indusind bank (beta calculation of stock prices)

8/13/2019 IndusInd Bank (Beta Calculation of Stock Prices)

1/10


2/10

1

Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in

comparison to the market as a whole. Beta is used in the capital asset pricing model (CAPM),

a model that calculates the expected return of an asset based on its beta and expected

market returns.

Time Period over which calculated = 1 year

Beta is calculated using two methods:

1. Using Covariance between stock return, market return and Market risk

2. Using Regression Analysis

Beta Calculation Using Covariance between stock return, marketreturn and Market risk

Date

IDBI Stock CNX NIFTY

Close PriceReturn of

company (Rc)

Close

Price

Return of Market

(Rm)

04/12/2013 425.8 -0.000586958 6160.95 -0.006616648

03/12/2013 426.05 -0.015256803 6201.85 -0.002576553

02/12/2013 432.6 0.023742417 6217.85 0.006737184

29/11/2013 422.45 0.01154706 6176.1 0.013735192

28/11/2013 417.6 0.018244933 6091.85 0.005720675

27/11/2013 410.05 -0.006562979 6057.1 -0.000330137

26/11/2013 412.75 -0.017769708 6059.1 -0.00924073

25/11/2013 420.15 0.030570858 6115.35 0.019801156

22/11/2013 407.5 0.013091455 5995.45 -0.000600275

21/11/2013 402.2 -0.042352399 5999.05 -0.020434717

20/11/2013 419.6 -0.023552667 6122.9 -0.013053628

19/11/2013 429.6 0.023552667 6203.35 0.002315946

18/11/2013 419.6 0.019492856 6189 0.021699238

14/11/2013 411.5 0.020004349 6056.15 0.011049653

13/11/2013 403.35 -0.027268303 5989.6 -0.004738655

12/11/2013 414.5 0.001811048 6018.05 -0.010044021

11/11/2013 413.75 -0.033276986 6078.8 -0.010139576

08/11/2013 427.75 -0.001168224 6140.75 -0.007543839

07/11/2013 428.25 -0.034313998 6187.25 -0.004499137

06/11/2013 443.2 -0.024406405 6215.15 -0.006095477

05/11/2013 454.15 0.011850186 6253.15 -0.008606501

01/11/2013 448.8 0.006146301 6307.2 0.00127713431/10/2013 446.05 -0.002127541 6299.15 0.007561277


3/10

2

Date



company (Rc)

Close

Price

Return of Market

(Rm)

30/10/2013 447 0.029629275 6251.7 0.004938836

29/10/2013 433.95 0.051056817 6220.9 0.019445508

28/10/2013 412.35 -0.030804728 6101.1 -0.007153387

25/10/2013 425.25 -0.005160091 6144.9 -0.003160228

24/10/2013 427.45 -0.001285873 6164.35 -0.002268548

23/10/2013 428 0.005623258 6178.35 -0.003949557

22/10/2013 425.6 -0.001056772 6202.8 -0.000346558

21/10/2013 426.05 0.029778284 6204.95 0.002517288

18/10/2013 413.55 0.060942046 6189.35 0.023457987

17/10/2013 389.1 -0.045959124 6045.85 -0.00711999

16/10/2013 407.4 -0.047807846 6089.05 -0.003876498

14/10/2013 427.35 -0.001403017 6112.7 0.002702948

11/10/2013 427.95 0.030005216 6096.2 0.012420572

10/10/2013 415.3 0.009070631 6020.95 0.002244689

09/10/2013 411.55 0.024972083 6007.45 0.013246004

08/10/2013 401.4 0.013670496 5928.4 0.003760181

07/10/2013 395.95 0.000252589 5906.15 -0.000194693

04/10/2013 395.85 -0.007048487 5907.3 -0.000406194

03/10/2013 398.65 0.039396321 5909.7 0.02218273601/10/2013 383.25 0.038161913 5780.05 0.007772274

