Front Pages of Winter Project. (Repaired)

Acknowledgement
I am greatly thankful to Bhulabhai Vanmalibhai Patel Institute of Management, for

giving me an opportunity to work on “A study on performance of the stock market and
investors behaviour” project at Torin Wealth Management
I wish to express my sincere thanks to Dr. Vijay Gondaliya, I/c Director of Bhulabhai
Vanmalibhai Patel Institute of Management, Gopal Vidyanagar, UkaTarsadia University.
I wish to express my heartfelt gratitude to my internal guide Dr. Vijay Gondaliya and
company guide Mr. Jignesh Madhvani(Founder) whose constant help and support at all
stages of this project has enabled me to complete it.
Last but not least, I thank all those who have helped me directly or indirectly during the
course of this project.
Zeel Mangukiya
201803100310153
pg. 1
Declaration
I, Zeel Mangukiya from Bhulabhai Vanmalibhai Patel institute of Management,

UkaTarsadia University, hereby declare that the project report entitled “A study on
performance of the stock market and investors behaviour” has been undertaken as a part of
6th Semester of Bachelor of Business Administration (BBA) syllabus of UkaTarsadia
University, Bardoli. I declare that this report has not been submitted to any other university
or institute for any other purposes.
Date:
Place: UkaTarsadia University Zeel Mangukiya
201803100310153
pg. 2
INDEX
Ch. No Topic Page No
Acknowledgement 01
Declaration 02
Executive Summary 10
1 Company Profile 12
2 Review of Literature 23
3 Research Methodology 34
4 Data Analysis & Interpretation 43
5 Findings & Conclusions 96
6 Bibliography 100
6.1 Reference 101
6.2 Appendix 104
pg. 3
List of Tables
Table Page
Table Description
No. No
Primary Data Analysis

1. Demographic profile of the respondents
1.1 Age group wise 43
1.2 Gender group wise 43
1.3 Education group wise 44
1.4 Occupation group wise 44
1.5 District group wise 45
1.6 Income group wise 45
2. Findings on the basis of Trading Behavior of the respondent

2.1 Are you which kind of investor? 46
2.2 Category of Investor? 46
2.3 Type of market operated? 47
2.4 Experience in the market? 47
2.5 Number of equity stocks in which investment is made? 47
2.6 State the approximate size of investment in shares as on date 48
2.7 What percentage of savings invested in stock market (annually)? 48
2.8 While investing in the stock market, what is your main goal? 49
2.9 Pearson’s correlation 50
2.10 Spearman’s correlation 51
2.11 Pearson’s correlation 52
2.12 Spearman’s correlation 52
State the level of importance of the following investment objective (One sample
2.13 53
statistic)
State the level of importance of the following investment objective (One sample
2.14 53
test))
2.15 State the expected rate of return (ROR) per annum 54
2.16 How much you are affected by the following problems.(One sample statistic) 54
2.17 How much you are affected by the following problems.(One sample test) 55
What level of potential loss on your original investment is generally acceptable to
2.18 56
you?
2.19 Hypothetical investment plans 57
3. Cross Tabulation
3.1 Are you which kind of investor? * Occupation 58
3.2 Are you which kind of investor? * Education 59
3.3 Are you which kind of investor? * Income 60
pg. 4
3.4 Category of Investor? * Education 61
3.5 Category of Investor? * Occupation 62
3.6 Category of Investor? * Income 63
3.7 Experience in the market? * Education 64
3.8 Experience in the market? * Occupation 65
3.9 Experience in the market? * Income 66
3.10 What percentage of savings invested in stock market (annually)? * Education 67
3.11 What percentage of savings invested in stock market (annually)? * Occupation 68
3.12 What percentage of savings invested in stock market (annually)? * Income 69
Secondary Data Analysis

Unit root test , ADF test and ARCH-M model Charts and tables
4 BSE ALL CAP
4.1 Unit root test chart 70
4.2 ADF test 70
4.3 ARCH-Mm model 71
5 BSE 100
5.2 ADF test 72
6 BSE 100 ESG Index
6.2 ADF test 74
7 BSE 100 Large Cap
7.2 ADF test 75
8 BSE 150 Mid Cap
8.2 ADF test 77
8.3 ARCH-M model 77
9 BSE 200
9.2 ADF test 78
10 BSE 250 Large Mid Cap
10.2 ADF test 80
11 BSE 250 SMALL CAP
11.2 ADF test 81
pg. 5
12 BSE 400 SMALL MID CAP
12.2 ADF test 83
13 BSE 500
13.2 ADF test 84
14 BSE LARGE CAP
14.2 ADF test 86
15 BSE MID CAP
15.2 ADF test 87
16 BSE SENSEX
16.2 ADF test 89
17 BSE SENSEX 50
17.2 ADF test 91
18 BSE SENSEX NEXT 50
18.2 ADF test 92
19 BSE SMALL CAP
19.2 ADF test 94
pg. 6
List of Abbreviations
ADF Test Augmented Dickey-Fuller Test
ANOVA Analysis of Variance
ARCH-M Autoregressive Conditionally Heteroscedastic
AUM Asset Under Management
BSE Bombay Stock Exchange
CA Chartered Accountant
CFA Chartered Financial Analyst
CRISIL Credit Rating Information Service of India
CS Company Secretary
DOW Day of The Week
ECM Error Correction Method
EMH Efficient Market Hypothesis
EWMA Exponentially Weighted Moving Average
F&O Futures & Options
FD Fixed Deposit
FW Family Welfare
GARCH Generalized Autoregressive Conditional Heteroscedasticity
GDP Gross Domestic Product
GMC Group Medical Policy
HR Human resource
INR Indian Rupee
KPSS Test Kwistkowski-Phillips-Schmidtshin test
LIC Life Insurance Corporation
MF Mutual Fund
NBFCs Non-Banking Financial Corporations
NSE National Stock Exchange
OLS Ordinary lease Square Method
PMS Portfolio Management Services
PP Test Phillips-Perron Test
pg. 7
PPF Public Provident Fund
S&P CNX Standard & Poor CRISIL National Stock Exchange
SEBI Security Exchange Board of India
SIP Systematic Investment Plan
SMEs Small Medium Enterprises
TWM Torin Wealth Management
ULIP Unit Linked Insurance Plan
VAR Vector Autoregressive Model
VIX Volatility Index
pg. 8
Executive Summary
In the recent past, there have been perceptions that volatility in the market has gone up and
inter and intra-day volatility witnessed the same. News items and some clinical research
papers also provided figures to evidence this argument. Many studies show that the
volatility has not gone up much in the recent past as it has been perceived. Indian stock
market provides a very high rate of return and comparatively moderate volatility. Investors
are the backbone of capital market. A developing economy, like India, needs a growing
amount of savings to flow to corporate enterprises. The level of equity market participation
of the retail investors has been increasing over the past few years. Investment is the flow
of capital which is used for productive purposes. There is a great emphasis on investment
for being the primary instrument of economic growth and development for a country.
The main objective of the research is to study the daily performance of the stock market in
which Researcher analyzed the day effect of BSE Stock Exchange. Researcher have
analyzed 6 months’ price of 16 major indices of BSE and another objective is to study the
investor's behavior towards the stock market in which researcher have studied investors
behavior through questionnaire method. Researcher collected data from the primary data
from 195 samples from the Surat district. Data collection method was closed ended
questionnaire where dichotomous questions, Likert scale and multiple choice questions. In
questionnaire multi response questions are included and after collecting data researcher
used different statistical test like frequency analysis, one sample t-test, correlation test,
crosstab analysis, chi-square test. For secondary data researcher have applied Unit root test,
ADF test and Arch M model with the help of Eviews 10 software.
From the investors behavior researcher have found out that out of 195 respondents 171
respondents were male investors and 24 respondents were female investors. Majority male
investors invest in the stock market was high compare to female investors. Most of the
investors in the stock market are graduated in education. Out of all respondents 75 no. of
respondents were students and businessman which constituted highest 38.5% of sample
population. Researcher target location has Surat and received maximum respondents were
from Surat which is 102 of total sample population and it constituted 52.3%, which is more
than half of sample population. The difference between professional and retail investors is
pg. 9
large, but shrinking. Here the ration of retail investors was high compare to professional
investors which corresponding to 144 and 51 respectively. Here 44.6% respondents were
possessed long term and short term both and dealt with both the market i.e., primary market
and secondary market. It has found that there was a positive correlation in Pearson and
Spearman correlation. From the cross tabulation analysis suggested that null hypothesis is
rejected between kind of investors and occupation / income. It indicated that service class
people are majority retail investor while self-employed and businessman in both category
i.e. professional and retail investors.
From the stock market analysis, researcher have found out that there is no auto correlation
in the series and it means that the effect of disturbance of occurring at any period does not
carry over into another period. There was volatility in all series of indices which researcher
have taken as sample but it influences negatively because coefficient is negative.
pg. 10
CHAPTER 1
COMPANY PROFILE
pg. 11
TORIN WEALTH MANAGEMENT
360° end-to-end wealth management and risk management
TORIN WEALTH MANAGEMENT firm incorporated in the year 2012, they work on the
parameters of providing an honest and best suited financial planning with 360°-degree
wealth management keeping in mind the need and goals of its clients. They have products
like life insurance, general insurance products like health insurance, auto insurance,
personal accident, group insurance, and investment instruments like mutual funds, PMS,
ULIP, corporate bonds in their kitty to cater to the overall financial needs of the clients.
The organization focuses on delivering ongoing expertise to high net-worth individuals,
families, SMEs, corporates, and trusts helping them achieve their financial goals. We have
our presence in 6 cities namely – Surat, Anand, Rajkot, Vadodara, Mumbai, and Pune.
Them headquarter is stationed at Surat and they have a team of 52 employees associated
with them. Torin manages INR 82,000 crore worth of risk under management and their
AUM is INR 400 crore. They have monthly SIP book stands at INR 1.4 crore at present.
History
Torin is the brainchild of the Founder and Managing Partner of TWM, Mr. Jignesh
Madhwani and it took birth in his mind back in the year 2008. As they say, “Rome was not
built in a day”, similarly, it took a great amount of hard work, strength, knowledge, and
patience on his side to bring into action and to strategize a plan which was already a success
in his mind. It took him four years of determination to pen down the blueprint of Torin
which finally got incepted in late 2012. And as the name goes (Torin for Chief in Irish),
they have been successful in pioneering the Wealth Management, Insurance Advisory and
Financial Planning space in Surat. Though they started with humble beginnings in a small
350 sq. ft. office, customer delight has always been of top priority to them. Today they
boast of a 5000 sq. ft. office space in one of the finest financial hubs in the diamond city
of the country! Torin is and always will strive to be a growth story and keep working for
all its stakeholders; its team, clients, associated companies involved.
pg. 12
Vision
"To become a nation-wide one-stop destination for all insurance, investments and financing
needs in the personal as well as commercial segment in India"
Core Values
 Strive to provide our clients with the best of products and deals in an ethical
manner to attain maximum customer retention
 To create client-friendly systems and processes that make investing and insuring
hassle-free and effortless
 To empower and create more partner networks and make them a part of our
company’s growth for a win-win combination
Wheel of 360° Wealth Management
pg. 13
Awards and Accolades
Core Team
Mr. Jignesh Madhvani Founder & Managing Partner
Ms. Bhagyshree Saboo (CFA) Business Partner
Ms. Preeti Chhabra Business Partner
Mr. Vijay Chejara General Insurance
Mr. Parth Sanghadia MF & Investment
Mr. Maunin Desai Head of HR & Admin
Mr. Vivek Shah Strategist
CA Vaibhav Pareek Accounts Advisor
Mr. Rony Pawar Claims
Mr. Satish Wankhede Business Associate
CS Komal Jhawar Accounts
Ms. Bipasha Madhvani Executive Assistant
Mr. Vibhuti Lad Back Office
Product Line
Mutual Funds Personal Accident Motor Insurance
Portfolio Management Professional Travel Insurance

Services Indemnity
pg. 14
Term Insurance Marine Insurance Workmen
Compensation
Health Insurance Fire Insurance Group Health

