Abdul Hafeez-0501-Divedend Announcement, Security Performance

“DIVIDEND ANNOUNCEMENT, SECURITY PERFORMANCE, AND CAPITAL MARKET EFFICIENCY”

M.P.BIRLA INSTITUTE OF MANAGEMENT 1

A Dissertation Report On

“DIVIDEND ANNOUNCEMENT, SECURITY PERFORMANCE,

AND CAPITAL MARKET EFFICIENCY”

Submitted in partial fulfillment of requirement for the award of the degree of

Master of Business Administration of Bangalore University

BY

ABDUL HAFEEZ

REG NO: 05XQCM6001

Under the Guidance and Supervision of

Dr. NAGESH.S.MALAVALLI

M.P.BIRLA INSTITUTE OF MANAGEMENT

(Associate Bharatiya Vidya Bhavan)

#43.RACE COURSE ROAD, BANGALORE‐560001

2005‐07



DECLARATION

I hereby declare that this dissertation entitled “DIVIDEND

ANNOUNCEMENTS, SECURITY PERFORMANCE AND CAPITAL

MARKET EFFICIENCY” is the result of my own research work

carried out under the guidance and supervision of Dr. Nagesh S.

Malavalli, principal M P Birla Institute of Management Bangalore.

I also declare that this dissertation has not been submitted

earlier to any Institute/organization for the award of any degree or

diploma.

Place: Bangalore

Date: Abdul Hafeez



TABLE OF CONTENT

SL.NO. PARTICULARS PAGE NO

1. EXECUTIVE SUMMARY ……………………………… 01

2. INTRODUCTION …………………………………….. 02

3. RESEARCH METHODOLOGY ……………………….. 06

3.1 PROBLEM STATEMENT

3.2 OBJECTIVES

3.3 HYPOTHESIS

3.4 SOURCES OF DATA

3.5 LIMITATIONS

3.6 METHODOLOGY

4. ANALYSIS AND INTERPRETATION ………………. 09

5. SUMMARY and CONCLUSIONS…………………….. 45

6. BIBLIOGRAPHY & REFERENCES ………………….. 46



LIST OF TABLES

TABLE NO. TABLE NAME PAGE NO

1. ABNORMAL RETURNS ……………………… 09‐20

2. CUMULATIVE ABNORMAL RETURNS …… 21‐32



RESEARCH METHODOLOGY



ANALYSIS

AND

INTERPRETATION



SUMMARY

AND

CONCLUSION



ACKNOWLEDGEMENT

I would like to express my sincere gratitude to my research guide

DR. NAGESH S. MALAVALLI, Principal, M.P.Birla Institute of

Management, Bangalore for his constant encouragement and guidance in the

course of the research investigation.

I would like to thank DR. T.V. NARSHIMA RAO, Adjunct Faculty,

M.P.Birla Institute of Management, Bangalore for his constant guidance and

timely support in the course of the research.

I would also like to thank PROF. S. SANTHANAM, Adjunct Faculty,

M.P.Birla Institute of Management, Bangalore who helped me to analysis

data with his expertise knowledge in statistics.

And further I would like to thank all the faculty members of MPBIM

who have helped me in completing my project. I have gained a lot of

knowledge throughout the course of carrying out this project.

I would like to sincerely thank my Parents and all my Friends who

have helped me in completing this project by extending their support.

Abdul Hafeez



BIBLIOGRAPHY

AND

REFERENCES



INTRODUCTION



EXECUTIVE SUMMARY:

This paper investigates the stock market reaction associated with

dividends announcements in the Indian stock market, and to verify

whether these announcements possess any informational value. An event

study was conducted on 34 companies, comprising the CNX Nifty Index.

Returns were computed using the adjusted price data of companies

and the Nifty Index with the help of ”Capital Line Plus”. The event day is

the day when the quarterly announcement is made. The event day was

taken from “Prowess” (the events section). The Abnormal Returns (AR),

Average Abnormal Returns (AAR), and Cumulative Average Abnormal

Returns (CAAR) were computed based on the Single Index Model. The

behavior of these variables was examined for 30 days before and after the

event day.

The sample study found significant Abnormal Return (AR) in and

around the days of announcement. It has been observed that the

Cumulative Average Abnormal Returns (CAAR) also has significance in

and around the event day. Thus, the results of the study indicate that

dividends announcements contain important information which causes

stock prices to change.

Further, in an efficient market, CAAR should flatten out after the

event‐day to indicate that the market has absorbed the results quickly. But

this was not the case. Hence strengthens the belief that the Indian stock

market is not efficient but semi‐strong.



INTRODUCTION:

In a market that is essentially characterized by a large number of

rational and profit‐seeking investors who compete with one another freely,

the prices should reflect all the available and expected information. An

efficient market is one that rapidly absorbs new information and adjusts

the prices swiftly. Researchers and analysts who have worked onis the

efficiency of stock market have realized that no stock market is absolutely

efficient.

Researchers in this area have classified the stock market efficiency

into three separate forms — weak, semi-strong, and strong. Fuller and

Farell (1987) have attempted to divide the strong form of market efficiency

into two distinct parts: The super-strong form and near-strong form. The

three forms of market efficiency have been a subject of intense research in

the field of finance. While there have been an overwhelming number of

studies to test the weak form of EMH, studies to test the strong form are

not many. Because of problems in getting the relevant data to test the

strong form of EMH, studies in this area are limited. Semi-strong form has

also been tested but not as extensively as the weak form. A majority of the

studies have affirmed that stock markets are efficient in the weak form.

Studies on the semi‐strong form have yield mixed results. The semi‐strong form

of EMH has been extensively researched in the US, the UK, other European

countries, and Australia. However, there are limited studies in India.

A number of studies have confirmed that markets are efficient in the

semi‐strong form. However, a large number of studies have also concluded

that markets are not efficient in the semi‐strong form. In their seminal



study of stock price reaction to stock splits, Fama et al. (1969) found that

there was considerable market reaction prior to the stock split

announcement and the cumulative abnormal returns taered off after the

event‐day. They concluded that the market is efficient in the semi‐strong form.

May (1971), Brown and Kennely (1972) and Jordan (1973) studied the

behavior of security prices by taking the quarterly earnings as the event

and found that the results were consistet with the semi‐strong form of

EMH.

Ball and Brown (1968), Beaver (1968) and Beaver et al. (1980) examined the

magnitude of price changes surrounding the announcement of a firm’s

annual earnings. Their results showed that the reaction occurred quickly and,

therefore, the EMH in the semi‐strong form holds good. Kormendi and Lipe

(1987), and Easton and Zmijewski (1989) found evidence consistent with stock

prices reflecting cross‐sectional differences in the time series behavior of

earnings, which support the existence of efficient markets. Ball and

Bartov (1996) reported that investors are aware of the existence as well as of

the signs of serial correlation for all the lags. They found that all the

variables had predicted signs. However, they report that the market

systematically underestimates serial correlation in standardized unexpected

earnings.

Some of the studies on the Indian market have also supported the

semi‐strong form of EMH. Obaidullah (1992) examined the bonus issues

and showed that the market was capable of reacting to bonus issues. Dixit

(1986) found that dividend was the most important determinant of share prices.

Based on the study of rights issues, Srinivasan (1997) concluded that the

market was efficient in the semi‐strong form. Narayana Rao (1994), who

examined the share price responses to some of the corporate financial

policy announcements, reported that the stock market is efficient in the

semi‐strong form.



Whereas the above studies have found the existence of the efficient market,

there are others that contradict this. Joy et al. (1977) found that the

favorable information contained in quarterly earnings was not reflected in

share prices. Basu (1977) tested the predictive content of Price‐Earnings

(P/E) multiples and concluded that the result was a contradiction of

semi‐strong form of EMH. Charest (1978) found no evidence for the NYSE

being efficient in interpreting selected cash dividend change information

during 1947‐1967. This is based on his finding that a systematic trader in

dividend changing stocks would have earned significant abnormal returs.

Jensen (1978) and Joy and Jones (1979) reported that the semi‐strong form

of EMH does not hold well. Watts (1978), Rendleman et al. (1982) Foster et

al. (1984), Bernard and Thomas (1989, 1990), Freeman and Tse (1989),

Mendenhall (1991) and Bartov (1992) found statistically significant abnormal

returns after quarterly earnings announcements. According to Brown (1979)

stock markets failed to adjust instantaneously to the new Earnings Per

Share (EPS) information. The results of Poterba and Summers (1988) and

Ou and Penman (1989a, b), are inconsistent with the semi‐strong form of

EMH. Bajaj and Vijh (1995) found that all dividend announcements without

any ex‐post selection criteria are accompanied by positive average excess

returns. They also found that positive average excess returns increase as

firm size and stock prices decrease. Cuthbertson et al. (1997) rejected the

existence of efficient market based on a study of the behavior of the UK

stock market under the null hypothesis tat the expected returns are

constant. Porta et al. (1997) found evidence that is inconsistent with the

risk‐based explanation for return differential. They reported that

post‐formation earnings announcement returns were substantially higher for

value stocks than for glamor stocks. This finding goes against the semi‐strong

form of EMH. Rangan and Sloan (1998) reported that earnings expectations

embedded in stock prices systematically underestimate the time series



properties resulting from quarterly reporting requirements. Studies on the

Indian market in this area have cast doubt on the existence of the EMH.

Obaidullah (1990) examined the market reaction to half‐yearly earnings

announcements and found that the semi‐strong form of EMH could not be

accepted. Barua and Raghunathan (1990), Sundaram (1991) and Obaidullah

(1991) cast doubt on the consistency of the observed price‐earnings ratios

with fundamental factors like dividend growth and pay‐out‐ratios.

Chaturvedi (2000a) found that low P/E stocks outperformed the high P/E

ones and concluded that the market is inefficient. Chaturvedi (2000b) studied

the behavior of stock returns surrounding the announcement of half‐yearly

earnings. His results showed that abnormal returns were present both

during the pre and post‐earnings announcement periods. Mohanty (2002)

found that companies which announced buyback yielded excess returns even

three months after the announcement dates. This casts doubt on the existence

of the Semi‐strong form of EMH. However, he attributes the excess returns to

high premium offered on buy backs.

Moreover investors assign a great deal of significance to announcement of

earnings and dividends reports as it reflects the financial performance of the

company and is an indicator of the future direction of the company.

