Thursday, July 15, 2010

A Statistical Analysis of the Indian Stock Market. (Part III)

A Statistical Analysis of the Indian Stock Market. (Part III)


 

In our study we have so far compared the values of R2 obtained by taking everyday data and the values obtained by considering only those dates which are just before the release of the quarterly reports of Infosys. And we had concluded that more companies from the same IT sector have to be considered to make some appropriate conclusions.

We had also concluded that Infosys was one of the major stocks in the IT sector and to make some general conclusions we need to consider some stocks which will account for the rest of the stocks in the IT sector. The following stocks were considered,

  1. Infosys
  2. Wipro
  3. TCS
  4. Rolta India Ltd.
  5. Patni computer systems Ltd.
  6. Infotech enterprises Ltd.

With the view that, the first 3 stocks are among the major stocks in the IT sector and the rest 3 account for the rest of the stocks in the IT sector.

The everyday data and the data regarding the report release dates (henceforth referred to as RR) were gathered from the BSE Ltd. Website http://www.bseindia.com/

Similar to the previous study of Infosys, for the rest of the companies also we consider the every day data and 3 sets of data for the report release which are 3, 2 and 1 working day(s) before the RR. (referred to as RR-3, RR-2 and RR-1 respectively)

3.0 Analysis: Identifying Correlations in stock market data in the every day data and for the data just before the report releases for 6 companies in the IT sector.


 

3.1 Data Selected for Study

  • SENSEX value.
  • Sectoral Index Value of the sector corresponding to the stock under consideration.
  • Share Price (in Rs.) of the particular stock under consideration.
  • High – Low (H – L) spread of the Share Price (in Rs.) in a day, of the particular stock under consideration.
  • Close – Open (C – O) spread of the Share Price (in Rs.) in a day, of the particular stock under consideration.

    Companies chosen : INFOSYS (BSE Scrip Code: 500209)
    Wipro (BSE Scrip Code: 507685)
    TCS (BSE Scrip Code: 532540)
    Rolta (BSE Scrip Code: 500366)
    Patni (BSE Scrip Code: 532517)
    Infotech (BSE Scrip Code: 532175)

Sectoral Index                         : BSE – IT

Period of Study                     : 1st April 2005 to 31st May 2010.

No of Report Releases during the period of study    : 21

Total No. of Data points    : Every day data : 1279
RR - 3 : 63
RR - 2 : 42
RR - 1 : 21

3.2 Final Results of the Study :

Predictor Variables 

TCS 

Share Price 

No of Shares traded 

No of Trades 

normal 

RR - 3 

RR - 2 

RR - 1 

normal 

RR - 3 

RR - 2 

RR - 1 

normal 

RR - 3 

RR - 2 

RR - 1 

BSE SENSEX

13.02% 

10.87% 

11.61% 

12.59% 

0.42% 

1.03% 

0.02% 

0.02% 

0.02% 

0.37% 

0.17% 

0.54% 

BSE- IT 

1.16% 

2.36% 

2.01% 

1.74% 

0.03% 

0.10% 

0.09% 

0.15% 

0.62% 

1.07% 

0.46% 

0.86% 

Share Price 

  

  

  

  

2.87% 

19.18% 

14.36% 

13.78% 

4.92% 

5.29% 

0.86% 

0.06% 

BSE SENSEX and BSE IT 

38.60%

40.53% 

40.48% 

41.67% 

0.57% 

1.35% 

0.32% 

0.18% 

1.56% 

1.10% 

2.02% 

4.68% 

BSE- IT and Share Price 

  

  

  

  

3.00% 

20.19% 

14.42% 

14.57% 

5.22% 

7.25% 

1.53% 

0.99% 

BSE SENSEX,BSE-IT and Share Price 

  

  

  

  

3.17% 

24.85% 

20.31% 

25.91% 

5.42% 

12.16% 

7.46% 

9.09% 

Spread HL

  

  

  

  

1.08% 

3.85% 

3.08% 

2.98% 

18.00% 

15.23% 

12.35% 

11.92% 

Spread CO 

  

  

  

  

0.09% 

7.88% 

9.42% 

26.77% 

0.00% 

4.35% 

8.66% 

21.17% 

Spread Hl and sp CO 

  

  

  

  

1.22% 

15.66% 

16.49% 

29.37% 

18.05% 

25.57% 

28.43% 

32.42% 

SP and sp HL 

  

  

  

  

