Author: Ishan Verma
Introduction: ITC Limited is regarded as one of the largest pan India focused multi industry manufacturing companies with interest in fast moving consumer goods, hotels, paperboards and packaging, agri-business and information technology. Originally established as Imperial Tobacco Company of India Limited in 1910, it has grown into a diversified company across industries especially in FMCG with brands like Aashirvaad, Sunfeast and Bingo. They have also received acknowledgement with that kind of focus on environmental sustainability. The company is headquartered in Kolkata, India.
Objective: To find out beta of ITC Ltd and its significance.
Data Collection: Data for Nifty50 and ITC was downloaded from NSEIndi.in for Current year i.e.1-04-2023 to 31-03-2024.
Data was manipulated to get Friday closing prices and weekly returns were calculated by the formula (yt-1 – yt)/yt * 100
Weekly returns of ITC Ltd was regressed on weekly returns of Nifty50
DATA ANALYSIS: Weekly returns of ITC = -0.19+0.35
-0.48(T-stat weekly returns of Nifty 50)
N=45, R Square = 0.033, F=1.49, P-value=0.22
The above Equation shows the relationship between Nifty 50 and ITC,
The positive sign means if Nifty 50 rises, ITC will also rise and vice versa. The co-efficient of Nifty 50 has the T-stat = 1.22 and P-value =0.22, it is more than 0.05 this means Nifty 50 is not statically significant to increase price of ITC.
R-square = 0.033, meaning 0.033% of ITC share prices are explained by Nifty 50 ,99.96% depends upon other factors like fundamentals.
F=1.49 and P-value = 0.22 meaning it is more than 0.05 meaning overall model is not statistically significant.
Conclusion:
Weekly co-efficient =0.35 less than 1 but positive it means it is good for long term investment.