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INTRODUCTIONINDUSTRY PROFILE
Stock broking business is one of the leading businesses in India as millions and millions of rupees roll in that industry. It is in the last decade many broking agencies jumped in to this business due to the enormous growth of our economy and the awareness of the people about stock market and investment in shares that leads to the growth of stock broking agencies. Also technology that paved way to the coming of screen based trading in 1994 brought in transparency in trading and also raised confidence in the minds of investors that automatically leads to lower transaction cost and more convenience.
Next is the coming of Dematerialization account. Dematerialization is the process in which physical share certificates are converted in to electronic shares that saves a large amount of money and time. The futures and options trading was another biggest factor that changed the dimension of stock broking industry as it is the new avenue of revenue for them.
The elimination of many of the traditional restriction against banking activities within the trading industry made some commercial banks to have trading agencies as subsidiaries and also made many corporate and others to enter in to trading business.
The core function of any brokerage firm is to Buy and Sell orders of shares for their clients.Stock broking in India came after the practices of East India Companys loan securities that gradually developed in different forms and modified to present practice. The companies Act of 1850 and introduction of the principle of limited liability, made investments in stocks and shares popular. Though stock broking was practiced in the early 1836 in Calcutta, it was not popular due to the reason that they do not have any regulations and code of conduct or any permanent place for congregation. This resulted in the increased malpractices in trading, settlement and transfer of securities. This made the government to interfere and form SEBI to monitor and regulate the broking firms and stock exchanges. Today to act as a stock broker, certification from the SEBI is mandatory and lot of norms is there to register as a broking firm.
Stockbroker is a person or a firm that trades on its clients behalf.
Types of stock broking services:
Execution -which means that the broker will only carry out the client's instructions to buy or sell. It just executes the clients order to buy or sell.
Advisory dealing- here the broker advises the client on which shares to buy and sell, but leaves the final decision to the investor.
Discretionary dealing- here the stockbroker understands the client's investment objectives and then makes all dealing decisions on the client's behalf.
The broking industry is closely associated with the Stock Exchanges and SEBI that control the activities of the broking industry. Capital Market:Capital market is the wide term used to comprise all operations in the new issues and stock market. New issues made by the companies constitute the primary market, while the trading the existing securities relate to the secondary market. Its the stock exchanges, SEBI and broking agencies that play a major role in the capital market between the investors and companies where they invest. The Securities Contracts Act, 1956 is the basis for regulation of securities contracts and the stock exchanges in India. It was enacted in 1956 and came into force on February 20, 1957. It regulates the business of trading on the stock exchanges and options trading and provides for recognition of stock exchanges and related matters like listing of securities, transfer of securities, etc Stock Market:
Stock market are the most perfect type of market for securities whether of government and semi-government bodies or other public bodies as also for shares and debentures issued by the joint stock companies. In the stock market, purchases and sales of shares are made in conditions of free competition. Government securities are traded outside the trading ring in the form of over-the-counter sales or purchases. The bargains that are struck in the trading ring by the members of the stock exchanges are at the fairest prices determined by the basic laws of supply and demand.
History of Stock Exchanges:
The only stock exchanges operating in the 19th century were those of Mumbai set up in 1875 and Ahmedabad set up in 1894. These were organized as voluntary non-profit-making associations of brokers to regulate and protect their interests. Before the control on securities trading became a central subject under the Constitution in 1950, it was a state subject and the Bombay Securities Contracts (Control) Act of 1925 used to regulate trading in securities. Under this Act, the Bombay stock Exchange was recognized even in Mumbai, Ahmedabad and other centers, but they were not recognized, soon after it became a central subject, central legislation was proposed and a committee headed by A. D. gorwala went into the Bill for Securities regulation. On the bases of the committees recommendations and public discussion, the securities contracts (Regulation) Act became law in 1956.
Stock Exchange:
Stock Exchange means anybody or individuals whether incorporated or not, constituted for the purpose of assisting, regulating or controlling the business of buying, selling or dealing in securities. It is an association of member brokers for the purpose of self-regulation and protecting the interests of its members. With the stock exchanges becoming corporate bodies with demutualization the control and ownership will be in different hands.
It can operate only if it is recognized by the Government under the Securities Contracts (Regulation) Act, 1956.
At present there are 23 Stock Exchanges in India, NSE and BSE were the main two stock exchanges and the other 21 were regional stock exchanges. The stock market and the stock exchanges and their functions were controlled by SEBI (Securities Exchange Board of India)
SEBI:
The Government has set up the Securities & Exchange Board of India (SEBI) in April, 1988. For more than years, it has no statutory powers. Its interim functions during the period were (i) To collect information and advice the Government on matters relating to Stock and Capital Markets (ii) Licensing and regulation of merchant banks, mutual funds etc. (iii) To prepare the legal drafts for regulatory and development role of SEBI and (iv) To Perform any other functions as may be entrusted to it by the Government.
The need for setting up independent Govt. agency to regulate and develop the Stock and Capital Market in India as in many developed countries was recognized since the Sixth Five Year Plan was launched (1985) when some major industrial policy changes like opening up of the economy to outside world and greater role to the Private Sector were initiated. The rampant malpractices noticed in the Stock and Capital Market stood in the way of infusing confidence of investors which is necessary for mobilization of larger quantity of funds from the public and helps the growth of the industry.
The main objectives of SEBI have been entrusted with both the regulatory and developmental functions. The objectives were,
Investor protection, so that there is a steady flow of savings into the Capital Market.
Ensuring the fair practices by the issuers of securities, namely, companies so that they can raise resources at least cost.
Promotion of efficient services by brokers, merchant bankers and other intermediaries so that they become competitive and professional. National Stock Exchange of India:The National Stock Exchange of India Limited has genesis of the High Powered Study Group on establishment of new stock exchanges. In the fast growing Indian financial market, there are 23 stock exchanges trading securities. The National Stock Exchange of India (NSE) situated in Mumbai - is the largest and most advanced exchange with 1016 companies listed and 726 trading members.
The NSE is owned by the group of leading financial institutions such as Indian Bank or Life Insurance Corporation of India and incorporated in November 1992 as a tax paying company unlike other stock exchanges in the country. However, in the totally de-mutualised Exchange, the ownership as well as the management does not have a right to trade on the Exchange. Only qualified traders can be involved in the securities trading.
The NSE is one of the few exchanges in the world trading all types of securities on a single platform, which is divided into three segments: Wholesale Debt Market (WDM), Capital Market (CM), and Futures & Options (F&O) Market. Each segment has experienced a significant growth throughout a few years of their launch. While the WDM segment has accumulated the annual growth of over 36% since its opening in 1994, the CM segment has increased by even 61% during the same period. The National Stock Exchange of India has stringent requirements and criteria for the companies listed on the Exchange. Minimum capital requirements, project appraisal, and company's track record are just a few of the criteria. In addition, listed companies pay variable listing fees based on their corporate capital size.
The National Stock Exchange of India Ltd. provides its clients with a single, fully electronic trading platform that is operated through a VSAT network. Unlike most world exchanges, the NSE uses the satellite communication system that connects traders from 345 Indian cities. The advanced technologies enable up to 6 million trades to be operated daily on the NSE trading platform.MISSION OF NSE:
NSE's mission is setting the agenda for change in the securities markets in India. The NSE was set-up with the main objectives of:
Establishing a nation-wide trading facility for equities, debt instruments and hybrids,
Ensuring equal access to investors all over the country through an appropriate communication network,
Providing a fair, efficient and transparent securities market to investors using electronic trading systems,
Enabling shorter settlement cycles and book entry settlements systems, and
Meeting the current international standards of securities markets.
The standards set by NSE in terms of market practices and technology has become industry benchmarks and is being emulated by other market participants. NSE is more than a mere market facilitator. It's that force which is guiding the industry towards new horizons and greater opportunities.NSE PROMOTERS:
NSE has been promoted by leading financial institutions, bans, insurance companies and other financial intermediaries, Industrial Development Bank of India Limited
Industrial Finance Corporation of India Limited
Life Insurance Corporation of India
State Bank of India
ICICI Bank Limited
IL & FS Trust Company Limited
Stock Holding Corporation of India Limited
SBI Capital Markets Limited
Bank of Baroda
Canara Bank
General Insurance Corporation of India
National Insurance Company Limited
The New India Assurance Company Limited
The Oriental Insurance Company Limited
United India Insurance Company Limited
Punjab National Bank
Oriental Bank of Commerce
Indian Bank
Union Bank of India
Infrastructure Development Finance Company Limited
History of the National Stock Exchange of India:Capital market reforms in India and the launch of the Securities and Exchange Board of India (SEBI) accelerated the incorporation of the second Indian stock exchange called the National Stock Exchange (NSE) in 1992. After a few years of operations, the NSE has become the largest stock exchange in India.
Three segments of the NSE trading platform were established one after another. The Wholesale Debt Market (WDM) commenced operations in June 1994 and the Capital Market (CM) segment was opened at the end of 1994. Finally, the Futures and Options segment began operating in 2000. Today the NSE takes the 14th position in the top 40 futures exchanges in the world.
