HN Volatility of Share Prices Wrt RUPEE Appreciation

8/7/2019 HN Volatility of Share Prices Wrt RUPEE Appreciation

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Volatility Of Share Prices With Respect To Rupee Appreciation

M P Birla Institute Of Management 1

A DISSERTATION REPORT

ONVOLATILITY OF SHARE PRICES WITH RESPECT TO

RUPEE APPRECIATION ".

Submitted in partial fulfillment of the requirement for

M.B.A. Degree Course of BANGALORE UNIVERSITY

By

Santhosha H N(06XQCM6102)

Under the guidance ofProf. Sathyanarayana

2006 - 2008


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DeclarationThis is to state that the project titled VOLATILITY OF SHARE

PRICES WITH RESPECT TO RUPEE APPRECIATIONis based on theoriginal work carried out by me from March to April 2008 under the guidance ad

supervision of Prof. Sathyanarayana., faculty guide.

This is submitted in partial fulfillment of the requirements of the MBA

course in Bangalore University. This has not been submitted in part or full towards

any other degree or diploma.

Place: Bangalore Santhosha H NDate: 28-04-2008. (06XQCM6102)


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Guides CertificateThis is to certify that the project titled VOLATILITY OF SHARE

PRICES WITH RESPECT TO RUPEE APPRECIATIONis based on theoriginal work carried out by Mr.SANTHOSHA H N., bearing Reg. No.

06XQCM6102 during March and April 2008 under my guidance and supervision.

The work has been satisfactory and is recommended for consideration

towards the partial fulfillment of the requirements of the MBA degree under

Bangalore University.

Place: Bangalore Prof. SathyanarayanaDate: 28-04-2008 Guide


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AcknowledgementThe satisfaction and the happiness that accompanies the successful

completion of only task would be incomplete with out expression of appreciation

and gratitude to the people who made it possible.

Indeed I consider it as a pleasant duty, though equally difficult to

acknowledge the motivating efforts of several people who have helped me in

bringing this dissertation report to find its delight.

I express my deep love and thanks to almighty. My sincere thanks to.

Dr. N.S.Malavalli, Principal and Prof. Sathyanarayana, faculty guide and mentor

and all the staff members who have guided me in undertaking this Dissertation. .

Finally, I owe my gratitude to my beloved parents and my dear most friends

who have always stood by me and have been my moral support with sheer zeal

and enthusiasm at the worry and I dedicate my work to them

Lastly I also thank all the instructors those helped directly or indirectly for

completion my project.

Date: 28-04-2008. Santhosha H NPlace: Bangalore. (06XQCM6102)


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PRINCIPALS CERTIFICATE

This is to certify that this dissertation entitled VOLATILITY OF SHARE

PRICES WITH RESPECT TO RUPEE APPRECIATION" is the result of research

work carried out by SANTHOSHA H N, under the guidance and supervision of,

ProfessorSATHYANARAYANA, M.P.B.I.M, Bangalore.

Place: Bangalore (Dr. Nagesh S Mallavalli)Date: Principal


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TABLE OF CONTENTS

SL NO. CONTENTSPAGE

NO.

CHAPTER-1 DISSERTATION ABSTRACT 1

CHAPTER-2 INTRODUCTION 3

2.1 Background Of The Study 5

2.2 Statement Of The Problem 7

2.3 Objectives Of The Study 8

2.4 Scope Of The Study 8

2.5 Need Of The Study 8

CHAPTER-3 REVIEW OF LITERATURE 9

3.1 Conclusion 13

CHAPTER-4 RESEARCH METHODOLOGY 14

4.1 Type Of Research 15

4.2 Sampling Technique 15

4.3 Sample Size 15

4.4 Collection Of Data 15

4.5 Tools Used 16

4.6 Limitations Of Study 18

CHAPTER-5 ANALYSIS OF DATA 19

5.1 Effect Of Change In Rupee-Dollar Exchange Rate 58

CHAPTER-6 SUMMARY OF FINDINGS AND CONCLUSION 64

6.1 Findings Of Study 65

6.2 Recommendations 68

6.3 Conclusion 69


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LIST OF TABLES

TABLE NO. TABLE TITLE PAGE NO.

1 BSE Sensex Values 20

2 Exchange Rate 22

3 BSE Sensex Values And Exchange Rates 24

4 Share Price Of Infosys Technology And Exchange Rate 25

5 Share Price Of Wipro Ltd And Exchange Rate 27

6 Share Price Of Satyam Computers Ltd And Exchange Rate 29

7Share Price Of Hexaware Technology Ltd And ExchangeRate

31

8 Share Price Of Arvind Mills And Exchange Rate 33

9 Share Price Of Raymond Textiles And Exchange Rate 35

10 Share Price Of Alok Industries And Exchange Rate 37

11Share Price Of Bombay Rayon Fashion Ltd And ExchangeRate

39

12 Share Price Of Cipla Ltd And Exchange Rate 41

13 Share Price Of Aventies Pharma Ltd And Exchange Rate 43

14 Share Price Of Ranboxy Laboratories Ltd And Exchange Rate 45

15Share Price Of Glaxosmisthkline Pharmaceutical Ltd AndExchange Rate

47

16 Share Price Of OTPC Ltd And Exchange Rate 49

17 Share Price Of ONGC Ltd And Exchange Rate 51

18 Share Price OF ESSAR OIL LTD And Exchange Rate 53

19 Share Price Of MLP LTD And Exchange Rate 55


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LIST OF GRAPHS

GRAPH NO. GRAPH TITLE PAGE NO.

1 BSE Sensex Values 21

2 Exchange Rate 23

3 Share Price Of Infosys Technology And Exchange Rate 26

4 Share Price Of Wipro Ltd And Exchange Rate 28

5 Share Price Of Satyam Computers Ltd And Exchange Rate 30

6

Share Price Of Hexaware Technology Ltd And Exchange

Rate 32

7Share Price Of Arvind Mills And Exchange Rate 34

8 Share Price Of Raymond Textiles And Exchange Rate 36

9 Share Price Of Alok Industries And Exchange Rate 38

10Share Price Of Bombay Rayon Fashion Ltd And ExchangeRate

40

11 Share Price Of Cipla Ltd And Exchange Rate 42

12 Share Price Of Aventies Pharma Ltd And Exchange Rate 44

13 Share Price Of Ranboxy Laboratories Ltd And Exchange Rate 46

14Share Price Of Glaxosmisthkline Pharmaceutical Ltd AndExchange Rate

48

15 Share Price Of OTPC Ltd And Exchange Rate 50

16 Share Price Of ONGC Ltd And Exchange Rate 52

17 Share Price Of ESSAR Oil Ltd And Exchange Rate 54

18 Share Price Of MLP Ltd And Exchange Rate 56


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CHAPTER-1

DISSERTATION

ABSTRACT


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1.1 DISSERTATION ABSTRACT:

It is widely believed that stock market is related to macroeconomic fundamentals

of an economy, as companies that are listed for trading in stock exchanges are the ones

who contribute significantly to the economy's growth. The notion that macroeconomic

factors can drive the movement of stock prices is now widely accepted. However, it was

only in the past decade or so that attempts have been made to capture the effect of

economic forces in a theoretical framework and calibrate these effects empirically.

According to standard stock valuation model, the determinants of stock price are the

expected cash flows from the stock and the required rate of return.

In the current economic scenario interest rates are falling and fluctuations in the

share market has put investors in confusion. One finds it take decision on investment.

This is primarily, because of investments are risky in nature and investors have to

consider various factors before investing in investment avenues.

Rupee appreciation is one the major economic factor which influences the

stock prices in the capital market. From the last one year Indian rupee is appreciated

12.8% against the US dollar. Rupee appreciation has negative effect on export orientedsector like information technology, textile, and pharmaceutical sector share prices and

positive effect on import oriented sector like oil and gas share prices..


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CHAPTER-2

INTRODUCTION


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INTRODUCTION OF THE STUDY

Globalization and financial liberalization in India have brought about battery of

changes in the financial functioning of the economy, as a result of which, the resultant

gain of the global integration of domestic and foreign financial markets has thrown open

new opportunities but at the same time exposed the financial system to significant risks.

Consequently, it is important to understand the mutual relationship between the

financial markets from the standpoint of financial stability. Though the inception of the

financial sector reforms has taken place initiated in the beginning of the 1990s,

particularly since 1997, there has been a dramatic change in the functioning of the

financial sector of the economy.The recent emergence of new capital markets, the relaxation of foreign capital

controls and the adoption of more flexible exchange rate regimes have increased the

interest of academics and practitioners in studying the interactions between the stock and

foreign exchange markets. The gradual abolition of foreign exchange controls in

emerging economies like India has opened the possibility of international investment and

portfolio diversification. At the same time, the adoption of more flexible exchange rate

regimes by these countries in the late 1980's and early 1990's has increased the volatility

of foreign exchange markets and the risk associated with such investments.

The advent of floating exchange rates, opening up of current account,

Liberalization of capital account, reduction of customs duties, the development of 24-

hour screen based global trading, the increased use of national currencies outside the

country of issue and innovations in internationally traded financial products have led to

the cross Country linkages of capital markets and international integration of domestic

economy.

