JineshK-03118-Test of Weak Form Efficiency of Indian Stock Mkt by sathis0290

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									Test of Weak Form Efficiency Of the Indian Stock Market
Submitted in partial fulfillment of the requirements for MBA Degree of Bangalore University

JINESH K SHAH
Registration Number: 03XQCM6043 Under the Guidance Of: Dr. T.V.Narasimha Rao

Submitted By

M.P.BIRLA INSTITUTE OF MANAGEMENT Associate Bharatiya Vidya Bhavan Race Course Road, Bangalore-560001

DECLARATION

I hereby declare that the Internship report on Organisation study of “Test of Weak Form Efficiency of Indian Stock Market” is a record of independent work carried out by me, towards partial fulfillment of the requirements for MBA course of Bangalore University at M.P.Birla Institute of Management. This has not been submitted in part or full towards any other degree or diploma.

Date: 15/05/2005 Place: Bangalore JINESH K SHAH 03XQCM6043

PRINCIPAL’S CERTIFICATE

This is to certify that this report titled “Test of Weak Form Efficiency of Indian Stock Market” is the result of project work undergone by Jinesh K Shah, bearing the Register Number 03XQCM6043, under the guidance of Dr. T.V.Narasimha Rao. This has not formed a basis for the award of any Degree/Diploma for any University.

Place : Bangalore Date : 15th June 2005 Dr. Nagesh.S.Malavalli

GUIDE’S CERTIFICATE

This is to certify that the dissertation entitled “Test of Weak Form Efficiency of Indian Stock Market” is an original study conducted by Jinesh K Shah, bearing register number 03XQCM6043, of M. P. Birla Institute of Management, Associate Bharatiya Vidya Bhavan, under my guidance. This has not formed the basis for the award of any Degree/Diploma by Bangalore University or any other University.

Date : June 15th 2005 Place : Bangalore

Dr. T. V. Narasimha Rao

ACKNOWLEDGEMENT
A teacher is a perennial source of inspiration and guidance in all the academic activities of his students throughout. I whole-heartedly extend my deep and sincere gratitude to Dr. T.V. Narasimha Rao, faculty for finance, MPBIM, for his continuous guidance and help provided for completing this research study. I am also grateful to Dr N S Malavalli, Principal, M.P Birla Institute of Management for his full support and encouragement while I was conducting this research. I am also thankful to Prof. S.S. Santhanam, M.P Birla Institute of Management for sharing his expertise in the field of Statistics with me whenever I approached him. I also express my gratitude to all friends and family members for extending their helping hand whenever I approached them. Without their help this research could not have been presented in a proper manner.

JINESH K SHAH

CONTENTS
CHAPTER NO PARTICULARS ABSTRACT PAGE NO.

I

01

II III

INTRODUCTION LITERATURE REIVEW BACKGROUND

02 04 07

IV

V VI VII VIII IX X

PROBLEM STATEMENT RESEARCH METHODOLOGY RESEARCH FINDINGS CONCLUSION ANNEXURE BIBLIOGRAPHY

11 13 18 59 60 62

LIST OF TABLES
TABLE NO. PARTICULARS 1 AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2000-01 PAGE NO. 19

2

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2001-02 AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2002-03

23

3

27

4

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2003-04

31

5

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2004-05

35

6

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR ALL FIVE YEARS CROSS CORRELATION OF 29 COMPANIES WITH NIFTY FOR THE YEARS 2000-05

39

7

51

ABSTRACT
Efficient market hypothesis is one of the most debated and researched topics in the realm of the Stock market. The results of such a research where the markets are proved to be efficient can change the fortunes of many individuals. I have tried my own research in this topic. My purpose of research was to test whether the Indian Stock Market is Weak Form Efficient. Individual stocks were taken from the NSE Nifty and Nifty index itself was chosen as the sample for my research. The chosen stocks and the nifty index were correlated. The chosen stocks were also cross correlated with the nifty index. This led to results from which inferences were drawn about the randomness of the variables. Since the correlations were observed to be statistically significant; the random walk theory was violated. This proves that the Indian stock market is not weak form efficient.

INTRODUCTION
An issue that is the subject of intense debate among academics and financial professionals is the Efficient Market Hypothesis (EMH). The Efficient Market Hypothesis states that at any given time, security prices fully reflect all available information. The implications of the efficient market hypothesis are truly profound. Most individuals that buy and sell securities (stocks in particular), do so under the assumption that the securities they are buying are worth more than the price that they are paying, while securities that they are selling are worth less than the selling price. But if markets are efficient and current prices fully reflect all information, then buying and selling securities in an attempt to outperform the market will effectively be a game of chance rather than skill. The Efficient Market Hypothesis evolved in the 1960s from the Ph.D. dissertation of Eugene Fama. Fama persuasively made the argument that in an active market that includes many well-informed and intelligent investors, securities will be appropriately priced and reflect all available information. If a market is efficient, no information or analysis can be expected to result in out performance of an appropriate benchmark. 1 There are three forms of the efficient market hypothesis: 1. The "Weak" form asserts that all past market prices and data are fully reflected in securities prices. In other words, technical analysis is of no use. 2. The "Semi strong" form asserts that all publicly available information is fully reflected in securities prices. In other words, fundamental analysis is of no use.

3. The "Strong" form asserts that all information is fully reflected in securities prices. In other words, even insider information is of no use. "An 'efficient' market is defined as a market where there are large numbers of rational, profit-maximizers actively competing, with each trying to predict future market values of individual securities, and where important current information is almost freely available to all participants. In an efficient market, competition among the many intelligent participants leads to a situation where, at any point in time, actual prices of individual securities already reflect the effects of information based both on events that have already occurred and on events which, as of now, the market expects to take place in the future. In other words, in an efficient market at any point in time the actual price of a security will be a good estimate of its intrinsic value."

LITERATURE REVIEW
Research to date has tended to concentrate on the first or statistical approach to testing independence; the results have been consistent and impressive. I know of no study in which standard statistical tools have produced evidence of important dependence in series of successive price changes. In general, these studies (and there are many of them) have tended to uphold the theory of random walks. This is true, for example, of the serial correlation tests of Cootner, Fama, Kendall, and Moore. In all these studies” the sample serial correlation coefficients computed for successive price changes were extremely close to zero, which is evidence against important dependence in the changes. Similarly, Fama’s analysis of runs of successive price changes of the same sign and the spectral analysis techniques of Granger and Morgenstern and Godfrey, Granger, and Morgenstern also support the independence assumption of the random-walk model. We should emphasize, however, that, although the statistical techniques mentioned above have been the common tools used in testing independence, the chartist or technical theorist probably would not consider them adequate. For example, he would not consider either serial correlations or runs analyses as adequate tests of whether the past history of series of price changes can be used to increase the investor’s expected profits. The simple linear relationships that underlie the serial correlation model are much too unsophisticated to pick up the complicated “patterns” that the chartist sees similarly, the runs tests are much too rigid in their manner of determining the duration of upward and downward movements in prices. In particular, in runstesting, a run is considered as terminated whenever there is a change in sign in the

sequence of successive price changes, regardless of the size of the price change that causes the change in sign. The chartist would like to have a more sophisticated method for identifying movements-a method which does not always predict the termination of the movement simply because the price level has temporarily changed direction.

CRITICISMS HEEDED

The criticisms of common statistical tools have not gone unheeded, however. For example, Alexander’s filter technique is an attempt to apply more sophisticated criteria to the identification of moves. Although the filter technique does not correspond exactly to any well-known chartist theory, it is closely related to such things as the Dow Theory. Thus, the profitability of the filter technique can be used to make inferences concerning the potential profitability of other mechanical trading rules. Implications for Other Theories As stated earlier, chartist theories implicitly assume that there is dependence in series of successive price changes. That is, the history of the series can be used to make meaningful predictions concerning the future. On the other hand, the theory of random walks says that successive price changes are independent, that is, the past cannot be used to predict the future. Thus the two theories are diametrically opposed, and if, as the empirical evidence seems to suggest, the random-walk theory is valid, then chartist theories are akin to astrology and of no real value to the investor. In an uncertain world, however, no amount of empirical testing is sufficient to establish the validity of a hypothesis beyond any shadow of doubt. The chartist or technical theorist always has the option of declaring that the evidence in support of the random-walk theory is not sufficient to validate the theory. On the other hand, the chartist must admit that the evidence in favor of the random-walk model is both consistent and voluminous, whereas there is precious little published discussion of rigorous empirical tests of the various technical theories. If the chartist rejects the evidence in favor of the random-walk model, his position is weak if his own theories have not

been subjected to equally rigorous tests. This, I believe, is the challenge that the random-walk theory makes to the technician. There is nothing in the above discussion, however, which suggests that superior fundamental or intrinsic value analysis is use-less in a random-walk-efficient market. In fact, the analyst will do better than the investor who follows a simple buy-and-hold policy as long as he can more quickly identify situations where there are non-negligible discrepancies between actual prices and intrinsic values than other analysts and investors, and if he is better able to predict the occurrence of important events and evaluate their effects on intrinsic values.

BACKGROUND
The random walk theory asserts that price movements will not follow any patterns or trends and that past price movements cannot be used to predict future price movements. Much of the theory on these subjects can be traced to French mathematician Louis Bachelier whose Ph.D. dissertation titled "The Theory of Speculation" (1900) included some remarkably insights and commentary. Bachelier came to the conclusion that "The mathematical expectation of the speculator is zero" and he described this condition as a "fair game." Unfortunately, his insights were so far ahead of the times that they went largely unnoticed for over 50 years until his paper was rediscovered and eventually translated into English and published in 1964. Securities markets are flooded with thousands of intelligent, well-paid, and well-educated investors seeking under and over-valued securities to buy and sell. The more participants and the faster the dissemination of information, the more efficient a market should be. The debate about efficient markets has resulted in hundreds and thousands of empirical studies attempting to determine whether specific markets are in fact "efficient" and if so to what degree. Many novice investors are surprised to learn that a tremendous amount of evidence supports the efficient market hypothesis. Early tests of the EMH focused on technical analysis and it is chartists whose very existence seems most challenged by the EMH. And in fact, the vast majority of studies of technical theories have found the strategies to be completely useless in predicting securities prices. However, researchers have documented some technical anomalies that may offer some hope for technicians, although transactions costs may reduce or eliminate any advantage.

Researchers have also uncovered numerous other stock market anomalies that seem to contradict the efficient market hypothesis. The search for anomalies is effectively the search for systems or patterns that can be used to outperform passive and/or buy-and-hold strategies. Theoretically though, once an anomaly is discovered, investors attempting to profit by exploiting the inefficiency should result its disappearance. In fact, numerous anomalies that have been documented via back-testing have subsequently disappeared or proven to be impossible to exploit because of transactions costs. The paradox of efficient markets is that if every investor believed a market was efficient, then the market would not be efficient because no one would analyze securities. In effect, efficient markets depend on market participants who believe the market is inefficient and trade securities in an attempt to outperform the market. In reality, markets are neither perfectly efficient nor completely inefficient. All markets are efficient to a certain extent, some more so than others. Rather than being an issue of black or white, market efficiency is more a matter of shades of gray. In markets with substantial impairments of efficiency, more knowledgeable investors can strive to outperform less knowledgeable ones. Government bond markets for instance, are considered to be extremely efficient. Most researchers consider large capitalization stocks to also be very efficient, while small capitalization stocks and international stocks are considered by some to be less efficient. Real estate and venture capital, which don't have fluid and continuous markets, are considered to be less efficient because different participants may have varying amounts and quality of information.

The efficient market debate plays an important role in the decision between active and passive investing. Active managers argue that less efficient markets provide the opportunity for out performance by skillful managers. However, it’s important to realize that a majority of active managers in a given market will under perform the appropriate benchmark in the long run whether markets are or are not efficient. This is because active management is a zero-sum game in which the only way a participant can profit is for another less fortunate active participant to lose. However, when costs are added, even marginally successful active managers may under perform. If markets are efficient, the serious question for investment professionals is what role can they play (and be compensated for). Those that accept the EMH generally reason that the primary role of a portfolio manager consists of analyzing and investing appropriately based on an investor's tax considerations and risk profile. Optimal portfolios will vary according to factors such as age, tax bracket, risk aversion, and employment. The role of the portfolio manager in an efficient market is to tailor a portfolio to those needs, rather than to beat the market. While proponents of the EMH don't believe its possible to beat the market, some believe that stocks can be divided into categories based on risk factors (and corresponding higher or lower expected returns). For instance, some believe that small stocks are riskier and therefore are expected to have higher returns. Similarly some believe "value" stocks are riskier than "growth" stocks and therefore have higher expected returns. Faced with the inference that they cannot add value, many active managers argue that the markets are not efficient (otherwise their jobs can be viewed as nothing more than speculation). Similarly, the investment media is generally considered to be ambivalent toward the efficient market hypothesis because they

make money supplying information to investors who believe that the information has value (beyond the time when it initially becomes public). If the information is rapidly reflected in prices, there is no reason for investors to seek (or purchase) information about securities and markets. While many argue that out performance by one or more participants in a market signifies an inefficient market, it's important o recognize that successful t active managers should be evaluated in the context of all participants. Its difficult in many cases to determine whether out performance can be attributed to skill as opposed to luck. For instance, with hundreds or even thousands of active managers, its common and in fact expected (based on probability) that one or more will experience sustained and significant out performance. However, the challenge is to identify an out performer before the fact, rather than in hindsight. Additionally, in many cases, strong performers in one period frequently turn around and under perform in subsequent periods. A substantial number of studies have found little or no correlation between strong performers from one period to the next. The lack of consistent performance persistence among active managers is further evidence in support of the EMH. "Market efficiency is a description of how prices in competitive markets respond to new information. The arrival of new information to a competitive market can be likened to the arrival of a lamb chop to a school of flesh-eating piranha, where investors are - plausibly enough - the piranha. The instant the lamb chop hits the water, there is turmoil as the fish devour the meat. Very soon the meat is gone, leaving only the worthless bone behind, and the water returns to normal. Similarly, when new information reaches a competitive market there is much turmoil as investors buy and sell securities in response to the news, causing prices to change. Once prices adjust, all that is left of the information is the worthless bone. No amount of gnawing on the bone will yield any more meat, and no further study of old information will yield any more valuable intelligence." Robert C. Higgins, Analysis for Financial Management (3rd edition 1992).

