Regression analysis of weekly returns between NIFTY50 and
\nITC Limited.
\nAuthor: Ishika Dubey MBA (Finance)<\/p>\n
Introduction:
\nITC Limited is an Indian conglomerate company headquartered in Kolkata. ITC has a diversified presence across industries such as FMCG, hotels, software, packaging, paperboards, specialty papers and agribusiness. The company has 13 businesses in 5 segments. It exports its products in 90 countries. Its products are available in 6 million retail outlets.
\nObjective:
\nTo understand the regression relationship between averages weekly returns of NIFTY50 and ITC Limited.
\nData Collection:
\nThe closing price data of Nifty50 and ITC Limited 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 ITC Limited. 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 ITC Limited 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 = ((\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
\nData Analysis:
\nSUMMARY OUTPUT\t\t\t\t\t\t\t\t<\/p>\n
Regression Statistics
\nMultiple R\t0.568501
\nR Square\t0.323194
\nAdjusted R Square\t0.306274
\nStandard Error\t2.849717
\nObservations\t42\t\t\t\t\t\t\t\t<\/p>\n
ANOVA
\n \tdf\tSS\tMS\tF\tSignificance F
\nRegression\t1\t155.1179\t155.1179\t19.10111\t8.57E-05
\nResidual\t40\t324.8355\t8.120888
\nTotal\t41\t479.9535\t \t \t \t\t\t\t<\/p>\n
\tCoefficients\tStandard Error\tt Stat\tP-value\tLower 95%\tUpper 95%\tLower 95.0%\tUpper 95.0%
\nIntercept\t-0.20309\t0.444008\t-0.45739\t0.649864\t-1.10046\t0.694288\t-1.10046\t0.694288
\nX Variable 1\t0.898223\t0.20552\t4.370481\t8.57E-05\t0.482851\t1.313595\t0.482851\t1.313595\t<\/p>\n
Y=B+AX
\nA= -0.20309
\nB= 0.898223
\nY= -0.20309 + 0.898223
\nt Stat= 0.695133<\/p>\n
CONCLUSION:
\nBased on the research methodology and data analysis performed we can conclude that only 32% of ITC\u2019s weekly returns can be explained by NIFTY 50 weekly returns, remaining 68% is dependent on ITC Ltd and policies.<\/p>\n
Since F value is greater than the P value this model is not statistically good and significant. Risk factor of using this model for forecasting ITC\u2019s weekly returns are very High.<\/p>\n","protected":false},"excerpt":{"rendered":"
Regression analysis of weekly returns between NIFTY50 and ITC Limited. Author: Ishika Dubey MBA (Finance) Introduction: ITC Limited is an Indian conglomerate company headquartered in Kolkata. ITC has a diversified presence across industries such as FMCG, hotels, software, packaging, paperboards, specialty papers and agribusiness. The company has 13 businesses in 5 segments. It exports its… Continue reading Regression Analysis<\/span><\/a><\/p>\n","protected":false},"author":93324,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[38],"tags":[355],"class_list":["post-16430","post","type-post","status-publish","format-standard","hentry","category-finance","tag-jdbims","entry"],"_links":{"self":[{"href":"http:\/\/www.sachdevajk.in\/index.php?rest_route=\/wp\/v2\/posts\/16430","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\/93324"}],"replies":[{"embeddable":true,"href":"http:\/\/www.sachdevajk.in\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=16430"}],"version-history":[{"count":1,"href":"http:\/\/www.sachdevajk.in\/index.php?rest_route=\/wp\/v2\/posts\/16430\/revisions"}],"predecessor-version":[{"id":16442,"href":"http:\/\/www.sachdevajk.in\/index.php?rest_route=\/wp\/v2\/posts\/16430\/revisions\/16442"}],"wp:attachment":[{"href":"http:\/\/www.sachdevajk.in\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=16430"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/www.sachdevajk.in\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=16430"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/www.sachdevajk.in\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=16430"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}