Relationship of Siemens Ltd with Nifty
AUTHOR – SHRADDHA PAWAR
Introduction:
Siemens Limited is a technology company focused on industry, infrastructure, digital transformation, transport as well as transmission and generation of electrical power. It is the flagship listed company of Siemens AG in India. It headquarters is located in Mumbai, Maharashtra.
Objective:
Calculation of Beta of Siemens Ltd. and its significance.
Literature review:
The study reveals that the volatility in the individual stocks listed at NSE using daily closing prices of 29 selected companies. The companies have been selected from the list of S&P CNX Nifty. The data have been analysed by working standard deviation of daily returns. The study reveals that ACC, HDFC, ITC, MTNL, SBIN and SIEMENS have been comparatively less volatile than other securities. On the other hand, the securities viz. BAJAJAUTO, DRREDDY, GLAXO GRASIM, HDFCBANK, INFOSYSTCH, M&M, ONGC, TATAPOWER and VSLN were highly volatile during the period of study.
This study describes the financial planning model TnnoALM we developed at Innovest for the Austrian pension fund of the electronics firm Siemens. The model uses a multi period stochastic linear programming framework with a flexible number of time periods of varying length. The correlations across asset classes, of bonds. stocks. cash. and other financial instruments. are state dependent using multiple correlation matrices that correspond to differing market conditions. This feature allows lnnoALM to anticipate and react to severe as well as normal market conditions. Austrian pension law and policy considerations can be modeled as constraints in the optimization. The concave risk-averse preference function is to maximize the expected present value of terminal wealth at the specified horizon net of expected discounted convex (piecewise-linear) penalty costs for wealth and benchmark targets in each decision period.
Data Collection:
The data was collected from the Yahoo finance website for the financial year 2022-2023, and only Friday closing prices were considered for the analysis. The Nifty 50 returns were taken as X, and the Company return was taken as Y. and hence the study is analyzing the relationship between Nifty 50 returns and company returns of some asset(s) during the specified time period.
Data Analysis:
Siemens Ltd Returns = 0.762 + 0.608 Nifty Returns
(2.804)
N= 51, R2= 0.138, F= 7.866, Significance Value = 0.007
Result
The above equation shows the relationship between Y and X. Positive sign means there is direct relationship, which means if X rises and Y rises and Vise-Versa. In this equation b = 0.608. Figure in bracket is T-stat for b it is more than the table value. R2 = 13.8% of Y is explained by X. F = 7.86. The beta is 0.608 which means it is more than 1.
Conclusion:
Here Beta is 0.608 which is less than 1 therefore it is good for long term investment
References:
Raj Kumar & Kariom Gupta, 2009. “Volatility In The Indian Stock Market: A Case Of Individual Securities,” Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, vol. 1(1 (June)), pages 34-45.
Alois Geyer & William T. Ziemba, 2013. “The innovest Austrian pension fund planning model InnoALM,” World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part II, chapter 28, pages 491-504, World Scientific Publishing Co. Pte. Ltd.