Ranbaxy Laboratories Ltd. Statistical Analysis of Stock

8/14/2019 Ranbaxy Laboratories Ltd. Statistical Analysis of Stock

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RANBAXY LABORATORIES LTD.RANBAXY LABORATORIES LTD.

Statistical Analysis of Stock PricesStatistical Analysis of Stock Prices

Presented byPresented by

Anushka Kiran PGDMB8/03Anushka Kiran PGDMB8/03

Arun Vats PGDMB8/05Arun Vats PGDMB8/05

Kanu Priya PGDMB8/16Kanu Priya PGDMB8/16

Manish Jain PGDMB8/18Manish Jain PGDMB8/18

Rajnish Yadav PGDMB8/26Rajnish Yadav PGDMB8/26

Sunil Gaur PGDMB8/38Sunil Gaur PGDMB8/38


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Descriptive Statistical Analysis ofDescriptive Statistical Analysis of

PopulationPopulation Close Price BSE_SENSEX Open Price

Mean 418.93 10893.13 421.04Standard Error 2.75 103.44 2.78

Median 401.68 10855.82 403.88

Mode 393.15 #N/A 390.00

Standard Deviation 61.56 2312.94 62.16Sample Variance 3789.87 5349674.91 3864.10

Kurtosis -0.58 -1.24 -0.60

Skewness 0.68 -0.11 0.68

Range 247.70 7996.53 250.00Minimum 309.50 6655.56 314.00

Maximum 557.20 14652.09 564.00

Sum 209462.55 5446563.33 210518.88

Count 500.00 500.00 500.00Confidence Level(95.0%) 5.41 203.23 5.46


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Descriptive Statistical Analysis of theDescriptive Statistical Analysis of the

SampleSampleOpen Price Close Price

Mean 408.74Mean 407.28Standard Error 10.21Standard Error 10.11

Median 392.50Median 397.03

Mode 385.00Mode #N/A

Standard Deviation 55.91Standard Deviation 55.37

Sample Variance 3126.37Sample Variance 3065.61Kurtosis -0.06Kurtosis -0.21

Skewness 0.74Skewness 0.64

Range 215.00Range 211.90

Minimum 316.00Minimum 311.05

Maximum 531.00Maximum 522.95

Sum 12262.25Sum 12218.35

Count 30.00Count 30.00

Confidence Level(95.0%) 20.88Confidence Level(95.0%) 20.67


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Variation of the closingVariation of the closing

price with BSE priceprice with BSE price


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Difference between twoDifference between two

population means-smallpopulation means-small

samplesampleT testT test

Null Hypothesis: H0: 1>=2Null Hypothesis: H0: 1>=2

Avg Price of (Closing Price>=Opening Price)Avg Price of (Closing Price>=Opening Price)

Alternate Hypothesis: H1: 1


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ContCont

t = (X1 - X2) / SQRT ( S^2*(1/n1 + 1/n2))t = (X1 - X2) / SQRT ( S^2*(1/n1 + 1/n2))= -0.10186= -0.10186

Note:Note:

S^2 =[(n1-1)*S1^2 + (n2-1)*S2^2]/(n1+n2-2)S^2 =[(n1-1)*S1^2 + (n2-1)*S2^2]/(n1+n2-2)=3095.989=3095.989

n1= 30, n2=30n1= 30, n2=30

t computed = 0.10186t computed = 0.10186t critical = 1.6991 (5% level oft critical = 1.6991 (5% level of

significance )significance )


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Cont..Cont..

Here, t critical > t computedHere, t critical > t computed

Thus, we will accept the nullThus, we will accept the nullHypothesis andHypothesis and

conclude that average Closing priceconclude that average Closing price

>= average>= averageOpening price.Opening price.


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Difference in twoDifference in two

population meanspopulation means

(small sample)(small sample)Paired T Test is conducted for a small sample sizePaired T Test is conducted for a small sample size

of 10 nos.of 10 nos.

Sample size of 10 is taken from the populationSample size of 10 is taken from the population

Closing price after and before the acquisition ofClosing price after and before the acquisition of

Terapia by Ranbaxy in May 2006Terapia by Ranbaxy in May 2006


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HypothesisHypothesis

Null Hypothesis H0:1=2Null Hypothesis H0:1=2

Alternative Hypothesis H1:12Alternative Hypothesis H1:12

Where,Where,1: Population Mean after acquisition1: Population Mean after acquisition

2: Population Mean before acquisition2: Population Mean before acquisition


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Closing price before andClosing price before and

after Acquisitionafter Acquisition

CLOSING PRICE

Sr. No. Before Acquisition After Acquisition

1 351.65 365.252 550.08 349.45

3 379.8 411

4 442 370.8

5 393.15 398.4

6 439.85 357.4

7 419 414.05

8 357.65 375.05

9 432.75 412.25

10 384.85 345.3


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t-Test: Paired Two Sample fort-Test: Paired Two Sample for

MeansMeansbefore acquisition after acquisitionMean 415.078 379.895

Variance 3316.873396 719.3080278

Observations 10 10

Pearson Correlation -0.248656817

Hypothesized Mean Difference 0

Df 9

t Stat 1.605150988

P(T


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t-Test: Paired Two Sample fort-Test: Paired Two Sample for

Means (cont..)Means (cont..)

Calculated "t" is less than critical "t".Calculated "t" is less than critical "t".

Hence we accept the null HypothesisHence we accept the null Hypothesis

i.e. acquisition has no effect on sharei.e. acquisition has no effect on share

price and population mean after andprice and population mean after and

before acquisition is the samebefore acquisition is the same


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Chi-Square TestChi-Square Test

Null hypothesis: There is 80% or greaterNull hypothesis: There is 80% or greaterassociation between Ranbaxys closingassociation between Ranbaxys closingprices and BSE sensexprices and BSE sensex

Alternate hypothesis: There is less thanAlternate hypothesis: There is less than80% association between Ranbaxys80% association between Ranbaxysclosing prices and BSE sensexclosing prices and BSE sensex

NOTE: we have assumed that an association of 80% orNOTE: we have assumed that an association of 80% ormore represents a high dependence.more represents a high dependence.