5.80% 

32.30%

33.49% 

30.21% 

33.02% 

29.77% 

22.83% 

16.82% 

SP and sp CO 

  

  

  

  

2.91% 

22.77% 

17.94% 

32.96% 

4.95% 

7.92% 

8.67% 

22.06% 

SP, spHL and sp CO 

  

  

  

  

5.89% 

39.55% 

39.12% 

44.19% 

33.03% 

37.01% 

33.80% 

33.21% 

ALL 

  

  

  

  

6.74% 

45.04% 

43.18% 

52.93% 

34.55% 

44.50% 

37.28%

39.11% 

  

WIPRO 

BSE SENSEX 

4.47% 

6.90% 

7.16% 

7.26% 

0.46% 

5.79% 

4.41% 

3.79% 

1.69% 

0.02% 

0.00% 

0.40% 

BSE- IT 

35.98% 

41.01% 

40.26% 

39.75% 

0.46% 

1.25% 

0.49% 

3.88% 

1.90% 

0.87% 

2.28% 

1.41% 

Share Price 

  

  

  

  

2.58% 

4.30% 

7.10% 

4.74% 

5.84% 

11.47% 

15.50% 

15.75%

BSE SENSEX and BSE IT 

44.54% 

49.11% 

48.29% 

47.62% 

0.54% 

6.55% 

5.87% 

4.43% 

2.12% 

2.26% 

5.16% 

1.53% 

BSE- IT and Share Price 

  

  

  

  

2.71% 

14.46% 

16.69% 

23.26% 

5.85% 

14.06% 

17.14% 

18.62% 

BSE SENSEX,BSE-IT and Share Price 

  

  

  

  

3.52% 

15.52% 

17.51% 

24.08%

7.50% 

14.09% 

17.24% 

20.16% 

Spread HL 

  

  

  

  

4.22% 

16.40% 

31.18% 

0.22% 

17.02% 

25.74% 

31.75% 

2.03% 

Spread CO 

  

  

  

  

0.26% 

5.04% 

21.20% 

16.38% 

0.46% 

2.72% 

19.67% 

33.00% 

Spread Hl and sp CO 

  

  

  

  

4.55% 

21.16% 

36.44% 

16.64% 

17.67% 

28.20% 

36.07% 

34.87%

SP and sp HL 

  

  

  

  

7.24% 

18.62% 

36.63% 

4.82% 

24.21% 

32.84% 

44.76% 

18.85% 

SP and sp CO 

  

  

  

  

2.88% 

9.76% 

29.46% 

19.75% 

6.39% 

14.71% 

36.81% 

45.16% 

SP, spHL and sp CO 

  

  

  

  

7.62% 

23.70% 

42.85% 

19.87% 

24.97% 

35.72% 

50.43% 

47.94% 

ALL 

  

  

  

  

9.17%

36.43% 

55.67% 

38.87% 

28.29% 

44.04% 

55.42% 

55.36% 

  

INFOSYS 

BSE SENSEX 

0.90% 

1.72% 

1.72% 

1.50% 

0.21% 

0.38% 

0.05% 

3.21% 

0.00% 

0.02% 

0.00% 

0.55% 

BSE- IT 

13.90% 

13.04% 

13.25% 

14.37% 

0.62% 

1.35% 

0.34% 

0.10% 

0.07% 

3.24% 

2.93% 

6.52% 

Share Price 

  

  

  

  

2.30%

3.86% 

2.41% 

1.77% 

2.40% 

0.17% 

0.17% 

0.33% 

BSE SENSEX and BSE IT 

39.00% 

42.42% 

42.90% 

43.78% 

0.64% 

1.43% 

1.14% 

4.94% 

0.17% 

7.16% 

5.66% 

8.66% 

BSE- IT and Share Price 

  

  

  

  

2.40% 

4.09% 

2.41% 

2.55% 

2.60% 

3.31% 

2.99% 

6.70% 

BSE SENSEX,BSE-IT and Share Price

  

  

  

  

2.90% 

4.80% 

2.41% 

5.06% 

3.00% 

10.15% 

7.81% 

11.15% 

Spread HL 

1.18% 

  

  

  

17.34% 

6.94% 

11.38% 

24.25% 

25.11% 

22.66% 

20.23% 

26.94% 

Spread CO 

0.07% 

  

  

  

0.05% 

1.42% 

2.77% 

3.87% 

0.01% 

1.76% 

0.73% 

0.59% 

Spread Hl and sp CO 

1.31% 

  

