Relationship of Page Industries with NIFTY
Author: Prajakta Bansod
Introduction:
Page Industries Limited is an Indian manufacturer and retailer of innerwear, loungewear and socks, headquartered in Bangalore. It is the exclusive licensee of Jockey International in India, Sri Lanka, Nepal, Bangladesh, the United Arab Emirates, Oman, Qatar, Maldives and Bhutan. In 2011, it licensed Speedo swimwear from Pentland Group for India and Sri Lanka. The company was founded in 1994 by Sunder Genomal and his brothers Nari and Ramesh, and together they hold a 54% stake in it.
Objective: Calculation of Beta of Page Industries and its Significance
Literature Review:
1. Tail Behaviour of the Nifty-50 Stocks during Crises Periods
The EGARCH model can be used to estimate secondary volatility effects of stock index returns of the NIFTY50 . In addition, the EGARCH model also provides significant results related to the presence of leverage effects (asymmetry) in some financial series.It also indicates that negative shocks (volatility) will repeat the negative shocks for a longer period of time. One of the main limitations of this research study is the selection of only one stock market, such as the Indian stock market. For future research studies, we will consider a comparative empirical analysis between the countries of the European Union and BRICS member states. Moreover, the research methodology will be diversified by including hybrid techniques and we will also extend the selected time interval. (Birau Et al 2021)
2. Beta Estimation, Forecasting and Convergence
We performed the estimation of Beta coefficients for the broadest possible analyzed the stocks characterized by the statistically significant estimates. We have confirmed the existence of Beta convergence effect, determined the Beta convergence level and found that it is much lower than the “grand mean” of Beta equal to 1. (Brzeszczyński and Gajdka 2007)
Data Collection:
• The data was collected from Yahoo Finance website (https://www.yahoo.com/) from 1 April 2022 to 31 March 2023.
• Data was manipulated by Friday closing prices.
• Weekly Returns of NIFTY are termed as x.
• Weekly Returns OF Page industries is termed as Y.
Data Analysis:
Page Industries Returns = -0.28 + 0.62 nifty returns
(2.68)
N=49 , R2=0.13 , F=7.20
Significance Value = 0.0099
Result –
Above equation shows relationship between Nifty(X) and Abbott India ltd.(Y). positive sign means there is direct relationship which means if X Rises Y also rises and vice versa. In this equation b = 0.62 if X rises one-unit demand will rise 0.62 units. t- stat for b (2.68) is more than the table value so b is statistically significant at 5% level. R2 is 0.13 which means 1.3% of y is explained by x. similarly f is 7.20 which is also more than table value means overall module is statistically significant at 5% level.
Conclusion –
• The beta 0.62 is less than 1 that means the company is stable and it is good for long term investment.
References –
• Janusz Brzeszczyński & Jerzy Gajdka, 2007. “Beta Estimation, Forecasting and Convergence,” FindEcon Chapters: Forecasting Financial Markets and Economic Decision-Making, in: Władysław Milo & Piotr Wdowiński & Grzegorz Szafrański (ed.), FindEcon Monograph Series: Advances in Financial Market Analysis, edition 1, volume 4, chapter 6, pages 99-110, University of Lodz.
• Ramona Birau & Jatin Trivedi & Cristi Spulbar, 2021. “Estimating Volatility and Investment Risk: An Empirical Case Study for NIFTY MIDCAP 50 Index of National Stock Exchange (NSE) in India,” Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 691-696, August.