The process of economic liberalization and thrust on reforms in the financial

sector and the foreign exchange market in particular that was initiated in India in early

nineties has resulted into increasing integration of the Indian FX market with that of the

global markets. With a large number of foreign funds and foreign institutional investors

now actively participating in the Indian financial markets (foreign exchange reserves


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standing at about USD118 bn), the style of functioning of the market itself has undergone

a lot of change and result of microstructure changes are visible. Today the Indian FX

market, which was insulated from outside impacts, has been getting integrated with the

world markets.

In the present scenario, interesting results are emerging particularly for the

developing countries where the markets are experiencing new relationships between

money markets, forex markets, capital markets, international events, oil prices, WTO

agreements etc which were not perceived earlier. The analysis on stock markets is

important as it is considered as the most sensitive segment of the economy and through

this segment the countrys exposure to the outer world is most readily felt. The impact of

fluctuation in exchange rate on domestic companies, companies importing or exporting

and on multi national corporations with the degree of exposure is increasing in each case

respectively. The movements in exchange rate indirectly affect the value and hence the

stock prices of these companies. The value of the company is affected due to the forex

exposures namely Transaction exposures, translation exposure and economic exposure.

2.1BACKGROUND OF THE STUDY:

Volatility: Definition and Measurement

In pure financial terms, volatility is defined as, 'the degree to which the price of a

security, commodity, or market rises or falls within a short-term period. As is evident

from the definition, volatility relates to the variability in the price of a security. In the

context of the stock market, volatility ofthe market refers to the volatility ofthe indices

of the securities within the market. In India, for instance, the Bombay Stock Exchange

(BSE) SENSEX (a 30 scrip weighted index of market capitalization) would be one of the

relevant indices to look into for examining stock market volatility. When examining the

issue of stock market volatility, it is relevant to measure percentage volatility of stock

return. This reflects the percentage change in the value of the amount invested in the

stock market. It reflects the change in the investor's wealth. Theorists use various

measures of volatility like standard deviation, variance, co-efficient of variation, to

measure volatility of stock market return.


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Stock market volatility is often classified as historical (actual) volatility or

implied volatility. The most common measure of historical or actual stock market

volatility is the standard deviation. In simple terms, standard deviation measures the

deviation of the returns of equity from its mean return. It is a relative measure i.e.

standard deviation of stock returns in one period can be compared with standard

deviation of another period to understand which period has been more volatile.

The less known, but important measure of volatility is 'implied volatility'. This

measure is the result of an important fact about derivatives: The price of the derivative

along with the price of the underlying security produces two observations of the security's

price. Arbitrageurs have used this fact to profit by determining whether a security is

improperly priced relative to its derivative (Mullins, 2000).

This research is done in the field of Indian share markets taking into account one

year data from February 2007 to January 2008.The research includes how the share prices

of various selected companies vary with respect to exchange rates. The research work

includes the collection of data regarding the share prices of the selected companies during

the past one year and the BSE SENSEX.

This research attempts to study the relationship of stock returns with reference to

exchange rate in Indian context. The data consists of 12 months from February 1, 2007 to

January 31, 2008.

The Stock Market and the Economy

The stock market and the economy are deeply intertwined so that when something

happens in one it affects the other. It is said that stock market declines have a wide-

ranging effect on many sectors of the economy; therefore, the health of the stock market

is seen as an indicator of the general economic health. The author points out that drops in

the stock market often translate into decreased net worth for both households andbusinesses, thereby, volatility consumer spending and confidence, which damages the

economy. The paper concludes that one of a number of solutions proposed to help

stimulate the US economy includes tax rate cuts.


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2.2 STATEMENT OF THE PROBLEM:

Volatile markets are characterized by wide price fluctuations and heavy trading

within a short span of time. Volatility is a traditional worry of investors, and is associated

with fast-growing stocks, high P/Es, smaller companies, Information Technology (IT)

firms.

Volatility of stock market is usually caused by company news, economic factors

like changes in forex rates, inflation rates, interest rates etc. Share prices fluctuations

affect the investors wealth creation. In this context, the study of the impact of exchange

rates on the movement of share prices in stock market is undertaken. Nowadays more

volatility of share prices in the stock market are related to exchange rates.


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2.3 BJECTIVES OF THE STUDY:

1. To study the effect of rupee-dollar exchange rate on stock values.

2. To enable the investors in exploring the investment opportunities using the rupee-

dollar exchange rates.

3. To know whether the rupee appreciation has effect on whole market or it effects

the particular sectors.

2.4 SCOPE OF THE STUDY

1. This study aids an investor to know the effect of macro variables on share prices.

2. Research on volatility will help investor to build and plan his investment portfolio

by considering the uncontrollable factors which would lead to fluctuations in the

stock market by an individual investor.

3. Since there are problems associated with volatile stock markets, the study can

help the investors to take informed decisions regarding buying or selling of stock.

4. Study will also help the companies to know their share price variability.

2.5 NEED OF THE STUDY

1. Now a days rupee appreciating aggressively against foreign currencies. And it is

impacting on share prices of MNc.

2. Exchange rate is one of the most crucial economic variables which impact on the

share price of the company.3. Because of rupee appreciation share prices of the multi national companies are

dropping.

4. While investing in shares investors have to consider rupee appreciation factor.

5. By this research investors come to now that how rupee appreciation is impacting

on share price


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CHAPTER-3

REVIEW OFLITERATURE


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Literature review:

The possible interlinkages between stock prices and exchange rates suggested by

several arguments/hypothesis, particularly those identified in goods market approaches

explaining likely impact of exchange rate on stock prices and portfolio balance

approaches for justifying impact in reverse direction.

The arguments provided in goods market approaches flow that, as many

companies borrow in foreign currencies to fund their operations, a change in exchange

rate affects the cost of funds and value of earnings of many firms, which in turn affect the

competitiveness of a firm and its stock prices a depreciation (appreciation) of local

currency makes exporting goods more (less) attractive to foreigners, which results in

increase (decrease) of foreign demand for goods, which in turn raises (reduces) the

revenue of the firm, value of firms appreciates(depreciates) and thus stock prices

increase(decrease).

The sensitivity of an importing firm to a change in exchange rate is just opposite

to that of an exporting firm. Therefore, on a macro basis the impact of exchange rate

fluctuations on stock market seems to depend on both the importance of a countrys

international trade in its economy and the degree of the trade imbalance. To complete the

linkage, influence in reverse direction can be justified by portfolio balance approaches

under the exchange rate regime that allows exchange rate to be determined by market

mechanism (i.e. the demand and supply conditions). A glooming stock market would

attract capital flows from foreign investors, which may cause an increase in the demand

for a countrys currency. Thus, local currency appreciates.

The reverse would happen in case of fallen stock prices where the investors would

try to sell their stocks to avoid further losses and would convert their money in to foreign

currency to move out of the country. There would be demand for foreign currency in

exchange of local currency. As a result rising (declining) stock prices would lead to an

appreciation (depreciation) in local currency.

Moreover, foreign investment in domestic equities could increase over time due


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to benefits of international diversification that foreign investors would gain. Further

more, movements in stock prices may influence exchange rates (and money demand)

because investors wealth (and liquidity demand) could depend on the performance of the

stock market.

Empirical results:

Yamini Karmarkar and G Kawadia tried to investigate the relationship between

RS/$ exchange rate and Indian stock markets. Five composite indices and five sectoral

indices were studied over the period of one year: 2000. the results indicated that

exchange rate has high correlation with the movement of stock markets.

Ajayi, R A and Mongone M (1996) applied Error Correction Model for the two

variables namely; stock indices and exchange rates to simultaneously estimate the short

and long run dynamics of the variables. The tests revealed significant short and long run

feedback relations between the two financial markets.

Abhay Pethe and Ajit Karnik (2000), Basabi Bhattacharya and Jaydeep

Mukherjee (2002), Golaka C Nath and GP Samanta (1999), Naeem Muhammad and

Abdul Rasheed (2002) by applying the techniques of unit root tests, cointegration and

long run Granger non-causality test, tested the causal relationships between stock market

index and exchange rate for India. The results show no long or short run association

between stock prices and exchange rates for India.

Richard A Ajayi, Joseph Friedman and Seyed M Mehdian (1998) employed

monthly and quarterly data on a set of advanced and emerging economies from 1973-

1983 to examine the relationship between real stock return differentials and changes in

real exchange rates.

Findings provided evidence to indicate unidirectional causality, in the Granger

sense; between the stock and currency markets in all the advanced economies but no

consistent causal relations are observed in emerging economies.


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One existing study which focuses exclusively on South Asian markets is Smyth

and Nandha (2003), who employ the Engle and Granger (1987) and Johansen (1988)

methods of cointegration to examine the relationship between exchange rates and stock

prices in Bangladesh, India, Pakistan and Sri Lanka within a cointegration and causality

framework using daily data for 1995 to 2001. Their main finding was that there is no

long-run equilibrium relationship between exchange rates and stock prices in these four

markets.