PROBLEM STATEMENT
For many years economists, statisticians, and teachers of finance have been interested in developing and testing models of stock price behavior. One important model that has evolved from this research is the theory of random walks. This theory casts serious doubt on many other methods for describing and predicting stock price behavior-methods that have considerable popularity outside the academic world. For example, we shall see later that, if the random-walk theory is an accurate description of reality, then the various “technical” or “chartist” procedures for predicting stock prices are completely without value. In general, the theory of random walks raises challenging questions for anyone who has more than a passing interest in understanding the behavior of stock prices. Unfortunately, however, most discussions of the theory have appeared in technical academic journals and in a form which the non-mathematician would usually find incomprehensible. This is the reason for my study and exploration of the topic “ Weak form efficiency of Indian stock market “.

OBJECTIVES OF THE STUDY
¾ To find out whether the Indian stock market is “Weak Form Efficient”. ¾ To find out whether individual stocks are “Weak Form Efficient”.

RESEARCH METHODOLOGY
Research Design
The research design constitutes the blueprint for the collection, measurement and analysis of data. . Research design is the plan and structure of investigation so conceived as to obtain answers to research questions. The plan is the overall scheme or program of the research. It includes what the investigator will do from writing hypotheses and their operational implications to the final analysis of data. The design is a plan for selecting the sources and types of information used to answer the research question. It is a framework for specifying the relationships among the study’s variables. It is a blueprint that outlines each procedure from the hypotheses to the analysis of data.

Type of study
The study is exploratory and formal. The essential distinction between these two is the degree of structure and the immediate objective of the study.

Exploratory study
It tends towards loose structures with the objective of discovering future research tasks. The immediate purpose of exploration is usually to develop hypotheses or questions for further research.

Formal Study
It begins where the exploration leaves off. It begins with a hypothesis or research question and involves precise procedures and data source specifications. The goal of a formal research design is to test the hypotheses or answer the research question. This project is mainly a Formal study. It explores the notion “Is Indian stock market weak form efficient”

SAMPLE SIZE
The sampling technique used to take the sample for the research is convenient sampling technique. The data was chosen from the nifty index in two forms: ¾ selected companies from the nifty. 29 ¾ Nifty index itself

¾ The date of the sample ranges from 1 April 2000 to 31 March 2005.
st st

LIMITATIONS OF THE RESEARCH ƒSample is restricted to 29 companies. ƒData considered for five years only.

ƒThe research is subject to a time span of three months.

ƒResults arrived at, are generalized for the entire sample.

DATA COLLECTION
The data collected for the research purpose are secondary data. The stock prices were collected through Bangalore Stock Exchange and through NSE website. The corresponding share prices were closing prices of the National stock Exchange (NSE). The correlation of the returns on stocks and the nifty was found using the following formulae. Karl Pearson’s coefficient of correlation

R =

N™; <

-

™;™< 

[N™;2-(™; 2]1/2 X [N™Y2-(™< 2]1/2
Where ™; VXPPDWLRRI  Q N = Number of values nifty index returns returns and corresponding share price

™; VXPPDWLRQ ISURGXFWRILQGH[ < R returns

™< VXPPDWLRRIVKDUH ULFH  Q S UHWXUQV

™;2 = summation of square of index returns

™<2 = summation of square of share price returns.

Cross correlation

Cross correlation is a standard method of estimating the degree to which two series are correlated. Consider two series x(i) and y(i) where i=0,1,2...N-1. The cross correlation r at delay d is defined as

Where mx and my are the means of the corresponding series. If the above is computed for all delays d=0,1,2,...N-1 then it results in a cross correlation series of twice the length as the original series.

There is the issue of what to do when the index into the series is less than 0 or greater than or equal to the number of points. (i-d < 0 or i-d >= N) The most common approaches are to either ignore these points or assuming the series x and y are zero for i < 0 and i >= N. In many signal processing applications the series is assumed to be circular in which case the out of range indexes are "wrapped" back within range, ie: x(-1) = x(N-1), x(N+5) = x(5) etc.

Auto correlation
The correlation of a series with itself, as opposed to the cross correlation between two different series. Similarly, for a periodic array with

and dimensional matrix given by

, the autocorrelation is the

-

The autocorrelation is found and it is tested Ljung-Box Q test for finding the significance of the autocorrelation.