Earnings and dividends announcements provide the market participants with

the single most important piece of public information by which they can

evaluate the performance of a firm. The market is filled with anticipation at

the time when financial results of a company are to be announced as they

form the bias for revalidation of the future growth prospects of a company

which would be reflected in a buy, hold or sell strategy. Thus, the

adjustment of stock prices to the announcement of earnings reports is an

important empirical issue.



RESEARCH METHODOLOGY:

PROBLEM STATEMENT:

There exists conflicting views with regard to the impact of Earnings

announcements on the stock prices. Some are of the opinions that

earnings announcements do affect the stock price of the shares while

others argue it does not. Thus there exists a research gap. The research

problem under consideration is as follows:

“Whether there is any significant effect on the stock prices due to

dividends announcements or not”.

OBJECTIVE:

1. To examine whether the dividends ’s announcements has any

impact on the stock market reaction.

2. To check the informational value of these announcements.

HYPOTHESIS:

H0 = Dividends announcements do not have any impact on Stock Prices.

H1 = Dividends announcements do have impact on Stock Prices.

SOURCES OF DATA:

The Dividends announcements made by companies included in CNX

NIFTY during the year 2006‐07 is considered. Daily adjusted market price

data for the sample stocks for 30 days before and 30 days after the board

meeting date are taken. The board meeting date is taken as event or

announcement date. The required data is extracted from Prowess,

CapitaLine Plus and NSE website



LIMITATIONS:

1. Sample size of 34 is considered.

2. Macro economic factors are mot taken into consideration.

3. Event window of t = ‐30 to +30 is taken.

METHODOLOGY:

Event study methodology is used to calculate Average Abnormal Return

(AAR) and Cumulative Abnormal Return (CAAR) for the event window

period. i.e. 30 days before and after the day of announcement.

Daily returns for each sample company are computed as:

Rit = Ln [Pit / Pit‐1]

Where Pit & Pit‐1 are respective daily prices for company i at time t and

t‐1.

Similarly, the actual returns for the market are also computed as:

Rmt = Ln [(It) / I t‐1]

Where It and It‐1 are daily index values at time t and t‐1.

Sharpe’s Market model is used to compute the expected return as:

Rit = αi + βi Rmt + εit

Where Rit = expected return on security i at time t. Rmt is the return on

the market index at time t, αi is the estimate of the intercept for share of

company i and εit is the independently and identically distributed residual

error term.



In the next step, we calculated “abnormal” return as:

ARit = Rit ‐ αi + βi Rmt.

ARs are averaged over the number of companies for each day

surrounding the event day (i.e, ‐30 to +30 days) by using the following

equation:

(AARt) = ΣARit / N

In the next step CAAR is calculated on the days surrounding the event as:

(CAARd) = Σ AARt.

Further t‐testing is done to test the hypothesis.


M. P.BIRLA INSTITUTE OF MANAGEMENT

19

ANALYSIS AND INTERPRETATION:

ABNORMAL RETURNS (AR):

T0 RELIANCE INFOSYS TCS ICICI ONGC -30 0.0028605 -0.001823 -0.0043704 -0.0082994 0.00899467 -29 -0.0049497 -0.010513 -0.0037959 0.03088824 0.00015094 -28 -0.0010492 -0.014942 0.02154405 -0.0260884 -0.01221923 -27 0.0014261 -0.005469 -0.016187 0.01018012 -0.02073437 -26 0.0024854 0.014579 -0.0119749 -0.0159377 -0.00654829 -25 0.0055566 0.00361 0.00638151 0.01482426 -0.00728445 -24 0.0046934 0.006756 -0.0021259 -0.0860125 0.00767766 -23 -0.0038127 -0.014024 0.00803071 -0.0273367 -0.01114729 -22 0.0028737 -0.000792 -0.0128556 0.03196647 0.01313339 -21 0.0058485 0.007547 -0.0086554 -0.0509609 0.0152847 -20 -0.0059019 -0.004713 0.00219379 -0.0369972 0.00297892 -19 0.0138423 -0.009291 0.00531973 -0.017301 -0.01310221 -18 0.0216495 -0.003089 0.01538091 0.06929049 0.00348661 -17 -0.0082492 -0.003147 -0.0045711 0.04835402 -0.00289795 -16 0.0078679 -0.000163 0.01311954 -0.0180355 -0.01024922 -15 -0.004964 -0.003938 0.00831306 -0.0255178 -0.00106636 -14 -0.0077991 0.01202 0.01148228 0.00576606 0.01020299 -13 -0.0203388 -0.009592 0.02047208 0.03565115 -0.00392898 -12 -0.0086271 -0.013428 -0.0097734 -0.0115489 -0.01552053 -11 0.0069629 0.002501 0.00341825 -0.0052145 0.01300292 -10 -0.0025288 0.022365 -0.0050939 -0.0358051 -0.01130385 -9 -0.0009952 0.002373 0.01411452 0.01418502 -0.02699515 -8 -0.004989 0.011712 -0.0038875 -0.0180457 0.00241821 -7 -0.0088214 0.003415 0.01191921 0.01583405 0.01494487 -6 -0.0033301 0.040167 0.01039033 -0.0402262 0.03457889 -5 -0.0019617 0.003772 -0.0047227 0.01635272 0.00649424 -4 -0.0049338 0.019393 -0.0030596 -0.0026684 0.01871309 -3 0.0191871 -0.006947 -0.0148311 0.00045995 -0.00332535 -2 0.0104939 -0.012981 0.00031566 0.01815464 0.00554163 -1 -0.0003651 0.001379 -0.0100835 -0.0068631 0.01203332 0 -0.0066731 0.004611 0.00816256 -0.0256872 -0.02007948 1 -0.0039421 -0.00281 -0.0012823 0.02797434 0.00385833 2 0.0013778 0.002188 -0.0026417 -0.0152946 -0.0049265 3 -0.0012082 -0.01029 -0.0069468 -0.0110566 6.5549E-05 4 0.0009541 0.009682 -0.0095006 -0.0029239 -0.00711302 5 -0.0065692 -0.006378 -0.007355 0.01438978 0.00871907



20

6 0.0011002 0.008766 -0.0015834 -0.0202843 0.0251411 7 0.0021719 -0.010292 -0.0041979 -0.0161868 0.02684961 8 0.0029145 -0.002507 -0.0035255 -0.0108632 0.0102472 9 0.0031837 -0.01547 -0.0025152 -0.0100198 -0.01737718

10 -0.0106725 -0.008927 -0.000777 0.04657122 0.01137153 11 -0.006647 -0.004175 -0.0021096 0.02675515 -0.00810996 12 -0.0038298 0.017032 -0.0065585 -0.0435785 -0.01185786 13 -0.0046894 0.015199 0.00184026 0.0671674 0.00450614 14 0.0058096 -5.2E-05 -0.0002289 -0.0133689 -0.02610927 15 -0.0063343 -0.008527 0.00478233 0.04939687 0.01710732 16 0.0066111 0.003058 0.00244868 -0.0042863 -0.01665735 17 0.0161392 0.020524 0.00868946 0.00390947 -0.00343377 18 -0.0025304 0.002183 0.00351056 -0.0035291 0.0038146 19 0.0051672 -0.011299 -0.0107528 0.01821263 0.01982712 20 0.0098067 -0.001602 0.01937441 -0.0092952 0.00034491 21 0.0051718 0.028687 0.00823455 -0.0041189 -0.00022336 22 0.0026583 -0.013791 0.00523649 0.016593 0.0015679 23 0.0012233 -0.022891 -0.0073022 -0.0223182 -0.00889782 24 -0.0061002 0.006321 -0.0242088 0.03481733 -0.0126905 25 -0.0182861 -0.002807 0.03376934 0.04601299 0.00049572 26 0.0103168 -0.012875 -0.0185946 -0.0106992 0.00174783 27 0.0238562 -0.014517 -0.0094838 0.01256731 -0.02199762 28 -0.0220331 -0.006175 0.01525066 -0.0274986 0.00314758 29 0.0132673 0.003842 0.00150037 -0.0147628 -0.00492155 30 -0.0033576 -0.003444 -0.0109976 0.0223564 0.00226991

AR/N -1.536E-18 1.61E-18 0.00030566 -2.275E-19 3.1282E-19



21

SAIL SBIN GUJ AMB SIEMENS CIPLA STER 0.0116169 -0.012758 -0.0257909 0.0007879 0.0031395 0.0013082 0.004158 -0.031356 0.0035998 -0.019342 -0.0046354 0.049882

0.0317292 0.005838 0.0258731 0.0141679 -0.001826 -0.0112022 -0.0143657 0.0714124 -0.0027886 0.0805224 0.0346564 0.0025407 -0.0307912 -0.085255 0.0072928 -0.031912 -0.013848 0.0129125 -0.0192925 -0.042892 -0.0072213 -0.084023 0.0235523 -0.01035 0.0037956 -0.005406 0.0178022 -0.025282 -0.0116018 -0.0215701

-0.0155053 0.0234766 0.0028766 0.0162557 -0.0079394 0.0153973 0.0014577 0.1775558 0.0090265 -0.009254 0.0147799 0.0216846 0.0226235 -0.188909 0.003374 -0.016964 -0.0077892 0.0444225

-0.0022657 0.0006258 0.0317544 0.0305964 -0.0002642 -0.0184686 0.0001863 0.0141321 -0.0127664 0.0138058 0.0274717 -0.0146397

-0.0154258 0.1569487 -0.0577674 -0.019265 -0.0295772 0.0072433 -0.0340247 -0.140275 0.0044566 -0.010771 0.0195869 -0.0242718 0.0028547 -0.018885 -0.0062354 0.0245827 -0.0015729 -0.0091176

-0.0111359 -0.027811 -0.0187048 0.0083927 0.0030858 0.0027017 -0.0021831 0.1804641 0.035223 0.0069603 0.0093611 0.0147907 -0.0046607 -0.194267 0.0070771 -0.019256 0.0106724 -0.0535067 -0.0080951 0.0238863 0.0196131 0.0438196 -0.0196925 -0.0132975 0.0786941 -0.01973 -0.0004076 -0.004767 0.0012294 0.0040119