In 1996, the National Stock Exchange of India launched S&P CNX Nifty and CNX Junior Indices that make up 100 most liquid stocks in India. CNX Nifty is a diversified index of 50 stocks from 25 different economy sectors. The Indices are owned and managed by India Index Services and Products Ltd (IISL) that has a consulting and licensing agreement with Standard & Poors. In 1998, the National Stock Exchange of India launched its web-site and was the first exchange in India that started trading stock on the Internet in 2000. The NSE has also proved its leadership in the Indian financial market by gaining many awards such as 'Best IT Usage Award' by Computer Society in India (in 1996 and 1997) and CHIP Web Award by CHIP magazine (1999). November 1992Incorporation
April 1993Recognition as a stock exchange
May 1993Formulation of business plan
June 1994Wholesale Debt Market segment goes live
November 1994Capital Market (Equities) segment goes live
March 1995Establishment of Investor Grievance Cell
April 1995Establishment of NSCCL, the first Clearing Corporation
June 1995Introduction of centralized insurance cover for all trading members
July 1995Establishment of Investor Protection Fund
October 1995Became largest stock exchange in the country
April 1996Commencement of clearing and settlement by NSCCL
April 1996Launch of S&P CNX Nifty
June 1996Establishment of Settlement Guarantee Fund
November 1996Setting up of National Securities Depository Limited, first depository in India, co-promoted by NSE
November 1996Best IT Usage award by Computer Society of India
December 1996Commencement of trading/settlement in dematerialized securities
December 1996Dataquest award for Top IT User
December 1996Launch of CNX Nifty Junior
February 1997Regional clearing facility goes live
November 1997Best IT Usage award by Computer Society of India
May 1998Promotion of joint venture, India Index Services & Products Limited (IISL)
May 1998Launch of NSE's Web-site: www.nse.co.in
July 1998Launch of NSE's Certification Program in Financial Market
August 1998CYBER CORPORATE OF THE YEAR 1998 award
February 1999Launch of Automated Lending and Borrowing Mechanism
April 1999CHIP Web Award by CHIP magazine
October 1999Setting up of NSE.IT
January 2000Launch of NSE Research Initiative
February 2000Commencement of Internet Trading
June 2000Commencement of Derivatives Trading (Index Futures)
September 2000Launch of 'Zero Coupon Yield Curve'
November 2000Launch of Broker Plaza by Dotex International, a joint venture between NSE.IT Ltd. and i-flex Solutions Ltd.
December 2000Commencement of WAP trading
June 2001Commencement of trading in Index Options
July 2001Commencement of trading in Options on Individual Securities
November 2001Commencement of trading in Futures on Individual Securities
December 2001Launch of NSE VaR for Government Securities
January 2002Launch of Exchange Traded Funds (ETFs)
May 2002NSE wins the Wharton-Infosys Business Transformation Award in the Organization-wide Transformation category
October 2002Launch of NSE Government Securities Index
January 2003Commencement of trading in Retail Debt Market
June 2003Launch of Interest Rate Futures
August 2003Launch of Futures & options in CNXIT Index
June 2004Launch of STP Interoperability
August 2004Launch of NSEs electronic interface for listed companies
March 2005India Innovation Award by EMPI Business School, New Delhi
June 2005Launch of Futures & options in BANK Nifty Index
December 2006'Derivative Exchange of the Year', by Asia Risk magazine
January 2007Launch of NSE CNBC TV 18 media centre
March 2007NSE, CRISIL announce launch of IndiaBondWatch.com
June 2007NSE launches derivatives on Nifty Junior & CNX 100
October 2007NSE launches derivatives on Nifty Midcap 50
January 2008Introduction of Mini Nifty derivative contracts on 1st January 2008
March 2008Introduction of long term option contracts on S&P CNX Nifty Index
April 2008Launch of India VIX
April 2008Launch of Securities Lending & Borrowing Scheme
August 2008Launch of Currency Derivatives
CNX Nifty is a diversified index of 50 stocks from 25 different economy sectors. The Indices are owned and managed by India Index Services and Products Ltd (IISL) that has a consulting and licensing agreement with Standard & Poors. This index composing 50 companies stock of different sectors is considered to know the path of the economy.50 COMPANIES OF NIFTY INDEX AS OF JAN-2010
1. ACC2. RELIANCE COMM3. SIEMENS
4. BHARTHI5. RELIANCE INFRA6. CAIRN
7. BHEL8. SUNPHARMACEUTICAL9. SAIL
10. DLF11. SBI12. AXISBANK
13. GRASIM14. STERLITE15. RELCAP
16. HDFC17. TATAMOTORS18. HCL
19. HDFC BANK20. TATAPOWER21. UNITECH
22. HINDALCO23. TATASTEEL24. IDFC
25. HUL26. TCS27. SUZLON
28. ICICIBANK29. WIPRO30. JINDAL
31. INFOSYS32. ABB33. CIPLA
34. ITC35. AMBUJA36. RELIANCE
37. JAIPRAKASH38. PNB
39. L&T40. RANBAXY
41. MAHINDRA42. GAIL
43. MARUTHISUZUKI44. IDEA
45. ONGC46. POWERGRID
47. NTPC48. BPCL
49. HERO HONDA50. RPOWER
Bombay Stock Exchange:
Bombay Stock Exchange is the oldest stock exchange in Asia with a rich heritage, now spanning three centuries in its 133 years of existence. What is now popularly known as BSE was established as "The Native Share & Stock Brokers' Association" in 1875.
BSE is the first stock exchange in the country which obtained permanent recognition (in 1956) from the Government of India under the Securities Contracts (Regulation) Act 1956. BSE's pivotal and pre-eminent role in the development of the Indian capital market is widely recognized. It migrated from the open outcry system to an online screen-based order driven trading system in 1995. Earlier an Association Of Persons (AOP), BSE is now a corporatized and demutualised entity incorporated under the provisions of the Companies Act, 1956, pursuant to the BSE (Corporatization and Demutualization) Scheme, 2005 notified by the Securities and Exchange Board of India (SEBI). With demutualization, BSE has two of world's best exchanges, Deutsche Brse and Singapore Exchange, as its strategic partners.
Over the past 133 years, BSE has facilitated the growth of the Indian corporate sector by providing it with an efficient access to resources. There is perhaps no major corporate in India which has not sourced BSE's services in raising resources from the capital market.
Today, BSE is the world's number 1 exchange in terms of the number of listed companies and the world's 5th in transaction numbers. The market capitalization as on December 31, 2007 stood at USD 1.79 trillion. An investor can choose from more than 4,700 listed companies, which for easy reference, are classified into A, B, S, T and Z groups.The BSE Index, SENSEX, is India's first stock market index that enjoys an iconic stature, and is tracked worldwide. It is an index of 30 stocks representing 12 major sectors. 30 COMPANIES OF SENSEX AS OF JAN 2010
1. ACC2. MARUTHISUZUKI
3. BHARTHI4. ONGC
5. BHEL6. NTPC
7. DLF8. HERO HONDA
9. GRASIM10. RELIANCE
11. HDFC12. RELIANCE COMM
13. HDFC BANK14. RELIANCE INFRA
15. HINDALCO16. SUNPHARMACEUTICAL
17. HUL18. SBI
19. ICICIBANK20. STERLITE
21. INFOSYS22. TATAMOTORS
23. ITC24. TATAPOWER
25. JAIPRAKASH26. TATASTEEL
27. L&T28. TCS
29. MAHINDRA30. WIPRO
COMPANY PROFILENortheast Broking Services Limited (NEBSL)Northeast Broking Services Limited (NEBSL) is a stock broking company. It has been in the business of stock broking, dealing in shares and derivatives for the past 14years. It has got a chain of service centers operating from various locations in Andhra Pradesh and all over India.
Northeast Broking Services Ltd was founded in 1995, is one of the largest Investment companies based in Andhra Pradesh, with 75 Professionals, 150 support staff and extensive network in Andhra Pradesh, Gujarat, Karnataka, Kerala, Maharashtra, Tamilnadu and rapidly entering into all over India. Northeast is a premier broking, trading and clearing member of BSE CASH AND F&O, NSE CASH AND F&O, and HSE and as well as the two leading commodity exchanges in the country NCDEX and MCX. And it is also registered as a Depository Participant (DP) with NSDL and CDSL. With nearly 14 years in business, Northeast is known for its financial strength and stability, superior customer service, and continued operation excellence.
Mission Vision & Quality
NBSL aim is to provide its customer with a reliable, secure, fast and most importantly cost effective stock broking and Demat services to enable its customer to gain better returns on their investment. It wishes to work together with its customer to maximize their assets and secure their future.
Core Functions:Northeast offers its clients most competitive brokerage with wide choice of products and services.
Stock Broking:. Northeast offers trading in equities in NSE and BSE cash market segment. Northeast provides offline facilities like excellent trading atmosphere, individual terminal and instant execution and confirmation.
Derivatives Broking: Northeast provides facility to trade in futures and options in NSE F&O and BSE F&O market. Their efficient risk management takes adequate care and precaution in monitoring the margin positions of the clients.
Commodities Broking: customers can buy and sell commodities in both the leading MCX and NCDEX commodity exchanges through its subsidiary Northeast commodities private limited.
Mutual Funds: Northeast offers a wealth of mutual fund choices along with the competitive advice to help its customers invest wisely.
Depository Services: Northeast as a Depository participant of NSDL and CDSL offers effective Demat services at all times, with economic fee structure for Individuals, traders and sub brokers.
IPOs: Northeast enables customer to invest prudently in the prospective and lucrative public issues. Their research team would guide its customers to choose appropriate IPO that suit their objective.
Internet Trading: A new value added product from Northeast designed for Traders and Investors enabling to operate from any location, by using the state of art of internet trading by logging on to www.northeastltd.com.
Research and Advisory Service: Northeast has well qualified and experienced research team, who would constantly keep informing the Investors with wise investment decisions. The information would be provided free of cost to its clients, who can access the information using the user name and password that is given to them.
TURN OVER
Its turnover is around Rs 650 crore in India and in Madurai alone it is around 5 crore per day.
ABOUT THE PROJECT Stock market is the most complex area in investment business where prediction often misfires. This is because the number of variables that cause a price changes is too many. Knowing when to sell and when to buy a particular stock is one of the toughest parts of the investment management. Many researchers have worked on various theories and postulates to find when to buy and sell a stock to maximize the returns and avoid loss.
Analysis of behavior of stock market returns is important in financial economics. A lot of recent works has addressed the issue of the presence of long memory components in stock prices .Many economic and financial time series exhibit considerable persistence. The long term dependence property describes the higher order correlation structure of a time series. The question of whether or not financial markets are efficient is directly related to whether or not long-term dependence is present in returns.
Many of the studies on the behavior of the Indian stock market have proved that the stock market is weakly efficient and the time series of stock prices and stock indices are random walks. These studies have employed the autocorrelation assumes Gaussian or near-Gaussian properties in the underlying distribution. The autocorrelation function works out well in determining short-term dependence only. But it tends to underestimate long-run correlation for non-Gaussian series. On the other hand the Rescaled Range Analysis provides a non-parametric test method as it does not assume any underlying distribution.
