Lead-Lag Relationship Between Indian Spot and Futures Market

A STUDY ON

“Lead-Lag Relationship between Indian Spot and Futures

Market”

Dissertations submitted in partial fulfillment of the requirements for the

Award of the Degree of

MASTER OF BUSINESS ADMINISTRATION

Of

BANGALORE UNIVERSITY

By

RAVI PRAKASH HADGAL

Reg.No. 05JJCM6042

Under the guidance of

Dr.MADHUMITA. G. MAJUMDER

KRISTU JAYANTI COLLEGE OF MANAGEMENT & TECHNOLOGY

BANGALORE

2007

DECLARATION

1

I hereby declare that this project titled “A Study on Lead-Lag Relationship between

Indian Spot & Futures Market” submitted by me to Department of Management,

Bangalore University in partial fulfillment of requirements of MBA Programme is a

bonafide work carried by me under the guidance of. Dr.Madhumita. G. Majumder

This has not been submitted earlier to any other University or Institution for the award of

any degree diploma/ certificate or published any time before.

Place: Bangalore (RAVI PRAKSH HADGAL)

Date:

2

CERTIFICATE FROM GUIDE & HEAD OF THE INSTITUTION

Certified that this project entitled “A Study on Lead-Lag Relationship between Indian

Spot & Futures Market” submitted in partial fulfillment for the award of MBA Degree

of Bangalore University was carried out by Mr.Ravi Prakash Hadgal under the guidance

of Dr.Madhumita. G. Majumder. This has not been submitted to any other university

or institution for the award of any degree/ diploma/ certificate.

GUIDE DEAN

MBA DEPARTMENT

PRINCIPAL

3

ACKNOWLEDGEMENT

At the successful completion of my project I would like to extend my gratitude to all

those without whose valuable guidance and support it would have not been possible.

A special word of thanks to Dr. Arun Kumar (Dean of MBA Department) for his

guidance and support throughout the project work.

I also owe my gratitude to my internal guide Dr.Madhumita. G. Majumder (Professor,

Kristu Jayanti College of Management) for valuable suggestions and guidance.

Above all I thank my family and friends for their constant support and encouragement.

4

EXECUTIVE SUMMARY

Derivatives is a product that derives its value from the value of one of more basic

variables, called underlying in a contractual manner- NSE Definition. Of the several

varieties of derivatives, the most popular ones are Futures, Option, and swaps.

The commencement of Equity Futures and Options trading in India in June, 2000

revolutionized the economic landscape. In the inherently volatile Indian stock exchanges,

the opportunity to hedge risk was not wasted. The regular put-call parity violation also

led to glut arbitrage opportunities. Derivatives become the most favored tools for

investors and also gave them payoff structures they had not experienced before. Within a

short time of 5 years, the derivative segment of the NSE has raced ahead of the cash

segment in terms of daily traded volumes.

TABLE OF CONTENTS

5

CHAPTER NO. TITLE PAGE NO.

1 INTRODUCTION

1-4

2 RESEARCH DESIGN

2.1 Introduction2.2 Statement of Problem

Need of the study2.3 Review of Literature2.4 Objectives of the Study2.5 Scope of the Study2.6 Hypothesis2.7 Methodology

Data Collection Plan of Analysis Limitations of the Study

5-18

3 INDUATRY PROFILE 19-29

4 ANALYSIS OF LEAD-LAG RELATIONSHIP BETWEEN INDIAN SPOT MARKET AND FUTURES MARKET

30-34

5 SUMMARY OF FINDINGS, CONCLUSION AND RECOMMENDATIONS

35-38

BIBLIOGRAPHY AND ANNEXURES

LIST OF TABLES

6

Table No. Contents Page No.

2.1 Table showing Description of underlying stocks 16

3.1 Table showing various Derivative Products available in NSE 21

4.1 Table showing the Mean & SD of spot and futures market 31

4.2 Table showing skewness & Kurtosis of spot and futures market 32

4.3 Table showing variance & co-efficient of variance of spot and futures market

33

4.4 Table showing Beta value of underlying stocks 34

Table showing Nominal Returns of underlying stocks Anx 1 toAnx 22

CHAPTER 1

Introduction:

As we know, Efficient Market Hypothesis (EMH)1 states that when all the

information available in the market is immediately incorporated in the prices of assets,

then the market is said to be informationally efficient (in weak form). When there are

two markets trading the same number and same type of assets, then the prices of

those assets, in a specific market, mainly depends on the nature and speed in the flow

of information available in the market. Spot and derivative market are such types of

market where the equity products to be traded are the same, but with some different

purpose, i.e., for hedging. Since the products traded in the two markets are of same

type, hence the prices of those products in two markets are expected to be same and

people can trade indifferently in any of the two markets. But, in practical sense, it

7

may not happen. The equity prices in the two markets – spot and derivative market

depends on the speed of incorporating all the information available in the market. So,

there is a link between the flow of information and the movement of prices in two

different markets. Now, if the information simultaneously flows in both the spot and

futures market, then there will be a contemporaneous movement of prices in those

markets and there will be no cause- effect relationship among them. But, if the

information flows faster in a specific market (i.e. spot / futures) , then there will be

a lead- lag relationship and the market incorporating the information faster is said to

lead the other market.

The Indian capital market has witnessed a major transformation and structural change

from the past one decade as a result of ongoing financial sector reforms initiated by the

Govt. Bringing the Indian capital market up to a certain international standard is one of

the major objectives of these reforms. Due to such reforming process, one of the

important step taken in the secondary market is the introduction of derivative products in

two major Indian stock exchanges (viz. NSE and BSE) with a view to provide tools for

risk management to investors and to improve the informational efficiency of the cash

market. Though the onset of derivative trading has significantly altered the movement

of stock prices in Indian spot market, it is yet to be proved whether the derivative

products has served the purpose as claimed by the Indian regulators. In an efficient

capital market where all available information is fully and instantaneously utilized to

determine the market price of securities, prices in the futures and spot market should

move simultaneously without any delay. However, due to market frictions such as

transaction cost, capital market microstructure effects etc., significant lead-lag

relationship between the two markets has been observed.

LEAD-LAG THEORY

Tremendous amount of work has been done in trying to identify the lead-lag relation

between the spot and derivative markets. There is both theoretical support and empirical

evidence for both the argument.

8

Theoretically, an option future is essentially a derivative security and so its price should

depend unilaterally on the underlying spot index. Hence, on the surface, it does not seem

plausible for the option markets to contain expectations of the future stock price

movements. However, it has been argued that this one-way linkage, from underlying asset

market to option and futures market, holds only in a complete market. In the presence of

friction and information asymmetry, informed traders may find the derivative markets to

be more attractive than the market for the underlying asset, and if this is the case, the

derivative markets could possible contain information that had yet to be compounded in

the underlying asset markets.

The link with the underlying asset market derivatives important for price discovery and

risk transfer. Price discovery means any news about the stock will come to future market

first and than moves to spot market with some delay. Risk transfer is the possibility of

investors to hedge their risk of spot portfolio through index futures. Hence there is a

widespread interest to study the relation between future and index prices.

1. Geweke J. “The Lead-Lag Relationship between Stock Index and Stock Index Futures

Contracts”, Journal of the American Statistical Association, Vol 76 (1982), 304-313

In some derivative securities, particularly index futures and options have been blamed for

the excess volatility in the spot market. They argue that derivatives encourage speculation

and hence destabilize the market. There has been lot research done (mostly in developed

markets) and evidence was found that spot markets k\lead the options and futures i.e. ‘the

dog wages tail and not the other way round’. There was also some evidence that there is no

particular relation between the two market. These theories are explained their arguments

are presented below.

There is a theory that the market choice of informed investors depends on the depth of the

two markets as well as the leverage provided. Two types of equilibrium are supposed to

exists. “Separating equilibrium” where informed traders trade in spot market only.

“Pooling equilibrium” where the informed investors trade in the both the markets and

therefore trading in option market may convey positive news about the futures stock

9

prices.

Hedging effects also contribute to relation between the two markets. If the option dealer

hedges his risk by trading in stock market or if stock broker trades in options market to

hedge his risk, then the information flows from one market to another.

Arguments for options and futures leading spot market

One argument is that some index-constituent stocks may react slowly to the news in the

market with a longer delay resulting in slower price formation of the overall index. This is

particularly a problem if there are some moving stocks in the index, which will take longer

time to respond. On the other hand, the index future and option prices on the other hand

react immediately due to the supply-demand equilibrium. Since it is a single security and

not a basket like spot index, there will be no delay because of the individual stocks. Any

news about any underlying constituent stock will be forced in very fast. Hence the

argument says that options lead the spot market due to their fasters reaction time.

Another argument suggest that investors can only bet on volatility of options market when

they have private information about the underlying asset. Short sale restrictions of the

underlying stocks are another reason why informed investors may prefer to trade in

derivative market.

Arguments for spot markets leading derivatives market

Lower liquidity experienced in the derivative market may in fact turn informed investors

from the derivative market. Hence they contend that information flows from spot to

derivative market.

Another interesting argument uses theories in behavioral finance. For example, cognitive

dissonance theory maintains that people generally try to reduce cognitive dissonance in

such a way that would not normally de considered fully rational. Cognitive dissonance

stars once the investor buys a stock and is unsure whether he has made the correct decision

or not. For example, when mutual funds are performing well, money flows in the fund

10

very rapidly. When a mutual fund is performing poorly, the money flow out of the fund is

rather slow. Investors behave in this fashion because, when losing, they become unwilling

to confront the fact that trading the stocks was a bad.

A related concept is the regret theory postulates that investors may take certain admittedly

“irrational” actions simply to mitigate or avoid the pain of regret. Regret may go beyond

the pain of loss to felling responsible for it. As such, regret appears to be an important

factor shaping people’s decisions. It is this pain of regret, the theory contends, that leads

investors to sell winning stocks too soon and hold losing ones too long.

These behavioral theories can be used to explain why volatility in spot market is capable

of provoking volatility in derivative market. As the spot market itself become more

volatile, investors exceedingly try to reduce cognitive dissonance and avoid possible

regrets of making wrong investment decisions. Such regret aversion psychology

encourages investors to engage in more hedging activities, not only to minimize perceived

risk, but also to avoid future pain of regret. These conditions justify the lead relationship

between the spot and derivatives market.

CHAPTER 2

RESEARCH DESIGN

2.1 Introduction

Research refers to the search for the knowledge. One can also define research as a

scientific, systematic search for the actual information on a specific topic. In fact,

research is an art of scientific investigation. “A careful investigation or enquiry specially

through search for new fact in any branch of knowledge.”

2.2 Statement of the problem

The present study would like to investigate how the movements of prices both in spot as

well as derivatives depend upon the flow of information in those markets. It is found

that both the spot and futures price series possess unit root and both of them are

cointegrated in case of index level and also at stock level. But as far as the flow of

11

information is concerned, it shows some mixed evidence. The direction in the flow of

information from one market to another keeps changing over a periods of time. It

varies also from one underlying stock to another.

Need of the study

Futures & Options on both individual stock and the index level are traded in Indian

exchange. The cash and derivative segment share a symbiotic relationship because the

underlying of exchange-traded derivatives is predominantly stocks or the index itself. The

present researcher interested in a broad-based understanding of the impact of the

characteristics of one on the behavior of the other, the impact of volatility of the stock

(cash) segment on the derivative segment.

There are two school of thought which advocate the impact of volatility in the stock (cash)

market on the derivative market. The first school of thought discounts the impact of short

term swings in the stock market. Exchange traded derivatives typically have duration of 1

or 3 months. Hence the short term stock market fluctuations should logically have a fairly

limited impact on the valuation of these derivatives in general, and Futures in particular

However the other school of thought suggests that since the underlying for these

derivatives is stock their swings would defiantly affect the valuation of the derivatives.

Their argument is that in a non-ideal market, investor’s sentiment would still play a major

role in the valuation, especially of the new derivatives in the period.

Derivatives are being used chiefly for hedging operations in market both developed and

emerging. Thus their efficacy as a hedging mechanism would depend upon their ability to

smooth out some of the volatility in the underlying. Thus a study of their volatility

behavior is extremely important for an investment analysis standpoint

2.3 Review of literature:

If markets are complete and perfect, derivative and underlying spot prices must

12

reflect information simultaneously; otherwise, difference in prices would

induce arbitrage opportunity. In practice, when institutional characteristics and

transaction cost are taken into consideration, one market may lead the others without

implying arbitrage opportunity. To the extent that the futures or options are able to

reduce the transaction cost, their introduction should be expected to increase the flow

of information into the market. A simple way to test for this is to study the lead-lag

relationship between price changes in the underlying spot and derivative market.

If we look into the previous studies, then a large number of studies will be found that

have examined the structural as well as temporal relationship among the spot and

futures markets. Again, some studies have focused on the impact of some

specific event(s) on such relationship among those markets.

Studies like Kawaller, Koch and Koch (1987), Herbst et al. (1987), Stoll & Whaley

(1990), Kalok Chan (1992), Tang Y.N. et al. (1992), Wahab M. et al. (1993), Tse

Y.K. (1995), Antoniou A. et al. (1995), De Jong F. et al. (1997), De Jong F. et al.

(1998), Abhyankar A.(1998), Pizzi M.A. et al. (1998), Tse Y. (1999), Min J.H. et al.

(1999), Timothy J.B. et al.(1999), Frino A. et al. (2000), Pascal A. (2000), Pascal

A. et al. (2000), Roope M. et al.(2002), Thenmozhi M. (2002), Chan L.H. et al.

(2002), Lien D. et al. (2003), Anand Babu P. et al. (2003) etc. have focused the

temporal relationship and the flow of information among the spot and derivative, viz.

futures market.