30/09/2013 368.9 -0.02079077 5735.3 -0.016925675

27/09/2013 376.65 -0.01789286 5833.2 -0.008373607

26/09/2013 383.45 0.001043705 5882.25 0.001429046

25/09/2013 383.05 -0.013226334 5873.85 -0.003161574

24/09/2013 388.15 0.004389369 5892.45 0.000458318

23/09/2013 386.45 -0.061469059 5889.75 -0.020560553

20/09/2013 410.95 -0.055263987 6012.1 -0.017060603

19/09/2013 434.3 0.051256939 6115.55 0.035975582

18/09/2013 412.6 0.026897538 5899.45 0.008383278

17/09/2013 401.65 -0.031612532 5850.2 0.001650878

16/09/2013 414.55 0.035729047 5840.55 -0.00171925

13/09/2013 400 0.008032172 5850.6 -1.70921E-05

12/09/2013 396.8 -0.056584212 5850.7 -0.010617372

11/09/2013 419.9 0.022762469 5913.15 0.002777333

10/09/2013 410.45 -0.003405087 5896.75 0.037379699

09/09/2013 411.85 0 5680.4 0

06/09/2013 411.85 0.034584156 5680.4 0.015514777

05/09/2013 397.85 0.078943651 5592.95 0.02623995204/09/2013 367.65 0.053493168 5448.1 0.019769772


4/10

3

Date



company (Rc)

Close

Price

Return of Market

(Rm)

03/09/2013 348.5 -0.088242088 5341.45 -0.038435902

02/09/2013 380.65 0.064144536 5550.75 0.014325424

30/08/2013 357 0.014246662 5471.8 0.011534153

29/08/2013 351.95 0.021249902 5409.05 0.023200857

28/08/2013 344.55 -0.005354959 5285 -0.000463469

27/08/2013 346.4 -0.075992948 5287.45 -0.035130123

26/08/2013 373.75 0.010084119 5476.5 0.000867719

23/08/2013 370 0.010050336 5471.75 0.011635947

22/08/2013 366.3 0.020130281 5408.45 0.019774708

21/08/2013 359 0.060128575 5302.55 -0.018479599

20/08/2013 338.05 -0.011324483 5401.45 -0.002459275

19/08/2013 341.9 -0.040412434 5414.75 -0.017047636

16/08/2013 356 -0.068393441 5507.85 -0.04168548

15/08/2013 381.2 0 5742.3 0

14/08/2013 381.2 -0.009009658 5742.3 0.007516467

13/08/2013 384.65 0.031828372 5699.3 0.015364925

12/08/2013 372.6 -0.005353332 5612.4 0.008364656

09/08/2013 374.6 0 5565.65 0

08/08/2013 374.6 0.007368243 5565.65 0.00839897607/08/2013 371.85 0.029889636 5519.1 -0.004185752

06/08/2013 360.9 -0.079978763 5542.25 -0.02550093

05/08/2013 390.95 0.001535902 5685.4 0.001320039

02/08/2013 390.35 -0.007656028 5677.9 -0.008758796

01/08/2013 393.35 0.013307938 5727.85 -0.00246734

31/07/2013 388.15 -0.029322403 5742 -0.002270149

30/07/2013 399.7 -0.03406416 5755.05 -0.013222249

29/07/2013 413.55 -0.014404282 5831.65 -0.009310649

26/07/2013 419.55 -0.008307667 5886.2 -0.003612102

25/07/2013 423.05 -0.000945068 5907.5 -0.013952151

24/07/2013 423.45 -0.088427306 5990.5 -0.014467907

23/07/2013 462.6 0.009120584 6077.8 0.007597315

22/07/2013 458.4 0.026974883 6031.8 0.000431142

19/07/2013 446.2 -0.042666997 6029.2 -0.00146678

18/07/2013 465.65 0.026659541 6038.05 0.010781574

17/07/2013 453.4 -0.028161687 5973.3 0.003026355

16/07/2013 466.35 -0.08308136 5955.25 -0.012606488

15/07/2013 506.75 0.005441517 6030.8 0.003621327

12/07/2013 504 -0.012520497 6009 0.01237446811/07/2013 510.35 0.02912586 5935.1 0.020150786


5/10

4

Date



company (Rc)

Close

Price

Return of Market

(Rm)

