Pons Anna

INTRODUCTION
INDUSTRY PROFILE
Stock broking business is one of the leading businesses in India as
millions and millions of rupees roll in that industry. It is in the last decade many broking
agencies jumped in to this business due to the enormous growth of our economy and the
awareness of the people about stock market and investment in shares that leads to the growth of
stock broking agencies. Also technology that paved way to the coming of screen based trading in
1994 brought in transparency in trading and also raised confidence in the minds of investors that
automatically leads to lower transaction cost and more convenience.
Next is the coming of Dematerialization account. Dematerialization is the
process in which physical share certificates are converted in to electronic shares that saves a
large amount of money and time. The futures and options trading was another biggest factor that
changed the dimension of stock broking industry as it is the new avenue of revenue for them.
The elimination of many of the traditional restriction against banking
activities within the trading industry made some commercial banks to have trading agencies as
subsidiaries and also made many corporate and others to enter in to trading business.
The core function of any brokerage firm is to Buy and Sell orders of shares for their
clients.
Stock broking in India came after the practices of East India Companys loan securities that
gradually developed in different forms and modified to present practice. The companies Act of
1850 and introduction of the principle of limited liability, made investments in stocks and shares
popular. Though stock broking was practiced in the early 1836 in Calcutta, it was not popular
due to the reason that they do not have any regulations and code of conduct or any permanent
place for congregation. This resulted in the increased malpractices in trading, settlement and
transfer of securities. This made the government to interfere and form SEBI to monitor and
regulate the broking firms and stock exchanges. Today to act as a stock broker, certification from
the SEBI is mandatory and lot of norms is there to register as a broking firm.
Stockbroker is a person or a firm that trades on its clients behalf.
Types of stock broking services:
Execution -which means that the broker will only carry out the client's instructions to
buy or sell. It just executes the clients order to buy or sell.
Advisory dealing- here the broker advises the client on which shares to buy and sell, but
leaves the final decision to the investor.
Discretionary dealing- here the stockbroker understands the client's investment objectives
and then makes all dealing decisions on the client's behalf.
The broking industry is closely associated with the Stock

Exchanges and SEBI that control the activities of the broking industry.
Capital Market:
Capital market is the wide term used to comprise all operations in the new issues and stock
market. New issues made by the companies constitute the primary market, while the trading the
existing securities relate to the secondary market. Its the stock exchanges, SEBI and broking
agencies that play a major role in the capital market between the investors and companies where
they invest. The Securities Contracts Act, 1956 is the basis for regulation of securities contracts
and the stock exchanges in India. It was enacted in 1956 and came into force on February 20,
1957. It regulates the business of trading on the stock exchanges and options trading and
provides for recognition of stock exchanges and related matters like listing of securities, transfer
of securities, etc
Stock Market:
Stock market are the most perfect type of market for securities whether of government
and semi-government bodies or other public bodies as also for shares and debentures issued by
the joint stock companies. In the stock market, purchases and sales of shares are made in
conditions of free competition. Government securities are traded outside the trading ring in the
form of over-the-counter sales or purchases. The bargains that are struck in the trading ring by
the members of the stock exchanges are at the fairest prices determined by the basic laws of
supply and demand.
History of Stock Exchanges:
The only stock exchanges operating in the 19th century were those of Mumbai set up in
1875 and Ahmedabad set up in 1894. These were organized as voluntary non-profit-making
associations of brokers to regulate and protect their interests. Before the control on securities
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trading became a central subject under the Constitution in 1950, it was a state subject and the
Bombay Securities Contracts (Control) Act of 1925 used to regulate trading in securities. Under
this Act, the Bombay stock Exchange was recognized even in Mumbai, Ahmedabad and other
centers, but they were not recognized, soon after it became a central subject, central legislation
was proposed and a committee headed by A. D. gorwala went into the Bill for Securities
regulation.
On the bases of the committees recommendations and public discussion, the
securities contracts (Regulation) Act became law in 1956.
Stock Exchange:
Stock Exchange means anybody or individuals whether incorporated or not, constituted
for the purpose of assisting, regulating or controlling the business of buying, selling or dealing in
securities.
It is an association of member brokers for the purpose of self-regulation and
protecting the interests of its members. With the stock exchanges becoming corporate bodies
with demutualization the control and ownership will be in different hands.
It can operate only if it is recognized by the Government under the Securities Contracts
(Regulation) Act, 1956.
At present there are 23 Stock Exchanges in India, NSE and BSE were the main two stock
exchanges and the other 21 were regional stock exchanges. The stock market and the stock
exchanges and their functions were controlled by SEBI (Securities Exchange Board of India)
SEBI:
The Government has set up the Securities & Exchange Board of India (SEBI) in April,
1988. For more than years, it has no statutory powers. Its interim functions during the period
were (i) To collect information and advice the Government on matters relating to Stock and
Capital Markets (ii) Licensing and regulation of merchant banks, mutual funds etc. (iii) To
prepare the legal drafts for regulatory and development role of SEBI and (iv) To Perform any
other functions as may be entrusted to it by the Government.
The need for setting up independent Govt. agency to regulate and develop the Stock and
Capital Market in India as in many developed countries was recognized since the Sixth Five Year
Plan was launched (1985) when some major industrial policy changes like opening up of the
economy to outside world and greater role to the Private Sector were initiated. The rampant
malpractices noticed in the Stock and Capital Market stood in the way of infusing confidence of
investors which is necessary for mobilization of larger quantity of funds from the public and
helps the growth of the industry.
The main objectives of SEBI have been entrusted with both the regulatory and
developmental functions. The objectives were,
Investor protection, so that there is a steady flow of savings into the Capital Market.
Ensuring the fair practices by the issuers of securities, namely, companies so that they can
raise resources at least cost.
Promotion of efficient services
by
brokers, merchant
bankers
intermediaries so that they become competitive and professional.
and
other
National Stock Exchange of India:

The National Stock Exchange of India Limited has genesis of the High Powered Study
Group on establishment of new stock exchanges. In the fast growing Indian financial market,
there are 23 stock exchanges trading securities. The National Stock Exchange of India (NSE)
situated in Mumbai - is the largest and most advanced exchange with 1016 companies listed and
726 trading members.
The NSE is owned by the group of leading financial institutions such as Indian Bank or
Life Insurance Corporation of India and incorporated in November 1992 as a tax paying
company unlike other stock exchanges in the country. However, in the totally de-mutualised
Exchange, the ownership as well as the management does not have a right to trade on the
Exchange. Only qualified traders can be involved in the securities trading.
The NSE is one of the few exchanges in the world trading all types of securities on a
single platform, which is divided into three segments: Wholesale Debt Market (WDM), Capital
Market (CM), and Futures & Options (F&O) Market. Each segment has experienced a
significant growth throughout a few years of their launch. While the WDM segment has
accumulated the annual growth of over 36% since its opening in 1994, the CM segment has
increased by even 61% during the same period. The National Stock Exchange of India has
stringent requirements and criteria for the companies listed on the Exchange. Minimum capital
requirements, project appraisal, and company's track record are just a few of the criteria. In
addition, listed companies pay variable listing fees based on their corporate capital size.
The National Stock Exchange of India Ltd. provides its clients with a single, fully
electronic trading platform that is operated through a VSAT network. Unlike most world
exchanges, the NSE uses the satellite communication system that connects traders from 345
Indian cities. The advanced technologies enable up to 6 million trades to be operated daily on the
NSE trading platform.
MISSION OF NSE:
NSE's mission is setting the agenda for change in the securities markets in India. The
NSE was set-up with the main objectives of:
Establishing a nation-wide trading facility for equities, debt instruments and hybrids,
Ensuring equal access to investors all over the country through an appropriate
communication network,
Providing a fair, efficient and transparent securities market to investors using electronic
trading systems,
Enabling shorter settlement cycles and book entry settlements systems, and
Meeting the current international standards of securities markets.
The standards set by NSE in terms of market practices and technology has become
industry benchmarks and is being emulated by other market participants. NSE is more
than a mere market facilitator. It's that force which is guiding the industry towards new
horizons and greater opportunities.
NSE PROMOTERS:
NSE has been promoted by leading financial institutions, bans, insurance companies and
other financial intermediaries,
Industrial Development Bank of India Limited
Industrial Finance Corporation of India Limited
Life Insurance Corporation of India
State Bank of India
ICICI Bank Limited
IL & FS Trust Company Limited
Stock Holding Corporation of India Limited
SBI Capital Markets Limited
Bank of Baroda
Canara Bank
General Insurance Corporation of India
National Insurance Company Limited
The New India Assurance Company Limited
The Oriental Insurance Company Limited
United India Insurance Company Limited
Punjab National Bank
Oriental Bank of Commerce
Indian Bank
Union Bank of India
Infrastructure Development Finance Company Limited
History of the National Stock Exchange of India:

Capital market reforms in India and the launch of the Securities and Exchange Board of
India (SEBI) accelerated the incorporation of the second Indian stock exchange called the
National Stock Exchange (NSE) in 1992. After a few years of operations, the NSE has become
the largest stock exchange in India.
Three segments of the NSE trading platform were established one after another. The
Wholesale Debt Market (WDM) commenced operations in June 1994 and the Capital Market
(CM) segment was opened at the end of 1994. Finally, the Futures and Options segment began
operating in 2000. Today the NSE takes the 14th position in the top 40 futures exchanges in the
world.
In 1996, the National Stock Exchange of India launched S&P CNX Nifty and CNX
Junior Indices that make up 100 most liquid stocks in India. CNX Nifty is a diversified index of
50 stocks from 25 different economy sectors. The Indices are owned and managed by India
Index Services and Products Ltd (IISL) that has a consulting and licensing agreement with
Standard & Poors. In 1998, the National Stock Exchange of India launched its web-site and was
the first exchange in India that started trading stock on the Internet in 2000. The NSE has also
proved its leadership in the Indian financial market by gaining many awards such as 'Best IT
Usage Award' by Computer Society in India (in 1996 and 1997) and CHIP Web Award by CHIP
magazine (1999).
November 1992
Incorporation
April 1993
Recognition as a stock exchange
May 1993
Formulation of business plan
June 1994
Wholesale Debt Market segment goes live
November 1994
Capital Market (Equities) segment goes live
March 1995
Establishment of Investor Grievance Cell
April 1995
Establishment of NSCCL, the first Clearing Corporation
June 1995
Introduction of centralized insurance cover for all trading members
July 1995
Establishment of Investor Protection Fund
October 1995
Became largest stock exchange in the country
April 1996
Commencement of clearing and settlement by NSCCL
April 1996
Launch of S&P CNX Nifty
June 1996
Establishment of Settlement Guarantee Fund

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Setting up of National Securities Depository Limited, first depository in India,

November 1996
co-promoted by NSE
November 1996
Best IT Usage award by Computer Society of India
December 1996
Commencement of trading/settlement in dematerialized securities
December 1996
Dataquest award for Top IT User
December 1996
Launch of CNX Nifty Junior
February 1997
Regional clearing facility goes live
November 1997
Best IT Usage award by Computer Society of India
May 1998
Promotion of joint venture, India Index Services & Products Limited (IISL)
May 1998
Launch of NSE's Web-site: www.nse.co.in
July 1998
Launch of NSE's Certification Program in Financial Market
August 1998
CYBER CORPORATE OF THE YEAR 1998 award
February 1999
Launch of Automated Lending and Borrowing Mechanism
April 1999
CHIP Web Award by CHIP magazine
October 1999
Setting up of NSE.IT
January 2000
Launch of NSE Research Initiative
February 2000
Commencement of Internet Trading
June 2000
Commencement of Derivatives Trading (Index Futures)
September 2000
Launch of 'Zero Coupon Yield Curve'