By applying several methods, such as cointegration and error correction model,

Hasbrouck (1995) common trend model, Simultaneous equation model, Linear and non-

linear Granger causality test etc., De Jong F. et al. (1997), Pizzi M.A. (1998),

Abhyankar A. (1998), Min J.H. (1999), Roope M. et al. (2002) etc. argued that there is

a unidirectional relation among the spot and futures markets. Almost all of these studies

have found that the price of futures index significantly lead the price of cash / spot

index within a period from ten to forty minutes. Though some studies states that the

spot market leads the futures market, such effect continues only for few minutes, one to

two minutes. Thus in most of these cases, information is incorporated into futures price

13

first and then transmitted to the spot price. Again, Abhyankar A. (1998) concluded that

neither markets (spot or futures market) leads nor lags the other if the non-linear

effects between these two markets are taken into consideration.

Intraday lead-lag relationship between return on the cash index and the same on

futures and call options is studied by De Jong F. et al. (1998), Pascal A. et al. (2000). De

Jong argued that the futures market leads both the cash and options markets by five to

ten minutes on average. While, the lead-lag relations between the cash index and the

options are largely symmetrical, indicating that neither markets leads the other.

Kawaller, Koch and Koch (1987) have tried to compare the estimated price

relationship on expiration days of the futures contract with comparable estimates for

days prior to expiration. As far as the lead-lag relationship is concerned, their results

also suggested that futures price movement consistently leads the spot index price by

twenty to forty five minutes, while the spot index rarely affect the futures beyond one

minute. They also found that the expiration days do not demonstrate a temporal

character substantially different from earlier days. Frino A. et al. (2000) have tried to

investigate how the lead-lag relationship between return on spot and futures index is

influenced by the release of macroeconomic and stock-specific information. They

argued that futures market significantly lead the spot market around

macroeconomic information release. While, they provide evidence that the leading

role of futures market weakens with the release of stock-specific information.

Apart from measuring the lead-lag relation between the intraday futures and cash index

price, Chan K. (1992) has tried to investigate such a lead-lag relationship even at the

stock level with a view to find out whether such relationship exist only due to the

non-synchronous trading of the component stocks in the spot market. They have found

an asymmetric lead-lag relation between futures and all component stocks, and

pointed out that even for some actively traded stocks; the return still significantly lags

futures return. His results also support that due to differential transaction cost and

expected profits, the futures market becomes the main source of market wide

information, while the cash market becomes the main source of firm-specific

14

information.

Timothy J.B. et al. (1999), Chan L.H. et al. (2002) and Lien D. et al. (2003) had

tried to investigate some policy effect on the information flow between the cash and

futures market at the index and stock level. Simply by using the multiple regression

technique [Stoll & Whaley (1990) and Grunbichler (1994)] on the return innovations

in the spot and futures markets, Timothy et al. concluded that the trading

mechanism, changed from floor-based trading to automated screen based trading

leads to change the substantial bi-directional information flow between spot and

futures markets into the unidirectional flow of information from futures to spot

market. They also proved the significant increase in the contemporaneous relation

among the spot and futures markets. Lien explored whether the price discovery

function of futures price has been enhanced in the Australian market after the

switch of futures contract from cash settlement to physical delivery. They have

found that there is significant flow of information from spot to futures market in

both the period of cash settlement and physical delivery. Moreover, they pointed out

the increase in the magnitude of information flow from spot to futures market after

switching of ISF contracts into physical delivery. While, by using the Geweke

feedback measures, Chan L.H. has tried to examine the effect of extended trading hours

of the Hong-Kong index futures on the flow of information between cash and futures

markets. They have found that extension of trading hour leads to a stronger information

flow from the cash market to the futures market, i.e., the spot market leads the

futures market.

As far as the Indian financial market is concerned, Thenmozhi M. (2002), Babu P.A.

et al. (2003) etc. have tried to examine the temporal relationship between the index

futures and underlying cash index and to test the lead-lag relations among those

markets in India. They confirmed that Indian index futures lead the spot index and such

lead-lag pattern between the two markets is not constant over different periods.

All of the past studies reveal the fact that futures market leads the spot market at the

15

index level; while, an opposite relationship is found if we go for the underlying stocks

listed in both the spot and futures markets. Though there are a number of studies

examined the flow of information between spot and futures market, but only a few

of them accounted for the underlying stocks. This study contributes to the literature

by (i) investigating the leading role played the spot or the futures market in

discovering not only the index price but also the prices of some underlying stocks

listed in those markets and (ii) examining the leading role for the whole period along

with for the subsequent annual periods with a view to know how such role varies from

time to time.

2.4 Objectives of the study

1. To study lead-lag relationship between the spot and the future market for some

underlying stock.

2. To examine the volatility spot market index on a few highly liquid stock.

2.5 Scope of the study

The scope of the study is limited only to CNX Nifty, daily closing prices of some

selected stocks and Nifty futures index. The study includes testing of lead-lag relation

only in Nifty spot and futures market.

2.6 Hypothesis:

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HO: “Stock returns in underlying spot market does not lead to that in the futures

market”

H1: “Stock returns in underlying spot market does lead to that in the futures market”

2.7 Methodology

There are several methods for testing the flow of information and movement of prices

in two different markets. In this study the emphasis is given mainly on Geweke

measures of feedback to test the flow of information and the movement of prices in spot

as well as futures market in India. Daily closing prices of CNX Nifty index, Nifty

futures index, and also the daily closing prices of some selected stocks, listed in

both the spot and futures market, are used in the study.. All the data at the index

level are collected from January-07 to March-07. It is to be noted here that the

study period and the number of the time series observation are not consistent for all of

the underlying stocks. Because different stocks are traded in futures market for

different time periods. The stocks traded at least for 60 days (except in the case of

few stocks), fixed arbitrarily, in the futures market are taken into consideration

for this study. A brief description of the price index and also of the underlying stocks

is presented in below Table 1. Since the futures price on the first nearest contract is

characterized by a high level of activity, prices of stock index futures and also of stock

futures on the first nearest contract, i.e., on the next month contract are taken into

account. All the data are collected from the website of National Stock Exchange (NSE),

Mumbai.

In the present study, the attempt has been made to investigate the flow of information

among the Indian spot and futures market both at the index level and also at the

underlying stock level. This study applies Geweke [J. Am. Stat. Assoc., 76(1982)

304] measure of feedback to empirically investigate the hypothesis that there is

instantaneous flow of information among spot and futures market and there is no such

cause and effect relationship among the index and stock prices in those markets.

This study is based on daily data for CNX Nifty spot index, Nifty futures index, and

17

also daily prices of some of the selected stocks from both the spot as well as futures

markets over a period from January 07 to March, 2007. The study reveals the fact

that though both the non- stationary price series are cointegrated (both at index and

stock level), there is cause-effect relationship only in few pairs of price series, not

in all the cases. As far as the flow of information is concerned, the statistics

showing the Geweke measure of feedback, confirm that though there is an

instantaneous flow of information among the spot and futures market, still there is a

lead-lag relationship between the spot and the futures market that varies from period

to period and also from one underlying stock to another.

The remainder of this paper is organized as follows. Section 2 discusses a brief review

of the past literature relevant with this study and pointed out the effort trying to achieve

through this study.

The temporal relation between stock Index and Index futures has been and continues

to be of interest to regulators, academicians and practitioners alike for a number of

reasons such as market efficiency, volatility and arbitrage. In perfectly efficient

markets profitable arbitrage should not exist as prices adjust instantaneously and fully

to new information. Hence, new information disseminating into the market place

should be immediately reflected in spot and futures prices by triggering trading

activity in one or both markets simultaneously so that there should be no systematic

lagged responses. However, there is yet another reason that futures markets

potentially provide an important function of price discovery to help improve efficiency

of the market. If so, then futures prices and movements thereof should contain useful

information about subsequent spot prices beyond that already embedded in the current

spot price.

The concern over how trading in futures contract affects the spot market in

underlying asset has been an interesting subject for investors, academicians,

exchanges and regulators. Antoniou and Holmes (1995) found that the

introduction of stock Index futures caused an increase in spot market volatility in the

short run while there was no significant change in volatility in the long run. The

18

apparent increase in volatility has been attributed to increased information flow in the

market through the channel of futures trading. On the other hand, Kamara et al. (1992)

found no increase in spot market volatility due to introduction of futures trading.

Ross (1989) demonstrates that under conditions of no arbitrage variance of price

change must be equal to the variance of information flow. This implies that the

volatility of the asset price will increase as the rate of information flow increases. It

follows therefore, that if futures increase the flow of information then in absence of

arbitrage opportunities the volatility of the spot price must change and hence increase in

volatility.

Since there is theoretical disagreement as to whether futures trading increases

or decreases spot price volatility the question needs to be investigated empirically

and policy makers in India may also like to know its impact so that future policy

changes can be implemented. Another purpose of this study is to examine the effect of

introduction of S&P CNX Nifty Index futures on the underlying spot market.

There is an evidence of bi-directional feedback during the day. In order to find out

any lead lag information, there is a need to look at high frequency data. Attempts are

being made to obtain intra day data so that lead lag relationship, if any, between

cash and futures market can be established. Also, price discovery and volatility in the

context of single stock futures is proposed to be studied separately.

Geweke Measure of Feedback:

Suppose, there are two markets, X market and Y market. Let Pxt and Pyt be the two

different price series of two different markets. Now, the nominal return of those stock

markets can be calculated by taking the first difference in the log of the stock price, such

that

rzt = lnPzt – lnPz,t-1, where z = x, y.

In – Natural Log

19

When it is hypothesized that the return series of two different markets are interrelated,

then each of the return series are influenced by information influencing other markets,

information that do not influence other markets, and noise.

Now, according to Geweke (1982) Measure of Feedback, the flow of information

among the spot and futures markets can be measured by the following log-likelihood

ratio statistics.

There may be unidirectional and / or bidirectional feedback measure among the spot

and futures market in the matter of flow of information.

When there is a unidirectional feedback relation from spot market (X) to futures market

(Y), such relation can be measured by the following statistics

FX→Y = ln(σ2µy / σ

2yy)

Now, the asymptotic distributions of this measure is such that, if the residuals in the

above equations are i.i.d. under the null hypothesis H0: FX→Y = 0, then

Similarly, the unidirectional feedback relation from futures market (Y) to the spot

market (X) can also be measured, such that

FY→X = ln(σ2µx / σ

2xx)

The above test statistics (FX→Y, FY→X,) reveals whether there is unidirectional and / or

bi-directional flow of information among spot and futures market in India. When

FX→Y is statistically significantly different from zero but FY→X is not, then it can be

concluded that the information actually flows from spot market to futures market and

thus the former leads the latter. On the other hand, if FY→X is statistically significant,

but FX→Y is not, then the futures market is said to lead the spot market and information

flows from futures to spot market. Moreover, when both the measures are significantly

20

different from zero, then a larger value of FY→X implies that the futures market has

more influence on the spot market.

This Geweke Measure of Feedback technique have some special advantages over the

other means for testing the contemporaneous or lead / lag relationship in the matter

of flow of information and movement of prices in two different markets. Unlike other

technique, the Geweke statistics represent not only the presence of feedback, but also the

extent of feedback. The Granger Causality (Granger et al., 1969) test of investigating the

causal relation can only reveals whether we can reject or fails to reject the null

hypothesis that there is no such relation among two different markets. But the

Geweke statistics can cardinally measure the degree of movements or

interdependence.

The Standard Deviation: The standard deviation measures the absolute dispersion (or

variability of distribution: the greater amount of dispersion of variability), the greater

the standard deviation, for the greater will be the magnitude of deviations of the values

of their mean. A small standard deviation means the high degree of uniformity of the

observation as well as homogeneity of a series: a large standard deviation means just the

opposite.

Skewness: Measure of skewness tells us the direction and the extent of skewness. In

symmetrical distribution the mean, median and mode are identical. The more mean

moves away from the mode, the larger the asymmetry of skewness.

Kurtosis: the most important measure of kurtosis is the value of the coefficient β2.. It is

defined as

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The greater the value of β2 the more peaked is the distribution.

Correlation Analysis: the correlation is the device which helps us in analyzing the

covariance of 2 or more variables.

The problem of analyzing the relation between different cities should be broken in to

three steps:

1. Determining whether a relation exists and, if it does, measuring it.

2. Testing whether it is a significant.

3. Establishing the calls and effect and relation, if any.

Table no. 2.1 Description of Price Index and Underlying Stocks Listed in Spot & Futures Markets:

NSE Code Index/Company Name Industry Group Incorporation YearS&P CNX NIFTY S&P CNX NIFTY Index Price IndexFUTIDXNIFTY Nifty Futures Index Futures IndexACC Associated Cement Cos.Ltd. Cement 1936BAJAJAUTO Bajaj Auto Ltd. Automobile 1945BHEL Bharat Heavy Electricals Ltd. Electricals & Electricity 1964BPCL Bharat Petroleum Corpn. Ltd. Petroleum 1952BSES B S E S Ltd. Electricals & Electricity 1929CIPLA Cipla Ltd. Drug 1935DRREDDY Dr. Reddy's Laboratories Ltd. Drug 1984GRASIM Grasim Industries Ltd. Diversified 1947

22

GUJAMBCEM Gujraj Ambuja Cements Ltd. Cement 1981HINDLEVER Hindusthan Lever Ltd. Diversified 1933HINDPETRO Hindusthan Petroleum Corpn. Ltd. Petroleum 1953INFOSYSTCH Infosys Technologies Ltd. Computers 1992IOC Indian Oil Corpn. Ltd. Petroleum 1959ITC I T C Ltd. Tea & Tobbaco 1910L&T Larsen & Toubro Ltd. Diversified 1946M&M Mahindra & Mahindra Ltd. Automobile 1945MTNL Mahanagar Telephone Nigam Ltd. Telecom 1986ONGC Oil & Natural Gas Corpn. Ltd. Petroleum 1959RANBAXY Ranbaxy Laboratories Ltd. Drug 1961RELIANCE Reliance Industries Ltd. Diversified 1966SATYAMCOMP Satyam Computer Service Ltd. Computers 1987SBIN State Bank of India Banking 1955TATAPOWER Tata Power Co. Ltd. Electricals & Electricity 1919TATATEA Tata Tea Ltd. Tea & Tobbaco 1978TELCO Tata Motors Ltd. Automobile 1956TISCO Tata Iron & Steel Co. Ltd. Iron & Steel 1907VSNL Videsh Sanchar Nigam Ltd. Telecom 1986

This table reports a brief description of the indices and also of the stocks (companies) listed in both the derivative as well as spot market in India.