10/07/2013 495.7 -0.012629215 5816.7 -0.00724585

09/07/2013 502 0.020223034 5859 0.008131624

08/07/2013 491.95 0.037380756 5811.55 -0.009649502

05/07/2013 473.9 0.000316573 5867.9 0.005288418

04/07/2013 473.75 0.014885974 5836.95 0.011380353

03/07/2013 466.75 -0.020254125 5770.9 -0.01490338

02/07/2013 476.3 0.009386769 5857.55 -0.007025989

01/07/2013 471.85 0.011939168 5898.85 0.009649978

28/06/2013 466.25 0.021461912 5842.2 0.027742559

27/06/2013 456.35 0.00296264 5682.35 0.016618178

26/06/2013 455 -0.038375047 5588.7 -0.003643577

25/06/2013 472.8 0.043111521 5609.1 0.00336627

24/06/2013 452.85 -0.024215843 5590.25 -0.013750561

21/06/2013 463.95 0.032085972 5667.65 0.002075322

20/06/2013 449.3 -0.06097805 5655.9 -0.028987537

19/06/2013 477.55 -0.000314054 5822.25 0.001486785

18/06/2013 477.7 -0.015990373 5813.6 -0.006250208

17/06/2013 485.4 0.009002078 5850.05 0.007145063

14/06/2013 481.05 -0.014139252 5808.4 0.01899687813/06/2013 487.9 -0.015860438 5699.1 -0.010663929

12/06/2013 495.7 0.038873789 5760.2 -0.00495282

11/06/2013 476.8 -0.040385658 5788.8 -0.015291552

10/06/2013 496.45 -0.021816874 5878 -0.000510247

07/06/2013 507.4 -0.004718845 5881 -0.006846092

06/06/2013 509.8 -0.004891899 5921.4 -0.000413668

05/06/2013 512.3 0.005186175 5923.85 0.000743036

04/06/2013 509.65 -0.001960208 5919.45 -0.003347742

03/06/2013 510.65 -0.015062721 5939.3 -0.007823775

31/05/2013 518.4 -0.01929566 5985.95 -0.022808586

30/05/2013 528.5 0.022773925 6124.05 0.003230201

29/05/2013 516.6 -0.013077109 6104.3 -0.001137894

28/05/2013 523.4 -0.011020442 6111.25 0.004608681

27/05/2013 529.2 0.058159315 6083.15 0.016508617

24/05/2013 499.3 0.015948657 5983.55 0.002761369

23/05/2013 491.4 -0.003859048 5967.05 -0.021134057

22/05/2013 493.3 -0.006163815 6094.5 -0.003210854

21/05/2013 496.35 -0.012413814 6114.1 -0.006975825

20/05/2013 502.55 -0.016967952 6156.9 -0.004925417/05/2013 511.15 -0.022918375 6187.3 0.002816174


6/10

5

Date



company (Rc)

Close

Price

Return of Market

(Rm)