Launch of Broker Plaza by Dotex International, a joint venture between NSE.IT
November 2000
Ltd. and i-flex Solutions Ltd.
December 2000
Commencement of WAP trading
June 2001
Commencement of trading in Index Options
July 2001
Commencement of trading in Options on Individual Securities
November 2001
Commencement of trading in Futures on Individual Securities
December 2001
Launch of NSE VaR for Government Securities
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January 2002
Launch of Exchange Traded Funds (ETFs)

NSE wins the Wharton-Infosys Business Transformation Award in the
May 2002
Organization-wide Transformation category
October 2002
Launch of NSE Government Securities Index
January 2003
Commencement of trading in Retail Debt Market
June 2003
Launch of Interest Rate Futures
August 2003
Launch of Futures & options in CNXIT Index
June 2004
Launch of STP Interoperability
August 2004
Launch of NSEs electronic interface for listed companies
March 2005
India Innovation Award by EMPI Business School, New Delhi
June 2005
Launch of Futures & options in BANK Nifty Index
December 2006
'Derivative Exchange of the Year', by Asia Risk magazine
January 2007
Launch of NSE CNBC TV 18 media centre
March 2007
NSE, CRISIL announce launch of IndiaBondWatch.com
June 2007
NSE launches derivatives on Nifty Junior & CNX 100
October 2007
NSE launches derivatives on Nifty Midcap 50
January 2008
Introduction of Mini Nifty derivative contracts on 1st January 2008
March 2008
Introduction of long term option contracts on S&P CNX Nifty Index
April 2008
Launch of India VIX
April 2008
Launch of Securities Lending & Borrowing Scheme
August 2008
Launch of Currency Derivatives
CNX Nifty is a diversified index of 50 stocks from 25 different economy sectors. The Indices are owned
and managed by India Index Services and Products Ltd (IISL) that has a consulting and licensing
agreement with Standard & Poors. This index composing 50 companies stock of different sectors is
considered to know the path of the economy.
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50 COMPANIES OF NIFTY INDEX AS OF JAN-2010
1. ACC
4. BHARTHI
7. BHEL
10. DLF
13. GRASIM
16. HDFC
19. HDFC BANK
22. HINDALCO
25. HUL
28. ICICIBANK
31. INFOSYS
34. ITC
37. JAIPRAKASH
2. RELIANCE COMM
5. RELIANCE INFRA
8. SUNPHARMACEUTICAL
11. SBI
14. STERLITE
17. TATAMOTORS
20. TATAPOWER
23. TATASTEEL
26. TCS
29. WIPRO
32. ABB
35. AMBUJA
38. PNB
39. L&T
40. RANBAXY
41. MAHINDRA
42. GAIL
43. MARUTHISUZUKI
44. IDEA
45. ONGC
46. POWERGRID
47. NTPC
48. BPCL
49. HERO HONDA
50. RPOWER
Bombay Stock Exchange:
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3. SIEMENS
6. CAIRN
9. SAIL
12. AXISBANK
15. RELCAP
18. HCL
21. UNITECH
24. IDFC
27. SUZLON
30. JINDAL
33. CIPLA
36. RELIANCE
Bombay Stock Exchange is the oldest stock exchange in Asia with a rich heritage, now spanning
three centuries in its 133 years of existence. What is now popularly known as BSE was
established
as
"The
Native
Share
&
Stock
Brokers'
Association"
in
1875.
BSE is the first stock exchange in the country which obtained permanent recognition (in 1956)
from the Government of India under the Securities Contracts (Regulation) Act 1956. BSE's
pivotal and pre-eminent role in the development of the Indian capital market is widely
recognized. It migrated from the open outcry system to an online screen-based order driven
trading system in 1995. Earlier an Association Of Persons (AOP), BSE is now a corporatized and
demutualised entity incorporated under the provisions of the Companies Act, 1956, pursuant to
the BSE (Corporatization and Demutualization) Scheme, 2005 notified by the Securities and
Exchange Board of India (SEBI). With demutualization, BSE has two of world's best exchanges,
Deutsche
Brse
and
Singapore
Exchange,
as
its
strategic
partners.
Over the past 133 years, BSE has facilitated the growth of the Indian corporate sector by
providing it with an efficient access to resources. There is perhaps no major corporate in India
which has not sourced BSE's services in raising resources from the capital market.
Today, BSE is the world's number 1 exchange in terms of the number of listed companies and the
world's 5th in transaction numbers. The market capitalization as on December 31, 2007 stood at
USD 1.79 trillion. An investor can choose from more than 4,700 listed companies, which for
easy
reference,
are
classified
into
14
A,
B,
S,
and
groups.
The BSE Index, SENSEX, is India's first stock market index that enjoys an iconic stature, and is
tracked worldwide. It is an index of 30 stocks representing 12 major sectors.
30 COMPANIES OF SENSEX AS OF JAN 2010

1. ACC
3. BHARTHI
5. BHEL
7. DLF
9. GRASIM
11. HDFC
13. HDFC BANK
15. HINDALCO
17. HUL
19. ICICIBANK
21. INFOSYS
23. ITC
25. JAIPRAKASH
27. L&T
29. MAHINDRA
2. MARUTHISUZUKI
4. ONGC
6. NTPC
8. HERO HONDA
10. RELIANCE
12. RELIANCE COMM
14. RELIANCE INFRA
16. SUNPHARMACEUTICAL
18. SBI
20. STERLITE
22. TATAMOTORS
24. TATAPOWER
26. TATASTEEL
28. TCS
30. WIPRO
COMPANY PROFILE
Northeast Broking Services Limited (NEBSL)
Northeast Broking Services Limited (NEBSL) is a stock broking company. It has been in
the business of stock broking, dealing in shares and derivatives for the past 14years. It has got a
chain of service centers operating from various locations in Andhra Pradesh and all over India.
Northeast Broking Services Ltd was founded in 1995, is one of the largest Investment
companies based in Andhra Pradesh, with 75 Professionals, 150 support staff and extensive
network in Andhra Pradesh, Gujarat, Karnataka, Kerala, Maharashtra, Tamilnadu and rapidly
entering into all over India. Northeast is a premier broking, trading and clearing member of BSE
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CASH AND F&O, NSE CASH AND F&O, and HSE and as well as the two leading commodity
exchanges in the country NCDEX and MCX. And it is also registered as a Depository Participant
(DP) with NSDL and CDSL. With nearly 14 years in business, Northeast is known for its
financial strength and stability, superior customer service, and continued operation excellence.
Mission Vision & Quality
NBSL aim is to provide its customer with a reliable, secure, fast and most importantly cost
effective stock broking and Demat services to enable its customer to gain better returns on their
investment. It wishes to work together with its customer to maximize their assets and secure their
future.
Core Functions:
Northeast offers its clients most competitive brokerage with wide choice of products and
services.
Stock Broking:. Northeast offers trading in equities in NSE and BSE cash market segment.
Northeast provides offline facilities like excellent trading atmosphere, individual terminal and
instant execution and confirmation.
Derivatives Broking: Northeast provides facility to trade in futures and options in NSE F&O
and BSE F&O market. Their efficient risk management takes adequate care and precaution in
monitoring the margin positions of the clients.
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Commodities Broking: customers can buy and sell commodities in both the leading MCX and
NCDEX commodity exchanges through its subsidiary Northeast commodities private limited.
Mutual Funds: Northeast offers a wealth of mutual fund choices along with the competitive
advice to help its customers invest wisely.
Depository Services: Northeast as a Depository participant of NSDL and CDSL offers effective
Demat services at all times, with economic fee structure for Individuals, traders and sub brokers.
IPOs: Northeast enables customer to invest prudently in the prospective and lucrative public
issues. Their research team would guide its customers to choose appropriate IPO that suit their
objective.
Internet Trading: A new value added product from Northeast designed for Traders and
Investors enabling to operate from any location, by using the state of art of internet trading by
logging on to www.northeastltd.com.
Research and Advisory Service: Northeast has well qualified and experienced research team,
who would constantly keep informing the Investors with wise investment decisions. The
information would be provided free of cost to its clients, who can access the information using
the user name and password that is given to them.
TURN OVER
Its turnover is around Rs 650 crore in India and in Madurai alone it is around 5 crore per day.
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ABOUT THE PROJECT

Stock market is the most complex area in investment business where prediction often misfires.
This is because the number of variables that cause a price changes is too many. Knowing when to
sell and when to buy a particular stock is one of the toughest parts of the investment
management. Many researchers have worked on various theories and postulates to find when to
buy and sell a stock to maximize the returns and avoid loss.
Analysis of behavior of stock market returns is important in financial economics. A lot of recent
works has addressed the issue of the presence of long memory components in stock prices .Many
economic and financial time series exhibit considerable persistence. The long term dependence
property describes the higher order correlation structure of a time series. The question of whether
or not financial markets are efficient is directly related to whether or not long-term dependence is
present in returns.
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Many of the studies on the behavior of the Indian stock market have proved that the stock market
is weakly efficient and the time series of stock prices and stock indices are random walks. These
studies have employed the autocorrelation assumes Gaussian or near-Gaussian properties in the
underlying distribution. The autocorrelation function works out well in determining short-term
dependence only. But it tends to underestimate long-run correlation for non-Gaussian series. On
the other hand the Rescaled Range Analysis provides a non-parametric test method as it does not
assume any underlying distribution.
Attempting to produce superior forecasts of key financial variables, finance literature has
witnessed an extensive use of forecasting model, namely Auto- Regressive Integrated Moving
Average model. ARIMA model, also known as Box-Jenkins model, is an extrapolation method
for forecasting and like any other method; it requires only the historical time series data on the
variable under forecasting.
Stock market efficiency is an important concept in terms of understanding the working of the
capital markets. In this project the researcher had tried to forecast the share price of the select
companies from NSE and compare it with the actual performance.
In this study the researcher had tried to investigate long memory present in the Indian stock
market and creation of ARIMA models for forecasting stock prices of select companies. An
ARIMA model is a way of describing how a time series variable is related to its own past values.
Mainly an ARIMA model is used to produce the best weighted-average forecasts for a time
series.
Hence the objective of the study is constructed to forecast the stock price of the select companies
and to compare it with the actual value.
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REVIEW OF LITERATURE
The Indian capital market has been subject to considerably less empirical research than its
counterpart in several other countries. The applicability of the random walk hypothesis to the
Indian capital market has not been investigated as much as to the USA or UK stock markets,
however a number of studies have been reported during the last three decades. Most of these
studies have employed runs test and serial correlation tests to test the randomness of the stock
prices. Some have used spectral analysis and filter rule test. Most of these studies have found that
Indian stock prices a random walk. Simultaneously, some of them rejected the null hypothesis
that stock prices changes are random.
Sharma and Kennedy (1977) compared the behavior of stock indices of the Bombay, London,
and Newyork stock exchanges during 1963 to 1973 using runs test and spectral analysis. Both
runs tests and spectral analysis confirmed the random movement of stock indices for all the three
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stock exchanges. They concluded stocks of the BSE obey a random walk and are equivalent in
this sense to the behavior of stock indices in the market of advanced industrialized countries
Sharma (1983) used the integrated moving average technique to investigate the behavior of stock
prices at the BSE. He studied a sample of 23 stocks over a period of six year from 1973 to 1978
and concluded that random walk model was appropriate to describe the stock price changes on
the BSE.
Chowdhary also disputed the contention of random behavior of stock prices is studied 93 shares
during the period of 1988 to 1990 using run test and serial correlation test and found 70 first
order serial correlation coefficients were observed to be significantly differ from 0 at 1% level
Samal (1993) tested applicability of the random walk model to the newly listed stocks. He listed
40 stocks traded in BSE over the period 1988 to1990 employing serial correlation and runs test
and concluded that the results indicated the non existence of dependence in stock prices.
Sunil poshakwale(1996) has provided empirical evidence on week from of efficiency and the day
of the week effect in Bombay Stock exchange over a period of 1987-1994. The results provide
evidence of day of the week effect and that the stock market is not weak form efficient.
Gupta (1993) had used ARIMA method to study and forecast production in India. Again Ansari
and Ahmed (2001) have applied ARIMA modeling to examine the behavior of the time series of
world tea prices and the export prices of tea in the industrialized countries. Ruhul Amin and
Razzaque (2001) have used ARIMA modeling for the analysis of potato prices. Using the
constructed model they have made forecasts of wholesale potato prices for nine future points.
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OBJECTIVES:
To understand the performance of the select scrips in the year 2009.