To examine the dynamic linkages between the foreign exchange and stock

markets for India, Nath and Samanta (2003) employed the Granger causality test on daily

data during the period March 1993 to December 2002. The empirical findings of the

study suggest that these two markets did not have any causal relationship. When the

study extended its analysis to verify if liberalization in both the markets brought them

together, it found no significant causal relationship between the exchange rate and stock

price movements, except for the years 1993, 2001 and 2002 during when a unidirectional

causal influence from stock index return to return in forex market is detected and a very

mild causal influence in the reverse direction is found in some years such as 1997 and

2002.

Alok Kumar Mishra S in his article Stock Market and Foreign Exchange Market

in India: Are they Related? attempts to examine whether stock market and foreign

exchange markets are related to each other or not. The study uses Grangers Causality

test and Vector Auto Regression technique on monthly stock return, exchange rate

interest rate and demand for money for the period April 1992 to March 2002. The major

findings of the study are:

There exists a unidirectional causality between the exchange rate and interest rate

and between the exchange rate return and demand for money;

There is no Grangers causality between the exchange rate return and stock

return.

Through Vector Auto Regression modeling, the study confirms that though stock


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return, exchange rate return, the demand for money and interest rate are related to

each

other but any consistent relationship doesnt exist between them. The forecast

error

variance decomposition further evidences that:

The exchange rate return affects the demand for money,

The interest rate causes exchange rate return change,

The exchange rate return affects the stock return,

The demand for money affects stock return,

The interest rate affects the stock return, and

The demand for money affects the interest rate.

Apte (2001) investigated the relationship between the volatility of the stock market

and the nominal exchange rate of India by using the EGARCH specifications on the daily

closing USD/INR exchange rate, BSE 30 (Sensex) and NIFTY-50 over the period 1991

to 2000. The study suggests that there appears to be a spillover from the foreign exchange

market to the stock market but not the reverse.

3.1 Conclusion

From the above review of literature it is observed that exchange rate is most

important when it comes to foreign investments. They have done their research on the

impact of exchange rate on share prices but they have not conducted any further research

on the volatility of share prices in respect of rupee appreciation. So here by an attempt

has been made to derive the relationship between the rupee appreciation and volatility of

share prices.


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CHAPTER-4

RESEARCH

METHODOLOGY


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RESEARCH METHODOLOGY

4.1 Type of research:

The study type is quantitative and historical. Quantitative as relationship is

examined by expressing variables in measurable terms and also Historical as the

historical Information is used for analysis and interpretation

4.2 Sampling technique:

Convenience sampling is used because only particular units are selected from the

sampling frame. Such a selection is undertaken as these units represent the sample in a

better way and reflect better relationship with the other variable.

4.3 Sample size:

Sample is the 16 companies of 4 sectors (IT, Textile, pharmaceutical, Oil and Gas

sectors) stock market and all indices and exchange rates of rupee versus Dollar of US.

Sample chosen is monthly closing values of BSE Sensex, and exchange Rates of

Rupee/Dollar from 1-2-2007 to 31-1-2008.

4.4 Data gathering procedures and instruments:

Data:

Historical monthly share prices and information about their forex exposure.

Historical monthly closing values of BSE Sensex, index and export index. Direct and

indirect quotes of rupee per dollar.

Data Source:

Historical share prices of the sample companies and the index points for the

Period has been taken from the database of Capital Market Publishers (India) Ltd.,

Capitaline 2008 and exchange rates information has been taken from

www.exchangerate.com. An exchange rate has two effects on share prices, a direct effect

through Multi National Firms and indirect effect through domestic firms. Even though

exchange rate has effect on stock prices of companies, the study has been conducted by

considering different indices because index values are nothing but the weighted average


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of different companys share prices and indices are the proxies of stock market. BSE

Sensex is considered as it is a barometer of the state of the economy. It follows the free

float methodology. The companies in the Sensex are domestic Companies, so it has been

taken to see the indirect effect of exchange rates.

Secondary Data:

As the data relating to share prices of companies and SENSEX are of previous

year, secondary data is collected. Data is collected for the period from. February 2007 to

January 2008. The data is also collected from websites, journals, dailies, BgSE Library,

etc.

4.5 Tools:

Tool to be used is correlation analysis using coefficient of determination.

CovxyCorrelation coefficient (r) =

x* y

where, (x-x1)(y-y1)Covxy =

n

x = Monthly % change in Exchange rates.

y = Monthly % change in Scrips closing

prices.

= (R- R1)

2

/n

where, Return(R) = (P1/P

0*100) - 100

P1= Current month price,

P0= Previous month price

R1= R/n

n = number of months


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COMPANIES UNDER ANALYSIS

In this project 4 sectors are taken to calculate as sample whether the rupeeappreciation has impact on share prices.

IT SECTOR

1. Infosys technologies limited

2. Wipro limited

3. Satyam computer services limited

4. Hexaware technologies limited.

TEXTILE SECTOR

1. Arvind mills

2. Raymonds textiles

3. Alok industries

4. Bombay rayon fashions limited

PHAMACEUTICAL SECTOR

1. Ranbaxy laboratories limited

2. Cipla limited

3. Glaxosmithkline pharmaceuticals limited

4. Aventis pharma limited.

OIL AND GAS SECTOR

1. NTPC limited.

2. ONGC limited

3. Essar oil coporation limited

4. MRPL limited.


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2.6 LIMITATIONS OF THE STUDY

1. The study is restricted to selected companies from BSE SENSEX.

2. Only one year from February 2007 to January 2008 data is taken for the study.

3. Only exchange rate economic factor is considered.

4. Only 4 sectors are taken into consideration and 4 companies from each sector are

taken for the research study.


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CHAPTER-5

ANALYSIS OF DATA

AND

INTERPRETATION


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Table No. 1: MONTHLY CHANGES IN BSE SENSEX VALUES FROM

FEBRUARY 2007 TO JANUARY 2008.

DATE BSESENSEX

2007/02 14124.

2007/03 13013.

2007/04 12811.

2007/05 13987

2007/06 14610

2007/07 14685

2007/08 15166

2007/09 15713

2007/10 18525

2007/11 19947

2007/12 19547

2008/01 20323


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BSESENSEX

0

5000

10000

15000

20000

25000

2007

/02

2007

/03

2007

/04

2007

/05

2007

/06

2007

/07

2007

/08

2007

/09

2007

/10

2007

/11

2007

/12

2008

/01

MONTHS

SENSEX

BSESENSEX

Chart No. 1: MONTHLY FLUCTUATIONS IN BSE SENSEX VALUES FROM

FEBRUARY S2007 TO JANUARY 2008

The above graph shows the movement of BSE SENSEX from February 2007 to

January 2008 . As shown in the graph SENSEX has moved from 14124 in February

2007 to 20323 in January 2008.

As per theabove table shows the movement ofBSE SENSEX. In 2007/2 BSE

SENSEX is 14124, 2007/3 is 13013, 2007/4 is 11211, 2007/5 is 13987, 2007/6 is 14610,

2007/7 is 14685, 2007/8 is 15166, 2007/9 is 15713, 2007/10 is 18525, 2007/11 is 19947,

2007/12 is 19547 and in 2008/01 is 20223. it shows the volatility of BSE SENSEX.


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Table No. 2: MONTHLY CHANGES IN EXCHANGE RATE FROM FEBRUARY

2007 TO JANUARY 2008.

DATE EXCHANGE RATE

2007/02 44.02

2007/03 43.47

2007/04 40.82

2007/05 41.05

2007/06 40.2

2007/07 40.37

2007/08 40.62

2007/09 39.66

2007/10 39.27

2007/11 39.3

2007/12 39.26

2008/01 39.29


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EXCHANGE RATE

36

37

38

39

40

41

42

43

44

45

2007/02

2007/03

2007/04

2007/05

2007/06

2007/07

2007/08

2007/09

2007/10

2007/11

2007/12

2008/01

MONTH

EXCHANGERATE

Chart No. 2: MONTHLY FLUCTUATIONS IN EXCHANGE RATE FROM

FEBRUARY 2007 TO JANUARY 2008

The above graph shows the movement of EXCHANGE RATE from February

2007 to January 2008. As shown in the graph EXCHANGE RATE has moved from 44.02

in February 2007 to 39.29 in January 2008.

As per the above table shows the movement of EXCHANGE RATE. In 2007/2

EXCHANG RATE is 44.02, 2007/3 is 43.47, 2007/4 is40.82, 2007/5 is 41.05, 2007/6 is

40.2, 2007/7 is 40.37, 2007/8 is 40.62, 2007/9 is 39.66, 2007/10 is 39.27, 2007/11 is 39.3,

2007/12 is 39.26and in 2008/01 is 39.29s. it shows the volatility of EXCHANGE RATE.


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Table No. 3: MONTHLY FLUCTUATIONS IN BSE SENSEX VALUES AND

EXCHANGE RATE

CORRELATION = 0.2401.