Attempting to produce superior forecasts of key financial variables, finance literature has witnessed an extensive use of forecasting model, namely Auto- Regressive Integrated Moving Average model. ARIMA model, also known as Box-Jenkins model, is an extrapolation method for forecasting and like any other method; it requires only the historical time series data on the variable under forecasting. Stock market efficiency is an important concept in terms of understanding the working of the capital markets. In this project the researcher had tried to forecast the share price of the select companies from NSE and compare it with the actual performance.In this study the researcher had tried to investigate long memory present in the Indian stock market and creation of ARIMA models for forecasting stock prices of select companies. An ARIMA model is a way of describing how a time series variable is related to its own past values.
Mainly an ARIMA model is used to produce the best weighted-average forecasts for a time series. Hence the objective of the study is constructed to forecast the stock price of the select companies and to compare it with the actual value.REVIEW OF LITERATUREThe Indian capital market has been subject to considerably less empirical research than its counterpart in several other countries. The applicability of the random walk hypothesis to the Indian capital market has not been investigated as much as to the USA or UK stock markets, however a number of studies have been reported during the last three decades. Most of these studies have employed runs test and serial correlation tests to test the randomness of the stock prices. Some have used spectral analysis and filter rule test. Most of these studies have found that Indian stock prices a random walk. Simultaneously, some of them rejected the null hypothesis that stock prices changes are random.Sharma and Kennedy (1977) compared the behavior of stock indices of the Bombay, London, and Newyork stock exchanges during 1963 to 1973 using runs test and spectral analysis. Both runs tests and spectral analysis confirmed the random movement of stock indices for all the three stock exchanges. They concluded stocks of the BSE obey a random walk and are equivalent in this sense to the behavior of stock indices in the market of advanced industrialized countriesSharma (1983) used the integrated moving average technique to investigate the behavior of stock prices at the BSE. He studied a sample of 23 stocks over a period of six year from 1973 to 1978 and concluded that random walk model was appropriate to describe the stock price changes on the BSE.
Chowdhary also disputed the contention of random behavior of stock prices is studied 93 shares during the period of 1988 to 1990 using run test and serial correlation test and found 70 first order serial correlation coefficients were observed to be significantly differ from 0 at 1% level
Samal (1993) tested applicability of the random walk model to the newly listed stocks. He listed 40 stocks traded in BSE over the period 1988 to1990 employing serial correlation and runs test and concluded that the results indicated the non existence of dependence in stock prices.Sunil poshakwale(1996) has provided empirical evidence on week from of efficiency and the day of the week effect in Bombay Stock exchange over a period of 1987-1994. The results provide evidence of day of the week effect and that the stock market is not weak form efficient.
Gupta (1993) had used ARIMA method to study and forecast production in India. Again Ansari and Ahmed (2001) have applied ARIMA modeling to examine the behavior of the time series of world tea prices and the export prices of tea in the industrialized countries. Ruhul Amin and Razzaque (2001) have used ARIMA modeling for the analysis of potato prices. Using the constructed model they have made forecasts of wholesale potato prices for nine future points. OBJECTIVES:
To understand the performance of the select scrips in the year 2009.
To forecast the Stock Prices of select companies of NSE using Auto Regressive Integrated Moving Average (ARIMA) model for the first 57 trading days of the year 2010. To compare the actual share price with the forecasted share price of the select companies for a specific period of first 10 trading days of year 2010..RESEARCH METHODOLOGY
Research design:
Analytical Research
Method of data collection: Secondary data collected through NSE website.Type of sampling: Multi stage sampling.Sample size:
13 companies of NSETools used for analysis:
Auto Regressive Integrated Moving Average (ARIMA) using Systematic Package for Social Studies (SPSS)
Period of study:JAN 2009-DEC 2009Projection: Forecasting for first 57 trading days of year 2010 & comparison with actual share price for first 10 trading days of year 2010.Method of selection: In this study the 13 companies were selected from NSE. For this 50 companies of NIFTY index were selected and they were compared with the SENSEX 30 companies and the 30 companies which were common to both Sensex and Nifty were selected and they were divided in to 13 sectors by its industry type and one company from each sector is selected through lottery method and were considered for further analysisAlso the researcher was given the responsibility of calculating the data using the software for 300 trading days. As there were 243 trading days in 2009,the remaining 57 trading days in 2010 were used for projection ,since the researchers research period(field work) was over by 15th January 2010,the first 10 trading days were taken to compare the projected share pr ice with the actual. 13 COMPANIES SELECTED FOR THE STUDY1. ASSOCIATED CEMENT COMPANIES LIMITED- ACC 2. HINDUSTAN UNILEVER LIMITED- HUL
3. BHARTI AIRTEL LIMITED- AIRTEL.4. DELHI LAND AND FINANCE LIMITED-DLF
5. INFOSYS TECHNOLOGIES LIMITED-INFOSYS
6. LARSEN & TOUBRO LIMITED- L&T
7. NATIONAL THERMAL POWER CORPORATION LIMITED- NTPC
8. OIL AND NATURAL GAS CORPORATION LIMITED- ONGC
9. RELIANCE INDUSTRIES LIMITED- RELIANCE
10. STATE BANK OF INDIA LIMITED-SBI
11. SUNPHARMACEUTICAL INDUSTRIES LIMITED-SUNPHARMA12. TATA MOTORS LIMITED-TATA MOTORS
13. TATA STEEL LIMITED- TATA STEEL
CONCEPTS:Forecasting:
Forecasting is an estimate of an event which will happen in future by analyzing the known data with the help of scientific tools and techniques.
Time series:
Statistical data which are collected, observed or recorded at successive intervals of time are generally referred as time series. The time series facilitates to understand the past behavior and help to forecast the future.
ARIMA Model:
ARIMA Model building is an empirically driven methodology of systematically identifying, estimating, diagnosing, and forecasting time series. Most time series are non stationary, so that the characteristic of the underlying stochastic process change over time. These non stationary series can be transformed in to stationary series by differencing one or more time.
The various steps in ARIMA model building are:
1. Model Identification
2. Parameter Estimation
3. Model Diagnostics
4. Forecast verificationARIMA Notation: ARIMA (p, d, q)
The general ARIMA process is denoted by ARIMA (p, d, q) where p denotes the order of Auto Regression, d denotes the order of integration (differencing), and q denotes the order of moving average.
AKAKIE AND SCHWARZ BAYESIAN CRITERIA:
Schwarz (1978) developed the Bayesian information criterion (SBC OR BIC) and Akaike (1974) developed the information criterion (AIC), for selecting models that trade off model complexity and the error is fitting so as to achieve the most accurate out-of sample forecasts. They suggest selecting models that have the lowest AIC or BIC respectively.
AIC=n Log (SSE) +2K
Where k=number of parameters that are fitted in the model and log is natural logarithm.
Schwarz proposed the following criteria
SBC= n Log (SSE) +K Log (n)
^ ^
If Yi is the actual value and Yi is the fitted or forecasted value, the error is given by ei=Yi-Yi
Autocorrelation Factor (AC F):
Autocorrelation is one of the statistical tools used for measuring the dependence of successive terms in a given time series. Hence it has been widely used to measure dependence in successive share price changes. If the successive terms in a series of share price are nonrandom, there will be some dependence between the terms. Autocorrelation coefficient provides a measure of the relationship between the random variable at a time t (xt) and its value k periods earlier ( xt-k ). This indicates whether price changes at time t are influenced by price changes occurring k periods earlier.Partial Autocorrelation Factor (PACF):
PACF (K) measures the correlations between Yt and Yt-k, where all the influences of other lags have been removed
Sum of Squared Error SSE=iResidual Standard Error RSE=i/ (n-1)
_
Residual variance y=(Yi-Y)2/n-k
To select the model the ACF and PACF or the AIC or SBC value can be used .As the determination of model by the spikes of the Figureure lack accuracy it is more accurate and perfect to select the model based on numbers (AIC & SBC), So in this study AIC & SBC values are used to select model for ARIMA.SCOPE AND LIMITATION
SCOPE
This study helps to understand the future trend of the stock price of the select companies and it helps the researcher to know better about the capital market and the functions of broking firms and also the study is done only with 13 select companies of NSE.
LIMITATION:
This study is done only with the data of past one year (2009) stock price of the select companies and no other economic indicators that influence share price were taken for consideration. Figure-1ACC LIMITED STOCK PRICE (DAILY CLOSING)-2009
YEAR HIGH- Rs 924.95YEAR LOW -Rs 474.5YEAR AVERAGE-Rs 713.78 SHAPE \* MERGEFORMAT
Table-3.1
AIC AND SBC VALUES OF VARIOUS MODELS (P,D,Q) FOR ACC LIMITED D value as 1 for all models
P/Q012
0AIC=2120.5331
SBC=2124.0221AIC=2122.503
SBC=2129.4808AIC=2123.9985
SBC=2134.4365
1AIC =2122.5064
SBC=2129.4808AIC=2124.4297
SBC=2134.8965AIC=2124.4448
SBC=2138.4005
2AIC=2123.9697
SBC=2134.4365AIC=2124.4601
SBC=2138.4159AIC=2124.3414
SBC=2141.7861
Best Fitting Model for ACC LIMITED: Since AIC and SBC values are smaller for the model ( 0,1,0 ) ,it is selected as the best fitting model. The error plot in Figure 3 also exhibits white noise and the lower residual variance also confirms ARIMA (0,1,0) is the best fitting model for ACC LIMITED.
RESULTS OF ARIMA (0,1,0) MODEL FOR ACC LIMITEDFINAL PARAMETERS:
Number of residuals 242
Standard error 19.303032
Log likelihood -1059.2666
AIC 2120.5331
SBC 2124.0221
Analysis of Variance:
DF Adj. Sum of Squares Residual Variance
Residuals 241 89798.297 372.60704
Variables in the Model:
B SEB T-RATIO APPROX. PROB.