Motivation

The Indian capital market has witnessed many changes in the past decade. A

major reform undertaken by SEBI was the introduction of derivatives products: Index

futures, Index options, stock options and stock futures, in a phased manner starting

from June 2000. It has been about two and half years since the introduction of Index

futures in India mainly as a risk management tool for institutional and for other

investors. The two main functions of futures market are price discovery and hedging.

Futures markets are also known to have a stabilizing effect on the underlying spot

market. Price discovery is expected to first take place in the futures market and then it

is transmitted to underlying cash market (Pizzi et al, 1998). Since futures market is

different from cash market in terms of capital required, cost of transactions and other

aspects, it would be a forerunner of the cash market as far as the information

23

discounting is concerned. Thus many small and risk averse investors can trade in the

cash market without taking the risk of bouts of volatility. Therefore, this paper makes

an attempt to measure price discovery whether actually taking place first in the futures

market or not. A related issue is level of volatility. Introduction of Index futures is

expected to reduce volatility in the cash market since speculators are expected to

migrate to futures market (Antoniou and Holmes, 1995). Many past studies in other

countries measured impact of volatility on the cash market. In India as of now there

is no scientific study that used some of the modern econometric techniques to measure

volatility in the cash market after the introduction of Index futures. There are some

studies which used standard regression and standard deviation techniques. It is

proved in India also that volatility is a time varying factor (Thiripal Raju et. al.,

2002). Therefore, in this study Autoregressive Conditional Heteroscedasticity (ARCH)

family of techniques are used to capture time varying nature of volatility so that the

estimators are more reliable. These are the two important locomotives; price

discovery and volatility that worked as drivers of this research study.

Data collection

The data which is required for the study is mainly depend upon the secondary date. Daily

closing prices of CNX NIFTY index, and also the daily closing prices of some selected

stocks listed in both the spot and future market.

1 Books and Journals

2 Internet Websites :

www.nseindia.com

www.icfai.org

www.ssrn.com

www.bseindia.com

24

Plan of Analysis

Technique: Descriptive statistics consists of mean, standard deviation, skewness,

coefficient of variance, correlation and kurtosis, for the Nifty spot and Nifty futures

index, and also for the underlying stocks and stock futures for return series All the

return series are calculated as the first difference of the log of the daily closing price

series of the two markets.

Tools: For the calculation of all the statistical techniques Ms-EXEL is being used

LIMITATIONS OF THE STUDY

1 The study is confined to closing prices of spot & futures in the Stock Market. It

does not include other indicators, which affects the Capital Market.

2 Most of the information gathered for the study is from Internet and magazines

etc. that are in the printed from.

CHAPTER 3

INDUSTRY PROFILE

The world of finance and capital markets has undergone a stunning transformation in the

last decade. Simple stocks and bonds seem to be out-fashioned alongside the dazzling

and fast faced world of futures, options, swaps and other ‘new’ financial products. A

derivative is a simply a financial instrument that derives its value from the underlying. In

a sense it can be seen as a bet on the futures pries. This is true in case of investors who

use this kind contract to speculate on the future pries. Hence derivative markets have

been blamed to increase the volatility in the spot market.

25

But derivatives also acts as insurance against adverse outcomes for the other party.

Financial markets are, by, nature extremely volatile and hence risk is an important factor

for the agents. Derivatives helps them reduce their risk. Hence it is not the derivative

product it self but the way in which it is used and who uses it, that determines whether

it’s risk reducing or betting.

APPLICATION AND USE OF DERIVATIVES

The general strategies of companies in using the derivative product are known. But data

is not available on how much company is hedging against a perceived risk or by all

companies in the aggregate. The various in the different industries make use of different

derivative products. For example financial institutions like banks have assets and

liabilities in the different currencies, with different maturities and with different credit

risks. Hence banks can be expected to use interest rate derivatives, currency derivatives

and credit risk derivatives. On the hand manufacturing companies that buy raw materials

and sell in global markets can be expected to use commodity and currency derivatives.

Some of the motives for using derivative products are

Risk management- Derivatives are a tool for companies to manage and reduce risk.

Insurance it self can be bought of as a derivative. For example, automobile insurance is a

bet on whether we have an accident or not. If we hit a tree, the insurance is valuable. If

the car remains in tact, insurance is of no value.

Speculation- Derivatives can provide ways to make bets that are highly leveraged and

tailored to a specific view. The potential for gain or loss can be huge and so the returns

will be high.

26

Reduced transaction- Sometimes derivatives provide a lower cost way to effect a

particular transaction. If a person wants to sell stocks and buy bonds, it is possible to

trade derivatives instead and achieve some economic effect.

Regulatory arbitrage- It is sometimes possible to circumvent regulatory restrictions,

taxes and accounting rules by trading derivatives. Derivatives can be used to achieve the

economic sale of stock (receive the cash and eliminate the risk of holding it) while

marinating the physical possession of the stock. This may give owner the voting rights

without the risk of holding the stock

Table no. 3.1 The various derivative products available in NSE are shown in the

following table

Products Index

Futures Options

Individual

securities

Futures

Options

Underlying

instruments

S&P CNX NIFTY S&P CNX NIFTY Securities

stipulated by

SEBI

Securities

stipulated by

SEBI

Type European American

27

Trading

Cycle

Max of 3 months 3

type of contracts

at any time-near

month, mid month far

month duration

Same as Index

futures

Same as Index

futures

Same as Index

futures

Expiry Date Last Thursday of

every month

Same as Index

futures

Same as Index

futures

Same as Index

futures

Contract

Size

Lot size of 200and

multiples

Same as Index

futures

As stipulated by

NSE

As stipulated by

NSE

Price Steps Rs.0.05 Rs.0.05

Base Price

Subsequent

Daily settlement price Daily close prices Daily settlement

price

Daily close prices

Price Bands Operating ranges are

kept at +10%

Operating ranges

at +10% of base

value

Operating ranges

are kept at +20%

Operating ranges

at +10% of base

value

Quantity

Freeze

20000 unties or

greater

20000 unties or

greater

Lower of 1% of

market wide

position limit

stipulated for

open position or

Rs. 5 crs

Same as

individual futures

Derivative market in India

The first step towards introduction of derivatives trading in India was the promulgation

of the Securities Laws (Amendment) Ordinance, 1995, which withdraw the prohibition

on options in securities. The market for derivatives did not take off immediately as there

was no regulatory framework to govern trading of derivatives. The Securities Contract

Regulation Act (SCRA) was amended in Dec 1999 to include derivatives within the

ambit of ‘securities’ and the regulatory framework was developed to govern trading of

28

derivatives. However, the trading was limited to recognized stock exchange, thus

eliminating the OTC derivatives.

The trading in BSE Sensex commenced on June 4, 2001 and in options on individual

securities commenced in July 2001. The following are some of the observations based on

the trading statistics by the NSE report on futures and options.

1. Single stock futures which closely resemble the former badla system constitute

for a sizable portion of the total F & O segment.

2. Due to the low volatility of the spot index, the trading on index options remains

poor. This is due to the fact that low volatility leads the higher waiting time and

lower commission to the brokers.

3. There is a decrease in the call-put volumes ratios suggesting that traders are

increasingly becoming pessimistic.

Evolution of futures:

Futures contract, especially those involve agricultural commodities, have been traded for

long. In the USA, for instance, such contracts begin trading on the Chicago board of

trade (CBOT) in the 1860’s . subsequently, contracts began to trade on commodities

involving precious metals like gold, silver etc. However, significant changes have taken

place in the last three decades with the development of financial futures contracts. They

represent a very significant financial innovation. Such contracts encompass a variety of

underlying assets securities, stock indices, interest rates and so on. The beginnings of

financial futures were made with the introduction of foreign currency futures contracts

on the International Monetary Markets (IMM) in 1972. subsequently, interest rates

futures where a contract is on an asset whose price is dependent solely on the level of

interest rates were introduced on the CBOT in October 1975. within a short span of time,

CBOT made a headway and introduced the Government National Mortgage Association

Contract (GNMA) and the years 1976 and 1977 saw the launching by IMM, respectively

of the Treasury Bill Futures and Treasury Bonds futures. Treasury Bonds is one of the

most actively traded futures contract in the world and has in particular, lent great impetus

29

to the introduction of similar futures on many futures exchanges the world over. An

important development took place in the world of futures contracts in 1982 when stack

index futures were introduced in the USA, after strong initial opposition to such

contracts. A futures contract on a stock index has been revolutionary and novel idea

because it represents a contract based negotiable instrument. It is instead based on the

concept of mathematically measurable index that is determined by the market movement

of a predetermined set of equity stocks. Such contracts are now very widely traded the

world over.

Futures Contracts:

As indicated, the futures contracts represent an improvement over the forward contracts

in terms of standardization, performance guarantee and liquidity. A futures contract is a

standardized contract between two parties where one of the parties commits to sell, and

the other to buy, a stipulated quantity (and quality, where applicable) of a commodity,

currency, currency, security, index or some other specified item at an agreed price on a

given date in the future.

The futures contracts are standardized ones, so that

i) The quantity of the commodity or the other asset which would be transferred

or would form the basis of gain/loss on maturity of a contract.

ii) The quality of the commodity if a certain commodity is involved and the

place where delivery of the commodity would be made.

iii) The date and month of delivery

iv) The units of price quotation

v) The minimum amount by which the price would change and the price limits

for a day’s operations, and other relevant details are all specified in a futures

contract. Thus, in a way, it becomes a standard asset, like any other asset to be

traded.

30

Futures contract are traded on commodity exchanges or other futures exchanges. People

can buy or sell futures like other commodities. When an investor buys a futures contract (

so that he takes a long position) on an organized futures exchange, he/she is in fact

assuming the right and obligation of taking the delivery of specified underlying item on a

specified underlying item on a specified date. Similarly, when an investor sells a contract

to take a short position, one assumes the right and obligation to make the delivery of the

underlying asset. There is no risk of non performance in the case of trading in futures

contracts. This is because a clearing house, or a clearing corporation is associated with

the futures exchange, which plays a pivotal role in the trading of futures. A clearing

house takes the opposite position in each trade, so that it becomes the buyer to the seller

and the seller to the buyer. When a party takes a short position in a contract, it is obliged

to sell the underlying commodity in question at the stipulated price to the clearing house

on maturity of the contract. Similarly, an investor who takes a long position on the

contract, can seek its performance through the clearing house only.

Traders in futures and options markets

The derivative instruments are used for various purposes. As indicated earlier they are

primarily used for purposes of managing risk by those managing funds. The trading of

these instruments also allows the market participants the opportunities of making profits

either by taking risk, i.e. speculation, or simultaneously taking opposite positions in the

spot and futures markets, or in the futures market alone to take advantage of price

differentials, i.e. arbitrage.

Accordingly, there are varied types of traders who trade in the futures and options

markets. Hedgers, speculators and arbitrageurs constitute three major classed of such

traders.

Hedgers

As already observed, hedging (covering against losses) is the prime reason which led to

emergence of derivatives. The availability of derivatives allows the undertaking of many

31

activities at a substantially lower risk. Hedgers therefore are an important constituent of

the traders in derivatives markets.

Hedgers are the traders who wish to eliminate the risk (of price change) to which they are

already exposed. They may take a long position on, or short sell, a commodity and

would, therefore, stand to lose should the prices move in the adverse direction. It will be

instructive to illustrate hedging with some examples. To begin with, suppose a leading

trader buys a large quantity of wheat that would take two weeks to reach him. Now, he

fears that the wheat may have to be sold at lower prices. The trader can sell futures (or

forward) contracts with a matching price to hedge. Thus if the wheat prices do fall the

trader would lose money on the inventory of wheat but will profit from the futures

contract, which would balance the loss. Similarly, an investor who holds a large quantity

of shares of a company can hedge by selling futures on them or by buying put option

contacts, in case he fears a fall in the price of that share.

Again, traders dealing in exports and imports are subject to fluctuations in the foreign

exchange rates, called the forex risk. In the absence of any hedging instruments, they are

bound to remain exposed to such risk and suffer in case of adverse changes in the

exchange rates. However, the forex risk, an integral component of the foreign trade3

business can be hedged with derivatives. For example today with the dollar rupee

forward contracts and with the trade with a lesser degree of risk. Accordingly, the trading

volumes on the dollar rupee forward contracts are worth as much as $400 million per

day.

Speculators

If hedgers are the people who wish to avoid the price risk, speculators are those who are

willing to take such risk. These are the people who take positions in the market and

assume risks to profit form fluctuations in prices. In fact, the speculators consume

information, make forecasts about the prices and put their money in these forecasts. In

this process, they feed information into prices and thus contribute to market efficiency.

By taking positions they are betting that a price would go up or they are betting that it

32

would go down. Depending on their perceptions, they may take long or short positions

on futures and/or options, or may hold spread positions (simultaneous long and short

positions on the same derivative)

The speculators in the derivatives markets may either be day traders or position traders.

The day traders speculate on the price movements during one trading day, open and close

positions many time a day not carry any position at the end of the day. Obviously they

monitor the prices continuously and generally attempt to make profit from just a few

ticks per trade. On the other hand, the positions traders also attempt to gain from price

fluctuations but they keep their positions for longer durations may be for a few days,

weeks or even months. They use fundamental analysis and/or technical analysis as also

any other information available to them to form their opinions on the likely price

movements.

Arbitrageurs

Arbitrageurs thrive on market imperfections. An arbitrageur profits by trading a given

commodity, or other item, that sells for different prices in different markets. In a

handbook brought out by the Institute of Chartered Accountants of India, the word

Arbitrage has been defined as follows:

“Simultaneous purchase of securities in one market where the price thereof is low and

sale thereof in another market, where the price thereof is comparatively higher. There are

done when the same securities are being quoted at different prices in the two markets,

with a view to make a profit and carries on with the conceived intention to derive

advantage from difference in the prices of securities prevailing in the two markets”.