DATE BSESENSEX%CHANGE IN

STOCK PRICE

EXCHANGE

RATE

CHANGE IN

EXCHANGE

RATE

%CHANGE IN

EXCHANGE

RATE

2007/02 14124 nil 44.02 nil nil

2007/03 13013 -7.866 43.47 -0.55 -1.249

2007/04 12811 -1.552 40.82 -3.2 -6.096

2007/05 13987 9.179 41.05 -2.97 0.563

2007/06 14610 4.454 40.2 -3.82 -2.070

2007/07 14685 0.513 40.37 -3.65 0.422

2007/08 15166 3.275 40.62 -3.4 0.619

2007/09 15713 3.606 39.66 -4.36 -2.363

2007/10 18525 17.896 39.27 -4.75 -0.983

2007/11 19947 7.676 39.3 -4.72 0.076

2007/12 19547 -2.005 39.26 -4.76 -0.101

2008/01 20323 3.969 39.29 -4.73 0.076


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Table No. 4: MOVEMENT OF STOCK PRICES OF INFOSYS TECHNOLOGIES

LIMITED FROM FEBRUARY 2007 TO JANUARY 2008.

CORRELATION = -0.34.

DATE

STOCK

PRICE

%CHANGE IN

STOCK PRICE

EXCHANGE

RATE

CHANGE IN

EXCHANGE RATE

%CHANGE IN

EXCHANGE RATE

2007/02 2078 nil 44.02 nil nil

2007/03 2012 -3.176 43.47 -0.55 -1.249

2007/04 2049 1.838 40.82 -3.2 -6.096

2007/05 1920 -6.295 41.05 -2.97 0.563

2007/06 1929 0.468 40.2 -3.82 -2.070

2007/07 1977 2.488 40.37 -3.65 0.422

2007/08 1855 -6.170 40.62 -3.4 0.619

2007/09 1896 2.210 39.66 -4.36 -2.363

2007/10 1839 -3.006 39.27 -4.75 -0.983

2007/11 1604 -12.778 39.3 -4.72 0.076

2007/12 1768 10.224 39.26 -4.76 -0.101

2008/01 1503 -14.988 39.29 -4.73 0.076


34/79



STOCK PRICE

0

500

1000

1500

2000

2500

1 2 3 4 5 6 7 8 9 10 11 12

MONTHS

STOCKPRICE

Chart No. 3: MONTHLY FLUCTUATIONS IN INFOSYS TECHNOLOGIES

LTD. SHARE PRICES FROM FEBRUARY 2007 TO JANUARY 2008.

The above graph shows the movement of Infosys Technologies Ltd share prices

from February 2007 to January 2008. As shown in the graph share prices has moved from

2070 in February 2007 to 1503 in January 2008.

As per the above table shows the movement of Infosys Technology Ltd. In

2007/2 share price is 2078, 2007/3 is 2012, 2007/4 is 2049, 2007/5 is 1920, 2007/6 is

1929, 2007/7 is 1977, 2007/8 is 1855, 2007/9 is 1896, 2007/10 is 1839, 2007/11 is 1604,

2007/12 is 1768 and in 2008/01 is 1503. it shows the volatility in share price of infosys

technology Ltd .

As per the above analysis share price of the Infosys Technology Ltd hasdecreased from Rs. 2070 to Rs.1503 (27.39%) and exchange rate has increased from

Rs.44.02 to Rs39.29 (10.74%) against the US$. And correlation of Infosys technology

and exchange rate is 0.34 and covariance is 11.80. It shows that infosys technology is

affected by the rupee appreciation at 11.80%.


35/79



Table No. 5: MOVEMENT OF STOCK PRICES OF WIPRO LIMITED FROM


DATETOCK

PRICE

%CHANGE IN

STOCK PRICE

EXCHANGE

RATE

CHANGE IN

EXCHANGE RATE

%CHANGE IN

EXCHANGE

RATE

2007/02 560 nil 44.02 nil nil

2007/03 558 -0.357 43.47 -0.55 -1.249

2007/04 571 2.329 40.82 -3.2 -6.096

2007/05 544 -4.722 41.05 -2.97 0.563

2007/06 518 -4.779 40.2 -3.82 -2.070

2007/07 495 -4.440 40.37 -3.65 0.422

2007/08 482 -2.626 40.62 -3.4 0.619

2007/09 459 -4.771 39.66 -4.36 -2.363

2007/10 504 9.803 39.27 -4.75 -0.983

2007/11 460 -8.730 39.3 -4.72 0.076

2007/12 525 14.130 39.26 -4.76 -0.101

2008/01 413 -21.333 39.29 -4.73 0.076

Correlation=-0.2051


36/79



0

100

200

300

400

500

600

2007

/02

2007/03

2007/04

2007/05

2007/06

2007/07

2007/08

2007/09

2007/10

2007

/11

2007/12

2008/01

MONTHS

STOCKPRICE

Chart No. 4: MONTHLY FLUCTUATIONS IN WIPRO LTD. SHARE PRICES

FROM FEBRUARY 2007 TO JANUARY 2008.

The above graph shows the movement of Wipro Ltd share prices from February

2007 to January 2008.. As shown in the graph share prices has moved from 560 inFebruary 2007 to 413 in January 2008.

As per theabove table shows the movement of Wipro Ltd. In 2007/2 share price

is 560, 2007/3 is 558, 2007/4 is 571, 2007/5 is 544, 2007/6 is 518, 2007/7 is 495, 2007/8

is 482, 2007/9 is 459, 2007/10 is 504, 2007/11 is 460, 2007/12 is 525 and in 2008/01 is

413. it shows the volatility in share price of Wipro Ltd .

As per the above analysis share price of the Wipro Ltd has decreased from Rs.560

to Rs.413 (26.25%) and exchange rate has increased from Rs.44.02 to Rs39.29 (10.74%)

against the US$. And correlation of Wipro Ltd and exchange rate is 0.205 and covariance

is 4.21. It shows that Wipro is affected by the rupee appreciation at 4.21%.


37/79



Table No. 6: MOVEMENT OF STOCK PRICES OF SATYAM COMPUTER

SERVICES LIMITED FROM FEBRUARY 2007 TO JANUARY 2008.

CORRELATION -0.2295

DATESTOCK

PRICE

%CHANGEIN STOCK

PRICE

EXCHANGE

RATE

CHANGE INEXCHANGE

RATE

%CHANGE IN

EXCHANGE RATE

2007/02 412 nil 44.02 nil Nil

2007/03 470 14.078 43.47 -0.55 -1.249

2007/04 473 0.638 40.82 -3.2 -6.096

2007/05 469 -0.846 41.05 -2.97 0.563

2007/06 467 -0.426 40.2 -3.82 -2.071

2007/07 483 3.426 40.37 -3.65 0.423

2007/08 447 -7.453 40.62 -3.4 0.619

2007/09 443 -0.895 39.66 -4.36 -2.363

2007/10 477 7.675 39.27 -4.75 -0.983

2007/11 439 -7.966 39.3 -4.72 0.076

2007/12 449 2.278 39.26 -4.76 -0.102

2008/01 389 -13.363 39.29 -4.73 0.076


38/79



0

100

200

300

400

500

600

2007

/02

2007

/03

2007

/04

2007

/05

2007

/06

2007

/07

2007

/08

2007

/09

2007

/10

2007

/11

2007

/12

2008

/01

MONTHS

STOC

KPRICE

Chart No. 5: MONTHLY FLUCTUATIONS IN SATYAM COMPUTER

SERVICES LTD. SHARE PRICES FROM FEBRUARY 2007 TO JANUARY 2008.

The above graph shows the movement of Satyam computer services Ltd share

prices from February 2007 to January 2008.. As shown in the graph share prices has

moved from 412 in February 2007 to 389 in January 2008.

As per theabove table shows the movement of Satyam computer services Ltd. In

2007/2 share price is 412, 2007/3 is 470, 2007/4 is 473, 2007/5 is 469, 2007/6 is 467,

2007/7 is 483, 2007/8 is 447, 2007/9 is 443, 2007/10 is 477, 2007/11 is 439, 2007/12 is

449 and in 2008/01 is 389. it shows the volatility in share price of Satyam computer

services Ltd .

As per the above analysis share price of the Satyam computer service Ltd has

decreased from Rs.412 to Rs.389 (5.58%) and exchange rate has increased from Rs.44.02

to Rs39.29 (10.74%) against the US$. And correlation of satyam computer service Ltd

and exchange rate is 0.229 and covariance is 5.26. It shows that satyam computers Ltd is



39/79



Table No. 7: MOVEMENT OF STOCK PRICES OF HEXAWARE

TECHNOLOGIES LIMITED FROM FEBRUARY 2007 TO JANUARY.

DATESTOCK

PRICE

%CHANGE IN

STOCK PRICE

EXCHANGE

RATE

CHANGE IN

EXCHANGE RATE

%CHANGE IN

EXCHANGERATE

2007/02 150 nil 44.02 nil nil

2007/03 168 12.000 43.47 -0.55 -1.249

2007/04 169 0.595 40.82 -3.2 -6.096

2007/05 157 -7.101 41.05 -2.97 0.563

2007/06 162 3.185 40.2 -3.82 -2.071

2007/07 136 -16.049 40.37 -3.65 0.423

2007/08 121 -11.029 40.62 -3.4 0.619

2007/09 124 2.479 39.66 -4.36 -2.363

2007/10 107 -13.710 39.27 -4.75 -0.983

2007/11 78 -27.103 39.3 -4.72 0.076

2007/12 86 10.256 39.26 -4.76 -0.102

2008/01 66 -23.256 39.29 -4.73 0.076

CORRELATION== -0.42570


40/79



0

20

40

60

80

100

120

140

160

180

2007/02

2007/03

2007/04

2007/05

2007/06

2007/07

2007/08

2007/09

2007/10

2007/11

2007/12

2008/01

MONTHS

STOCKPRICE

Chart No. 6: MONTHLY FLUCTUATIONS IN HEXAWARE TECHNOLOGIES


The above graph shows the movement of Hexaware technologies Ltd share prices

from February 2007 to January 2008.. As shown in the graph share prices has moved

from 150 in February 2007 to 66 in January 2008.