RESEARCH FINDINGS

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2000-01 TABLE-1A
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL 1 0.106 (1.68) 0.034 (0.54) 0.053 (0.84) 0.129 (2.05)* 0.053 (0.84) 0.145 (2.30)* -0.009 -(0.14) 0.034 (0.54) -0.034 -(0.54) 0.086 (1.37) 0.152 (2.41)* -0.106 -(1.68) 0.061 (0.97) 0.086 (1.37) 0.054 (0.86) 2 -0.012 -(0.19) 0.062 (0.98) -0.005 -(0.08) -0.138 -(2.19)* 0.013 (0.21) -0.037 -(0.59) -0.105 -(1.67) -0.007 -(0.11) 0.013 (0.21) 0.033 (0.52) 0.042 (0.67) -0.081 -(1.29) -0.208 -(3.30)* -0.155 -(2.46)* -0.16 -(2.54)* 3 0.007 (0.11) -0.118 -(1.87) -0.096 -(1.52) -0.034 -(0.54) 0.099 (1.57) -0.034 -(0.54) 0.076 (1.21) -0.032 -(0.51) -0.16 -(2.54)* -0.114 -(1.81) 0.018 (0.29) -0.005 -(0.08) -0.074 -(1.17) -0.059 -(0.94) -0.076 -(1.21) 4 0.115 (1.85) 0.063 (1.02) 0.026 (0.42) 0.068 (1.10) -0.033 -(0.53) 0.068 (1.10) -0.035 -(0.56) -0.066 -(1.06) -0.039 -(0.63) -0.029 -(0.47) -0.043 -(0.69) -0.044 -(0.71) 0.037 (0.60) -0.048 -(0.77) 0.012 (0.19) 5 0.073 (1.18) -0.016 -(0.26) 0.053 (0.85) 0.017 (0.27) -0.029 -(0.47) 0.127 (2.05)* 0.075 (1.21) 0.002 (0.03) -0.109 -(1.76) -0.151 -(2.44)* -0.018 -(0.29) 0.004 (0.06) 0.01 (0.16) -0.057 -(0.92) -0.061 -(0.98)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2000-01 TABLE-1B
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL 6 -0.058 -(0.94) 0.053 (0.85) 0.116 (1.87) -0.068 -(1.10) -0.037 -(0.60) -0.065 -(1.05) 0.067 (1.08) -0.03 -(0.48) 0.004 (0.06) 0.017 (0.27) 0.013 (0.21) -0.016 -(0.26) -0.076 -(1.23) -0.015 -(0.24) 0.006 (0.10) 7 0.071 (1.15) -0.053 -(0.85) 0.018 (0.29) 0.093 (1.50) -0.06 -(0.97) 0.025 (0.40) -0.014 -(0.23) -0.041 -(0.66) 0.004 (0.06) 0.013 (0.21) -0.047 -(0.76) 0.047 (0.76) -0.056 -(0.90) -0.064 -(1.03) 0 (0.00) 8 -0.053 -(0.85) 0.15 (2.42)* 0.122 (1.97) 0.009 (0.15) 0.027 (0.44) -0.012 -(0.19) 0.078 (1.26) -0.012 -(0.19) 0.11 (1.77) 0.058 (0.94) 0.052 (0.84) 0.037 (0.60) -0.055 -(0.89) 0.043 (0.69) 0 (0.00) 9 0.105 (1.69) -0.003 -(0.05) 0 (0.00) -0.02 -(0.32) -0.012 -(0.19) -0.03 -(0.48) 0.129 (2.08)* 0.028 (0.45) 0.069 (1.11) 0.039 (0.63) 0.053 (0.85) -0.077 -(1.24) -0.017 -(0.27) 0.099 (1.60) 0.137 (2.21)* 10 -0.063 -(1.02) 0.086 (1.39) 0.026 (0.42) -0.002 -(0.03) 0.13 (0.21) 0.087 (1.40) 0.068 (1.10) 0.082 (1.32) -0.036 -(0.58) -0.057 -(0.92) -0.022 -(0.35) 0.021 (0.34) 0.093 (1.50) 0.064 (1.03) -0.014 -(0.23)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2000-01 TABLE-1C
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE NIFTY 1 0.077 (1.22) 0.171 (2.71)* 0.1 (1.59) 0.161 (2.56)* 0.132 (2.10)* 0.077 (1.22) 0.12 (1.90) 0.133 (2.11)* 0.093 (1.48) 0.139 (2.21)* -0.009 -(0.14) 0.146 (2.32)* 0.13 (2.06)* 0.187 (2.97)* 0.155 (2.46)* 2 -0.155 -(2.46)* -0.078 -(1.24) -0.125 -(1.98) -0.021 -(0.33) -0.066 -(1.05) -0.063 -(1.00) -0.112 -(1.78) -0.081 -(1.29) -0.033 -(0.52) -0.168 -(2.67)* -0.049 -(0.78) -0.098 -(1.56) -0.043 -(0.68) 0.01 (0.16) -0.081 -(1.29) 3 -0.076 -(1.21) -0.037 -(0.59) -0.051 -(0.81) -0.069 -(1.10) -0.006 -(0.10) -0.122 -(1.94) -0.144 -(2.29)* -0.117 -(1.86) -0.044 -(0.70) -0.089 -(1.41) 0.02 (0.32) -0.102 -(1.62) -0.042 -(0.67) -0.028 -(0.44) -0.115 -(1.83) 4 -0.044 -(0.71) -0.025 -(0.40) 0.036 (0.58) -0.121 -(1.95) -0.081 -(1.31) -0.021 -(0.34) -0.077 -(1.24) 0.005 (0.08) -0.001 -(0.02) 0.102 (1.65) 0.065 (1.05) -0.07 -(1.13) 0.094 (1.52) -0.016 -(0.26) 0.021 (0.34) 5 -0.019 -(0.31) 0.007 (0.11) 0.039 (0.63) 0.022 (0.35) 0.145 (2.34)* -0.063 -(1.02) 0.006 (0.10) 0.001 (0.02) 0.04 (0.65) 0.126 (2.03)* 0.067 (1.08) -0.047 -(0.76) 0.084 (1.35) -0.028 -(0.45) 0.083 (1.34)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2000-01 TABLE-1D
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE NIFTY 6 -0.032 -(0.52) -0.009 -(0.15) -0.05 -(0.81) 0.071 (1.15) -0.071 -(1.15) -0.048 -(0.77) -0.109 -(1.76) 0.044 (0.71) -0.077 -(1.24) -0.055 -(0.89) -0.114 -(1.84) 0.027 (0.44) 1 (1.61) -0.053 -(0.85) -0.048 -(0.77) 7 -0.109 -(1.76) -0.139 -(2.24)* 0.071 (1.15) 0.105 (1.69) -0.12 -(1.94) -0.002 -(0.03) -0.025 -(0.40) -0.036 -(0.58) -0.015 -(0.24) -0.4142 -(2.29)* -0.08 -(1.29) 0.05 (0.81) -0.004 -(0.06) -0.019 -(0.31) -0.075 -(1.21) 8 -0.1 -(1.61) -0.065 -(1.05) 0.112 (1.81) 0.03 (0.48) 0.018 (0.29) 0.037 (0.60) 0.109 (1.76) -0.025 -(0.40) 0.09 (1.45) -0.086 -(1.39) 0.055 (0.89) 0.04 (0.65) 0.122 (1.97) -0.074 -(1.19) 0.05 (0.81) 9 0.019 (0.31) 0.08 (1.29) 0.016 (0.26) -0.037 -(0.60) 0.078 (1.26) -0.03 -(0.52) 0.064 (1.03) 0.059 (0.95) 0.049 (0.79) 0.26 (4.19)* -0.012 -(0.19) 0.058 (0.94) 0.073 (1.18) 0.062 (1.00) 0.122 (1.97) 10 0.036 (0.58) 0.013 (0.21) 0.014 (0.23) -0.052 -(0.84) 0.071 (1.15) 0.075 (1.21) -0.01 -(0.16) -0.02 -(0.32) 0.041 (0.66) 0.207 (3.34)* 0.075 (1.21) -0.007 -(0.11) 0.029 (0.47) -0.033 -(0.53) 0.026 (0.42)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2001-02 TABLE-2A
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL 1 0.075 (1.19) -0.046 -(0.73) 0.042 (0.67) -0.079 -(1.25) 0.044 (0.70) 0.077 (0.11) 0.061 (0.97) -0.019 -(0.30) 0.022 (0.35) 0.082 (1.30) -0.26 -(0.41) -0.029 -(0.46) -0.177 -(2.81)* 0.223 (3.54)* 0.001 (0.02) 2 -0.024 -(0.38) -0.122 -(1.94) -0.086 -(1.37) -0.01 -(0.16) 0.061 (0.97) 0.016 (0.25) -0.072 -(1.14) -0.119 -(1.89) -0.069 -(1.10) 0.013 (0.21) -0.179 -(2.84)* -0.143 -(2.27)* 0.053 (0.84) 0.028 (0.44) -0.053 -(0.84) 3 -0.089 -(1.41) 0.018 (0.29) -0.087 -(1.38) 0.058 (0.92) -0.009 -(0.14) -0.087 -(1.38) 0.066 (1.05) 0.002 (0.03) -0.021 -(0.33) 0.027 (0.43) 0.058 (0.92) -0.073 -(1.16) -0.214 -(3.40)* 0.026 (0.41) -0.142 -(2.25)* 4 0.023 (0.37) 0.018 (0.29) 0.048 (0.76) -0.011 -(0.17) -0.033 -(0.52) -0.105 -(1.67) -0.009 -(0.14) 0.028 (0.44) -0.011 -(0.17) -0.015 -(0.24) -0.001 -(0.02) -0.026 -(0.41) 0.033 (0.52) -0.004 -(0.06) 0.048 (0.76) 5 -0.096 -(1.52) -0.106 -(1.68) 0.144 (2.29)* -0.081 -(1.29) -0.03 -(0.48) -0.07 -(1.11) -0.118 -(1.87) -0.031 -(0.49) 0.008 (0.13) -0.049 -(0.78) -0.162 -(2.57)* 0.074 (1.17) -0.129 -(2.05)* -0.018 -(0.30) -0.091 -(1.44)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2001-02 TABLE-2B
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL 6 -0.027 -(0.43) 0.041 (0.65) 0.064 (1.02) -0.047 -(0.75) 0.021 (0.33) -0.066 -(1.05) 0.02 (0.32) -0.088 -(1.40) -0.049 -(0.78) 0.048 (0.76) 0.124 (1.97) 0.007 (0.11) 0.118 (1.87) 0.084 (1.33) -0.048 -(0.76) 7 0.017 (0.27) 0.064 (1.03) 0.037 (0.60) 0.068 (1.10) 0.046 (0.74) 0.032 (0.52) 0.118 (1.90) 0.142 (2.29)* -0.134 -(2.16)* 0.039 (0.63) 0.048 (0.77) -0.002 -(0.03) -0.145 -(2.34)* 0.021 (0.34) 0.079 (1.27) 8 -0.053 -(0.85) 0.097 (1.56) -0.021 -(0.34) 0.047 (0.76) -0.131 -(2.11)* -0.063 -(1.02) -0.016 -(0.26) 0.05 (0.81) -0.011 -(0.18) -0.003 -(0.05) 0.071 (1.15) -0.097 -(1.56) 0.191 (3.08)* 0.003 (0.05) 0.099 (1.60) 9 -0.024 -(0.39) -0.057 -(0.92) 0.034 (0.55) -0.074 -(1.19) 0.018 (0.29) 0.038 (0.61) -0.121 -(1.95) -0.142 -(2.29)* 0.077 (1.24) -0.055 -(0.89) 0.011 (0.18) -0.034 -(0.55) -0.017 -(0.27) -0.045 -(0.73) 0.018 (0.29) 10 0.03 (0.48) -0.104 -(1.68) -0.023 -(0.37) 0.044 (0.71) -0.067 -(1.08) 0.074 (1.19) -0.047 -(0.76) 0.077 (1.24) 0.002 (0.03) 0.029 (0.47) -0.025 -(0.40) -0.038 -(0.61) -0.04 -(0.65) -0.063 -(1.02) -0.019 -(0.31)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2001-02 TABLE-2C
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE NIFTY 1 0.124 (1.97) 0.096 (1.52) -0.073 -(1.16) 0.136 (2.16)* 0.096 (1.52) 0.094 (1.49) 0.058 (0.92) 0.053 (0.84) 0.047 (0.75) 0.123 (1.95) 0.027 (0.43) 0.044 (0.70) 0.085 (1.35) 0.138 (2.19)* 0.168 (2.67)* 2 -0.054 -(0.86) -0.089 -(1.41) -0.08 -(1.27) -0.231 -(3.67)* -0.148 -(2.35)* -0.05 -(0.79) 0.148 (2.35)* -0.062 -(0.98) -0.082 -(1.30) -0.027 -(0.43) -0.002 -(0.03) 0.019 (0.30) 0.025 (0.40) -0.013 -(0.21) -0.03 -(0.48) 3 0.058 (0.92) -0.01 -(0.16) -0.088 -(1.40) -0.027 -(0.43) -0.039 -(0.62) -0.11 -(1.75) -0.019 -(0.30) 0.012 (0.19) 0.056 (0.89) -0.1 -(1.59) -0.01 -(0.16) -0.019 -(0.24) -0.021 -(0.33) 0.039 (0.62) 0.039 (0.62) 4 0.05 (0.79) -0.016 -(0.25) -0.046 -(0.73) 0.082 (1.30) 0.012 (0.19) -0.083 -(1.32) -0.111 -(1.76) -0.022 -(0.35) 0.022 (0.35) -0.009 -(0.14) -0.046 -(0.73) -0.03 -(0.48) -0.001 -(0.02) -0.184 -(2.92)* 0.009 (0.14) 5 0.105 (1.67) -0.071 -(1.13) 0.108 (1.71) -0.068 -(1.08) 0.047 (0.75) -0.062 -(0.98) 0.005 (0.08) -0.071 -(1.13) -0.039 -(0.62) 0.026 (0.41) 0.006 (0.10) -0.025 -(0.40) -0.13 -(2.06)* -0.133 -(2.11)* -0.06 -(0.95)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2001-02 TABLE-2D
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE NIFTY 6 0.091 (1.44) -0.078 -(1.24) 0.063 (1.00) 0.005 (0.08) 0.094 (1.49) -0.012 -(0.19) -0.143 -(2.27)* -0.101 -(1.60) -0.069 -(1.10) -0.023 -(0.37) 0.053 (0.84) 0.036 (0.57) -0.057 -(0.90) -0.063 -(1.00) -0.008 -(0.13) 7 0.001 (0.02) 0.018 (0.29) -0.088 -(1.42) 0.153 (2.47)* 0.083 (1.34) -0.069 -(1.11) -0.017 -(0.27) -0.014 -(0.23) 0.123 (1.98) -0.008 -(0.13) 0.019 (0.31) 0.082 (1.32) -0.01 -(0.16) -0.078 -(1.26) 0.077 (1.24) 8 0.078 (1.26) 0.041 (0.66) -0.018 -(0.29) 0.016 (0.26) 0.056 (0.90) -0.084 -(1.35) -0.06 -(0.97) 0.05 (0.81) 0.112 (1.81) 0.117 (1.89) -0.017 -(0.27) 0.015 (0.24) -0.092 -(1.48) 0.046 (0.74) -0.006 -(0.10) 9 -0.068 -(1.10) -0.057 -(0.92) 0.088 (1.42) -0.089 -(1.44) 0.021 (0.34) 0.076 (1.23) -0.012 -(0.19) -0.111 -(1.79) -0.021 -(0.34) 0.072 (1.16) -0.002 -(0.03) -0.092 -(1.48) -0.007 -(0.11) 0.018 (0.29) -0.073 -(1.18) 10 -0.026 -(0.42) 0.067 (1.08) -0.001 -(0.02) -0.04 -(0.65) 0.014 (0.23) 0.002 (0.03) -0.042 -(0.69) 0.091 (1.47) -0.028 -(0.45) -0.008 -(0.13) 0.102 (1.65) -0.181 -(2.92)* 0.136 (2.19)* 0.075 (1.21) 0.021 (0.34)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2002-03 TABLE-3A
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL 1 0.054 (0.86) -0.016 -(0.25) 0.051 (0.81) 0.108 (1.71) -0.015 -(0.24) 0.04 (0.63) -0.068 -(1.08) 0.019 (0.30) -0.009 -(0.14) -0.031 -(0.49) 0.016 (0.25) -0.033 -(0.52) -0.041 -(0.65) -0.071 -(1.13) 0.098 (1.56) 2 -0.082 -(1.30) -0.029 -(0.46) 0.037 (0.59) 0.062 (0.98) -0.024 -(0.38) 0.05 (0.79) -0.022 -(0.35) -0.034 -(0.54) 0.016 (0.25) 0.083 (1.32) 0.061 (0.97) -0.077 -(1.13) -0.042 -(0.67) -0.046 -(0.73) -0.113 -(1.79) 3 0.03 (0.48) -0.002 -(0.03) 0.062 (1.00) 0.013 (0.21) 0.024 (0.39) -0.11 -(1.77) -0.129 -(2.08)* -0.081 -(1.31) 0.011 (0.18) -0.134 -(2.16)* -0.036 -(0.58) 0.021 (0.34) -0.068 -(1.10) 0.019 (0.31) -0.011 -(0.18) 4 -0.04 -(0.65) 0.02 (0.32) -0.042 -(0.68) -0.072 -(1.16) -0.025 -(0.40) -0.009 -(0.15) -0.057 -(0.92) 0.075 (1.21) 0.065 (1.05) 0.029 (0.47) 0.005 (0.08) 0.007 (0.11) 0.028 (0.45) 0.018 (0.29) -0.063 -(1.02) 5 0.031 (0.50) 0.047 (0.76) -0.081 -(1.31) -0.02 -(0.32) 0.117 (1.89) -0.11 -(1.77) 0.043 (0.69) -0.013 -(0.21) 0.005 (0.08) -0.074 -(1.19) 0.129 (2.08)* -0.047 -(0.76) -0.073 -(1.18) 0.101 (1.63) -0.085 -(1.37)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2002-03 TABLE-3B
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL 6 -0.008 -(0.13) 0.013 (0.21) -0.05 -(0.81) -0.054 -(0.87) -0.064 -(1.03) 0 (0.00) -0.009 -(0.15) -0.02 -(0.32) -0.084 -(1.35) 0.075 (1.21) 0.017 (0.27) -0.091 -(1.47) 0.009 (0.15) -0.013 -(0.21) 0.047 (0.76) 7 -0.013 -(0.21) -0.014 -(0.23) 0.037 (0.60) -0.02 -(0.32) -0.007 -(0.11) 0.079 (1.27) 0.013 (0.21) -0.033 -(0.53) 0.002 (0.03) 0.058 (0.94) -0.057 -(0.92) 0.045 (0.73) 0.039 (0.63) 0 (0.00) 0.102 (1.65) 8 -0.079 -(1.27) -0.086 -(1.39) -0.043 -(0.69) 0.08 (1.29) 0.003 (0.05) 0.1 (1.61) -0.056 -(0.90) 0.059 (0.95) 0.021 (0.34) 0.069 (1.11) -0.136 -(2.19)* 0.056 (0.90) -0.05 -(0.81) -0.021 -(0.34) -0.072 -(1.16) 9 0.001 (0.02) 0.067 (1.08) 0.043 (0.69) -0.075 -(1.21) 0.057 (0.92) -0.48 -(0.77) 0.024 (0.39) 0.063 (1.02) 0.002 (0.03) 0.012 (0.19) -0.042 -(0.68) 0.029 (0.47) 0.026 (0.42) 0.076 (1.23) -0.018 -(0.29) 10 0.087 (1.40) -0.009 -(0.15) 0.008 (0.13) -0.06 -(0.97) 0.01 (0.16) -0.013 -(0.21) -0.044 -(0.71) -0.087 -(1.40) -0.006 -(0.10) -0.098 -(1.58) -0.101 -(1.63) -0.028 -(0.45) 0 (0.00) -0.032 -(0.52) 0.022 (0.35)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2002-03 TABLE-3C
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE NIFTY 1 0.106 (1.68) 0.011 (0.17) -0.088 -(1.40) 0.08 (1.27) 0.093 (1.48) -0.044 -(0.70) 0.009 (0.14) -0.03 -(0.48) -0.086 -(1.37) 0.075 (1.19) 0.024 (0.38) 0.127 (2.02)* -0.138 -(2.19)* -0.004 -(0.06) 0.034 (0.54) 2 0.01 (0.16) -0.16 -(2.54)* 0.024 (0.38) 0.002 (0.03) -0.258 -(4.10)* -0.111 -(1.76) 0.038 (0.60) -0.06 -(0.95) -0.016 -(0.25) -0.036 -(0.57) -0.077 -(1.22) -0.093 -(1.48) -0.07 -(1.11) -0.052 -(0.83) -0.031 -(0.49) 3 0.016 (0.26) -0.02 -(0.32) -0.021 -(0.34) -0.068 -(1.10) 0.01 (0.16) 0.005 (0.08) -0.08 -(1.29) 0.12 (1.94) 0.074 (1.19) 0.175 (2.82)* -0.062 -(1.00) -0.037 -(0.60) -0.022 -(0.35) 0.041 (0.66) 0.021 (0.34) 4 0.089 (1.44) 0.124 (2.00)* -0.004 -(0.06) 0.09 (1.45) 0.121 (1.95) -0.059 -(0.95) -0.057 -(0.92) 0.037 (0.60) 0.049 (0.79) 0.012 (0.19) 0.069 (1.11) -0.046 -(0.74) 0 (0.00) -0.009 -(0.15) 0.138 (2.23)* 5 -0.008 -(0.13) 0.005 (0.08) 0.012 (0.19) -0.09 -(1.45) 0.007 (0.11) -0.031 -(0.50) -0.021 -(0.34) 0.034 (0.55) 0.041 (0.66) 0.098 (1.58) 0.171 (2.76)* -0.027 -(0.44) 0.113 (1.82) 0.062 (1.00) 0.06 (0.97)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2002-03 TABLE-3D
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE NIFTY -0.116 -(1.87) -0.094 -(1.52) 0.041 (0.66) 0.023 (0.37) -0.124 -(2.00)* 0.061 (0.98) -0.078 -(1.26) -0.108 -(1.74) -0.082 -(1.32) 0.007 (0.11) -0.036 -(0.58) -0.038 -(0.61) 0.005 (0.08) -0.049 -(0.79) -0.073 -(1.18) -0.121 -(1.95) -0.037 -(0.60) -0.154 -(2.48)* -0.084 -(1.35) -0.119 -(1.92) 0.03 (0.48) 0.019 (0.31) -0.095 -(1.53) -0.028 -(0.45) 0.058 (0.94) 0.033 -(0.53) -0.062 -(1.00) -0.079 -(1.27) -0.074 -(1.19) -0.084 -(1.35) -0.064 -(1.03) 0.007 (0.11) 0.078 (1.26) 0.029 (0.47) 0.056 (0.90) 0.069 (1.11) 0.017 (0.27) 0.115 (1.85) 0.071 (1.15) 0.126 (2.03)* 0.043 (0.69) 0.034 (0.55) -0.014 -(0.23) 0.028 (0.45) 0.041 (0.66) -0.048 -(0.77) -0.023 -(0.37) -0.033 -(0.53) -0.023 -(0.37) 0.012 (0.19) 0.006 (0.10) 0.029 (0.47) 0.005 (0.08) -0.102 -(1.65) -0.03 -(0.48) 0.009 (0.15) 0.082 (1.32) -0.02 -(0.32) 0.052 (0.84) 0.03 (0.48) -0.16 -(2.58)* -0.009 -(0.15) 0.027 (0.44) 0.067 (1.08) -0.042 -(0.68) -0.083 -(1.34) 0.002 (0.03) -0.003 -(0.05) 0.071 (1.15) 0.031 (0.50) -0.039 -(0.63) 0.102 (1.65) 0.056 (0.90) -0.069 -(1.11) -0.076 -(1.23) 6 7 8 9 10