insurance
General Insurance
Life Insurance
Investment
(1) General Insurance
Nothing would work except a security system that backs us. In other words, we need
an insurance cover. “To insure is to protect and indemnify. It does not mean Prevention
of loss”.
A. Health Insurance
 Indemnity Policy
 Critical Illness Insurance
 Senior Citizen Health Insurance
 Health Insurance for Heart Patients
 COVID-19 Insurance
B. Personal Accident
C. Auto Insurance
Types of Auto insurance
 Third-party liability insurance
 Comprehensive insurance
D. Travel Insurance
pg. 15
E. Marine Insurance
F. Fire Insurance
G. Group Insurance Product
 Group Mediclaim Policy
 Group Personal Accident:
 Workmen Compensation
H. Customized Insurance
 Liability Insurance
 Trade Credit Insurance
(2) Life Insurance
A. Term Plan
B. ULIP
C. Other Traditional Plans
 Whole Life Insurance
 Endowment Policy
 Child plan
 Money-Back plan
(3) Investments
A. Mutual Funds
 Sector-specific funds
 Index funds
 Large capital funds
 Small capital funds
 Multi-Capital finds, etc.
B. Bonds
Types are:
 Corporate bonds
 US treasuries
 Municipal bonds
 Government agency bonds
pg. 16
Introduction of stock market
The stock Market index is the barometer of the economy. The movements in the stock
market index indicate the status of the economy. The downward movement of the index
indicates collapse which leads to economic disruption and the upside movement indicates
economic development. It also impacts the Gross Domestic Product (GDP) of the country
primarily by influencing financial condition and investor confidence. Market participants
include individual retail investors, domestic institutional investors who invest in mutual
funds, banks, hedge funds, and insurance companies, and foreign institutional investors.
Before Liberalization, Privatization, and Globalisation in the year 1991, there was the
restriction on foreign investment in our economy which focused on self-reliance. FIIs were
allowed to participate in the Indian stock market from September 14, 1992, after financial
returns with certain restrictions were introduced.
In the era of transnational capitalism, a significant amount of investment was attracted by
developing economies. The growth in infrastructure, investment climate, ease of policies,
and strong fundamentals of companies made our markets attractive for FIIs. These factors
have made FIIs materialize and their growing contribution is now playing an important role
in the development of the Indian Stock Market. The concern over their activities like large
and concerted withdrawals of their investment from our markets may affect the confidence
of retail investors who place their small savings hoping for safety and higher returns over
a period to beat inflation. The Indian stock market has joined this journey over the last two
decades by introducing various reforms such as the incorporation of the Securities
Exchange Board of India (SEBI), dematerialization of shares, the introduction of rolling
settlement, and introduction of derivative products.
In a stock market, return and trading volume is two prime indicators of trading activity,
jointly determined by the same market dynamics and may contain valuable information
about a security. Investors are the backbone of the capital market. A developing economy,
like India, needs a growing amount of savings to flow to corporate enterprises. The level
of equity market participation of retail investors has been increasing over the past few
years. Investment is the flow of capital that is used for productive purposes. There is a great
emphasis on investment as being the primary instrument of economic growth and
development for a country.
pg. 17
Role of BSE Stock Exchanges
Bombay Stock Exchange is the oldest stock exchange in India as well as Asia. It is an
integral component of the “$1 trillion” club, having the 11th largest market
capitalization value at $2.2 trillion. Financial transactions in BSE are done online
through an electronic trading system. Market orders can be directly placed in BSE
online, without the requirement of external specialists through direct market access. Due
to the absence of such limit orders, the focus is shifted from buyers/sellers to the total
value of transactions in a day. Trading in the BSE share market has to be done through
a brokerage agency, against a stipulated charge. However, direct investment access is
given to certain preferential investors making large transactions in the BSE stock
market. BOLT-Bombay Online trading platform is used by this stock exchange for
efficient trading. Transactions made in BSE online are done through T+2 rolling
settlement, wherein all transactions are processed within two days. Securities and
Exchange Board of India (SEBI) is responsible for the regulation of this stock exchange,
continuously updating rules for its smooth operation.
Introduction of stock market performance
Stock performance is the measurement of a stock's ability to increase or decrease the wealth
of its shareholders. Performance is typically measured by its fluctuation in price. When the
stock price increases, the stock shows good performance. Conversely, a price decrease is a
poor performance. Many factors affect a stock's performance on the market. The first factor
is the overall health of the economy. During economic downturns, many stocks experience
a price drop. For example, if the news of economic indicators such as retail sales shows a
significant decrease from the prior month, stocks typically drop in value. The condition of
the stock market is another factor: During a bear market, investors avoid stocks. This
decrease in demand naturally drives the price of stocks lower. During a bull market,
investors are more aggressive in buying, which drives the stock price upward. The last, and
perhaps most important, the factor of stock performance is the health of the company
issuing the stock. For instance, rumours of a merger between two companies typically drive
the stock price higher, whereas poor quarterly earnings compel investors to sell the stock
and drive the price lower. Thus, the performance of a stock is often tied to the performance
of a company.
pg. 18
Introduction of efficient market hypothesis
The concept of the Efficient Market Hypothesis (EMH) states that prices of financial assets
reflect all relevant information. Therefore, prices in average are accurately, that means
financial markets are efficient. A direct consequence is that an active investor cannot
continuously beat the market and a passive investor can achieve the same profit in average
as the active does. Overall, market values are always true and future prices are randomly
depending on randomly incoming news (information).
The EMH theory was developed by Eugen Fama in the early 1960. He and other authors
corroborated a largely ignored thesis from a French mathematician, Louice Bachelier.
Moreover, Eugen Fama extended and refined the theory with a definition of three forms of
market efficiency (Fama, 1970) - the weak form, the semi-strong form and the strong form.
The weak form efficiency contains that security prices reflect the past security prices and
volume trading information. It is comparatively easy to validate empirically this hypothesis
by autocorrelation or statistical tests of independency among past time series. The direct
consequences would be, that no technical analysis is able to forecast future prospects, since
past profit pattern are not correlated and therefore it cannot use for interpreting the future.
Future prices contain only future information and the present price changes are irrelevant
for the next period. Since future information is randomly, future prices are also randomly.
To sum it up, the direct consequences from the weak information efficiency are:
 no abnormal profits can be reached by using strategies based on historical stock
information
 technical analysis (time series analysis) cannot not explain future prospects and
independent time series implies that future stock prices are randomly.
The semi-strong form contains additionally to the weak form public available information
like dividend payment or fusions. Consequently, that form is weak efficient as well, since
past information are a subset of the current public information. In addition to the technical
analysis would also the fundamental analysis fail in predicting future stock prices. If prices
react only slow to new public information, then the market is not semi-strong efficient in
this way. Finally, the semi-strong form means:
 stock prices adjust quickly to new available public information,
 technical and fundamental analysis fail to produce future returns and
pg. 19
At the end the strong-form efficiency states that even profits are impossible that based on
private information, which are not available for all market participants, because this insider
information leak out and will take into the share price. This extreme hypothesis is not
supported very well by scientists and therefore it won’t be carried out here. Moreover,
insider trading is strongly forbidden.
Measurement of volatility in the stock market
in every country economic growth is essential for improving the quality of life. The
Standard classical emphasize the role of investment in enhancing the economic growth.
The Monetary and financial sectors play a key role in mobilizing resources. Financial
stability is crucial for promoting investment at large. In a position of financial stability,
financial institutions and markets are able to efficiently mobilize savings, provide liquidity
and allocate investment. The growing role of the financial sector in the efficient allocation
of resources at appropriate prices could significantly enhance the efficiency with which our
economy functions. If financial markets work well, then they will direct resources to their
most productive uses. Financial risks will be more accurately priced and will be borne by
those who have appetite for absorbing risks. The Real economic activity with higher
investments, in both quantity as well as quality, would result in growth with
macroeconomic stability and a fewer financial uncertainty. A stable financial system
facilitates the efficient transmission of monetary policy initiatives.
The study of financial assets volatility is essential to academics, policy makers, and
financial market participants for various reasons. First, prediction of financial market
volatility is essential to economic agents because it represents a measure of risk exposure
in their investments. Second, a volatile stock market is a serious concern for the policy
makers because instability of the stock market creates uncertainty and thus adversely
affects growth prospects. Current evidence shows that when markets are perceived as
highly volatile, it “may act as a potential barrier to investing”
The Stock Market in India is represented by two most prominent stock indices, i.e. Bombay
Stock Exchange’s (BSE) Sensitive Index (Sensex) and NSE’s S&P CNX Nifty. BSE is the
older and the more often quoted index. However, of late with the growing popularity of the
NSE, due to its more transparent trading mechanism and lower trading cost, NSE is
considered to be an essential and broad-based market index.
pg. 20
However, increase in volatility per se is not a problem but increased volatility reflects
underlying problems in fundamental forces affecting economic activities and expectations
about them. In fact, the more quickly and accurately prices reflect the available
information; the more efficient would be pricing of securities and thereby allocation of
resources. A market in which prices fully reflect available information is called “efficient”
where share prices fluctuate randomly around their “intrinsic” values.
From an investor’s view point, it would be immensely useful if the future stock return
volatility could be predicted from the past data. Such forecasting capabilities are useful for
pricing of sophisticated financial instruments such as futures and options. Here in the
present study an attempt has been made to understand the nature of volatility in the Indian
Stock Market from the past daily stock return data of BSE and NSE.
Introduction of investors behavior
Investors are the backbone of capital market. A developing economy, like India, needs a
growing amount of savings to flow to corporate enterprises. The level of equity market
participation of the retail investors has been increasing over the past few years. Investment
is the flow of capital which is used for productive purposes. There is a great emphasis on
investment for being the primary instrument of economic growth and development for a
country. There are a large number of investment instruments available today. Some of them
are marketable and liquid while others are non-marketable and illiquid. There are
instruments which are highly risky while others are almost riskless. The investors choose
avenues, depending upon their specific need, risk appetite, and return expected. Investment
avenues can broadly be categorized into two spheres, namely, economic investment and
financial investment. Purchasing of a physical asset such as a building or equipment is an
economic investment. Economic investments contribute to the net additions to the capital
stock of a society. Financial investments, on the other hand, refer to investment in financial
instruments like shares, debentures, insurance policies, mutual fund units etc. Financial
investments help in creating the capital stock of the country. In the long term, investment
is important for improving productivity and increasing the competitiveness of an economy.
Without investment, an economy could enjoy high levels of consumption, but this creates
an unbalanced economy.
pg. 21
CHAPTER 2
LITERATURE
REVIEW
pg. 22
Researcher have collected 28 articles regarding performance of stock market and investors
behavior. And authors used different statistical tools and techniques. Like for measuring
the stock market performance they used ARCH-M model. GARCH model, Vector
autoregressive model (VAR) model, Ordinary Least Square method (OLS), Unit root
(ADF, PP and KPSS) tests, Granger Causality test, Engle-Granger cointegration method
and finally; Error Correction Model (ECM). Descriptive research method was employed
in this study. For analysed the investors behavior authors used frequency analysis, chi-
square test, correlation coefficient, cross tabulation analysis. the following are the articles
are studied.
Roni Bhowmik and Shouyang Wang (2020), studied about stock market volatility and
return analysis. The aim of the study was to examined effective GARCH models
recommended for performing market returns and volatilities analysis. The secondary
purpose of this study was to conducted a content analysis of return and volatility literature
reviews over a period of 12 years (2008–2019) and in 50 different papers. The study
founded that there has been a significant change in research work within the past 10 years
and most of researchers have worked for developing stock markets. Major finding of the
study was scholars should not merely be conducted the same research again and again, so
as to progress better and create more appropriate hypothesis and research questions.
S. Periyasamy (2016), studied about a study on the impact of institutional investors
contribution on the Indian stock market with reference to Nifty. The aim of the study was
to analysed the investment trend of institutional investors in the market to suggest to the
retail investors to time their investment. Descriptive research method was employed in this
study. The monthly closing value of NIFTY and net contribution of FIIs, DIIs and retail
investors for the period January 2007 to August 2015 was used for analysis. The outcome
of this study indicated that the FIIs and DIIs have an impact on Nifty movement up to
2.35% comparing previous month closure value either side, which shows that the retail
investors may invest with long term investment objectives.
Golaka C Nath and Manoj Dalvi (2004), they studied about day of the week effect and
market efficiency evidence from Indian equity market using high frequency data of
national stock exchange. Study examined empirically the day of the week effect anomaly
in the Indian equity market for the period from 1999 to 2003 using both high frequency
pg. 23
and end of day data for the benchmark Indian equity market index S&P CNX NIFTY using
robust regression with biweights and dummy variables. Study was found that Mondays’
average returns were negative and Fridays’ were positive.
Goutam Tanty and Pramod Patjoshi (2016), they studied on stock market volatility
pattern of BSE and NSE in India. The main focus of this research paper was to examined
the nature of the volatility in the Indian stock markets. In this study ARCH and GARCH
models have applied to study the behaviour of stock market volatility. This study showed
that GARCH (1, 1) model is more satisfactorily explains volatility clustering and its high
persistence for better decision making purpose. The results of the present study showed
that both the stock markets i.e. BSE Sensex and NSE-S&P CNX Nifty exhibit volatility
clustering. The descriptive statistics result of both the markets’ return series suggested that
the return series of BSE was positively skewed while that of NSE was negatively skewed.
Som Sankar Sen (2013), studied about an investigation of the day of the week effect on
return and volatility of NSE Nifty. The aim of the study was to investigated the issue of
day-of-the-week effect in Indian stock market. The descriptive statistics of daily market
returns have been applying GARCH-M model on the daily NIFTY returns data. Study was
clearly indicated that there was day-of- the- week effect in the daily NIFTY return during
the pre T+2 rolling settlement period. But, such effect vanishes after the introduction of
T+2 rolling settlement. To concluded that the anomaly could be due to investor optimism
and thereby a will to buy stocks just before the weekend.
Sarika Mahajan and Balwinder Singh (2013), they studied about return, volume and
volatility relationship in Indian stock market: Pre and Post rolling settlement analysis. The
study used a bi-variate Vector autoregressive model (VAR) model of order p of the form.
An article examined the impact of rolling settlement on contemporaneous and causal
relationships between return, volume and volatility in Indian stock market using daily data
of closing prices and volume of NIFTY index of NSE and SENSEX of BSE from January
1997 to June 2007. To conclude that there was a positive contemporaneous relation
between volume and volatility in both pre and post rolling settlement period for SENSEX
but degree of correlation is more in post period.
Hakan Berument and Halil Kiymaz (2001), they studied about the day of the Week
Effect on Stock Market Volatility. The aim of the study was to investigated the day of the
pg. 24
week effect in stock market volatility in sub-periods. They estimated day of the week effect
in return equation by using Ordinary Least Square method (OLS). This study tested the
presence of the day of the week effect on stock market volatility by using the S&P 500
market index during the period of January 1973 and October 1997. The findings showed
that the day of the week effect is present in both volatility and return equations. To
concluded that The volatility patterns across the days of the week are statistically different
from each other. We detected the day of the week effect on both return equation and the
volatility (conditional variance) equations.
Pratima Rawal (2018), studied about trading behaviour of retail investors. The main aim
of the study was to evaluated the association between psyco demographics & trading
pattern of the retail investors. The researcher has taken the cross sectional study. The data
were gathered from 300 retail investors of Faridabad district situated in Haryana. Chi-
square technique was employed through using SPSS package. The study examined that
there was an association between demographic profile such as age, gender and annual
income with the trading behavior of the retail investors. Major finding of the study was
maximum number of respondents i.e., 57% of retail investors are interested in
banks/PPF/LIC schemes instead of other one whereas 20.67% retail investors always
interested in real estate which is equating to 171 and 62 number of respondents. It is
concluded that majority of male and female although less female ratio and have preferred
that stock market is a good source of income.
Arup Kumar Sarkar and Dr. Tarak Nath Sahu (2018), studied about analysis of
investment behaviour of individual investors of stock market: a study in selected districts
of West Bengal. The main aim of the study was to found out how investor awareness
affected Investment Behaviour. The study has collected primary data from 400 randomly
selected individual investors of stock market from various districts of West Bengal using a
structured questionnaire on five point Likert scale. The study found that the awareness
levels of the individual investors are on moderate level and financial awareness is more
than social learning. To concluded that Majority of the investors in the stock market are
graduated in academic qualification.
Dr. Silky Vigg Kushwah and Ms. Sulekha Munshi(2018), studied about the effect of
seasonality over stock exchanges in India. The main aim of the study was to analysed the
pg. 25
impact of four major events on the returns of Indian stock market (Budget, Diwali, Change
in Financial year, Change in calendar year). The method of data analysis used in this
research work is the descriptive statistics and paired sample t-test. S&P CNX Nifty 50 has
been taken as sample. Judgment sampling technique i.e. Non-random 50 sampling
technique has been used. Secondary data of stock exchanges(NSE). It was also found that
Diwali and Change in calendar year events have an inverse relationship with Nifty returns
as they have negative correlation between them. While Budget announcement and changed
in financial year events have direct relationship with Nifty returns as there exists a positive
correlation between them. Overall, the study didn’t support seasonal effects.
Sudharshan Reddy Paramati and Rakesh Gupta (2011), studied about an empirical
analysis of stock market performance and economic growth: evidence from India”. This
study aims to investigated whether the stock market performance leads to economic growth
or vice versa. Study also examined short-run and long-run dynamics of the stock market.
The collected data were seasonally adjusted to correct seasonal variations and then
converted into natural logarithms (ln) for all the variables. The present study undertaken a
comprehensive set of econometric tests for the empirical analysis such as; Unit root (ADF,
PP and KPSS) tests, Granger Causality test, Engle-Granger Cointegration method and
finally; Error Correction Model (ECM). To concluded that there was no causal relationship
between BSE and GDP but in the case of NSE and GDP there was a unidirectional
relationship and that runs from GDP to NSE.
Mr. Divyang j joshi (2012), studied about testing market efficiency of Indian stock
market”. The purpose of this study was to tested the random walk theory in Bombay stock
exchange. The main intention of this paper was to study the efficiency level in Indian stock
market and the random walk nature of the stock market by using run test for the period
from 1st January 2001 to 31st December 2010. In this paper, 6 major indices [BSE 30, BSE
100,200,500, BSE small cap and BSE midcap] are studied. The results showed the evidence
of the inefficient form of the Indian stock market in long run but efficient form in short
term. So, the findings support the random-walk hypothesis in short duration but in long
term didn’t. All indices of BSE were not supported the weak form of market efficiency.
The information regarding yesterday's and today’s indices can be used to predict
tomorrow’s indices.
pg. 26
A. Q. Khan, Sana Ikram and Mariyam Mehtab (2011), studied about testing weak form
market efficiency of Indian capital market: A case of national stock exchange (NSE) and
Bombay stock exchange (BSE). The main aim of the study was to developed an
understanding of the various forms of efficiency of the stock market. The efficiency of the
Indian capital market was tested using the daily closing values of the indices of NSE and
BSE over the period of 1st April 2000 to 31st March 2010 by employing Runs Test, which
was a nonparametric test. Based on the result of runs test alternate hypothesis was rejected
and it was proved that Indian Capital market neither follow random walk model nor was a
weak form efficient. Study confirmed that both the NSE and BSE do not follow the random
walk and the Indian Capital Market is not weak form efficient. To concluded that develop
an understanding of the various forms of efficiency of the stock market.
Dr. Satish Kumar (2017), studied about market efficiency in India: An empirical study of
Random walk hypothesis of Indian stock market NSE midcap. The main aim of the study
was to tested the validity of RWH in NSE Midcap 50 F&O Segment. This study examined
whether the Indian stock market is efficient if the stock returns follow a random walk. The
study employed daily closing prices of NSE Midcap 50 Index for a time period of 15 Sept
2010 - 28 Nov 2014. The existence of random walk for NSE Midcap Index has been
examined through autocorrelation, Q-statistics and the run test and found that the Indian
stock market was not efficient in the weak form during the testing period. Study was found
the stock prices in India was not reflected all the information in the past stock prices and
abnormal returns can be achieved by investors through exploiting the market inefficiency.
Gagan Deep Sharma, Mandeep Mahendru (2009), they studied about efficiency
hypothesis of the stock markets: A case of Indian securities. The main aim of the study was
to investigated the validity of the efficient market hypothesis on the Indian securities
market. Taken a sample of eleven securities listed on the Bombay Stock Exchange (BSE),
the oldest stock exchange of Asia. Applied the runs tests and the autocorrelation tests in
order to judge the efficiency of the Stock Markets. It was observed that the effect of stock
prices for the sample companies on future prices is very meagre and an investor cannot
reap profits by using the share price data as the current share prices already reflect the effect
of past share prices. Study was found out that indicated that the BSE needs to strengthen
its regulatory capacity to boost investors’ confidence.
pg. 27
Velmurugan Ramaseamy (2016), studied about day of the week effect in Indian stock
market with reference to NSE nifty Index. The main aim of the study was identifying the
existence of the day of the week effect in Indian stock market. The study utilized the daily
return data of the National Stock Exchange’s CNX Nifty Index for the period ranging from
April 2011 to March 2016 for analysis. The collected secondary data are analysed by
applying descriptive statistics and ordinary Least Square Regression (OLS). The results of
the study confirmed that the existence of seasonality in stock returns in India and
prevalence of the anomalies in Indian Stock Market. Study was found out that Indian stock
market was inefficient. To concluded that lower returns on Tuesday and maximum returns
on Wednesday in Nifty index.
Kaushik Bhattacharya and Debabrata Mukhopadhyay (2003), they studied about
stability of the day of the week effect in return and in volatility at the Indian capital market:
A GARCH approach with proper mean specification. The study specified a generalized
autoregressive conditional heteroscedasticity (GARCH) model on returns. Results were
compared to those based on ordinary least squares (OLS) procedure to examined how
erroneous the inference on day-level seasonality could be when the aspect of volatility is
ignored. Found strong evidence that the significant positive returns at the Indian capital
market during the early 1990‟s on Friday were mostly due to non-reporting Fridays. To
concluded that the significant positive returns at the Indian capital market during the early
1990‟s on Friday were mostly due to non-reporting Fridays.
Papia Mitra (2016), studied about day of the week effect on stock market return and
volatility: evidence from Indian stock market”. The main aim of the study was to
Investigated the presence of Day-of-the-Week (DOW) effect in stock market return as well
as the volatility of both the indexes [BSE Sensex and NSE Nifty]. The period covered from
January 2000 to December 2015 used daily closing prices. It has incorporated the GARCH
model specifications where a conditional variance term is included to eliminated the
problem of heteroscadasticity of the residual term. The empirical results suggested that
there exists no day-of-the-week effected on the stock return of Sensex and Nifty indexes,
the volatility on Tuesday was statistically significant to explain the variation in the
expected stock return. To concluded that Friday and Monday are the most volatile days for
Sensex and Nifty respectively.
pg. 28
Ranjan Dasgupta (2012), studied about long run and short run relationship between BSE
Sensex and macroeconomic variables. His study was attempted to explore the long-run and
short-run relationships between BSE SENSEX and four key macroeconomic variables of
Indian economy by using descriptive statistics, ADF tests, Johansen and Juselius’s
cointegration test and Granger causality test. Monthly data has been used from April, 2007
to March, 2012 for all the variables, i.e., BSE SENSEX, wholesale price index, index of
industrial production, exchange rate and call money rate. Results showed that all the
variables have contained a unit root and are integrated of order one. To concluded that no
short-run relationships between the BSE Sensex index and the macroeconomic variables
selected under this study by applying Granger causality test.
Sunil Poshakwale (1996), studied about evidence on weak form efficiency and day of the
week effect in the Indian stock market”. This study provided empirical evidence on weak
form efficiency and the day of the week effect in Bombay Stock Exchange over a period
of 1987-1994. The results provided evidence of day of the week effect and that the stock
market was not weak form efficient. The day of the week effect observed on the BSE pose
interesting buy and hold strategy issues. The results of runs test and serial correlation
coefficients tests indicate non-random nature of the series and, therefore, violation of weak
form efficiency in the BSE. To concluded that The weekend effect was evidenced as the
returns achieved on Fridays was significantly higher compared to rest of the days of the
week.
Ashok Bantwa (2017), studied about a study on India volatility index (VIX) and its
performance as risk management tool in Indian stock market”. The main aim of the study
was to study the performance of volatility Index as a barometer of investor's sentiment and
volatility in stock market. It was found that portfolio performance can be improved by
shifting the portfolio from midcap to large cap stocks when India VIX goes up and shifting
the portfolio from large-cap to mid-cap when India VIX goes down. To concluded that
changed in volatility as the main driver for time varying risk premium.
Renu Choudhary and Neha Jain (2020), they studied about research on volatility pattern
of BSE BANKEX Index & BSE Sensex index using Exponential weighted moving
Average Model”. The main aim of the study was to model the volatility patterns of Bombay
Stock Exchange (BSE) Sensex and BSE BANKEX Index using EWMA model. S&P BSE
pg. 29
BANKEX index moment of last 10 years represented also the great attractions of investors
and the high volume of turnovers. Considered data ranging from 2008 to 2018. Basic
statistics showed the mean and risk value in the BANKEX index (0.2013). The returns
were over 17 times in 10 years and BANKEX index have absorbed the global financial
crisis well. To concluded that volatility last 10 years represented also the great attractions
of investors and the high volume of turnovers.
Venkataramanaiah. M (2016), studied about a study on volatility in Indian stock market.
The main aim of the study was to examined the movement of inter and intra-day volatility
in BSE Sensex. The daily indices of Sensex for a period of 10 years from 1998 to 2008
have taken for the study. It was found that daily average returns and daily average volatility
across the index was varying over time and space. This divergence was highly
demonstrable. Sometimes provided as high as 0.04 per cent retune while sometimes it was
negative.
P. Nageswari, m. Selvam and J. Gayathri (2011), they studied about analysis of Monday
effect in Indian stock market. The main aim of the study was to examined the week end
effect in the Indian stock market. The S&P CNX Nifty was well diversified, with
50 stocks accounting for 22 Sectors of the Economy. It represented about 56% of
the free float market capitalization as on September 30th, 2010. It was found that
there was the highest mean return earned in Friday and the lowest/negative mean return
earned in Monday for the sample indices. To concluded that there was no significant day
of the week effect in the Indian stock market during the study period. It was suggested
that the investors may buy the shares on Monday and sold them on Friday because
they might get returns better than on other days of the week.
Vandana Khanna (2015), studied about day-of-the-week effect in returns in the Indian
capital market: evidence from the national stock exchange”. The main aim of the study was
to examined the stability of the day-of-the-week effect in returns and volatility in the Indian
capital market. The study was based on 203 companies listed on the national stock
exchange. It was found that the results revealed the absence of day-of-the-week effect for
the aggregate period whereas, the Monday effect was found for the post-liberalization
period. To concluded that day-of-the-week effect suggested that market participants could
pg. 30
predict the market and can benefit from the market by timing their plans for investment
and sale of securities.
E.Vijaya (2016), studied about an empirical analysis on behavioural pattern of Indian retail
equity investors. The main aim of the study was to identify the broad behavioural factors
that determines the retail investors’ stock selection decision. The study was conducted by
using a structured questionnaire from a sample of 182 prospective retail equity investors
residing twin cities of Hyderabad and Secunderabad cities. Study has conducted Structural
equation model (SEM) to portray relationships among variables. The results of the study
revealed that behavioural factors such as Overconfidence, Disposition effect and Herd
behaviour had significant and positive relationship with investment performance whereas
market factors had negative relationship with investment performance.
Mitesh Patel and Ritesh Patel (2012), studied about investors behavior in equity market:
a study of investors in Ahmedabad city. The main aim of the study was to develop a broader
understanding towards behavior of investors to identify patterns of their investing and
considering investments. Study was done by using various tools such as factor analysis,
one-way ANOVA and chi-square test. It was concluded that When there is bullish trend in
the market maximum people invest in alternative that gives them stable but lower expected
result, Even the business or professional investors prefer to invest in same alternative.
K. Riyazahmed and M. G. Saravanaraj (2018), studied about a study on factors
influencing buying behavior of securities in Indian stock markets. The main aim of the
study was to analyse the factors impact individual investor’s decision while buying or
investing in Indian stock market. T-test applied in this research. The variables of Market,
herding, prospect are several ones reported to have high influences on the investment
decision making. It was concluded that most of the behavioural variables of four factors:
Prospect, Herding, market variables have high impact on individual investors decision
making in the Indian stock market.
pg. 31
Research gap
Few authors merely study on BSE Sensex and few authors are merely study on NSE Nifty.
Lack of evidence of investors' behavior. Need to further study the relationship between
returns & volume by effects of different forms. Scholars need to analyze the random walk
hypothesis in NSE Nifty and BSE Sensex also. Few authors were study only correlation
between to behavioral aspects whereas researcher have a scope to analyzed the cross
tabulation and chi-square.
pg. 32
CHAPTER 3
RESEARCH
METHODOLOGY
pg. 33
Data were collected from BSE website for analysis. The daily analyses and their closing
value of different indices of BSE and 195 samples of investors' behavior were used for
analysis for the period September 2020 to February 2021. The study is descriptive and
empirical in nature as it is mainly aimed at portraying the characteristics and behaviour of
retail equity investors’ towards equity investment and investment performance.
Hypotheses are framed to test the relationships between behavioural factors and investment
performance of equity investors.
Title
" A study on the performance of the stock market and investors behavior"
Objective
 To study the daily performance of the stock market with respect to BSE indices
 To study the investor's behavior towards the stock market
 To study the investor’s perceptions about the stock market
Hypothesis
Primary data
 H1: There is significant difference between investors and their investment
objective
 H2: There is significant difference between investors and their problems in which
they are affected.
 H3: There is significant difference between kind of investors and their occupations
 H4: There is significant difference between kind of investors and their education
 H5: There is significant difference between kind of investors and their income
 H6: There is significant difference between category of investors and their
education
 H7: There is significant difference between category of investors and their
occupation
 H8: There is significant difference between category of investors and their income
 H9: There is significant difference between investor’s experience in the market and
their education
 H10: There is significant difference between investor’s experience in the market
and their occupation
pg. 34
 H11: There is significant difference between investor’s experience in the market
and their income
 H12: There is significant difference between investor’s savings in the stock market
and their education
and their occupation
and their income
Secondary Data
 H1: There is no significant difference in all indices of BSE returns before and after
Diwali event
 H2: There is no significant difference in Nifty returns before and after change in
calendar year.
 H3: There is no significant difference in the mean volatility among the quarters
 H4: There is no significant difference in the mean volatility among the different
festivals or events
 H5: The return series in all indices of BSE is random
 H6: There are no differences in the average return on the stock indices across the
days of the week.
 H7: There are no differences in the volatility of the stock indices across the days of
the week.
Statement of the problem
To study the perception of the investors towards their monthly trading behavior in the
Indian stock market based on volatility and return. “A study on the performance of the
stock market and investors behavior"
Methodology for data collection
Secondary data
Secondary data has collected from BSE websites and taken closing price of major 16
indices. 6 months’ data were has analyzed – September 2020 to February 2021
pg. 35
Here researcher considered different indices of BSE, following are
BSE SENSEX BSE SENSEX 50 BSE SENSEX NEXT 50
BSE 100 BSE 100 ESG Index BSE 100 LargeCap TMC
BSE 150 MidCap BSE 200 BSE 250 LargemidCap
BSE 250 SmallCap BSE 400 MidSmallCap BSE 500
BSE AllCap BSE LargeCap BSE MidCap
BSE SmallCap
Primary data
The study is quantitative in nature. Questionnaire method of collecting data is adopted. The
questionnaire that has been put into study was developed by Loung and Thu Ha. 195
questionnaires have been received which are fully completed and can be used for the
research. It took 1 months to collect the responses. Simple random sampling technique was
adopted to distribute the questionnaires. The respondents were from Surat, Ahemedabad,
Vadodara, Bardoli and nearest Surat cities. The study adopted the five point Likert scale
which seems appropriate and ideal for survey instrument. The respondents were furnished
with scenario based questions to which they were asked to mark their response in a range
from 1(very high) to 5(very low).
Variables Under Study
Demographic Factors, Awareness, and Perceived Risk Attitude have been
considered as independent variables and Investment Behaviour has been considered
as the dependent variable.
Demographic Factors
Demographic Factors of an investor refers to the investor’s age, gender, academic
qualification, annual income, experience, closed investment questions, etc.
Awareness
Awareness refers to consciousness. There are two components of Awareness
Namely Social Learning and Financial Awareness.
Perceived Risk Attitude
It refers to the perceived degree of uncertainty regarding an unknown event. There
are two components of Perceived Risk Attitude Namely Affect and Cognition.
Affect is mainly guided by emotion when Cognition is logical.
pg. 36
Investors Behaviour
Two types of investors invest in the stock market. They are individual investors and
institutional investors. The present research focus is on individual investors.
Tools for analysis
Primary data
In this section researcher first analyze frequency of total 195 respondents. Then we have
calculated cross tabulation between 2 components, researcher have analyzed following
statistical tools
 Frequency
 Chi-square
 Rank Correlation
 One sample t-test
Secondary Data
In this section, researcher first describe about the data set used in this study. The data set
is major BSE indices. In order to study the pattern of time varying volatility of daily returns,
ARCH-M model was employed. The data is collected on daily closing prices of BSE
Sensex stock price index from 1st Sept, 2020 to 26th Feb, 2021. The sample size comprises
of daily closing price, is of 125 observations days for BSE. The data is obtained from
www.bseindia.com online data base. The stock market volatility has been estimated on
return in this study, researcher have examined inter-day and intra- day returns of Sensex.
Stock prices are usually observed at fixed intervals of time (daily, weekly or monthly) and
we then have a time in this study, researcher have examined inter-day and intra- day returns
of Sensex. Stock prices are usually observed at fixed intervals of time (daily, weekly or
monthly).
To calculate return:
R= LN(Pt/P0)
Where, R= Return
LN= Natural logarithm function
Pt= Today’s closing price
P0= Yesterday’s closing price
pg. 37
Here, Rt is logarithmic daily return at time t and Pt-1 and Pt are daily prices of an asset at
two successive days, t-1 and t respectively. For the time series analysis, transformation of
original series is required and depending upon the type of series when the data is in the
level form. In this paper we have transformed the series of return by taking natural
logarithm of the series. As per research scholars (Bollerslev, 1986; Schewert, 1989; Engle
and Patton, 2001; Harvinder Kaur, 2001; M. Karmakar, 2005) have pointed out two
advantages of this kind of transformation of the time series data. First, it eliminates the
possible dependence of changes in stock price index on the price level of the various
indexes. Second, the change in the log of the stock price index yields continuously
compounded series.
To Find Daily Volatility:

Once the daily return has calculated use excel function called ‘STDEV’ to
calculate the standard deviation of daily returns, which of you realize the
daily volatility of particular indices or stocks.
To calculate annual volatility:
In order to convert the daily volatility to annual volatility just multiply the daily
volatility number with the square root of time.
Unit root test
Unit-root problem is concerned with the existence of characteristic roots of a time
series model on the unit circle. Recall that a random walk model is zt = zt−1 + at,
where {at} is a white noise process. In general, {at} can be a sequence of martigale
differences, that is, E (at |Ft−1) = 0, Var(at |Ft−1) is finite, and E(|at | 2+δ |Ft−1) <
∞ for some δ > 0, where Ft−1 is the σ-field generated by {at−1, at−2, . . .}. For
simplicity, one often assumes that Z0 = 0. It will be seen later that this assumption
has no effect on the limiting distributions of unit-root test statistics. This simple
model plays an important role in the unit-root literature. The assumption that at is
a martingale difference is the basic setup used in Chan and Wei (1988, Annals of
Statistics) for their famous paper on limiting properties of unstable AR processes.
However, this assumption can be relaxed without introducing much complexity. In
what follows, we adopt the approach of Phillips (1987, Econometrical) with a single
unit root and at is a stationary series with weak serial dependence. The case of unit
pg. 38
roots with multiplicity greater than 1 or other characteristic roots on the unit circle
can be handled via the work of Chan and Wei (1988).
The results of the previous section can be used to test for a unit root, especially the
t-ratio statistics. Assume that the true model is zt = zt−1 + yt and, for simplicity, we
start with the model zt = πzt−1 + et. The null hypothesis is Ho : π = 1 and the
alternative is Ha : π < 1. From the basic theorem, the limiting distribution of the t-
ratio of the least squares estimate ˆπ depends on some parameters of yt series. These
parameters of yt become nuisance parameters and we shall consider ways to
overcome them. To this end, we shall focus on the case that yt is driven by some
martingale-difference sequence. Later we shall consider the model zt = α0 + πzt−1
+ et
ARCH-M Model
An ARCH (autoregressive conditionally heteroscedastic) model is a model for the
variance of a time series. ARCH models are used to describe a changing, possibly
volatile variance. Although an ARCH model could possibly be used to describe a
gradually increasing variance over time, most often it is used in situations in which
there may be short periods of increased variation. (Gradually increasing variance
connected to a gradually increasing mean level might be better handled by
transforming the variable.)
ARCH models were created in the context of econometric and finance problems
having to do with the amount that investments or stocks increase (or decrease) per
time period, so there’s a tendency to describe them as models for that type of
variable. For that reason, the authors of our text suggest that the variable of interest
in these problems might either be yt=(xt−xt−1)/xt−1, the proportion gained or lost
since the last time, or log(xt/xt−1)=log(xt)−log(xt−1), the logarithm of the ratio of
this time’s value to last time’s value. It’s not necessary that one of these be the
primary variable of interest. An ARCH model could be used for any series that has
periods of increased or decreased variance. This might, for example, be a property
of residuals after an ARIMA model has been fit to the data.
pg. 39
The ARCH (1) Variance Model
Suppose that we are modelling the variance of a series yt . The ARCH (1) model
for the variance of model yt is that conditional on yt-1 , the variance at time t is
(1) Var(yt|yt−1)=σt2=α0+α1yt−12
We impose the constraints α0 ≥ 0 and α1 ≥ 0 to avoid negative variance.
Note!
The variance at time t is connected to the value of the series at time t – 1. A
relatively large value of yt−12 gives a relatively large value of the variance at
time t. This means that the value of yt is less predictable at time t −1 than at times
after a relatively small value of yt−12.
If we assume that the series has mean = 0 (this can always be done by centering),
the ARCH model could be written as
(2) yt=σtϵt,
with σt=α0+α1yt−12,
and ϵt∼iid(μ=0,σ2=1)
For inference (and maximum likelihood estimation) we would also assume that
the ϵt are normally distributed.
Possibly Useful Results
Two potentially useful properties of the useful theoretical property of the
ARCH (1) model as written in equation line (2) above are the following:
yt2 has the ARCH (1) model yt2=α0+α1yt−12+ error.
This model will be causal, meaning it can be converted to a legitimate
infinite order MA only when α12<13
 yt is white noise when 0 ≤ α1 ≤ 1.