As per the above table shows the movement of Hexaware technologies Ltd. In


2007/7 is 136, 2007/8 is 121, 2007/9 is 124, 2007/10 is 107, 2007/11 is 78, 2007/12 is 86

and in 2008/01 is 66. it shows the volatility in share price of Hexaware technologies Ltd .

As per the above analysis share price of the Hexaware technologies Ltd has

decreased from Rs.150 to Rs.66 (60.01%) and exchange rate has increased from Rs.44.02

to Rs39.29 (10.74%) against the US$. And correlation of Hexaware technologies Ltd and

exchange rate is 0.425 and covariance is 18.2. It shows that Hexaware technologies Ltd is



41/79



Table No. 8: MOVEMENT OF STOCK PRICES OF ARVIND MILLS LIMITEDFROM FEBRUARY 2007 TO JANUARY 2008.

DATESTOCK

PRICE

%CHANGE IN STOCK

PRICE

EXCHANGE

RATE

CHANGE IN

EXCHANGE

RATE

%CHANGE IN

EXCHANGE

RATE

2007/02 50 nil 44.02 nil nil

2007/03 43 -14.000 43.47 -0.55 -1.249

2007/04 45 4.651 40.82 -3.2 -6.096

2007/05 46 2.222 41.05 -2.97 0.563

2007/06 44 -4.348 40.2 -3.82 -2.071

2007/07 48 9.091 40.37 -3.65 0.423

2007/08 48 0.000 40.62 -3.4 0.619

2007/09 62 29.167 39.66 -4.36 -2.363

2007/10 71 14.516 39.27 -4.75 -0.983

2007/11 74 4.225 39.3 -4.72 0.076

2007/12 90 21.622 39.26 -4.76 -0.102

2008/01 46 -48.889 39.29 -4.73 0.076

CORRELATION=-0.16477


42/79



0

20

40

60

80

100

2007/02

2007/03

2007/04

2007/05

2007/06

2007/07

2007/08

2007/09

2007/10

2007/11

2007/12

2008/01

MONTHS

STOCKPRICE

Chart No. 7: MONTHLY FLUCTUATIONS IN ARVIND MILLS LTD. SHARE

PRICES FROM FEBRUARY 2007 TO JANUARY 2008.

The above graph shows the movement of Arvind mills Ltd share prices from

February 2007 to January 2008. As shown in the graph share prices has moved from 56in February 2007 to 46 in January 2008.

As per the above table shows the movement of Arvind mills Ltd. In 2007/2

share price is 50, 2007/3 is 43, 2007/4 is 45, 2007/5 is 46, 2007/6 is 44, 2007/7 is 48,

2007/8 is 48, 2007/9 is 62, 2007/10 is 71, 2007/11 is 74, 2007/12 is 90 and in 2008/01 is

46. it shows the volatility in share price of Arvind mills Ltd .

As per the above analysis share price of the Arvind mills Ltd has decreased from

Rs.56 to Rs.46 (60.01%) and exchange rate has increased from Rs.44.02 to Rs39.29

(10.74%) against the US$. And correlation of Arvind mills Ltd and exchange rate is

0.164 and covariance is 2.7. It shows that Arvind mills Ltd is affected by the rupee

appreciation at 2.7%.


43/79



Table No. 9: MOVEMENT OF STOCK PRICES OF RAYMONDS TEXTILES


DATESTOCK

PRICE

%CHANGE IN

STOCK PRICE

EXCHANGE

RATE

CHANGE IN

EXCHANGE RATE

%CHANGE IN

EXCHANGE

RATE

2007/02 345 nil 44.02 nil nil

2007/03 341 -1.159 43.47 -0.55 -1.249

2007/04 344 0.880 40.82 -3.2 -6.096

2007/05 323 -6.105 41.05 -2.97 0.563

2007/06 308 -4.644 40.2 -3.82 -2.071

2007/07 276 -10.390 40.37 -3.65 0.423

2007/08 258 -6.522 40.62 -3.4 0.619

2007/09 324 25.581 39.66 -4.36 -2.363

2007/10 353 8.951 39.27 -4.75 -0.983

2007/11 420 18.980 39.3 -4.72 0.076

2007/12 441 5.000 39.26 -4.76 -0.102

2008/01 357 -19.048 39.29 -4.73 0.076

CORRELATION= -0.2502


44/79



0

50

100

150200

250

300

350

400

450

500

2007/02

2007/03

2007/04

2007/05

2007/06

2007/07

2007/08

2007/09

2007/10

2007/11

2007/12

2008/01

MONTHS

STOCKPRICE

Chart No. 8: MONTHLY FLUCTUATIONS IN RAYMONDS TEXTILES LTD.

SHARE PRICES FROM FEBRUARY 2007 TO JANUARY 2008.

The above graph shows the movement of Raymond textiles Ltd share prices from

February 2007 to January 2008. As shown in the graph share prices has moved from 345

in February 2007 to 357 in January 2008.

As per theabove table shows the movement ofRaymond textiles Ltd. In 2007/2

share price is 345, 2007/3 is 341, 2007/4 is 344, 2007/5 is 323, 2007/6 is 308, 2007/7 is

276, 2007/8 is 258, 2007/9 is 324, 2007/10 is 353, 2007/11 is 420, 2007/12 is 441 and in

2008/01 is 357. it shows the volatility in share price of Raymond textiles Ltd .As per the above analysis share price of the Raymond textiles Ltd has increased

from Rs.345 to Rs.357 (3.47%) and exchange rate has increased from Rs.44.02 to

Rs39.29 (10.74%) against the US$. And correlation of Raymond textiles Ltd and

exchange rate is 0.2502 and covariance is 6.26. It shows that Raymond textiles Ltd is



45/79



Table No. 10: MOVEMENT OF STOCK PRICES OF ALOK INDUSTRIESLIMITED FROM FEBRUARY 2007 TO JANUARY 2008.

CORRELATION= -0.1326

DATESTOCK

PRICE

%CHANGE IN

STOCK PRICE

EXCHANGE

RATE

CHANGE IN

EXCHANGE RATE

%CHANGE IN

EXCHANGE

RATE

2007/02 61 nil 44.02 nil nil

2007/03 57 -6.557 43.47 -0.55 -1.249

2007/04 64 12.281 40.82 -3.2 -6.096

2007/05 58 -9.375 41.05 -2.97 0.563

2007/06 57 -1.724 40.2 -3.82 -2.071

2007/07 68 19.298 40.37 -3.65 0.423

2007/08 67 -1.471 40.62 -3.4 0.619

2007/09 71 5.970 39.66 -4.36 -2.363

2007/10 67 -5.634 39.27 -4.75 -0.983

2007/11 76 13.433 39.3 -4.72 0.076

2007/12 103 35.526 39.26 -4.76 -0.102

2008/01 67 -34.951 39.29 -4.73 0.076


46/79



0

20

40

60

80

100

120

2007/02

2007/03

2007/04

2007/05

2007/06

2007/07

2007/08

2007/09

2007/10

2007/11

2007/12

2008/01

MONTHS

STOCKPRICE

Chart No. 9: MONTHLY FLUCTUATIONS IN ALOK INDUSTRIES LTD.


The above graph shows the movement of Alok industries Ltd share prices from

February 2007 to January 2008.. As shown in the graph share prices has moved from 61in February 2007 to 67 in January 2008.

As per theabove table shows the movement ofAlok industries Ltd. In 2007/2

share price is 61, 2007/3 is 57, 2007/4 is 64, 2007/5 is 58, 2007/6 is 57, 2007/7 is 68,

2007/8 is 67, 2007/9 is 71, 2007/10 is 67, 2007/11 is 76, 2007/12 is 103 and in 2008/01 is

67. it shows the volatility in share price of Alok industries Ltd .

As per the above analysis share price of the Alok industries Ltd has increased

from Rs.61 to Rs.67 (60.01%) and exchange rate has increased from Rs.44.02 to Rs39.29

(10.74%) against the US$. And correlation of Alok industries Ltd and exchange rate is

0.132 and covariance is 1.75. It shows that Alok industries Ltd is affected by the rupee

appreciation at 1.75%.


