000974 0.026604 0.200321 5.033392 559.2706

HERO HONDA 0.000902 0.044582 -0.88187 148.6211 2738561

HINDALCO -0.000169 0.212928 0.009136 8.235626 3947.344

HINDUNILVR -0.000361 1.154775 -0.001615 7.752245 3616.237

ICICIBANK 0.000577 0.119179 0.088726 23.36167 57011.47

INFOSYSTECH 0.001386 0.030436 -0.125343 6.006987 1272.777

F-statistic 41.55279 Prob. F(12,2972) 0.000000

Obs*R-squared 428.8615 Prob. Chi-Square(12) 0.000000

175

ITC 0.000575 0.023395 -0.054325 5.850354 1144.509

JINDALSTEL 0.00181 0.035785 0.305716 6.150493 1092.171

M&M 0.000275 0.030284 -0.109384 5.941129 1124.592

NATIONALALUM 0.000749 1.203586 -0.002262 5.723019 861.0499

ONGC 0.000548 0.028099 -0.025938 6.493015 1562.601

RANBAXY -0.000384 0.236031 -0.01571 22.19857 54228.23

RELIANCECAP 0.000602 0.037584 -0.13925 5.731795 1002.226

RELIANCE 0.000574 0.39652 0.037003 8.428319 5955.825

SAIL 0.000514 0.049267 -0.32218 33.54369 123549.8

SBIN 0.000372 0.050898 -0.06645 11.18481 10528.76

SIEMENS 0.000702 0.030737 9.98E-05 5.617482 921.488

SUNPHARMA 0.000451 0.48662 -0.050892 120.1478 1767488

TATAMOTORS -0.000186 0.551906 0.006614 4.683725 548.0024

TATAPOWER 0.000596 0.029092 -0.87231 8.128289 3347.173

TATASTEEL -0.00012 0.839993 -0.00549 11.42131 13394.74

UNITECH 0.00162 0.036005 0.261423 6.857617 1928.42

WIPRO 0.001229 0.034963 -0.68153 6.769885 1860.059

ABAN 0.001215 0.034862 -0.07437 5.498791 802.5805

ABIRLANUVO 0.000129 0.212339 -0.000244 30.47189 100249.9

ADANIENT 0.000954 0.033051 0.214765 8.689681 4075.047

APOLLOTYRE 0.000149 0.033362 0.552754 6.472137 1673.567

ASHOKLEY 0.000226 0.034491 0.099461 5.586456 886.3083

ASIAN PAINT 0.000642 0.020178 0.047281 7.862361 2991.914

AUROPHARMA 0.000944 0.034826 -0.022077 6.99172 2078.291

BAJAJHIND 0.000951 0.042505 -0.127925 6.966199 1696.774

BALRAMCHIN 0.000687 0.032879 0.198845 6.73858 1768.07

BANKBARODA 0.000647 0.076776 0.05758 22.13594 51954.29

BANKINDIA 0.000373 0.033445 0.025048 5.946888 1152.792

BEL 0.00093 0.036508 0.193795 4.862906 479.7352

BEML 0.000626 0.03904 0.48515 6.420936 1765.458

CENTURYTEX 0.000254 0.038862 -0.0314 5.13169 583.666

176

CESC 0.000503 0.035136 0.503639 5.895306 1175.459

GECALSTHOM -0.00078 0.042115 0.32395 4.758739 242.3926

MICO 0.000637 0.022572 0.446877 9.981053 6519.899

Note: Results significant at 5% level

Table 7: Result of AR (1) model for ABB

Variable Coefficient Std. Error t-Statistic Prob.