DATE 1.5586777 1.2408459 1.2561412 .21028109
Figure-3
Error plot for ARIMA (0,1,0)
FORECASTING OF SHARE PRICE OF ACC LIMITED FOR FIRST 57 TRADING DAYS AND ITS COMPARISION WITH ACTUAL SHARE PRICE FOR FIRST 10 DAYS OF YEAR-2010DAYSFORECASTACTUALDAYSFORECAST
1874.0087913.630919.2103
2875.5674901.7531920.769
3877.126907.632922.3277
4878.6847913.3533923.8864
5880.2434912.1534925.445
6881.8021915.1535927.0037
7883.3607898.0536928.5624
8884.9194946.2537930.1211
9886.4781955.138931.6798
10888.0368980.839933.2384
11889.595540934.7971
12891.154141936.3558
13892.712842937.9145
14894.271543939.4731
15895.830244941.0318
16897.388845942.5905
17898.947546944.1492
18900.506247945.7079
19902.064948947.2665
20903.623649948.8252
21905.182250950.3839
22906.740951951.9426
23908.299652953.5012
24909.858353955.0599
25911.416954956.6186
26912.975655958.1773
27914.534356959.736
28916.09357961.2946
29917.6517
FIGURE-4COMPARISION OF ACTUAL AND FORECASTED SHARE PRICE FOR ACC LIMITED
INTERPRETATION:
From the forecasted value it is found that the share price of ACC LIMITED expected to follow an uptrend for the first 57 trading days of the year 2010.
From the Figure 4, it is found that the actual share price of ACC LIMITED exhibits an uptrend for the first 10 trading days of the year 2010.FIGURE-5HINDUSTAN UNILEVER LIMITED STOCK PRICE (DAILY CLOSING)-2009
YEAR HIGH- Rs 299.65YEAR LOW- Rs 216.25YEAR AVERAGE- Rs 258.55
FIGURE-6
Table-3.2
AIC AND SBC VALUES OF VARIOUS ARIMA MODELS (P,D,Q) FOR HUL LIMITED D value as 1 for all models
P/Q012
0AIC=1481.4229
SBC=1484.9118AIC=1482.6815
SBC=1489.6594AIC=1482.7908
SBC=1493.2577
1AIC =1482.81
SBC=1489.7879AIC=1479.3298
SBC=1489.7966AIC=1482.8683
SBC=1496.824
2A.IC=1482.9678
SBC=1493.4346AIC=1482.9872
SBC=1496.943AIC=1484.7738
SBC=1502.2385
Best Fitting Model for HUL LIMITED:
Since AIC and SBC values are smaller for the model ( 1,1,1 ) ,it is selected as the best fitting model. The error plot in Figure 7 also exhibits white noise and the lower residual variance also confirms ARIMA (1, 1, 1) is the best fitting model for HUL LIMITED.
RESULTS OF ARIMA (1,1,1) MODEL FOR HUL LIMITEDFINAL PARAMETERS:
Number of residuals 242
Standard error 5.0907197
Log likelihood -736.66489
AIC 1479.3298
SBC 1489.7966
Analysis of Variance:
DF Adj. Sum of Squares Residual Variance
Residuals 239 6242.8359 25.915427
Variables in the Model:
B SEB T-RATIO APPROX. PROB.
AR1 .93446285 .03466768 26.95486 .00000000
MA1 .99862511 .14599844 6.839971 .00000000
DATE .13111825 .06055818 2.165162 .03136533
FIGURE-7Error plot for ARIMA (1,1,1) for HUL LIMITED
FORECASTING OF SHARE PRICE OF HUL LIMITED FOR FIRST 57 TRADING DAYS AND ITS COMPARISION WITH ACTUAL SHARE PRICE FOR FIRST 10 DAYS OF YEAR-2010
DAYSFORECASTACTUAL DAYSFORECAST
1265.55636264.730277.0252
2266.27174263.8531277.2381
3266.94883265.3532277.4457
4267.59014264.833277.6483
5268.19801265.9534277.8462
6268.77463266.135278.0397
7269.32206262.1536278.2291
8269.84221262.537278.4147
9270.33686256.0538278.5968
10270.80768256.439278.7754
11271.2562540278.951
12271.68441279.1237
13272.0923242279.2936
14272.4824743279.461
15272.8556444279.626
16273.2129545279.7888
17273.5554446279.9496
18273.8840747280.1083
19274.1997648280.2653
20274.5033549280.4206
21274.7956450280.5743
22275.0773751280.7265
23275.3492252280.8773
24275.6118653281.0269
25275.8658754281.1752
26276.1118355281.3224
27276.3502656281.4685
28276.5816657281.6137
29276.80649
FIGURE -8
COMPARISION OF ACTUAL AND FORECASTED SHARE PRICE FOR HUL LIMITED
INTERPRETATION:
From the forecasted value it is found that the share price of HINDUTAN UNILEVER LIMITED is expected to follow an uptrend for the first 57 trading days of the year 2010.
From the Figure 8, it is found that the actual share price of HINDUSTAN UNILEVER LIMITED exhibits a downtrend for the first 10 trading days of the year 2010.FIGURE-9BHARTI AIRTEL LIMITED SHARE PRICE (DAILY CLOSING)-2009
YEAR HIGH- Rs 1003.2YEAR LOW- Rs 275.25YEAR AVERAGE-Rs 556.05 FIGURE-10
Table -3.3
AIC AND SBC VALUES OF VARIOUS ARIMA MODELS (P,D,Q) FOR BHARTI AIRTEL LIMITEDD value as 1 for all models
P/Q012
0AIC=2383.6784
SBC=2387.1673AIC=2385.4301
SBC=2392.4159AIC=2385.5591
SBC=2396.6259
1AIC =2385.4829
SBC=2392.4668AIC=2385.9862
SBC=2396.4530AIC=2387.5260
SBC=2401.4817
2A.IC=2385.4072
SBC=2395.8740AIC=2387.3180
SBC=2401.2738AIC=2387.3259
SBC=2404.7706
Best Fitting Model for BHARTI AIRTEL LIMITED: Since AIC and SBC values are smaller for the model ( 0,1,0 ) ,it is selected as the best fitting model. The error plot in Figure 11 also exhibits white noise and the lower residual variance also confirms ARIMA (0,1,0) is the best fitting model for BHARTI AIRTEL LIMITED.
RESULTS OF ARIMA (0,1,0) MODEL FOR BHARTI AIRTEL LIMITED
FINAL PARAMETERS:
Number of residuals 242
Standard error 33.246542
Log likelihood -1190.8392
AIC 2383.6784
SBC 2387.1673
Analysis of Variance:
DF Adj. Sum of Squares Residual Variance
Residuals 241 266385.14 1105.3325
Variables in the Model:
B SEB T-RATIO APPROX. PROB.
DATE -1.6123967 2.1371687 -.75445459 .4513128
Figure-11Error plot for ARIMA (0,1,0) for BHARTI AIRTEL LIMITED
FORECASTING OF SHARE PRICE OF BHARTI AIRTEL LIMITED FOR FIRST 57 TRADING DAYS AND ITS COMPARISION WITH ACTUAL SHARE PRICE FOR FIRST 10 DAYS OF YEAR-2010
DAYSFORECASTAC TUADAYSFORECAST
1328.1376325.230281.3781
2326.5252330.3531279.7657
3324.9128326.8532278.1533
4323.3004329.433276.5409
5321.688325.0534274.9285
6320.0756328.9535273.3161
7318.4632322.2536271.7037
8316.8508318.437270.0913
9315.2384318.0538268.4789
10313.626317.439266.8665
11312.013640265.2541
12310.401241263.6417
13308.788842262.0293
14307.176543260.4169
15305.564144258.8046
16303.951745257.1922
17302.339346255.5798
18300.726947253.9674
19299.114548252.355
20297.502149250.7426
21295.889750249.1302
22294.277351247.5178
23292.664952245.9054
24291.052553244.293
25289.440154242.6806
26287.827755241.0682
27286.215356239.4558
28284.602957237.8434
29282.9905
FIGURE-12COMPARISION OF ACTUAL AND FORECASTED SHARE PRICE OF BHARTI AIRTEL LIMITED
INTERPRETATION:
From the forecasted value it is found that the share price of BHARTI AIRTEL LIMITED is expected to follow a down trend for the first 57 trading days of the year 2010. From the Figure 12, it is found that the actual share price of BHARTI AIRTEL LIMITED exhibits an downtrend for the first 10 trading days of the year 2010
FIGURE-13DLF LIMITED SHARE PRICE (DAILY CLOSING)-2009
YEAR HIGH- Rs 471.95YEAR LOW- Rs 132.85YEAR AVERAGE-Rs 313.50FIGURE-14
Table 3.4
AIC AND SBC VALUES OF VARIOUS ARIMA MODELS (P,D,Q) FOR DLF LIMITED.
D value as 1 for all models
P/Q012
0AIC=1973.4919
SBC=1976.9808AIC=1973.4197
SBC=1980.3975AIC=1974.9475
SBC=1985.4143
1AIC =1973.2658
SBC=1980.2436AIC=1975.1726
SBC=1985.6399AIC=1976.7531
SBC=1990.7088
2AIC=1975.0697
SBC=1985.5365AIC=1976.9123
SBC=1990.8681AIC=1978.6446
SBC=1996.0893
Best Fitting Model for DLF LIMITED: Since AIC and SBC values are smaller for the model ( 1,1,0 ) ,it is selected as the best fitting model. The error plot in Figure 15 also exhibits white noise and the lower residual variance also confirms ARIMA (1,1,0) is the best fitting model for DLF LIMITED.
RESULTS OF ARIMA (1,1,0) MODEL FOR DLF LI MITEDFINAL PARAMETERS:
Number of residuals 242
Standard error 14.209429
Log likelihood -984.63288
AIC 1973.2658
SBC 1980.2436
Analysis of Variance: DF Adj. Sum of Squares Residual Variance
Residuals 240 48459.734 201.90788
Variables in the Model:
B SEB T-RATIO APPROX. PROB.
AR1 .09571749 .0642650 1.4894177 .13769032
DATE .28858994 1.0096595 2858290 .77525567
Figure-15Error plot for ARIMA (1,1,0) for DLF LIMITED
FORECASTING OF SHARE PRICE OF DLF LIMITED FOR FIRST 57 TRADING DAYS AND ITS COMPARISION WITH ACTUAL SHARE PRICE FOR FIRST 10 DAYS OF YEAR-2010
DAYSFORECASTACTUAL DAYSFORECAST
1361.02545364.630369.34554
2361.26971369.4531369.63413
3361.55406378.5532369.92272
4361.84224374.533370.21131
5362.13079389.934370.4999
6362.41938399.4535370.78849
7362.70797383.9536371.07708
8362.99656387.8537371.36567
9363.28515383.338371.65426
10363.57374386.339371.94285
11363.8623340372.23144
12364.1509241372.52003
13364.4395142372.80862
14364.728143373.09721
15365.0166944373.3858
16365.3052845373.67439
17365.5938746373.96298
18365.8824647374.25157
19366.1710548374.54016
20366.4596449374.82875
21366.7482350375.11734
22367.0368251375.40593
23367.3254152375.69452
24367.61453375.98311
25367.9025954376.2717
26368.1911855376.56029
27368.4797756376.84888
28368.7683657377.13747
29369.05695
FIGURE-16COMPARISION OF ACTUAL AND FORECASTED SHARE PRICE OF DLF LIMITED
INTERPRETATION:
From the forecasted value it is found that the share price of DLF is expected to follow an uptrend for the first 57 trading days of the year 2010.