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2003-04 TABLE-4A
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL -0.134 -(2.16) 0.034 (0.55) -0.043 -(0.69) 0.023 (0.37) 0.033 (0.53) 0.07 (1.13) 0.032 (0.52) 0.005 (0.08) 0.065 (1.05) -0.027 -(0.44) 0.149 (2.40) -0.032 -(0.52) -0.031 -(0.50) 0.106 (1.71) 0.033 (2.15) -0.071 -(1.15) -0.126 -(2.03) -0.006 -(0.10) -0.107 -(1.73) -0.059 -(0.95) 0.04 (0.65) -0.162 -(2.61) -0.058 -(0.94) -0.051 -(0.82) -0.016 -(0.26) -0.069 -(1.11) -0.059 -(0.95) -0.116 -(1.87) -0.043 -(0.69) -0.062 -(1.00) 0.012 (0.19) 0.026 (0.42) 0.099 (1.60) -0.021 -(0.34) -0.007 -(0.11) -0.054 -(0.87) -0.006 -(0.10) -0.053 -(0.85) -0.05 -(0.81) -0.018 -(0.29) 0.009 (0.15) 0.13 (2.10) -0.075 -(1.21) -0.109 -(1.76) -0.028 -(0.45) 0.054 (0.87) -0.014 -(0.23) 0.005 (0.08) 0.03 (0.48) 0.056 (0.90) 0.011 (0.18) -0.002 -(0.03) 0.027 (0.44) 0.018 (0.29) -0.05 -(0.81) 0.033 (0.53) -0.112 -(1.81) -0.088 -(1.42) 0.004 (0.06) -0.031 -(0.50) -0.063 -(1.02) 0.043 (0.69) 0.054 (0.87) -0.013 -(0.21) -0.032 -(0.52) -0.064 -(1.03) -0.062 -(1.00) 0.037 (0.60) -0.094 -(1.52) -0.082 -(1.32) 0.014 (0.23) -0.041 -(0.66) 0.013 (0.21) 0.033 (0.53) 0.031 (0.50) 1 2 3 4 5

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2003-04 TABLE-4B
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL -0.103 -(1.66) -0.079 -(1.27) -0.146 -(2.35)* -0.108 -(1.74) -0.046 -(0.74) -0.017 -(0.27) 0.021 (0.34) -0.073 -(1.18) 0.035 (0.56) -0.109 -(1.76) -0.08 -(1.29) 0.076 (1.23) 0.02 (0.32) 0.046 (0.74) 0.022 (0.35) 0.039 (0.63) 0.008 (0.13) 0 (0.00) 0.002 (0.03) 0.003 (0.05) 0.013 (0.21) -0.005 -(0.08) 0.008 (0.13) 0.015 (0.24) -0.024 -(0.39) -0.098 -(1.58) -0.042 -(0.68) 0.04 (0.65) -0.025 -(0.40) 0.042 (0.68) 0.03 (0.48) 0.001 (0.02) 0.096 (1.55) 0.025 (0.40) -0.051 -(0.82) -0.007 -(0.11) 0.088 (1.42) 0.071 (1.15) 0.003 (0.05) 0.055 (0.89) -0.087 -(1.40) -0.071 -(1.15) -0.044 -(0.06) -0.042 -(0.68) -0.015 -(0.24) -0.021 -(0.34) -0.066 -(1.08) -0.057 -(0.93) 0.016 (0.26) -0.108 -(1.77) -0.005 -(0.08) 0.12 (1.97) 0.076 (1.25) 0.038 (0.62) 0.041 (0.67) -0.037 -(0.61) 0.001 (0.02) -0.022 -(0.36) -0.031 -(0.51) 0.082 (1.34) -0.041 -(0.67) -0.095 -(1.56) 0.013 (0.21) -0.092 -(1.51) -0.061 -(1.00) -0.059 -(0.97) 0.022 (0.36) 0.087 (1.43) 0.019 (0.31) 0.004 (0.07) -0.025 -(0.41) -0.052 -(0.85) 0.024 (0.39) -0.015 -(0.25) -0.013 -(0.21) 6 7 8 9 10