47/79



Table No. 11: MOVEMENT OF STOCK PRICES OF BOMBAY RAYONFASHIONS LIMITED FROM FEBRUARY 2007 TO JANUARY 2008

DATE

STOCK

PRICE

%CHANGE IN

STOCK PRICE

EXCHANGE

RATE

CHANGE IN

EXCHANGE RATE

%CHANGE IN

EXCHANGERATE

2007/02 189 nil 44.02 nil nil

2007/03 160 -15.344 43.47 -0.55 -1.249

2007/04 187 16.875 40.82 -3.2 -6.096

2007/05 246 31.551 41.05 -2.97 0.563

2007/06 248 0.813 40.2 -3.82 -2.071

2007/07 210 -15.323 40.37 -3.65 0.423

2007/08 227 8.095 40.62 -3.4 0.619

2007/09 239 5.286 39.66 -4.36 -2.363

2007/10 285 19.247 39.27 -4.75 -0.983

2007/11 319 11.930 39.3 -4.72 0.076

2007/12 358 12.226 39.26 -4.76 -0.102

2008/01 283 -20.950 39.29 -4.73 0.076



48/79



0

50

100

150

200

250

300

350

400

2007/02

2007/03

2007/04

2007/05

2007/06

2007/07

2007/08

2007/09

2007/10

2007/11

2007/12

2008/01

MONTHS

STOCKPRICE

Chart No. 10: MONTHLY FLUCTUATIONS IN BOMBAY RAYON FASHIONS

FASHIONS LTD. SHARE PRICES FROM FEBRUARY 2007 TO JANUARY 2008.

The above graph shows the movement of Bombay fashions Ltd share prices

from February 2007 to January 2008.. As shown in the graph share prices has moved


As per theabove table shows the movement of Bombay Rayon Fashions Ltd. In


2007/7 is 210, 2007/8 is 227, 2007/9 is 239, 2007/10 is 285, 2007/11 is 319, 2007/12 is

358 and in 2008/01 is 283. It shows the volatility in share price of Bombay Rayon

Fashions Ltd.

As per the above analysis share price of the Bombay fashion Ltd has increased


Rs39.29 (10.74%) against the US$. And correlation of Bombay fashion Ltd and exchange

rate is 0.146 and covariance is 2.13. It shows that Bombay fashion Ltd is affected by the

rupee appreciation at 2.13%


49/79



Table No. 12: MOVEMENT OF STOCK PRICES OF CIPLA LIMITED FROM


DATESTOCK

PRICE

%CHANGE IN

STOCK PRICE

EXCHANGE

RATE

CHANGE IN

EXCHANGE RATE

%CHANGE IN

EXCHANGE

RATE

2007/02 233 nil 44.02 nil nil

2007/03 235 0.858 43.47 -0.55 -1.249

2007/04 210 -10.638 40.82 -3.2 -6.096

2007/05 217 3.333 41.05 -2.97 0.563

2007/06 208 -4.147 40.2 -3.82 -2.071

2007/07 190 -8.654 40.37 -3.65 0.423

2007/08 167 -12.105 40.62 -3.4 0.619

2007/09 182 8.982 39.66 -4.36 -2.363

2007/10 179 -1.648 39.27 -4.75 -0.983

2007/11 183 2.235 39.3 -4.72 0.076

2007/12 213 16.393 39.26 -4.76 -0.102

2008/01 188 -11.737 39.29 -4.73 0.076

CORRELATION=0.1316


50/79



0

50

100

150

200

250

2007/02

2007/03

2007/04

2007/05

2007/06

2007/07

2007/08

2007/09

2007/10

2007/11

2007/12

2008/01

MONTHS

S

TOCKPRICE

Chart No. 11: MONTHLY FLUCTUATIONS IN CIPLA LTD. SHARE PRICES

FROM FEBRUARY 2007 TO JANUARY 2008

The above graph shows the movement of Cipla Ltd share prices from February

2007 to January 2008. As shown in the graph share prices has moved from 233 in

February 2007 to 188 in January 2008.

As per theabove table shows the movement of Cipla Ltd. In 2007/2 share price is

233, 2007/3 is 235, 2007/4 is 210, 2007/5 is 217, 2007/6 is 208, 2007/7 is 190, 2007/8 is

167, 2007/9 is 182, 2007/10 is 179, 2007/11 is 183, 2007/12 is 213 and in 2008/01 is 188.

It shows the volatility in share price of Cipla Ltd.

As per the above analysis share price of the Cipla Ltd has decreased from Rs.233


against the US$. And correlation of Cipla Ltd and exchange rate is 0.131 and covariance

is 1.7. It shows that Cipla Ltd is affected by the rupee appreciation at 1.7%.


51/79



Table No. 13: MOVEMENT OF STOCK PRICES OF AVENTIS PHARMA


DATE

STOCK

PRICE

%CHANGE IN

STOCK PRICE

EXCHANGE

RATE

CHANGE IN

EXCHANGE RATE

%CHANGE IN

EXCHANGERATE

2007/02 1233 nil 44.02 nil nil

2007/03 1230 -0.243 43.47 -0.55 -1.249

2007/04 1294 5.203 40.82 -3.2 -6.096

2007/05 1315 1.623 41.05 -2.97 0.563

2007/06 1443 9.734 40.2 -3.82 -2.071

2007/07 1313 -9.009 40.37 -3.65 0.423

2007/08 1221 -7.007 40.62 -3.4 0.619

2007/09 1166 -4.505 39.66 -4.36 -2.363

2007/10 1018 -12.693 39.27 -4.75 -0.983

2007/11 988 -2.947 39.3 -4.72 0.076

2007/12 1163 17.713 39.26 -4.76 -0.102

2008/01 912 -21.582 39.29 -4.73 0.076

CORRELATIOM=-0.29495


52/79



0

200

400

600

800

1000

1200

1400

1600

2007

/02

2007

/03

2007

/04

2007

/05

2007

/06

2007

/07

2007

/08

2007

/09

2007

/10

2007

/11

2007

/12

2008

/01

MONTHS

STOCKPRIC

Chart No. 12: MONTHLY FLUCTUATIONS IN AVENTIS PHARMA LTD.


The above graph shows the movement of Aventis pharma Ltd share prices from

February 2007 to January 2008.. As shown in the graph share prices has moved from

1233 in February 2007 to 912 in January 2008.

As per the above table shows the movement of Aventis pharma Ltd. In 2007/2

share price is 1233, 2007/3 is 1230, 2007/4 is 1294, 2007/5 is 1315, 2007/6 is 1443,

2007/7 is 1313, 2007/8 is 1221, 2007/9 is 1166, 2007/10 is 1018, 2007/11 is 988,

2007/12 is 1163 and in 2008/01 is 912. It shows the volatility in share price of Aventis

pharma Ltd.

As per the above analysis share price of the Aventis pharma Ltd has decreased


Rs39.29 (10.74%) against the US$. And correlation of Aventis pharma Ltd and exchange

rate is 0.294 and covariance is 8.6. It shows that Aventis pharma Ltd is affected by the

rupee appreciation at 8.6%.


53/79



Table No. 14: MOVEMENT OF STOCK PRICES OF RANBAXYLABORATORIES LIMITED FROM FEBRUARY 2007 TO JANUARY 2008

DATESTOCK

PRICE

%CHANGE IN

STOCK PRICE

EXCHANGE

RATE

CHANGE IN

EXCHANGE RATE

%CHANGE IN

EXCHANGE

RATE

2007/02 337 nil 44.02 nil nil

2007/03 352 4.451 43.47 -0.55 -1.249

2007/04 371 5.398 40.82 -3.2 -6.096

2007/05 388 4.582 41.05 -2.97 0.563

2007/06 355 -8.505 40.2 -3.82 -2.071

2007/07 390 9.859 40.37 -3.65 0.423

2007/08 391 0.256 40.62 -3.4 0.619

2007/09 434 10.997 39.66 -4.36 -2.363

2007/10 427 -1.613 39.27 -4.75 -0.983

2007/11 387 -9.368 39.3 -4.72 0.076

2007/12 426 10.078 39.26 -4.76 -0.102

2008/01 351 -17.606 39.29 -4.73 0.076



54/79



050

100

150

200

250

300

350

400

450

500

2007/02

2007/03

2007/04

2007/05

2007/06

2007/07

2007/08

2007/09

2007/10

2007/11

2007/12

2008/01

MONTHS

STOCKPRICE

Chart No. 13: MONTHLY FLUCTUATIONS IN RANBAXY LABORATARIES


The above graph shows the movement of Ranbaxy laboratories Ltd share prices

from February 2007 to January 2008. As shown in the graph share prices has moved


As per the above table shows the movement of Ranbaxy laboratories Ltd. In


2007/7 is 390, 2007/8 is 391, 2007/9 is 434, 2007/10 is 427, 2007/11 is 387, 2007/12 is

426 and in 2008/01 is 351. It shows the volatility in share price of Ranbaxy laboratories

Ltd.

As per the above analysis share price of the Ranbaxy laboratories Ltd has

increased from Rs.337 to Rs.351 (4.15%) and exchange rate has increased from Rs.44.02

to Rs39.29 (10.74%) against the US$. And correlation of Ranbaxy laboratories Ltd and

exchange rate is 0.179 and covariance is 3.2. It shows that Ranbaxy laboratories Ltd is



55/79



Table No. 15: MOVEMENT OF STOCK PRICES OF GLAXOSMITHKLINE

PHARMACEUTICALS LIMITED FROM FEBRUARY 2007 TO JANUARY 2008.

