SYNOPSIS

AN ANALYTICAL STUDY ON THE VOLATILITY

OF STOCK TRADED ON SENSEX









SUBMITTED BY:
PRATIK WAI (A2)
(12XQCMA103)




INTRODUCTION
Stock prices are changed every day by the market. Buyers and sellers cause prices to change
as they decide how valuable each stock is. Basically, share prices change because of supply
and demand. If more people want to buy a stock than sell it - the price moves up. Conversely,
if more people want to sell a stock, there would be more supply (sellers) than demand
(buyers) - the price would start to fall. Volatility in the stock return is an integral part of stock
market with the alternating bull and bear phases. In the bullish market, the share prices soar
high and in the bearish market share prices fall down and these ups and downs determine the
return and volatility of the stock market. Volatility is a symptom of a highly liquid stock
market. Pricing of securities depends on volatility of each asset. An increase in stock market
volatility brings a large stock price change of advances or declines. Investors interpret a raise
in stock market volatility as an increase in the risk of equity investment and consequently
they shift their funds to less risky assets. It has an impact on business investment spending
and economic growth through a number of channels. Changes in local or global economic
and political environment influence the share price movements and show the state of stock
market to the general public. The issues of return and volatility have become increasingly
important in recent times to the Indian investors, regulators, brokers, policy makers, dealers
and researchers with the increase in the FIIs investment.

LITERATURE REVIEW
When uncertainty dominates understanding stock market volatility is vital. There are a
number of reasons for that. On one hand, substantial changes in volatility of financial market
returns are capable of having significant negative effects on risk adverse investors. In
addition, such changes can also impact on consumption patterns, corporate capital investment
decisions and macroeconomic variables. Arguably, volatility is one of the most important
concepts in the whole finance theory.

1. Why does stock market volatility change over time? - G. William Schwert (Dec 1989)
2. Risk Aversion, Investor Information, and Stock Market Volatility - Kevin J. Lansing
3. The persistence of volatility and Stock market fluctuations - James M. Poterba &
Lawrence H. Summers (sept. 1984)
4. Understanding Stock Market Volatility - Antonio Mele (April 21, 2008)
5. Stock market volatility Measures in perspective - Frank J. Ambrosio,Francis M. Kinniry
Jr.
6. Patterns in Three Centuries of Stock Market Prices Gotezmann, William N (Apr
1993)
7. The Distribution of Stock Return Volatility - Torben G. Andersena, Tim Bollerslevb,
Francis X. Dieboldc and Heiko Ebensd (2000)
8. A new measure of stock market volatility? - Sonia R Bentes

and Rui Menezes (2012)




PROPOSED TITLE:

AN ANALYTICAL STUDY ON THE VOLATILITY OF STOCK TRADED ON SENSEX


PROPOSED STATEMENT OF PROBLEM

The Indians securities market has always witnessed fluctuations, The study attempts identify
the volatility of securities listed on Sensex Moreover this study helps the potential investors
make better investment decision based on calculated beta of shares listed on Sensex.


PROPOSED RESEARCH OBJECTIVES:
To study the volatility of securities listed on Sensex.
To find out the various factors which are responsible for volatility.
To suggest better investment decision based on calculated beta of companies.

RESEARCH METHODOLOGY
1.Research Design:
Methodology: It covers the type of research used in this dissertation, sample size
chosen, sample description, data collection. Each will be described separately under
the following headings.

2. Sample size: For the proposed study 15 companies are proposed to be selected. All these
companies are the major players in the economy and are part of Sensex.
3. Sample technique: The current study requires no sampling techniques.
4. Techniques used for data analysis: Basically whole data analysis has been performed
using spreadsheet in Excel by using different statistical functions inbuilt in Excel. The
following statistical functions have been employed during the data analysis.
Correlation: Calculates the coefficient of correlation between Market Return and
companies return and companies return.
Sigma: Calculates the summation of data.
Standard Deviation: Calculates the standard deviation that Measures the risk of an
asset from the Expected value of return.
Beta: The whole market is assigned a beta of 1 Stocks that have a beta greater than 1
have greater price volatility than the overall market and are considered to have greater
risk. Stocks with a beta less than 1 have less price Volatility than the market as a
whole and areConsidered to have less risk.

PROPOSED CHAPTER SCHEME
I. Introduction: The first chapter deals with the introduction and back ground of the
study responsible for price fluctuations, the types of volatility, statistical tools used for
calculation of volatility.

II. Design: The second chapter deals with the Research design, it includes the title of the
study, statement of the problem, need and importance of the study, objectives of the
study, methodology of the study, sample size, sampling technique, actual collection of
data, technique used for data analysis, limitations of the study and chapter scheme.


III. Company Profile: The third chapter deals with the industry as well the profile of all
the thirty companies are part of Sensex.

IV. Analysis: This chapter shows the analyses and interpretation. It includes the graphical
representation of monthly average return of the company Vs Sensex return.


V. Brief summary of findings, conclusion & suggestions