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2003-04 TABLE-4C
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE NIFTY 1 0.029 (0.47) 0.116 (1.87) 0.015 (0.24) 0.041 (0.66) 0.168 (2.71)* 0.119 (1.92) 0.007 (0.11) 0.022 (0.35) 0.038 (0.61) 0.167 (2.69)* -0.001 -(0.02) 0.123 (1.98) 0.086 (1.39) -0.056 -(0.90) 0.143 (2.31)* 2 -0.034 -(0.55) -0.06 -(0.97) -0.058 -(0.94) -0.107 -(1.73) -0.069 -(1.11) 0.008 (0.13) -0.051 -(0.82) -0.065 -(1.05) -0.075 -(1.21) -0.171 -(2.76)* -0.053 -(0.85) -0.05 -(0.81) -0.044 -(0.71) -0.003 -(0.05) -0.045 -(0.73) 3 -0.094 -(1.52) -0.077 -(1.24) 0.085 (1.37) 0.049 (0.79) 0.028 (0.45) 0.12 (1.94) 0.032 (0.52) -0.031 -(0.50) 0.097 (1.56) 0.08 (1.29) -0.006 -(0.10) -0.009 -(0.15) 0.049 (0.79) -0.079 -(1.27) 0.055 (0.89) 4 -0.06 -(0.97) -0.081 -(1.31) 0.048 (0.77) 0.093 (1.50) 0.056 (0.90) 0.069 (1.11) 0.055 (0.89) -0.057 -(0.92) -0.055 -(0.89) 0.164 (2.66)* 0.035 (0.56) -0.012 -(0.19) -0.016 -(0.26) 0.024 (0.39) 0.05 (0.81) 5 -0.039 -(0.63) -0.009 -(0.15) 0.098 (1.58) -0.034 -(0.55) -0.071 -(1.15) -0.051 -(0.82) 0.041 (0.66) -0.076 -(1.23) -0.027 -(0.44) -0.092 -(1.48) 0.077 (1.24) 0.027 (0.44) 0.015 (0.24) -0.009 -(0.15) 0.026 (0.42)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2003-04 TABLE-4D
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE NIFTY 6 0.003 (0.05) -0.058 -(0.94) -0.119 -(1.92) -0.069 -(1.11) 0.025 (0.40) 0.06 (0.97) -0.082 -(1.32) -0.05 -(0.81) -0.067 -(1.08) -0.09 -(1.45) -0.038 -(0.61) -0.088 -(1.42) -0.074 -(1.19) -0.02 -(0.32) -0.065 -(1.05) 7 0.031 (0.50) 0.015 (0.24) 0.068 (1.10) 0.07 (1.13) 0.081 (1.31) -0.077 -(1.24) -0.007 -(0.11) -0.039 -(0.63) 0.098 (1.58) 0.116 (1.87) 0.03 (0.48) 0.011 (0.18) -0.036 -(0.58) 0.016 (0.26) 0.004 (0.06) 8 0.041 (0.66) 0.02 (0.32) -0.014 -(0.23) -0.013 -(0.21) 0.043 (0.69) -0.027 -(0.44) -0.014 -(0.23) -0.004 -(0.06) 0.006 (0.10) -0.037 -(0.60) -0.014 -(0.23) -0.011 -(0.18) 0.083 (1.34) -0.005 -(0.08) -0.001 -(0.02) 9 -0.061 -(1.00) -0.013 -(0.21) -0.183 -(3.00)* -0.127 -(2.08)* -0.108 -(1.77) 0.084 (1.38) -0.055 -(0.90) -0.091 -(1.49) 0.013 (0.21) -0.214 -(3.51)* 0.039 (0.64) -0.023 -(0.38) -0.059 -(0.97) -0.017 -(0.28) -0.082 -(1.34) 10 -0.1 -(1.64) -0.054 -(0.89) 0.007 (0.11) -0.052 -(0.85) -0.108 -(1.77) -0.07 -(1.15) 0.015 (0.25) 0.014 -(0.23) 0.073 (1.20) -0.102 -(1.67) -0.027 -(0.44) -0.056 -(0.92) -0.077 -(1.26) -0.018 -(0.30) -0.065 -(1.07)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2004-05 TABLE-5A
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL 1 0.239 (3.85)* -0.032 -(0.52) -0.017 -(0.27) 0.053 (0.85) 0.008 (0.13) 0.085 (1.37) -0.05 -(0.81) 0.066 (1.06) -0.032 -(0.52) 0.119 (1.92) 0.058 (0.94) -0.254 -(4.10)* -0.052 -(0.84) 0.162 (2.61)* -0.043 -(0.69) 2 0.136 (2.19)* -0.175 -(2.82)* -0.056 -(0.90) -0.25 -(4.03) -0.046 -(0.74) -0.059 -(0.95) 0.025 (0.40) -0.138 -(2.23)* -0.09 -(1.45) -0.146 -(2.35)* -0.21 -(3.39) -0.054 -(0.87) -0.096 -(1.55) 0.06 (0.97) -0.003 -(0.05) 3 0.111 (1.79) -0.091 -(1.47) 0 (0.00) -0.014 -(0.23) 0.185 (2.98)* -0.028 -(0.45) 0.094 (1.52) 0.076 (1.23) -0.063 -(1.02) 0.051 (0.82) 0.029 (0.47) 0.081 (1.31) 0.179 (2.89)* 0.129 (2.08)* -0.01 -(0.16) 4 0.097 (1.56) 0.18 (2.90)* 0.015 (0.24) 0.081 (1.31) 0.037 (0.60) 0.18 (2.90)* 0.013 (0.21) -0.003 -(0.05) 0.071 (1.15) 0.133 (2.15)* 0.152 (2.45) -0.012 -(0.19) -0.042 -(0.68) -0.03 -(0.48) 0.034 (0.55) 5 0.007 (0.11) -0.065 -(1.05) 0.021 (0.34) 0.002 (0.03) -0.033 -(0.53) -0.028 -(0.45) -0.038 -(0.61) -0.074 -(1.19) -0.036 -(0.58) 0.008 (0.13) 0.007 (0.11) -0.085 -(1.37) -0.216 -(3.48)* -0.061 -(0.98) 0.035 (0.56)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2004-05 TABLE-5B
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL 6 0.025 (0.40) -0.02 -(0.32) -0.066 -(1.06) 0.002 (0.03) 0.017 (0.27) -0.029 -(0.47) 0.007 (0.11) -0.07 -(1.13) -0.031 -(0.50) -0.039 -(0.63) 0.001 (0.02) 0.002 (0.03) -0.018 -(0.29) -0.042 -(0.68) -0.024 -(0.39) 7 -0.039 -(0.63) 0.099 (1.60) 0.018 (0.29) 0.016 (0.26) 0.002 (0.03) -0.081 -(1.31) -0.026 -(0.42) 0.003 (0.05) 0.005 (0.08) 0.041 (0.66) -0.021 -(0.34) 0 (0.00) 0.006 (0.10) -0.022 -(0.35) -0.018 -(0.29) 8 -0.088 -(1.42) -0.069 -(1.11) -0.084 -(1.35) -0.07 -(1.13) -0.129 -(2.08)* -0.039 -(0.63) -0.016 -(0.26) 0.021 (0.34) -0.041 -(0.66) -0.011 -(0.18) -0.128 -(2.06)* -0.055 -(0.89) -0.122 -(1.97) -0.06 -(0.97) -0.04 -(0.65) 9 -0.007 -(0.11) -0.04 -(0.66) -0.029 -(0.48) -0.026 -(0.43) -0.015 -(0.25) 0.069 (1.13) 0.012 (0.20) -0.116 -(1.90) -0.055 -(0.90) -0.037 -(0.61) 0.032 (0.52) -0.017 -(0.28) 0.061 (1.00) -0.084 -(1.38) -0.034 -(0.56) 10 0.036 (0.59) 0.224 (3.67)* 0.033 (0.54) 0.164 (2.69)* 0.086 (1.41) 0.01 (0.16) 0.023 (0.38) -0.022 -(0.36) -1 (2.16)* 0.022 (0.36) 0.121 (1.98) 0.091 (1.49) 0.035 (0.57) 0.091 (1.49) -0.071 -(1.16)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2004-05 TABLE-5C
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE NIFTY 1 0.044 (0.71) -0.066 -(1.06) -0.019 -(0.31) 0.109 (1.76) 0.116 (1.87) 0.207 (3.34)* 0.062 (1.00) -0.092 -(1.48) 0.081 (1.31) 0.073 (1.18) 0.081 (1.31) -0.074 -(1.19) 0.02 (0.32) -0.15 -(2.42)* 0.084 (1.35) 2 -0.167 -(2.69)* -0.102 -(1.65) -0.103 -(1.66) -0.186 -(3.00)* -0.146 -(2.35)* 0 (0.00) -0.197 -(3.18)* -0.072 -(1.16) -0.106 -(1.71) -0.096 -(1.55) -0.115 -(1.85) 0.008 (0.13) -0.055 -(0.89) -0.049 -(0.79) -0.243 -(3.92)* 3 0.007 (0.11) -0.04 -(0.65) 0.091 (1.47) -0.089 -(1.44) -0.028 -(0.45) 0.004 (0.06) -0.013 -(0.21) 0.01 (0.16) -0.029 -(0.47) 0.018 (0.29) 0.033 (0.53) 0.029 (0.47) -0.013 -(0.21) 0.013 (0.21) 0.067 (1.08) 4 -0.003 -(0.05) 0.041 (0.66) 0.134 (2.16)* 0.028 (0.45) 0.039 (0.63) 0.09 (1.45) 0.101 (1.63) -0.004 -(0.06) 0.085 (1.37) 0.021 (0.34) 0.147 (2.37)* 0.111 (1.79) 0.035 (0.56) -0.047 -(0.76) 0.153 (2.47)* 5 -0.078 -(1.26) -0.101 -(1.63) -0.042 -(0.68) -0.005 -(0.08) -0.143 -(2.31)* 0.029 (0.47) -0.004 -(0.06) 0.001 (0.02) -0.031 -(0.50) -0.085 -(1.37) -0.064 -(1.03) -0.066 -(1.06) -0.028 -(0.45) -0.017 -(0.27) -0.098 -(1.58)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEAR 2004-05 TABLE-5D
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE NIFTY 6 -0.041 -(0.66) -0.113 -(1.82) -0.059 -(0.95) -0.075 -(1.21) -0.074 -(1.19) 0.012 (0.19) -0.069 -(1.11) -0.001 -(0.02) -0.101 -(1.63) -0.09 -(1.45) -0.05 -(0.81) -0.032 -(0.52) -0.002 -(0.03) -0.028 -(0.45) -0.086 -(1.39) 7 -0.002 -(0.03) 0.044 (0.71) 0.023 (0.37) -0.074 -(1.19) -0.138 -(2.23)* 0.032 (0.52) -0.075 -(1.21) 0.063 (1.02) -0.076 -(1.23) -0.053 -(0.85) -0.058 -(0.94) 0.038 (0.61) 0.016 (0.26) 0.043 (0.69) -0.052 -(0.84) 8 -0.068 -(1.10) -0.038 -(0.61) -0.11 -(1.77) 0.031 (0.50) 0.019 (0.31) -0.026 -(0.42) 0.087 (1.40) -0.088 -(1.42) -0.044 -(0.71) -0.072 -(1.16) 0.029 (0.47) -0.041 -(0.66) -0.025 -(0.40) -0.039 -(0.63) -0.075 -(1.21) 9 0.114 (1.87) 0.128 (2.10)* -0.007 -(0.11) 0.093 (1.52) 0.097 (1.59) 0.034 (0.56) 0.041 (0.67) -0.039 -(0.64) 0.054 (0.89) 0.002 (0.03) 0.016 (0.26) 0.047 (0.77) -0.043 -(0.70) 0.076 (1.25) 0.073 (1.20) 10 0.231 (3.79)* 0.005 (0.08) 0.047 (0.77) 0.113 (1.85) 0.214 (3.51)* -0.05 -(0.82) 0.064 (1.05) 0.025 (0.41) 0.197 (3.23)* 0.069 (1.13) 0.208 (3.41)* -0.029 -(0.48) -0.026 -(0.43) 0.046 (0.75) 0.228 (3.74)*

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEARS 2000-2005 TABLE-6A
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL 1 0.066 (2.36)* 0.014 (0.50) 0.028 (1.00) 0.051 (1.82) 0.043 (1.54) 0.091 (3.25)* -0.004 -(0.14) 0.028 (1.00) 0.014 (0.50) 0.057 (2.04)* 0.057 (2.04)* -0.117 -(4.18)* -0.034 -(1.21) 0.089 (3.18)* 0.047 (1.68) 2 -0.011 -(0.39) -0.053 -(1.89) -0.022 -(0.79) -0.106 -(3.79) -0.001 -(0.04) -0.01 -(0.36) -0.067 -(2.39)* -0.072 -(2.57)* -0.048 -(1.71) 0.007 (0.25) 0.007 (0.25) -0.078 -(2.79)* -0.104 -(3.71)* -0.051 -(1.82) -0.091 -(3.25)* 3 0.008 (0.29) -0.05 -(1.79) -0.015 -(0.54) 0.007 (0.25) 0.077 (2.75)* -0.052 -(1.86) 0.043 (1.54) -0.009 -(0.32) -0.052 -(1.86) -0.038 -(1.36) -0.038 -(1.36) 0.033 (1.18) -0.039 -(1.39) -0.005 -(0.18) -0.055 -(1.96) 4 0.061 (2.18)* 0.049 (1.75) 0.014 (0.50) 0.031 (1.11) -0.02 -(0.71) 0.046 (1.64) -0.021 -(0.75) 0.001 (0.04) 0.003 (0.11) 0.005 (0.18) 0.005 (0.18) -0.037 -(1.32) -0.005 -(0.18) -0.014 -(0.50) 0.005 (0.18) 5 -0.002 -(0.07) -0.026 -(0.93) 0.054 (1.93) -0.015 -(0.54) -0.004 -(0.14) 0.015 (0.54) -0.007 -(0.25) -0.018 -(0.64) -0.031 -(1.11) -0.079 -(2.82)* -0.079 -(2.82)* -0.02 -(0.71) -0.066 -(2.36)* 0.002 (0.07) -0.037 -(1.32)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEARS 2000-2005 TABLE-6B
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL 6 -0.039 -(1.39) 0.023 (0.82) 0.004 (0.14) -0.055 -(1.96) -0.025 -(0.89) -0.043 -(1.54) 0.031 (1.11) -0.053 -(1.89) -0.032 -(1.14) 0.007 (0.25) 0.007 (0.25) 0.004 (0.14) -0.005 -(0.18) 0.015 (0.54) 0.001 (0.04) 7 0.028 (1.00) 0.008 (0.29) 0.025 (0.89) 0.047 (1.68) -0.019 -(0.68) 0.013 (0.46) 0.006 (0.21) 0.013 (0.46) -0.071 -(2.54)* 0.022 (0.79) 0.022 (0.79) 0.011 (0.39) -0.024 -(0.86) -0.018 -(0.64) 0.024 (0.86) 8 -0.042 -(1.50) 0.068 (2.43)* 0.035 (1.25) 0.015 (0.54) -0.022 -(0.79) -0.015 -(0.54) 0.027 (0.96) 0.034 (1.21) 0.018 (0.64) 0.041 (1.46) 0.041 (1.46) -0.023 -(0.82) -0.013 -(0.46) -0.003 -(0.11) 0.002 (0.07) 9 0.023 (0.82) -0.027 -(0.96) 0.005 (0.18) -0.03 -(1.07) -0.004 -(0.14) 0.005 (0.18) 0.06 (2.14)* -0.016 -(0.57) 0.058 (2.07)* 0.005 (0.18) 0.005 (0.18) -0.033 -(1.18) -0.003 -(0.11) 0.03 (1.07) 0.071 (2.54)* 10 -0.001 -(0.04) 0.003 (0.11) 0.017 (0.61) 0.019 (0.68) -0.003 -(0.11) 0.038 (1.36) 0.024 (0.86) 0.04 (1.43) 0.011 (0.39) -0.015 -(0.54) -0.015 -(0.54) 0.015 (0.54) 0.033 (1.18) 0.007 (0.25) -0.023 -(0.82)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEARS 2000-2005 TABLE-6C
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL 11 0.032 (1.14) -0.028 -(1.00) -0.005 -(0.18) -0.017 -(0.61) -0.019 -(0.68) -0.059 -(2.11)* -0.026 -(0.93) 0.021 (0.75) -0.023 -(0.82) -0.017 -(0.61) -0.017 -(0.61) 0 (0.00) 0.012 (0.43) 0.026 (0.93) -0.016 -(0.57) 12 -0.044 -(1.57) 0.005 (0.18) -0.001 -(0.04) -0.004 -(0.14) -0.039 -(1.39) 0.012 (0.43) -0.013 -(0.46) -0.08 -(2.86)* -0.051 -(1.82) -0.096 -(3.43)* -0.096 -(3.43)* -0.039 -(1.39) -0.061 -(2.18)* -0.064 -(2.29)* -0.033 -(1.18) 13 -0.02 -(0.71) 0.003 (0.11) -0.003 -(0.11) -0.001 -(0.04) -0.028 -(1.00) -0.013 -(0.46) -0.051 -(1.82) 0.009 (0.32) 0.001 (0.04) -0.009 -(0.32) -0.009 -(0.32) -0.034 -(1.21) -0.001 -(0.04) -0.038 -(1.36) -0.006 -(0.21) 14 0.038 (1.36) 0.052 (1.86) 0.003 (0.11) 0.015 (0.54) 0.033 (1.18) 0.003 (0.11) -0.001 -(0.04) 0.014 (0.50) 0.021 (0.75) 0.005 (0.18) 0.005 (0.18) -0.006 -(0.21) 0.061 (2.18)* 0.051 (1.82) -0.005 -(0.18) 15 0.014 (0.50) -0.014 -(0.50) -0.003 -(0.11) -0.008 -(0.29) -0.01 -(0.36) 0.015 (0.54) -0.027 -(0.96) 0.009 (0.32) 0.051 (1.82) 0.031 (1.11) 0.031 (1.11) -0.024 -(0.86) -0.033 -(1.18) 0.018 (0.64) 0.073 (2.61)*