-0.0343512 0.0329274 0.0041391 -0.017267 -0.010855 0.0029552 -0.0062772 -0.039619 -0.0088118 0.0106675 -0.0211296 0.0302785 -0.0013991 -0.047548 0.0052452 0.0119092 0.0133937 0.0044884 -0.0166282 0.0022122 -0.0092993 -0.002715 -0.0121701 0.0099567 0.0044748 -0.021832 -0.0166363 -0.014195 -0.0053247 0.0023465

-0.0022725 0.005881 -0.0056099 0.0011374 0.0170543 0.0005276 0.0539802 0.1121832 0.0133653 -0.012621 0.0140155 -0.019057 0.0386414 -0.122622 0.0181939 -0.012123 0.0255826 0.0234898 0.0143249 0.0535977 -0.0305995 -0.011382 -0.0279723 0.0538119

-0.0320306 0.0019957 -0.0042027 0.0212544 -0.0079439 -0.0234004 0.0056009 -0.012027 0.0154582 -0.005774 0.0180864 -0.0021822

-0.0140189 -0.020212 -0.0249659 -0.011294 0.004388 -0.0076119 -0.0405673 0.0117186 0.0041068 0.0007399 -1.538E-06 -0.008227

0.001409 0.0605799 0.0372633 0.0052134 -0.019899 -0.0097048 0.0294249 -0.00173 0.000342 -0.010404 -0.005259 -0.011578

-0.0147034 -0.00915 -0.0441785 -0.005748 -0.006002 0.0255185 -0.005913 -0.011478 -0.0470266 0.0072552 -0.0179349 -0.0136533

-0.0044864 -0.027982 0.0061172 -0.014357 0.0119467 0.0265865 0.0014927 0.0064366 0.0592229 0.0050685 -0.002532 -0.0372319 0.0002721 -0.016061 -0.0032606 0.0521905 0.012747 0.0015633

-0.0021908 0.0019784 -0.0767614 0.0101136 0.0200609 -0.0038797



22

0.0349821 0.0320723 0.0562402 0.0270511 -0.0076785 0.0042163 -0.0137516 0.0242544 -0.011079 -0.017073 0.0101211 -0.0160873 0.0077555 0.024599 -0.0429877 -0.01929 -0.0028512 0.0203825

-0.0112128 0.0018709 0.0009837 -0.024088 -0.0248737 -0.0204077 0.0266144 -0.007794 0.035927 0.0045962 0.0055553 -0.0028565 0.0107962 -0.028701 0.002481 -0.00015 -0.0272297 0.0197918 0.0213195 0.0141531 -0.0091229 -0.029902 0.0137977 0.0085576 0.0136974 -0.000992 0.0201145 0.0216449 -0.0054612 -0.0185153

-0.0364193 0.0111066 0.0326709 0.0166605 0.005202 -0.0048414 0.0114952 0.0129337 -0.0519127 0.0017758 -0.0049963 0.0139903

-0.0204409 -0.007087 -0.0065855 -0.005997 0.0184993 -0.0099834 -0.0473837 0.012333 -0.0180048 -0.002321 -0.0168791 -0.0001913 -0.0402702 -0.038435 0.0036699 0.012945 -0.0057273 0.0101228 0.0507651 -0.00144 -0.0029813 0.0034989 0.0018382 -0.0122956 0.0092214 -0.014299 0.0178546 -0.001777 0.0048183 -0.0150251 -0.009688 0.0565545 0.0195571 0.0051494 -0.0100038 -0.0090026

-0.0122676 -0.007145 0.0193243 0.0002223 0.0003132 -0.0168489 0.0097753 0.0417348 0.0078238 -0.011726 0.0118956 -0.0099813 0.0158132 0.0168843 -0.0134591 0.0064449 -0.0065393 -0.0107463 0.0050464 0.0113519 0.0110981 0.0056083 -0.0088404 0.0242536 5.261E-19 1.393E-18 8.247E-19 -1.56E-18 6.825E-19 1.081E-18



23

SUZLON ACC ITC IPCL MARUTHI DR.REDDY

0.012147 -0.016475 0.0020104 -0.00377 -0.012716 0.002836

0.0234945 0.0196386 -0.025967 -0.01563 0.0077608 -0.01793

0.0223235 0.0068411 0.0062489 -0.017138 -0.00406 0.012085

0.0249317 0.0008366 -0.018413 -0.020069 0.0025732 0.024042

-0.023161 0.0059986 -0.000567 0.0135021 -0.002998 0.02636

-0.010702 0.0213999 -0.019427 -0.005366 -0.002321 0.012847

0.0037496 0.0061904 0.023486 0.0083645 -0.008017 0.013014

-0.106348 -0.0263165 0.0241696 0.0036193 -0.020965 0.027993

0.0206176 -0.0126553 0.0302592 -0.015061 -0.001855 0.013937

-0.026929 0.0041685 -0.004851 -0.004749 -0.001017 0.0274

-0.0565 0.0132549 -0.009727 0.0074171 0.0039607 0.0495

-0.016021 0.001769 0.0200798 -0.024237 -0.001083 0.004473

-0.029326 -0.0033106 -0.009639 0.0082502 0.0028531 0.005665

0.039663 0.0007165 0.014138 0.0077429 -0.00505 0.02257

0.032453 -0.0024535 -0.000987 0.0140601 0.0193586 0.0028

0.0364012 -0.0414931 0.0029628 0.0364158 -0.007342 0.029217

-0.001043 -0.0419149 0.0207287 -0.01993 -0.017562 0.000524

0.0161331 0.0392386 -0.012642 0.0041059 0.0094321 0.008097

0.0361687 0.0226862 -0.016633 -0.040752 -0.003446 0.018844

0.0051557 -0.0569894 0.0033409 -0.042154 -0.009549 0.008766

0.0091891 -0.0170645 0.0059122 -0.003169 -0.002614 0.007164

-0.018403 -0.0253155 0.0428495 0.0826874 -0.001832 0.000796

-0.002535 -0.043342 0.007138 0.0404086 -0.006622 0.011072

0.037895 0.0617273 -0.01259 -0.023732 -0.002304 0.036326

-0.033583 -0.0515264 -0.00763 -0.008196 -0.007344 0.015785

-0.018583 0.0328539 0.0069321 0.0008113 -0.000759 -0.004867

0.0169852 -0.0048707 -0.028972 0.0033575 0.0066917 -0.010427

0.0370571 -0.0575795 0.012585 0.0128966 0.02409 0.024588

-0.004064 -0.0424246 -0.002979 -0.00742 -0.002745 0.007965

-0.028803 0.0051389 -0.008457 -0.004041 -0.005011 -0.000758

-0.040732 0.0077938 -0.022034 -0.020212 -0.001822 -0.695268

-0.006207 -0.0170156 0.0142753 -0.01804 -0.007577 0.004855

0.0043419 -0.0062279 0.0042475 0.0067149 -0.002579 0.019009



24

-0.018006 0.0216956 0.007596 0.0105188 -0.00817 0.020131

-0.020592 0.0157837 -0.009876 0.0014001 0.0190715 0.036534

-0.002243 0.0045561 0.0147815 -0.004339 0.0065337 -0.00406

-0.009342 -0.0012773 -0.00902 -0.002188 0.0050424 -0.001103

-0.000469 -0.0054353 0.0093698 0.0004507 0.0075073 0.018096

0.0095728 -0.0112822 0.0125032 0.0072577 0.0162463 0.006885

0.0090012 0.0083991 -0.017243 0.0058159 -0.008374 0.023261

0.0076115 0.00162 -0.031905 -0.009234 -0.003358 0.001262

-0.011054 0.0030001 -0.020241 -0.009567 0.031027 0.005631

-0.015865 -0.0285171 6.661E-06 -0.005365 0.0238108 0.030701

0.0049839 0.0001158 -0.021341 -0.001983 0.0141345 0.022155

-0.008826 0.0311967 -0.005539 0.0049215 -0.00339 0.007882

0.0031712 -0.0132707 0.0134267 -0.004275 0.011625 0.022571

0.0567358 0.0089046 0.0098747 0.0063118 -0.013695 0.019648

0.0039927 0.0304943 0.0132114 0.0146134 -0.001838 -0.001215

0.0226576 0.010415 -0.010587 -0.000605 -0.013065 0.004485

0.0454545 -0.0146494 -0.017228 0.008085 -0.015121 0.003193

-0.02955 -0.0095157 0.0101742 0.0044437 -0.003682 0.002097

0.0226267 0.0282769 0.0026939 0.0107873 4.766E-05 0.002673

0.003172 0.0533827 0.0239715 0.0092994 -0.005631 0.008725

-0.016608 0.0315743 -0.015435 -0.004186 -0.004142 -0.00941

-0.039679 0.0137103 -0.01015 -0.01302 0.0042255 0.020899

0.0037224 -0.0352041 0.0066634 -0.006575 0.01552 0.010237

0.0100013 0.007589 -9.35E-05 0.0085604 -0.018801 0.003722

0.0255043 0.0058717 0.0022092 0.0187732 0.0336015 0.000539

-0.007055 0.0282394 -0.007951 -0.009426 -0.006105 0.00649

0.0007118 0.0207396 0.0030706 0.00112 -0.003182 0.009671

-0.005398 0.0103091 0.0072091 0.0017158 -0.017365 0.019021

-2.99E-19 6.256E-19 1.507E-18 -1.21E-18 -9.67E-19 2.5E-18



25

HINDALCO BPCL GAIL MTNL TATA PWR PNB 0.0300901 -0.025764 0.0043107 0.0215754 0.0174255 -0.011715 3.405E-05 -0.004334 0.0066906 -0.021092 0.0260914 -0.002286

-0.0368743 -0.005859 0.0148091 0.0173434 -0.007099 0.0035782 -0.0131351 -0.000308 0.0024142 0.0671761 -0.012666 0.0015263 0.0399105 -0.006306 -0.009077 -0.016399 -0.038649 0.0035301

-0.0357263 0.0006153 0.0030626 0.0227833 -4.45E-05 0.0137536 0.0035008 -0.008362 0.0217455 0.0089256 0.0209167 -0.022012

-0.1221294 -0.019364 0.006511 -0.004762 0.0131286 0.0027751 -0.0376079 -0.016372 -0.005372 -0.027788 -0.047151 -0.031977 0.0280197 0.0146733 -0.007072 0.0009969 -0.018532 0.0291777 0.0171191 0.0047885 -0.00216 0.0087778 -0.00344 -0.000522

