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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:




AIC 1479.3298

SBC 1489.7966



Residuals 239 6242.8359 25.915427



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:




AIC 2383.6784

SBC 2387.1673



Residuals 241 266385.14 1105.3325



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:




AIC 1973.2658

SBC 1980.2436

Analysis of Variance: DF Adj. Sum of Squares Residual Variance

Residuals 240 48459.734 201.90788



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:




AIC 2473.9091

SBC 2484.3759



Residuals 239 380419.59 1575.3167



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:




AIC 2433.4843

SBC 2436.9733



Residuals 241 327259.31 1357.9224



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


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


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:




AIC 1359.5343

SBC 1370.0011



Residuals 239 3805.3059 15.838443



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


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


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:




AIC 2250.3627

SBC 2253.8516



Residuals 241 153553.92 637.15320



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:




AIC 2871.4772

SBC 2874.9661



Residuals 241 1999476.3 8296.5821



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


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



AIC 2567.297

SBC 2574.2749



Residuals 240 564199.71 2350.6319



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


Table 3.11

AIC AND SBC VALUES OF VARIOUS ARIMA MODELS (P,D,Q) FOR SUN PHARMACEUTICAL LIMITED


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:




AIC 2425.8646

SBC 2439.8204



Residuals 238 309312.59 1298.9217



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:




AIC 1985.2015

SBC 1988.6905

Analysis of Variance: DF Adj. Sum of Squares Residual Variance

Residuals 241 51333.548 213.00227


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


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:




AIC 1995.0442

SBC 2012.4888



Residuals 237 51720.915 216.85040



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.

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