DATESTOCK

PRICE

%CHANGE IN

STOCK PRICE

EXCHANGE

RATE

CHANGE IN

EXCHANGE RATE

%CHANGE IN

EXCHANGE RATE

2007/02 1158 nil 44.02 nil nil

2007/03 1117 -3.541 43.47 -0.55 -1.249

2007/04 1166 4.387 40.82 -3.2 -6.096

2007/05 1274 9.262 41.05 -2.97 0.563

2007/06 1268 -0.471 40.2 -3.82 -2.071

2007/07 1154 -8.991 40.37 -3.65 0.423

2007/08 1169 1.300 40.62 -3.4 0.619

2007/09 1112 -4.876 39.66 -4.36 -2.363

2007/10 1081 -2.788 39.27 -4.75 -0.983

2007/11 947 -12.396 39.3 -4.72 0.076

2007/12 1029 8.659 39.26 -4.76 -0.102

2008/01 818 -20.505 39.29 -4.73 0.076

CORRELATION=-0.2173


56/79



0

200400

600

800

1000

1200

1400

2007/02

2007/03

2007/04

2007/05

2007/06

2007/07

2007/08

2007/09

2007/10

2007/11

2007/12

2008/01

MONTHS

ST

OCKPRICE

Chart No. 14: MONTHLY FLUCTUATIONS IN GLAXOSMITHKLINE

PHARMACEUTICALS LTD. SHARE PRICES FROM FEBRUARY 2007 TO

JANUARY 2008.

The above graph shows the movement of Glaxosmithkline pharmaceuticals Ltd

share prices from February 2007 to January 2008. As shown in the graph share prices has


As per the above table shows the movement of Glaxosmithkline

pharmaceuticals Ltd. In 2007/2 share price is 1158, 2007/3 is 1117, 2007/4 is 1166,

2007/5 is 1274, 2007/6 is 1268, 2007/7 is 1154, 2007/8 is 1169, 2007/9 is 1112, 2007/10

is 1081, 2007/11 is 947, 2007/12 is 1029 and in 2008/01 is 818. It shows the volatility in

share price of Glaxosmithkline pharmaceuticals Ltd.

As per the above analysis share price of the Gloxosmithkline pharmaceuticals Ltd

has decreased from Rs.1158 to Rs.818 (29.36%) and exchange rate has increased from

Rs.44.02 to Rs39.29 (10.74%) against the US$. And correlation of Gloxosmithkline

pharmaceuticals Ltd and exchange rate is 0.217 and covariance is 4.72. It shows that

Gloxosmithkline pharmaceuticals Ltd is affected by the rupee appreciation at 4.72%


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Table No. 16: MOVEMENT OF STOCK PRICES OF NATIONAL THERMAL

POWER CORPORATION FROM FEBRUARY 2007 TO JANUARY 2008.

DATESTOCK

PRICE

%CHANGE IN

STOCK PRICE

EXCHANGE

RATE

CHANGE IN

EXCHANGE

RATE

%CHANGE IN

EXCHANGE RATE

2007/02 139 nil 44.02 nil nil

2007/03 150 7.914 43.47 -0.55 -1.249

2007/04 159 6.000 40.82 -3.2 -6.096

2007/05 158 -0.629 41.05 -2.97 0.563

2007/06 152 -3.797 40.2 -3.82 -2.071

2007/07 165 8.553 40.37 -3.65 0.423

2007/08 173 4.848 40.62 -3.4 0.619

2007/09 193 11.561 39.66 -4.36 -2.363

2007/10 239 23.834 39.27 -4.75 -0.983

2007/11 236 -1.255 39.3 -4.72 0.076

2007/12 250 5.932 39.26 -4.76 -0.102

2008/01 198 -20.800 39.29 -4.73 0.076

CORRELATION=-0.1956


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0

50

100

150

200

250

300

2007/02

2007/03

2007/04

2007/05

2007/06

2007/07

2007/08

2007/09

2007/10

2007/11

2007/12

2008/01

MONTHS

S

TOCKPRICE

Chart No. 15: MONTHLY FLUCTUATIONS IN NATIONAL THERMAL

POWER CORPORATION LTD. SHARE PRICES FROM FEBRUARY 2007 TO

JANUARY 2008

The above graph shows the movement of National thermal power corporation Ltd

share prices from February 2007 to January 2008.. As shown in the graph share prices

has moved from 193 in February 2007 to 198 in January 2008.

As per theabove table shows the movement of NTPC Ltd. In 2007/2 share price

is 139, 2007/3 is 150, 2007/4 is 159, 2007/5 is 158, 2007/6 is 152, 2007/7 is 165, 2007/8

is 173, 2007/9 is 193, 2007/10 is 239, 2007/11 is 236, 2007/12 is 250 and in 2008/01 is

198. It shows the volatility in share price of NTPC Ltd.

As per the above analysis share price of the NTPC Ltd has increased from Rs.193


against the US$. And correlation of NTPC Ltd and exchange rate is 0.195 and covariance

is 3.82. It shows that NTPC Ltd is affected by the rupee appreciation at 3.82%.


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Table No. 17: MOVEMENT OF STOCK PRICES OF OIL AND NATURAL GASCORPORATION LIMITED FROM FEBRUARY 2007 TO JANUARY 2008.

DATE STOCKPRICE

%CHANGE INSTOCK PRICE

EXCHANGERATE

CHANGE IN

EXCHANGERATE

%CHANGE IN

EXCHANGERATE

2007/02 790 nil 44.02 nil nil

2007/03 878 11.139 43.47 -0.55 -1.249

2007/04 912 3.872 40.82 -3.2 -6.096

2007/05 914 0.219 41.05 -2.97 0.563

2007/06 902 -1.313 40.2 -3.82 -2.071

2007/07 914 1.330 40.37 -3.65 0.423

2007/08 857 -6.236 40.62 -3.4 0.619

2007/09 958 11.785 39.66 -4.36 -2.363

2007/10 1247 30.167 39.27 -4.75 -0.983

2007/11 1170 -6.175 39.3 -4.72 0.076

2007/12 1236 5.641 39.26 -4.76 -0.102

2008/01 988 -20.065 39.29 -4.73 0.076

CORRELATION=-0.2674


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0

200

400

600

800

1000

1200

1400

2007/02

2007/03

2007/04

2007/05

2007/06

2007/07

2007/08

2007/09

2007/10

2007/11

2007/12

2008/01

MONTHS

STOCKPRICE

Chart No. 16: MONTHLY FLUCTUATIONS IN OIL AND NATURAL GAS

CORPORATION LTD. SHARE PRICES FROM FEBRUARY 2007 TO JANUARY

2008.

The above graph shows the movement of ONGC Ltd share prices from February

2007 to January 2008. As shown in the graph share prices has moved from 911 inFebruary 2007 to 968 in January 2008.

As per theabove table shows the movement of ONGC Ltd. In 2007/2 share price

is 790, 2007/3 is 878, 2007/4 is 912, 2007/5 is 914, 2007/6 is 902, 2007/7 is 914, 2007/8

is 857, 2007/9 is 958, 2007/10 is 1247, 2007/11 is 1170, 2007/12 is 1236 and in 2008/01

is 988. It shows the volatility in share price of ONGC Ltd.

As per the above analysis share price of the ONGC Ltd has increased from Rs.911


against the US$. And correlation of ONGC Ltd and exchange rate is 0.267 and

covariance is 7.15. It shows that ONGC Ltd is affected by the rupee appreciation at

7.15%.


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Table No. 18: MOVEMENT OF STOCK PRICES OF ESSAR OILCORPORATION LIMITED FROM FEBRUARY 2007 TO JANUARY 2008.

DATESTOCK

PRICE

%CHANGE IN

STOCK PRICE

EXCHANGE

RATE

CHANGE IN

EXCHANGE RATE

%CHANGE IN

EXCHANGE

RATE

2007/02 54 nil 44.02 nil nil

2007/03 51 -5.556 43.47 -0.55 -1.249

2007/04 57 11.765 40.82 -3.2 -6.096

2007/05 55 -3.509 41.05 -2.97 0.563

2007/06 55 0.000 40.2 -3.82 -2.071

2007/07 53 -3.636 40.37 -3.65 0.423

2007/08 52 -1.887 40.62 -3.4 0.619

2007/09 58 11.538 39.66 -4.36 -2.363

2007/10 57 -1.724 39.27 -4.75 -0.983

2007/11 241 322.807 39.3 -4.72 0.076

2007/12 325 34.855 39.26 -4.76 -0.102

2008/01 224 -31.077 39.29 -4.73 0.076

CORRELATION=0.1337


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0

50

100

150

200

250

300

350

2007/02

2007/03

2007/04

2007/05

2007/06

2007/07

2007/08

2007/09

2007/10

2007/11

2007/12

2008/01

MONTHS

STOCKPRICE

Chart No. 17: MONTHLY FLUCTUATIONS IN ESSAR OIL CORPORATION


The above graph shows the movement of ESSAR OIL Ltd share prices from

February 2007 to January 2008.. As shown in the graph share prices has moved from 54

in February 2007 to 224 in January 2008.

As per theabove table shows the movement of ESSAR OIL Ltd. In 2007/2 share

price is 54, 2007/3 is 51, 2007/4 is 57, 2007/5 is 55, 2007/6 is 55, 2007/7 is 53, 2007/8 is

52, 2007/9 is 58, 2007/10 is 57, 2007/11 is 241, 2007/12 is 325 and in 2008/01 is 224. It

shows the volatility in share price of ESSAR OIL Ltd.