From the Figure 16, it is found that the actual share price of DLF exhibits an uptrend for the first 10 trading days of the year 2010.
FIGURE 17INFOSYS TECHNOLOGIES LIMITED STOCK PRICE
(DAILY CLOSING)-2009
YEAR HIGH- Rs 2601.10YEAR LOW- Rs 1132.10YEAR AVERAGE-Rs 1822.25FIGURE 18
Table 3.5
AIC AND SBC VALUES OF VARIOUS ARIMA MODELS (P,D,Q) FOR INFOSYS TECHNOLOGIES LIMITED D value as 1 for all models
P/Q012
0AIC=2480.7629
SBC=2484.2518AIC=2482.1847
SBC=2489.1626AIC=2477.4867
SBC=2487.9535
1AIC =2482.3784
SBC=2482.3563AIC=2473.9091
SBC=2484.3759AIC=2476.7884
SBC=2490.7442
2AIC=2478.0835
SBC=2488.5504AIC=2476.9277
SBC=2490.8835AIC=2480.5774
SBC=2498.0221
Best Fitting Model for INFOSYS:
Since AIC and SBC values are smaller for the model ( 1,1,1 ) ,it is selected as the best fitting model. The error plot in Figure 19 also exhibits white noise and the lower residual variance also confirms ARIMA (1,1,1) is the best fitting model for INFOSYS TECHNOLOGIES LIMITEDRESULTS OF ARIMA (1,1,1) MODEL FOR INFOSYS TECHNOLOGIES LIMITEDFINAL PARAMETERS:
Number of residuals 242
Standard error 39.69026
Log likelihood -1233.9546
AIC 2473.9091
SBC 2484.3759
Analysis of Variance:
DF Adj. Sum of Squares Residual Variance
Residuals 239 380419.59 1575.3167
Variables in the Model:
B SEB T-RATIO APPROX. PROB.
AR1 .8998507 .03802112 23.667129 .00000000
MA1 .9995111 .36240431 2.758000 .00626513
DATE 6.1849191 .32589193 18.978436 .00000000
Figure 19Error plot for ARIMA (1,1,1) for INFOSYS TECHNOLOGIES LIMITED
FORECASTING OF SHARE PRICE OF INFOSYS TECHNOLOGIES LIMITED FOR FIRST 57 TRADING DAYS AND ITS COMPARISION WITH ACTUAL SHARE PRICE FOR FIRST 10 DAYS OF YEAR-2010
DAYSFORECASTACTUALDAYSFORECASTDAYSFORECAST
12604.5952,612.60272742.789532902.142
22608.3592,621.35282748.818542908.317
32612.3662,583.10292754.863552914.493
42616.5912,525.05302760.922562920.669
52621.0122,464.20312766.993572926.847
62625.612,489.65322773.076
72630.3672,586.95332779.169
82635.2672,683.50342785.271
92640.2962,689.75352791.382
102645.442,675.80362797.5
112650.688372803.624
122656.031382809.755
132661.457392815.891
142666.96402822.032
152672.531412828.178
162678.164422834.327
172683.851432840.48
182689.589442846.636
192695.371452852.795
202701.194462858.957
212707.053472865.121
222712.945482871.287
232718.866492877.455
242724.813502883.624
252730.784512889.795
262736.777522895.968
FIGURE 20COMPARISION OF ACTUAL AND FORECASTED SHARE PRICE OF INFOSYS TECHNOLOGIES LIMITED
INTERPRETATION:
From the forecasted value it is found that the share price of INFOSYS TECHNOLOGIES LIMITED is expected to follow an uptrend for the first 57 trading days of the year 2010. From the Figure 20, it is found that the actual share price of INFOSYS TECHNOLOGIES LIMITED exhibits an uptrend for the first 10 trading days of the year 2010
FIGURE 21L&T LIMITED SHARE PRICE (DAILY CLOSING)-2009
YEAR HIGH- Rs 1699.95YEAR LOW- Rs 562.05YEAR AVERAGE-Rs 1262.826 FIGURE 22
Table 3.6
AIC AND SBC VALUES OF VARIOUS ARIMA MODELS (P,D,Q) FOR L&T LIMITED. D value as 1 for all models
P/Q01 2
0AIC=2433.4843
SBC=2436.9733AIC=2434.3066
SBC=2441.2845AIC=2435.7494
SBC=2446.2163
1AIC =2434.3066
SBC=2441.2845AIC=2435.9802
SBC=2446.4470AIC=2437.4359
SBC=2451.3916
2AIC=2435.6244
SBC=2446.0912AIC=2437.4560
SBC=2451.4117AIC=2435.8430
SBC=2453.2877
Best Fitting Model for L&T LIMITED:
Since AIC and SBC values are smaller for the model ( 0,1,0 ) ,it is selected as the best fitting model. The error plot in Figure 23 also exhibits white noise and the lower residual variance also confirms ARIMA (0,1,0) is the best fitting model for L&T..
RESULTS OF ARIMA (0,1,0) MODEL FOR L&T LIMITEDFINAL PARAMETERS:
Number of residuals 242
Standard error 36.849999
Log likelihood -1215.7422
AIC 2433.4843
SBC 2436.9733
Analysis of Variance:
DF Adj. Sum of Squares Residual Variance
Residuals 241 327259.31 1357.9224
Variables in the Model:
B SEB T-RATIO APPROX. PROB.
DATE 3.5365702 2.3688077 1.4929748 .13675174
Figure 23Error plot for ARIMA (0,1,0) for LARSEN &TOUBRO LIMITED
FORECASTING OF SHARE PRICE OF LARSEN & TOUBRO LIMITED FOR FIRST 57 TRADING DAYS AND ITS COMPARISION WITH ACTUAL SHARE PRICE FOR FIRST 10 DAYS OF YEAR-2010
DAYSFORECASTACTUALDAYSFORECASTDAYSFORECAST
11681.1371,691.40271773.087531865.038
21684.6731,694.40281776.624541868.575
31688.211,675.65291780.161551872.111
41691.7461,667.60301783.697561875.648
51695.2831,678.15311787.234571879.185
61698.8191,677.30321790.77
71702.3561,679.25331794.307
81705.8931,673.20341797.843
91709.4291,668.40351801.38
101712.9661,651.20361804.917
111716.502371808.453
121720.039381811.99
131723.575391815.526
141727.112401819.063
151730.649411822.599
161734.185421826.136
171737.722431829.673
181741.258441833.209
191744.795451836.746
201748.331461840.282
211751.868471843.819
221755.405481847.355
231758.941491850.892
241762.478501854.429
251766.014511857.965
261769.551521861.502
FIGURE 24COMPARISION OF ACTUAL AND FORECASTED SHARE PRICE FOR L&T LIMITED
INTERPRETATION:
From the forecasted value it is found that the share price of LARSEN & TOUBRO LIMITED is expected to follow an uptrend for the first 57 trading days of the year 2010. From the Figure 24, it is found that the actual share price of LARSEN &TOUBRO LIMITED exhibits a downtrend for the first 10 trading days of the year 2010.FIGURE 25NTPC STOCK PRICE (DAILY CLOSING) -2009
YEAR HIGH- Rs 235.65YEAR LOW- Rs 166.7YEAR AVERAGE-Rs 260.31 FIGURE 26
Table 3.7
AIC AND SBC VALUES OF VARIOUS ARIMA MODELS (P,D,Q) FOR NTPC LIMITED D value as 1 for all models
P/Q012
0AIC=1364..0507
SBC=1367.5396AIC=1366.0568
SBC=1373.0347AIC=1367.9933
SBC=1378.4601
1AIC =1366.0568
SBC=1373.0347AIC=1389.5343
SBC=1370.0011AIC=1364.0451
SBC=1378.0009
2AIC=1368.0048
SBC=1378.4716AIC=1361.0065
SBC=1374.9622AIC=1368.9905
SBC=1386.4352
Best Fitting Model for NTPC LIMITED:
Since AIC and SBC values are smaller for the model ( 1,1,1 ) ,it is selected as the best fitting model. The error plot in Figure 27 also exhibits white noise and the lower residual variance also confirms ARIMA (1,1,1) is the best fitting model for NTPC LIMITED.RESULTS OF ARIMA (1,1,1) MODEL FOR NTPC LIMITEDFINAL PARAMETERS:
Number of residuals 242
Standard error 3.9797541
Log likelihood -676.76715
AIC 1359.5343
SBC 1370.0011
Analysis of Variance:
DF Adj. Sum of Squares Residual Variance
Residuals 239 3805.3059 15.838443
Variables in the Model:
B SEB T-RATIO APPROX. PROB.