-0.0207925 0.0097827 0.0119492 -0.014078 -0.049791 -0.003863 0.0142656 0.0103916 0.0120689 0.0560554 0.0441647 0.0168043 0.0172947 -0.019735 0.0265625 -0.015151 0.0088261 -0.008062

-0.0063631 0.0038516 -0.011675 0.0101869 -0.015826 -0.007192 0.0044368 -0.003854 -0.018964 -0.015593 -0.004599 0.0151741 0.0130237 0.0063627 -0.012935 0.0184426 0.0028699 -0.011896 0.0010584 -0.005064 0.0133746 -0.014062 -0.014042 -0.013948 0.005239 0.023582 -0.042383 -0.011687 0.0136423 -0.013807

-0.0264912 0.032163 -0.033601 0.009624 0.0014977 -0.008416 0.0269212 0.0123985 0.0338908 -0.012674 -0.006208 0.0163263 0.0136415 -0.00824 0.0158482 -0.019758 -0.023672 0.025997

-0.0464705 0.0135708 -0.016272 -0.009716 0.0442018 -0.03305 -0.0179288 0.0239624 0.0376349 -0.01109 0.0062539 0.000372 0.0164166 0.0220142 -0.016584 -0.000869 0.0365436 0.0034537

-0.0173493 0.0018398 -0.0038 -0.03285 -0.012852 -0.011346 0.001444 -0.017717 -0.063276 -0.065025 -0.00613 -0.003041

0.0086153 -0.000241 0.0330473 -0.018524 -0.026512 -0.010927 0.0158949 0.0296699 0.0220717 0.0352782 0.0118259 0.0088726 0.022826 0.0388572 -0.018691 0.0156975 0.0055538 -0.010441

0.0039378 -0.04095 -0.030925 -0.022148 0.0073844 -0.048046 -0.0202136 -0.00948 -0.01255 -0.018009 -0.006409 -0.018152 0.0340612 0.0363924 0.0218509 -0.010637 0.0191426 -0.001201

-0.0079657 0.0186587 -0.009817 -0.007901 -0.031597 0.0172566 -0.0079811 0.0010761 0.024231 0.0092325 0.0395281 0.0011651 0.0044049 0.0045103 -0.024391 0.0132636 -0.022254 -0.026332

-0.0053637 -0.024873 0.0378265 -0.003042 0.0351343 0.0023642 -0.0061496 -0.009826 0.0346704 -0.009136 0.0132704 0.0505919 -0.0221354 0.0157773 -0.019158 -0.011252 -0.002371 -0.003834 0.0166294 0.01505 -0.023721 0.0274617 -0.012268 -0.011635 0.0252772 -0.00647 -0.014963 0.0268627 -0.022514 0.0247917



26

0.0016418 -0.006901 -0.001101 0.0323963 0.0060214 -0.010222 0.0046445 -0.011954 -0.010659 0.0197829 0.0073189 0.0134816 0.0130984 0.0194019 -0.014292 0.0166086 0.0144765 0.0101278 0.0094785 -0.005861 -0.001098 -0.044689 -0.002691 0.0068224 0.0055885 -0.024789 0.0316401 -0.027657 -0.004327 -0.015381 0.0413847 0.0134615 0.0394554 0.0112957 -0.017688 -0.001443

-0.0035283 -0.012741 0.0120381 0.007244 -0.007182 -4.96E-05 -0.0164242 -0.036263 0.022092 0.0242601 0.016509 0.0046381 0.0134643 -0.007373 -0.013566 0.0044156 -0.006111 0.0162704 0.0017754 -0.011292 -0.010568 0.0226718 0.0039207 -0.01632 0.0104192 0.0139619 0.0162284 -0.02353 0.0066318 0.0034502 0.0076876 0.0256334 -0.031138 -0.006575 -0.000222 -0.006696

-0.0036458 -0.007634 -0.021579 -0.007558 -0.017655 0.0214533 0.0097711 0.0163748 0.0053436 -0.019109 0.0014833 0.0147469

-0.0051391 -0.018844 -0.001976 0.0271235 -0.00757 0.0342813 0.0040918 -0.034698 -0.003619 0.0102645 -0.005557 -0.000256

-0.0062335 -0.004459 0.0115347 -0.025458 -0.003517 0.0015764 0.0195525 -0.016851 0.0115832 -0.001251 0.0225298 -0.003137

-0.01019 0.0089145 -0.012661 0.0122071 0.0147671 0.0098056 -0.0108224 -0.004958 -0.01484 -0.008884 -0.003914 -0.006958 -2.076E-18 -4.55E-19 -2.56E-19 -1.37E-18 1.01E-18 1.066E-18



27

HERO HONDA

HIND PETRO GRASIM VSNL GLAXO DABUR

-0.005441 0.0248279 -0.008227 -0.010147 0.028921 0.0128443

0.004441 -0.005076 -0.009878 -0.006899 0.0074442 -0.012481

-0.006569 -0.014937 0.0054687 0.0197128 -0.00879 0.0098119

-0.014072 0.0655207 -0.011138 0.0197792 0.0187938 0.0398507

-0.025449 -0.009386 0.0075581 -0.005412 0.0191746 0.0068092

0.016893 0.0226117 0.0247105 -0.022169 -0.012249 -0.014958

-0.056845 -0.036375 -0.004535 -0.002622 -0.009857 -0.003386

0.000908 0.0065683 0.0051968 0.0006337 -0.014939 -0.003736

-0.019944 -0.001412 -0.0037 -0.014987 -0.004813 -0.015452

0.016237 -0.022961 0.0005129 -0.00104 -0.026444 0.0126708

0.005303 -0.014749 -0.0312 -0.001752 -0.01767 0.025689

0.016132 -0.034233 -0.017289 -0.002703 -0.010503 -0.005185

0.002044 -0.038872 -0.004199 -0.028186 0.0269019 -0.015019

-0.008646 0.0155147 -0.015782 -0.005769 0.0121097 0.0375473

0.002902 0.0173796 -0.004606 0.0084791 0.0028635 -0.048678

-0.001063 -0.008627 -0.037793 0.0125244 0.0035756 -0.002206

-0.005669 -0.020825 -0.042184 0.005181 0.0092837 0.0102512

-0.020575 -0.019753 0.0312647 0.000543 0.0003808 -0.000798

-0.022215 -0.003409 0.0111692 -0.006983 0.0234994 0.0121607

0.013377 -0.012923 -0.021933 -0.022896 0.0021767 -0.027562

0.010206 0.0044286 -0.033193 0.0086936 -0.005948 0.0273098

-0.012571 0.0470495 -0.012026 -0.032255 -0.01232 -0.030234

-0.00366 0.00457 0.0369361 0.0283574 -0.006384 -0.02504

0.005997 -0.019269 -0.005005 -0.004713 0.0005788 0.0065386

-0.015647 -0.013121 -0.001367 0.0081027 0.0002029 -0.01173

-0.022474 0.0097259 0.0330882 0.01731 0.0362222 -0.015067

-0.008323 0.0234221 -0.062342 0.0164159 -0.023436 -0.017006

0.009233 -0.026724 -0.029562 -0.027738 0.0054484 0.0104703

-0.005309 0.0034768 0.0146867 0.003494 -7.92E-05 -4.31E-06

0.030817 -0.00494 0.0168579 0.0247355 0.0096642 -0.005499

-0.023267 0.0107968 -0.003211 -0.008257 -1.29E-05 -0.030178

0.028292 -0.002181 0.0075723 0.0023511 0.0030949 -0.003498

-0.015176 0.0145386 0.0011472 -0.010261 0.0004514 -0.012842

0.018586 -0.006546 0.037725 0.0135813 -0.016106 0.0275086

-0.012378 -0.006114 -0.021347 0.0212875 0.0016517 0.0228408

0.012223 0.0530356 -0.030133 0.0253286 -0.009972 0.0320004



28

-0.002867 0.029567 0.0044556 -0.012955 -0.022445 -0.020713

0.015516 -0.004674 0.0057766 0.0297796 -0.012172 0.0085048

0.000236 -0.008773 0.0138583 -0.004864 -0.002271 -0.006987

0.000781 -0.003547 -0.013999 -0.004632 -0.020603 0.0440744

0.003553 0.0113427 0.0169462 -0.002914 -0.016548 0.0079334

0.001975 0.0230614 0.024999 -0.004287 0.0326316 -0.00956

0.00381 -0.031097 0.0112128 0.0142825 -0.000813 -0.008938

0.00547 0.0116976 -0.026333 -0.001753 0.0084415 0.0133586

-0.009714 0.0519918 0.0212056 -0.007108 -0.007262 -0.029752

0.002478 0.0176028 0.0283277 0.0059664 -0.006129 0.005298

-0.003708 0.0050936 0.0155062 0.0038864 -0.006295 0.0017328

-0.009386 0.0051644 -0.005758 0.0011801 0.0238278 0.0111073

0.033459 -0.007312 0.0220651 0.0027401 -0.001174 -0.01873

0.026554 -0.023508 -0.001898 0.0023096 0.0069752 -0.006249

0.03289 0.0220281 0.0219983 -0.034943 -0.000647 0.0071117

0.00447 -0.015395 0.0065845 0.0002838 0.0035333 0.0487228

-0.019396 0.0018981 -0.015688 -0.002121 0.0167275 0.0135165

0.002265 -0.036992 0.0134138 0.0064423 0.0033907 -0.041981

0.005446 -0.007297 -0.000568 0.0054476 -0.008668 -0.002217

-0.000792 -0.005481 0.0047899 0.0071414 -0.010337 0.0154945

0.003433 -0.019316 -0.018133 -0.022953 0.0157379 -0.001778

-0.011265 -0.01323 0.0220754 0.004553 -0.015254 -0.014523

-0.001214 0.0142131 0.0289835 -0.005091 0.0285188 -0.018101

0.011007 -0.013127 -0.014184 -0.009918 -0.013105 0.0041899

0.0167 -0.004944 0.011119 0.0078052 -0.02898 0.0047408

-2.28E-19 -5.69E-20 3.128E-18 1.152E-18 3.981E-19 -5.83E-19



29

BAJAJ AUTO SATYAM BHEL

TATA MOTORS TATA STEEL

0.0260349 0.001875 -0.008027 0.022985336 0.026831677 0.02743379 0.003573 -0.003063 -0.001081569 0.011540996

