Regression analysis of weekly returns between NIFTY50 and PowerGrid Corporation of India Limited
\nSubmitted by: Purti Sortee
\nJDBIMS (MMS FY 2021-2023)<\/p>\n
Introduction:
\nPower Grid Corporation of India Limited is an Indian statutory corporation under the jurisdiction of Ministry of Power, Government of India and is headquartered in Gurugram, India and engaged mainly in transmission of bulk power across different states of India.
\nPower Grid Corporation of India Ltd (PGCIL) is India’s principal electric power transmission company. The company is engaged in the transmission of bulk power across different states of India. It owns and operates 90% of India’s interstate and inter-regional electric power transmission system. PGCIL is a public sector undertaking. The government of India (GOI) held 51.34% stake in the company as on 31st December 2020. Power Grid Corporation of India Limited (POWERGRID), is a Schedule ‘A’, ‘Maharatna’ Public Sector Enterprise of Govt. of India which was incorporated on 23rd Oct 1989 under the Company Act, 1956.<\/p>\n
Objective:
\nTo understand the regression relationship between average weekly returns of Nifty50 and PowerGrid corporation of India Limited.<\/p>\n
Research Methodology:
\nThe closing price data of Nifty50 and PowerGrid corporation of India was taken from www.nseindia.com (National stock exchange) for the time period from 1st April 2021 to 31st March 2022.
\nFrom the available data, the closing rates of all the Fridays in the year was sorted to find out the weekly returns for both Nifty as well as PowerGrid. Then weekly return for both was calculated using Formula:
\nWeekly Return = ((C3-C2)\/C2) *100
\nWhere, C2 is Present week closing price and C1 is previous weeks closing price.
\nOnce the data is calculated, weekly return column for NIFTY50 is considered as X variable and the weekly returns column for PowerGrid Corporation of India is considered as Y variable.
\nThe Model and formulas used are:
\nY = a + bX
\nX\u207b = \u2211X\/N
\nY\u207b = \u2211Y\/N
\nx = X – X\u207b
\ny = Y – Y\u207b
\nb = \u2211xy\/ \u2211(x^2)
\na= Y\u207b – bX\u207b
\ne = Y – Y\u207b
\nVariance of error = ((\t\u03c3e) ^2\/\u2211x^2)
\nT stat for b = b\/ S.E of b
\nTSS = ESS +RSS
\nESS= (b^2) *(\u2211x^2)
\nRSS = \u2211e^2
\nR^2 = ESS\/ TSS
\nF= Mean ESS\/ Mean RSS<\/p>\n
Data Analysis:
\nUtilizing the regression Add-on in Microsoft Excel Data analytics tool below values were acquired:
\nR square= r^2 = 0.021614427
\na= 0.312431399
\nb= -0.374414761
\nF= 0.949953065
\nP value= 0.712073738
\nBelow expression shows the relationship model between PowerGrid and NIFTY50 weekly returns.
\nPowerGrid Weekly Return = 0.312431399 -0.374414761*(NIFTY50 Weekly Return)<\/p>\n
Conclusion:
\nBased on the research methodology and data analysis performed we can conclude that only 2% of PowerGrid weekly returns can be explained by NIFTY50 weekly returns, remaining 98% is dependent on PowerGrid\u2019s fundamentals and policies.
\nSince F value is greater than the P value this model is not statistically good and significant. Risk factor of using this model for forecasting PowerGrid\u2019s weekly returns are very High.<\/p>\n","protected":false},"excerpt":{"rendered":"
Regression analysis of weekly returns between NIFTY50 and PowerGrid Corporation of India Limited Submitted by: Purti Sortee JDBIMS (MMS FY 2021-2023) Introduction: Power Grid Corporation of India Limited is an Indian statutory corporation under the jurisdiction of Ministry of Power, Government of India and is headquartered in Gurugram, India and engaged mainly in transmission of… Continue reading Regression Analysis- Powergrid<\/span><\/a><\/p>\n","protected":false},"author":93231,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[9],"tags":[355],"class_list":["post-16370","post","type-post","status-publish","format-standard","hentry","category-management","tag-jdbims","entry"],"_links":{"self":[{"href":"http:\/\/www.sachdevajk.in\/index.php?rest_route=\/wp\/v2\/posts\/16370","targetHints":{"allow":["GET"]}}],"collection":[{"href":"http:\/\/www.sachdevajk.in\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/www.sachdevajk.in\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/www.sachdevajk.in\/index.php?rest_route=\/wp\/v2\/users\/93231"}],"replies":[{"embeddable":true,"href":"http:\/\/www.sachdevajk.in\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=16370"}],"version-history":[{"count":1,"href":"http:\/\/www.sachdevajk.in\/index.php?rest_route=\/wp\/v2\/posts\/16370\/revisions"}],"predecessor-version":[{"id":16474,"href":"http:\/\/www.sachdevajk.in\/index.php?rest_route=\/wp\/v2\/posts\/16370\/revisions\/16474"}],"wp:attachment":[{"href":"http:\/\/www.sachdevajk.in\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=16370"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/www.sachdevajk.in\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=16370"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/www.sachdevajk.in\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=16370"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}