AR1 .90822827 .04077841 22.272281 .00000000
MA1 .99227894 .03427577 28.949866 .00000000
DATE .18647810 .04176021 4.465450 .00001233
Figure 27 Error plot for ARIMA (1,1,1) for NTPC LIMITED
FORECASTING OF SHARE PRICE OF NTPC LIMITED FOR FIRST 57 TRADING DAYS AND ITS COMPARISION WITH ACTUAL SHARE PRICE FOR FIRST 10 DAYS OF YEAR-2010
DAYSFORECASTACTUALDAYSFORECASTDAYSFORECAST
1234.7111231.8527229.333853233.3451
2233.8755229.328229.436654233.5247
3233.1336228.229229.547155233.705
4232.477228.2530229.664556233.8858
5231.8977231.131229.788357234.0672
6231.3888232.9532229.9179
7230.9436229.433230.0526
8230.5564229.434230.1922
9230.221923135230.336
10229.9351232.2536230.4837
11229.691837230.635
12229.487938230.7895
13229.319939230.947
14229.184440231.1071
15229.078441231.2697
16228.999342231.4344
17228.944643231.6011
18228.91244231.7697
19228.899545231.9399
20228.905246232.1115
21228.927647232.2846
22228.96548232.4589
23229.016149232.6343
24229.079650232.8107
25229.154451232.988
26229.239452233.1662
FIGURE 28COMPARISION OF ACTUAL AND FORECASTED SHARE PRICE FOR NTPC LIMITED
INTERPRETATION: From the forecasted value it is found that the share price of NTPC LIMITED is expected to volatile between 228 & 234 for the first 57 trading days of the year 2010. From the Figure 28, it is found that the actual share price of NTPC LIMITED exhibits volatility for the first 10 trading days of the year 2010. FIGURE 29 ONGC STOCK PRICE (DAILY CLOSING)-2009
YEAR HIGH- Rs 1262.05YEAR LOW- Rs 621.15YEAR AVERAGE-Rs 1001.249 FIGURE 30
Table 3.8
AIC AND SBC VALUES OF VARIOUS ARIMA MODELS (P,D,Q) FOR ONGC LIMITED D value as 1 for all models
P/Q012
0AIC=2250.3627
SBC=2253.8516AIC=2252.0862
SBC=2259.0641AIC=2253.4499
SBC=2263.9168
1AIC =2252.1146
SBC=2259.0925AIC=2252.3204
SBC=2262.7873AIC=2253.7633
SBC=2267.7190
2AIC=2253.4650
SBC=2263.9318AIC=2253.7690
SBC=2267.7247AIC=2255.4509
SBC=2272.8956
Best Fitting Model for ONGC LIMITED:
Since AIC and SBC values are smaller for the model ( 0,1,0 ) ,it is selected as the best fitting model. The error plot in Figure 31 also exhibits white noise and the lower residual variance also confirms ARIMA (0,1,0) is the best fitting model for ONGC.
RESULTS OF ARIMA (0,1,0) MODEL FOR ONGC LIMITEDFINAL PARAMETERS:
Number of residuals 242
Standard error 25.241894
Log likelihood -1124.1813
AIC 2250.3627
SBC 2253.8516
Analysis of Variance:
DF Adj. Sum of Squares Residual Variance
Residuals 241 153553.92 637.15320
Variables in the Model:
B SEB T-RATIO APPROX. PROB.
DATE 2.0380165 1.6226104 1.2560110 .21032822
Figure 31Error plot for ARIMA (0,1,0) for ONGC LIMITED
FORECASTING OF SHARE PRICE OF ONGC LIMITED FOR FIRST 57 TRADING DAYS AND ITS COMPARISION WITH ACTUAL SHARE PRICE FOR FIRST 10 DAYS OF YEAR-2010DAYSFORECASTACTUALDAYSFORECASTDAYSFORECAST
11180.0381,187.45281235.064551290.091
21182.0761,208.25291237.102561292.129
31184.1141,223.50301239.141571294.167
41186.1521,224.80311241.179
51188.191,215.70321243.217
61190.2281,216.50331245.255
71192.2661,190.95341247.293
81194.3041,195.30351249.331
91196.3421,231.75361251.369
101198.381,209.80371253.407
111200.418381255.445
121202.456391257.483
131204.494401259.521
141206.532411261.559
151208.57421263.597
161210.608431265.635
171212.646441267.673
181214.684451269.711
191216.722461271.749
201218.76471273.787
211220.798481275.825
221222.836491277.863
231224.874501279.901
241226.912511281.939
251228.95521283.977
261230.988531286.015
271233.026541288.053
FIGURE 32COMPARISION OF ACTUAL AND FORECASTED SHARE PRICE FOR ONGC LIMITED
INTERPRETATION:
From the forecasted value it is found that the share price of ONGC LIMITED is expected to follow an uptrend for the first 57 trading days of the year 2010. From the Figure 32, it is found that the actual share price of ONGC LIMITED exhibits an uptrend for the first 10 trading days of the year 2010.FIGURE 33 RELIANCE INDUSTRIES LIMITED STOCK PRICE (DAILY CLOSING)-2009
YEAR HIGH- Rs 2367.55YEAR LOW- Rs 1007.65YEAR AVERAGE- Rs 1749.40FIGURE 34
Table 3.9
AIC AND SBC VALUES OF VARIOUS ARIMA MODELS (P,D,Q) FOR RELIANCE INDUSTRIES LIMITED D value as 1 for all models
P/Q012
0AIC=2871.4772
SBC=2874.9661AIC=2873.4741
SBC=2880.4520AIC=2875.4068
SBC=2885.8736
1AIC =2873.4744
SBC=2880.4523AIC=2875.3309
SBC=2885.7977AIC=2876.6797
SBC=2890.6355
2AIC=2875.4046
SBC=2885.8714AIC=2876.6487
SBC=2890.6044AIC=2876.1888
SBC=2893.6334
Best Fitting Model for RELIANCE INDUSTRIES LIMITED:
Since AIC and SBC values are smaller for the model ( 0,1,0 ) ,it is selected as the best fitting model. The error plot in Figure 35 also exhibits white noise and the lower residual variance also confirms ARIMA (0,1,0) is the best fitting model for RELIANCE INDUSTRIES LIMITED.
RESULTS OF ARIMA MODEL (0,1,0) FOR RELIANCE INDUSTRIES LIMITEDFINAL PARAMETERS:
Number of residuals 242
Standard error 91.085576
Log likelihood -1434.7386
AIC 2871.4772
SBC 2874.9661
Analysis of Variance:
DF Adj. Sum of Squares Residual Variance
Residuals 241 1999476.3 8296.5821
Variables in the Model:
B SEB T-RATIO APPROX. PROB.
DATE -.67809917 5.8552026 -.11581139 .90789846
Figure 35Error plot for ARIMA (0,1,0) for RELIANCE INDUSTRIES LIMITED
FORECASTING OF SHARE PRICE OF RELIANCE INDUUSTRIES LIMITED FOR FIRST 57 TRADING DAYS AND ITS COMPARISION WITH ACTUAL SHARE PRICE FOR FIRST 10 DAYS OF YEAR-2010DAYSFORECASTACTUALDAYSFORECASTDAYS FORECAST
11089.87191,075.50281071.5632551053.2546
21089.19381,070.70291070.8851561052.5765
31088.51571,088.00301070.207571051.8984
41087.83761,106.05311069.5289
51087.15951,103.15321068.8508
61086.48141,081.50331068.1727
71085.80331,084.35341067.4946
81085.12521,088.60351066.8165
91084.44711,121.70361066.1384
101083.7691,110.75371065.4603
111083.0909381064.7822
121082.4128391064.1041
131081.7347401063.426
141081.0566411062.7479
151080.3785421062.0698
161079.7004431061.3917
171079.0223441060.7136
181078.3442451060.0355
191077.6661461059.3574
201076.988471058.6793
211076.3099481058.0012
221075.6318491057.3231
231074.9537501056.645
241074.2756511055.9669
251073.5975521055.2888
261072.9194531054.6107
271072.2413541053.9326
FIGURE 36COMPARISION OF ACTUAL AND FORECASTED SHARE PRICE OF RELIANCE INDUSTRIES LIMITED
INTERPRETATION: From the forecasted value it is found that the share price of RELIANCE INDUSTRIES LIMITED is expected to follow a downtrend for the first 57 trading days of the year 2010. From the Figure 36, it is found that the actual share price of RELIANCE INDUSTRIES LIMITED exhibits an uptrend for the first 10 trading days of the year 2010. FIGURE 37 SBI STOCK PRICE (DAILY CLOSING)-2009
YEAR HIGH- Rs 2470.55YEAR LOW- Rs 895.30YEAR AVERAGE- Rs 1675.25FIGURE 38
Table 3.10
AIC AND SBC VALUES OF VARIOUS ARIMA MODELS (P,D,Q) FOR STATE BANK OF INDIA
D value as 1 for all models
P/Q012
0AIC=2570.2834
SBC=2573.7724AIC=2567.4460
SBC=2574.4239AIC=2569.2826
SBC=2579.7494
1AIC =2567.2970
SBC=2574.2749AIC=2569.3651
SBC=2579.7719AIC=2572.2216
SBC=2584.3641
2AIC=2569.3045
SBC=2579.7714AIC=2571.2544
SBC=2585.2102AIC=2570.5016
SBC=2587.9463
Best Fitting Model for STATE BANK OF INDIA:
Since AIC and SBC values are smaller for the model ( 1,1,0 ) ,it is selected as the best fitting model. The error plot in Figure 39 also exhibits white noise and the lower residual variance also confirms ARIMA (1,1,0) is the best fitting model for STATE BANK OF INDIA.
RESULTS OF ARIMA (1,1,0) FOR STATE BANK OF INDIA
FINAL PARAMETERS:Number of residuals 242
Standard error 48.483316
Log likelihood -1281.6485
AIC 2567.297
SBC 2574.2749
Analysis of Variance:
DF Adj. Sum of Squares Residual Variance
Residuals 240 564199.71 2350.6319
Variables in the Model:
B SEB T-RATIO APPROX. PROB.