To forecast the Stock Prices of select companies of NSE using Auto Regressive
Integrated Moving Average (ARIMA) model for the first 57 trading days of the year
2010.
To compare the actual share price with the forecasted share price of the select companies
for a specific period of first 10 trading days of year 2010..
22
RESEARCH METHODOLOGY
Research design:
Analytical Research
Method of data collection:
Secondary data collected through NSE website.
Type of sampling:
Multi stage sampling.
Sample size:
13 companies of NSE
Tools used for analysis:
Auto Regressive Integrated Moving Average (ARIMA) using
23
Systematic Package for Social Studies (SPSS)

Period of study:
JAN 2009-DEC 2009
Projection:
Forecasting for first 57 trading days of year 2010 & comparison with
actual share price for first 10 trading days of year 2010.
Method of selection:
In this study the 13 companies were selected from NSE. For this 50 companies of
NIFTY index were selected and they were compared with the SENSEX 30 companies and the 30
companies which were common to both Sensex and Nifty were selected and they were divided in
to 13 sectors by its industry type and one company from each sector is selected through lottery
method and were considered for further analysis
Also the researcher was given the responsibility of calculating the data using the software for
300 trading days. As there were 243 trading days in 2009,the remaining 57 trading days in 2010
were used for projection ,since the researchers research period(field work) was over by 15th
January 2010,the first 10 trading days were taken to compare the projected share pr ice with the
actual.
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13 COMPANIES SELECTED FOR THE STUDY

1. ASSOCIATED CEMENT COMPANIES LIMITED- ACC
2. HINDUSTAN UNILEVER LIMITED- HUL
3. BHARTI AIRTEL LIMITED- AIRTEL.
4. DELHI LAND AND FINANCE LIMITED-DLF
5. INFOSYS TECHNOLOGIES LIMITED-INFOSYS
6. LARSEN & TOUBRO LIMITED- L&T
7. NATIONAL THERMAL POWER CORPORATION LIMITED- NTPC
8. OIL AND NATURAL GAS CORPORATION LIMITED- ONGC
9. RELIANCE INDUSTRIES LIMITED- RELIANCE
10. STATE BANK OF INDIA LIMITED-SBI
11. SUNPHARMACEUTICAL INDUSTRIES LIMITED-SUNPHARMA
12. TATA MOTORS LIMITED-TATA MOTORS
13. TATA STEEL LIMITED- TATA STEEL
CONCEPTS:
Forecasting:
25
Forecasting is an estimate of an event which will happen in future by analyzing the known data
with the help of scientific tools and techniques.
Time series:
Statistical data which are collected, observed or recorded at successive intervals of time are
generally referred as time series. The time series facilitates to understand the past behavior and
help to forecast the future.
ARIMA Model:
ARIMA Model building is an empirically driven methodology of systematically identifying,
estimating, diagnosing, and forecasting time series. Most time series are non stationary, so that
the characteristic of the underlying stochastic process change over time. These non stationary
series can be transformed in to stationary series by differencing one or more time.
The various steps in ARIMA model building are:
1. Model Identification
2. Parameter Estimation
3. Model Diagnostics
4. Forecast verification
ARIMA Notation: ARIMA (p, d, q)
26
The general ARIMA process is denoted by ARIMA (p, d, q) where p denotes the order of Auto
Regression, d denotes the order of integration (differencing), and q denotes the order of moving
average.
AKAKIE AND SCHWARZ BAYESIAN CRITERIA:
Schwarz (1978) developed the Bayesian information criterion (SBC OR

BIC) and Akaike (1974) developed the information criterion (AIC), for selecting models that
trade off model complexity and the error is fitting so as to achieve the most accurate out-of
sample forecasts. They suggest selecting models that have the lowest AIC or BIC respectively.
AIC=n Log (SSE) +2K
Where k=number of parameters that are fitted in the model and log is natural logarithm.
Schwarz proposed the following criteria
SBC= n Log (SSE) +K Log (n)
^
^
If Yi is the actual value and Yi is the fitted or forecasted value, the error is given by ei=Yi-Yi
Autocorrelation Factor (AC F):

Autocorrelation is one of the statistical tools used for measuring the
dependence of successive terms in a given time series. Hence it has been widely used to measure
dependence in successive share price changes. If the successive terms in a series of share price
are nonrandom, there will be some dependence between the terms. Autocorrelation coefficient
provides a measure of the relationship between the random variable at a time t (xt) and its value k
27
periods earlier ( xt-k
).
This indicates whether price changes at time t are influenced by price
changes occurring k periods earlier.

Partial Autocorrelation Factor (PACF):
PACF (K) measures the correlations between Yt and Yt-k, where all the influences of other lags
have been removed
Sum of Squared Error SSE= i
Residual Standard Error RSE= i/ (n-1)

_
Residual variance
y=(Yi-Y)2/n-k
To select the model the ACF and PACF or the AIC or SBC value can be used .As the
determination of model by the spikes of the Figureure lack accuracy it is more accurate and
perfect to select the model based on numbers (AIC & SBC), So in this study AIC & SBC values
are used to select model for ARIMA.
28
SCOPE AND LIMITATION
SCOPE
This study helps to understand the future trend of the stock price of the select companies
and it helps the researcher to know better about the capital market and the functions of
broking firms and also the study is done only with 13 select companies of NSE.
LIMITATION:
This study is done only with the data of past one year (2009) stock price of the select
companies and no other economic indicators that influence share price were taken for
consideration.
Figure-1
ACC LIMITED STOCK PRICE (DAILY CLOSING)-2009
29
1000
900
800
ACC SHARE PRICE
700
600
500
400
1
31
16
61
46
91
76
121
106
151
136
166
DATE
YEAR HIGH- Rs 924.95
YEAR LOW -Rs 474.5
YEAR AVERAGE-Rs 713.78
30
181
211
196
241
226
271
256
286
Figure-2
ACC SHARE PRICE
1.0
.5
0.0
Confidence Limits
ACF
-.5
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
58
Lag Number
Transforms: difference (1)
ACC SHARE PRICE

1.0
.5
Partial ACF
0.0
-.5
Confidence Limits
31
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
58
Lag Number
Table-3.1
AIC AND SBC VALUES OF VARIOUS MODELS (P,D,Q) FOR ACC
LIMITED
D value as 1 for all models
P/Q
AIC=2120.5331
AIC=2122.503
AIC=2123.9985
SBC=2124.0221
AIC =2122.5064
SBC=2129.4808
AIC=2124.4297
SBC=2134.4365
AIC=2124.4448
SBC=2129.4808
AIC=2123.9697
SBC=2134.8965
AIC=2124.4601
SBC=2138.4005
AIC=2124.3414
SBC=2134.4365
SBC=2138.4159
SBC=2141.7861
Best Fitting Model for ACC LIMITED:

Since AIC and SBC values are smaller for the model ( 0,1,0 ) ,it is selected as
the best fitting model. The error plot in Figure 3 also exhibits white noise and the lower residual
variance also confirms ARIMA (0,1,0) is the best fitting model for ACC LIMITED.
32
RESULTS OF ARIMA (0,1,0) MODEL FOR ACC LIMITED

FINAL PARAMETERS:
Number of residuals
Standard error
Log likelihood
AIC
SBC
242
19.303032
-1059.2666
2120.5331
2124.0221
Analysis of Variance:
DF
Residuals
Adj. Sum of Squares
241
Variables in the Model:

B
1.5586777
89798.297
372.60704
SEB
APPROX. PROB.
T-RATIO
1.2408459
1.2561412
.21028109
Figure-3
Error plot for ARIMA (0,1,0)
100
Error
DATE
Residual Variance
-100
1
31
16
61
46
91
76
121
106
151
136
Case Number
33
181
166
211
196
241
226
271
256
286
FORECASTING OF SHARE PRICE OF ACC LIMITED FOR FIRST 57

TRADING DAYS AND ITS COMPARISION WITH ACTUAL SHARE PRICE
FOR FIRST 10 DAYS OF YEAR-2010
DAYS
FOREC
AST
ACTU
AL
DAYS
FOREC
AST
874.008
913.6
30
919.210
7
875.567
901.75
31
3
920.769
4
877.126
907.6
32
922.327
878.684
913.35
33
7
923.886
7
880.243
912.15
34
4
925.445
4
881.802
915.15
35
927.003
1
883.360
898.05
36
7
928.562
7
884.919
946.25
37
4
930.121
4
886.478
955.1
38
1
931.679
10
1
888.036
980.8
39
8
933.238
11
8
889.595
40
4
934.797
12
5
891.154
41
1
936.355
13
1
892.712
42
8
937.914
14
8
894.271
43
5
939.473
15
5
895.830
44
1
941.031
16
2
897.388
45
8
942.590
17
8
898.947
46
5
944.149
18
5
900.506
47
2
945.707
34
19
2
902.064
48
9
947.266
20
9
903.623
49
5
948.825
21
6
905.182
50
2
950.383
22
2
906.740
51
9
951.942
23
9
908.299
52
6
953.501
24
6
909.858
53
2
955.059
25
3
911.416
54
9
956.618
26
9
912.975
55
6
958.177
27
6
914.534
56
3
959.736
28
3
916.093
57
961.294
29
917.651
6
7
FIGURE-4
COMPARISION OF ACTUAL AND FORECASTED SHARE PRICE FOR
ACC LIMITED
35
1000
980
960
ACC SHARE PRICE
940
920
900
880
FORECAST
860
ACTUAL
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
DAYS
INTERPRETATION:
From the forecasted value it is found that the share price of ACC LIMITED expected to
follow an uptrend for the first 57 trading days of the year 2010.
From the Figure 4, it is found that the actual share price of ACC LIMITED exhibits an
uptrend for the first 10 trading days of the year 2010.
FIGURE-5
HINDUSTAN UNILEVER LIMITED STOCK PRICE
(DAILY CLOSING)-2009
36
320
300
280
HUL SHARE PRICE
260
240
220
200
1
31
16
61
46
91
76
121
106
151
136
181
166
DAYS
YEAR LOW- Rs 216.25
YEAR AVERAGE- Rs 258.55
FIGURE-6
37
211
196
241
226
271
256
286
HUL SHARE PRICE