  

  

17.36% 

7.01% 

11.90%

24.40% 

25.21% 

22.84% 

20.45% 

33.66% 

SP and sp HL 

  

  

  

  

21.33% 

12.22% 

15.36% 

26.28% 

29.65% 

22.69% 

20.26% 

27.17% 

SP and sp CO 

  

  

  

  

2.39% 

5.74% 

5.46% 

5.51% 

2.48% 

1.84% 

0.86% 

0.90% 

SP, spHL and sp CO 

  

  

  

  

21.37% 

12.36% 

15.93% 

26.40% 

29.82% 

22.86%

20.47% 

33.81% 

ALL 

  

  

  

  

24.13% 

14.27% 

18.24% 

31.05% 

34.36% 

42.76% 

42.57% 

59.78% 

  

Rolta 

BSE SENSEX 

37.93% 

33.33% 

32.92% 

32.05% 

1.64% 

2.60% 

0.78% 

0.09% 

0.34% 

1.39% 

0.12% 

0.10% 

BSE- IT 

23.38% 

35.45% 

36.99% 

37.24% 

8.05% 

15.43% 

13.90% 

10.01% 

4.52% 

12.99%

10.32% 

6.26% 

Share Price 

  

  

  

  

6.42% 

12.60% 

14.52% 

13.72% 

3.39% 

9.54% 

9.25% 

7.58% 

BSE SENSEX and BSE IT 

38.46% 

40.01% 

40.57% 

40.15% 

9.03% 

18.52% 

21.21% 

19.26% 

6.12% 

17.19% 

18.89% 

16.63% 

BSE- IT and Share Price 

  

  

  

  

9.81% 

17.70% 

17.68% 

15.03% 

5.38%

14.36% 

12.20% 

8.65% 

BSE SENSEX,BSE-IT and Share Price 

  

  

  

  

12.91% 

22.72% 

28.31% 

28.04% 

8.89% 

20.37% 

23.43% 

21.91% 

Spread HL 

  

  

  

  

0.18% 

0.05% 

0.28% 

1.00% 

1.81% 

0.04% 

0.01% 

0.02% 

Spread CO 

  

  

  

  

1.10% 

0.30% 

3.15% 

1.52% 

1.68% 

0.49% 

3.58% 

4.06% 

Spread Hl and sp CO 

  

  

  

  

1.39% 

0.34% 

3.60% 

2.61% 

3.89% 

0.56% 

6.07% 

4.10% 

SP and sp HL 

  

  

  

  

11.99% 

24.06% 

25.26% 

21.84% 

12.33% 

21.93% 

20.86% 

16.88% 

SP and sp CO 

  

  

  

  

7.29% 

12.86% 

15.33% 

20.76% 

4.87% 

9.98% 

10.70% 

17.44% 

SP, spHL and sp CO 

  

  

  

  

13.36% 

24.80% 

40.80% 

38.02% 

14.61% 

23.00% 

40.73% 

38.30% 

ALL 

  

  

  

  

18.05% 

28.44% 

46.69% 

66.42% 

18.15% 

27.12% 

46.74% 

68.64% 

  

Patni 

BSE SENSEX 

4.81% 

6.41% 

6.55% 

6.91% 

0.61% 

5.08% 

5.32% 

0.01% 

8.35% 

28.27% 

33.51% 

38.38% 

BSE- IT 

48.32% 

52.99% 

53.15% 

52.22%

0.21% 

4.86% 

5.03% 

0.08% 

5.93% 

24.00% 

28.30% 

28.95% 

Share Price 

  

  

  

  

0.53% 

3.88% 

2.76% 

0.50% 

5.27% 

9.74% 

8.92% 

4.31% 

BSE SENSEX and BSE IT 

62.41% 

68.47% 

67.85% 

65.65% 

0.62% 

5.78% 

6.03% 

0.11% 

8.68% 

30.62% 

36.32% 

40.19% 

BSE- IT and Share Price 

  

  

  

  

0.54% 

5.14% 

5.03% 

1.81% 

6.63% 

24.42% 

30.00% 

35.82% 

BSE SENSEX,BSE-IT and Share Price 

  

  

  

  

1.75% 

7.53% 

6.56% 

2.89% 

12.68% 

31.64% 

36.44% 

41.18% 

Spread HL 

  

  

  

  

7.17% 

7.79% 

4.67% 

1.77% 

25.13% 

30.97% 

32.15% 

36.38% 

Spread CO 

  