AR1 .1428199 .0639744 2.2324549 .02650814
DAYS 3.9727882 3.6334045 1.0934065 .27531159
Figure 39Error plot for ARIMA (1,1,0) for SBI
FORECASTING OF SHARE PRICE OF SBI FOR FIRST 57 TRADING DAYS AND ITS COMPARISION WITH ACTUAL SHARE PRICE FOR FIRST 10 TRADING DAYS OF YEAR-2010DAYSFORECASTACTUALDAYSFORECASTDAYSFORECAST
12278.7892,291.20282387.024552494.289
22283.5932,292.05292390.997562498.262
32287.6842,305.80302394.969572502.235
42291.6742,292.90312398.942
52295.6492,286.05322402.915
62299.6222,267.20332406.888
72303.5952,203.20342410.861
82307.5682,175.90352414.833
92311.5412,157.35362418.806
102315.5142,143.35372422.779
112319.486382426.752
122323.459392430.725
132327.432402434.697
142331.405412438.67
152335.378422442.643
162339.35432446.616
172343.323442450.588
182347.296452454.561
192351.269462458.534
202355.242472462.507
212359.214482466.48
222363.187492470.452
232367.16502474.425
242371.133512478.398
252375.106522482.371
262379.078532486.344
272383.051542490.316
FIGURE 40COMPARISION OF ACTUAL AND FORECASTED SHARE PRICE OF SBI
INTERPRETATION:
From the forecasted value it is found that the share price of STATE BANK OF INDIA is expected to follow an uptrend for the first 57 trading days of the year 2010. From the Figure 40, it is found that the actual share price of STATE BANK OF INDIA exhibits a downtrend for the first 10 trading days of the year 2010.FIGURE 41SUN PHARMACEUTICAL LIMITED STOCK PRICE(DAILY CLOSING)-2009
YEAR HIGH- Rs 1590.05YEAR LOW- Rs 971.80YEAR AVERAGE-Rs 1240.95 FIGURE 42
Table 3.11
AIC AND SBC VALUES OF VARIOUS ARIMA MODELS (P,D,Q) FOR SUN PHARMACEUTICAL LIMITED
D value as 1 for all models
P/Q012
0AIC=2430.8182
SBC=2434.3071AIC=2431.9237
SBC=2438.9014AIC=2426.7863
SBC=2437.2531
1AIC =2432.2053
SBC=2439.1832AIC=2426.3036
SBC=2436.7704AIC=2425.8646
SBC=2439.8204
2AIC=2428.6144
SBC=2439.0813AIC=2425.8783
SBC=2439.8340AIC=2427.8721
SBC=2445.3168
Best Fitting Model for SUNPHARMACEUTICAL LIMITED: Since AIC and SBC values are smaller for the model ( 1,1,2 ) ,it is selected as the best fitting model. The error plot in Figure 43 also exhibits white noise and the lower residual variance also confirms ARIMA (1,1,2) is the best fitting model for SUNPHARMACEUTICAL LIMITED.
RESULTS OF ARIMA (1,1,2) MODEL FOR SUN PHARMACEUTICAL LIMITEDFINAL PARAMETERS:
Number of residuals 242
Standard error 36.040556
Log likelihood -1208.9323
AIC 2425.8646
SBC 2439.8204
Analysis of Variance:
DF Adj. Sum of Squares Residual Variance
Residuals 238 309312.59 1298.9217
Variables in the Model:
B SEB T-RATIO APPROX. PROB.
AR1 .4932472 .2268621 2.1742 .03067475
MA1 .5812976 .2289948 2.5384748 .01177226
MA2 .1267728 .0854302 1.4839351 .13914926
DATE 1.9000109 1.3451715 1.4124674 .15911865
Figure 43
Error plot for ARIMA (1,1,2) for SUN PHARMACEUTICAL LIMITED
FORECASTING OF SHARE PRICE OF SUN PHARMACEUTICAL LIMITED FOR FIRST 57 TRADING DAYS AND ITS COMPARISION WITH ACTUAL SHARE PRICE FOR FIRST 10 DAYS OF YEAR-2010DAYSFORECASTACTUALDAYSFORECASTDAYSFORECAST
11514.001841,507.35281570.94948551622.24978
21518.763661,552.65291572.84949561624.14979
31522.075251,572.80301574.7495571626.0498
41524.671521,548.85311576.64952
51526.914961,574.95321578.54953
61528.984361,574.70331580.44954
71530.967931,571.80341582.34955
81532.909151,547.80351584.24956
91534.829491,559.50361586.14957
101536.739531,525.10371588.04958
111538.64448381589.94959
121540.54693391591.8496
131542.44815401593.74961
141544.34875411595.64963
151546.24906421597.54964
161548.14921431599.44965
171550.04929441601.34966
181551.94934451603.24967
191553.84937461605.14968
201555.74939471607.04969
211557.6494481608.9497
221559.54942491610.84971
231561.44943501612.74972
241563.34944511614.64973
251565.24945521616.54975
261567.14946531618.44976
FIGURE 44COMPARISION OF ACTUAL AND FORECASTED SHARE PRICE OF SUN PHARMACEUTICAL LIMITED
INTERPRETATION:
From the forecasted value it is found that the share price of SUN PHARMACEUTICAL LIMITED is expected to follow an uptrend for the first 57 trading days of the year 2010. From the Figure 44, it is found that the actual share price of SUN PHARMACEUTICAL LIMITED exhibits an uptrend for the first 10 trading days of the year 2010
FIGURE 45 TATA MOTORS STOCK PRICE (DAILY CLOSING)-2009
YEAR HIGH- Rs 791.55YEAR LOW- Rs 130.8YEAR AVERAGE-Rs 385.83FIGURE 46
Table 3.12
AIC AND SBC VALUES OF VARIOUS ARIMA MODELS (P,D,Q) FOR TATA MOTORS LIMITED D value as 1 for all models
P/Q012
0AIC=1985.2015
SBC=1988.6905AIC=1987.2008
SBC=1994.1787AIC=1989.2086
SBC=1999.6755
1AIC =1987.2008
SBC=1994.1787AIC=1989.6065
SBC=1999.4734AIC=1990.3277
SBC=2004.2835
2AIC=1989.2080
SBC=1999.6749AIC=1989.7324
SBC=2003.6882AIC=1988.6135
SBC=2006.0582
Best Fitting Model for TATA MOTORS LIMITED:
Since AIC and SBC values are smaller for the model ( 0,1,0 ) ,it is selected as the best fitting model. The error plot in Figure 47 also exhibits white noise and the lower residual variance also Confirms ARIMA (0,1,0) is the best fitting model for TATA MOTORS LIMITED.
RESULTS OF ARIMA (0,1,0) MODEL FOR TATA MOTORS LIMITED
FINAL PARAMETERS:
Number of residuals 242
Standard error 14.594597
Log likelihood -991.60076
AIC 1985.2015
SBC 1988.6905
Analysis of Variance: DF Adj. Sum of Squares Residual Variance
Residuals 241 51333.548 213.00227
Variables in the Model:
B SEB T-RATIO S APPROX. PROB.
DATE 2.5663223 .93817626 2.7354373 .00669296
FIGURE 47Error plot for ARIMA (1,1,1) for TATA MOTORS LIMITED
FORECASTING OF SHARE PRICE OF TATA MOTORS LIMITED FOR FIRST 57 TRADING DAYS AND ITS COMPARISION WITH ACTUAL SHARE PRICE FOR FIRST 10 DAYS OF YEAR-2010DAYSFORECASTACTUALDAYSFORECASTDAYSFORECAST
1794.1163826.4527860.840753927.5651
2796.6826812.0528863.40754930.1314
3799.249813.329865.973455932.6977
4801.8153785.530868.539756935.2641
5804.3816789.831871.10657937.8304
6806.9479790.1532873.6723
7809.5143786.333876.2386
8812.0806784.9534878.805
9814.6469782.1535881.3713
10817.2132797.236883.9376
11819.779637886.5039
12822.345938889.0703
13824.912239891.6366
14827.478540894.2029
15830.044841896.7692
16832.611242899.3355
17835.177543901.9019
18837.743844904.4682
19840.310145907.0345
20842.876546909.6008
21845.442847912.1672
22848.009148914.7335
23850.575449917.2998
24853.141750919.8661
25855.708151922.4324
26858.274452924.9988
FIGURE 48COMPARISION OF ACTUAL AND FORECASTED SHARE PRICE OF TATA MOTORS LIMITED
INTERPRETATION:
From the forecasted value, it is found that the share price of TATAMOTORS LIMITED is expected to follow an uptrend for the first 57 trading days of the year 2010 From the Figure 48, it is found that the actual share price of TATAMOTORS LIMITED exhibits an downtrend the first 10 trading days of the year 2010
FIGURE 49TATA STEEL LIMITED STOCK PRICE (DAILY CLOSING)-2009
YEAR HIGH- Rs 622.65YEAR LOW- Rs 151.8YEAR AVERAGE-Rs 381.57 FIGURE 50
Table 3.13
AIC AND SBC VALUES OF VARIOUS ARIMA MODELS (P,D,Q) FOR TATA STEEL LIMITED D value as 1 for all models
P/Q012
0AIC=1996.2003
SBC=1999.5892AIC=1997.8020
SBC=2004.8598AIC=1998.1239
SBC=2008.5907
1AIC =1997.8463
SBC=2004.8242AIC=1999.4608
SBC=2009.9276AIC=2000.1355
SBC=2014.0913
2AIC=1998.3471
SBC=2008.8139AIC=2000.3547
SBC=2014.3105AIC=1995.0442
SBC=2012.4888
Best Fitting Model for TATA STEEL LIMITED:
Since AIC and SBC values are smaller for the model ( 2,1,2 ) ,it is selected as the best fitting model. The error plot in Figure 51 also exhibits white noise and the lower residual variance also Confirms ARIMA (2,1,2) is the best fitting model for TATA MOTORS LIMITED.
RESULTS OF ARIMA (2,1,2) MODEL FOR TATA STEEL LIMITEDFINAL PARAMETERS:
Number of residuals 242
Standard error 14.725841
Log likelihood -992.52208
AIC 1995.0442
SBC 2012.4888
Analysis of Variance:
DF Adj. Sum of Squares Residual Variance
Residuals 237 51720.915 216.85040
Variables in the Model:
B SEB T-RATIO APPROX. PROB.