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEARS 2000-2005 TABLE-6D
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL 16 -0.006 -(0.21) -0.008 -(0.29) 0.013 (0.46) -0.035 -(1.25) -0.061 -(2.18)* -0.039 -(1.39) 0.001 (0.04) 0.017 (0.61) 0.02 (0.71) 0 (0.00) 0 (0.00) 0.033 (1.18) -0.008 -(0.29) 0.004 (0.14) -0.013 -(0.46) 17 -0.006 -(0.21) 0.006 (0.21) 0.061 (2.18)* 0.048 (1.71) -0.039 -(1.39) 0.048 (1.71) 0.053 (1.89) 0.01 (0.36) -0.008 -(0.29) 0.053 (1.89) 0.053 (1.89) -0.015 -(0.54) 0.032 (1.14) 0.043 (1.54) 0.014 (0.50) 18 0.017 (0.61) -0.04 -(1.43) -0.002 -(0.07) 0.021 (0.75) 0.027 (0.96) -0.043 -(1.54) 0.008 (0.29) -0.014 -(0.50) -0.046 -(1.64) 0.021 (0.75) 0.021 (0.75) -0.027 -(0.96) -0.042 -(1.50) 0.006 (0.21) -0.023 -(0.82) 19 0.011 (0.39) -0.038 -(1.36) 0.012 (0.43) 0.001 (0.04) 0.02 (0.71) -0.001 -(0.04) -0.009 -(0.32) -0.04 -(1.43) 0.03 (1.07) 0.041 (1.46) 0.041 (1.46) 0.023 (0.82) -0.028 -(1.00) 0.011 (0.39) 0.009 (0.32) 20 -0.006 -(0.21) 0.022 (0.79) -0.015 -(0.54) -0.049 -(1.75) -0.01 -(0.36) -0.042 -(1.50) 0.002 (0.07) -0.046 -(1.64) 0.018 (0.64) -0.015 -(0.54) -0.015 -(0.54) -0.028 -(1.00) 0.017 (0.61) -0.014 -(0.50) 0 (0.00)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEARS 2000-2005 TABLE-6E
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL 21 -0.01 -(0.36) 0.019 (0.68) -0.018 -(0.64) 0.004 (0.14) 0.003 (0.11) 0.004 (0.14) -0.043 -(1.54) 0.043 (1.54) -0.004 -(0.14) -0.013 -(0.46) -0.013 -(0.46) -0.028 -(1.00) 0.003 (0.11) 0.035 (1.25) -0.05 -(1.79) 22 -0.024 -(0.86) 0.031 (1.11) 0.011 (0.39) 0.025 (0.89) -0.012 -(0.43) 0.011 (0.39) -0.007 -(0.25) 0.017 (0.61) -0.012 -(0.43) -0.003 -(0.11) -0.003 -(0.11) 0.03 (1.07) 0.032 (1.14) -0.014 -(0.50) -0.003 -(0.11) 23 -0.001 -(0.04) -0.007 -(0.25) 0.005 (0.18) -0.021 -(0.75) 0.002 (0.07) -0.016 -(0.57) -0.082 -(2.93)* -0.026 -(0.93) 0.093 (3.32)* -0.04 -(1.43) -0.04 -(1.43) -0.02 -(0.71) 0.005 (0.18) 0.031 (1.11) 0.052 (1.86) 24 -0.026 -(0.93) 0.001 (0.04) 0.048 (1.71) -0.031 -(1.11) 0.013 (0.46) 0.017 (0.61) -0.016 -(0.57) 0.015 (0.54) 0.066 (2.36)* 0.013 (0.46) 0.013 (0.46) 0.029 (1.04) 0.063 (2.25)* -0.022 -(0.79) 0.009 (0.32) 25 -0.068 -(2.43)* -0.006 -(0.21) -0.042 -(1.50) -0.044 -(1.57) -0.03 -(1.07) 0 (0.00) 0.041 (1.46) 0.005 (0.18) -0.011 -(0.39) -0.005 -(0.18) -0.005 -(0.18) 0.002 (0.07) 0.001 (0.04) -0.005 -(0.18) -0.034 -(1.21)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEARS 2000-2005 TABLE-6F
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL 26 -0.017 -(0.61) 0.012 (0.43) -0.016 -(0.57) -0.011 -(0.39) 0.009 (0.32) -0.03 -(1.07) 0.012 (0.43) 0.023 (0.82) -0.046 -(1.64) -0.014 -(0.50) -0.014 -(0.50) 0.019 (0.68) -0.054 -(1.93) 0.006 (0.21) 0.049 (1.75) 27 -0.064 -(2.29)* 0.007 (0.25) 0.013 (0.46) -0.019 -(0.68) -0.013 -(0.46) -0.008 -(0.29) -0.005 -(0.18) 0.002 (0.07) -0.063 -(2.25)* 0.043 (1.54) 0.043 (1.54) -0.006 -(0.21) -0.02 -(0.71) -0.037 -(1.32) -0.015 -(0.54) 28 -0.012 -(0.43) 0.005 (0.18) -0.007 -(0.25) -0.019 -(0.68) -0.036 -(1.29) -0.078 -(2.79)* -0.023 -(0.82) 0.036 (1.29) -0.016 -(0.57) -0.022 -(0.79) -0.022 -(0.79) -0.016 -(0.57) 0.003 (0.11) -0.02 -(0.71) -0.04 -(1.43) 29 0.016 (0.57) -0.028 -(1.00) -0.05 -(1.79) -0.018 -(0.64) -0.005 -(0.18) -0.029 -(1.04) -0.049 -(1.75) 0.025 (0.89) -0.024 -(0.86) -0.013 -(0.46) -0.013 -(0.46) -0.005 -(0.18) -0.018 -(0.64) -0.011 -(0.39) -0.016 -(0.57) 30 -0.007 -(0.25) -0.045 -(1.61) -0.03 -(1.07) 0.011 (0.39) -0.055 -(1.96) -0.033 -(1.18) 0.016 (0.57) -0.033 -(1.18) 0.028 (1.00) 0.011 (0.39) 0.011 (0.39) -0.031 -(1.11) -0.024 -(0.86) 0.005 (0.18) -0.025 -(0.89)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEARS 2000-2005 TABLE-6G
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE NIFTY 1 0.082 (2.93)* 0.105 (3.75)* 0.014 (0.50) 0.119 (4.25)* 0.129 (4.61)* 0.092 (3.29)* 0.062 (2.21)* 0.064 (2.29)* 0.06 (2.14)* 0.132 (4.71)* 0.029 (1.04) 0.088 (3.14)* 0.059 (2.11)* 0.095 (3.39)* 0.135 (4.82)* 2 -0.098 -(3.50)* -0.085 -(3.04)* -0.086 -(3.07)* -0.098 -(3.50)* -0.12 -(4.29)* -0.045 -(1.61) -0.016 -(0.57) -0.069 -(2.46)* -0.072 -(2.57)* -0.112 -(4.00)* -0.05 -(1.79) -0.038 -(1.36) -0.032 -(1.14) -0.007 -(0.25) -0.096 -(3.43)* 3 -0.026 -(0.93) -0.031 -(1.11) -0.011 -(0.39) -0.044 -(1.57) -0.002 -(0.07) -0.063 -(2.25)** -0.043 -(1.54) -0.029 -(1.04) 0.021 (0.75) -0.019 -(0.68) 0.004 (0.14) -0.041 -(1.46) -0.012 -(0.43) 0.006 (0.21) 0 (0.00) 4 -0.003 -(0.11) -0.013 -(0.46) 0.034 (1.21) 0.009 (0.32) 0.037 (1.32) -0.009 -(0.32) -0.028 -(1.00) -0.005 -(0.18) 0.024 (0.86) 0.076 (2.71)* 0.055 (1.96) -0.022 -(0.79) 0.043 (1.54) -0.064 -(2.29)* 0.072 (2.57)* 5 0.005 (0.18) -0.028 -(1.00) 0.047 (1.68) -0.024 -(0.86) 0.009 (0.32) -0.039 -(1.39) 0.01 (0.36) -0.028 -(1.00) -0.008 -(0.29) 0.037 (1.32) 0.043 (1.54) -0.027 -(0.96) -0.005 -(0.18) -0.048 -(1.71) 0.012 (0.43)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEARS 2000-2005 TABLE-6H
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE NIFTY 6 -0.003 -(0.11) -0.053 -(1.89) -0.025 -(0.89) 0.006 (0.21) -0.017 -(0.61) -0.005 -(0.18) -0.097 -(3.46)* -0.029 -(1.04) -0.079 -(2.82)* -0.053 -(1.89) -0.037 -(1.32) 0.004 (0.14) 0.012 (0.43) -0.033 -(1.18) -0.045 -(1.61) 7 -0.055 -(1.96) -0.016 -(0.57) 0.009 (0.32) 0.044 (1.57) -0.035 -(1.25) -0.014 -(0.50) -0.023 -(0.82) -0.021 -(0.75) 0.023 (0.82) -0.023 -(0.82) -0.024 -(0.86) 0.05 (1.79) 0.007 (0.25) -0.017 -(0.61) -0.022 -(0.79) 8 -0.032 -(1.14) 0.024 (0.86) 0.033 (1.18) 0.02 (0.71) 0.044 (1.57) -0.004 -(0.14) 0.023 (0.82) 0.03 (1.07) 0.047 (1.68) -0.004 -(0.14) 0.021 (0.75) 0.024 (0.86) 0.018 (0.64) 0.01 (0.36) 0.014 (0.50) 9 -0.007 -(0.25) 0.02 (0.71) -0.001 -(0.04) -0.031 -(1.11) 0.024 (0.86) 0.042 (1.50) 0.013 (0.46) -0.022 -(0.79) 0.016 (0.57) 0.057 (2.04)* 0.013 (0.46) 0.009 (0.32) -0.003 -(0.11) 0.047 (1.68) 0.039 (1.39) 10 0 (0.00) -0.007 -(0.25) 0.017 (0.61) 0.008 (0.29) 0.026 (0.93) 0.001 (0.04) -0.005 -(0.18) 0.015 (0.54) 0.068 (2.43)* 0.061 (2.18)* 0.068 (2.43)* -0.056 -(2.00)* 0.018 (0.64) 0.008 (0.29) 0.043 (1.54)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEARS 2000-2005 TABLE-6I
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE NIFTY 11 -0.004 -(0.14) 0.051 (1.82) -0.024 -(0.86) -0.018 -(0.64) -0.004 -(0.14) -0.013 -(0.46) -0.012 -(0.43) 0.02 (0.71) -0.018 -(0.64) -0.003 -(0.11) 0.016 (0.57) -0.036 -(1.29) 0.044 (1.57) -0.031 -(1.11) -0.024 -(0.86) 12 0.026 (0.93) 0.022 (0.79) -0.013 -(0.46) -0.034 -(1.21) -0.015 -(0.54) 0.009 (0.32) 0.008 (0.29) -0.03 -(1.07) -0.045 -(1.61) -0.05 -(1.79) -0.011 -(0.39) -0.023 -(0.82) -0.015 -(0.54) -0.035 -(1.25) -0.053 -(1.89) 13 0.02 (0.71) -0.01 -(0.36) 0.007 (0.25) 0.006 (0.21) 0.024 (0.86) 0.034 (1.21) 0.001 (0.04) -0.005 -(0.18) 0.005 (0.18) -0.007 -(0.25) -0.005 -(0.18) 0.018 (0.64) 0.023 (0.82) -0.019 -(0.68) 0.015 (0.54) 14 -0.009 -(0.32) 0.012 (0.43) -0.041 -(1.46) -0.001 -(0.04) 0.027 (0.96) 0.017 (0.61) 0.022 (0.79) -0.001 -(0.04) -0.004 -(0.14) 0.049 (1.75) 0.014 (0.50) -0.017 -(0.61) 0.021 (0.75) 0.063 (2.25)* 0.045 (1.61) 15 0.015 (0.54) -0.038 -(1.36) -0.008 -(0.29) -0.044 -(1.57) -0.048 -(1.71) -0.044 -(1.57) -0.044 -(1.57) -0.052 -(1.86) -0.028 -(1.00) -0.003 -(0.11) -0.04 -(1.43) 0.026 (0.93) -0.024 -(0.86) 0.04 (1.43) -0.023 -(0.82)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEARS 2000-2005 TABLE-6J
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE NIFTY 16 0.11 (3.93)* -0.004 -(0.14) -0.032 -(1.14) -0.016 -(0.57) -0.042 -(1.50) -0.02 -(0.71) -0.001 -(0.04) -0.02 -(0.71) -0.007 -(0.25) -0.012 -(0.43) -0.021 -(0.75) 0.011 (0.39) -0.035 -(1.25) -0.013 -(0.46) -0.021 -(0.75) 17 0.003 (0.11) -0.026 -(0.93) -0.036 -(1.29) 0.01 (0.36) 0.02 (0.71) 0.016 (0.57) -0.01 -(0.36) 0.064 (2.29)* 0.03 (1.07) -0.029 -(1.04) -0.01 -(0.36) 0.004 (0.14) 0.006 (0.21) -0.019 -(0.68) 0.024 (0.86) 18 -0.064 -(2.29)* 0.046 (1.64) -0.016 -(0.57) -0.015 -(0.54) -0.021 -(0.75) 0.01 (0.36) 0.007 (0.25) 0.049 (1.75) 0.032 (1.14) 0.011 (0.39) 0.036 (1.29) 0.025 (0.89) 0.028 (1.00) -0.006 -(0.21) 0.033 (1.18) 19 0.03 (1.07) -0.053 -(1.89) -0.024 -(0.86) -0.026 -(0.93) 0.023 (0.82) -0.066 -(2.36)* 0.004 (0.14) -0.043 -(1.54) 0.002 (0.07) 0.008 (0.29) 0.017 (0.61) -0.041 -(1.46) -0.024 -(0.86) -0.104 -(3.71)* -0.018 -(0.64) 20 -0.026 -(0.93) -0.086 -(3.07)* 0 (0.00) -0.032 -(1.14) 0.023 (0.82) 0.005 (0.18) -0.031 -(1.11) -0.074 -(2.64)* -0.033 -(1.18) -0.004 -(0.14) -0.024 -(0.86) 0.014 (0.50) -0.048 -(1.71) -0.073 -(2.61)* -0.06 -(2.14)*