  

  

  

1.90% 

0.16% 

0.04%

0.24% 

4.71% 

0.67% 

0.18% 

5.06% 

Spread Hl and sp CO 

  

  

  

  

8.52% 

8.24% 

5.00% 

5.61% 

28.24% 

32.81% 

34.74% 

43.57% 

SP and sp HL 

  

  

  

  

7.23% 

8.26% 

5.10% 

1.83% 

25.40% 

31.16% 

32.17% 

36.39% 

SP and sp CO 

  

  

  

  

2.46% 

4.22% 

2.79% 

1.13% 

10.10% 

10.99% 

8.96% 

6.93%

SP, spHL and sp CO 

  

  

  

  

8.56% 

8.76% 

5.47% 

5.93% 

28.60% 

33.07% 

34.78% 

43.68% 

ALL 

  

  

  

  

9.25% 

11.42% 

7.86% 

9.28% 

33.55% 

48.36% 

50.84% 

59.21% 

  

Infotech 

BSE SENSEX 

0.31% 

0.30% 

0.42% 

0.45% 

0.24% 

0.00% 

9.36% 

15.20% 

1.46% 

11.45% 

11.67% 

11.11% 

BSE- IT

14.31% 

16.25% 

15.93% 

15.92% 

0.70% 

2.60% 

0.46% 

2.06% 

0.25% 

0.33% 

0.40% 

1.06% 

Share Price 

  

  

  

  

0.12% 

0.90% 

0.79% 

3.33% 

1.19% 

4.91% 

6.35% 

9.70% 

BSE SENSEX and BSE IT 

34.54% 

38.71% 

39.14% 

39.64% 

2.97% 

4.92% 

13.58% 

18.53% 

5.00% 

17.84% 

17.72% 

14.47% 

BSE- IT and Share Price

  

  

  

  

0.70% 

2.71% 

2.05% 

8.89% 

1.20% 

7.49% 

9.55% 

15.85% 

BSE SENSEX,BSE-IT and Share Price 

  

  

  

  

3.63% 

5.21% 

14.15% 

18.82% 

5.01% 

18.19% 

18.69% 

19.50% 

Spread HL 

  

  

  

  

2.26% 

0.02% 

1.72% 

5.49% 

9.11% 

8.99% 

9.38% 

8.84% 

Spread CO 

  

  

  

  

0.90% 

0.15% 

1.40% 

0.15% 

2.13% 

0.42% 

6.55% 

1.09% 

Spread Hl and sp CO 

  

  

  

  

2.96% 

0.22% 

2.21% 

7.25% 

10.65% 

8.99% 

11.35% 

9.80% 

SP and sp HL 

  

  

  

  

2.61% 

2.20% 

1.72% 

5.73% 

9.60% 

9.02% 

9.80% 

11.51% 

SP and sp CO 

  

  

  

  

1.03% 

0.97% 

1.82% 

3.56% 

3.41% 

5.01%

10.59% 

9.85% 

SP, spHL and sp CO 

  

  

  

  

3.24% 

2.40% 

2.21% 

7.67% 

11.01% 

9.03% 

11.95% 

12.89% 

ALL 

  

  

  

  

7.90% 

5.65% 

15.70% 

23.43% 

16.47% 

21.86% 

23.68% 

21.89% 


 

3.3 Obsevations:

  1. There is a significant difference in the values of R2 for the everyday data and the data just before the RR.
  2. Some of the values are nearby to 50%, suggesting a good correlation.
  3. The cells have been color coded with yellow for the least and green for the max correlation co-efficient and this indicates some patterns which are similar in all the companies.


 

3.4 Conclusions:

  1. Variations when considering the data which are close to the RR are following a different trend compared to the whole data, similar to our previous study(INFOSYS data).
  2. The high R2 value (in %) of the No of Trades and the No. of shares are only due to Lag indicators.
  3. The correlation coefficients does show some patterns(though the values of R2 may be very small)
  4. These patterns need to be tested for statistical significance before any solid conclusions can be drawn out of it.

2 comments:

kalpeshmmaniar said...

Sensex bounced exactly from the level of 16990, I had mentioned that sensex could hit 16969, sensex bounced exactly from 16990.

What next?
August will be volatile month and will see turbulent markets, the present correction would end in September, when markets take off in a big way.

To get accurate forecasting please visit http://www.kalpeshmaniar.com

Nishi said...

Awesome blog for traders and investors.
Regards
free tips

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