Limitation of the study
For Primary data
 The limitation of the study is the data has taken for six months only starting from
September 2020.
pg. 40
For secondary data
 Further hardly India has a 0.2% Investors and researcher have collected only 195
investors sample for study because lack of communication. The mode of filling
questionnaire was Google form, researcher preferred paper form because we can
explain the questions to investor when he/she did not understand during filling
questionnaire form.
Scope of the study
 To study the volatility and return of exchange markets (BSE) how it affected most
to investors behavior.
 To examine the pattern of the movement of share prices in the Indian Stock market,
that is, whether they move in an independent manner or not.
 To trace the trend of the movement of the stock market index over the last decade
pg. 41
CHAPTER 4
DATA ANALYSIS AND
INTERPETATION
pg. 42
Result of Confirmation
Researcher has analysed different statistical tools based on received respondents. There
were 195 responses were taken from Surat district and researched also found out that
respondents were from another district like Bardoli, Ahmedabad, Vapi and more. Research
has analysed different analysed technical tools like frequency, correlation coefficient, chi-
square, cross tabulation analysis.
PART 1 PRIMARY DATA ANALYSIS
The research findings are segregated as follows.
Findings on the basis of Demographic Profile of the respondents:
Table no. 1.1 Age group wise
Age Frequency Percent Cumulative Percent

>20 12 6.2 6.2
20 to 30 132 67.7 73.8
31 to 40 30 15.4 89.2
41 to 50 21 10.8 100.0
Total 195 100.0
Interpretation:
This research has attempted to study all age categories for analysis. 12 no. of respondents
were represented between the age group less than 20 years which constituted 6.2% of study
sample. 132 no. of respondents between the age group 20 to 30 years which constituted
highest 67.7% of sample population. 30 respondents between the age group 31 to 40 years
which comprised 15.4% of sample population. 21 respondents in between mid-age 41 to
50 years which comprised 10.8% of sample population.
Table no. 1.2 Gender group wise
Gender Frequency Percent Cumulative Percent

Male 171 87.7 87.7
Female 24 12.3 100.0
Total 195 100.0
Interpretation:
171 male respondents were dealt with the Stock market and only 24 female respondents
which is not even one-seventh of male population. Mostly males invest in the stock
market. Female ratio is very less compared to male.
pg. 43
Table no. 1.3 Education group wise
Education Frequency Percent Cumulative Percent

Primary Education 6 3.1 3.1
Secondary Education 51 26.2 29.2
Graduated 93 47.7 76.9
Post Graduated 39 20.0 96.9
Others 6 3.1 100.0
Total 195 100.0
Interpretation:
6 no. of respondents were represented level of primary education which constituted 3.1%
of sample population. 51 no. of respondents were represented taken secondary education
which constituted 26.2% of sample population. 93 no. of respondents were represented
done with graduated which constituted highest 47.7% of sample population. 39 no. of
respondents were represented done with post graduated which constituted 20% of sample
population. Remaining investors are including in other category like who done investment
related certification courses, training etc. Most of the investors in the stock market are
graduates in academic qualification.
Table no. 1.4 Occupation group wise
Occupation Frequency Percent Cumulative Percent

Student 75 38.5 38.5
Businessman 75 38.5 76.9
Serviceman 6 3.1 80.0
Private Employee 30 15.4 95.4
Retired 3 1.5 96.9
Others 6 3.1 100.0
Total 195 100.0
Interpretation:
75 no. of respondents were Students and Businessman each which constituted highest
38.5% of sample population. 6 respondents were serviceman which constituted 3.1% of
sample population. 30 no. of respondents were private employee which constituted 15.4%
of sample population. 3 of them were retired persons which constituted 1.5% of sample
population. 6 investors were including other occupation like farmers, manufacturers etc. In
occupation most of the investors are students and businessman.
pg. 44
Table no. 1.5 District group wise
District Frequency Percent Cumulative Percent

Surat 102 52.3 52.3
Bardoli 12 6.2 58.5
Ahmedabad 6 3.1 61.5
Vapi 6 3.1 64.6
Vadodara 12 6.2 70.8
Others 57 29.2 100.0
Total 195 100.0
Interpretation:
Maximum respondents were from Surat which is 102 of total sample population and it
constituted 52.3%, which is more than half of total sample population. 12 no. of
respondents were from Bardoli and Vadodara each which constituted 6.25 of sample
population. 6 respondents were from Ahmedabad and Vapi each which constituted 3.1%
of sample population. 57 no. of respondents were including in other district like Anand,
Bhavnagar, Rajkot, Nadiad, Ankleshwar etc.
Table no. 1.6 Income group wise
Income Frequency Percent Cumulative Percent

<2,00,000 Rs. 81 41.5 41.5
2,00,000 to 4,00,000 Rs. 66 33.8 75.4
4,00,000 to 6,00,000 Rs. 36 18.5 93.8
>6,00,000 Rs. 12 6.2 100.0
Total 195 100.0
Interpretation:
41.5% had a total income was less than 2 lakhs which is average income-scale. 66
respondents indicated that their annual earnings between 2 lakhs to 4 lakhs which is
maximum number of respondents. Furthermore, one-fourth respondents were belonged to
higher income group i.e., between 4 to 6 lakhs. In other words, 18.5% were belonged to 4
to 6 lakhs and 6.2% respondents were above Rs. 6 lakhs which corresponding to 36 and 12
respectively.
pg. 45
Findings on the basis of Trading Behavior of the respondents:
Table no. 2.1 Are you which kind of investor?
Frequency Percent Cumulative Percent
Retail Investor 144 73.8 73.8
Professional Investor 51 26.2 100.0
Total 195 100.0
Interpretation:
Professional investors exert considerable influence on all asset classes. The difference
between professional and retail investors is large, but shrinking. While the two have their
own advantages, the retail investor is slowly but surely becoming more knowledgeable
about investments by gaining exposure to better information, reduced fees, and access to
large asset. Here the ratio of retail investors was high compare to professional investors
which corresponding to 144 and 51 respectively.
Table 2.2. Category of Investor?

Long term investor 81 41.5 41.5
Short term investor 27 13.8 55.4
Both 87 44.6 100.0
Total 195 100.0
Interpretation:
Here research has attempted to study and found out that the objective of most of the
investors to invest in stock market is to make long term profit because there were 81 no. of
respondents under long term investor which constituted 41.5% near to half of sample
population. 27 no. of respondents were short term investors which constituted 13.8% of
sample population. 87 no. of respondents were possessed long term investor and short term
investor both which constituted 44.6% that is also near to half of sample population.
pg. 46
Table 2.3 Type of market operated?
Primary market 54 27.7 27.7
Secondary market 51 26.2 53.8
Both 90 46.2 100.0
Total 195 100.0
Interpretation:
90 no. of investors were dealt in both primary market and secondary market which highly
constituted 46.2% near to half of sample population. Primary market is where securities
are created, while the secondary market is where those securities are traded by investors.
In the primary market, companies sell new stocks and bonds to the public for the first time,
such as with an initial public offering (IPO). Whereas 54 no. of respondents were belonging
to primary market operated which constituted 27.7% and 51 no. of respondents were
belonging to secondary market operated which constituted 26.2% of sample population.
Table 2.4 Experience in the market?