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEARS 2000-2005 TABLE-6K
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE NIFTY 21 -0.024 -(0.86) 0.036 (1.29) 0.021 (0.75) -0.03 -(1.07) 0.001 (0.04) 0.048 (1.71) 0.004 (0.14) 0.034 (1.21) -0.029 -(1.04) 0.014 (0.50) 0.072 (2.57)* 0.008 (0.29) 0.047 (1.68) 0.009 (0.32) 0.025 (0.89) 22 0.007 (0.25) -0.007 -(0.25) 0.014 (0.50) -0.016 -(0.57) 0.015 (0.54) 0.022 (0.79) -0.009 -(0.32) 0.019 (0.68) -0.002 -(0.07) -0.002 -(0.07) 0.003 (0.11) 0.004 (0.14) -0.003 -(0.11) 0.052 (1.86) 0.017 (0.61) 23 0.006 (0.21) 0.046 (1.64) 0.017 (0.61) 0.028 (1.00) 0.012 (0.43) 0.034 (1.21) 0.021 (0.75) 0.09 (3.21)* -0.014 -(0.50) 0.05 (1.79) -0.04 -(1.43) 0.027 (0.96) 0.007 (0.25) 0.047 (1.68) 0.042 (1.50) 24 -0.024 -(0.86) 0.05 (1.79) 0.015 (0.54) 0.018 (0.64) 0.043 (1.54) -0.003 -(0.11) 0.078 (2.79)* 0.051 (1.82) 0.024 (0.86) -0.015 -(0.54) -0.018 -(0.64) 0.006 (0.21) 0.021 (0.75) 0.012 (0.43) 0.061 (2.18)* 25 -0.002 -(0.07) -0.026 -(0.93) -0.034 -(1.21) 0.008 (0.29) -0.044 -(1.57) 0.006 (0.21) 0.015 (0.54) -0.043 -(1.54) 0.036 (1.29) -0.01 -(0.36) -0.022 -(0.79) 0.008 (0.29) -0.015 -(0.54) 0.05 (1.79) -0.017 -(0.61)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION OF 29 COMPANIES AND NIFTY FOR THE YEARS 2000-2005 TABLE-6L
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE NIFTY 26 0.025 (0.89) 0.015 (0.54) -0.042 -(1.50) -0.04 -(1.43) -0.063 -(2.25)* -0.083 -(2.96)* -0.018 -(0.64) -0.025 -(0.89) -0.01 -(0.36) 0.03 (1.07) 0.034 (1.21) -0.004 -(0.14) -0.009 -(0.32) -0.015 -(0.54) -0.028 -(1.00) 27 0 (0.00) 0.04 (1.43) -0.036 -(1.29) -0.002 -(0.07) 0.046 (1.64) -0.06 -(2.14)* 0.015 (0.54) 0.007 (0.25) -0.014 -(0.50) 0.051 (1.82) 0.019 (0.68) -0.006 -(0.21) 0.001 (0.04) -0.008 -(0.29) -0.003 -(0.11) 28 -0.017 -(0.61) -0.041 -(1.46) -0.002 -(0.07) -0.004 -(0.14) 0.028 (1.00) -0.048 -(1.71) -0.015 -(0.54) -0.001 -(0.04) -0.015 -(0.54) -0.018 -(0.64) 0.03 (1.07) -0.043 -(1.54) 0.046 (1.64) 0 (0.00) -0.035 -(1.25) 29 -0.037 -(1.32) -0.057 -(2.04)* 0.054 (1.93) 0.035 (1.25) -0.062 -(2.21)* 0.014 (0.50) -0.035 -(1.25) -0.002 -(0.07) -0.057 -(2.04)* -0.058 -(2.07)* -0.013 -(0.46) -0.003 -(0.11) -0.081 -(2.89)* -0.039 -(1.39) -0.05 -(1.79) 30 0.017 (0.61) -0.025 -(0.89) -0.001 -(0.04) 0.005 (0.18) 0.008 (0.29) 0.008 (0.29) -0.073 -(2.61)* -0.021 -(0.75) -0.03 -(1.07) -0.043 -(1.54) -0.037 -(1.32) -0.022 -(0.79) -0.047 -(1.68) -0.009 -(0.32) -0.057 -(2.04)*

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

CROSS CORRELATION OF 29 COMPANIES WITH NIFTY FOR THE YEARS 2000-2005 TABLE-7A
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL 0.04 (1.57) 0.06 (1.96) 0.04 (1.32) 0.04 (1.25) 0.02 (0.86) 0.09 (3.07)* -0.03 (0.89) 0.03 (1.18) 0.01 (0.29) -0.04 -(1.25) 0.04 (1.29) 0.06 (2.28)* 0.01 (0.29) 0.03 (1.21) -0.02 -(0.82) 0.06 (1.96) -0.02 -(0.79) 0.00 -(0.07) 0.08 (2.75)* 0.04 (1.36) 0.02 (0.64) 0.01 (0.39) -0.02 -(0.61) 0.01 (0.43) 0.01 (0.21) 0.04 (1.50) -0.03 -(1.21) -0.01 (0.32) 0.07 (2.32)* 0.02 (0.82) -0.05 -(1.79) 0.01 (0.43) 0.00 (0.11) 0.00 (0.07) -0.02 -(0.54) -0.01 -(0.43) 0.03 (1.00) 0.02 (0.86) 0.03 (1.14) 0.06 (2.07)* 0.04 (1.54) -0.03 -(0.93) -0.01 (0.50) 0.02 (0.64) 0.03 (1.04) -0.02 -(5.71)* 0.02 (0.75) 0.03 (0.96) -0.07 -(2.35)* 0.00 -(0.17) -0.03 -(0.96) 0.02 (0.75) -0.03 -(0.89) -0.01 -(0.39) -0.02 -(0.71) -0.02 -(0.61) -0.01 -(0.43) -0.01 (0.46) 0.00 (0.00) -0.01 -(0.18) -0.01 (0.25) -0.02 -(0.71) 0.00 -(0.14) -0.08 -(2.75)* 0.01 (0.21) -0.03 -(0.96) -0.02 -(0.57) -0.08 (2.85)* -0.03 -(0.89) 0.00 -(0.14) -0.03 -(0.96) -0.02 -(0.86) 0.00 (0.04) 0.01 (0.43) -0.02 -(0.71) 0.04 (1.39) -0.02 -(0.68) 0.09 (3.03)* 0.00 -(0.14) -0.03 -(0.96) -0.02 -(0.64) 0.01 (0.18) 0.01 (0.43) 0.02 (0.61) 0.01 (0.21) -0.03 -(1.07) 0.00 (0.11) 0.01 (0.29) 0.00 (0.07) 0.02 (0.54) 0.04 (1.25) 0.05 (1.93) 0.03 (1.21) 0.09 (3.29)* 0.02 (0.75) 0.06 (2.29)* 0.07 (2.42)* 0.05 (1.61) 0.01 (0.18) 0.06 (2.21)* 0.01 (0.43) 0.01 (0.18) 0.03 (0.96) 0.00 (0.04) 0.07 (2.5)* -10 -9 -8 -7 -6 -5 -4

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

CROSS CORRELATION OF 29 COMPANIES WITH NIFTY FOR THE YEARS 2000-2005 TABLE-7B
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE 0.04 (1.43) 0.01 (0.39) 0.02 (0.71) -0.01 -(0.18) 0.08 (2.96)* 0.04 (1.50) 0.01 (0.32) 0.02 (0.61) 0.06 (2.07)* 0.02 (0.68) 0.06 (2.28)* 0.02 (0.68) 0.00 (0.14) 0.04 (1.46) 0.05 (1.89) 0.04 (1.50) 0.04 (1.32) -0.02 (0.54) 0.05 (1.86) 0.00 (0.04) 0.02 (0.86) 0.03 (0.96) 0.03 (0.93) 0.06 (2.25)* 0.02 (0.71) 0.05 (1.86) 0.02 (0.68) 0.03 (0.93) -0.01 -(0.25) 0.03 (1.00) 0.01 (0.21) 0.01 (0.18) -0.01 -(0.43) 0.01 (0.32) 0.00 -(0.07) 0.03 (1.21) 0.01 (0.32) -0.01 -(0.32) -0.01 -(0.25) 0.01 (0.36) 0.04 (1.36) 0.01 (0.39) -0.01 -(0.46) -0.02 -(0.61) -0.02 -(0.54) -0.01 -(0.21) -0.07 -(2.39)* 0.01 (0.25) 0.00 (0.00) 0.00 (0.04) 0.00 (0.11) -0.02 -(0.64) -0.02 -(0.86) -0.02 -(0.75) -0.01 -(0.21) -0.03 (1.14) 0.02 (0.86) -0.06 -(1.96) -0.06 -(2.14)* 0.00 -(0.14) -0.05 -(1.75) -0.02 -(0.68) -0.02 -(0.61) -0.05 -(1.89) -0.05 -(1.86) -0.01 -(0.29) -0.03 -(0.96) -0.01 -(0.21) 0.00 -(0.07) -0.03 (1.21) 0.01 (0.29) -0.02 -(0.71) 0.40 (1.43) -0.02 -(0.54) 0.01 (0.50) 0.05 (1.93) 0.05 (1.89) -0.02 -(0.75) 0.00 (0.11) 0.08 (2.67)* 0.03 (1.14) -0.03 -(1.00) 0.00 (0.07) -0.01 (0.32) 0.00 (0.04) 0.04 (1.25) 0.07 (2.35)* 0.04 (1.29) 0.07 (2.39)* 0.03 (1.18) 0.03 (0.93) 0.03 (1.21) 0.06 (2.25)* 0.08 (3)* 0.08 (2.82)* 0.02 (0.82) 0.03 (1.21) 0.01 (0.25) -10 -9 -8 -7 -6 -5 -4

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

CROSS CORRELATION OF 29 COMPANIES WITH NIFTY FOR THE YEARS 2000-2005 TABLE-7C
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL -3 0.04 (1.54) -0.01 -(0.39) 0.00 -(0.04) 0.05 (1.61) 0.02 (0.86) 0.01 (0.46) 0.03 (1.07) 0.01 (0.25) -0.04 -(1.54) -0.01 -(0.25) 0.03 (0.96) -0.03 -(1.04) 0.06 (2)* -0.02 -(0.86) -0.06 -(2.21)* -2 0.01 (0.29) -0.07 -(2.64)* -0.02 -(0.61) -0.08 -(3)* -0.04 -(1.29) -0.03 -(1.21) -0.02 -(0.68) -0.04 -(1.46) -0.05 -(1.86) 0.01 (0.18) -0.08 -(2.96)* -0.05 -(1.79) -0.07 -(2.32)* -0.03 -(1.21) -0.08 -(2.89)* -1 0.07 (2.42)* 0.11 (3.85)* 0.09 (3.35)* 0.09 (3.32)* 0.12 (4.21)* 0.15 (5.28)* 0.07 (2.32)* 0.10 (3.57)* 0.06 (2.03)* 0.10 (3.39)* 0.04 (1.50) 0.06 (2.25)* -0.02 (0.03) 0.09 (3.35)* 0.09 (3.14)* 0 0.39 (14.03)* 0.58 (20.71)* 0.35 (12.46)* 0.54 (19.42)* 0.35 (12.64)* 0.47 (16.82)* 0.28 (10.10)* 0.43 (15.17)* 0.32 (11.32)* 0.39 (13.75)* 0.50 (17.89)* 0.46 (16.46)* 0.24 (8.60)* 0.14 (14.78)* 0.57 (20.17)* 1 0.07 (2.57)* 0.05 (1.86) 0.01 (0.36) 0.07 (2.46)* 0.71 (2.53)* 0.11 (4)* 0.04 (1.46) 0.00 -(0.04) 0.04 (1.54) 0.05 (1.64) 0.11 (3.82)* -0.05 -(1.82) 0.11 (3.85)* 0.09 (3.25)* 0.04 (1.50) 2 0.00 (0.00) -0.05 -(1.86) -0.02 -(0.71) -0.04 -(1.54) -0.01 -(0.50) -0.06 -(2.14)* -0.03 -(0.89) -0.59 -(2.01)* -0.06 -(1.96) -0.06 -(2.03)* -0.04 -(1.54) -0.04 (1.39) -0.04 -(1.32) -0.04 -(1.57) -0.03 -(0.89) 3 0.00 (0.00) 0.01 (0.36) 0.05 (1.64) 0.03 (1.07) 0.71 (2.53)* -0.04 -(1.50) 0.01 (0.50) -0.05 (1.64) -0.01 -(0.21) -0.01 -(0.46) 0.02 (0.57) 0.00 (0.14) 0.09 (3.32)* 0.01 (0.32) 0.01 (0.46)