16/05/2013 523 0.016871936 6169.9 0.003759143

15/05/2013 514.25 0.045756365 6146.75 0.024930978

14/05/2013 491.25 -0.004265698 5995.4 0.002496693

13/05/2013 493.35 -0.024823615 5980.45 -0.018931929

10/05/2013 505.75 0.035010114 6094.75 0.00734468

09/05/2013 488.35 -0.008563616 6050.15 -0.003160212

08/05/2013 492.55 0.015240923 6069.3 0.00425169

07/05/2013 485.1 0.024414358 6043.55 0.012068796

06/05/2013 473.4 0.010831581 5971.05 0.004540484

03/05/2013 468.3 -0.007657983 5944 -0.009268823

02/05/2013 471.9 0.009688657 5999.35 0.011593191

01/05/2013 467.35 0 5930.2 0

30/04/2013 467.35 -0.018024237 5930.2 0.004410914

29/04/2013 475.85 0.03812433 5904.1 0.005545403

26/04/2013 458.05 -0.020207074 5871.45 -0.007609631

25/04/2013 467.4 0.014329826 5916.3 0.01351142

24/04/2013 460.75 0 5836.9 0

23/04/2013 460.75 -0.011115422 5836.9 0.000428401

22/04/2013 465.9 0.034501239 5834.4 0.00883156219/04/2013 450.1 0 5783.1 0

18/04/2013 450.1 0.069691373 5783.1 0.01645812

17/04/2013 419.8 0.011018076 5688.7 -4.39458E-05

16/04/2013 415.2 0.031935179 5688.95 0.021417937

15/04/2013 402.15 0.005735677 5568.4 0.007182185

12/04/2013 399.85 -0.002996631 5528.55 -0.01176902

11/04/2013 401.05 0.032694245 5594 0.006330327

10/04/2013 388.15 -0.00565191 5558.7 0.011507482

09/04/2013 390.35 -0.01108221 5495.1 -0.008670064

08/04/2013 394.7 -0.015336567 5542.95 -0.001856492

05/04/2013 400.8 -0.010301053 5553.25 -0.003864131

04/04/2013 404.95 -0.039937544 5574.75 -0.017452978

03/04/2013 421.45 -0.005560499 5672.9 -0.013168915

02/04/2013 423.8 0.018576386 5748.1 0.007631559

01/04/2013 416 0.026921658 5704.4 0.003837731

28/03/2013 404.95 0.012549087 5682.55 0.007232362

27/03/2013 399.9 0 5641.6 0

26/03/2013 399.9 0.020335402 5641.6 0.001374668

25/03/2013 391.85 -0.022458678 5633.85 -0.0031014122/03/2013 400.75 -0.01449211 5651.35 -0.001308565


7/10

6

Date



company (Rc)

Close

Price

Return of Market

(Rm)

21/03/2013 406.6 0.007901276 5658.75 -0.006280216

20/03/2013 403.4 -0.014764048 5694.4 -0.009012023

19/03/2013 409.4 -0.014669597 5745.95 -0.015421851

18/03/2013 415.45 -0.015643044 5835.25 -0.006380356

15/03/2013 422 -0.020406478 5872.6 -0.006170685

14/03/2013 430.7 0.017685066 5908.95 0.009821382

13/03/2013 423.15 -0.018729331 5851.2 -0.010692562

12/03/2013 431.15 -0.011186186 5914.1 -0.004765348

11/03/2013 436 -0.001146132 5942.35 0.038188322

08/03/2013 436.5 0.038533664 5719.7 0

07/03/2013 420 0.011133173 5719.7 0

06/03/2013 415.35 0.011989244 5719.7 0

05/03/2013 410.4 0.023669744 5719.7 0

04/03/2013 400.8 -0.000498878 5719.7 0

01/03/2013 401 -0.031904547 5719.7 0.004670224

28/02/2013 414 -0.030098031 5693.05 -0.018077159

27/02/2013 426.65 0.010248043 5796.9 0.00615147

26/02/2013 422.3 -0.011068051 5761.35 -0.016081475

25/02/2013 427 -0.001404166 5854.75 0.00076035622/02/2013 427.6 -0.001635705 5850.3 -0.000333261

21/02/2013 428.3 -0.025244842 5852.25 -0.015396267

20/02/2013 439.25 -0.00793655 5943.05 0.000563843

19/02/2013 442.75 0.00611692 5939.7 0.007011407

18/02/2013 440.05 0.000795681 5898.2 0.001832746

15/02/2013 439.7 -0.001250071 5887.4 -0.001620794

14/02/2013 440.25 -0.000908162 5896.95 -0.006086292

13/02/2013 440.65 0.004321135 5932.95 0.001762903

12/02/2013 438.75 0.023989156 5922.5 0.004170779

11/02/2013 428.35 0.007145816 5897.85 -0.000957518

08/02/2013 425.3 -0.012965199 5903.5 -0.005961697

07/02/2013 430.85 0.002323691 5938.8 -0.003429151

06/02/2013 429.85 -0.009493009 5959.2 0.000386032

05/02/2013 433.95 -0.003450659 5956.9 -0.005081997

04/02/2013 435.45 -0.006181338 5987.25 -0.001943911

01/02/2013 438.15 0.006296169 5998.9 -0.00595831

31/01/2013 435.4 0.001149029 6034.75 -0.003473805

30/01/2013 434.9 0.010982135 6055.75 0.000966491

29/01/2013 430.15 -0.005679528 6049.9 -0.00410732428/01/2013 432.6 0.00300961 6074.8 2.46925E-05


8/10

7

Date



company (Rc)

Close

Price

Return of Market

(Rm)