<1 year 90 46.2 46.2
1-3 years 54 27.7 73.8
>3 years 51 26.2 100.0
Total 195 100.0
Interpretation:
Maximum of the investors in the stock market are less than 1 year experienced in this field
as they are making investment in stock market which constituted 46.2% of sample
population.
Table 2.5 Number of equity stocks in which investment is made?
<10 126 64.6 64.6
10-20 45 23.1 87.7
>20 24 12.3 100.0
Total 195 100.0
Interpretation:
126 no. of respondents were less than 10 equity stocks in which investment is made which
constituted 64.6% that is more than half of sample population. 45 no. of respondents were
pg. 47
made investment in between 10 to 20 equity stocks which constituted 23.1% of sample
population. 24 no. of respondents were made investment in more than 20 equity stock
which constituted 12.3% of sample population that mean they are very aggressive to taking
risk.
Table 2.6 State the approximate size of investment in shares as on date
<1,00,000 111 56.9 56.9
1,00,000 to 2,00,000 51 26.2 83.1
>2,00,000 33 16.9 100.0
Total 195 100.0
Interpretation:
111 no. of respondent’s investment size in shares were less than 1 lakh which constituted
more than half of sample population 56.9%. 51 no. of respondent’s investment size in
shares were between 1 lakh to 2 lakhs which constituted 26.2% of sample population. 33
no. of respondent’s investment size in shares were more than 2 lakhs which constituted
16.9% of sample population.
Table 2.7 What percentage of savings invested in stock market (annually)?
<10% 69 35.4 35.4
10% - 20% 96 49.2 84.6
>20% 30 15.4 100.0
Total 195 100.0
Interpretation:
96 no. of respondents were invested less than 10% of their savings which constituted highly
35.4% of sample population. 96 no. of respondents were invested between 10% to 20% of
their savings which constituted 49.2% of sample population. There were 30 no. of
respondents invested more than 20% of their savings which constituted 15.4% of sample
population.
pg. 48
Table 2.8 While investing in the stock market, what is your main goal?
Future planning 54 27.7 27.7
Wealth creation 66 33.8 61.5
Extra income for family 33 16.9 78.5
Social welfare 6 3.1 81.5
Investment 18 9.2 90.8
Others 18 9.2 100.0
Total 195 100.0
Interpretation:
54 no. of respondents were investing in the stock market for the purpose of future planning
which constituted 27.7% of sample population. 66 no. of respondents main goals to
investing in the stock market was for wealth creation which constituted 33.8% of sample
population. 33 no. of respondents main goals to investing in the stock market was for extra
income for family which constituted 16.9% of sample population. 6 investors were
investing in the stock market for the purpose of social welfare which constituted 3.1% of
sample population. 18 no. of respondents were investment in the stock market for the
purpose of investment and others each, which constituted 9.2% of sample population each.
pg. 49
Rank Correlations of Question 9: Rank the following sources of
investment information based on usage and reliability (1 to 11)
The correlation coefficient, rs, can take value from +1 to -1. A rs of +1 indicates a perfect
association of ranks. A rs of zero indicates no association between ranks and a rs of -1
indicates a perfect negative association of ranks. The closer rs is zero, the weaker the
association between the ranks
Table 2.9 Pearson’s Correlation
Pearson’s Correlation
1 2 3 4 5 6 7 8 9 10 11
Newspaper Correlation 1 .903 .840 .821 .742 .692 .744 .734 .706 .636 .771
Journals
Correlation .903 1 .817 .761 .713 .671 .681 .673 .647 .564 .816
Magazines
TV Channels Correlation .840 .817 1 .784 .759 .747 .746 .746 .781 .647 .746
Investment
Correlation .821 .761 .784 1 .865 .829 .819 .811 .776 .740 .745
related websites
Analyst report Correlation .742 .713 .759 .865 1 .904 .935 .921 .869 .877 .742
Investor forum Correlation .692 .671 .747 .829 .904 1 .869 .908 .894 .835 .807
Company
Correlation .744 .681 .746 .819 .935 .869 1 .939 .865 .892 .686
announcements
Stock Exchange
Correlation .734 .673 .746 .811 .921 .908 .939 1 .906 .890 .706
announcement
Broker Tips /
Correlation .706 .647 .781 .776 .869 .894 .865 .906 1 .807 .689
Advice
My own analysis Correlation .636 .564 .647 .740 .877 .835 .892 .890 .807 1 .676
Others (Friends,
Correlation .771 .816 .746 .745 .742 .807 .686 .706 .689 .676 1
Relatives etc)
. Correlation is significant at the 0.01 level (2-tailed).
pg. 50
Table 2.10 Spearman’s Correlation
Spearman’s Correlation
1 2 3 4 5 6 7 8 9 10 11
Newspaper (1) Correlation 1.000 .826 .787 .752 .665 .585 .648 .634 .635 .566 .698
Journals&Magazi
Correlation .826 1.000 .816 .759 .670 .635 .626 .630 .596 .498 .777
nes (2)
TV Channels(3) Correlation .787 .816 1.000 .752 .703 .680 .694 .668 .695 .579 .702
Investment related
Correlation .752 .759 .752 1.000 .832 .778 .771 .767 .685 .676 .701
websites (4)
Analyst report(5) Correlation .665 .670 .703 .832 1.000 .873 .873 .835 .768 .795 .692
Investor forum(6) Correlation .585 .635 .680 .778 .873 1.000 .829 .855 .804 .778 .760
Company
Correlation .648 .626 .694 .771 .873 .829 1.000 .893 .760 .831 .641
announcements(7)
Stock Exchange
Correlation .634 .630 .668 .767 .835 .855 .893 1.000 .805 .836 .666
announcement(8)
Broker Tips /
Correlation .635 .596 .695 .685 .768 .804 .760 .805 1.000 .712 .613
Advice(9)
My own
Correlation .566 .498 .579 .676 .795 .778 .831 .836 .712 1.000 .634
analysis(10)
Others (Friends,
Correlation .698 .777 .702 .701 .692 .760 .641 .666 .613 .634 1.000
Relatives etc)(11)
Interpretation:
In Pearson correlation, relation between newspaper and other investment information
source is high but not near to 1. Correlation between Journals & Magazines and other
investment information source is increase to decrease. Correlation between TV Channels
and other investment information source is more than 0.5. correlation between investment
related websites and other investment information source is near to 1. Correlation between
analyst report and other investment information source is medium. in next all the aspect
has positive correlation between other investment information sources. In both, i.e.,
Pearson correlation and Spearman correlation showing positive correlation.
pg. 51
Rank Correlations of Question 10: Rank your sectoral preference for stocks (1 to 8)
Table 2.11 Spearman’s Correlation
Spearman’s Correlation
1 2 3 4 5 6 7 8
IT Sector(1) Correlation Coefficient 1.000 .738 .830 .778 .831 .742 .725 .710
Bank Sector(2) Correlation Coefficient .738 1.000 .747 .786 .817 .775 .785 .822
FMCG Sector(3) Correlation Coefficient .830 .747 1.000 .836 .820 .741 .777 .758
MNC Sector(4) Correlation Coefficient .778 .786 .836 1.000 .851 .804 .824 .863
Service Sector(5) Correlation Coefficient .831 .817 .820 .851 1.000 .830 .843 .824
Energy Sector(6) Correlation Coefficient .742 .775 .741 .804 .830 1.000 .847 .779
Pharma Sector(7) Correlation Coefficient .725 .785 .777 .824 .843 .847 1.000 .821
Infrastructure & Capital
Correlation Coefficient .710 .822 .758 .863 .824 .779 .821 1.000
goods Sector(8)
Table 2.12 Pearson’s Correlation
Pearson’s Correlations
1 2 3 4 5 6 7 8
IT Sector(1) Correlation 1 .787 .885 .827 .868 .796 .774 .770
Bank Sector(2) Correlation .787 1 .789 .828 .837 .791 .834 .859
FMCG Sector(3) Correlation .885 .789 1 .856 .862 .777 .831 .793
MNC Sector(4) Correlation .827 .828 .856 1 .872 .817 .867 .893
Service Sector(5) Correlation .868 .837 .862 .872 1 .854 .876 .854
Energy Sector(6) Correlation .796 .791 .777 .817 .854 1 .884 .800
Pharma Sector(7) Correlation .774 .834 .831 .867 .876 .884 1 .845
Infrastructure &
Capital goods Correlation .770 .859 .793 .893 .854 .800 .845 1
Sector(8)
. Correlation is significant at the 0.01 level (2-tailed).
Interpretation:
It can be found that there is a positive correlation in Pearson and Spearman correlation.
Here correlation is significant.
pg. 52
Table 2.13 State the level of importance of the following investment objective
Null hypothesis:
H0: There is no significant difference between investors and their investment objective
H1: There is significant difference between investors and their investment objective
One-Sample Statistics
N Mean Std. Deviation Std. Error Mean
Dividends 195 1.8923 .89885 .06437
Capital Appreciation 195 1.8308 .88927 .06368
Quick gain 195 2.0923 .87443 .06262
Safety 195 1.9385 .96126 .06884
Liquidity 195 1.9538 .83291 .05965
Tax Benefit 195 2.3077 1.00908 .07226
Hedge against inflation 195 2.3846 .97429 .06977
Table 2.14 State the level of importance of the following investment objective
One-Sample Test
Test Value = 2
95% Confidence Interval of
Sig. (2- Mean the Difference
t df tailed) Difference Lower Upper
Dividends -1.673 194 .096 -.10769 -.2346 .0193
Capital Appreciation -2.657 194 .009 -.16923 -.2948 -.0436
Quick gain 1.474 194 .142 .09231 -.0312 .2158
Safety -.894 194 .372 -.06154 -.1973 .0742
Liquidity -.774 194 .440 -.04615 -.1638 .0715
Tax Benefit 4.258 194 .000 .30769 .1652 .4502
Hedge against inflation 5.513 194 .000 .38462 .2470 .5222
Interpretation:
From the above analysis suggested that null hypothesis is accepted. Hence, researcher can
conclude that there is no significant difference between investors and their investment
objectives through one sample test analysis. It indicated that major investors investment
objectives are safety, liquidity, quick gain and dividend.
pg. 53
Table 2.15 State the expected rate of return (ROR) per annum

<12% 63 32.3 32.3
12% -24% 105 53.8 86.2
24% - 36% 15 7.7 93.8
>36% 12 6.2 100.0
Total 195 100.0
Interpretation:
63 no. of respondents were expected return less than 12% from stock market which
constituted 32.3% of sample population. 105 no. of respondents were expected return
between 12% to 24% from stock market which constituted highly 53.8% of sample
population. 15 no. of respondents were expected return between 24% to 36% from stock
market which constituted 7.7% of sample population. 12 no. of respondents were expected
return more than 36% from stock market which constituted 6.2% of sample population.
Table 2.16 How much you are affected by the following problems.
One-Sample Statistics
Std. Std. Error
N Mean Deviation Mean
No proper advise by brokers 195 2.2154 1.09109 .07813
Too many channel giving too many opinion about the market 195 2.5077 .93262 .06679
Difficulty in operating online trading 195 2.7385 1.14347 .08189
Change of transaction password frequently 195 2.6000 .97600 .06989
Unauthorized transaction by brokers 195 2.3077 1.12502 .08056
pg. 54
Table 2.17 How much you are affected by the following problems.
H0: There is no significant difference between investors and their problems in which they
are affected
H1: There is significant difference between investors and their problems in which they are
affected.
One-Sample Test
Test Value = 2
95% Confidence
Interval of the
Sig. (2- Mean Difference
t df tailed) Difference Lower Upper
No proper advise by brokers 2.757 194 .006 .21538 .0613 .3695
Too many channel giving too many opinion

7.602 194 .000 .50769 .3760 .6394
about the market
Difficulty in operating online trading 9.018 194 .000 .73846 .5770 .9000
Change of transaction password frequently 8.585 194 .000 .60000 .4622 .7378
Unauthorized transaction by brokers 3.819 194 .000 .30769 .1488 .4666

Interpretation:
From the above analysis suggested that null hypothesis is rejected. Hence, researcher can
conclude that there is significant difference between investors and their problems in which
they are affected through one sample test analysis. It indicated that brokers are not giving
proper advised to their investors.
pg. 55
Table 2.18 What level of potential loss on your original investment is generally
acceptable to you?
No capital losses are acceptable, even if the returns
45 23.1 23.1
cannot keep pace with inflation
A small loss up to 5% is acceptable 93 47.7 70.8
A medium loss up to 15% is acceptable 42 21.5 92.3
A large loss up to 30% is acceptable 3 1.5 93.8
A large loss of more than 30% is acceptable 12 6.2 100.0
Total 195 100.0
Interpretation:
45 no. of respondents were showing conservative behavior that means no capital losses are
acceptable which constituted 23.1% of sample population. 93 no. of respondents were
showing that small loss up to 5% is acceptable which constituted highly 47.7% near to half
of sample population. 42 no. of respondents were showing that medium loss up to 15% is
acceptable which constituted 21.5% of sample population. 3 respondents were considering
that large loss up to 30% is acceptable which constituted 1.5% of sample population. 12
no. of respondents were considering large loss of more than 30% is acceptable which
constituted 6.2% of sample population.
pg. 56
Table 2.19 Hypothetical investment plans
Researcher have outlined the most likely best and worst case annual returns of five hypothetical
investment plans. which range of possible outcomes is the most acceptable to you? the figures are
hypothetical and do not represent the performance of any particular investment.
Cumulative
Frequency Percent
Percent
7.25%(Most likely), 15.00%(Best), -5.60%(Worst) 63 32.3 32.3
Total 195 100.0