1.0
.5
0.0
ACF
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
58
Lag Number
HUL SHARE PRICE

1.0
.5
Partial ACF
0.0
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
Lag Number
Table-3.2
38
49
46
55
52
58
AIC AND SBC VALUES OF VARIOUS ARIMA MODELS (P,D,Q) FOR HUL
LIMITED
P/Q
AIC=1481.4229
AIC=1482.6815
AIC=1482.7908
SBC=1484.9118
AIC =1482.81
SBC=1489.6594
AIC=1479.3298
SBC=1493.2577
AIC=1482.8683
SBC=1489.7879
A.IC=1482.9678
SBC=1489.7966
AIC=1482.9872
SBC=1496.824
AIC=1484.7738
SBC=1493.4346
SBC=1496.943
SBC=1502.2385
Best Fitting Model for HUL LIMITED:

variance also confirms ARIMA (1, 1, 1) is the best fitting model for HUL LIMITED.
RESULTS OF ARIMA (1,1,1) MODEL FOR HUL LIMITED
39
FINAL PARAMETERS:
Number of residuals
Standard error
Log likelihood
AIC
SBC
242
5.0907197
-736.66489
1479.3298
1489.7966
DF
Residuals
Adj. Sum of Squares
239
Residual Variance
6242.8359
25.915427

B
AR1
MA1
DATE
SEB
T-RATIO
.93446285 .03466768
.99862511 .14599844
.13111825 .06055818
APPROX. PROB.
26.95486
6.839971
2.165162
.00000000
.00000000
.03136533
FIGURE-7
Error plot for ARIMA (1,1,1) for HUL LIMITED
30
20
10
-10
Error
-20
-30
1
31
16
61
46
91
76
121
106
151
136
181
166
211
196
241
226
271
256
286
Case Number
FORECASTING OF SHARE PRICE OF HUL LIMITED FOR FIRST 57 TRADING DAYS AND
ITS COMPARISION WITH ACTUAL SHARE PRICE FOR FIRST 10 DAYS OF YEAR-2010
DAYS
FORECAST ACTUAL
DAYS
40
FORECAST
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
265.55636
266.27174
266.94883
267.59014
268.19801
268.77463
269.32206
269.84221
270.33686
270.80768
271.25625
271.684
272.09232
272.48247
272.85564
273.21295
273.55544
273.88407
274.19976
274.50335
274.79564
275.07737
275.34922
275.61186
275.86587
276.11183
276.35026
276.58166
276.80649
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
264.7
263.85
265.35
264.8
265.95
266.1
262.15
262.5
256.05
256.4
277.0252
277.2381
277.4457
277.6483
277.8462
278.0397
278.2291
278.4147
278.5968
278.7754
278.951
279.1237
279.2936
279.461
279.626
279.7888
279.9496
280.1083
280.2653
280.4206
280.5743
280.7265
280.8773
281.0269
281.1752
281.3224
281.4685
281.6137
FIGURE -8
COMPARISION OF ACTUAL AND FORECASTED SHARE PRICE FOR HUL
LIMITED
41
290
280
HUL SHARE PRICE
270
260
FORECAST
250
ACTUAL
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
DAYS
INTERPRETATION:
From the forecasted value it is found that the share price of HINDUTAN UNILEVER
LIMITED is expected to follow an uptrend for the first 57 trading days of the year
2010.
From the Figure 8, it is found that the actual share price of HINDUSTAN UNILEVER
LIMITED exhibits a downtrend for the first 10 trading days of the year 2010.
FIGURE-9
BHARTI AIRTEL LIMITED SHARE PRICE (DAILY CLOSING)-2009
42
1200
BHARTI AIRTEL SHARE PRICE
1000
800
600
400
200
1
31
16
61
46
91
76
121
106
151
136
181
166
DAYS
YEAR LOW- Rs 275.25
43
211
196
241
226
271
256
286
FIGURE-10
AIRTEL SHARE PRICE

1.0
.5
0.0
ACF
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
Lag Number
44
58
AIRTEL SHARE PRICE

1.0
.5
Partial ACF
0.0
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
58
Lag Number
Table -3.3
AIC AND SBC VALUES OF VARIOUS ARIMA MODELS (P,D,Q) FOR
BHARTI AIRTEL LIMITED
P/Q
AIC=2383.6784
AIC=2385.4301
AIC=2385.5591
SBC=2387.1673
AIC =2385.4829
SBC=2392.4159
AIC=2385.9862
SBC=2396.6259
AIC=2387.5260
SBC=2392.4668
A.IC=2385.4072
SBC=2396.4530
AIC=2387.3180
SBC=2401.4817
AIC=2387.3259
SBC=2395.8740
SBC=2401.2738
SBC=2404.7706
45
Best Fitting Model for BHARTI AIRTEL LIMITED:

variance also confirms ARIMA (0,1,0) is the best fitting model for BHARTI AIRTEL LIMITED.
RESULTS OF ARIMA (0,1,0) MODEL FOR BHARTI AIRTEL LIMITED

FINAL PARAMETERS:
Number of residuals
242
Standard error
33.246542
Log likelihood
-1190.8392
AIC
2383.6784
SBC
2387.1673
DF
Residuals
Adj. Sum of Squares
241
266385.14
Residual Variance
1105.3325

B
DATE
-1.6123967
SEB
2.1371687
T-RATIO
-.75445459
Figure-11
46
APPROX. PROB.
.4513128
DAYS
FOREC
AC
AST
TUA
325.2
1 328.137
6
330.35
2 326.525
DAYS
FOREC
AST
30 281.378
1
31 279.765
2
324.912
326.85
32
7
278.153
8
323.300
329.4
33
3
276.540
4
321.688
325.05
34
9
274.928
320.075
328.95
35
5
273.316
6
318.463
322.25
36
1
271.703
2
316.850
318.4
37
7
270.091
8
315.238
318.05
38
3
268.478
10
4
313.626
317.4
39
9
266.866
11
312.013
40
5
265.254
12
6
310.401
41
1
263.641
13
2
308.788
42
7
262.029
14
8
307.176
43
3
260.416
15
5
305.564
44
9
258.804
16
1
303.951
45
6
257.192
17
7
302.339
46
2
255.579
18
3
300.726
47
8
253.967
19
9
299.114
48
4
252.355
20
5
297.502
49
250.742
21
1
295.889
50
6
249.130
22
7
294.277
51
2
247.517
23
3
292.664
24
9
291.052
5
8
52 245.905
47
4
53 244.293
Error plot for ARIMA

(0,1,0) for BHARTI
AIRTEL LIMITED
FORECASTING OF SHARE
PRICE OF BHARTI AIRTEL
LIMITED FOR FIRST 57
TRADING DAYS AND ITS
COMPARISION WITH
ACTUAL SHARE PRICE
FOR FIRST 10 DAYS OF
YEAR-2010
FIGURE-12
COMPARISION OF ACTUAL AND FORECASTED SHARE PRICE OF

BHARTI AIRTEL LIMITED
340
320
AIRTEL SHARE PRICE
300
280
260
240
FORECAST
220
ACTUAL
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
DAYS
INTERPRETATION:
From the forecasted value it is found that the share price of BHARTI AIRTEL
LIMITED is expected to follow a down trend for the first 57 trading days of the year
2010.
From the Figure 12, it is found that the actual share price of BHARTI AIRTEL
LIMITED exhibits an downtrend for the first 10 trading days of the year 2010
48
FIGURE-13
DLF LIMITED SHARE PRICE (DAILY CLOSING)-2009
500
400
DLF SHARE PRICE
300
200
100
1
31
16
61
46
91
76
121
106
151
136
181
166
DAYS

YEAR LOW- Rs 132.85
49
211
196
241
226
271
256
286
FIGURE-14
DLF SHARE PRICE

1.0
.5
0.0
ACF
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
58
Lag Number
DLF SHARE PRICE

1.0
.5
Partial ACF
0.0
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
Lag Number
50
43
40
49
46
55
52
58
Table 3.4
AIC AND SBC VALUES OF VARIOUS ARIMA MODELS (P,D,Q) FOR DLF
LIMITED.
P/Q
AIC=1973.4919
AIC=1973.4197
AIC=1974.9475
SBC=1976.9808
AIC =1973.2658
SBC=1980.3975
AIC=1975.1726
SBC=1985.4143
AIC=1976.7531
SBC=1980.2436
AIC=1975.0697
SBC=1985.6399
AIC=1976.9123
SBC=1990.7088
AIC=1978.6446
SBC=1985.5365
SBC=1990.8681
SBC=1996.0893
Best Fitting Model for DLF LIMITED:

variance also confirms ARIMA (1,1,0) is the best fitting model for DLF LIMITED.
RESULTS OF ARIMA (1,1,0) MODEL FOR DLF LI MITED

51
FINAL PARAMETERS:
Number of residuals
242
Standard error
14.209429
Log likelihood
-984.63288
AIC
1973.2658
SBC
1980.2436
DF
Residuals
Adj. Sum of Squares
240
Residual Variance
48459.734
201.90788

B
.09571749
DATE .28858994
T-RATIO
APPROX. PROB.
.0642650
1.4894177
.13769032
1.0096595
2858290
.77525567
Figure-15
Error plot for ARIMA (1,1,0) for DLF LIMITED
80
60
40
20
-20
-40
Error
AR1
SEB
-60
1
31
16
61
46
91
76
121
106
151
136
case Number
52
181
166
211
196
241
226
271
256
286
FORECASTING OF SHARE PRICE OF DLF LIMITED FOR FIRST 57 TRADING

DAYS AND ITS COMPARISION WITH ACTUAL SHARE PRICE FOR FIRST 10 DAYS
OF YEAR-2010
DAYS
FORECAST
ACTUAL
30
361.0254
5
361.2697
364.6
369.45
31
369.3455
4
369.6341
1
361.5540
378.55
32
3
369.9227
6
361.8422
374.5
33
2
370.2113
4
362.1307
389.9
34
1
370.4999
9
362.4193
399.45
35
370.7884
8
362.7079
383.95
36
9
371.0770
7
362.9965
387.85
37
8
371.3656
6
363.2851
383.3
38
7
371.6542
10
5
363.5737
386.3
39
6
371.9428
11
4
363.8623
40
5
372.2314
12
3
364.1509
41
4
372.5200
13
2
364.4395
42
3
372.8086
14
1
364.7281
43
2
373.0972
15
365.0166
44
1
373.3858
16
9
365.3052
45
373.6743
17
8
365.5938
46
9
373.9629
18
7
365.8824
47
8
374.2515
DAYS
FORECAST
7
53
19
366.1710
48
374.5401
20
5
366.4596
49
6
374.8287
21
4
366.7482
50
5
375.1173
22
3
367.0368
51
4
375.4059
23
2
367.3254
52
3
375.6945
24
1
367.614
53
2
375.9831
25
367.9025
54
1
376.2717
26
9
368.1911
55
376.5602
27
8
368.4797
56
9
376.8488
28
7
368.7683
57
8
377.1374
29
6
369.0569
FIGURE-16
DLF LIMITED
54
410
400
390
DLF SHARE PRICE
380
370
360
FORECAST
350
ACTUAL
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
DAYS
INTERPRETATION:
From the forecasted value it is found that the share price of DLF is expected to follow
an uptrend for the first 57 trading days of the year 2010.