Thus, arbitrage involves making risk-less profit by simultaneously entering into

transactions in two or more markets. If a certain share is quoted at a lower rate on the

Delhi Stock Exchange (DSE) and at a higher rate on The Stock Exchange, Mumbai

(BSE) for example an arbitrageur would profit by buying the share at DSE and

simultaneously selling it at BSE. This type of arbitrage is arbitrage over `space’. With the

33

introduction of derivatives trading the scope of arbitrageurs’ activities extends to

arbitrage over time. For instance, if an arbitrageur feels that the futures are being quoted

at a high level considering the cost of carry he could buy securities underlying an index

today and sell the futures, maturing in a month or two hence. Similarly, since futures and

options with various expiration dates are traded in the market, there are likely to be

several arbitrage opportunities in trading. Thus, if a trader believes that the price

differential between the futures contracts on the same that the price differential between

the futures contracts on the same underlying asset with differing maturities is more or

less than what he/she perceives them to be, then appropriate positions in them may be

taken to make profits.

It may be noted that the existence of well functioning derivatives markets alters the flow

of information into the prices. This is because in a purely cash market, speculators feed

information into the spot prices. In contrast, the presence of a derivatives market, besides

a cash market, ensures that a major part of the transformation of information into prices

takes place at the derivatives market, due to lower transactions costs involved in such a

market, and then it gets transmitted to the spot markets. It is here that the arbitrageurs

provide a link between the derivatives market and the cash market by synchronizing the

prices in the two. Thus, through their actions, the arbitragers provide a critical link

between the cash and derivatives markets.

Functions performed by derivatives markets

The derivatives markets perform a number of useful economic functions

1. Price Discovery: The futures and options market serve an all important function of

price discovery. The individuals with better information and judgment are inclined to

participate in these markets to take advantage of such information. When some new

information arrives, perhaps some good new about the economy, for instance, the actions

of speculators swiftly feed their information into the derivatives markets causing changes

in prices of the derivatives. As indicated earlier, these markets are usually the fist ones to

34

react because the transaction cost is much lower in these markets than in the spot

markets. Therefore, these markets indicate what is likely to happen and thsus assist in

better price discovery.

2. Risk Transfer: By their very nature, the derivative instruments do not themselves

involve risk. Rather, they merely redistribute the risk between the market participants. In

this sense, the whole derivatives market may be compared to a gigantic insurance

company providing means to hedge against adversities of unfavorable market

movements in return for a premium, and providing means and opportunities to those who

are prepared to take risks and make money in the process.

3. Market Completion: The existence of derivative instruments adds to the degree of

completeness of the market. A complete market implies that the number of independent

securities (or instruments) is equal to the number of all possible alternative future states

of the economy. To understand the idea, let us recall that the derivative instruments of

futures and options are the instruments that provide an investor the ability to hedge

against possible odds (or events) in the economy. A market would be said to be complete

if instruments may be created which can, solely or jointly , provide a cover against all the

possible adverse outcomes. It is held that a complete market can be achieved only when,

firstly there is a consensus amount all investors in the economy as to the number of odds,

or states, that the economy can land up with, and secondly, there should exist an Efficient

Fund on which simple options can be traded. Here an efficient fund on which simple

options can be traded. Here an efficient fund implies a portfolio of basic securities that

exist in the market with the property of having a unique return for every possible

outcome, while a simple option is one whose payoff depends only on one underlying

return. Evidently, since the condition requiring identification and listing of all possible

state of the economy can never be obtained in practice, and it is not possible to design

enforceable financial contracts which can cover an endless range of contingencies, a

complete market remains a theoretical concept an ideal situation which cannot be

obtained in practice. The presence of futures and options markets does, however lead to a

greater degree of market completeness.

35

CHAPTER 4

ANALYSIS OF LEAD-LAG RELATIONSHIP BETWEEN INDIAN SPOT MARKET AND FURTURES MARKET

Geweke Measure of Feedback:

36

Suppose, there are two markets, X market and Y market. Let Pxt and Pyt be the two

different price series of two different markets. Now, the nominal return of those stock

markets can be calculated by taking the first difference in the log of the stock price,

such that

rzt = lnPzt – lnPz,t-1, where z = x, y.

In – Natural log

When it is hypothesized that the return series of two different markets are interrelated,

then each of the return series are influenced by information influencing other markets,

information that do not influence other markets, and noise

Nominal return tables of the underlying stocks have showed in the annexure from anx

tab no.1 to anx tab no. 22. After calculating the nominal return further statistical

techniques are applied.

Summary Statistics for Cash & Futures Prices Index and for some underlying Stocks

Table no. 4.1 Calculation of Mean & Standard deviation of Spot and Futures market

NSE Code Spot market   Futures market    MEAN SD MEAN SD

ACC -0.00901 0.02415 -0.00665 0.02395

BHEL -0.00486 0.02518 -0.00081 0.02253

BPCL -0.00243 0.02453 -0.00553 0.02648

CIPLA -0.00132 0.03737 -0.00134 0.01602

DRREDDY -0.00473 0.02021 -0.00215 0.01980

37

GRASIM -0.00541 0.02375 -0.00572 0.02292

GUJAMBCEM -0.00574 0.03324 -0.00646 0.03187

HINDLEVER -0.00432 0.02139 -0.00148 0.01887

HINDPETRO -0.00374 0.02273 -0.00390 0.01943

INFOSIS -0.00319 0.01933 -0.00017 0.01861

IOC -0.00491 0.01839 0.00040 0.02065

ITC -0.00432 0.02041 -0.00186 0.02311

M&M -0.00730 0.02206 -0.00519 0.02262

MTNL -0.00067 0.03103 0.00079 0.02973

ONGC -0.00301 0.01912 0.00111 0.02110

RANBAXY -0.00695 0.02372 -0.00241 0.02246

RELIENCE -0.00019 0.01782 0.00013 0.01230

SAYAMCOMP -0.00458 0.02922 -0.00100 0.02199

SBIN -0.00728 0.02558 -0.00492 0.02093

TATAPOWER -0.00488 0.02221 0.00114 0.02542

TATATEA -0.00084 0.01911 -0.00006 0.02353

VSNL -0.00340 0.03196 -0.00216 0.03007

All the return series are calculated as the first difference of the Natural log (In) of the

daily closing price series of the two markets. The mean return of both the spot &

futures indices negative

Table no. 4.2 Calculation of Skewness and Kurtosis of Spot and Futures market

NSE Code Spot Market   Futures Market    SKEWNESS KURTOSIS SKEWNESS KURTOSIS

ACC -0.56062 0.45519 -0.60173 1.31174

BHEL 0.25475 1.40522 0.48913 1.16126

BPCL -0.98861 3.02404 -2.34086 10.57834

CIPLA 5.01397 33.00856 0.24405 -0.57438

DRREDDY -0.07871 2.45534 0.12534 1.44525

GRASIM -0.39895 1.60520 -0.61929 3.03922

GUJAMBCEM 0.00992 0.93928 0.67744 2.55138

HINDLEVER 0.89801 3.15248 1.64411 5.22471

HINDPETRO -0.08019 -0.44689 -0.24424 0.00115

INFOSIS 0.28322 0.57953 1.12460 1.75150

IOC 0.26020 0.13856 0.81006 1.47312

38

ITC 0.08087 0.00746 1.46739 7.22150

M&M 0.07133 -0.49323 -0.51683 1.06049

MTNL 0.09855 1.57499 -0.03651 1.19867

ONGC 0.16065 -0.93600 0.19976 -0.79552

RANBAXY 0.00764 1.07867 -0.32221 0.57035

RELIENCE 1.24598 4.96285 -0.62484 1.75234

SAYAMCOMP -0.87240 2.84196 -0.21478 0.38579

SBIN 0.43800 0.91020 0.43352 0.11700

TATAPOWER 0.91642 2.21682 2.12585 9.77410

TATATEA -0.32877 2.12679 2.56365 10.01341

VSNL -0.18870 1.59346 -0.39851 0.81419

Skewness representing the asymmetry ( not in right proportion ) in the return series, than

expect for some companies viz. BHEL, GUJAMBCEMCIPLA, HINDLEVER,

INFOSIS, IOC, ITC, M&M, MTNL, ONGC, RANBAXY, RELIENCE, SBIN, TATA

POWER.

If the kurtosis of all the return series in the both the markets are taken into consideration,

than be found that all the figures are positive and therefore all the return distribution are

said to be Leptokurtic

The more the value of kurtosis of a company’s series for example Cipla in spot market

and BPCL, Tata power in futures market shows that the more destabilizes the company’s

return.

Table no. 4.3 Calculation of Variance and Co-efficient variance of Spot and Futures market

NSE Code Spot mkt   Fut mkt      VARIENCE CV VARIENCE CV CorrelationACC 0.00058 -267.87278 0.00057 -360.28418 -0.14999

BHEL 0.00063 -518.15904 0.00051 -2785.89180 -0.15539

BPCL 0.00060 -1007.58170 0.00070 -478.74958 -0.15434

CIPLA 0.00140 -2822.53189 0.00026 -1196.56834 -0.15611

DRREDDY 0.00041 -427.27125 0.00039 -920.21358 -0.15470

GRASIM 0.00056 -438.89611 0.00053 -400.39819 -0.15850

GUJAMBCEM 0.00111 -579.33124 0.00102 -493.75485 -0.16421

HINDLEVER 0.00046 -495.62715 0.00036 -1275.49889 -0.16951

HINDPETRO 0.00052 -608.43814 0.00038 -497.68105 -0.17391

39

INFOSIS 0.00037 -605.42421 0.00035 -11219.89258 -0.18070

IOC 0.00034 -374.91085 0.00043 5118.78241 -0.15974

ITC 0.00042 -472.99841 0.00053 -1243.66259 -0.19422

M&M 0.00049 -302.23795 0.00051 -435.89101 -0.20278

MTNL 0.00096 -4630.75868 0.00088 3752.35890 -0.22004

ONGC 0.00037 -634.19817 0.00045 1905.25656 -0.17635

RANBAXY 0.00056 -341.38165 0.00050 -933.97059 -0.20702

RELIENCE 0.00032 -9337.19589 0.00015 9446.07168 -0.23824

SAYAMCOMP 0.00085 -638.08754 0.00048 -2198.48359 0.96812

SBIN 0.00065 -351.54427 0.00044 -425.75314 0.96694

TATAPOWER 0.00049 -454.83988 0.00065 2230.88580 0.98352

TATATEA 0.00037 -2263.09134 0.00055 -38926.57889 1.00000

VSNL 0.00102 -938.72228 0.00090 -1394.85224 #DIV/0!

Expect from Satyam Comp. SBIN, Tata power, and Tata Tea correlation shows that it is

negative, it menace there is no Lead relationship between the spot & futures market.

Here H0 is accepted i.e. stock return in underlying spot market does not lead to that in the

futures market. This is because in the month of Jan 07 to March 07 the index prices of all

the underlying stocks were in decreasing trend.

Table no. 4.4 Calculation of Beta value for the underlying stocks

NSE Code Beta   ACC 0.64BHEL 0.86BPCL 0.47CIPLA 0.56DRREDDY 0.22GRASIM 0.48GUJAMBCEM 0.60HINDLEVER 0.70HINDPETRO 0.54INFOSIS 0.84IOC 0.32ITC 0.34M&M 0.74

40

MTNL 0.80ONGC 0.57RANBAXY 0.42RELIENCE 0.47SAYAMCOMP 0.92SBIN 0.71TATAPOWER 0.18TATATEA 0.24VSNL 1.00

The Beta value is the measure of risk involved when invested in spot market of a

particular company. If the Beta value is more than 1 then it involves a high risk. Here

from the above table it can be seen that all the companies expect VSNL have Beta value

less than one. But investor’s point of view they have less risk.

CHAPTER 5

Findings

All the findings were based on the last 3 months of study

This study focus on the possible lead-lag relationship among the spot and futures

market in India.

41

The futures market in India as not mature and it is imperfect. Hence there is no

conclusive proof of any lead or lag relationship. Once the market becomes more

mature relation will be more evident.

There is not much activity happing in the futures market in India. Hence the

futures are not liquid enough and hence there is no clear pattern of relationship

with the underlying spot market.

For the past 3 months i.e. Jan, Feb, Mar. it is found that there is decrease in the

sensex prices and decrease in the prices of all underlying stocks.

The mean return for the index and also almost all of the underlying stocks in both

the market are showed negative.

It is found the 7 companies returns were not in right proportion.

The correlation between spot and futures market negatively correlated, it

indicates that both are in opposite direction, that is if one variable increases the

other decreases or vice versa

The derivative futures are very risky, but these investments fetch high returns.

The price fluctuation is high; it is difficult to forecast future prices.

42

All the underlying stocks beta value is less than 1 it shows that the price variation

I low and the return is comparatively low of some times an investors has to incur

a loss due to frequent fluctuation of prices and it is difficult to forecast the futures

prices

Conclusion

By applying the Granger (1987) causality test and the Geweke (1982) measures of

feedback, an effort has been made to investigate the flow of information and the

price movements among the spot and the futures market in India at the underlying

stock level. The results on the Geweke feedback measure have confirmed that there is no

significant flow of information from the spot market to the futures market. Though the spot

43

market does not leads the futures market, there no significant instantaneous flow of

information among the spot the futures market. Now, if we go for the annual measures,

then it can be inferred that the results varies from one stocks to another depending on

the nature and type of industry and other factors. As far as the diversified

industries are concerned, though there is a significant contemporaneous relation, the

spot market shows greater impact. In this present study H0 has been accepted i.e. the

spot market does not lead the futures market.

Recommendations

Investors should carefully study the market and risk involved before investing.

Investors should be educated regarding the spot market and futures market, as

future market is new kind of investment available, most of them are not aware

that futures traded in the organized exchanges.

44

Usually futures trading are less risky compared to the spot trading, according to

the study of futures they are very risky, but before investing they should be

aware of market conditions.

Investors should consider financial experiences, goals and financial resources

and know how much he can afford to lose above and beyond initial payment.