Interpretation:
Here found out that 63 no. of investors afford 1st option which define conservative section
constituted 32.3% of sample population. 75 no. of investors afford 2nd option which define
small conservative profile constituted 38.5% of sample population. 42 no. of respondents
were from balanced approach which is 21.5% of overall sample population. 6 investors
were afforded 4th investment plans which constituted 3.1% of sample population. Lastly as
9 respondents were opted the aggressive style of investment which is just 4.6% of study
sample.
pg. 57
Cross Tabulation
Table 3.1 Are you which kind of investor? * Occupation
Null hypothesis:
Ho: There is no significant difference between kindly of investor and their occupations
H1: There is significant difference between kind of investors and their occupations
Crosstab
Occupation
Private Total
Student Businessman Serviceman Retired Others
Employee
Are you Retail
63 54 6 18 0 3 144
which Investor
kind of Professional
investor? Investor 12 21 0 12 3 3 51
Total 75 75 6 30 3 6 195
Chi-Square Tests
Value df Asymp. Sig. (2-sided)
a
Pearson Chi-Square 19.476 5 .002
Likelihood Ratio 20.525 5 .001
Linear-by-Linear Association 12.076 1 .001
N of Valid Cases 195
a. 6 cells (50.0%) have expected count less than 5. The minimum expected count is .78.
Interpretation:
conclude that there is difference between occupation and kind of investor through Pearson
chi square analysis. It indicated that service class people are majority retail investor while
self-employed and business man in both category i.e. professional and retail investors.
pg. 58
Table 3.2 Are you which kind of investor? * Education
Null hypothesis:
Ho: There is no significant difference between kindly of investor and their education
H1: There is significant difference between kind of investors and their education
Crosstab
Education
Primary Secondary Post Total
Graduated Others
Education Education Graduated
Retail
Are you 6 36 66 33 3 144
Investor
which kind
of investor? Professional 0 15 27 6 3 51
Investor
Total 6 51 93 39 6 195
Chi-Square Tests
Pearson Chi-Square 6.913a 4 .141
Linear-by-Linear Association .001 1 .979
a. 4 cells (40.0%) have expected count less than 5. The minimum expected count is 1.57.
Interpretation:
From the above analysis suggested that null hypothesis is accepted. Hence, researcher can
conclude that there was no significant association between education and kind of investor
through Pearson chi square analysis. It indicated that retail investors are majority
completed their study till post graduated compare to professional investors.
pg. 59
Table 3.3 Are you which kind of investor? * Income
Null hypothesis:
Ho: There is no significant difference between kindly of investor and their income
H1: There is significant difference between kind of investors and their income
Crosstab
Income
<2,00,000 2,00,000 to 4,00,000 to >6,00,000
Rs. 4,00,000 Rs. 6,00,000 Rs. Rs. Total
Are you which Retail Investor 66 42 30 6 144
kind of Professional
investor? 15 24 6 6 51
Investor
Total 81 66 36 12 195
Chi-Square Tests
a
Linear-by-Linear
2.283 1 .131
Association
a. 1 cells (12.5%) have expected count less than 5. The minimum
expected count is 3.14.
Interpretation:
conclude that there is difference between income and kind of investor through Pearson
more than 6 lakhs income investor in both category i.e. professional and retail investors.
pg. 60
Table 3.4 Category of Investor? * Education
Null hypothesis:
Ho: There is no significant difference between category of investor and their education
H1: There is significant difference between category of investors and their education
Crosstab
Education
Primary Secondary Post
Education Education Graduated Graduated Others Total
Category of Long term
3 21 42 12 3 81
Investor? investor
Short term
3 3 18 3 0 27
investor
Both 0 27 33 24 3 87
Total 6 51 93 39 6 195
Chi-Square Tests
Interpretation:
conclude that there is significant difference between education and category of investor
through Pearson chi square analysis. It indicated that long term investors highly educated
than short term investors. While 3 investors are in both category i.e. long term and short
term investors.
pg. 61
Table 3.5. Category of Investor? * Occupation
Null hypothesis:
Ho: There is no significant difference between category of investor and their occupation
H1: There is significant difference between category of investors and their occupation
crosstab
Occupation
Private
Student Businessman Serviceman Employee Retired Others Total
Category Long
of term 39 27 3 12 0 0 81
Investor? investor
Short
term 12 15 0 0 0 0 27
investor
Both 24 33 3 18 3 6 87
Total 75 75 6 30 3 6 195
Chi-Square Tests
a
Interpretation:
conclude that there is difference between occupation and category of investor through
Pearson chi square analysis. It indicated that service class people are majority retail
investor while self-employed and business man in both category i.e. professional and retail
investors.
pg. 62
Table 3.6 Category of Investor? * Income
Null hypothesis:
Ho: There is no significant difference between category of investor and their income
H1: There is significant difference between category of investors and their income
Crosstab
Income
<2,00,000 2,00,000 to 4,00,000 to >6,00,000
Rs. 4,00,000 Rs. 6,00,000 Rs. Rs. Total
Category of Long term
39 33 9 0 81
Investor? investor
Short term
18 3 3 3 27
investor
Both 24 30 24 9 87
Total 81 66 36 12 195
Chi-Square Tests
a
Interpretation:
conclude that there is difference between income and category of investor through Pearson
more than 6 lakhs income investor in both category i.e. professional and retail investors.
pg. 63
Table 3.7 Experience in the market? * Education
Null hypothesis:
Ho: There is no significant difference between investor’s experience in the market and their
education
H1: There is significant difference between investor’s experience in the market and their
education
Crosstab
Education
Experience in <1
6 15 54 15 0 90
the market? year
1-3
0 15 21 12 6 54
years
>3
0 21 18 12 0 51
years
Total 6 51 93 39 6 195
Chi-Square Tests
Interpretation:
conclude that there is difference between education and experience in the market through
Pearson chi square analysis. It indicated that equal number of investors have 1-3 years and
less than 3 years’ experience and less than 1 year experienced investors were more than in
other category.
pg. 64
Table 3.8 Experience in the market? * Occupation
Null hypothesis:
Ho: There is no significant difference between investor’s experience in the market and their
occupation
occupation
Crosstab
Occupation
Private
Experience in <1
48 21 0 12 3 6 90
the market? year
1-3
18 24 3 9 0 0 54
years
>3
9 30 3 9 0 0 51
years
Total 75 75 6 30 3 6 195
Chi-Square Tests
a
Interpretation:
conclude that there is difference between occupation and experience in the market through
Pearson chi square analysis. It indicated that same number investors have 1-3 years and
less than 3 years’ experience and less than 1 year experienced investors were more than in
other category.
pg. 65
Table 3.9 Experience in the market? * Income
Null hypothesis:
Ho: There is no significant difference between investor’s experience in the market and
their income
income
Crosstab
Income
<2,00,000 2,00,000 to 4,00,000 to >6,00,000
Rs. 4,00,000 Rs. 6,00,000 Rs. Rs. Total
Experience in the <1
57 27 3 3 90
market? year
1-3
21 21 12 0 54
years
>3
3 18 21 9 51
years
Total 81 66 36 12 195
Chi-Square Tests
Interpretation:
conclude that there is difference between income and experience in the market through
Pearson chi square analysis. It indicated that respondents who less than 2 lacs income their
experienced also less than 1 year in the stock market.
pg. 66
Table 3.10
What percentage of savings invested in stock market (annually)? * Education
Null hypothesis:
Ho: There is no significant difference between investor’s savings in the stock market and
their education
H1: There is significant difference between investor’s savings in the stock market and their
education
Crosstab
Education
What percentage of >10% 3 27 21 18 0 69
savings invested in 10% -
stock market 3 15 57 18 3 96
20%
(annually)?
<20% 0 6 12 3 3 24
5 0 3 3 0 0 6
Total 6 51 93 39 6 195
Chi-Square Tests
a
Interpretation:
conclude that there is difference between education and experience in the market through
Pearson chi square analysis. It indicated that every investor saves some percentage of
savings.
pg. 67
Table 3.11
What percentage of savings invested in stock market (annually)? * Occupation
Null hypothesis:
their occupation
occupation
Crosstab
Occupation
Private
What >10% 30 21 0 9 3 6 69
percentage of 10% -
savings 36 48 3 9 0 0 96
20%
invested in
<20% 3 6 3 12 0 0 24
stock market
(annually)? 5 6 0 0 0 0 0 6
Total 75 75 6 30 3 6 195
Chi-Square Tests
a
Interpretation:
conclude that there is difference between occupation and experience in the market through
Pearson chi square analysis. It indicated that students and businessman saved equal
proportion.
pg. 68
Table 3.12
What percentage of savings invested in stock market (annually)? * Income
Null hypothesis:
their income
income
Crosstab
Income
<2,00,000 2,00,000 to 4,00,000 to >6,00,000
Rs. 4,00,000 Rs. 6,00,000 Rs. Rs. Total
What percentage of >10% 36 21 12 0 69
savings invested in stock 10% -
market (annually)? 45 33 15 3 96
20%
<20% 0 6 9 9 24
5 0 6 0 0 6
Total 81 66 36 12 195
Chi-Square Tests
a
Interpretation:
conclude that there is difference between income and experience in the market through
Pearson chi square analysis. It indicated that students saved more than other occupation.
pg. 69
Part 2 Secondary Data
Researcher has analysed major 16 indices of BSE stock exchange and analysed second
difference of price to measure volatility of market. Researcher has found out that 4 leg
difference and used different analysis techniques like unit root test, ADF test and ARCH-
M model.
DATA ANALYSIS (UNIT ROOT TEST AND ARCH M MODEL)
1) UNIT ROOT TEST OF BSE ALL CAP
Chart 4.1 BSE ALL CAP Unit Root Test
20
Series: LALLCAP_SD
Sample 9/03/2020 2/22/2021
16 Observations 123
Mean -0.000316
12 Median -0.000315
Maximum 0.052626
Minimum -0.039961
8 Std. Dev. 0.014071
Skewness 0.868265
Kurtosis 6.290697
4
Jarque-Bera 70.95166
Probability 0.000000
0
-0.025 0.000 0.025 0.050
Table 4.2 BSE ALL CAP ADF Test
Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LALLCAP_SD)
Method: Least Squares
Sample(adjusted): 9/08/2020 1/03/2021
Included observations: 118 after adjusting endpoints
-7.516977
ADF Test Statistic 1% Critical Value* -2.5831
(0.0000)
5% Critical Value -1.9427
*MacKinnon critical values for rejection of hypothesis of a unit root.
R-squared 0.738073 Durbin-Watson stat 1.966982
pg. 70
The above table shows that ADF test run through the E-views-4 econometric software.
Result suggested that null hypothesis is failed to accept and therefore it can be said that the
all series is stationary with 1%, 5%, 10% significant level. The variables under study are
stationary at log difference to 2nd statistics, which is suggested that value of dcal is near to
2 so it indicates that there is no auto correlation in the series and it means that the effect of
disturbance of occurring at any period does not carry over into another period. Now it can
be applying for the ARCH test.
4.3 BSE ALL CAP ARCH-M Model
Coefficient Std. Error z-Statistic Prob.
C -0.000727 0.001149 -0.632668 0.5270
LALLCAP_SD(-1) -0.556554 0.103520 -5.376301 0.0000
Variance Equation
C 0.000107 9.83E-06 10.91730 0.0000
ARCH(1) 0.096144 0.132013 0.728296 0.4664
ARCH(2) 0.317615 0.156493 2.029570 0.0424
Top Section: Mean equation
Average return: -0.000267
Lower section: Variance equation gives the result of the ARCH model. The time varying
volatility includes a constant (0.000107) plus a component which depends on past errors
(0.317615). ARCH effects is statistically significant on ARCH (2) model not in ARCH (1).
Z statistic of the 2nd order coefficient (2.029570) suggest a significant ARCH (2)
coefficient. There was volatility in BSE ALL CAP but it influences negatively because
coefficient is negative.
pg. 71
2) UNIT ROOT TEST OF BSE 100
Chart 5.1 BSE 100 Unit Root Test
25
Series: LBSE100_SD
Sample 9/03/2020 2/22/2021
20 Observations 123
Mean -0.000344
15 Median -0.001091
Maximum 0.058948
Minimum -0.044025
10 Std. Dev. 0.014695
Skewness 0.875734
Kurtosis 6.385029
5
0
-0.04 -0.02 0.00 0.02 0.04 0.06
Table 5.2 BSE 100 ADF Test

Dependent Variable: D(LBSE100_SD)
Sample(adjusted): 9/10/2020 2/22/2021
-7.516977
(0.0000)
stationary at log difference to 2nd statistics, which is suggested that value of dcal is near to 2
so it indicates that there is no auto correlation in the series and it means that the effect of
pg. 72
Table 5.3 BSE 100 ARCH-M Model
C -0.000651 0.001225 -0.531468 0.5951
LBSE100_SD(-1) -0.557979 0.102717 -5.432203 0.0000
Variance Equation
C 0.000125 1.08E-05 11.61522 0.0000
ARCH(1) 0.076650 0.124726 0.614552 0.5389
ARCH(2) 0.273938 0.134356 2.038895 0.0415
(0.273938). ARCH effects is statistically significant on ARCH (1). Z statistic of the 2nd
order coefficient (2.038895) suggest a significant ARCH (1) coefficient. There was
volatility in BSE 100 but it influences negatively because coefficient is negative.
3) BSE 100 ESG INDEX
Chart 6.1 BSE 100 ESG Index Unit Root Test
28
Series: LBSE100_ESGINDEX_SD
24 Sample 9/03/2020 2/22/2021
Observations 123
20
Mean -0.085610
16 Median -0.220000
Maximum 12.90000
Minimum -11.48000
12
Std. Dev. 3.231403
Skewness 0.626702
8
Kurtosis 6.344649
4
0
-10 -5 0 5 10
pg. 73
Table 6.2 BSE 100 ESG Index ADF Test

Dependent Variable: D(LBSE100_ESGINDEX_SD)
Sample(adjusted): 9/10/2020 2/22/2021
-7.535025
(0.0000)
Table 6.3 BSE 100 ESG Index ARCH-M Model

C -0.000904 0.001246 -0.725926 0.4679
LBSE100_ESGINDEX_SD(-1) -0.544916 0.108630 -5.016266 0.0000
Variance Equation
C 0.000129 1.40E-05 9.157174 0.0000
ARCH(1) 0.108846 0.132565 0.821081 0.4116
ARCH(2) 0.274711 0.134819 2.037622 0.0416

pg. 74
coefficient. There was volatility in BSE 100 ESG INDEX but it influences negatively
because coefficient is negative.
4) BSE 100 LARGE CAP
Chart 7.1 BSE 100 Large Cap Unit Root Test
25
Series: LBSE100_LARGECAP_SD
Sample 9/03/2020 2/22/2021
20 Observations 123
Mean -1.807073
15 Median -4.380000
Maximum 299.6500
Minimum -238.3100
10 Std. Dev. 69.29046
Skewness 0.814813
Kurtosis 6.982477
5
0
-200 -100 0 100 200 300
Table 7.2 BSE 100 Large Cap ADF Test

Dependent Variable: D(LBSE100_LARGECAP_SD)
Sample(adjusted): 9/10/2020 2/22/2021
ADF Test Statistic -7.584128 1% Critical Value* -2.5831
(0.0000)
pg. 75
Table 7.3 BSE 100 Large Cap ARCH-M Model
C -0.000637 0.001214 -0.524331 0.6000
LBSE100_LARGECAP_SD(-1) -0.556612 0.102264 -5.442883 0.0000
Variance Equation
C 0.000124 1.05E-05 11.81466 0.0000
ARCH(1) 0.069419 0.119435 0.581226 0.5611
ARCH(2) 0.276845 0.133906 2.067454 0.0387
coefficient. There was volatility in BSE 100 LARGE CAP but it influences negatively
5) BSE 150 MID CAP
Chart 8.1 BSE 150 Mid Cap Unit Root Test
24
Series: LBSE150_MIDCAP_SD
Sample 9/03/2020 2/22/2021
20
Observations 123
16 Mean -1.359837
Median -2.920000
12 Maximum 302.1900
Minimum -237.2000
Std. Dev. 81.76376
8 Skewness 0.549467
Kurtosis 4.963765
4
0
-200 -100 0 100 200 300
pg. 76
Table 8.2 BSE 150 Mid Cap ADF Test
Dependent Variable: D(LBSE150_MIDCAP_SD)
Sample(adjusted): 9/10/2020 2/22/2021
-7.553627
(0.0000)
stationary at log difference to 2nd statistics, which is suggested that value of dcal is more
than 2 so it indicates that there is no auto correlation in the series and it means that the
effect of disturbance of occurring at any period does not carry over into another period.
Now it can be applying for the ARCH test.
Table 8.3 BSE 150 Mid Cap ARCH-M Model
C -0.000196 0.001228 -0.160021 0.8729
LBSE150_MIDCAP_SD(-1) -0.471750 0.099551 -4.738788 0.0000
Variance Equation
C 0.000109 1.97E-05 5.544291 0.0000
ARCH(1) 0.113396 0.138051 0.821406 0.4114
ARCH(2) 0.325002 0.198598 1.636477 0.1017
coefficient. There was volatility in BSE 150 MID CAP but it influences negatively because
pg. 77
6) BSE 200
24
Series: LBSE200_SD
Sample 9/03/2020 2/22/2021
20
Observations 123
16 Mean -2.019268
Median -5.940000
12 Maximum 328.3300
Minimum -265.9700
Std. Dev. 78.96428
8 Skewness 0.803095
Kurtosis 6.756293
4
0
-200 -100 0 100 200 300
Table 9.2 BSE 200 ADF Test

Dependent Variable: D(LBSE200_SD)
Sample(adjusted): 9/10/2020 2/22/2021
-7.589042
(0.0000)
pg. 78
C -0.000681 0.001183 -0.575946 0.5647
LBSE200_SD(-1) -0.555803 0.103571 -5.366381 0.0000
Variance Equation
C 0.000116 1.03E-05 11.25075 0.0000
ARCH(1) 0.086150 0.128257 0.671703 0.5018
ARCH(2) 0.295560 0.145996 2.024437 0.0429
coefficient. There was volatility in BSE 200 but it influences negatively because coefficient
is negative.
7) BSE 250 LARGE MIDCAP
Chart 10.1 BSE 250 Large Mid Cap Unit Root Test
25
Series: LBSE_250_LARGEMIDCAP_S
Sample 9/03/2020 2/22/2021
20 Observations 123
Mean -1.872033
15 Median -5.140000
Maximum 306.1400
Minimum -246.5400
10 Std. Dev. 73.88633
Skewness 0.810060
Kurtosis 6.747099
5
0
-200 -100 0 100 200 300
pg. 79
Table 10.2 BSE 250 Large Mid Cap ADF Test
Dependent Variable: D(LBSE_250_LARGEMIDCAP_SD)
Sample(adjusted): 9/10/2020 2/22/2021
-7.583952
(0.0000)
Table 10.3 BSE 250 Large Mid Cap ARCH-M Model
C -0.000676 0.001174 -0.576209 0.5645
LBSE_250_LARGEMIDCAP_SD(-1) -0.554352 0.103443 -5.359026 0.0000
Variance Equation
C 0.000114 1.01E-05 11.32889 0.0000
ARCH(1) 0.086968 0.129619 0.670950 0.5023
ARCH(2) 0.296025 0.147581 2.005849 0.0449
coefficient. There was volatility in BSE 250 LARGE MID CAP but it influences negatively
pg. 80
8) BSE 250 SMALL CAP
Chart 11.1 BSE 250 Small Cap Unit Root Test
24
Series: LBSE_250_SMALLCAP_SD
Sample 9/03/2020 2/22/2021
20
Observations 123
16 Mean -0.435203
Median -3.010000
Maximum 147.9900
12
Minimum -117.2900
Std. Dev. 35.57909
8 Skewness 0.598377
Kurtosis 6.183552
4
0
-120 -80 -40 0 40 80 120
Table 11.2. BSE 250 Small Cap ADF Test