From the Figure 16, it is found that the actual share price of DLF exhibits an uptrend
for the first 10 trading days of the year 2010.
FIGURE 17
INFOSYS TECHNOLOGIES LIMITED STOCK PRICE
55
INFOSYS SHARE PRICE
3000
2000
1000
1
31
16
61
46
91
76
121
106
151
136
181
166
DAYS
YEAR LOW- Rs 1132.10
FIGURE 18
56
211
196
241
226
271
256
286
INFOSYS SHARE PRICE

1.0
.5
0.0
ACF
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
58
Lag Number
INFOSYS SHARE PRICE

1.0
.5
Partial ACF
0.0
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
Lag Number
Table 3.5
57
49
46
55
52
58

INFOSYS TECHNOLOGIES LIMITED
P/Q
AIC=2480.7629
AIC=2482.1847
AIC=2477.4867
SBC=2484.2518
AIC =2482.3784
SBC=2489.1626
AIC=2473.9091
SBC=2487.9535
AIC=2476.7884
SBC=2482.3563
AIC=2478.0835
SBC=2484.3759
AIC=2476.9277
SBC=2490.7442
AIC=2480.5774
SBC=2488.5504
SBC=2490.8835
SBC=2498.0221
Best Fitting Model for INFOSYS:

variance also confirms ARIMA (1,1,1)
is the best fitting model for INFOSYS
TECHNOLOGIES LIMITED
RESULTS OF ARIMA (1,1,1) MODEL FOR INFOSYS TECHNOLOGIES

LIMITED
FINAL PARAMETERS:
58
Number of residuals
Standard error
Log likelihood
AIC
SBC
242
39.69026
-1233.9546
2473.9091
2484.3759
DF
Residuals
239
Adj. Sum of Squares
Residual Variance
380419.59
1575.3167

B
AR1
MA1
DATE
SEB
T-RATIO
.8998507
.03802112
.9995111
.36240431
6.1849191 .32589193
APPROX. PROB.
23.667129
2.758000
18.978436
.00000000
.00626513
.00000000
Figure 19
Error plot for ARIMA (1,1,1) for INFOSYS TECHNOLOGIES LIMITED
300
200
100
-100
Value
-200
-300
1
31
16
61
46
91
76
121
106
151
136
181
166
211
196
241
226
271
256
286
Case Number
FORECASTING OF SHARE PRICE OF INFOSYS TECHNOLOGIES

LIMITED FOR FIRST 57 TRADING DAYS AND ITS COMPARISION
WITH ACTUAL SHARE PRICE FOR FIRST 10 DAYS OF YEAR-2010
59
DAYS
FORECAST ACTUAL
DAYS
FORECAST DAYS
FORECAST
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
2604.595
2608.359
2612.366
2616.591
2621.012
2625.61
2630.367
2635.267
2640.296
2645.44
2650.688
2656.031
2661.457
2666.96
2672.531
2678.164
2683.851
2689.589
2695.371
2701.194
2707.053
2712.945
2718.866
2724.813
2730.784
2736.777
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
2742.789
2748.818
2754.863
2760.922
2766.993
2773.076
2779.169
2785.271
2791.382
2797.5
2803.624
2809.755
2815.891
2822.032
2828.178
2834.327
2840.48
2846.636
2852.795
2858.957
2865.121
2871.287
2877.455
2883.624
2889.795
2895.968
2902.142
2908.317
2914.493
2920.669
2926.847
2,612.60
2,621.35
2,583.10
2,525.05
2,464.20
2,489.65
2,586.95
2,683.50
2,689.75
2,675.80
53
54
55
56
57
FIGURE 20
INFOSYS TECHNOLOGIES LIMITED
60
3000
2900
INFOSYS SHARE PRICE
2800
2700
2600
2500
FORECAST
2400
ACTUAL
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
DATE
INTERPRETATION:
From the forecasted value it is found that the share price of INFOSYS
TECHNOLOGIES LIMITED is expected to follow an uptrend for the first 57 trading
days of the year 2010.

From the Figure 20, it is found that the actual share price of INFOSYS
TECHNOLOGIES LIMITED exhibits an uptrend for the first 10 trading days of the
year 2010
FIGURE 21
L&T LIMITED SHARE PRICE (DAILY CLOSING)-2009
61
1800
1600
1400
L&T SHARE PRICE
1200
1000
800
600
400
1
31
16
61
46
91
76
121
106
151
136
181
166
DAYS
YEAR LOW- Rs 562.05
FIGURE 22
62
211
196
241
226
271
256
286
L&T SHARE PRICE

1.0
.5
0.0
ACF
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
58
Lag Number
L&T SHARE PRICE

1.0
.5
Partial ACF
0.0
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
Lag Number
Table 3.6
63
49
46
55
52
58

L&T LIMITED.
P/Q
AIC=2433.4843
AIC=2434.3066
AIC=2435.7494
SBC=2436.9733
AIC =2434.3066
SBC=2441.2845
AIC=2435.9802
SBC=2446.2163
AIC=2437.4359
SBC=2441.2845
AIC=2435.6244
SBC=2446.4470
AIC=2437.4560
SBC=2451.3916
AIC=2435.8430
SBC=2446.0912
SBC=2451.4117
SBC=2453.2877
Best Fitting Model for L&T LIMITED:

variance also confirms ARIMA (0,1,0) is the best fitting model for L&T..
RESULTS OF ARIMA (0,1,0) MODEL FOR L&T LIMITED

64
FINAL PARAMETERS:
Number of residuals
Standard error
Log likelihood
AIC
SBC
242
36.849999
-1215.7422
2433.4843
2436.9733
DF
Residuals
241
Adj. Sum of Squares
Residual Variance
327259.31
1357.9224

B
DATE
3.5365702
SEB
T-RATIO
2.3688077
APPROX. PROB.
1.4929748
.13675174
Figure 23
Error plot for ARIMA (0,1,0) for LARSEN &TOUBRO LIMITED
300
200
100
Error
-100
-200
1
31
16
61
46
91
76
121
106
151
136
181
166
211
196
241
226
271
256
286
Case Number
FORECASTING OF SHARE PRICE OF LARSEN & TOUBRO LIMITED

FOR FIRST 57 TRADING DAYS AND ITS COMPARISION WITH
ACTUAL SHARE PRICE FOR FIRST 10 DAYS OF YEAR-2010
65
DAYS
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
FORECAST
1681.137
1684.673
1688.21
1691.746
1695.283
1698.819
1702.356
1705.893
1709.429
1712.966
1716.502
1720.039
1723.575
1727.112
1730.649
1734.185
1737.722
1741.258
1744.795
1748.331
1751.868
1755.405
1758.941
1762.478
1766.014
1769.551
ACTUAL
1,691.40
1,694.40
1,675.65
1,667.60
1,678.15
1,677.30
1,679.25
1,673.20
1,668.40
1,651.20
DAYS
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
FORECAST
1773.087
1776.624
1780.161
1783.697
1787.234
1790.77
1794.307
1797.843
1801.38
1804.917
1808.453
1811.99
1815.526
1819.063
1822.599
1826.136
1829.673
1833.209
1836.746
1840.282
1843.819
1847.355
1850.892
1854.429
1857.965
1861.502
DAYS
53
54
55
56
57
FORECAST
1865.038
1868.575
1872.111
1875.648
1879.185
FIGURE 24
L&T LIMITED
66
1900
L&T SHARE PRICE
1800
1700
FORECAST
1600
ACTUAL
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
days
INTERPRETATION:
From the forecasted value it is found that the share price of LARSEN & TOUBRO
2010.
From the Figure 24, it is found that the actual share price of LARSEN &TOUBRO
LIMITED exhibits a downtrend for the first 10 trading days of the year 2010.
FIGURE 25
NTPC STOCK PRICE (DAILY CLOSING) -2009
67
240
220
NTPC SHARE PRICE
200
180
160
1
31
16
61
46
91
76
121
106
151
136
181
166
DAYS
YEAR LOW- Rs 166.7
FIGURE 26
68
211
196
241
226
271
256
286
NTPC SHARE PRICE

1.0
.5
0.0
ACF
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
58
Lag Number
NTPC SHARE PRICE

1.0
.5
Partial ACF
0.0
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
Lag Number
Table 3.7
69
49
46
55
52
58

NTPC LIMITED
P/Q
AIC=1364..0507
AIC=1366.0568
AIC=1367.9933
SBC=1367.5396
AIC =1366.0568
SBC=1373.0347
AIC=1389.5343
SBC=1378.4601
AIC=1364.0451
SBC=1373.0347
AIC=1368.0048
SBC=1370.0011
AIC=1361.0065
SBC=1378.0009
AIC=1368.9905
SBC=1378.4716
SBC=1374.9622
SBC=1386.4352
Best Fitting Model for NTPC LIMITED:

Since AIC and SBC values are smaller for the model ( 1,1,1 ) ,it is selected as the best fitting
model. The error plot in Figure 27 also exhibits white noise and the lower residual variance also
confirms ARIMA (1,1,1) is the best fitting model for NTPC LIMITED.
RESULTS OF ARIMA (1,1,1) MODEL FOR NTPC LIMITED

FINAL PARAMETERS:
70
Number of residuals
Standard error
Log likelihood
AIC
SBC
242
3.9797541
-676.76715
1359.5343
1370.0011
DF
Residuals
Adj. Sum of Squares
239
Residual Variance
3805.3059
15.838443

B
SEB
T-RATIO
APPROX. PROB.
AR1
.90822827
.04077841
22.272281
.00000000
MA1
.99227894
.03427577
28.949866
.00000000
DATE
.18647810
.04176021
4.465450
.00001233
Figure 27
Error plot for ARIMA (1,1,1) for NTPC LIMITED
30
20
10
Value
-10
-20
1
31
16
61
46
91
76
121
106
151
136
181
166
211
196
241
226
271
256
286
Case Number
FORECASTING OF SHARE PRICE OF NTPC LIMITED FOR FIRST 57

TRADING DAYS AND ITS COMPARISION WITH ACTUAL SHARE
PRICE FOR FIRST 10 DAYS OF YEAR-2010
71
DAYS
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
FORECAST ACTUAL
234.7111
231.85
233.8755
229.3
233.1336
228.2
232.477
228.25
231.8977
231.1
231.3888
232.95
230.9436
229.4
230.5564
229.4
230.2219
231
229.9351
232.25
229.6918
229.4879
229.3199
229.1844
229.0784
228.9993
228.9446
228.912
228.8995
228.9052
228.9276
228.965
229.0161
229.0796
229.1544
229.2394
DAYS
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
FORECAST
229.3338
229.4366
229.5471
229.6645
229.7883
229.9179
230.0526
230.1922
230.336
230.4837
230.635
230.7895
230.947
231.1071
231.2697
231.4344
231.6011
231.7697
231.9399
232.1115
232.2846
232.4589
232.6343
232.8107
232.988
233.1662
DAYS
53
54
55
56
57
FORECAST
233.3451
233.5247
233.705
233.8858
234.0672
FIGURE 28
NTPC LIMITED
72
236
234
NTPC SHARE PRICE
232
230
228
FORECAST
226
ACTUAL
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
DAYS
INTERPRETATION:
From the forecasted value it is found that the share price of NTPC LIMITED is
expected to volatile between 228 & 234 for the first 57 trading days of the year 2010.
From the Figure 28, it is found that the actual share price of NTPC LIMITED exhibits
volatility for the first 10 trading days of the year 2010.
FIGURE 29
ONGC STOCK PRICE (DAILY CLOSING)-2009
73
1400
1200
ONGC SHARE PRICE
1000
800
600
400
1
31
16
61
46
91
76
121
106
151
136
181
166
DAYS
YEAR LOW- Rs 621.15
FIGURE 30
74
211
196
241
226
271
256
286
ONGC SHARE PRICE