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

CROSS CORRELATION OF 29 COMPANIES WITH NIFTY FOR THE YEARS 2000-2005 TABLE-7D
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE -0.01 -(0.36) 0.00 -(0.14) -0.02 -(0.68) -0.01 -(0.32) 0.01 (0.36) -0.01 -(0.32) -0.04 -(1.39) 0.03 (1.07) 0.02 (0.75) -0.03 -(1.07) 0.00 (0.14) -0.02 -(0.64) 0.01 (0.21) 0.01 (0.21) -0.08 -(3)* -0.07 -(2.42)* -0.05 -(1.82) -0.05 -(1.89) -0.07 -(2.53)* 0.00 -(0.14) -0.05 -(1.64) -0.04 -(1.29) -0.08 -(2.82)* -0.12 -(4.32)* -0.08 -(2.89)* -0.03 -(0.96) -0.08 -(2.85)* 0.01 (0.21) 0.12 (4.17)* 0.05 (1.93) 0.05 (1.61) 0.10 (3.64)* 0.12 (4.35)* 0.15 (5.35)* 0.09 (3.07)* 0.05 (1.71) 0.10 (3.5)* 0.14 (4.85)* 0.05 (1.61) 0.13 (4.60)* 0.04 (1.54) 0.09 (3.32)* 0.45 (16.17)* 0.68 (24.17)* 0.50 (17.78)* 0.51 (18.25)* 0.46 (16.28)* 0.50 (17.96)* 0.72 (25.75)* 0.69 (24.57)* 0.69 (24.46)* 0.56 (19.96)* 0.66 (23.57)* 0.40 (14.35)* 0.56 (20.03)* 0.55 (19.79)* 0.04 (1.54) 0.11 (3.89)* 0.01 (0.21) 0.10 (3.46)* 0.04 (0.76) 0.05 (1.93) 0.10 (3.64)* 0.09 (3.35)* 0.08 (2.85)* 0.06 (2.29)* 0.08 (2.78)* 0.08 (2.82)* 0.10 (3.42)* 0.11 (3.86)* -0.09 -(3.28)* -0.04 -(1.50) -0.09 -(3.03)* -0.04 -(1.54) -0.09 -(3.07)* -0.08 -(2.85)* -0.04 -(1.46) -0.08 -(2.71)* -0.07 -(2.57)* -0.05 -(1.61) -0.06 -(2.03)* -0.03 -(0.89) -0.04 -(1.32) -0.07 -(2.54)* 0.00 (0.14) -0.01 -(0.25) 0.01 (0.36) -0.01 -(0.21) 0.05 (1.61) -0.04 -(1.39) 0.00 -(0.14) -0.03 -(1.14) 0.00 (0.14) 0.01 (0.36) 0.01 (0.36) 0.01 (0.46) 0.00 -(0.07) 0.04 -(1.43) -3 -2 -1 0 1 2 3

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

CROSS CORRELATION OF 29 COMPANIES WITH NIFTY FOR THE YEARS 2000-2005
LAGS COMPANY ABB ACC BAJAJ BHEL BPCL CIPLA COLGATE DABUR DR.REDDYS GLAXO GRASIM HDFCBANK HDFC HIND PETRO HLL 0.02 (0.57) 0.02 (0.75) -0.03 -(0.89) 0.03 (1.18) -0.04 -(1.43) 0.03 (0.89) 0.03 (1.21) 0.02 (0.79) -0.01 -(0.18) -0.05 -(1.61) 0.01 (0.39) 0.02 (0.75) 0.03 (1.14) -0.04 -(1.25) 0.01 (0.46) -0.02 -(0.75) -0.01 (0.46) 0.01 (0.39) -0.01 (0.36) -0.02 -(0.75) -0.02 -(0.68) 0.02 (0.71) -0.01 -(0.18) -0.06 -(2.17)* -0.04 -(1.25) -0.02 -(0.82) 0.00 (0.07) -0.01 -(0.21) -0.02 -(0.57) -0.03 -(1.07) 0.04 (1.46) 0.02 (0.64) 0.58 (2.07)* 0.06 (2.14)* 0.06 (2.07) 0.00 -(0.11) 0.05 (1.64) -0.01 -(0.32) 0.00 -(0.04) 0.01 (0.21) 0.04 (1.50) 0.02 (0.64) -0.01 -(0.39) 0.04 (1.54) -0.02 -(0.64) 0.04 (1.46) 0.05 (1.64) 0.03 (0.96) 0.01 (0.32) 0.02 (0.64) 0.01 (0.50) 0.01 (0.21) 0.01 (0.21) 0.03 (1.11) -0.01 -(0.36) 0.01 (0.50) -0.05 -(1.75) -0.06 -(2.25)* 0.02 (0.61) 0.02 (0.57) 0.02 (0.86) 0.00 (0.07) -0.02 -(0.54) 0.01 (0.18) -0.01 -(0.18) 0.00 (0.04) 0.00 (0.14) 0.00 (0.07) 0.00 -(0.11) 0.03 (1.21) 0.05 (1.68) 0.00 (0.11) 0.03 (0.96) 0.02 (0.79) 0.06 (2.21)* 0.00 (0.11) 0.02 (0.82) -0.01 -(0.50) 0.00 (0.04) 0.00 -(0.14) -0.04 -(1.25) 0.04 (1.32) 0.01 (0.46) 0.01 (0.32) 0.03 (0.93) 0.06 (2.10)* 0.06 (2.25)* 0.07 (2.32)* 0.01 (0.46) 0.04 (1.43) 5 6 7 8

TABLE-7E
9 10

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

CROSS CORRELATION OF 29 COMPANIES WITH NIFTY FOR THE YEARS 2000-2005 TABLE-7F
LAGS COMPANY ICICI INFOSYS ITC MTNL ONGC RANBAXY RELIANCE SATYAM SBI TATATEA TISCO VSNL WIPRO ZEE 0.00 -(0.07) 0.01 (0.43) 0.04 (1.43) 0.00 -(0.11) 0.00 (0.11) -0.03 -(1.00) 0.00 -(0.11) 0.01 (0.43) 0.00 -(0.11) 0.02 (0.68) 0.07 (2.39)* 0.02 (0.68) 0.00 (0.04) 0.02 (0.79) -0.02 -(0.61) -0.02 -(0.61) 0.01 (0.25) -0.02 -(0.64) -0.02 -(0.64) -0.05 -(1.61) -0.10 -(3.46)* 0.01 (0.21) -0.04 -(1.57) -0.02 -(0.57) -0.06 -(2.21)* 0.03 (1.04) -0.02 -(0.54) -0.03 -(0.89) -0.02 -(0.75) -0.05 -(1.68) 0.02 (0.68) 0.04 (1.57) 0.01 (0.46) -0.03 -(1.18) -0.06 -(2.21)* -0.01 -(0.32) 0.03 (1.14) -0.01 -(0.43) -0.02 -(0.57) 0.06 (2.03)* 0.01 (0.21) -0.03 (1.18) 0.02 (0.75) 0.02 (0.75) 0.00 (0.07) -0.01 -(0.21) 0.05 (1.89) 0.02 (0.61) 0.04 (1.50) 0.01 (0.50) 0.02 (0.82) -0.02 -(0.68) 0.02 (0.71) 0.01 (0.46) 0.01 (0.21) 0.04 (1.46) 0.03 (1.07) 0.00 (0.07) -0.02 (0.61) 0.00 (0.00) 0.01 (0.25) 0.01 (0.46) 0.02 (0.57) -0.01 -(0.25) 0.05 (1.71) 0.05 (1.86) 0.01 (0.46) 0.02 (0.64) -0.03 -(1.07) 0.05 (1.75) 0.01 (0.50) 0.00 (0.14) 0.02 (0.57) 0.01 (0.36) -0.02 -(0.54) -0.03 -(0.93) 0.01 (0.29) -0.01 -(0.21) 0.08 (2.82)* 0.00 (0.11) 0.07 (2.42)* -0.01 -(0.32) 0.04 (1.36) 0.00 -(0.04) 5 6 7 8 9 10

Values given in brackets are ‘t’ values * ‘t’ is significant at 5% level

AUTO CORRELATION
Auto correlation here shows the relationship between the previous variable and the current one. Whenever, ‘t’ value is more than 2, it is statistically significant at 5% level. In such cases, the Rule of Random Walk is violated. It can be noted from the tables 1A to 6L that there is high correlation at the ‘1 lag’. This indicates the fact that the current prices have a close relationship with the previous price of stocks. It is also important to note that every company has a ‘t’ value of more than ‘2’ in atleast one of the lags apart from ‘lag 1’. Thus there is a violation of the Rule of Random Walk for every company as well as the Nifty Index, which is very prominent. In the study made, I found that there are some companies where the significance of auto correlation is very high as compared to others. For example: Tata Tea Ltd., HDFC, etc.

CROSS CORRELATION
Cross correlation here shows the inter-relation between Stock Prices and the Nifty Index. A ‘negative lag’ indicates the effect of Stock Prices on the Nifty Index.

For example: At the ‘lag -9’, BHEL is leading and Nifty Index is lagging. This means, the Stock Prices of BHEL would affect the Nifty Index after 9 days. A ‘positive lag’ indicates the effect of the Nifty Index on the Stock Prices. For example: At the ‘lag 3’, Nifty Index is leading and BPCL is lagging. This means, the Nifty Index would affect the Stock Prices of BPCL after 3 days. In the cross correlation results obtained (7A to 7F), it can be observed that at ‘0’ lag, the ‘t’ values are significantly correlated and so also at ‘1’ lag and ‘ 1’ lag. This shows the effect of Nifty Index on the stock prices and vice versa within two days of each other. Here market factor is moving them together. In the study, it is also found that the companies that are significantly correlated are: BHEL, CIPLA, ITC, ONGC, SBI and ZEE TELEFILMS.

CONCLUSION
It can be noted that the ‘t’ values are non-random and statistically significant for many stocks and Nifty Index as well. To regard the Indian Stock Market as Weak Form Efficient, the ‘t’ values should be less than 2. It can be seen that the Random Walk Theory has been violated in most of the cases by both Nifty Index and individual stocks as shown by the correlation results. This can be due to various factors like insider trading and rumors. Thus, it can be concluded that neither the Indian Stock Market nor any of the stocks can be categorized as Weak Form Efficient

ANNEXURE
The chosen companies are:

COMPANIES 1. ABB Ltd. 2. Associated Cement Companies Ltd. 3. Bajaj Auto Ltd. 4. Bharat Heavy Electricals Ltd. 5. Bharat Petroleum Corporation Ltd. 6. Cipla Ltd. 7. Colgate-Palmolive (India) Ltd. 8. Dabur India Ltd. 9. Dr. Reddy's Laboratories Ltd. 10.Glaxosmithkline Pharmaceuticals Ltd. 11.Grasim Industries Ltd. 12.HDFC Bank Ltd. 13.Hindustan Lever Ltd. 14.Hindustan Petroleum Corporation Ltd.

INDUSTRY Electrical Equipment Cement And Cement Products Automobiles - 2 And 3 Wheelers Electrical Equipment Refineries Pharmaceuticals Personal Care Personal Care Pharmaceuticals Pharmaceuticals Cement And Cement Products Banks Diversified Refineries

15.Housing Development Finance Corporation Ltd. 16.I T C Ltd. 17.ICICI Bank Ltd. 18.Infosys Technologies Ltd. 19.Mahanagar Telephone Nigam Ltd. 20.Oil & Natural Gas Corporation 21.Ranbaxy Laboratories Ltd. 22.Reliance Industries Ltd. 23.Satyam Computer Services Ltd. 24.State Bank Of India 25.Tata Iron & Steel Co. Ltd. 26.Tata Tea Ltd. 27.Videsh Sanchar Nigam Ltd. 28.Wipro Ltd. 29.Zee Telefilms Ltd. (Source: nseindia website)

Finance - Housing Cigarettes Banks Computers - Software Telecommunication Services Oil Exploration/Production Pharmaceuticals Refineries Computers - Software Banks Steel And Steel Products Tea And Coffee Telecommunication Services Computers - Software Media & Entertainment

BIBLIOGRAPHY
ƒBangalore stock Exchange ƒwww.nseindia.com ƒwww.google.com ƒwww.investopedia.com ƒThe Journal of Finance ƒwww.valuepro.net ƒwww.stern.nyu.edu ƒSecurity Analysis and Portfolio Management – V.K.Bhalla ƒArticles by Eugene Fama.


								
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