Dependent Variable: D(LBSE_250_SMALLCAP_SD)
Sample(adjusted): 9/10/2020 2/22/2021
-7.505317
(0.0000)
stationary at log difference to 2nd statistics, which is suggested that value of dcal is 2 so it
indicates that there is no auto correlation in the series and it means that the effect of
pg. 81
Table 11.3. BSE 250 Small Cap ARCH-M Model
C 0.000111 0.001106 0.099956 0.9204
LBSE_250_SMALLCAP_SD(-1) -0.477430 0.098602 -4.841985 0.0000
Variance Equation
C 9.20E-05 1.63E-05 5.629072 0.0000
ARCH(1) 0.111951 0.107234 1.043988 0.2965
ARCH(2) 0.493422 0.220297 2.239807 0.0251
volatility includes a constant (9.20E-05) plus a component which depends on past errors
coefficient. There was volatility in BSE 250 SMALL CAP but it influences negatively
9) BSE 400 MID SMALL CAP
Table 12.1 BSE 400 Mid Small Cap Unit Root Test
35
Series: LBSE_400_MIDSMALLCAP_S
30 Sample 9/03/2020 2/22/2021
Observations 123
25
Mean -0.946504
20 Median -0.320000
Maximum 237.7500
Minimum -187.2800
15
Std. Dev. 60.62162
Skewness 0.592750
10
Kurtosis 5.402044
5 Jarque-Bera 36.77305
0
-200 -100 0 100 200
pg. 82
Table 12.2 BSE 400 Mid Small Cap ADF Test
Dependent Variable: D(LBSE_400_MIDSMALLCAP_SD)
Sample(adjusted): 9/10/2020 2/22/2021
-7.501751
(0.0000)
Table 12.3 BSE 400 Mid Small Cap ARCH-M Model
C -0.000113 0.001147 -0.098630 0.9214
LBSE_400_MIDSMALLCAP_SD(-1) -0.475586 0.098514 -4.827596 0.0000
Variance Equation
C 9.92E-05 1.76E-05 5.639662 0.0000
ARCH(1) 0.108911 0.118653 0.917901 0.3587
ARCH(2) 0.391991 0.216875 1.807451 0.0707
(0.391991). ARCH effects is statistically significant on ARCH (2) model not in ARCH (1)
model. Z statistic of the 2nd order coefficient (1.807451) suggest a significant ARCH (2)
pg. 83
coefficient. There was volatility in BSE 400 MID SMALL CAP but it influences negatively
10) BSE 500
20
Series: LBSE_500_SD
Sample 9/03/2020 2/22/2021
16 Observations 123
Mean -0.000319
12 Median -0.000636
Maximum 0.053217
Minimum -0.040414
8 Std. Dev. 0.014094
Skewness 0.867563
Kurtosis 6.305548
4
0
-0.025 0.000 0.025 0.050
Table 13.2. BSE 500 ADF Test

Dependent Variable: D(LBSE_500_SD)
Sample(adjusted): 9/10/2020 2/22/2021
-7.518523
(0.0000)
pg. 84
C -0.000697 0.001155 -0.603683 0.5461
LBSE_500_SD(-1) -0.553766 0.103577 -5.346400 0.0000
Variance Equation
C 0.000110 9.77E-06 11.24471 0.0000
ARCH(1) 0.093366 0.130960 0.712937 0.4759
ARCH(2) 0.304469 0.151031 2.015940 0.0438
coefficient. There was volatility in BSE 500 but it influences negatively because coefficient
is negative.
11) BSE LARGE CAP
Chart 14.1 BSE Large Cap Unit Root Test
24
Series: LBSE_LARGECAP_SD
Sample 9/03/2020 2/22/2021
20
Observations 123
16 Mean -0.000350
Median -0.000990
Maximum 0.060119
12
Minimum -0.045033
Std. Dev. 0.014689
8 Skewness 0.873020
Kurtosis 6.493054
4
0
-0.050 -0.025 0.000 0.025 0.050
pg. 85
Chart 14.2 BSE Large Cap ADF Test
Dependent Variable: D(LBSE_LARGECAP_SD)
Sample(adjusted): 9/10/2020 2/22/2021
-7.531522
(0.0000)
Table 14.3 BSE Large Cap ARCH-M Model
C -0.000618 0.001235 -0.500026 0.6171
LBSE_LARGECAP_SD(-1) -0.549819 0.102740 -5.351543 0.0000
Variance Equation
C 0.000129 1.07E-05 12.13175 0.0000
ARCH(1) 0.066106 0.116163 0.569078 0.5693
ARCH(2) 0.259752 0.125054 2.077114 0.0378
coefficient. There was volatility in BSE LARGE CAP but it influences negatively because
pg. 86
12) BSE MID CAP
Chart 15.1 BSE Mid Cap Unit Root Test
14
Series: LBSE_MIDCAP_SD
12 Sample 9/03/2020 2/22/2021
Observations 123
10
Mean -0.000245
8 Median -0.000592
Maximum 0.053113
Minimum -0.038710
6
Std. Dev. 0.015283
Skewness 0.605879
4
Kurtosis 4.880522
2
0
-0.025 0.000 0.025 0.050
Table 15.2 BSE Mid Cap ADF Test

Dependent Variable: D(LBSE_MIDCAP_SD)
Sample(adjusted): 9/10/2020 2/22/2021
(0.0000)
pg. 87
Table 15.3 BSE Mid Cap ARCH-M Model

C -0.000277 0.000841 -0.329103 0.7421
LBSE_MIDCAP_SD(-1) -0.584666 0.073645 -7.938920 0.0000
Variance Equation
C 0.000113 2.08E-05 5.447465 0.0000
ARCH(1) 0.146118 0.150359 0.971798 0.3312
ARCH(2) 0.517325 0.244454 2.116246 0.0343
ARCH(3) -0.087264 0.065531 -1.331632 0.1830
ARCH(4) -0.056573 0.044600 -1.268444 0.2046
0.517325). ARCH effects is statistically significant on ARCH (2) model not in ARCH (1),
ARCH (3), ARCH (4). Z statistic of the 2nd order coefficient (2.116246) suggest a
significant ARCH (2) coefficient. There was volatility in BSE MID CAP but it influences
negatively because coefficient is negative.
pg. 88
13) BSE SENSEX
Chart 16.1 BSE Sensex Unit Root Test
32
Series: LBSE_SENSEX_SD
28 Sample 9/03/2020 2/22/2021
Observations 123
24
Mean -0.000354
20
Median -0.001275
16 Maximum 0.061438
Minimum -0.043798
12 Std. Dev. 0.014865
Skewness 0.853620
8 Kurtosis 6.243291
4 Jarque-Bera 68.84723
0
-0.04 -0.02 0.00 0.02 0.04 0.06
Table 16.2 BSE Sensex ADF Test

Dependent Variable: D(LBSE_SENSEX_SD)
Sample(adjusted): 9/10/2020 2/22/2021
-7.541804
(0.0000)
pg. 89
Table 16.3 BSE Sensex ARCH-M Model
C -0.000743 0.001346 -0.552021 0.5809
LBSE_SENSEX_SD(-1) -0.490092 0.106374 -4.607240 0.0000
Variance Equation
C 0.000146 1.23E-05 11.90910 0.0000
ARCH(1) 0.094469 0.122888 0.768736 0.4420
ARCH(2) 0.197461 0.099967 1.975259 0.0482
ARCH(3) -0.043929 0.069563 -0.631496 0.5277
0.197461). ARCH effects is statistically significant on ARCH (2) model not in ARCH (1)
and ARCH (3) model. Z statistic of the 2nd order coefficient (1.975259) suggest a
significant ARCH (2) coefficient. There was volatility in BSE SENSEX CAP but it
influences negatively because coefficient is negative.
14) BSE SENSEX 50
Chart 17.1. BSE Sensex 50 Unit Root Test
30
Series: LBSE_SENSEX50_SD
Sample 9/03/2020 2/22/2021
25
Observations 123
20 Mean -0.000351
Median -0.001258
Maximum 0.059602
15
Minimum -0.045468
Std. Dev. 0.014622
10 Skewness 0.835871
Kurtosis 6.408489
5
0
-0.04 -0.02 0.00 0.02 0.04 0.06
pg. 90
Table 17.2 BSE Sensex 50 ADF Test
Dependent Variable: D(LBSE_SENSEX50_SD)
Sample(adjusted): 9/10/2020 2/22/2021
-7.527646
(0.0000)
Table 17.3 BSE Sensex ARCH-M Model
C -0.000554 0.001251 -0.442872 0.6579
LBSE_SENSEX50_SD(-1) -0.529359 0.104426 -5.069215 0.0000
Variance Equation
C 0.000135 1.10E-05 12.23423 0.0000
ARCH(1) 0.059450 0.108593 0.547459 0.5841
ARCH(2) 0.230983 0.111888 2.064416 0.0390
Z statistic of the 1st order coefficient (2.064416) suggest a significant ARCH (2)
coefficient. There was volatility in BSE ALL CAP but it influences negatively because
pg. 91
15) BSE SENSEX NEXT 50
Chart 18.1 BSE Sensex Next 50 Unit Root Test
24
Series: LBSE_SENSEX_NEXT50_SD
Sample 9/03/2020 2/22/2021
20
Observations 123
16 Mean -0.000310
Median -0.000123
Maximum 0.058686
12
Minimum -0.046523
Std. Dev. 0.017071
8 Skewness 0.704561
Kurtosis 5.162224
4
0
-0.04 -0.02 0.00 0.02 0.04 0.06
Table 18.2 BSE Sensex Next 50 ADF Test