1.0
.5
0.0
ACF
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
58
Lag Number
ONGC SHARE PRICE

1.0
.5
Partial ACF
0.0
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
Lag Number
Table 3.8
75
49
46
55
52
58

ONGC LIMITED
P/Q
AIC=2250.3627
AIC=2252.0862
AIC=2253.4499
SBC=2263.9168
SBC=2253.8516
AIC =2252.1146
SBC=2259.0641
AIC=2252.3204
AIC=2253.7633
SBC=2259.0925
AIC=2253.4650
SBC=2262.7873
AIC=2253.7690
SBC=2267.7190
AIC=2255.4509
SBC=2263.9318
SBC=2267.7247
SBC=2272.8956
Best Fitting Model for ONGC LIMITED:

variance also confirms ARIMA (0,1,0) is the best fitting model for ONGC.
RESULTS OF ARIMA (0,1,0) MODEL FOR ONGC LIMITED

FINAL PARAMETERS:
76
Number of residuals
242
Standard error
25.241894
Log likelihood
-1124.1813
AIC
2250.3627
SBC
2253.8516
DF
Residuals
Adj. Sum of Squares
241
153553.92
Residual Variance
637.15320

B
DATE
SEB
T-RATIO
2.0380165 1.6226104
APPROX. PROB.
1.2560110
.21032822
Figure 31
Error plot for ARIMA (0,1,0) for ONGC LIMITED
200
100
Error
-100
1
31
16
61
46
91
76
121
106
151
136
181
166
211
196
241
226
271
256
286
Case Number
FORECASTING OF SHARE PRICE OF ONGC LIMITED FOR FIRST 57

TRADING DAYS AND ITS COMPARISION WITH ACTUAL SHARE
PRICE FOR FIRST 10 DAYS OF YEAR-2010
77
DAYS
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
FORECAST ACTUAL DAYS

1180.038
1,187.45
28
1182.076
1,208.25
29
1184.114
1,223.50
30
1186.152
1,224.80
31
1188.19
1,215.70
32
1190.228
1,216.50
33
1192.266
1,190.95
34
1194.304
1,195.30
35
1196.342
1,231.75
36
1198.38
1,209.80
37
1200.418
38
1202.456
39
1204.494
40
1206.532
41
1208.57
42
1210.608
43
1212.646
44
1214.684
45
1216.722
46
1218.76
47
1220.798
48
1222.836
49
1224.874
50
1226.912
51
1228.95
52
1230.988
53
1233.026
54
FORECAST DAYS
1235.064
55
1237.102
56
1239.141
57
1241.179
1243.217
1245.255
1247.293
1249.331
1251.369
1253.407
1255.445
1257.483
1259.521
1261.559
1263.597
1265.635
1267.673
1269.711
1271.749
1273.787
1275.825
1277.863
1279.901
1281.939
1283.977
1286.015
1288.053
FORECAST
1290.091
1292.129
1294.167
FIGURE 32
ONGC LIMITED
78
1320
1300
1280
ONGC SHARE PRICE
1260
1240
1220
1200
1180
FORECAST
1160
ACTUAL
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
DAYS
INTERPRETATION:
From the forecasted value it is found that the share price of ONGC LIMITED is
expected to follow an uptrend for the first 57 trading days of the year 2010.
From the Figure 32, it is found that the actual share price of ONGC LIMITED
exhibits an uptrend for the first 10 trading days of the year 2010.
FIGURE 33
RELIANCE INDUSTRIES LIMITED STOCK PRICE
79
2600
2400
2200
RELIANCE STOCK PRICE
2000
1800
1600
1400
1200
1000
800
1
31
16
61
46
91
76
121
106
151
136
181
166
211
196
DAYS
YEAR LOW- Rs 1007.65
FIGURE 34
80
241
226
271
256
286
RELIANCE SHARE PRICE

1.0
.5
0.0
ACF
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
58
Lag Number
RELIANCE SHARE PRICE

1.0
.5
Partial ACF
0.0
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
Lag Number
Table 3.9
81
49
46
55
52
58

RELIANCE INDUSTRIES LIMITED
P/Q
AIC=2871.4772
AIC=2873.4741
AIC=2875.4068
SBC=2874.9661
AIC =2873.4744
SBC=2880.4520
AIC=2875.3309
SBC=2885.8736
AIC=2876.6797
SBC=2880.4523
AIC=2875.4046
SBC=2885.7977
AIC=2876.6487
SBC=2890.6355
AIC=2876.1888
SBC=2885.8714
SBC=2890.6044
SBC=2893.6334
Best Fitting Model for RELIANCE INDUSTRIES LIMITED:

variance also confirms ARIMA (0,1,0) is the best fitting model for RELIANCE INDUSTRIES
LIMITED.
RESULTS OF ARIMA MODEL (0,1,0) FOR RELIANCE INDUSTRIES

LIMITED
82
FINAL PARAMETERS:
Number of residuals
Standard error
Log likelihood
AIC
SBC
242
91.085576
-1434.7386
2871.4772
2874.9661
DF
Residuals
Adj. Sum of Squares
241
Residual Variance
1999476.3
8296.5821

B
DATE
SEB
T-RATIO
-.67809917 5.8552026
APPROX. PROB.
-.11581139
.90789846
Figure 35
Error plot for ARIMA (0,1,0) for RELIANCE INDUSTRIES LIMITED
RELIANCE INDUSTRICE SHARE PRICE
1000
-1000
-2000
1
31
16
61
46
91
76
121
106
151
136
181
166
211
196
226
241
271
256
286
Case Number
FORECASTING OF SHARE PRICE OF RELIANCE INDUUSTRIES

83
DAYS
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
FORECAST
1089.8719
1089.1938
1088.5157
1087.8376
1087.1595
1086.4814
1085.8033
1085.1252
1084.4471
1083.769
1083.0909
1082.4128
1081.7347
1081.0566
1080.3785
1079.7004
1079.0223
1078.3442
1077.6661
1076.988
1076.3099
1075.6318
1074.9537
1074.2756
1073.5975
1072.9194
1072.2413
ACTUAL
1,075.50
1,070.70
1,088.00
1,106.05
1,103.15
1,081.50
1,084.35
1,088.60
1,121.70
1,110.75
DAYS
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
FORECAST
1071.5632
1070.8851
1070.207
1069.5289
1068.8508
1068.1727
1067.4946
1066.8165
1066.1384
1065.4603
1064.7822
1064.1041
1063.426
1062.7479
1062.0698
1061.3917
1060.7136
1060.0355
1059.3574
1058.6793
1058.0012
1057.3231
1056.645
1055.9669
1055.2888
1054.6107
1053.9326
DAYS
55
56
57
FORECAST
1053.2546
1052.5765
1051.8984
FIGURE 36
RELIANCE INDUSTRIES LIMITED
84
RELIANCE INDUSTRIES SHARE PRICE
1140
1120
1100
1080
1060
FORECAST
1040
ACTUAL
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
DAYS
INTERPRETATION:
From the forecasted value it is found that the share price of RELIANCE INDUSTRIES
LIMITED is expected to follow a downtrend for the first 57 trading days of the year
2010.
From the Figure 36, it is found that the actual share price of RELIANCE
INDUSTRIES LIMITED exhibits an uptrend for the first 10 trading days of the year
2010.
FIGURE 37
SBI STOCK PRICE (DAILY CLOSING)-2009
85
3000
SBI SHARE PRICE
2000
1000
0
1
31
16
61
46
91
76
121
106
151
136
181
166
211
196
DAYS
YEAR LOW- Rs 895.30
FIGURE 38
86
241
226
271
256
286
SBI SHARE PRICE

1.0
.5
0.0
ACF
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
58
Lag Number
SBI SHARE PRICE

1.0
.5
Partial ACF
0.0
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
Lag Number
Table 3.10
87
55
52
58

STATE BANK OF INDIA
P/Q
AIC=2570.2834
AIC=2567.4460
AIC=2569.2826
SBC=2573.7724
AIC =2567.2970
SBC=2574.4239
AIC=2569.3651
SBC=2579.7494
AIC=2572.2216
SBC=2574.2749
AIC=2569.3045
SBC=2579.7719
AIC=2571.2544
SBC=2584.3641
AIC=2570.5016
SBC=2579.7714
SBC=2585.2102
SBC=2587.9463
Best Fitting Model for STATE BANK OF INDIA:

variance also confirms ARIMA (1,1,0) is the best fitting model for STATE BANK OF INDIA.
RESULTS OF ARIMA (1,1,0) FOR STATE BANK OF INDIA

FINAL PARAMETERS:
88
Number of residuals
Standard error
Log likelihood
AIC
SBC
242
48.483316
-1281.6485
2567.297
2574.2749
DF
Residuals
Adj. Sum of Squares
240
Residual Variance
564199.71
2350.6319

B
AR1
DAYS
SEB
.1428199
3.9727882
T-RATIO
.0639744
3.6334045
APPROX. PROB.
2.2324549
1.0934065
.02650814
.27531159
Figure 39
Error plot for ARIMA (1,1,0) for SBI
300
200
100
Error
-100
-200
1
31
16
61
46
91
76
121
106
151
136
181
166
211
196
241
226
271
256
286
Case Number
FORECASTING OF SHARE PRICE OF SBI FOR FIRST 57 TRADING

DAYS AND ITS COMPARISION WITH ACTUAL SHARE PRICE FOR
FIRST 10 TRADING DAYS OF YEAR-2010
DAYS
FORECAST DAYS
89
FORECAST
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
2278.789
2283.593
2287.684
2291.674
2295.649
2299.622
2303.595
2307.568
2311.541
2315.514
2319.486
2323.459
2327.432
2331.405
2335.378
2339.35
2343.323
2347.296
2351.269
2355.242
2359.214
2363.187
2367.16
2371.133
2375.106
2379.078
2383.051
2,291.20
2,292.05
2,305.80
2,292.90
2,286.05
2,267.20
2,203.20
2,175.90
2,157.35
2,143.35
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
2387.024
2390.997
2394.969
2398.942
2402.915
2406.888
2410.861
2414.833
2418.806
2422.779
2426.752
2430.725
2434.697
2438.67
2442.643
2446.616
2450.588
2454.561
2458.534
2462.507
2466.48
2470.452
2474.425
2478.398
2482.371
2486.344
2490.316
55
56
57
2494.289
2498.262
2502.235
FIGURE 40
COMPARISION OF ACTUAL AND FORECASTED SHARE PRICE OF SBI
90
2600
2500
SBI SHARE PRICE
2400
2300
2200
FORECAST
2100
ACTUAL
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
DAYS
INTERPRETATION:
From the forecasted value it is found that the share price of STATE BANK OF INDIA
is expected to follow an uptrend for the first 57 trading days of the year 2010.
From the Figure 40, it is found that the actual share price of STATE BANK OF
INDIA exhibits a downtrend for the first 10 trading days of the year 2010.
FIGURE 41
91
SUN PHARMACEUTICAL LIMITED STOCK PRICE