-0.00020898 -0.003271 -0.010814 0.008344703 -0.056224561 -0.01467125 0.007895 -0.006688 -0.001117357 0.021939582 -0.04287343 0.022503 -0.00082 -0.011349965 0.036759582 0.03969517 0.006852 0.0070123 0.010650863 0.01490657

-0.01822066 0.013432 0.0043382 -0.04338219 0.008323294 0.00019319 0.000167 -0.001031 -0.019357003 -0.007884758 0.00409379 -0.679689 -0.030351 0.035403349 0.004429973

-0.00824621 0.013997 -0.025143 0.009869811 -0.005847607 -0.00274539 0.03437 0.0110446 -0.002760123 -0.007572949 0.01011849 0.005827 -0.019556 0.011055765 -0.006727837 0.00026803 0.002267 0.0164117 -0.032192416 0.014242354 0.00965276 0.013453 0.0047999 0.041454847 -0.023397433

-0.02181256 0.048564 0.0018174 -0.017902627 -0.021941148 -0.00492288 0.011203 -0.006854 0.014390438 -0.033083004 -0.0144538 0.002566 0.0169197 0.023361588 -0.008607725

-0.00911583 -0.016958 0.0084299 0.006639866 0.009696657 0.03001492 0.012504 0.0151148 0.002252903 -0.004453087 0.03627497 0.01174 0.0154294 0.021443736 -0.022001719 0.02045729 0.015387 0.0314792 -0.006320785 0.029269858 0.0207648 -0.00138 0.0171009 -0.00270044 -0.025390162

-0.01876019 -0.008515 -0.02607 0.000875204 -0.032665767 -0.01963212 0.040317 -0.011988 -0.036194624 0.009392657 -0.0161031 -0.006976 -0.00303 -0.017134409 0.000737147 0.00601493 -0.016306 -0.002596 0.005909202 -0.007250633 0.00322517 0.004411 -0.010067 0.048720566 0.017959788

-0.00128142 0.002371 0.0054564 0.009694327 0.016454828 -0.01738568 0.002448 0.0080861 -0.018218013 -0.010906046 0.04205361 0.012823 -0.029834 -0.002960706 0.029150915

-0.02759171 0.035162 -0.008753 -0.021120961 0.025445278 0.00310986 -0.011071 6.043E-05 -0.003795327 0.037813092

-0.00794292 0.007259 -0.001156 -0.018831973 -0.013315572 0.01309164 0.023169 -0.009335 0.005831966 0.003875044

-0.00192757 -0.003886 0.0085836 -0.003769631 0.002956716 0.00030354 0.037278 -0.016712 0.025869057 -0.015995359 0.01921606 0.009572 0.0062729 -0.009220318 -0.006649255

-0.00468538 0.028591 0.0221073 -0.016213483 0.01445812 0.00429102 0.013968 -0.008742 0.017804799 0.001711327

-0.03250209 0.053256 -0.001499 -0.015541824 -0.000871102 -0.00188159 -0.019212 0.0254068 0.011510876 -0.01625877



30

-0.01016531 0.009895 -0.025783 -0.005043433 -0.014388144 -0.00715113 0.009746 -0.008437 -0.002442797 -0.026486335 -0.00891429 -0.007194 0.003615 -0.029349957 0.007590422 -0.01634732 0.01499 -0.01565 -0.009940635 -0.030071254 0.01699415 0.019811 0.0010582 0.010155316 0.050788976 0.00931298 0.013577 0.0335016 -0.023131929 0.01743922

-0.00466067 -0.009758 -0.022742 -0.017920863 0.008426274 -0.00871966 0.014619 -0.002273 -0.003176162 -0.012170256 -0.0199778 0.015819 -0.006131 -0.02006061 -0.018112641 0.00563166 0.020126 -0.000954 0.010156143 0.017830916

-0.02002623 0.000962 -0.012388 0.006688775 0.03205139 -0.00622482 0.034005 -0.017466 0.003006426 -0.010639779

0.0050816 0.034969 0.0407902 0.005199562 0.019105231 0.01705864 0.019464 -0.022332 0.013029328 -0.009025067 0.0127717 0.023053 0.0071087 -0.002219559 -0.019995781

0.02089503 0.015209 0.0220611 -0.003881685 -0.027216112 -0.00308063 0.005034 0.0218941 0.014649772 0.002239175 0.00939136 0.008291 0.0042351 -0.015007285 -0.003217396

-0.00039056 0.006625 0.0299164 0.024480481 0.014347955 -0.02082191 0.019219 -0.013769 0.011905653 -0.009347758 -1.1944E-18 8.13E-18 -8.53E-20 2.33192E-18 -2.10442E-18



31

CUMULATIVE AVERAGE ABNORMAL RETURNS (CAAR)

T RELIANCE INFOSYS TCS ICICI ONGC SAIL -30 0.0028605 -0.001823 -0.00437 -0.0083 0.008995 0.011617 -29 -0.002089 -0.012336 -0.00817 0.02259 0.009146 0.015775 -28 -0.003138 -0.027277 0.01338 -0.0035 -0.00307 0.047504 -27 -0.001712 -0.032747 -0.00281 0.00668 -0.02381 0.033138 -26 0.0007731 -0.018168 -0.01478 -0.00926 -0.03036 0.002347 -25 0.0063297 -0.014558 -0.0084 0.00557 -0.03764 -0.016945 -24 0.0110231 -0.007802 -0.01053 -0.08045 -0.02996 -0.01315 -23 0.0072104 -0.021826 -0.0025 -0.10778 -0.04111 -0.028655 -22 0.0100841 -0.022618 -0.01535 -0.07582 -0.02798 -0.027197 -21 0.0159326 -0.015071 -0.02401 -0.12678 -0.01269 -0.004574 -20 0.0100307 -0.019784 -0.02182 -0.16377 -0.00971 -0.00684 -19 0.023873 -0.029075 -0.0165 -0.18107 -0.02282 -0.006653 -18 0.0455224 -0.032165 -0.00111 -0.11178 -0.01933 -0.022079 -17 0.0372732 -0.035312 -0.00569 -0.06343 -0.02223 -0.056104 -16 0.0451411 -0.035475 0.00743 -0.08147 -0.03248 -0.053249 -15 0.0401772 -0.039413 0.01575 -0.10698 -0.03354 -0.064385 -14 0.0323781 -0.027393 0.02723 -0.10122 -0.02334 -0.066568 -13 0.0120392 -0.036985 0.0477 -0.06557 -0.02727 -0.071229 -12 0.0034121 -0.050413 0.03793 -0.07712 -0.04279 -0.079324 -11 0.0103751 -0.047912 0.04135 -0.08233 -0.02979 -0.00063 -10 0.0078463 -0.025547 0.03625 -0.11813 -0.04109 -0.034981 -9 0.0068511 -0.023174 0.05037 -0.10395 -0.06809 -0.041258 -8 0.001862 -0.011462 0.04648 -0.122 -0.06567 -0.042657 -7 -0.006959 -0.008047 0.0584 -0.10616 -0.05072 -0.059285 -6 -0.010289 0.0321205 0.06879 -0.14639 -0.01614 -0.054811 -5 -0.012251 0.0358927 0.06407 -0.13003 -0.00965 -0.057083 -4 -0.017185 0.0552857 0.06101 -0.1327 0.009064 -0.003103 -3 0.0020021 0.0483383 0.04618 -0.13224 0.005739 0.035538 -2 -0.008492 0.0353575 0.04649 -0.11409 0.011281 0.049863 -1 -0.008857 0.0367368 0.03641 -0.12095 0.023314 0.017833 0 -0.01553 0.0413481 0.04457 -0.14664 0.003234 0.023434 1 -0.019472 0.0385383 0.04329 -0.11866 0.007093 0.009415 2 -0.018094 0.040726 0.04065 -0.13396 0.002166 -0.031153 3 -0.019303 0.0304358 0.0337 -0.14502 0.002232 -0.029744 4 -0.018348 0.0401176 0.0242 -0.14794 -0.00488 -0.000319 5 -0.024918 0.0337395 0.01684 -0.13355 0.003838 -0.015022 6 -0.023817 0.0425054 0.01526 -0.15383 0.028979 -0.020935 7 -0.021646 0.0322133 0.01106 -0.17002 0.055828 -0.025422 8 -0.018731 0.029706 0.00754 -0.18088 0.066076 -0.023929 9 -0.015547 0.0142358 0.00502 -0.1909 0.048698 -0.023657

10 -0.02622 0.0053084 0.00424 -0.14433 0.06007 -0.025848



32

11 -0.032867 0.0011331 0.00214 -0.11758 0.05196 0.009134 12 -0.036697 0.0181649 -0.00442 -0.16116 0.040102 -0.004617 13 -0.041386 0.0333635 -0.00258 -0.09399 0.044608 0.003138 14 -0.035576 0.0333115 -0.00281 -0.10736 0.018499 -0.008074 15 -0.041911 0.0247842 0.00197 -0.05796 0.035606 0.01854 16 -0.0353 0.0278426 0.00442 -0.06225 0.018949 0.029336 17 -0.01916 0.0483667 0.01311 -0.05834 0.015515 0.050656 18 -0.021691 0.0505496 0.01662 -0.06187 0.01933 0.064353 19 -0.016524 0.0392509 0.00587 -0.04365 0.039157 0.027934 20 -0.006717 0.037649 0.02524 -0.05295 0.039502 0.039429 21 -0.001545 0.0663362 0.03348 -0.05707 0.039279 0.018988 22 0.0011133 0.0525451 0.03871 -0.04048 0.040846 -0.028396 23 0.0023366 0.029654 0.03141 -0.06279 0.031949 -0.068666 24 -0.003764 0.0359749 0.0072 -0.02798 0.019258 -0.017901 25 -0.02205 0.0331683 0.04097 0.01804 0.019754 -0.008679 26 -0.011733 0.0202936 0.02238 0.00734 0.021502 -0.018367 27 0.0121234 0.0057769 0.01289 0.01991 -0.0005 -0.030635 28 -0.00991 -0.000398 0.02814 -0.00759 0.002652 -0.02086 29 0.0033576 0.0034444 0.02964 -0.02236 -0.00227 -0.005046 30 -9.37E-17 9.801E-17 0.01865 0 1.91E-17 3.21E-17



