Relationship of Nifty 50 with Yes Bank
Author: Yamini Singh Tanwar
About the Company:
Yes bank is a full service commercial bank providing a complete range of products, services and digital offerings, catering to retail, MSME and corporate clients. It operates its investment banking, merchant banking and brokerage businesses through YES Securities which is a wholly owned subsidiary of the Bank.
YBL has a pan India network of 1,192 branches, 150 BCBO and 1,300+ ATMs in over 300 districts of India. It also has a representative office in Abu Dhabi and an IFSC Banking Unit (IBU) in Gujarat International Finance Tec-City (GIFT).
Objective:
To calculate the beta of Yes bank at 5% significance level.
Views & Reviews:
The Indian economy in the past years has exhibited growth rates of the order of 8% and is widely expected to continue to deliver impressive growth in the future as well. The robust growth of the Indian Manufacturing & Services sectors has further fuelled growth of the Indian economy. In the backdrop of this healthy economic growth there has been a sharp increase in the demand for credit that has presented a tremendous opportunity for growth for commercial banking in India
The lack of legacy systems has already enabled YES BANK to develop a distinctive business model and to capitalize on existing technological advancements. I believe that technology advancements will continue to happen at lightning speed, and this will require us to constantly evolve systems and processes to stay ahead of evolving customer expectations. As the Bank further expands its presence and branch network around the country, the key challenges will be not only to build a high-powered team, but also to continuously impart quality training, motivate and retain the team, to achieve constantly better results.
Ashok Kapur
(Chairman at Yes Bank)
The strategy and positioning of YES BANK is on the ‘Knowledge & Expertise’ platform. We believe this unique differentiation will enable us to deliver the highest value to all our stakeholders, particularly YES BANK clients. This, coupled with our clearly focussed business strategy based on ‘Knowledge Banking’, has already enabled us to create an impact in the Indian Banking Industry. Building top quality Human Capital is of pivotal importance to a knowledge-driven Bank like YES BANK. YES BANK aims to build a culture and environment that supports Professional Entrepreneurship and is built on the core philosophy of Creating and Sharing Value. The Bank has focussed on attracting and retaining the best talent from the Financial Services sector from India and from abroad. The management talent at YES BANK in a very short span of time is already considered to be amongst the best in the Indian banking sector.
Rana Kapoor
(Managing Director and CEO,
Yes Bank)
Data Collection:
Data has been downloaded from NSE historical data reports from 1 Feb 2023 to 31st JAN 2024.
Weekly returns are calculated where;
Dependent Variable (Y) = Weekly return of Yes Bank
Independent Variable(X) = Weekly return of Nifty 50
| SUMMARY OUTPUT | ||||||||
| Regression Statistics | ||||||||
| Multiple R | 0.353149875 | |||||||
| R Square | 0.124714834 | |||||||
| Adjusted R Square | 0.106851872 | |||||||
| Standard Error | 2.316511647 | |||||||
| Observations | 51 | |||||||
| ANOVA | ||||||||
| df | SS | MS | F | Significance F | ||||
| Regression | 1 | 37.46567858 | 37.46567858 | 6.981755352 | 0.011023339 | |||
| Residual | 49 | 262.9450844 | 5.366226212 | |||||
| Total | 50 | 300.410763 | ||||||
| Coefficients | Standard Error | t Stat | P-value | Lower 95% | Upper 95% | Lower 95.0% | Upper 95.0% | |
| Intercept | 0.010196179 | 0.32741968 | 0.031141009 | 0.975283584 | -0.647778302 | 0.668170661 | -0.647778302 | 0.668170661 |
| Weekly Return of Nifty 50 (X) | 1.282766525 | 0.48547325 | 2.642301147 | 0.011023339 | 0.307171504 | 2.258361546 | 0.307171504 | 2.258361546 |
Equation of regression will be:
Weekly return of Yes Bank = 0.010196179 + 1.282766525 (Weekly Return of Nifty 50) + Error
This regression analysis aims to understand the relationship between the weekly return of Nifty 50 (independent variable, X) and the weekly return of Yes Bank (dependent variable, Y).
Regression Statistics:
Multiple R: This is the correlation coefficient between the independent and dependent variables. Here, it’s approximately 0.35, indicating a weak positive correlation between the weekly returns of Nifty 50 and Yes Bank.
R Square: This represents the coefficient of determination, indicating the proportion of variance in the dependent variable (Yes Bank’s weekly return) that is predictable from the independent variable (Nifty 50’s weekly return). In this case, around 12.47% of the variability in Yes Bank’s weekly return can be explained by Nifty 50’s weekly return.
Adjusted R Square: This adjusts the R Square value for the number of predictors in the model. It’s similar to R Square but penalizes the addition of unnecessary predictors. Here, it’s approximately 10.69%.
Standard Error: This is the standard deviation of the residuals, representing the average distance that the observed values fall from the regression line. It’s around 2.32 in this analysis.
Observations: This indicates the number of data points used in the analysis, which is 51.
ANOVA (Analysis of Variance):
df: Degrees of freedom for regression and residuals.
SS: Sum of squares, which represents the total variability explained by the regression model and the unexplained variability (residuals).
MS: Mean squares, calculated by dividing the sum of squares by its degrees of freedom.
F-value: This is the ratio of the mean regression sum of squares to the mean error sum of squares. It tests the overall significance of the regression model. A higher F-value indicates a more significant result.
Significance F: This is the p-value associated with the F-statistic. It tests the null hypothesis that all regression coefficients are zero. A low p-value (typically below 0.05) suggests that at least one independent variable is significantly related to the dependent variable. Here, it’s approximately 0.011, indicating that the regression model is statistically significant.
Coefficients:
Intercept: This is the value of the dependent variable when all independent variables are zero. In this context, it’s approximately 0.01. However, since it has a high p-value (0.975), it’s not statistically significant.
Weekly Return of Nifty 50: This coefficient (1.283) represents the change in the dependent variable (Yes Bank’s weekly return) for a one-unit change in the independent variable (Nifty 50’s weekly return). It has a p-value of 0.011, indicating statistical significance. The confidence interval (from 0.307 to 2.258) suggests that with 95% confidence, the true coefficient lies within this range.
Overall, the analysis suggests that there is a statistically significant relationship between the weekly returns of Nifty 50 and Yes Bank. However, the strength of the relationship is relatively weak, explaining only around 12.47% of the variability in Yes Bank’s weekly returns.