Improve the surveillance mechanism and enhance transparency in order to

prevent unfair trade practices, which result in sharp volatile movements in

futures market.

The person who is investing in spot and futures market should understand his

exposure to risk and other aspects of trading by thoroughly reviewing the risk

disclosure documents.

Annexure no. 1 Calculation of nominal return of ACC

  SPOT MKT     FUT MKT    

DATE OPEN CLOSENOMINAL RETURN OPEN CLOSE

NOMINAL RETURN 

             2-Jan-07 1,096.00 1,092.95 -0.003 1098.7 1102.6 0.00353-Jan-07 1,080.00 1,073.60 -0.006 1104 1083.3 -0.01894-Jan-07 1,083.50 1,071.80 -0.011 1083 1075.35 -0.00715-Jan-07 1,080.00 1,054.70 -0.024 1077.5 1058.65 -0.01768-Jan-07 1,055.00 1,028.65 -0.025 1055 1030.9 -0.02319-Jan-07 1,035.00 1,025.50 -0.009 1030.5 1028.6 -0.0018

10-Jan-07 1,020.00 1,019.85 0.000 1034 1021.95 -0.011711-Jan-07 1,025.00 1,048.80 0.023 1029.9 1052.2 0.021412-Jan-07 1,042.10 1,064.85 0.022 1059 1070.05 0.010415-Jan-07 1,062.00 1,084.90 0.021 1075 1086.7 0.010816-Jan-07 1,087.90 1,101.60 0.013 1088 1103.05 0.0137

45

17-Jan-07 1,110.00 1,094.65 -0.014 1080.5 1096.15 0.014418-Jan-07 1,095.00 1,095.90 0.001 1091.9 1096.9 0.004619-Jan-07 1,099.00 1,108.90 0.009 1100.1 1109.85 0.008822-Jan-07 1,111.00 1,115.45 0.004 1111 1111.9 0.000823-Jan-07 1,095.00 1,037.75 -0.054 1100 1039 -0.057124-Jan-07 1,045.00 1,026.70 -0.018 1046 1031.3 -0.014225-Jan-07 1,038.50 1,039.95 0.001 1038.8 1035.1 -0.003629-Jan-07 1,050.35 1,042.35 -0.008 1046 1043.05 -0.002831-Jan-07 1,052.00 1,020.40 -0.030 1043 1026.7 -0.01581-Feb-07 1,034.00 1,034.65 0.001 1033 1043.45 0.01012-Feb-07 1,040.00 1,040.90 0.001 1049 1047.65 -0.00135-Feb-07 1,044.40 1,040.45 -0.004 1050 1043.3 -0.00646-Feb-07 1,044.00 1,044.60 0.001 1046.85 1047.5 0.00067-Feb-07 1,048.00 1,062.30 0.014 1049.4 1063.35 0.01328-Feb-07 1,065.00 1,066.55 0.001 1066 1064.65 -0.00139-Feb-07 1,045.00 1,035.05 -0.010 1067.5 1039.1 -0.0270

12-Feb-07 1,035.05 1,016.50 -0.018 1026 1004.6 -0.021113-Feb-07 1,020.00 1,010.35 -0.010 992.4 1002.45 0.010114-Feb-07 998.2 1,019.40 0.021 991.35 1021 0.029515-Feb-07 1,031.00 1,017.65 -0.013 1029 1024.25 -0.004619-Feb-07 1,024.90 1,015.80 -0.009 1024.9 1017.4 -0.007320-Feb-07 1,025.00 1,013.80 -0.011 1017.9 1009.65 -0.008121-Feb-07 1,024.95 1,004.70 -0.020 1011.8 1005.45 -0.006322-Feb-07 1,000.00 959.85 -0.041 1008.9 962.2 -0.047423-Feb-07 975 914.45 -0.064 946.6 907.85 -0.041826-Feb-07 909.9 942.55 0.035 906.5 933.2 0.029027-Feb-07 945 960.85 0.017 938 938.2 0.000228-Feb-07 925 902 -0.025 890 882.45 -0.00851-Mar-07 902.05 876.3 -0.029 885.1 868.15 -0.01932-Mar-07 885 854.45 -0.035 867.95 843.1 -0.02905-Mar-07 859 811.4 -0.057 824 798.65 -0.03126-Mar-07 820 852.5 0.039 818 835.8 0.02157-Mar-07 864 810.5 -0.064 848.2 784.4 -0.07828-Mar-07 821 833.15 0.015 790.1 823.8 0.04189-Mar-07 840 781.15 -0.073 826 772.35 -0.0672

12-Mar-07 780 746.7 -0.044 775 736.4 -0.051113-Mar-07 769 749.35 -0.026 746 740.8 -0.007014-Mar-07 722.1 746.95 0.034 711 748.35 0.051215-Mar-07 750 731.8 -0.025 760.1 734.6 -0.034116-Mar-07 735.7 723.15 -0.017 737.75 725.05 -0.017419-Mar-07 730 739.35 0.013 729.9 741.6 0.015920-Mar-07 745 749.2 0.006 747 750.3 0.004421-Mar-07 752 752.75 0.001 750.8 754.8 0.005322-Mar-07 755 753.7 -0.002 759.9 755.8 -0.005423-Mar-07 755 746.3 -0.012 757 750.55 -0.008626-Mar-07 750 733.6 -0.022 751 737.2 -0.018528-Mar-07 732.85 734.7 0.003 730 736.35 0.008729-Mar-07 734 734.75 0.001 734.8 734.3 -0.000730-Mar-07 738.8 735.25 -0.005 745.7 741.05 -0.0063

Annexure no. 2 Calculation of nominal return of BHEL

  SPOT MKT     FUT MKT    

DATE OPEN CLOSE NOMINAL RETURN OPEN CLOSE

 NOMINAL RETURN

2-Jan-07 2,319.00 2,303.45 -0.0067 2323 2317 -0.00263-Jan-07 2,310.00 2,300.45 -0.0041 2320 2311.6 -0.00364-Jan-07 2,318.50 2,276.10 -0.0185 2318 2281.85 -0.01575-Jan-07 2,288.00 2,289.65 0.0007 2251 2292.15 0.0181

46

8-Jan-07 2,270.00 2,266.90 -0.0014 2291 2268.05 -0.01019-Jan-07 2,279.90 2,250.85 -0.0128 2272 2256.4 -0.0069

10-Jan-07 2,255.00 2,144.65 -0.0502 2235 2156.3 -0.035811-Jan-07 2,150.00 2,151.30 0.0006 2150 2173.75 0.011012-Jan-07 2,161.20 2,247.95 0.0394 2170 2267.45 0.043915-Jan-07 2,260.00 2,222.15 -0.0169 2284 2236.9 -0.020816-Jan-07 2,205.00 2,261.45 0.0253 2243 2271.95 0.012817-Jan-07 2,278.00 2,270.85 -0.0031 2285 2279.7 -0.002318-Jan-07 2,280.00 2,297.55 0.0077 2278 2301.75 0.010419-Jan-07 2,310.00 2,270.70 -0.0172 2310 2280.25 -0.013022-Jan-07 2,285.00 2,318.80 0.0147 2292 2321.4 0.012723-Jan-07 2,325.00 2,315.30 -0.0042 2310 2316.6 0.002924-Jan-07 2,318.00 2,367.95 0.0213 2324 2370.35 0.019725-Jan-07 2,390.00 2,446.00 0.0232 2390 2450.65 0.025129-Jan-07 2,649.00 2,508.90 -0.0543 2450 2512.9 0.025331-Jan-07 2,588.70 2,523.15 -0.0256 2519 2498.65 -0.00811-Feb-07 2,535.00 2,498.10 -0.0147 2505 2498.5 -0.00262-Feb-07 2,500.00 2,502.10 0.0008 2509 2488.25 -0.00835-Feb-07 2,503.20 2,518.15 0.0060 2495 2505.15 0.00416-Feb-07 2,525.00 2,499.30 -0.0102 2511 2499 -0.00487-Feb-07 2,501.00 2,495.20 -0.0023 2502 2499.2 -0.00118-Feb-07 2,508.00 2,509.55 0.0006 2504 2514.4 0.00419-Feb-07 2,512.00 2,505.90 -0.0024 2520 2495 -0.0100

12-Feb-07 2,500.00 2,345.60 -0.0637 2485 2344.05 -0.058413-Feb-07 2,351.00 2,317.10 -0.0145 2340 2324 -0.006914-Feb-07 2,320.00 2,320.15 0.0001 2300 2337.2 0.016015-Feb-07 2,350.00 2,385.50 0.0150 2359 2399.2 0.016919-Feb-07 2,447.60 2,376.85 -0.0293 2406 2391.55 -0.006020-Feb-07 2,395.90 2,359.65 -0.0152 2392 2368.3 -0.010021-Feb-07 2,369.00 2,314.60 -0.0232 2370 2325.95 -0.018822-Feb-07 2,314.00 2,292.85 -0.0092 2320 2295.7 -0.010523-Feb-07 2,300.00 2,276.55 -0.0102 2317.85 2277.3 -0.017626-Feb-07 2,282.00 2,259.95 -0.0097 2278 2272.5 -0.002427-Feb-07 2,280.10 2,225.40 -0.0243 2278 2232.3 -0.020328-Feb-07 2,180.00 2,181.80 0.0008 2145.15 2172.75 0.01281-Mar-07 2,199.00 2,171.40 -0.0126 2160.25 2167.65 0.00342-Mar-07 2,179.00 2,098.30 -0.0377 2174 2097.4 -0.03595-Mar-07 2,065.00 2,007.55 -0.0282 2061 2011.2 -0.02456-Mar-07 2,049.00 2,028.90 -0.0099 2020 2030.25 0.00517-Mar-07 2,048.65 2,013.30 -0.0174 2060 2012.8 -0.02328-Mar-07 2,030.00 2,174.20 0.0686 2030 2168.15 0.06589-Mar-07 2,122.40 2,097.45 -0.0118 2180 2102.85 -0.0360

12-Mar-07 2,100.00 2,104.75 0.0023 2105 2114.55 0.004513-Mar-07 2,103.00 2,116.65 0.0065 2117 2126.55 0.004514-Mar-07 2,012.40 2,030.65 0.0090 2080 2028 -0.025315-Mar-07 2,050.00 2,008.30 -0.0206 2055 2013.6 -0.020416-Mar-07 2,084.00 1,952.25 -0.0653 2019 1958.5 -0.030419-Mar-07 1,970.00 2,081.25 0.0549 1978 2076.15 0.048420-Mar-07 2,090.00 2,048.50 -0.0201 2099 2049.05 -0.024121-Mar-07 2,059.80 2,108.15 0.0232 2059 2093.9 0.016822-Mar-07 2,130.00 2,231.40 0.0465 2116 2231.2 0.053023-Mar-07 2,233.30 2,271.70 0.0170 2230 2266.7 0.016326-Mar-07 2,273.00 2,254.00 -0.0084 2274.8 2262.5 -0.005428-Mar-07 2,240.00 2,281.65 0.0184 2230 2279.25 0.021829-Mar-07 2,299.70 2,277.65 -0.0096 2280 2276.25 -0.001630-Mar-07 2,283.00 2,261.35 -0.0095 2300 2266.3 -0.0148

Annexure no. 3 Calculation of nominal return of BPCL

  SPOT MKT     FUT MKT    

DATE OPEN CLOSENOMINAL RETURN OPEN CLOSE

NOMINAL RETURN

47

2-Jan-07 338 334.3 -0.0110 333.5 328.55 -0.01503-Jan-07 335.2 337.95 0.0082 327.5 331.85 0.01324-Jan-07 345.6 345.45 -0.0004 338 340.9 0.00855-Jan-07 351 352.2 0.0034 348 346.45 -0.00458-Jan-07 353.1 352.05 -0.0030 348 346 -0.00589-Jan-07 351 345.25 -0.0165 345 340.95 -0.0118

10-Jan-07 348 345 -0.0087 341 338.4 -0.007711-Jan-07 349 354.65 0.0161 340.1 348.6 0.024712-Jan-07 358 367.85 0.0271 353.75 363.05 0.026015-Jan-07 370 351.8 -0.0504 368.95 352.8 -0.044816-Jan-07 352.9 347.6 -0.0151 354 347.95 -0.017217-Jan-07 352 359.95 0.0223 351.25 360.1 0.024918-Jan-07 358 365.95 0.0220 362 364.25 0.006219-Jan-07 368 365.8 -0.0060 367.7 367 -0.001922-Jan-07 365.8 367.15 0.0037 365 366.55 0.004223-Jan-07 362.1 357.3 -0.0133 365.25 359.25 -0.016624-Jan-07 356 353.25 -0.0078 354 352.45 -0.004425-Jan-07 350 358.85 0.0250 352.7 358.45 0.016229-Jan-07 357.5 363.1 0.0155 361 361.95 0.002631-Jan-07 365 360.4 -0.0127 361.7 360.2 -0.00421-Feb-07 355 357.95 0.0083 357.9 357.5 -0.00112-Feb-07 359.9 352.45 -0.0209 357.1 355.05 -0.00585-Feb-07 351 358.7 0.0217 353 357.1 0.01156-Feb-07 359 355.05 -0.0111 357 352.85 -0.01177-Feb-07 354.9 345.8 -0.0260 353.3 347.1 -0.01778-Feb-07 349 349.6 0.0017 349 349.25 0.00079-Feb-07 347 344.2 -0.0081 345 345 0.0000