33

SBIN GUJ AMB SIEMENS CIPLA STER SUZLON

-0.0128 -0.0258 0.0007879 0.00314 0.001308 0.012147 -0.0441 -0.0222 -0.018554 -0.0015 0.05119 0.0356415 -0.0383 0.00368 -0.004386 -0.00332 0.039988 0.05796501 0.03314 0.00089 0.0761365 0.031335 0.042529 0.08289666 -0.0521 0.00819 0.0442241 0.017487 0.055441 0.05973589 -0.095 0.00096 -0.039799 0.041039 0.045091 0.04903399

-0.1004 0.01877 -0.065081 0.029437 0.023521 0.05278357 -0.0769 0.02164 -0.048825 0.021498 0.038918 -0.05356483 0.10062 0.03067 -0.058079 0.036277 0.060603 -0.03294728 -0.0883 0.03404 -0.075043 0.028488 0.105025 -0.05987638 -0.0877 0.0658 -0.044446 0.028224 0.086557 -0.11637686 -0.0735 0.05303 -0.03064 0.055696 0.071917 -0.13239818 0.08341 -0.0047 -0.049905 0.026118 0.07916 -0.16172429 -0.0569 -0.0003 -0.060676 0.045705 0.054889 -0.12206128 -0.0757 -0.0065 -0.036093 0.044132 0.045771 -0.08960828 -0.1036 -0.0252 -0.027701 0.047218 0.048473 -0.05320709 0.07691 0.01 -0.02074 0.056579 0.063264 -0.05424987 -0.1174 0.01708 -0.039997 0.067252 0.009757 -0.03811675 -0.0935 0.03669 0.0038231 0.047559 -0.00354 -0.00194808 -0.1132 0.03629 -0.000943 0.048789 0.000471 0.00320759 -0.0803 0.04043 -0.018211 0.037934 0.003426 0.0123967 -0.1199 0.03161 -0.007543 0.016804 0.033705 -0.00600585 -0.1674 0.03686 0.004366 0.030198 0.038193 -0.00854127 -0.1652 0.02756 0.001651 0.018028 0.04815 0.02935377 -0.1871 0.01092 -0.012544 0.012703 0.050497 -0.00422935 -0.1812 0.00531 -0.011407 0.029757 0.051024 -0.02281237 -0.069 0.01868 -0.024027 0.043773 0.031967 -0.00582718

-0.1916 0.03687 -0.03615 0.069356 0.055457 0.03122991 -0.138 0.00627 -0.047532 0.041383 0.109269 0.02716572 -0.136 0.00207 -0.026278 0.033439 0.085868 -0.00163714

-0.1481 0.01753 -0.032052 0.051526 0.083686 -0.04236928 -0.1683 -0.0074 -0.043346 0.055914 0.076074 -0.04857587 -0.1565 -0.0033 -0.042606 0.055912 0.067847 -0.04423398 -0.096 0.03393 -0.037392 0.036013 0.058142 -0.06223979

-0.0977 0.03427 -0.047796 0.030754 0.046564 -0.08283207 -0.1069 -0.0099 -0.053545 0.024752 0.072083 -0.08507458 -0.1183 -0.0569 -0.04629 0.006817 0.05843 -0.09441634 -0.1463 -0.0508 -0.060646 0.018764 0.085016 -0.094885 -0.1399 0.00841 -0.055578 0.016232 0.047784 -0.08531218 -0.1559 0.00515 -0.003387 0.028979 0.049348 -0.07631096



34

-0.154 -0.0716 0.0067266 0.04904 0.045468 -0.0686995 -0.1219 -0.0154 0.0337777 0.041361 0.049684 -0.07975335 -0.0976 -0.0265 0.0167047 0.051482 0.033597 -0.09561817 -0.073 -0.0694 -0.002585 0.048631 0.053979 -0.0906343

-0.0712 -0.0685 -0.026673 0.023757 0.033572 -0.09946066 -0.079 -0.0325 -0.022077 0.029313 0.030715 -0.09628948

-0.1077 -0.03 -0.022227 0.002083 0.050507 -0.0395537 -0.0935 -0.0392 -0.052129 0.015881 0.059065 -0.035561 -0.0945 -0.0191 -0.030484 0.01042 0.040549 -0.01290338 -0.0834 0.01362 -0.013824 0.015622 0.035708 0.03255113 -0.0705 -0.0383 -0.012048 0.010625 0.049698 0.00300112 -0.0775 -0.0449 -0.018045 0.029125 0.039715 0.02562778 -0.0652 -0.0629 -0.020365 0.012245 0.039523 0.02879979 -0.1036 -0.0592 -0.00742 0.006518 0.049646 0.01219191 -0.1051 -0.0622 -0.003921 0.008356 0.037351 -0.02748686 -0.1194 -0.0443 -0.005699 0.013175 0.022326 -0.02376442 -0.0628 -0.0248 -0.000549 0.003171 0.013323 -0.01376316

-0.07 -0.0055 -0.000327 0.003484 -0.00353 0.01174114 -0.0282 0.00236 -0.012053 0.01538 -0.01351 0.00468612 -0.0114 -0.0111 -0.005608 0.00884 -0.02425 0.00539795 8.5E-17 5E-17 -9.54E-17 4.16E-17 6.59E-17 -1.8215E-17



35

ACC ITC IPCL MARUTHI DR.REDDY HINDALCO -0.01647 0.00201 -0.00377 -0.0127 0.0028364 0.03009 0.00316 -0.02396 -0.0194 -0.005 -0.0150937 0.030124

0.01 -0.01771 -0.036538 -0.009 -0.0030091 -0.00675 0.01084 -0.03612 -0.056607 -0.0064 0.02103337 -0.01989 0.01684 -0.03669 -0.043105 -0.0094 0.04739313 0.020025 0.03824 -0.05611 -0.048471 -0.0118 0.06024015 -0.0157 0.04443 -0.03263 -0.040106 -0.0198 0.07325392 -0.0122 0.01811 -0.00846 -0.036487 -0.0407 0.10124663 -0.13433 0.00546 0.0218 -0.051548 -0.0426 0.11518323 -0.17194 0.00963 0.016949 -0.056297 -0.0436 0.14258364 -0.14392 0.02288 0.007222 -0.04888 -0.0397 0.19208404 -0.1268 0.02465 0.027302 -0.073117 -0.0407 0.19655684 -0.14759 0.02134 0.017663 -0.064867 -0.0379 0.20222172 -0.13333 0.02206 0.031801 -0.057124 -0.0429 0.22479131 -0.11603 0.0196 0.030814 -0.043064 -0.0236 0.22759132 -0.12239

-0.02189 0.033777 -0.006648 -0.0309 0.25680811 -0.11796 -0.0638 0.054506 -0.026578 -0.0485 0.25733164 -0.10493

-0.02457 0.041864 -0.022472 -0.039 0.26542907 -0.10388 -0.00188 0.025231 -0.063224 -0.0425 0.28427351 -0.09864 -0.05887 0.028572 -0.105379 -0.052 0.29303912 -0.12513 -0.07593 0.034484 -0.108548 -0.0547 0.30020281 -0.09821 -0.10125 0.077333 -0.025861 -0.0565 0.30099834 -0.08456 -0.14459 0.084471 0.0145479 -0.0631 0.31207077 -0.13104 -0.08286 0.071882 -0.009184 -0.0654 0.34839713 -0.14896 -0.13439 0.064252 -0.01738 -0.0728 0.36418218 -0.13255 -0.10154 0.071184 -0.016569 -0.0735 0.35931549 -0.1499 -0.10641 0.042211 -0.013211 -0.0668 0.34888878 -0.14845 -0.16399 0.054796 -0.000315 -0.0427 0.37347689 -0.13984 -0.20641 0.051818 -0.007734 -0.0455 0.38144151 -0.12394 -0.20127 0.043361 -0.011775 -0.0505 0.38068305 -0.10112 -0.19348 0.021326 -0.031987 -0.0523 -0.3145852 -0.09718 -0.21049 0.035602 -0.050027 -0.0599 -0.3097297 -0.11739 -0.21672 0.039849 -0.043313 -0.0625 -0.2907205 -0.08333 -0.19503 0.047445 -0.032794 -0.0706 -0.2705893 -0.0913 -0.17924 0.037569 -0.031394 -0.0516 -0.2340553 -0.09928 -0.17469 0.05235 -0.035732 -0.045 -0.2381157 -0.09487 -0.17596 0.04333 -0.03792 -0.04 -0.2392187 -0.10024 -0.1814 0.0527 -0.037469 -0.0325 -0.2211222 -0.10639

-0.19268 0.065203 -0.030212 -0.0162 -0.2142376 -0.12852 -0.18428 0.04796 -0.024396 -0.0246 -0.1909763 -0.11189 -0.18266 0.016056 -0.03363 -0.028 -0.1897141 -0.08661 -0.17966 -0.00419 -0.043197 0.00305 -0.1840826 -0.08497



36

-0.20818 -0.00418 -0.048562 0.02686 -0.1533817 -0.08033 -0.20806 -0.02552 -0.050545 0.041 -0.1312269 -0.06723 -0.17687 -0.03106 -0.045623 0.03761 -0.123345 -0.05775 -0.19014 -0.01763 -0.049898 0.04923 -0.1007738 -0.05216 -0.18123 -0.00776 -0.043586 0.03554 -0.0811259 -0.01078 -0.15074 0.005454 -0.028973 0.0337 -0.0823406 -0.01431 -0.14032 -0.00513 -0.029578 0.02064 -0.0778554 -0.03073 -0.15497 -0.02236 -0.021493 0.00551 -0.0746624 -0.01727 -0.16449 -0.01219 -0.017049 0.00183 -0.0725655 -0.01549 -0.13621 -0.00949 -0.006262 0.00188 -0.069893 -0.00507 -0.08283 0.014478 0.0030379 -0.0038 -0.0611682 0.002615 -0.05125 -0.00096 -0.001148 -0.0079 -0.0705786 -0.00103 -0.03754 -0.01111 -0.014168 -0.0037 -0.0496799 0.008741 -0.07275 -0.00444 -0.020743 0.01185 -0.0394431 0.003602 -0.06516 -0.00454 -0.012183 -0.0069 -0.0357212 0.007693 -0.05929 -0.00233 0.0065905 0.02665 -0.0351824 0.00146 -0.03105 -0.01028 -0.002836 0.02055 -0.0286924 0.021012 -0.01031 -0.00721 -0.001716 0.01737 -0.0190211 0.010822 3.8E-17 9.19E-17 -7.37E-17 -6E-17 1.5266E-16 -1.3E-16



