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                     : 1^st April 2005 to 31^st 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.