25/01/2013 431.3 0.001624319 6074.65 0.009145094

24/01/2013 430.6 0.014974543 6019.35 -0.005789483

23/01/2013 424.2 0.014962873 6054.3 0.000958456

22/01/2013 417.9 0.011068448 6048.5 -0.005572607

21/01/2013 413.3 -0.014889804 6082.3 0.002947305

18/01/2013 419.5 -0.018539824 6064.4 0.004164056

17/01/2013 427.35 -0.006646867 6039.2 0.006203798

16/01/2013 430.2 -0.025248071 6001.85 -0.009080831

15/01/2013 441.2 0.00386057 6056.6 0.005388796

14/01/2013 439.5 0.01918166 6024.05 0.012150108

11/01/2013 431.15 -0.02304223 5951.3 -0.002911088

10/01/2013 441.2 0.01599303 5968.65 -0.000477381

09/01/2013 434.2 -0.001380898 5971.5 -0.00504461

08/01/2013 434.8 0.006923637 6001.7 0.002218498

07/01/2013 431.8 0.002202516 5988.4 -0.004623255

04/01/2013 430.85 -0.007169318 6016.15 0.001105969

03/01/2013 433.95 0.002422566 6009.5 0.002707714

02/01/2013 432.9 0.03778031 5993.25 0.014817452

31/12/2012 416.85 0.004688918 5905.1 -0.0005502228/12/2012 414.9 -0.002767918 5908.35 0.006494935

27/12/2012 416.05 -0.014081378 5870.1 -0.006029384

26/12/2012 421.95 -0.008260609 5905.6 0.008476969

25/12/2012 425.45 -0.003285231 5855.75 0.001375663

21/12/2012 426.85 -0.010834847 5847.7 -0.011679734

20/12/2012 431.5 -0.003470217 5916.4 -0.002228601

19/12/2012 433 0.007417744 5929.6 0.005546926

18/12/2012 429.8 0.009467665 5896.8 0.006618653

17/12/2012 425.75 0.008373184 5857.9 -0.003697555

14/12/2012 422.2 0.032620091 5879.6 0.004790694

13/12/2012 408.65 0.008971977 5851.5 -0.006218343

12/12/2012 405 -0.016893534 5888 -0.001832559

11/12/2012 411.9 -0.012785122 5898.8 -0.001710748

10/12/2012 417.2 0.013999746 5908.9 0.000253887

07/12/2012 411.4 -0.035108083 5907.4 -0.00397017

06/12/2012 426.1 0.013586363 5930.9 0.005138879

05/12/2012 420.35 5900.5


9/10

8

lcul tionsIndusInd Bank

SD Daily 0.026367607Variance Daily 0.000695251

no of days for stock

market

254

Variance Annualized 0.176593678

SD Annualized 0.420230506

CNX NIFTY

SD 0.011307322 Daily

Variance 0.000127856 Dailyno of days for stock

market

254

Variance (m) 0.032475303 Annualized

SD 0.180209053 Annualized

Covariance 0.051204233 Annualized

Annualized Variance = Daily Variance * no. of days for stock market

Rc= Return of company

Rm= Return of Market

= Standard Deviation of Market return

= correlation between company return and market return

= Standard deviation of company return

Covariance (Cov(Rm,Rc)) = 0.051204233

= Cov(Rm,Rc)/m = 1.576713009


10/10

9

BETA CALCULATION USING REGRESSION ANALYSIS

Regression Statistics

Multiple R 0.676147863

R Square 0.457175933

Adjusted R

Square 0.455013287

Standard Error 0.019503999

Observations 253

ANOVA

df SS MS F

Significance

F

Regression 1 0.080416528 0.080417 211.3966 3.70963E-35

Residual 251 0.0954819 0.00038

Total 252 0.175898428

Coefficients

Standard

Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%

Intercept -0.00021827 0.001226346 -0.17798 0.858879

-

0.002633509 0.002196969

-

0.002633509 0.002196969

X Variable 1 1.576713009 0.108443533 14.53948 3.71E-35 1.363137784 1.790288234 1.363137784 1.790288234

Using Regression:

Beta () 1.576713009

Total Risk () 0.176593678

Systematic Risk

(m)

0.08073438

Unsystematic Risk 0.095859299

CONCLUSION:

Beta of Stock of JSW Steel = 1.576713009 We find that value of beta calculated is same for both methods used IndusInd Banks stock has higher risk than market risk, as beta is greater than one IndusInd Banksstock is positively correlated with market. Hence, when market return is

positive the return of JSW stock is also positive and vice-versa.

indusind bank (beta calculation of stock prices)

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