12-Feb-07 341.05 331.85 -0.0273 346.85 332.4 -0.042613-Feb-07 320.15 328.65 0.0262 328 327.95 -0.000214-Feb-07 320.5 324.4 0.0121 327 326.75 -0.000815-Feb-07 325 327.85 0.0087 345 319.75 -0.076019-Feb-07 325 335.5 0.0318 321 337 0.048620-Feb-07 339 331.85 -0.0213 338.8 333.6 -0.015521-Feb-07 330.25 336 0.0173 334.6 336.3 0.005122-Feb-07 336 329.05 -0.0209 336.1 329.6 -0.019523-Feb-07 350 317.3 -0.0981 330.25 319.4 -0.033426-Feb-07 322 315.45 -0.0206 321.05 318.5 -0.008027-Feb-07 317 309.3 -0.0246 316.1 311.5 -0.014728-Feb-07 301 311.25 0.0335 307 311.3 0.01391-Mar-07 314.8 309.9 -0.0157 308.6 309.2 0.00192-Mar-07 303.7 300.05 -0.0121 304.7 300.75 -0.01305-Mar-07 293 289.1 -0.0134 292.2 288.05 -0.01436-Mar-07 295 303.3 0.0277 296.9 304.8 0.02637-Mar-07 307 300.05 -0.0229 307 295.85 -0.03708-Mar-07 298 299.95 0.0065 297.8 301.45 0.01229-Mar-07 302.4 296.8 -0.0187 300 296.8 -0.0107

12-Mar-07 301 303.8 0.0093 302 304.85 0.009413-Mar-07 307 303.7 -0.0108 304.7 305 0.001014-Mar-07 303 295.45 -0.0252 300.15 296.1 -0.013615-Mar-07 299 295.25 -0.0126 300 295.7 -0.014416-Mar-07 297 301.25 0.0142 298 301.15 0.010519-Mar-07 304 307.25 0.0106 303.4 308.1 0.015420-Mar-07 307.25 319.25 0.0383 311.9 318.45 0.020821-Mar-07 315.6 312 -0.0115 314 313.2 -0.002622-Mar-07 312 313.85 0.0059 315 315.75 0.002423-Mar-07 309 307.6 -0.0045 314 309.5 -0.014426-Mar-07 305.5 306.6 0.0036 355 309.05 -0.138628-Mar-07 294.35 299.75 0.0182 306 301.4 -0.015129-Mar-07 299 312.65 0.0446 302.5 312.15 0.031430-Mar-07 320.3 302.75 -0.0564 308.3 303.65 -0.0152

48

Annexure no. 4 Calculation of nominal return of CIPLA

  SPOT MKT     FUT MKT      OPEN CLOSE NOM RTN OPEN CLOSE NOM RTN

2-Jan-07 251.5 251.5 0 255 253.7 -0.00513-Jan-07 253.45 257.85 0.0172 253 258.9 0.02314-Jan-07 259.4 255.15 -0.0165 258.5 254.95 -0.01385-Jan-07 260 253.6 -0.0249 253.1 252.6 -0.00208-Jan-07 253.6 247.55 -0.0241 250.5 247.45 -0.01239-Jan-07 248.85 244.1 -0.0193 248 243.35 -0.0189

10-Jan-07 245 242.8 -0.0090 241.5 241.75 0.001011-Jan-07 244 246.7 0.0110 241.1 248.25 0.029212-Jan-07 250 255.2 0.0206 253.9 254.85 0.003715-Jan-07 258.5 258 -0.0019 257 257.3 0.001216-Jan-07 259 258.85 -0.0006 256 257.8 0.007017-Jan-07 262.5 261.05 -0.0055 258.9 258.85 -0.000218-Jan-07 261.45 259.6 -0.0071 258.35 259.45 0.004219-Jan-07 259.6 252.55 -0.0275 262 253.8 -0.031822-Jan-07 254 254.9 0.0035 255 255.5 0.002023-Jan-07 254 254.75 0.0029 252.5 254.6 0.008324-Jan-07 248.1 246.8 -0.0053 251 247.6 -0.013625-Jan-07 249.5 243.9 -0.0227 249 243.15 -0.023829-Jan-07 247.1 248.6 0.0061 248.9 247.3 -0.006431-Jan-07 247 246.3 -0.0028 248 244.9 -0.01261-Feb-07 245.1 247 0.0077 245 246.4 0.00572-Feb-07 249.95 249.85 -0.0004 247 248.7 0.00695-Feb-07 252 248.45 -0.0142 249.65 248.3 -0.00546-Feb-07 248.45 250.15 0.0068 248.9 249 0.00047-Feb-07 248 257.5 0.0376 248 256.3 0.03298-Feb-07 258.4 257.1 -0.0050 259 255.85 -0.01229-Feb-07 253.35 252.5 -0.0034 255.25 252.15 -0.0122

12-Feb-07 253.7 248.35 -0.0213 252 246.65 -0.021513-Feb-07 251.7 243.55 -0.0329 247.95 243.3 -0.018914-Feb-07 242.25 244 0.0072 242.8 245.25 0.010015-Feb-07 259.2 256.65 -0.0099 248.3 255.75 0.029619-Feb-07 257.15 255.5 -0.0064 256.55 254.7 -0.007220-Feb-07 254.8 254.65 -0.0006 253 255.45 0.009621-Feb-07 254.9 254.4 -0.0020 255.8 255.4 -0.001622-Feb-07 252.05 247.7 -0.0174 252 249.25 -0.011023-Feb-07 249 241.9 -0.0289 247 242.2 -0.019626-Feb-07 242 245 0.0123 243 244.5 0.006227-Feb-07 246.9 239.65 -0.0298 247 240 -0.028728-Feb-07 235 231.95 -0.0131 231 232.75 0.00751-Mar-07 235.8 229.7 -0.0262 235.5 230.15 -0.02302-Mar-07 228 225.2 -0.0124 230.15 224.8 -0.02355-Mar-07 222.9 217.2 -0.0259 217.25 216.55 -0.00326-Mar-07 221 221.85 0.0038 216 221.25 0.02407-Mar-07 222.1 231.55 0.0417 223.5 228.55 0.02238-Mar-07 232 236.55 0.0194 229.9 236 0.02629-Mar-07 237 229.15 -0.0337 235.1 228.6 -0.0280

12-Mar-07 232 232.35 0.0015 228.1 232.05 0.017213-Mar-07 230.5 236.55 0.0259 232.5 234.45 0.008414-Mar-07 229.6 230.6 0.0043 230 227.6 -0.010515-Mar-07 234.8 227.6 -0.0311 229.45 227.05 -0.010516-Mar-07 226 222.95 -0.0136 227.25 222.6 -0.020719-Mar-07 224.1 224.85 0.0033 223.95 224.85 0.004020-Mar-07 180.25 230.5 0.2459 226 227.85 0.008221-Mar-07 231 232.5 0.0065 228 232.35 0.018922-Mar-07 232 235.3 0.0141 236.35 235.65 -0.003023-Mar-07 234 240.95 0.0293 234.95 240.8 0.024626-Mar-07 243 237.3 -0.0237 242 238.5 -0.014628-Mar-07 246.75 234.2 -0.0522 236 234.8 -0.0051

49

29-Mar-07 243.55 236.4 -0.0298 234 236.25 0.009630-Mar-07 238.45 236.8 -0.0069 239.2 236.55 -0.0111

Annexure no. 5 Calculation of nominal return of DR REDDY

  SPOT MKT     FUT MKT      OPEN CLOSE NOM RTN OPEN CLOSE NOM RTN

2-Jan-07 813.9 807.4 -0.0080 816.35 809.95 -0.00793-Jan-07 805.3 809.05 0.0046 811.9 813.2 0.00164-Jan-07 812.1 828.1 0.0195 820 834 0.01695-Jan-07 830 810.4 -0.0239 829.5 814.85 -0.01788-Jan-07 812 812.2 0.0002 811.95 813.3 0.00179-Jan-07 812 798.15 -0.0172 828.9 800.5 -0.0349

10-Jan-07 798 774.95 -0.0293 795 778.65 -0.020811-Jan-07 794 791.9 -0.0026 776 797.8 0.027712-Jan-07 792 809.45 0.0218 800 811 0.013715-Jan-07 812.9 803.9 -0.0111 815.9 809.3 -0.008116-Jan-07 811.8 808.8 -0.0037 814 811.05 -0.003617-Jan-07 816 815.35 -0.0008 812 817.55 0.006818-Jan-07 819 815.8 -0.0039 821.9 818.6 -0.004019-Jan-07 817 811.5 -0.0068 819.5 816.9 -0.003222-Jan-07 815.5 810.05 -0.0067 820 814 -0.007323-Jan-07 830 771.25 -0.0734 818 774.25 -0.055024-Jan-07 773 762.9 -0.0132 775 765.25 -0.012725-Jan-07 766 763.7 -0.0030 768.95 763.25 -0.007429-Jan-07 768 751.8 -0.0213 772.85 758.65 -0.018531-Jan-07 759.95 743.05 -0.0225 760 745.8 -0.01891-Feb-07 745 743.8 -0.0016 753.8 751.6 -0.00292-Feb-07 750 745.65 -0.0058 751 751.8 0.00115-Feb-07 754.7 750.3 -0.0058 753.2 755.3 0.00286-Feb-07 750.5 750.3 -0.0003 757.2 755.45 -0.00237-Feb-07 751 745.95 -0.0067 752.2 751.15 -0.00148-Feb-07 746.6 741.55 -0.0068 751.25 745.85 -0.00729-Feb-07 744.8 731.65 -0.0178 745.5 734.55 -0.0148

12-Feb-07 748 725.2 -0.0310 728 726.55 -0.002013-Feb-07 725 726.25 0.0017 728 728.55 0.000814-Feb-07 706.25 719.9 0.0191 730 723.05 -0.009615-Feb-07 724.75 738.4 0.0187 730 740.4 0.014119-Feb-07 742 730.85 -0.0151 745 735.85 -0.012420-Feb-07 731 729.2 -0.0025 732.5 729.8 -0.003721-Feb-07 730 729.5 -0.0007 732 729.75 -0.003122-Feb-07 730 706.35 -0.0329 731 708.15 -0.031823-Feb-07 713.65 681.55 -0.0460 717.4 684.45 -0.047026-Feb-07 706 689.3 -0.0239 695 694.45 -0.000827-Feb-07 690 693.25 0.0047 695 694.45 -0.000828-Feb-07 681 676.9 -0.0060 679.9 676.65 -0.00481-Mar-07 670 661.75 -0.0124 669 666.3 -0.00402-Mar-07 655 660.1 0.0078 666.05 660.95 -0.00775-Mar-07 601 617.5 0.0271 645 617.4 -0.04376-Mar-07 630 622.55 -0.0119 634 625.55 -0.01347-Mar-07 635 635.25 0.0004 632.8 635.1 0.00368-Mar-07 641 668.55 0.0421 640 674.5 0.05259-Mar-07 679.9 660 -0.0297 675 661.85 -0.0197

12-Mar-07 678 658.4 -0.0293 664 661.15 -0.004313-Mar-07 660 661 0.0015 652.2 662.5 0.015714-Mar-07 645 648.45 0.0053 648 644.2 -0.005915-Mar-07 655 672.45 0.0263 654.5 671 0.024916-Mar-07 681 683.6 0.0038 670 681.55 0.017119-Mar-07 689 677.25 -0.0172 682.5 679.55 -0.0043

50

20-Mar-07 683 682.4 -0.0009 693.85 725.95 0.045221-Mar-07 682.4 679.2 -0.0047 680 707.5 0.039622-Mar-07 690 682 -0.0117 689.9 685.4 -0.006523-Mar-07 690 686.3 -0.0054 689 688.45 -0.000826-Mar-07 689 682.15 -0.0100 690.5 684.4 -0.008928-Mar-07 654.9 692.15 0.0553 680.1 693.05 0.018929-Mar-07 692 706.5 0.0207 690 707.05 0.024430-Mar-07 714.5 728.25 0.0191 714.85 729.3 0.0200

Annexure no. 6 Calculation of nominal return of GRASIM

  SPOT MKT     FUT MKT    DATE OPEN CLOSE NOM RTN OPEN CLOSE NOM RTN

2-Jan-07 2,820.00 2,835.50 0.0055 2720 2828.55 0.03913-Jan-07 2,837.00 2,838.05 0.0004 2832 2805.9 -0.00934-Jan-07 2,825.00 2,796.60 -0.0101 2804 2766.3 -0.01355-Jan-07 2,796.60 2,831.70 0.0125 2755 2801.25 0.01668-Jan-07 2,830.00 2,818.70 -0.0040 2793.45 2801.55 0.00299-Jan-07 2,798.00 2,821.90 0.0085 2803 2797.35 -0.0020

10-Jan-07 2,820.10 2,769.55 -0.0181 2784 2747.9 -0.013111-Jan-07 2,785.00 2,781.75 -0.0012 2745 2783.6 0.014012-Jan-07 2,806.00 2,826.75 0.0074 2795 2827.75 0.011615-Jan-07 2,830.00 2,840.45 0.0037 2840 2840.95 0.000316-Jan-07 2,831.00 2,865.35 0.0121 2843 2862.15 0.006717-Jan-07 2,870.00 2,872.40 0.0008 2870.5 2871.05 0.000218-Jan-07 2,870.00 2,865.85 -0.0014 2850 2871.9 0.007719-Jan-07 2,870.05 2,891.00 0.0073 2871.25 2894.85 0.008222-Jan-07 2,891.00 2,909.30 0.0063 2909.7 2902.1 -0.002623-Jan-07 2,875.80 2,804.80 -0.0250 2860 2798.5 -0.021724-Jan-07 2,828.00 2,788.80 -0.0140 2807 2797.5 -0.003425-Jan-07 2,770.00 2,875.35 0.0373 2814 2870.65 0.019929-Jan-07 2,811.00 2,834.75 0.0084 2820.1 2841.8 0.007731-Jan-07 2,830.00 2,782.85 -0.0168 2836.4 2806 -0.01081-Feb-07 2,800.00 2,777.85 -0.0079 2838 2809.35 -0.01012-Feb-07 2,839.70 2,811.05 -0.0101 2801.2 2806 0.00175-Feb-07 2,806.00 2,790.05 -0.0057 2876.1 2942.25 0.02276-Feb-07 2,777.00 2,794.65 0.0063 2810 2781.5 -0.01027-Feb-07 2,799.90 2,873.10 0.0258 2793.25 2789.5 -0.00138-Feb-07 2,875.00 2,853.10 -0.0076 2810 2808.65 -0.00059-Feb-07 2,850.00 2,842.30 -0.0027 2810.05 2793.85 -0.0058