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Chi Square TestChi Square Test

Observedfreq.

Expectedfreq.

(O-E) (O-E)^2 (O-E)^2)/E

YES 18 24 -6 36 1.5

NO 12 6 6 36 6

Total 30 30 CHI-SQUARE 7.5


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InferenceInference

Calculated Chi Square = 7.5Calculated Chi Square = 7.5

Critical Chi Square = 3.8414 at 5%Critical Chi Square = 3.8414 at 5%level of significance.level of significance.

Since, calculated Chi square is greaterSince, calculated Chi square is greaterthan critical Chi Square. Thus ,we rejectthan critical Chi Square. Thus ,we rejectthe null hypothesis.the null hypothesis.

Hence, the degree of associationHence, the degree of associationbetween the growth of Ranbaxys sharebetween the growth of Ranbaxys shareprice and BSE sensex is very low.price and BSE sensex is very low.


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REGRESSION MODELREGRESSION MODELDifference high-

lowNo. of Trades per

Day

6.1 3614

6.3 2908

6.9 2480

7.45 8999

7.95 2897

9.3 3009

9.5 6256

10.4 6171

10.8 1550

11.45 5373

11.5 1444

11.5 3367

12.4 4841

12.7 1100

14.4 6806

14.5 5069

15.65 7613

18.3 11113

18.6 6285


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HypothesisHypothesis

Null Hypothesis:Null Hypothesis:

There is no linear relationship between no. ofThere is no linear relationship between no. oftrades per day & difference in high and lowtrades per day & difference in high and lowvalue in the population regression linevalue in the population regression line

Alternative Hypothesis:Alternative Hypothesis:

There is linear relationship between no. ofThere is linear relationship between no. of

trades per day & difference in high and lowtrades per day & difference in high and lowvalue in the population regression linevalue in the population regression line


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Summary OutputSummary Output

Regression Statistics

Multiple R 0.470970693

R Square 0.221813394

Adjusted R Square 0.178580804

Standard Error 2382.355489

Observations 20

ANOVAANOVA


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ANOVAANOVA

Analysis of VarianceAnalysis of Variancedf F Significance F

Regression 1 29119884.78 2911988 5.13069 0.036082365

Residual 18 102161118.2 5675618

Total 19 131281003

Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95% Upper 95%

Intercept 1115.539 1689.846 0.660 0.517 2434.69 4665.77 2434.69 4665.77

difference of high n low 326.958 144.345 2.265 0.036 23.69 630.21 23.69 630.21


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INFERENCEINFERENCE

1) Here, F calculated > F critical1) Here, F calculated > F critical

Therefore, we reject the null Hypothesis.Therefore, we reject the null Hypothesis.

2) In our case R^2 is2) In our case R^2 is 0.221.The interpretation.The interpretation

is 22% of the variation in no. of trades peris 22% of the variation in no. of trades perday is explained by difference in high andday is explained by difference in high and

low price and about 78% is explained by thelow price and about 78% is explained by the

residual term.residual term.


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SCATTER DIAGRAMSCATTER DIAGRAMPOSITIVE CORRELATIONPOSITIVE CORRELATION

scattered data

0

2000

4000

6000

8000

10000

12000

0 5 10 15 20

difference High-Low

no.oftrad

e

Series1


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ANOVA TESTANOVA TEST

Null Hypothesis:Null Hypothesis:

Average Closing Price on different week days isAverage Closing Price on different week days is

SameSame

Alternative Hypothesis:Alternative Hypothesis:

Average Closing Price on different week days isAverage Closing Price on different week days is

DifferentDifferent


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Closing Price on differentClosing Price on different

week daysweek daysS. No. Monday Tuesday Wednesday Thursday Friday

1 394.8 525.1 338.2 404.6 343.2

2 375.9 395.5 381.5 381.7 442.95

3 413.95 502.55 411.15 387.35 351.954 554.78 350.1 373.85 416.75 403

5 383.6 406.6 431.5 344 384.85

6 354.75 383.1 399 406.55 427.15

7 402.3 386.65 513.45 473.1 419.58 400.85 532.7 508.95 365.35 396.45

9 462.35 349.45 539.95 436.4 539

10 316.85 399.7 412.7 458.4 412.4


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Summary OutputSummary Output

ANOVA:Single Factor

SUMMARY

Groups Count Sum Average Variance

Monday 10 4060.13 406.013 4169.08

Tuesday 10 4231.45 423.145 4887.993

Wednesday 10 4310.25 431.025 4536.186

Thursday 10 4074.2 407.42 1633.858

Friday 10 4120.45 412.045 2974.687


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Cont..Cont..ANOVA

Source of Variation SS df MS F Pvalue F crit

Between Groups 4657.7546 4 1164.43 0.31986 0.8631 2.57873

Within Groups 163816.24 45 3640.36

Total 168473.99 49


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Cont..Cont..

Here, F calculated > F critical,Here, F calculated > F critical,

We will reject the Null HypothesisWe will reject the Null Hypothesis

Therefore, average closing price onTherefore, average closing price on

different weekdays is different.different weekdays is different.

Also, by comparing the population averageAlso, by comparing the population average

closing price on different week days isclosing price on different week days isdifferentas shown in the next slidedifferentas shown in the next slide


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THANK YOUTHANK YOU

Date post:	30-May-2018
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Ranbaxy Laboratories Ltd. Statistical Analysis of Stock

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