37

BPCL GAIL MTNL TATA PWR PNB HERO

HONDA -0.025764 0.004311 0.021575 0.017425 -0.011715 -0.00544 -0.030099 0.011001 0.000483 0.043517 -0.014001 -0.001 -0.035958 0.02581 0.017826 0.036418 -0.010423 -0.00757 -0.036266 0.028224 0.085002 0.023751 -0.008896 -0.02164 -0.042572 0.019148 0.068603 -0.014898 -0.005366 -0.04709 -0.041956 0.02221 0.091386 -0.014943 0.008387 -0.0302 -0.050318 0.043956 0.100312 0.005974 -0.013625 -0.08704 -0.069682 0.050467 0.09555 0.019103 -0.01085 -0.08614 -0.086054 0.045094 0.067762 -0.028048 -0.042827 -0.10608 -0.07138 0.038023 0.068759 -0.04658 -0.013649 -0.08984

-0.066592 0.035863 0.077537 -0.05002 -0.014171 -0.08454 -0.056809 0.047812 0.063459 -0.099811 -0.018035 -0.06841 -0.046417 0.059881 0.119514 -0.055647 -0.00123 -0.06636 -0.066153 0.086443 0.104363 -0.04682 -0.009292 -0.07501 -0.062301 0.074768 0.11455 -0.062646 -0.016484 -0.07211 -0.066155 0.055804 0.098957 -0.067245 -0.00131 -0.07317 -0.059792 0.042868 0.1174 -0.064376 -0.013207 -0.07884 -0.064857 0.056243 0.103337 -0.078418 -0.027155 -0.09941 -0.041275 0.01386 0.091651 -0.064775 -0.040962 -0.12163 -0.009112 -0.01974 0.101275 -0.063278 -0.049378 -0.10825 0.003287 0.01415 0.088601 -0.069486 -0.033052 -0.09805

-0.004953 0.029998 0.068843 -0.093157 -0.007055 -0.11062 0.008617 0.013726 0.059126 -0.048956 -0.040105 -0.11428 0.03258 0.051361 0.048036 -0.042702 -0.039733 -0.10828

0.054594 0.034776 0.047167 -0.006158 -0.036279 -0.12393 0.056434 0.030977 0.014318 -0.01901 -0.047625 -0.1464 0.038716 -0.0323 -0.05071 -0.02514 -0.050666 -0.15472 0.038476 0.000748 -0.06923 -0.051652 -0.061592 -0.14549 0.068146 0.02282 -0.03395 -0.039826 -0.052719 -0.1508 0.107003 0.004129 -0.01826 -0.034272 -0.063161 -0.11998 0.066053 -0.0268 -0.0404 -0.026887 -0.111207 -0.14325 0.056573 -0.03935 -0.05841 -0.033296 -0.129359 -0.11496 0.092965 -0.0175 -0.06905 -0.014154 -0.130559 -0.13013 0.111624 -0.02731 -0.07695 -0.045751 -0.113303 -0.11155

0.1127 -0.00308 -0.06772 -0.006223 -0.112138 -0.12392 0.11721 -0.02747 -0.05445 -0.028477 -0.138469 -0.1117

0.092337 0.010353 -0.0575 0.006657 -0.136105 -0.11457 0.082512 0.045023 -0.06663 0.019928 -0.085513 -0.09905 0.098289 0.025865 -0.07788 0.017557 -0.089348 -0.09882 0.113339 0.002144 -0.05042 0.00529 -0.100983 -0.09804 0.106869 -0.01282 -0.02356 -0.017224 -0.076191 -0.09448 0.099968 -0.01392 0.008837 -0.011203 -0.086413 -0.09251



38

0.088015 -0.02458 0.02862 -0.003884 -0.072931 -0.0887 0.107417 -0.03887 0.045229 0.010592 -0.062804 -0.08323 0.101556 -0.03997 0.000539 0.007901 -0.055981 -0.09294 0.076767 -0.00833 -0.02712 0.003575 -0.071362 -0.09046 0.090228 0.031127 -0.01582 -0.014113 -0.072805 -0.09417 0.077488 0.043165 -0.00858 -0.021296 -0.072855 -0.10356 0.041224 0.065257 0.015682 -0.004787 -0.068217 -0.0701 0.033851 0.051691 0.020098 -0.010897 -0.051946 -0.04354 0.022559 0.041123 0.04277 -0.006977 -0.068266 -0.01065 0.036521 0.057351 0.01924 -0.000345 -0.064816 -0.00618 0.062154 0.026213 0.012665 -0.000567 -0.071512 -0.02558 0.05452 0.004634 0.005107 -0.018222 -0.050058 -0.02332

0.070895 0.009977 -0.014 -0.016739 -0.035311 -0.01787 0.052051 0.008002 0.013122 -0.024309 -0.00103 -0.01866 0.017353 0.004383 0.023386 -0.029866 -0.001287 -0.01523 0.012894 0.015918 -0.00207 -0.033383 0.00029 -0.02649

-0.003957 0.027501 -0.00332 -0.010853 -0.002847 -0.02771 0.004958 0.01484 0.008884 0.003914 0.006958 -0.0167 -2.78E-17 -1.6E-17 -8.3E-17 6.16E-17 6.51E-17 0



39

HIND PETRO GRASIM VSNL GLAXO DABUR 0.02482794 -0.0082266 -0.01015 0.02892 0.012844 0.01975184 -0.0181045 -0.01705 0.03637 0.000364 0.00481517 -0.0126358 0.002666 0.02757 0.010176 0.07033583 -0.0237739 0.022446 0.04637 0.050026 0.06095011 -0.0162158 0.017033 0.06554 0.056836 0.08356179 0.0084947 -0.00514 0.05329 0.041877 0.04718723 0.0039598 -0.00776 0.04344 0.038492 0.05375556 0.0091566 -0.00712 0.0285 0.034756 0.05234333 0.005457 -0.02211 0.02369 0.019304 0.0293821 0.0059699 -0.02315 -0.00276 0.031974

0.01463324 -0.0252305 -0.0249 -0.02043 0.057663 -0.0196002 -0.0425196 -0.02761 -0.03093 0.052479 -0.0584723 -0.0467186 -0.05579 -0.00403 0.037459 -0.0429576 -0.0625008 -0.06156 0.00808 0.075007 -0.0255781 -0.0671069 -0.05308 0.01094 0.026329 -0.0342053 -0.1048999 -0.04056 0.01452 0.024122 -0.0550304 -0.1470835 -0.03538 0.0238 0.034374 -0.074783 -0.1158188 -0.03483 0.02418 0.033576

-0.0781916 -0.1046496 -0.04182 0.04768 0.045737 -0.0911146 -0.1265825 -0.06471 0.04986 0.018175 -0.086686 -0.1597754 -0.05602 0.04391 0.045484

-0.0396365 -0.1718017 -0.08827 0.03159 0.015251 -0.0350665 -0.1348657 -0.05992 0.02521 -0.00979 -0.0543351 -0.139871 -0.06463 0.02579 -0.00325 -0.0674559 -0.1412384 -0.05653 0.02599 -0.01498 -0.0577299 -0.1081502 -0.03922 0.06221 -0.03005 -0.0343079 -0.170492 -0.0228 0.03878 -0.04705 -0.0610322 -0.2000537 -0.05054 0.04423 -0.03658 -0.0575554 -0.185367 -0.04704 0.04415 -0.03659 -0.0624959 -0.1685091 -0.02231 0.05381 -0.04209 -0.0516991 -0.1717203 -0.03057 0.0538 -0.07226 -0.0538801 -0.164148 -0.02822 0.05689 -0.07576 -0.0393416 -0.1630008 -0.03848 0.05734 -0.0886 -0.0458875 -0.1252758 -0.02489 0.04124 -0.0611 -0.0520016 -0.1466229 -0.00361 0.04289 -0.03825 0.00103402 -0.1767561 0.021721 0.03292 -0.00625 0.03060102 -0.1723005 0.008766 0.01047 -0.02697 0.02592737 -0.1665239 0.038545 -0.0017 -0.01846 0.01715389 -0.1526656 0.033681 -0.00397 -0.02545 0.01360674 -0.1666647 0.029049 -0.02457 0.018624 0.02494944 -0.1497184 0.026135 -0.04112 0.026558 0.04801088 -0.1247194 0.021849 -0.00849 0.016997 0.01691373 -0.1135067 0.036131 -0.0093 0.008059



40

0.02861131 -0.1398397 0.034378 -0.00086 0.021418 0.08060316 -0.118634 0.02727 -0.00812 -0.00833 0.09820593 -0.0903064 0.033236 -0.01425 -0.00304 0.10329951 -0.0748002 0.037122 -0.02055 -0.0013 0.10846393 -0.0805581 0.038303 0.00328 0.009804 0.10115143 -0.058493 0.041043 0.00211 -0.00893 0.07764319 -0.0603911 0.043352 0.00908 -0.01518 0.0996713 -0.0383928 0.008409 0.00844 -0.00806

0.08427621 -0.0318083 0.008693 0.01197 0.040659 0.08617429 -0.0474966 0.006572 0.0287 0.054175 0.0491822 -0.0340828 0.013015 0.03209 0.012194

0.04188528 -0.0346509 0.018462 0.02342 0.009977 0.03640395 -0.029861 0.025603 0.01308 0.025471 0.01708836 -0.0479939 0.00265 0.02882 0.023693 0.00385789 -0.0259184 0.007203 0.01357 0.00917

0.018071 0.0030651 0.002113 0.04208 -0.00893 0.00494398 -0.011119 -0.00781 0.02898 -0.00474

0 1.908E-16 7.03E-17 0 -3.6E-17



41

BAJAJ AUTO SATYAM BHEL TATA MOTORS TATA STEEL 0.026034903 0.00187459 -0.008 0.022985336 0.02683168 0.053468693 0.00544712 -0.0111 0.021903767 0.03837267 0.053259713 0.00217642 -0.0219 0.03024847 -0.0178519 0.038588459 0.01007136 -0.0286 0.029131113 0.00408769

-0.004284974 0.03257465 -0.0294 0.017781148 0.04084728 0.0354102 0.03942671 -0.0224 0.028432011 0.05575385