12-Feb-07 2,852.40 2,756.95 -0.0340 2794 2809.2 0.005413-Feb-07 2,750.00 2,744.75 -0.0019 2800 2859.9 0.021214-Feb-07 2,725.00 2,655.65 -0.0258 2860 2848.35 -0.004115-Feb-07 2,670.00 2,653.90 -0.0060 2810 2830.95 0.007419-Feb-07 2,660.00 2,645.85 -0.0053 2818 2745.25 -0.026220-Feb-07 2,650.00 2,570.30 -0.0305 2730 2723.6 -0.002321-Feb-07 2,598.85 2,547.40 -0.0200 2690 2670.15 -0.007422-Feb-07 2,565.00 2,421.00 -0.0578 2719.6 2669 -0.018823-Feb-07 2,435.00 2,270.25 -0.0701 2689.9 2657.55 -0.012126-Feb-07 2,276.00 2,338.40 0.0270 2650.05 2585.2 -0.024827-Feb-07 2,361.70 2,336.70 -0.0106 2574 2558.1 -0.006228-Feb-07 2,295.00 2,212.40 -0.0367 2550 2437.85 -0.04501-Mar-07 2,215.00 2,164.60 -0.0230 2455 2288.55 -0.07022-Mar-07 2,150.00 2,096.75 -0.0251 2300 2360.75 0.02615-Mar-07 2,051.00 2,101.90 0.0245 2380 2341.65 -0.01626-Mar-07 2,164.70 2,122.65 -0.0196 2282 2214.05 -0.03027-Mar-07 2,130.00 2,101.85 -0.0133 2203 2173.7 -0.01348-Mar-07 2,110.00 2,230.35 0.0555 2199 2104 -0.04429-Mar-07 2,235.00 2,071.75 -0.0758 2069 2095.2 0.0126

12-Mar-07 2,080.00 2,013.80 -0.0323 2150 2117.1 -0.0154

51

13-Mar-07 2,010.00 2,054.25 0.0218 2141.65 2087.45 -0.025614-Mar-07 1,962.30 2,028.20 0.0330 2087 2226.1 0.064515-Mar-07 2,080.00 2,018.15 -0.0302 2250 2073.45 -0.081716-Mar-07 2,025.00 2,013.55 -0.0057 2100 1998.65 -0.049519-Mar-07 2,020.00 2,041.85 0.0108 2003 2034.95 0.015820-Mar-07 2,040.00 2,123.90 0.0403 2024 2006.6 -0.008621-Mar-07 2,125.00 2,103.60 -0.0101 2034.8 2022.95 -0.005822-Mar-07 2,115.00 2,083.45 -0.0150 2030.15 2016.3 -0.006823-Mar-07 2,099.00 2,081.70 -0.0083 2025.85 2049.75 0.011726-Mar-07 2,099.00 2,071.55 -0.0132 2059 2123.6 0.030928-Mar-07 2,085.00 2,070.35 -0.0071 2130.5 2105.8 -0.011729-Mar-07 2,070.00 2,052.55 -0.0085 2114 2088.15 -0.012330-Mar-07 2,065.00 2,092.90 0.0134 2090 2087.1 -0.0014

Annexure no. 7 Calculation of nominal return of GUJABMCEM

SPOT MKT FUT MKTDATE OPEN CLOSE NOM RTN OPEN CLOSE NOM RTN

2-Jan-07 152 144.6 -0.0499 143 145.15 0.01493-Jan-07 146.5 145.05 -0.0099 145.95 145.05 -0.00624-Jan-07 147 142.65 -0.0300 144.5 143.45 -0.00735-Jan-07 142.5 138.3 -0.0299 143.5 139.3 -0.02978-Jan-07 139.8 136.75 -0.0221 140 136.7 -0.02399-Jan-07 138.5 139.1 0.0043 136.9 138.85 0.0141

10-Jan-07 140 136.3 -0.0268 138.5 136.65 -0.013411-Jan-07 137.9 139.55 0.0119 136.9 140.4 0.025212-Jan-07 143.3 141.3 -0.0141 142.7 142.05 -0.004615-Jan-07 141.9 144.05 0.0150 143.6 144.25 0.004516-Jan-07 144 143.95 -0.0003 144.8 144.85 0.000317-Jan-07 143.9 144.55 0.0045 145.2 144.95 -0.001718-Jan-07 140 145.45 0.0382 144.9 145.7 0.005519-Jan-07 146 148.95 0.0200 146.45 148.85 0.016322-Jan-07 149.5 146.85 -0.0179 149.5 147.05 -0.016523-Jan-07 146.1 137 -0.0643 143 136.85 -0.044024-Jan-07 141.5 137.75 -0.0269 145 138.05 -0.049125-Jan-07 139 138 -0.0072 147.75 141.8 -0.041129-Jan-07 138 134.25 -0.0275 137.7 138.25 0.004031-Jan-07 136 137.3 0.0095 138.8 137.75 -0.00761-Feb-07 137.9 139.3 0.0101 139.5 135.5 -0.02912-Feb-07 140.2 142.85 0.0187 136 137.55 0.01135-Feb-07 143.45 143.15 -0.0021 138.8 140.35 0.01116-Feb-07 142.6 142.6 0.0000 141.1 142.4 0.00927-Feb-07 143.85 141.6 -0.0158 143 142.95 -0.00038-Feb-07 142 141.75 -0.0018 143.2 142.65 -0.00389-Feb-07 142.8 138.85 -0.0281 143 141.55 -0.0102

12-Feb-07 138.9 132.4 -0.0479 141 141.25 0.001813-Feb-07 131.55 130.75 -0.0061 141.9 138.85 -0.021714-Feb-07 129.25 132.05 0.0214 138 131.85 -0.045615-Feb-07 134 136.75 0.0203 132.5 131.15 -0.010219-Feb-07 137.7 132.6 -0.0377 130.25 131.95 0.013020-Feb-07 133 129.95 -0.0232 135 136.35 0.010021-Feb-07 130 131.15 0.0088 137 132.4 -0.034222-Feb-07 131.55 125.9 -0.0439 132.9 129.7 -0.024423-Feb-07 125 123.2 -0.0145 129.6 131.25 0.012726-Feb-07 121 127.45 0.0519 130 125.55 -0.034827-Feb-07 128 125.65 -0.0185 127.5 123.9 -0.028628-Feb-07 124 115.8 -0.0684 124.6 128.35 0.02971-Mar-07 118 111.7 -0.0549 128 126.45 -0.01222-Mar-07 108 109.8 0.0165 104.2 116.1 0.10815-Mar-07 107.1 112 0.0447 118 112.6 -0.04686-Mar-07 113 113.3 0.0027 114 109.85 -0.03717-Mar-07 114.7 103.8 -0.0999 107.15 112.1 0.04528-Mar-07 103 112.85 0.0913 113.5 113.65 0.0013

52

9-Mar-07 110.25 110.05 -0.0018 114.55 104.35 -0.093312-Mar-07 111.5 105.4 -0.0563 105.6 113.55 0.072613-Mar-07 104.3 105.95 0.0157 115 110.65 -0.038614-Mar-07 102.9 106.15 0.0311 111 105.95 -0.046615-Mar-07 107.2 106.05 -0.0108 105.2 106.7 0.014216-Mar-07 107 103.8 -0.0304 101.25 106.4 0.049619-Mar-07 102 107.25 0.0502 108.6 106.25 -0.021920-Mar-07 107.05 110.85 0.0349 107 104 -0.028421-Mar-07 111 106.45 -0.0419 105 107.5 0.023522-Mar-07 107 108 0.0093 108.35 111.15 0.025523-Mar-07 108 105.3 -0.0253 112.5 106.95 -0.050626-Mar-07 105 104.3 -0.0067 108.7 108.15 -0.005128-Mar-07 104 102.2 -0.0175 108 105.8 -0.020629-Mar-07 102.8 104.5 0.0164 103 104.35 0.013030-Mar-07 102.1 106.7 0.0441 106.5 107.5 0.0093

Annexure no. 8 Calculation of nominal return of HINDLEVER

  SPOT MKT     FUT MKT    DATE OPEN CLOSE NOM RTN OPEN CLOSE NOM RTN2-Jan-07 217.8 216.4 -0.0064 218 217.95 -0.00023-Jan-07 217 212 -0.0233 217.5 213.9 -0.01674-Jan-07 213 210.6 -0.0113 215 211.85 -0.01485-Jan-07 211.4 213.35 0.0092 211 214.2 0.01518-Jan-07 213.35 210.1 -0.0154 213.4 211.25 -0.01019-Jan-07 210.1 209.85 -0.0012 212 211.1 -0.0043

10-Jan-07 209 208.5 -0.0024 211 209.1 -0.009011-Jan-07 210 217.85 0.0367 209.95 217.5 0.035312-Jan-07 218 219.7 0.0078 219 219.7 0.003215-Jan-07 221.8 221.65 -0.0007 220.75 221.1 0.001616-Jan-07 222 220 -0.0090 222.8 219.55 -0.014717-Jan-07 220 220.6 0.0027 220 219.6 -0.001818-Jan-07 220 224 0.0180 219.7 223.35 0.016519-Jan-07 225.5 221.75 -0.0168 224 221.95 -0.009222-Jan-07 223 224.6 0.0071 222.9 223.45 0.002523-Jan-07 224.9 222.2 -0.0121 221 221.4 0.001824-Jan-07 222.25 214.4 -0.0360 222.25 215.25 -0.032025-Jan-07 211.1 216.25 0.0241 216.9 215.6 -0.006029-Jan-07 216.25 214.95 -0.0060 217.7 215.15 -0.011831-Jan-07 215 208.25 -0.0319 215 209.95 -0.02381-Feb-07 208.1 207.3 -0.0039 210.75 208.95 -0.00862-Feb-07 209 209.05 0.0002 210 210.25 0.00125-Feb-07 210 207.85 -0.0103 210.5 208.95 -0.00746-Feb-07 215 209.1 -0.0278 209.25 210.65 0.00677-Feb-07 209 207.35 -0.0079 210.9 208.05 -0.01368-Feb-07 210 205.6 -0.0212 208.5 206.6 -0.00929-Feb-07 206.75 202.7 -0.0198 206.95 203.8 -0.0153

12-Feb-07 202.5 203.35 0.0042 203.1 203.75 0.003213-Feb-07 203 201 -0.0099 202.25 201.4 -0.004214-Feb-07 201.2 200.45 -0.0037 200.15 201.55 0.007015-Feb-07 204.9 205.95 0.0051 202.4 206.35 0.019319-Feb-07 207 205.2 -0.0087 207.35 206.3 -0.005120-Feb-07 209.9 199.6 -0.0503 205.5 200.3 -0.025621-Feb-07 200 195.85 -0.0210 200.5 196.6 -0.019622-Feb-07 196 191.45 -0.0235 196.65 192.8 -0.019823-Feb-07 191 188.15 -0.0150 192 188.75 -0.017126-Feb-07 189 189.55 0.0029 189.4 190.65 0.006627-Feb-07 190 185.45 -0.0242 189.55 186.65 -0.015428-Feb-07 181 176.35 -0.0260 180.1 177.1 -0.01681-Mar-07 177.9 176.05 -0.0105 177 176.75 -0.0014

53

2-Mar-07 177 179.05 0.0115 176.75 179.2 0.01385-Mar-07 176 174.05 -0.0111 175 174.2 -0.00466-Mar-07 173 171.5 -0.0087 175.95 172.5 -0.01987-Mar-07 176 167.3 -0.0507 173.65 168.05 -0.03288-Mar-07 169.9 183.8 0.0786 169.65 183.8 0.08019-Mar-07 185.15 183.75 -0.0076 184.25 183.8 -0.0024

12-Mar-07 183.75 185 0.0068 185.5 185.6 0.000513-Mar-07 186 181.15 -0.0264 186.5 181.85 -0.0252

14-Mar-07 179 176.85 -0.0121 178 176.8 -0.006815-Mar-07 178 177.05 -0.0054 179 177.4 -0.009016-Mar-07 179.9 176.95 -0.0165 178.4 176.1 -0.013019-Mar-07 176 180.2 0.0236 177.2 180.3 0.017320-Mar-07 181.95 184.1 0.0117 181.45 182.6 0.006321-Mar-07 185 191 0.0319 183.8 189.95 0.032922-Mar-07 194 196.7 0.0138 192.8 196.65 0.019823-Mar-07 195 198.55 0.0180 194.75 198.15 0.017326-Mar-07 203.9 198.1 -0.0289 198 198.65 0.003328-Mar-07 198 197.65 -0.0018 198 197.9 -0.000529-Mar-07 198.9 205 0.0302 198 205.9 0.039130-Mar-07 205 205.2 0.0010 201.9 200.8 -0.0055

Annexure no. 9 Calculation of nominal return of HINDPETRO

 SPOT MKT     FUT MKT    

DATE OPEN CLOSE NOM REN OPEN CLOSE NOM RTN2-Jan-07 280 278.35 -0.0059 280.1 280.1 03-Jan-07 278 277.05 -0.0034 281.5 278.2 -0.01184-Jan-07 280 289.75 0.0342 285 290.15 0.01795-Jan-07 309.45 297.65 -0.0389 300.1 298.05 -0.00698-Jan-07 296 293 -0.0102 300 293.8 -0.02099-Jan-07 293 288.75 -0.0146 294.1 290.65 -0.0118