C 0.000377 0.000488 0.773983 0.4390

AR(1) 0.051769 0.018071 2.864828 0.0042

Table 8: Result of Q Statistic & ARCH LM Test for SSF Stocks

Sr No. COMPANY LBTSSR LM

1 ABB 410.9 253.2357

2 ACC 347.16 200.6924

3 AMBUJACEMENT 2175.8 653.2464

4 AXISBANK 388.63 234.519

5 BHEL 535.05 260.7171

6 BPCL 325.84 183.3116

7 CIPLA 653.76 417.9809

8 GAIL 378.24 186.7711

9 GRASIM 541.17 267.4664

10 HDFC 1553.8 534.7498

11 HDFC BANK 756.15 343.3925

12 HEROHONDA 3069.6 1285.495

13 HINDALCO 7714.2 1557.019

14 HINDUNLIVR 12438 2189.906

177

15 ICICIBANK 9314.8 1687.287

16 INFOSYSTECH 869.65 405.6108

17 ITC 359.8 223.974

18 JINDALSTEL 525.26 238.8906

19 M&M 883.97 370.7208

20 NATIONALALUM 3314.6 791.2271

21 ONGC 614.94 313.3947

22 RANBAXY 14169 2159.224

23 RELAINCECAP 614.19 300.9773

24 RELAINCE 14954 2642.27

25 SAIL 401.08 339.6727

26 SBIN 5621.8 1192.204

27 SIEMENS 603.22 297.1597

28 SUNPHARMA 1751.4 763.014

29 TATAMOTORS 9906 1878.563

30 TATAPOWER 1198.1 618.9057

31 TATASTEEL 6204.3 1481.867

32 UNITECH 797.84 376.6342

33 WIPRO 680.48 319.0841

34 ABAN 879.45 376.7906

35 ABIRLANUVO 2669.3 872.9884

36 ADANIENT 839.42 459.6155

37 APOLLOTYRE 363.14 189.1559

38 ASHOKLEY 476.8 241.8199

39 ASIAN PAINT 558.09 298.7946

178

40 AUROPHARMA 648.9 314.337

41 BAJAJHIND 804.42 472.379

42 BALRAMCHIN 844.6 389.3628

43 BANKBARODA 10742 2113.419

44 BANKINDIA 445.74 276.777

45 BEL 978.25 363.197

46 BEML 760.81 386.5877

47 CENTURYTEX 548.13 265.0856

48 CESC 219.21 145.6504

49 GECALASTHOM 203.45 137.1408

50 MICO 215.2 165.1311

Note: Results significant at 5% level

Table 9: Ljung Box Q statistic & ARCH LM test for SSFs

(Note: these results relate to the residuals from mean equation after including the returns

on nifty junior index)

Sr. No. COMPANY LBTSSR ARCH LM

1 ABB 408.43 250.4522

2 ACC 392.65 218.7389

3 AMBUJACEM 2120 639.8284

4 AXIXBANK 388.2 234.4258

5 BHEL 499.85 248.6671

6 BPCL 321.97 181.4668

7 CIPLA 640.01 409.1536

8 GAIL 383.36 189.0021

9 GRASIM 550.69 273.3614

10 HDFC 1388.8 482.1009

11 HDFC BANK 727.39 349.9767

179

12 HEROHONDA 2939.2 1236.598

13 HINDALCO 6477.9 1337.254

14 HINDUNILVR 6825.5 1490.943

15 ICICIBANK 8317.1 1519.895

16 INFOSYSTECH 808.84 374.6655

17 ITC 311.77 199.2513

18 JINDALSTEL 527.55 239.0818

19 M&M 597.7 282.7044

20 NATIONALALUM 3315.8 790.2054

21 ONGC 603.59 306.6017

22 RANBAXY 11920 1821.915

23 RELAIANCECAP 554.49 288.9732

24 RELIANCE 7714.5 1509.307

25 SAIL 366.63 308.7126

26 SBIN 2002.2 741.7467

27 SIEMENS 530.44 262.6016

28 SUNPHARMA 1695.6 739.299

29 TATAMOTORS 4708.3 1029.663

30 TATAPOWER 1206.9 624.7166

31 TATASTEEL 3571.5 921.3259

32 UNITECH 911.3 430.3551

33 WIPRO 636.63 307.5811

34 ABAN 953.93 397.0934

35 ABIRLANUVO 2492.2 819.4191

36 ADANIENT 833.07 457.0769

37 APOLLOTYRE 371.61 192.975

38 ASHOKLEY 459.42 229.4814

39 ASIAN PAINT 549.23 298.9968

40 AUROPHARMA 862.07 397.7871

41 BAJAJHIND 809.04 472.8273

42 BALRAMCHIN 818.61 387.6311

180

43 BANKBARODA 9260.9 1845.315

44 BANKINDIA 403.75 263.4148

45 BEL 902.65 337.8978

46 BEML 725.9 370.9682

47 CENTURYTEX 553.53 267.6632

48 CESC 213.71 144.55

49 GECALASTHOM 212.19 141.8093

50 MICO 200.88 155.5139

Note: Results significant at 5% level

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