1700
1600
SUNPHARMA SHARE PRICE
1500
1400
1300
1200
1100
1000
900
1
31
16
61
46
91
76
121
106
151
136
181
166
DAYS
YEAR LOW- Rs 971.80
FIGURE 42
92
211
196
241
226
271
256
286

1.0
.5
0.0
ACF
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
58
Lag Number

1.0
.5
Partial ACF
0.0
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
Lag Number
Table 3.11
93
55
52
58
AIC AND SBC VALUES OF VARIOUS ARIMA MODELS (P,D,Q) FOR SUN
PHARMACEUTICAL LIMITED
P/Q
AIC=2430.8182
AIC=2431.9237
AIC=2426.7863
SBC=2434.3071
AIC =2432.2053
SBC=2438.9014
AIC=2426.3036
SBC=2437.2531
AIC=2425.8646
SBC=2439.1832
AIC=2428.6144
SBC=2436.7704
AIC=2425.8783
SBC=2439.8204
AIC=2427.8721
SBC=2439.0813
SBC=2439.8340
SBC=2445.3168
Best Fitting Model for SUNPHARMACEUTICAL LIMITED:

variance also confirms ARIMA (1,1,2) is the best fitting model for SUNPHARMACEUTICAL
LIMITED.
RESULTS OF ARIMA (1,1,2) MODEL FOR SUN PHARMACEUTICAL

LIMITED
94
FINAL PARAMETERS:
Number of residuals
Standard error
Log likelihood
AIC
SBC
242
36.040556
-1208.9323
2425.8646
2439.8204
DF
Residuals
238
Adj. Sum of Squares
Residual Variance
309312.59
1298.9217

B
AR1
MA1
MA2
DATE
SEB
T-RATIO
.4932472 .2268621
.5812976 .2289948
.1267728 .0854302
1.9000109 1.3451715
APPROX. PROB.
2.1742
2.5384748
1.4839351
1.4124674
.03067475
.01177226
.13914926
.15911865
Figure 43
Error plot for ARIMA (1,1,2) for SUN PHARMACEUTICAL LIMITED
400
300
200
100
-100
Error
-200
-300
1
31
16
61
46
91
76
121
106
151
136
Case Number
95
181
166
211
196
241
226
271
256
286
FORECASTING OF SHARE PRICE OF SUN PHARMACEUTICAL

DAYS
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
FORECAST
1514.00184
1518.76366
1522.07525
1524.67152
1526.91496
1528.98436
1530.96793
1532.90915
1534.82949
1536.73953
1538.64448
1540.54693
1542.44815
1544.34875
1546.24906
1548.14921
1550.04929
1551.94934
1553.84937
1555.74939
1557.6494
1559.54942
1561.44943
1563.34944
1565.24945
1567.14946
ACTUAL
1,507.35
1,552.65
1,572.80
1,548.85
1,574.95
1,574.70
1,571.80
1,547.80
1,559.50
1,525.10
DAYS
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
FORECAST
1570.94948
1572.84949
1574.7495
1576.64952
1578.54953
1580.44954
1582.34955
1584.24956
1586.14957
1588.04958
1589.94959
1591.8496
1593.74961
1595.64963
1597.54964
1599.44965
1601.34966
1603.24967
1605.14968
1607.04969
1608.9497
1610.84971
1612.74972
1614.64973
1616.54975
1618.44976
DAYS
55
56
57
FORECAST
1622.24978
1624.14979
1626.0498
FIGURE 44
SUN PHARMACEUTICAL LIMITED
96
1640
1620
1600
1580
1560
1540
1520
FORECAST
1500
ACTUAL
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
DAYS
INTERPRETATION:
From the forecasted value it is found that the share price of SUN PHARMACEUTICAL
LIMITED is expected to follow an uptrend for the first 57 trading days of the year 2010.
From the Figure 44, it is found that the actual share price of SUN PHARMACEUTICAL
LIMITED exhibits an uptrend for the first 10 trading days of the year 2010
FIGURE 45
TATA MOTORS STOCK PRICE (DAILY CLOSING)-2009
97
1000
TATA MOTOR SHARE PRICE
800
600
400
200
0
1
31
16
61
46
91
76
121
106
151
136
181
166
DAYS
YEAR LOW- Rs 130.8
FIGURE 46
98
211
196
241
226
271
256
286
TATAMOTORS SHARE PRICE

1.0
.5
0.0
ACF
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
58
Lag Number
TATAMOTORS SHARE PRICE

1.0
.5
Partial ACF
0.0
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
Lag Number
Table 3.12
99
55
52
58

TATA MOTORS LIMITED
P/Q
AIC=1985.2015
AIC=1987.2008
AIC=1989.2086
SBC=1988.6905
AIC =1987.2008
SBC=1994.1787
AIC=1989.6065
SBC=1999.6755
AIC=1990.3277
SBC=1994.1787
AIC=1989.2080
SBC=1999.4734
AIC=1989.7324
SBC=2004.2835
AIC=1988.6135
SBC=1999.6749
SBC=2003.6882
SBC=2006.0582
Best Fitting Model for TATA MOTORS LIMITED:

variance also Confirms ARIMA (0,1,0) is the best fitting model for TATA MOTORS LIMITED.
RESULTS OF ARIMA (0,1,0) MODEL FOR TATA MOTORS LIMITED

FINAL PARAMETERS:
100
Number of residuals
Standard error
Log likelihood
AIC
SBC
242
14.594597
-991.60076
1985.2015
1988.6905
DF
Residuals
241
Adj. Sum of Squares
Residual Variance
51333.548
213.00227

B
DATE
2.5663223
SEB
T-RATIO S
.93817626
APPROX. PROB.
2.7354373
.00669296
FIGURE 47
Error plot for ARIMA (1,1,1) for TATA MOTORS LIMITED
80
60
40
20
Error
-20
-40
-60
1
31
16
61
46
91
76
121
106
151
136
181
166
211
196
241
226
271
256
286
Case Number
FORECASTING OF SHARE PRICE OF TATA MOTORS LIMITED FOR

FIRST 57 TRADING DAYS AND ITS COMPARISION WITH ACTUAL
SHARE PRICE FOR FIRST 10 DAYS OF YEAR-2010
101
DAYS
FORECAST DAYS
FORECAST
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
794.1163
796.6826
799.249
801.8153
804.3816
806.9479
809.5143
812.0806
814.6469
817.2132
819.7796
822.3459
824.9122
827.4785
830.0448
832.6112
835.1775
837.7438
840.3101
842.8765
845.4428
848.0091
850.5754
853.1417
855.7081
858.2744
860.8407
863.407
865.9734
868.5397
871.106
873.6723
876.2386
878.805
881.3713
883.9376
886.5039
889.0703
891.6366
894.2029
896.7692
899.3355
901.9019
904.4682
907.0345
909.6008
912.1672
914.7335
917.2998
919.8661
922.4324
924.9988
927.5651
930.1314
932.6977
935.2641
937.8304
826.45
812.05
813.3
785.5
789.8
790.15
786.3
784.95
782.15
797.2
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
FIGURE 48
TATA MOTORS LIMITED
102
TATA MOTORS SHARE PRICE
1000
900
800
FORECAST
700
ACTUAL
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
DAYS
INTERPRETATION:
From the forecasted value, it is found that the share price of TATAMOTORS
2010
From the Figure 48, it is found that the actual share price of TATAMOTORS
LIMITED exhibits an downtrend the first 10 trading days of the year 2010
FIGURE 49
103
TATA STEEL LIMITED STOCK PRICE (DAILY CLOSING)-2009

700
600
TATA STEEL SHARE PRICE
500
400
300
200
100
1
31
16
61
46
91
76
121
106
151
136
181
166
DAYS
YEAR LOW- Rs 151.8
FIGURE 50
104
211
196
241
226
271
256
286

1.0
.5
0.0
ACF
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
58
Lag Number

1.0
.5
Partial ACF
0.0
-.5
Confidence Limits
-1.0
Coefficient
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
Lag Number
Table 3.13
105
55
52
58

TATA STEEL LIMITED
P/Q
AIC=1996.2003
AIC=1997.8020
AIC=1998.1239
SBC=1999.5892
AIC =1997.8463
SBC=2004.8598
AIC=1999.4608
SBC=2008.5907
AIC=2000.1355
SBC=2004.8242
AIC=1998.3471
SBC=2009.9276
AIC=2000.3547
SBC=2014.0913
AIC=1995.0442
SBC=2008.8139
SBC=2014.3105
SBC=2012.4888
Best Fitting Model for TATA STEEL LIMITED:

variance also Confirms ARIMA (2,1,2) is the best fitting model for TATA MOTORS LIMITED.
RESULTS OF ARIMA (2,1,2) MODEL FOR TATA STEEL LIMITED

FINAL PARAMETERS:
106
Number of residuals
Standard error
Log likelihood
AIC
SBC
242
14.725841
-992.52208
1995.0442
2012.4888
DF
Residuals
237
Adj. Sum of Squares
Residual Variance
51720.915
216.85040
AR1
AR2
MA1
MA2
DATE
SEB
T-RATIO
.4979266
-.8832232
.5170713
-.9810693
1.6045270
.0530540
.0527555
.0286355
.0337662
1.0000932
APPROX. PROB.
9.385275
-16.741815
18.057024
-29.054755
1.604377
.00000000
.00000000
.00000000
.00000000
.10996260
Figure 51
Error plot for ARIMA (2,1,2) for TATA STEEL LIMITED
60
40
20
-20
Error
-40
-60
1
31
16
61
46
91
76
121
106
151
136
181
166
211
196
241
226
271
256
286
Case Number
FORECASTING OF SHARE PRICE OF TATA STEEL LIMITED FOR

FIRST 57 TRADING DAYS AND ITS COMPARISION WITH ACTUAL
SHARE PRICE FOR FIRST 10 DAYS OF YEAR-2010
107
DAYS FORECAST ACTUAL DAYS FORECAST DAYS FORECAST