0.017189545 0.05285903 -0.0181 -0.01495018 0.06407714 0.017382737 0.05302607 -0.0191 -0.034307183 0.05619238 0.021476531 -0.62666286 -0.0494 0.001096166 0.06062235 0.013230319 -0.61266619 -0.0746 0.010965977 0.05477475 0.010484933 -0.57829569 -0.0635 0.008205855 0.0472018 0.020603427 -0.57246897 -0.0831 0.01926162 0.04047396 0.020871456 -0.57020161 -0.0667 -0.012930796 0.05471632 0.030524218 -0.55674901 -0.0619 0.028524051 0.03131888 0.008711657 -0.50818537 -0.0601 0.010621424 0.00937774 0.003788782 -0.49698246 -0.0669 0.025011862 -0.0237053

-0.010665014 -0.49441645 -0.05 0.04837345 -0.032313 -0.019780848 -0.51137431 -0.0416 0.055013316 -0.0226163 0.010234071 -0.49887016 -0.0265 0.057266219 -0.0270694 0.046509041 -0.48712979 -0.011 0.078709955 -0.0490711 0.066966332 -0.47174254 0.02045 0.07238917 -0.0198013 0.087731136 -0.47312221 0.03755 0.06968873 -0.0451914 0.068970946 -0.48163674 0.01148 0.070563935 -0.0778572 0.049338831 -0.44132017 -0.0005 0.034369311 -0.0684646 0.033235729 -0.44829627 -0.0035 0.017234902 -0.0677274 0.039250654 -0.46460178 -0.0061 0.023144105 -0.074978 0.042475828 -0.46019057 -0.0162 0.071864671 -0.0570183 0.041194407 -0.45781954 -0.0107 0.081558998 -0.0405634 0.023808729 -0.45537128 -0.0027 0.063340985 -0.0514695 0.065862341 -0.44254801 -0.0325 0.060380279 -0.0223186 0.038270633 -0.40738599 -0.0412 0.039259317 0.00312672 0.041380492 -0.41845724 -0.0412 0.03546399 0.04093982 0.033437568 -0.41119851 -0.0423 0.016632016 0.02762424 0.046529204 -0.38802952 -0.0517 0.022463982 0.03149929 0.044601635 -0.39191534 -0.0431 0.018694351 0.034456 0.044905173 -0.35463728 -0.0598 0.044563408 0.01846064 0.06412123 -0.3450649 -0.0535 0.035343089 0.01181139

0.059435854 -0.316474 -0.0314 0.019129607 0.02626951 0.063726873 -0.30250587 -0.0402 0.036934405 0.02798084 0.031224787 -0.24924944 -0.0417 0.021392582 0.02710973 0.029343202 -0.26846188 -0.0163 0.032903457 0.01085096



42

0.019177893 -0.25856639 -0.042 0.027860024 -0.0035372 0.012026761 -0.24882009 -0.0505 0.025417227 -0.0300235 0.003112473 -0.25601454 -0.0469 -0.003932729 -0.0224331

-0.013234852 -0.24102455 -0.0625 -0.013873364 -0.0525043 0.003759296 -0.22121375 -0.0615 -0.003718048 -0.0017154 0.013072271 -0.20763686 -0.028 -0.026849977 0.01572385 0.008411605 -0.21739492 -0.0507 -0.04477084 0.02415012

-0.000308052 -0.20277574 -0.053 -0.047947001 0.01197987 -0.020285851 -0.18695639 -0.0591 -0.068007611 -0.0061328 -0.014654192 -0.16683064 -0.0601 -0.057851468 0.01169814 -0.034680424 -0.16586857 -0.0724 -0.051162693 0.04374953 -0.040905243 -0.13186357 -0.0899 -0.048156267 0.03310975 -0.035823639 -0.09689472 -0.0491 -0.042956705 0.05221498 -0.018764995 -0.0774306 -0.0714 -0.029927376 0.04318992 -0.005993299 -0.05437736 -0.0643 -0.032146935 0.02319414 0.014901727 -0.03916879 -0.0423 -0.03602862 -0.004022 0.011821101 -0.034135 -0.0204 -0.021378849 -0.0017828 0.02121246 -0.02584416 -0.0161 -0.036386134 -0.0050002

0.020821905 -0.01921882 0.01377 -0.011905653 0.00934776 -7.28584E-17 4.9613E-16 0 1.42247E-16 -1.284E-16



43

GRAPHS REPRESENTING THE CAARS AROUND THE EVENT DAY:

RELIANCE

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

31

CAAR

INFOSYS

-0.06-0.04-0.02

00.020.040.060.08

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR



44

ICICI BANK

-0.25

-0.2

-0.15

-0.1

-0.05

0

0.05

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR

ONGC

-0.08

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

0.08

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR

SAIL

-0.1-0.08-0.06-0.04-0.02

00.020.040.060.08

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR



45

GUJRAT AMBUJA

-0.08-0.06-0.04-0.02

00.020.040.060.08

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR

SIEMENS

-0.1-0.08-0.06-0.04-0.02

00.020.040.060.080.1

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR

SBIN

-0.25-0.2

-0.15-0.1

-0.050

0.050.1

0.15

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR



46

CIPLA

-0.010

0.010.020.030.040.050.060.070.08

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR

STER

-0.04

-0.02

0

0.020.04

0.06

0.08

0.1

0.12

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR

ITC

-0.08-0.06-0.04-0.02

00.020.040.060.080.1

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR



47

IPCL

-0.12

-0.1

-0.08

-0.06

-0.04

-0.02

0

0.02

0.04

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR

MARUTHI

-0.08

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR

HINDALCO

-0.2

-0.15

-0.1

-0.05

0

0.05

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR



48

BPCL

-0.1

-0.05

0

0.05

0.1

0.15

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR

GAIL

-0.06

-0.04

-0.02

00.02

0.04

0.06

0.08

0.1

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR

TATA POWER

-0.12-0.1

-0.08-0.06-0.04-0.02

00.020.040.06

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR



49

GRASIM

-0.25

-0.2

-0.15

-0.1

-0.05

0

0.05

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR

VSNL

-0.1

-0.08

-0.06

-0.04-0.02

0

0.02

0.04

0.06

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR

glaxo

-0.05

0

0.05

0.1

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR



50

DABUR

-0.1-0.08-0.06-0.04-0.02

00.020.040.060.080.1

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR

BAJAJ AUTO

-0.06

-0.04

-0.02

00.02

0.04

0.06

0.08

0.1

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR

SATYAM

-0.7

-0.6

-0.5

-0.4-0.3

-0.2

-0.1

0

0.1

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR



51

BHEL

-0.1

-0.08

-0.06

-0.04-0.02

0

0.02

0.04

0.06

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR

TATA MOTORS

-0.08-0.06-0.04-0.02

00.020.040.060.080.1

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR

TATA STEEL

-0.1-0.08-0.06-0.04-0.02

00.020.040.060.08

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61

CAAR



52

Interpretation on the based of CAAR graphs In an efficient market, CAAR should flatten out after the event�day to

indicate that the market has absorbed the results quickly. But this was not the

casein this study since there were no cases were no cases were the CAAR if

flattened out after the event day. Hence strengthens the belief that the Indian

stock market is not efficient.

\



53

T‐ TEST results for the samples: no. company t values 1 RELIANCE 2.666024168 2 INFOSYS 0.103220573 3 TCS 7.646778456 4 ICICI -10.00944612 5 ONGC -7.960748426 6 SAIL 0.957307182 7 SBIN -5.795615775 8 GUJ AMB 8.516228704 9 SIEMENS -4.863896407 10 CIPLA 13.75374545 11 STER 13.02250186 12 SUZLON -1.319019088 13 ACC -5.217604674 14 ITC 4.32069809 15 IPCL -6.798507146 16 MARUTHI -12.46489549 17 DR.REDDY 1.003487457 18 HINDALCO -10.4568785 19 BPCL -1.960496657 20 GAIL -0.571497448 21 MTNL 2.814308312 22 TATA PWR -7.059569256 23 PNB -7.979765698 24 HERO HONDA -14.67354818 25 HIND PETRO -8.164949556 26 GRASIM -9.723215497 27 VSNL -12.89905444 28 GLAXO 11.75255696 29 DABUR -6.031951143 30 BAJAJ AUTO 7.918749854 31 SATYAM -11.22419442 32 BHEL -3.528594133 33 TATA MOTORS 9.732444725 34 TATA STEEL -1.441692815



54

Interpretation based on t- test values T-test indicate that the in 29 out of 34 companies the average of abnormal returns

before and the after the event day or not equal this supports the hypothesis that the

market is not semi-strong efficient because there is potential opportunity for

making more than normal profit.



55

SUMMARY AND CONCLUSION: In an efficient market, CAAR should flatten out after the event‐day to

indicate that the market has absorbed the results quickly. But this was not

the casein this study since there were no cases were no cases were the CAAR if

flattened out after the event day. Hence strengthens the belief that the Indian

stock market is not efficient.

T‐test indicate that the in 29 out of 34 companies the average of abnormal returns

before and the after the event day or not equal this supports the hypothesis that

the market is not semi‐strong efficient because there is potential opportunity for

making more than normal profit.



56

BIBLIOGRAPHY AND REFERENCE: 1. Foster, G, C Olsen, and T Shevlin (1984), “Earnings Releases, Anomalies,

and the Behavior of Security Prices”, The Accounting Review,574‐603.

2. Obaidullah, M (1990), “Stock Price Adjustment to Half Yearly Earnings

Announcements—A Test of Market Efficiency”, Chartered Accountant,

38, 922‐924.

3. Mallikarjunappa, T (2004), “How Do the Indian Stock Prices React to

Quarterly Earnings”, The ICFAI Journal of Applied Finance, 10(3),

1‐13.

4. Amitabh Gupta, (2006), “Impact of Earnings Announcements on Stock

Prices: Some Empirical Evidences from India”‐The ICFAI Journal of

Applied Finance.

5. Fundamentals of Statistics – S.C. Gupta.

6. Investments – Kane and Bodie.

WEBSITES:

1. www.investopedia.com

2. www.blonnet.com

3. www.nseindia .com

4. www.indiainfoline.com

5. www.equitymasters.com

DATABASE: Prowess & Capital Line Plus

TOOLS USED: SPSS, EXCEL SPREAD SHEETS.



57

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Abdul Hafeez-0501-Divedend Announcement, Security Performance

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