AR1 .4979266 .0530540 9.385275 .00000000
AR2 -.8832232 .0527555 -16.741815 .00000000
MA1 .5170713 .0286355 18.057024 .00000000
MA2 -.9810693 .0337662 -29.054755 .00000000
DATE 1.6045270 1.0000932 1.604377 .10996260
Figure 51Error plot for ARIMA (2,1,2) for TATA STEEL LIMITED
FORECASTING OF SHARE PRICE OF TATA STEEL LIMITED FOR FIRST 57 TRADING DAYS AND ITS COMPARISION WITH ACTUAL SHARE PRICE FOR FIRST 10 DAYS OF YEAR-2010DAYSFORECASTACTUALDAYSFORECASTDAYSFORECAST
1618.7934633.7528660.781455704.1183
2618.1616649.129662.740156705.6929
3619.1041642.0530664.230257707.3555
4622.3541649.831665.465
5625.3627648.4532666.9864
6626.213648.533668.8762
7626.2019625.5534670.6961
8627.6681639.2535672.156
9630.6307647.736673.4982
10633.0336645.1537675.0999
11633.836238676.9347
12634.336239678.6564
13636.099140680.1158
14638.75841681.5447
15640.747742683.1899
16641.612743684.9698
17642.508944686.6258
18644.413845688.101
19646.793646689.5957
20648.518847691.2597
21649.498748692.9909
22650.685649694.6059
23652.633950696.1038
24654.778451697.646
25656.348252699.3136
26657.458553701.0047
27658.847654702.5965
FIGURE 52COMPARISION OF ACTUAL AND FORECASTED SHARE PRICE OF TATA STEEL LIMITED
INTERPRETATION:
From the above forecasted value, it is found that the share price of TATA STEEL LIMITED is expected to follow an uptrend for the first 57 trading days of year 2010. From the Figure 52, it is found that the actual share price of TATA STEEL LIMITED exhibits an uptrend the first 10 trading days of the year 2010.FINDINGS1. The share price of ACC LIMITED has followed a trend in the year 2009, with a high of Rs 924.95 and a low of Rs 474.5 and an average of Rs 713.78.
2. Based on the performance of this share in the year 2009,the forecasted value of this share for the first 57 trading days shows an uptrend and while comparing this with the actual price during the first 10 trading days, it was following the same uptrend as projected.
3. The share price of HUL LIMITED has followed an uptrend in the year 2009, with a high of Rs 299.65 and a low of Rs 216.25 and an average of Rs 258.55.4. Based on the performance of this share in the year 2009, the forecasted value of this share for the first 57 trading days shows an uptrend and while comparing this with the actual price during the first 10 trading days, it was following a downtrend.
5. The share price of BHARTI AIRTEL LIMITED has followed a downtrend in the year 2009, with a high of Rs 1003.2 and a low of Rs 275.25 and an average of Rs 556.05.
6. Based on the performance of this share in the year 2009,the forecasted value of this share for the first 57 trading days shows an trend and while comparing this with the actual price during the first 10 trading days, it was following the same downtrend as projected.
7. The share price of DLF LIMITED has followed an uptrend in the year 2009,with a high of Rs 471.95 and a low of Rs 132.85 and an average of Rs 313.508. Based on the performance of this share in the year 2009,the forecasted value of this share for the first 57 trading days shows an uptrend and while comparing this with the actual price during the first 10 trading days, it was following the same uptrend as projected.
9. The share price of INFOSYS TECHNOLOGIES LIMITED has followed an uptrend in the year 2009, with a high of Rs 2601.10 and a low of Rs 1132.10 and an average of Rs 1822.25.
10. Based on the performance of this share in the year 2009,the forecasted value of this share for the first 57 trading days shows an uptrend and while comparing this with the actual price during the first 10 trading days, it was following the same uptrend as projected.
11. The share price of L&T LIMITED has followed an uptrend in the year 2009, with a high of Rs 1699.95 and a low of Rs 562.05 and an average of Rs 1262.83.12. Based on the performance of this share in the year 2009, the forecasted value of this share for the first 57 trading days shows an uptrend and while comparing this with the actual price during the first 10 trading days, it was following a downtrend.
13. The share price of NTPC LIMITED has followed an uptrend in the year 2009, with a high of Rs 235.65 and a low of Rs 166.7 and an average of Rs 260.31.
14. Based on the performance of this share in the year 2009,the forecasted value of this share for the first 57 trading days do not follow any trend and while comparing this with the actual price during the first 10 trading days also not following any trend as projected.
15. The share price of ONGC LIMITED has followed an uptrend in the year 2009,with a high of Rs 1262.05 and a low of Rs 621.15 and an average of Rs 1001.2516. Based on the performance of this share in the year 2009,the forecasted value of this share for the first 57 trading days shows an uptrend and while comparing this with the actual price during the first 10 trading days, it was following the same uptrend as projected.
17. The share price of RELIANCE INDUSTRIES LIMITED has followed a downtrend in the year 2009, with a high of Rs 2367.55 and a low of Rs 1067.65 and an average of Rs 1749.40.18. Based on the performance of this share in the year 2009, the forecasted value of this share for the first 57 trading days shows a downtrend and while comparing this with the actual price during the first 10 trading days, it was following an uptrend.
19. The share price of SBI LIMITED has followed an uptrend in the year 2009, with a high of Rs 2470.55 and a low of Rs 895.30 and an average of Rs 1675.25.
20. Based on the performance of this share in the year 2009, the forecasted value of this share for the first 57 trading days shows an uptrend and while comparing this with the actual price during the first 10 trading days, it was following a downtrend.
21. The share price of SUN PHARMACEUTICAL INDUSTRIES LIMITED has followed an uptrend in the year 2009, with a high of Rs 1590.05 and a low of Rs 971.80 and an average of Rs 1240.95.22. Based on the performance of this share in the year 2009,the forecasted value of this share for the first 57 trading days shows an uptrend and while comparing this with the actual price during the first 10 trading days, it was following the same uptrend as projected.
23. The share price of TATA MOTORS LIMITED has followed an uptrend in the year 2009, with a high of Rs 791.55 and a low of Rs 130.8 and an average of Rs 385.83.
24. Based on the performance of this share in the year 2009, the forecasted value of this share for the first 57 trading days shows an uptrend and while comparing this with the actual price during the first 10 trading days, it was following a downtrend.
25. The share price of TATA STEEL LIMITED has followed an uptrend in the year 2009,with a high of Rs 622.65 and a low of Rs151.8 and an average of Rs 381.5726. Based on the performance of this share in the year 2009,the forecasted value of this share for the first 57 trading days shows an uptrend and while comparing this with the actual price during the first 10 trading days, it was following the same uptrend as projected.
CONCLUSION
Generally stock price movements are influenced by many economic indicators and there are three players in the market they were gamblers, speculators and investors. The gamblers and speculators usually dont have any analytical approach; all they need is to have profit by any means. Any investor who is investing in share market will be optimistic to earn positive returns on his investment, but, this expectation may or may not be true always. Hence, a scientific method is required to form a basis for any expectation by an investor. So many statistical tools are applied for forecasting.
Since forecasting by trend analysis is highly subjective in nature and different person will look upon it differently and the decision change accordingly, so it is essential to use an tool that is appropriate for all, with the advent of advanced software solutions available, Auto Regressive Integrated Moving Average (ARIMA) is found to be more relevant for projections in general and for share price movements in particular.
Hence the researcher has used the ARIMA tool to analyze the select 13 companies share price for the year 2009 and forecasted the share price for the select companies for the first 57 trading days of year 2010 and compared it with the actual share price for the first 10 days and it was almost found to be true for most select companies.
Hence it can be concluded that scientific tools can be relied upon to project the future value of share in Indian stock market even though it is dominated by market sentiments. BIBLIOGRAPHY
BOOKS & JOURNALS:-
V.A. Avadhini, Fifth Revised Edition, INVESTMENT MANAGEMENT, Himalaya Publishing House. Kothari.C.R, Research Methodology, New Delhi Vikas Publishing House Pvt Ltd.
Chowdary, S.K. (1991) Short-run Share Price Behaviour: New Evidence on Weak-Form Market Efficiency, Vikalp, Vol.V
Sharma J.L. and Robert E. Kennedy (1997) A Comparitive Analysis Of Stock sPrice Behaviour on the Bombay, London, New York Stock Exchanges, Journal of Financial and Quantitative Analysis .sep 1977.
Sunil Poshakvale(1996) Evidence of Weak Form Efficiency and Day of the Week Effect in the Indian Stock Market. Finance India, vol,X No.3,(September),605-616.
Websites:-
www.nseindia.co.in www.bseindia.co.in www.moneycontrol.comwww.northeastltd.comANNEXURE
SHARE PRICE OF ACC LIMITED FOR ALL THE 243 TRADING DAY OF YEAR 2009DAYVALUEDAYVALUEDAYVALUEDAYVALUEDAYVALUE
1495.2529550.457581.1585614.25113745.75
2493.930579.258566.286634.95114768.4
3507.553156159574.487720.85115783.2
4543.4532542.95 60586.8588749.9116799.1
5508.6533561.261602.289772.6117792.9
6503.7534547.2562582.390743.2118765.75
7496.1535553.8563591.791729.1119763.15
8508.9536558.3564586.5592724.05120762.55
951537556.165591.293712.1121768.7
10502.6538559.966615.894711.1122723.85
11498.9 39540.0567616.8595727.5123765
12502.440524.7568609.0596782.5124787.6
13485.3541530.5569617.597829.8125782.7
14477.6542539.870616.598781.25126763.05
1549043528.5571646.799819.85127758.15
16474.544530.272647.9100835.35128790.2
17486.8545519.0573678.8101859.8129806.8
18497.346540.9574658.3102813.45130794.65
19503.9547562.4575644.05103850131810.75
20506.448564.3576654.35104899.25132844.85
21494.4549556.577654.85105863133825.5
22518.650548.578656106845.85134808.55
23531.0551544.9579641.65107854.8135853.95
24532.452543.680624108854.5136845.3
25539.553558.5 81601.25109829.05137848.4
26539.654549.282591.4110756.35138865.55
27543.4555563.0583595.5111749.1139858.65
28557.356562.184614.6112740.95140875.65
SHARE PRICE OF ACC LIMITED FOR ALL THE 243 TRADING DAY OF YEAR 2009
DAYVALUEDAYVALUEDAYVALUE DAYVALUE
141880.8169796.55197763.45225815.8
142892170789.75198764.95226812.45
143899.95171773.6199759.05227802.6
144924.95172763.9200745.45228810.4
145883.9173774.25201734.75229817.35
146869.55174801.15202750.65230812.4
147809.9175828.8203699.25231816.75
148819.35176845.35204729232858.35
149828.5177847.05205719.65233850.95
150848.7178833.55206717.85234860.8
151830.5179823.15207719.65235866.25
152792.7180817.2208718.65236861.65
153797.8181814.95209732.5237856.8
154756.3182820.25210737.3238837.4
155758.7183826.75211738.85239855.8
156776.7184813.9212745240860.95
157793.85185794213730241859.6
158789.05186790.55214729.25242871.4
159799.85187798.6215733.35243872.45
160797.1188795.35216766.1
161809.3189796.55217788.75
162807190787.75218783.75
163780.