As per the above analysis share price of the ESSAR OIL Ltd has increased from

Rs.54 to Rs.224 (314.8%) and exchange rate has increased from Rs.44.02 to Rs39.29

(10.74%) against the US$. And correlation of ESSAR OIL Ltd and exchange rate is

0.133 and covariance is 1.78. It shows that ESSAR OIL Ltd is affected by the rupeeappreciation at 1.78%.


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Table No. 19: MOVEMENT OF STOCK PRICES OFMANGALORE REFINERY PETROLEUM LIMITED FROM FEBRUARY 2007TO JANUARY 2008.

CORRELATION=-0.2666

DATESTOCK

PRICE

%CHANGE IN

STOCK PRICE

EXCHANGE

RATE

CHANGE IN

EXCHANGE RATE

%CHANGE IN

EXCHANGE

RATE

2007/02 36 nil 44.02 nil nil

2007/03 34 -5.556 43.47 -0.55 -1.249

2007/04 40 17.647 40.82 -3.2 -6.096

2007/05 41 2.500 41.05 -2.97 0.563

2007/06 40 -2.439 40.2 -3.82 -2.071

2007/07 44 10.000 40.37 -3.65 0.423

2007/08 42 -4.545 40.62 -3.4 0.619

2007/09 72 71.429 39.66 -4.36 -2.363

2007/10 82 13.889 39.27 -4.75 -0.983

2007/11 120 46.341 39.3 -4.72 0.076

2007/12 136 13.333 39.26 -4.76 -0.102

2008/01 80 -41.176 39.29 -4.73 0.076


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020

40

60

80

100

120

140

160

2007

/02

2007

/03

2007

/04

2007

/05

2007

/06

2007

/07

2007

/08

2007

/09

2007

/10

2007

/11

2007

/12

2008

/01

MONTHS

STOCKPRICE

Chart No. 18: MONTHLY FLUCTUATIONS IN MANGALORE PETROLEUMAND REFINERY LTD. SHARE PRICES FROM FEBRUARY 2007 TO JANUARY2008.

The above graph shows the movement of Mangalore refinery and petroleum Ltd

share prices from February 2007 to January 2008. As shown in the graph share prices has


As per theabove table shows the movement ofMRP Ltd. In 2007/2 share price

is 36, 2007/3 is 34, 2007/4 is 40, 2007/5 is 41, 2007/6 is 40, 2007/7 is 44, 2007/8 is 42,

2007/9 is 72, 2007/10 is 82, 2007/11 is 120, 2007/12 is 136 and in 2008/01 is 80. It

shows the volatility in share price of MRP Ltd.

As per the above analysis share price of the MRPL Ltd has increased from Rs.36


against the US$. And correlation of MRPL Ltd and exchange rate is 0.266 and covariance

is 7.10. It shows that MRPL Ltd is affected by the rupee appreciation at 7.10%.


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FOREIGN EXCHANGE RATES:

Analysis of the influence of Re-$ exchange rate on share price:

The foreign exchange (currency or forex or FX) market exists wherever one

currency is traded for another. It is by far the largest market in the world, in terms of cash

value traded, and includes trading between large banks, central banks, currency

speculators, multinational corporations, governments, and other financial markets and

institutions. The trade happening in the forex markets across the globe currently exceeds

$1.9 trillion/day (on average). Retail traders (individuals) are currently a very small part

of this market and may only participate indirectly through brokers or banks and may be

targets of forex scams

The forex market is a cash inter-bank or inter-dealer market, which was

established in 1971 when floating exchange rates began to appear. The foreign exchange

market is huge in comparison to other markets. For example, the average daily trading

volume of US Treasury Bonds is $300 billion and the US stock market has an average

daily volume of less than $10 billion. Ten years ago the Wall Street Journal estimated the

daily trading volume in the forex market to be in excess of $1 trillion. Today that figure

has grown to exceed $1.8 trillion a day.

According to the BIS (Bank for International settlements) study Triennial Central

Bank Survey 2004, average daily turnover in traditional foreign exchange markets was

estimated at $1,880 billion. Daily averages in April for different years, in billions of US

dollars, are presented on the chart below:


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5.1 EFFECT OF CHANGES IN RUPEE-DOLLAR EXCHANGE

RATE ON:

1) BSE SENSEX Values:

Correlation coefficient (r) = 0.2401

From the above table, While comparing the changes in the Re-$ exchange rate with the

changes in the BSE SENSEX values, we get a correlation of -0.2401

r2 = 0.0576, Now r2 * 100 = 5.76 % .

Therefore we can interpret that the change in Re-$ exchange rate have 5.76 % effect on

the BSE SENSEX values. To illustrate, if the Re strengthens against the dollar, then the

BSE SENSEX values decrease by 5.76%.

2) INFOSYS TECHNOLOGIES Share price:

Correlation coefficient (r) = -0.3437.


changes in the INFOSYS Sharevalues, we get a correlation of -0.3437 r2 = 0.1181, Now

r2 * 100 = 11.81 %.

Therefore from the above, we can interpret that the changes in Re-$ exchange rate have

11.81% effect on the INFOSYS share price. To illustrate, if the Re strengthens against

the dollar, then the INFOSYS share price will decrease by 11.81%.

3) WIPRO Share price:

Correlation coefficient (r) = -0.2051


changes in the Wipro Share values, we get a correlation of -0.2051

r2 = 0.0420, Now r2 * 100 = 4.2 % .


4.2 % effect on the Wipro Share price. To illustrate, if the Re strengthens against the

dollar, then the Wipro Share price will decrease by 4.2%.


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4) SATYAM COMPUTERS Ltd:


From the above table, While comparing the changes in the Re-$ exchange rate with thechanges in the Satyam computers Sharevalues, we get a correlation of -0.2294.

r2 = 0.0526, Now r2 * 100 = 5.26% .


5.26% effect on the Satyam computers Share price. To illustrate, if Re. strengthens

against the dollar, then the Satyam computers Shareprice will decrease by 5.26%.

5)HEXAWARE TECHNOLOGIES Share price:



changes in the Hexaware Share price, we get a correlation of -0.4257

r2 =0.1812, Now r2 * 100 =18.12 % .

Therefore from the above, we can interpret those changes in Re-$ exchange rate affects

the Hexaware share price value by 18.12 %. To illustrate, if the Re strengthens against

the dollar, then the Hexaware share price would decrease by 18.12%.

6) ARVIND MILLS Share price:


From the above table, While comparing the changes in the Re-$ exchange

rate with the changes in the Arvind mills Sharevalues, we get a correlation of -0.1647

.

r2 = 0.0271, Now r2 * 100 = 2.71% .


the Arvind mills share price value by 2.71%. To illustrate, if the Re strengthens against

the dollar, then the Arvind mills share price value will decrease by 2.71%.


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7) RAYMONDS Share price:


From the above table, While comparing the changes in the Re-$ exchange rate with thechanges in the Raymond Share price, we get a correlation of -0.2502

r2 = 0.0626, Now r2 * 100 = 6.26 % .

Therefore we can interpret those changes in Re-$ exchange rates have only 6.26% effect

on the Raymonds Share price, which is quite minute. To illustrate, if the Re strengthens

against the dollar, then the Raymonds Share price would decrease by 6.26%.

8)ALOK INDUSTRIES Share price:



changes in the Alok industries share price, we get a correlation of -0.1326

r2 = 0.0175, Now r2 * 100 = 1.75% .

Therefore from the above, we can interpret that changes in Re-$ exchange rate affects the

Alok industries share price value by 1.75%.To illustrate, if the Re strengthens against the

dollar, then the Alok industries share price would decrease by 1.75%.

9) BOMBAY RAYON FASHIONS Share price:



changes in the Bombay rayon fashions Share price, we get a correlation of -0.1465.

r2 = 0.0213, Now r2 * 100 = 2.13% .


the Bombay rayon Share price value by 2.13%. To illustrate, if the Re strengthens against

the dollar, then the Bombay rayon Share price would decrease by 2.13%.


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10) CIPLA Share price:

Correlation coefficient (r) = 0.1316

From the above table, While comparing the changes in the Re-$ exchange rate with thechanges in the CIPLA Share price, we get a correlation of 0.1316

r2 =0.0173, Now r2 * 100 = 1.73% .


the CIPLA Share price value by 1.73%. To illustrate, if the Re strengthens against the

dollar, then the CIPLA Share price would decrease by 1.73%.

11) AVENTIS Share price:



changes in the Aventis Share price, we get a correlation of -0.2949

r2 = 0.086, Now r2 * 100 = 8.6 % .

Therefore we can interpret those changes in Re-$ exchange rate has only 8.6

% effect on the Aventis Share price, which is quite minute. To illustrate, if the Re

strengthens against the dollar, then the Aventis Share price would decrease by 8.6 %.

12) RANBAXY LABORATORIES Share price:



changes in the Ranbaxy Share price, we get a correlation of -0.1790

r2 = 0.032, Now r2 * 100 = 3.20%.

Therefore we can interpret those changes in Re-$ e

Documents

HN Volatility of Share Prices Wrt RUPEE Appreciation