Dependent Variable: D(LBSE_SENSEX_NEXT50_SD)
Sample(adjusted): 9/10/2020 2/22/2021
-7.927334
(0.0000)
pg. 92
Table 18.3 BSE Sensex Next 50 ARCH-M Model
C -0.000599 0.000839 -0.714059 0.4752
LBSE_SENSEX_NEXT50_SD(-1) -0.649978 0.065689 -9.894741 0.0000
Variance Equation
C 6.29E-05 1.96E-05 3.214814 0.0013
ARCH(1) 0.208983 0.163034 1.281837 0.1999
ARCH(2) 0.866160 0.255594 3.388816 0.0007
coefficient. There was volatility in BSE SENSEX NEXT 50 but it influences negatively
16) BSE SMALL CAP
Chart 19.1 BSE Small Cap Unit Root Test
25
Series: LBSE_SMALLCAP_SD
Sample 9/03/2020 2/22/2021
20 Observations 123
Mean -0.000194
15 Median -8.24E-05
Maximum 0.056211
Minimum -0.044409
10 Std. Dev. 0.013993
Skewness 0.644755
Kurtosis 5.794535
5
0
-0.04 -0.02 0.00 0.02 0.04 0.06
pg. 93
Table 19.2 BSE Small Cap ADF Test
Dependent Variable: D(LBSE_SMALLCAP_SD)
Sample(adjusted): 9/10/2020 2/22/2021
(0.0000)
Table 19.3 BSE Small Cap ARCH-M Model
C 6.79E-05 0.001014 0.066980 0.9466
LBSE_SMALLCAP_SD(-1) -0.443481 0.100253 -4.423614 0.0000
Variance Equation
C 7.99E-05 1.61E-05 4.961643 0.0000
ARCH(1) 0.108109 0.095791 1.128591 0.2591
ARCH(2) 0.469260 0.215021 2.182394 0.0291
Z statistic of the 1st order coefficient (2.182394) suggest a significant ARCH (2)
coefficient. There was volatility in BSE SMALL CAP but it influences negatively because
pg. 94
CHAPTER 5
FINDINGS AND
CONCLUSION
pg. 95
Findings from the primary data
 Majority of the investors age group has between 20 to 30 years which constituted
highest 67.7% of sample population.
 Mostly males invest in the stock market. Female ratio is very less compared to
male.
 93 no. of respondents were represented done with graduated which constituted
 75 no. of respondents were Students and Businessman each which constituted
 Maximum respondents were from Surat which is 102 of total sample population
and it highly constituted 52.3%
 The ratio of retail investors was high compare to professional investors which
corresponding to 144 and 51 respectively.
 87 no. of respondents were possessed long term investor and short term investor
both which constituted 44.6% that is also near to half of sample population.
 Maximum of the investors in the stock market are less than 1 year experienced in
this field as they are making investment in stock market which constituted 46.2%
of sample population.
 126 no. of respondents were less than 10 equity stocks in which investment is
made which constituted 64.6% that is more than half of sample population and.
24 no. of respondents were made investment in more than 20 equity stock which
constituted 12.3% of sample population that mean they are very aggressive to
taking risk.
 111 no. of respondent’s investment size in shares were less than 1 lakh which
constituted more than half of sample population 56.9%.
 96 no. of respondents were invested less than 10% of their savings which
constituted highly 35.4% of sample population.
 Majority of the investors goals to investing in the stock market was for wealth
creation which constituted 33.8% of sample population.
 Correlation between analyst report and other investment information source is
medium.
pg. 96
 Major investors investment objectives are safety, liquidity, quick gain and
dividend.
 105 no. of respondents were expected return between 12% to 24% from stock
market which constituted highly 53.8% of sample population.
 It can be found that brokers are not giving proper advised to their investors.
 93 no. of respondents were showing that small loss up to 5% is acceptable which
constituted highly 47.7% near to half of sample population and 12 no. of
respondents were considering large loss of more than 30% is acceptable which
constituted 6.2% of sample population.
 Here found out that more than half of sample populations were conservative
profile.
 service class people are majority retail investor while self-employed and business
man in both category i.e. professional and retail investors.
 majority of retail investors are completed their study till post graduated compare
to professional investors.
 long term investors highly educated than short term investors.
 service class people are majority retail investor while self-employed and business
man in both category i.e. professional and retail investors.
 The respondents who less than 2 lacs income their experienced also less than year
in the stock market.
Findings from Secondary Data
 In case of BSE it is noted that the z-value is computed as near to 2. The value
falls outside the 95% confidence interval and so we cannot accept the null
hypothesis. This implies that the succeeding price changes do not move in an
independent manner.
 Here all sample BSE major indices showed high volatility nature.
 Study has been showing more volatility in every indices and we also found out
that sample population of investors were risk averse. Therefore, researcher would
suggest that investors should make decision based on behavior of the market.
 In this study, it is evident that daily average returns and daily average volatility
across the index was varying over time and space.
pg. 97
Conclusion
This research presents a comprehensive literature which has mainly focused
on studies on return and volatility of stock market using systematic review methods
on various major indices of BSE in India. This review was driven by researchers’
available recommendations for accompanying systematic literature reviews to search,
examine, and categorize all existing and accessible literature on market volatility and
returns.
Stock market return and volatility analysis is a relatively important and
emerging field of research. There has been plenty of research on financial market
volatility and return because of easily increasing accessibility and availability of
researchable data and computing capability. The ARCH-M type models have a good
model on stock market volatilities and returns investigation. The popularity of various
ARCH-M family models has increased in recent times.
Understanding stock market, risk and return behavior is important for all
countries but it is of more important to developing countries, particularly, where the
market consists of risk averse investors as the opportunities to invest and diversify
the investment is not much. During the last decade it is evident that there is high
growth in the Indian stock market in terms capitalisation, trading, turnover, number
of investors, etc. during this period Indian stock market has gone through rapid
changes in all the aspects. It has seen all time ups and downs.
The present study examined the daily volatility in BSE for the period from
September 2020 to February 2021 using high frequency and close returns calculated
using the market indices of BSE Sensex. The data consisted of 125 days to trading.
The study concludes that BSE does not follow any model. Unit root test and ARCH
model are being employed in this study, which rejects the presence of random walk
and support that Indian capital market is not weak form market efficient.
Researcher suggest that investors should invest in the stock market because
of high volatility in market, they get more return for a while. From all the
respondent’s majority were Students and Businessman. And also found out that 95%
of sample population behavior is conservative.
pg. 98
CHAPTER 6
BIBLIOGRAOHY
pg. 99
References
Reference Articles
1. Roni Bhowmik and Shouyang Wang (2020), Stock Market Volatility and Return
Analysis, Journal of Entropy 2020, 22, 522
2. S. Periyasamy (2016), A study on the impact of institutional investors contribution
on the Indian stock market with reference to nifty, Zenith International Journal of
Multidisciplinary Research ISSN 2231-5780 Vol.6 (2), FEBRUARY (2016), pp.
61-67
3. Golaka C Nath and Manoj Dalvi (2004), Day of the week effect and market
efficiency evidence from Indian equity market using high frequency data of
national stock exchange, Indian journal of commerce and management studies
4. Goutam Tanty and Pramod Patjoshi (2016), A study on stock market volatility
pattern of BSE and NSE in India, Asian Journal of Management ISSN 0976-495X
5. Som Sankar Sen (2013), An investigation of the day of the week effect on return
and volatility of NSE Nifty, International Journal of Financial Management
Volume 3 Issue 4
6. Sarika Mahajan and Balwinder Singh (2013), Return, volume and volatility
relationship in Indian stock market: Pre and Post rolling settlement analysis, Sage
Publication
7. Hakan Berument and Halil Kiymaz (2001), The Day of the Week Effect on Stock
Market Volatility, Journal of economics and finance Volume 25 Number 2
8. Pratima Rawal (2018), Trading behaviour of retail investors, International Journal
of Management Studies ISSN 2249-0302
9. Arup Kumar Sarkar and Dr. Tarak Nath Sahu (2018), Analysis of Investment
Behaviour of Individual Investors of Stock Market: A Study in Selected Districts
of West Bengal, Pacific Business Review International Volume 10 Issue 7
10. Dr. Silky Vigg Kushwah and Ms. Sulekha Munshi (2018), The effect of seasonality
over stock exchanges in India, Amity Journal of Management (ISSN 2347 – 1832)
11. Sudharshan Reddy Paramati and Rakesh Gupta (2011), An Empirical Analysis of
Stock Market Performance and Economic Growth: Evidence from India,
pg. 100
International Research Journal of Finance and Economics ISSN 1450-2887 Issue
73
12. Mr. Divyang J Joshi (2012), Testing Market Efficiency of Indian Stock Market,
International Journal of Scientific and Research Publication Volume 2, Issue 6,
ISSN 2250-3153
13. A. Q. Khan, Sana Ikram and Mariyam Mehtab (2011), Testing weak form market
efficiency of Indian capital market: A case of national stock exchange (NSE) and
Bombay stock exchange (BSE), African Journal of Marketing Management Vol.
3(6) ISSN 2141-2421
14. Dr. Satish Kumar (2017), Market efficiency in India: An empirical study of
Random walk hypothesis of Indian stock market NSE midcap, SSRN Electronic
Journal
15. Gagan Deep Sharma, Mandeep Mahendru (2009), Efficiency hypothesis of the
stock markets: A case of Indian securities, International Journal of Business and
Management vol. 4, No. 3
16. Velmurugan Ramaseamy (2016), Day of the week effect in Indian stock market
with reference to NSE nifty Index, INTERNATIONAL JOURNAL OF
MULTIDISCIPLINARY EDUCATIONAL RESEARCH ISSN: 2277-7881
VOLUME 5, ISSUE 9(4)
17. Kaushik Bhattacharya and Debabrata Mukhopadhyay (2003), Stability of the day
of the week effect in return and in volatility at the Indian capital market: A GARCH
approach with proper mean specification, Applied Financial Economics
18. Papia Mitra (2016), Day of the Week Effect on Stock Market Return and Volatility:
Evidence from Indian Stock Market, IOSR Journal of Economics and Finance e-
ISSN: 2321-5933 Volume 7, Issue 4.
19. Ranjan Dasgupta (2012), Long run and short run relationship between BSE Sensex
and macroeconomic variables, International Research Journal of Finance and
Economics ISSN 1450-2887 Issue 95 (2012)
20. Sunil Poshakwale (1996), Evidence on Weak Form Efficiency and Day of the Week
Effect in the Indian Stock Market, FINANCE INDIA Vol. X No. 3
pg. 101
21. Ashok Bantwa (2017), A Study on India Volatility Index (VIX) and its Performance
as Risk Management Tool in Indian Stock Market, Paripex - Indian journal of
research Volume: 6 | Issue: 1 | January - 2017 ISSN - 2250-1991
22. Renu Choudhary and Neha Jain (2020), Research on Volatility Pattern of BSE
BANKEX Index & BSE SENSEX Index using Exponential weighted moving
Average Model, International Journal of Innovative Technology and Exploring
Engineering (IJITEE) ISSN: 2278-3075, Volume-9 Issue-4
23. Venkataramanaiah. M (2016), A study on volatility in Indian stock market, Social
science research network (SSRN)
24. P. Nageswari, m. Selvam and J. Gayathri (2011), Analysis of Monday Effect in
Indian Stock Market, Science Alert
(https://scialert.net/fulltext/?doi=rjbm.2011.170.177)
25. Evidence from the National Stock Exchange, Indian journal of research of capital
market
(http://indianjournalofcapitalmarkets.com/index.php/ijrcm/article/view/102675)
26. E.Vijaya (2016), An Empirical Analysis on Behavioural Pattern of Indian Retail
Equity Investors, Journal of Resources Development and Management ISSN 2422-
8397 Vol.16, 2016
27. Mitesh Patel and Ritesh Patel (2012), Investors Behavior in Equity Market: A
Study of Investors in Ahmedabad City, IFRSA Vol2|issue 3
28. K.Riyazahmed and MG.Saravanaraj (2018), A Study on Factors Influencing
Buying Behavior of Securities in Indian Stock Markets, Volume VII, Issue I, ISSN
0975 7627
Reference Videos
https://www.youtube.com/watch?v=FEKCsM51bUM
https://www.youtube.com/watch?v=JgJ_2HWMDFI
https://youtu.be/tq75WzqsoEw
https://youtu.be/abD0BTg4B24
https://youtu.be/evsiGdkFr2M
https://zerodha.com/varsity/chapter/volatility-calculation-historical/
https://online.stat.psu.edu/stat510/lesson/11/11.1
pg. 102
Appendix
Sample of Questionnaire
Name: _________________________________________________
Age: __________________________ Gender: Male Female
Occupation: ___________________ Education: _______________
Income (per year): < 2,00,000 2,00,000 to 4,00,000 4,00,000 to 6,00,000
> 6,00,000
City: __________ Contact: __________________
1. Are you which kind of investor?

Retail Investor Professional Investor
2. Category of investor
Long term investor Day trader Both
3. Type of market Operated
Primary market Secondary market Both
4. Experience in the market
Less than 1 year 1-3 years 3 years & above
5. Number of equity stocks in which investment is made.
Less than 10 10-20 20 & above
6. State the approximate size of investment in shares as on date.
Below Rs. 1 Lakh Rs. 1 lakh – Rs. 2 lakhs Rs. 2 lakhs & above
7. What percentage of savings invested in Stock Market (annually)?
Less than 10% 0 Between 10-20% 20% & above
8. While investing in the Stock Market, what is your main goal?
Future planning Wealth Creation Extra income for family
Social welfare Investment Other ______________
pg. 103
9. Rank the following sources of investment information based on usage and
reliability (1 to 11)
No. Sources of Investment Rank No. Sources of Investment Rank

Information Information
A Newspaper H Company Announcements
Stock Exchange
B Journals & Magazines I
Announcements
C TV Channels J Broker Tips / Advise
Investments Related
D K My own analysis
Websites
Others (Friends , Relatives
E Analysts Report L
etc.)
F Investor Forum
10. Rank your Sectoral preferences for stocks (1 to 8)

No. Sectoral Stocks Rank
A IT Sector
B Bank Sector
C FMCG Sector
D MNC Sector
E Service Sector
F Energy Sector
G Pharma Sector
H Infrastructure & Capital goods Sector
pg. 104
11. State the level of importance of the following investment objective.
No. Investment Objective Very High Medium Low Very

High Low
A Dividends
B Capital Appreciation
C Quick Gain
D Safety
E Liquidity
F Tax Benefits
G Hedge Against
Inflation
12. State the expected rate of return (ROR) per annum.
Less than 12% 12% - 24% 24% - 36% 36% & above
13. How much you are affected by the following problems.
No. Problems Faced Very High Medium Low Very

High Low
A No proper advise by brokers
B Too many channel giving too many
opinion about the market
C Difficulty in operating online
trading
D Change of transaction password
frequently
E Unauthorized transaction by
brokers
pg. 105
14. What level of potential loss on your original investment is generally acceptable to
you?
No capital losses are acceptable, even if the returns cannot keep pace with inflation
A small loss up to 5% is acceptable
A medium loss up to 15% is acceptable
A large loss up to 30% is acceptable
A large loss of more than 30% is acceptable
15. I have outlined the most likely, best- and worst-case annual returns of five
hypothetical investment plans. Which range of possible outcomes is the most
acceptable to you? The figures are hypothetical and do not represent the
performance of any particular investment.
Best and Worst Case Scenarios (1 year)
Average Annual Best Worst Put tick () mark
Plan
Return Case case here
A 7.25% 15.00% -5.60%
B 10.75% 25.00% -13.00%
C 12.65% 33.87% -19.20%
D 14.00% 42.80% -25.00%
E 15.00% 50.00% -30.00%
pg. 106
Sample of arch model ARCH-M model
Dependent Variable: LBSE100_SD

Method: ML - ARCH (Marquardt)
Date: 04/13/21 Time: 19:18
Sample(adjusted): 9/04/2020 2/22/2021
Convergence achieved after 27 iterations
Variance backcast: ON
C -0.000651 0.001225 -0.531468 0.5951
LBSE100_SD(-1) -0.557979 0.102717 -5.432203 0.0000
Variance Equation
C 0.000125 1.08E-05 11.61522 0.0000
ARCH(1) 0.076650 0.124726 0.614552 0.5389
ARCH(2) 0.273938 0.134356 2.038895 0.0415
R-squared 0.152554 Mean dependent var -0.000299

Adjusted R-squared 0.123582 S.D. dependent var 0.014747
S.E. of regression 0.013806 Akaike info criterion -5.769944
Sum squared resid 0.022301 Schwarz criterion -5.655025
Log likelihood 356.9666 F-statistic 5.265487
Durbin-Watson stat 1.941825 Prob(F-statistic) 0.000618
pg. 107

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Acknowledgement

I am greatly thankful to Bhulabhai Vanmalibhai Patel Institute of Management, for

I, Zeel Mangukiya from Bhulabhai Vanmalibhai Patel institute of Management,

Place: UkaTarsadia University Zeel Mangukiya

Ch. No Topic Page No

4 Data Analysis & Interpretation 43

5 Findings & Conclusions 96

6.1 Reference 101

6.2 Appendix 104

Primary Data Analysis

2. Findings on the basis of Trading Behavior of the respondent

Secondary Data Analysis

360° end-to-end wealth management and risk management

Wheel of 360° Wealth Management

Mutual Funds Personal Accident Motor Insurance

Portfolio Management Professional Travel Insurance

Health Insurance Fire Insurance Group Health

To Find Daily Volatility:

We impose the constraints α0 ≥ 0 and α1 ≥ 0 to avoid negative variance.

 yt is white noise when 0 ≤ α1 ≤ 1.

Age Frequency Percent Cumulative Percent

Gender Frequency Percent Cumulative Percent

Education Frequency Percent Cumulative Percent

Occupation Frequency Percent Cumulative Percent

District Frequency Percent Cumulative Percent

Income Frequency Percent Cumulative Percent

Frequency Percent Cumulative Percent

Frequency Percent Cumulative Percent

Table 2.12 Pearson’s Correlation

Frequency Percent Cumulative Percent

Sig. (2- Mean Difference

t df tailed) Difference Lower Upper

No proper advise by brokers 2.757 194 .006 .21538 .0613 .3695

Too many channel giving too many opinion

Unauthorized transaction by brokers 3.819 194 .000 .30769 .1488 .4666

7.25%(Most likely), 15.00%(Best), -5.60%(Worst) 63 32.3 32.3

10.75%(Most likely), 25.00%(Best), -13.00%(Worst) 75 38.5 70.8

12.65%(Most likely), 33.87%(Best), -19.20%(Worst) 42 21.5 92.3

14.00%(Most likely), 42.80%(Best), -25.00%(Worst) 6 3.1 95.4

15.00%(Most likely), 50.00%(Best), -30.00%(Worst) 9 4.6 100.0

Total 195 100.0

Table 4.2 BSE ALL CAP ADF Test

Augmented Dickey-Fuller Test Equation

Chart 5.1 BSE 100 Unit Root Test

Table 5.2 BSE 100 ADF Test

Augmented Dickey-Fuller Test Equation

Chart 6.1 BSE 100 ESG Index Unit Root Test

Augmented Dickey-Fuller Test Equation

Coefficient Std. Error z-Statistic Prob.

Top Section: Mean equation

Chart 7.1 BSE 100 Large Cap Unit Root Test

Table 7.2 BSE 100 Large Cap ADF Test

Augmented Dickey-Fuller Test Equation

Chart 8.1 BSE 150 Mid Cap Unit Root Test

Table 9.2 BSE 200 ADF Test

Chart 11.1 BSE 250 Small Cap Unit Root Test

Table 11.2. BSE 250 Small Cap ADF Test

Chart 13.1 BSE 500 Unit Root Test

Table 13.2. BSE 500 ADF Test

Chart 14.1 BSE Large Cap Unit Root Test

Chart 15.1 BSE Mid Cap Unit Root Test

Table 15.2 BSE Mid Cap ADF Test

Coefficient Std. Error z-Statistic Prob.

Occupation: _____ Education: _

City: Contact: ________