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
618.7934
618.1616
619.1041
622.3541
625.3627
626.213
626.2019
627.6681
630.6307
633.0336
633.8362
634.3362
636.0991
638.758
640.7477
641.6127
642.5089
644.4138
646.7936
648.5188
649.4987
650.6856
652.6339
654.7784
656.3482
657.4585
658.8476
633.75
649.1
642.05
649.8
648.45
648.5
625.55
639.25
647.7
645.15
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
660.7814
662.7401
664.2302
665.465
666.9864
668.8762
670.6961
672.156
673.4982
675.0999
676.9347
678.6564
680.1158
681.5447
683.1899
684.9698
686.6258
688.101
689.5957
691.2597
692.9909
694.6059
696.1038
697.646
699.3136
701.0047
702.5965
55
56
57
704.1183
705.6929
707.3555
FIGURE 52
TATA STEEL LIMITED
108
720
700
680
660
640
620
FORECAST
600
ACTUAL
1
7
4
13
10
19
16
25
22
31
28
37
34
43
40
49
46
55
52
DAYS
INTERPRETATION:
From the above forecasted value, it is found that the share price of TATA STEEL
LIMITED is expected to follow an uptrend for the first 57 trading days of year 2010.
From the Figure 52, it is found that the actual share price of TATA STEEL LIMITED
exhibits an uptrend the first 10 trading days of the year 2010.
FINDINGS
109
1. The share price of ACC LIMITED has followed a trend in the year 2009, with a high of
Rs 924.95 and a low of Rs 474.5 and an average of Rs 713.78.
2. Based on the performance of this share in the year 2009,the forecasted value of this share
for the first 57 trading days shows an uptrend and while comparing this with the actual
price during the first 10 trading days, it was following the same uptrend as projected.
3. The share price of HUL LIMITED has followed an uptrend in the year 2009, with a high
of Rs 299.65 and a low of Rs 216.25 and an average of Rs 258.55.
4. Based on the performance of this share in the year 2009, the forecasted value of this share
price during the first 10 trading days, it was following a downtrend.
5. The share price of BHARTI AIRTEL LIMITED has followed a downtrend in the year
2009, with a high of Rs 1003.2 and a low of Rs 275.25 and an average of Rs 556.05.
for the first 57 trading days shows an trend and while comparing this with the actual price
7.
during the first 10 trading days, it was following the same downtrend as projected.
The share price of DLF LIMITED has followed an uptrend in the year 2009,with a high
of Rs 471.95 and a low of Rs 132.85 and an average of Rs 313.50

9. The share price of INFOSYS TECHNOLOGIES LIMITED has followed an uptrend in
the year 2009, with a high of Rs 2601.10 and a low of Rs 1132.10 and an average of Rs
1822.25.
11. The share price of L&T LIMITED has followed an uptrend in the year 2009, with a high
110
13. The share price of NTPC LIMITED has followed an uptrend in the year 2009, with a
high of Rs 235.65 and a low of Rs 166.7 and an average of Rs 260.31.
for the first 57 trading days do not follow any trend and while comparing this with the
actual price during the first 10 trading days also not following any trend as projected.
15. The share price of ONGC LIMITED has followed an uptrend in the year 2009,with a
high of Rs 1262.05 and a low of Rs 621.15 and an average of Rs 1001.25
17. The share price of RELIANCE INDUSTRIES LIMITED has followed a downtrend in the
year 2009, with a high of Rs 2367.55 and a low of Rs 1067.65 and an average of Rs
1749.40.
for the first 57 trading days shows a downtrend and while comparing this with the actual
price during the first 10 trading days, it was following an uptrend.
19. The share price of SBI LIMITED has followed an uptrend in the year 2009, with a high
21. The share price of SUN PHARMACEUTICAL INDUSTRIES LIMITED has followed an
uptrend in the year 2009, with a high of Rs 1590.05 and a low of Rs 971.80 and an
average of Rs 1240.95.
111
23. The share price of TATA MOTORS LIMITED has followed an uptrend in the year 2009,
with a high of Rs 791.55 and a low of Rs 130.8 and an average of Rs 385.83.
25. The share price of TATA STEEL LIMITED has followed an uptrend in the year
2009,with a high of Rs 622.65 and a low of Rs151.8 and an average of Rs 381.57
112
CONCLUSION
Generally stock price movements are influenced by many economic indicators and there are
three players in the market they were gamblers, speculators and investors. The gamblers and
speculators usually dont have any analytical approach; all they need is to have profit by any
means. Any investor who is investing in share market will be optimistic to earn positive returns
on his investment, but, this expectation may or may not be true always. Hence, a scientific
method is required to form a basis for any expectation by an investor. So many statistical tools
are applied for forecasting.
Since forecasting by trend analysis is highly subjective in nature and different person will look
upon it differently and the decision change accordingly, so it is essential to use an tool that is
appropriate for all, with the advent of advanced software solutions available, Auto Regressive
Integrated Moving Average (ARIMA) is found to be more relevant for projections in general and
for share price movements in particular.
Hence the researcher has used the ARIMA tool to analyze the select 13 companies share price
for the year 2009 and forecasted the share price for the select companies for the first 57 trading
days of year 2010 and compared it with the actual share price for the first 10 days and it was
almost found to be true for most select companies.
113
Hence it can be concluded that scientific tools can be relied upon to project the future value of
share in Indian stock market even though it is dominated by market sentiments.
BIBLIOGRAPHY
BOOKS & JOURNALS: V.A. Avadhini, Fifth Revised Edition, INVESTMENT MANAGEMENT,
Himalaya Publishing House.
Kothari.C.R, Research Methodology, New Delhi Vikas Publishing House Pvt Ltd.
Chowdary, S.K. (1991) Short-run Share Price Behaviour: New Evidence on WeakForm Market Efficiency, Vikalp, Vol.V
Sharma J.L. and Robert E. Kennedy (1997) A Comparitive Analysis Of Stock
sPrice Behaviour on the Bombay, London, New York Stock Exchanges, Journal of
Financial and Quantitative Analysis .sep 1977.
Sunil Poshakvale(1996) Evidence of Weak Form Efficiency and Day of the Week
Effect in the Indian Stock Market. Finance India, vol,X No.3,(September),605-616.
Websites:www.nseindia.co.in
www.bseindia.co.in
www.moneycontrol.com
www.northeastltd.com
114
ANNEXURE
SHARE PRICE OF ACC LIMITED FOR ALL THE 243 TRADING DAY OF YEAR 2009
DAY
VALUE
DAY
VALUE
DAY
VALUE
DAY
VALUE
DAY
VALUE
495.25
29
550.4
57
581.15
85
614.25
113
745.75
493.9
30
579.2
58
566.2
86
634.95
114
768.4
507.55
31
561
59
574.4
87
720.85
115
783.2
543.45
32
542.95
586.85
88
749.9
116
799.1
508.65
33
561.2
61
602.2
89
772.6
117
792.9
503.75
34
547.25
62
582.3
90
743.2
118
765.75
496.15
35
553.85
63
591.7
91
729.1
119
763.15
508.95
36
558.35
64
586.55
92
724.05
120
762.55
515
37
556.1
65
591.2
93
712.1
121
768.7
10
502.65
38
559.9
66
615.8
94
711.1
122
723.85
11
498.9
540.05
67
616.85
95
727.5
123
765
12
502.4
40
524.75
68
609.05
96
782.5
124
787.6
13
485.35
41
530.55
69
617.5
97
829.8
125
782.7
14
477.65
42
539.8
70
616.5
98
781.25
126
763.05
15
490
43
528.55
71
646.7
99
819.85
127
758.15
16
474.5
44
530.2
72
647.9
100
835.35
128
790.2
17
486.85
45
519.05
73
678.8
101
859.8
129
806.8
18
497.3
46
540.95
74
658.3
102
813.45
130
794.65
19
503.95
47
562.45
75
644.05
103
850
131
810.75
20
506.4
48
564.35
76
654.35
104
899.25
132
844.85
21
494.45
49
556.5
77
654.85
105
863
133
825.5
22
518.6
50
548.5
78
656
106
845.85
134
808.55
23
531.05
51
544.95
79
641.65
107
854.8
135
853.95
24
532.4
52
543.6
80
624
108
854.5
136
845.3
25
539.5
53
558.5
601.25
109
829.05
137
848.4
26
539.6
54
549.2
82
591.4
110
756.35
138
865.55
27
543.45
55
563.05
83
595.5
111
749.1
139
858.65
28
557.3
56
562.1
84
614.6
112
740.95
140
875.65
39
60
81
115
SHARE PRICE OF ACC LIMITED FOR ALL THE 243 TRADING DAY OF YEAR 2009
DAY
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
VALUE
880.8
892
899.95
924.95
883.9
869.55
809.9
819.35
828.5
848.7
830.5
792.7
797.8
756.3
758.7
776.7
793.85
789.05
799.85
797.1
809.3
807
780.25
778.35
769
792.75
800
796.1
DAY
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
VALUE
796.55
789.75
773.6
763.9
774.25
801.15
828.8
845.35
847.05
833.55
823.15
817.2
814.95
820.25
826.75
813.9
794
790.55
798.6
795.35
796.55
787.75
794.95
783.5
792.75
782.6
770.75
765.6
DAY
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
VALUE
763.45
764.95
759.05
745.45
734.75
750.65
699.25
729
719.65
717.85
719.65
718.65
732.5
737.3
738.85
745
730
729.25
733.35
DAY
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
VALUE
815.8
812.45
802.6
810.4
817.35
812.4
816.75
858.35
850.95
860.8
866.25
861.65
856.8
837.4
855.8
860.95
859.6
871.4
872.45
766.1
788.75
783.75
794.05
800.1
791.4
797.65
809.4
800.3
My project
http://www.ew2008.org/matlab/toolbox/garch/chap1_2a.html
http://www.physnet.uni-amburg.de/physnet/matlab/help/toolbox/garch/tutoria4.html#3843
116
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INTRODUCTION

The broking industry is closely associated with the Stock

On the bases of the committees recommendations and public discussion, the

securities contracts (Regulation) Act became law in 1956.

It is an association of member brokers for the purpose of self-regulation and

intermediaries so that they become competitive and professional.

National Stock Exchange of India:

Meeting the current international standards of securities markets.

Life Insurance Corporation of India

State Bank of India

ICICI Bank Limited

IL & FS Trust Company Limited

Stock Holding Corporation of India Limited

SBI Capital Markets Limited

General Insurance Corporation of India

National Insurance Company Limited

The New India Assurance Company Limited

The Oriental Insurance Company Limited

United India Insurance Company Limited

Punjab National Bank

Oriental Bank of Commerce

Union Bank of India

Infrastructure Development Finance Company Limited

History of the National Stock Exchange of India:

Recognition as a stock exchange

Formulation of business plan

Wholesale Debt Market segment goes live

Capital Market (Equities) segment goes live

Establishment of Investor Grievance Cell

Establishment of NSCCL, the first Clearing Corporation

Introduction of centralized insurance cover for all trading members

Establishment of Investor Protection Fund

Became largest stock exchange in the country

Commencement of clearing and settlement by NSCCL

Launch of S&P CNX Nifty

Establishment of Settlement Guarantee Fund

Setting up of National Securities Depository Limited, first depository in India,

Best IT Usage award by Computer Society of India

Commencement of trading/settlement in dematerialized securities

Dataquest award for Top IT User

Launch of CNX Nifty Junior

Regional clearing facility goes live

Best IT Usage award by Computer Society of India

Launch of NSE's Web-site: www.nse.co.in

Launch of NSE's Certification Program in Financial Market

CYBER CORPORATE OF THE YEAR 1998 award

Launch of Automated Lending and Borrowing Mechanism

CHIP Web Award by CHIP magazine

Launch of NSE Research Initiative

Commencement of Internet Trading

Commencement of Derivatives Trading (Index Futures)

Launch of 'Zero Coupon Yield Curve'

Commencement of WAP trading

Commencement of trading in Index Options

Commencement of trading in Options on Individual Securities

Commencement of trading in Futures on Individual Securities

Launch of NSE VaR for Government Securities

Launch of Exchange Traded Funds (ETFs)

Launch of NSE Government Securities Index

Commencement of trading in Retail Debt Market

Launch of Interest Rate Futures

Launch of Futures & options in CNXIT Index