10-Jan-07 289 283.9 -0.0178 291 285.6 -0.018711-Jan-07 288 291.75 0.0129 291.8 294 0.007512-Jan-07 295.1 304.25 0.0305 300 305.4 0.017815-Jan-07 306.7 295.85 -0.0360 307.5 297.55 -0.032916-Jan-07 296 298.95 0.0099 300 298.9 -0.003717-Jan-07 302.1 314.15 0.0391 303.2 312.95 0.031718-Jan-07 316.9 321.1 0.0132 313.3 319.5 0.019619-Jan-07 328 321.1 -0.0213 323 322.5 -0.001522-Jan-07 326.4 322.95 -0.0106 321 320.4 -0.001923-Jan-07 324.5 317.95 -0.0204 321 318.5 -0.007824-Jan-07 312.4 311.4 -0.0032 315.6 311.4 -0.013425-Jan-07 312.4 321.15 0.0276 310.05 319.95 0.031429-Jan-07 320.8 314.4 -0.0202 325 315.65 -0.029231-Jan-07 315 312.1 -0.0092 309.8 313.4 0.01161-Feb-07 311 303.25 -0.0252 311 306 -0.01622-Feb-07 303 303.05 0.0002 307.25 305.3 -0.00645-Feb-07 314.45 302.6 -0.0384 305 304.3 -0.00236-Feb-07 302 295.3 -0.0224 305 297.6 -0.02467-Feb-07 293.1 292.4 -0.0024 298 294.35 -0.01238-Feb-07 292.05 296.05 0.0136 298.5 297.45 -0.00359-Feb-07 295 289.85 -0.0176 284.1 291.3 0.0250

12-Feb-07 291 281.3 -0.0339 290.5 281.9 -0.030113-Feb-07 280 278.95 -0.0038 284.05 278.95 -0.018114-Feb-07 281 279.75 -0.0045 276 280.25 0.0153

54

15-Feb-07 285 276 -0.0321 284 274.55 -0.033819-Feb-07 275.25 282.55 0.0262 273.05 284.05 0.039520-Feb-07 285 287.8 0.0098 287.55 289.15 0.005521-Feb-07 288 293.5 0.0189 290 293.8 0.013022-Feb-07 294 286.55 -0.0257 290 287.9 -0.007323-Feb-07 285 274.8 -0.0364 287 276.75 -0.036426-Feb-07 270 277.35 0.0269 281 279.65 -0.004827-Feb-07 280 275.15 -0.0175 279 276.65 -0.008528-Feb-07 272 271.6 -0.0015 268.9 271.85 0.01091-Mar-07 273 268.1 -0.0181 273 269.2 -0.01402-Mar-07 265 262.85 -0.0081 269.5 262.85 -0.02505-Mar-07 261 246.4 -0.0576 260.1 246.9 -0.05216-Mar-07 245 256.25 0.0449 251.8 255.55 0.01487-Mar-07 255 243 -0.0482 256 243.35 -0.05078-Mar-07 243.7 243.95 0.0010 244.5 245.45 0.00399-Mar-07 242 242.9 0.0037 247.95 243.1 -0.0198

12-Mar-07 245 250.3 0.0214 248 251.35 0.013413-Mar-07 251 255.25 0.0168 252.4 255.8 0.013414-Mar-07 253.8 252.2 -0.0063 249 251.9 0.011615-Mar-07 255 251.2 -0.0150 254.5 251.7 -0.011116-Mar-07 255 255.4 0.0016 254.5 255.95 0.005719-Mar-07 256.1 257.95 0.0072 257 259.2 0.008520-Mar-07 260 264.35 0.0166 262.75 263.9 0.004421-Mar-07 263 265.3 0.0087 264 264.4 0.001522-Mar-07 263 267.6 0.0173 265 267.9 0.010923-Mar-07 268.8 261.4 -0.0279 261.2 263.1 0.007226-Mar-07 261 265.75 0.0180 263.3 266.25 0.011128-Mar-07 255 254 -0.0039 262.1 255.65 -0.024929-Mar-07 249 249.2 0.0008 252.1 250 -0.008430-Mar-07 245.05 247.8 0.0112 252 248.75 -0.0130

Annexure no. 10 Calculation of nominal return of INFOSIS

  SPOT MKT     FUT MKT      OPEN CLOSE NOM RTN OPEN CLOSE NOM RTN

2-Jan-07 2,253.00 2,272.65 0.0087 2259 2289.65 0.01353-Jan-07 2,272.65 2,311.35 0.0169 2294 2315.4 0.00934-Jan-07 2,321.20 2,285.30 -0.0156 2324.85 2299.35 -0.01105-Jan-07 2,286.00 2,275.05 -0.0048 2290 2286.25 -0.00168-Jan-07 2,275.05 2,205.60 -0.0310 2285 2219.9 -0.02899-Jan-07 2,216.00 2,190.10 -0.0118 2230 2203.85 -0.0118

10-Jan-07 2,200.00 2,164.45 -0.0163 2197.8 2180.3 -0.008011-Jan-07 2,181.00 2,183.00 0.0009 2130 2195.35 0.030212-Jan-07 2,200.00 2,223.40 0.0106 2224.9 2227.9 0.001315-Jan-07 2,232.95 2,242.95 0.0045 2237.8 2246.7 0.004016-Jan-07 2,245.20 2,222.20 -0.0103 2250 2226.35 -0.010617-Jan-07 2,245.00 2,205.45 -0.0178 2222 2213.85 -0.003718-Jan-07 2,206.00 2,224.15 0.0082 2214 2228.5 0.006519-Jan-07 2,225.00 2,202.35 -0.0102 2222.55 2210.85 -0.005322-Jan-07 2,215.00 2,254.00 0.0175 2218 2253.05 0.015723-Jan-07 2,248.00 2,235.15 -0.0057 2242.1 2233.65 -0.003824-Jan-07 2,201.00 2,234.05 0.0149 2234.9 2237.9 0.001325-Jan-07 2,241.00 2,241.00 0.0000 2235 2235.05 0.000029-Jan-07 2,235.00 2,244.40 0.0042 2257 2245.85 -0.005031-Jan-07 2,240.00 2,247.30 0.0033 2242 2242.7 0.00031-Feb-07 2,250.00 2,268.95 0.0084 2241 2266.45 0.01132-Feb-07 2,275.00 2,265.55 -0.0042 2275.5 2261.1 -0.0063

55

5-Feb-07 2,235.00 2,269.30 0.0152 2270 2264.2 -0.00266-Feb-07 2,270.00 2,272.95 0.0013 2275 2269.55 -0.00247-Feb-07 2,255.55 2,357.05 0.0440 2267.25 2349.15 0.03558-Feb-07 2,365.00 2,373.70 0.0037 2355 2364.2 0.00399-Feb-07 2,374.40 2,361.25 -0.0056 2370 2365.7 -0.0018

12-Feb-07 2,335.00 2,351.25 0.0069 2322 2352.9 0.013213-Feb-07 2,351.00 2,304.20 -0.0201 2335 2311.5 -0.010114-Feb-07 2,282.20 2,284.65 0.0011 2305 2294.85 -0.004415-Feb-07 2,324.90 2,382.95 0.0247 2313 2382.4 0.029619-Feb-07 2,382.00 2,376.10 -0.0025 2394.7 2379.7 -0.006320-Feb-07 2,375.05 2,359.95 -0.0064 2384 2365.6 -0.007721-Feb-07 2,360.00 2,310.90 -0.0210 2366.5 2320.15 -0.019822-Feb-07 2,308.00 2,287.50 -0.0089 2315.15 2299.75 -0.006723-Feb-07 2,278.00 2,237.70 -0.0178 2304.95 2250.2 -0.024026-Feb-07 2,234.00 2,218.15 -0.0071 2253.85 2236.4 -0.007827-Feb-07 2,230.00 2,187.00 -0.0195 2239.8 2189.9 -0.022528-Feb-07 2,180.00 2,077.55 -0.0481 2126 2083 -0.02041-Mar-07 2,080.00 2,159.15 0.0373 2072.15 2157.85 0.04052-Mar-07 2,173.60 2,093.50 -0.0375 2145 2098.55 -0.02195-Mar-07 2,077.90 2,007.15 -0.0346 2050 2006.65 -0.02146-Mar-07 2,013.00 2,114.45 0.0492 2030 2113 0.04017-Mar-07 2,167.40 2,085.35 -0.0386 2139.7 2085.8 -0.02558-Mar-07 2,090.00 2,135.75 0.0217 2095 2143.35 0.02289-Mar-07 2,130.35 2,120.95 -0.0044 2158.4 2120.85 -0.0176

12-Mar-07 2,120.00 2,115.30 -0.0022 2120 2123 0.001413-Mar-07 2,117.00 2,105.05 -0.0057 2122.55 2115.3 -0.003414-Mar-07 2,075.00 2,020.00 -0.0269 1900 2025.4 0.063915-Mar-07 2,051.00 2,079.40 0.0138 2049.4 2072.75 0.011316-Mar-07 2,090.00 2,047.45 -0.0206 2075 2051.35 -0.011519-Mar-07 2,070.00 2,087.25 0.0083 2059.9 2092.5 0.015720-Mar-07 2,100.00 2,055.90 -0.0212 2101.15 2060.3 -0.019621-Mar-07 2,061.60 2,093.95 0.0156 2064.95 2089.7 0.011922-Mar-07 2,110.00 2,119.05 0.0043 2107.4 2124.9 0.008323-Mar-07 2,120.00 2,092.60 -0.0130 2120 2101.15 -0.008926-Mar-07 2,105.00 2,058.15 -0.0225 2100 2066.55 -0.016128-Mar-07 2,030.00 1,992.05 -0.0189 2049 1999.6 -0.024429-Mar-07 1,961.90 1,990.70 0.0146 1975 1987.9 0.006530-Mar-07 1,995.00 2,018.65 0.0118 2010 2021 0.0055

Annexure no. 11 Calculation of nominal return of IOC

  SPOT MKT     FUT MKT    DATE OPEN CLOSE NOM RTN OPEN CLOSE NOM RTN2-Jan-07 453.8 447.6 -0.0138 454 449.25 -0.01053-Jan-07 448 448.05 0.0001 452 449.8 -0.00494-Jan-07 456 469.9 0.0300 462 468.6 0.01425-Jan-07 483.7 475.85 -0.0164 480 477.35 -0.00558-Jan-07 477.7 467.45 -0.0217 478 470.2 -0.01659-Jan-07 474.7 467.1 -0.0161 472.85 466.6 -0.0133

10-Jan-07 470 446.75 -0.0507 466.95 449.35 -0.038411-Jan-07 455 458.95 0.0086 453.35 461.65 0.018112-Jan-07 470 485.2 0.0318 470 485.65 0.032815-Jan-07 480 478.45 -0.0032 489.9 479.4 -0.021716-Jan-07 480.1 461.1 -0.0404 481.7 464.75 -0.035817-Jan-07 472 475.3 0.0070 465 479.25 0.030218-Jan-07 476.1 492.95 0.0348 481.85 493.2 0.023319-Jan-07 498 494.9 -0.0062 498 495.25 -0.005522-Jan-07 498 495.25 -0.0055 494.9 495.05 0.000323-Jan-07 494 491.9 -0.0043 492.65 489.35 -0.006724-Jan-07 484 482.2 -0.0037 482 482.7 0.001525-Jan-07 482.2 497.55 0.0313 476.1 500.75 0.0505

56

29-Jan-07 495 498.25 0.0065 485.25 494.4 0.018731-Jan-07 508 495.6 -0.0247 488 485.8 -0.00451-Feb-07 494 495.05 0.0021 479 487.5 0.01762-Feb-07 488 494.9 0.0140 485.1 488.2 0.00645-Feb-07 495 487.8 -0.0147 485 485.5 0.0010

6-Feb-07 488 479.05

-0.0185

486 479 -0.01457-Feb-07 479.05 468.2 -0.0229 479 469.15 -0.02088-Feb-07 475 471.45 -0.0075 473.85 471.8 -0.00439-Feb-07 468.05 463.8 -0.0091 470 461.55 -0.0181

12-Feb-07 459 444.6 -0.0319 455.6 437.55 -0.040413-Feb-07 445 439.4 -0.0127 437 429.7 -0.016814-Feb-07 439 430.9 -0.0186 400 429.15 0.070315-Feb-07 433.9 427.15 -0.0157 434 428.15 -0.013619-Feb-07 427.15 441.1 0.0321 420.2 434.9 0.034420-Feb-07 439 445.4 0.0145 438 442.1 0.009321-Feb-07 447 434.35 -0.0287 444 437.25 -0.015322-Feb-07 439.85 443.8 0.0089 432.05 444.8 0.029123-Feb-07 432.65 431.85 -0.0019 426.15 428 0.004326-Feb-07 430.1 416.5 -0.0321 425 418.55 -0.015327-Feb-07 424 418.05 -0.0141 417.9 416.95 -0.002328-Feb-07 414.8 413.3 -0.0036 401 410.2 0.02271-Mar-07 417.5 410.55 -0.0168 417.8 408.75 -0.02192-Mar-07 410 408.65 -0.0033 410 403.25 -0.01665-Mar-07 400 402.4 0.0060 394.2 393.2 -0.00256-Mar-07 407 404.55 -0.0060 399 399.05 0.00017-Mar-07 414 404.7 -0.0227 403 394.55 -0.02128-Mar-07 402 405.5 0.0087 399.95 400.15 0.00059-Mar-07 405 399.45 -0.0138 400.95 398.25 -0.0068

12-Mar-07 405 410.15 0.0126 402.6 406.2 0.008913-Mar-07 413.9 414.25 0.0008 407.25 413.5 0.015214-Mar-07 406.5 397.75 -0.0218 400 396.85 -0.007915-Mar-07 409.5 405.9 -0.0088 402.85 402.15 -0.001716-Mar-07 408 399.7 -0.0206 403 397.55 -0.013619-Mar-07 405.5 406.25 0.0018 401 404.7 0.009220-Mar-07 409 421 0.0289 407 418.15 0.027021-Mar-07 419.95 419.8 -0.0004 420 418.8 -0.002922-Mar-07 421 420.7 -0.0007 419 418.7 -0.000723-Mar-07 419 410.75 -0.0199 411.15 411.2 0.000126-Mar-07 411.1 418.75 0.0184 407 415.1 0.019728-Mar-07 410.6 403.1 -0.0184 413 406.45 -0.016029-Mar-07 406 404.35 -0.0041 405 403.95 -0.002630-Mar-07 402.25 399.65 -0.0065 408 402.8 -0.0128

Annexure no. 12 Calculation of nominal return of ITC

  SPOT MKT     FUT MKT    DATE OPEN CLOSE NOM RTN OPEN CLOSE NOM REN

2-Jan-07 176.5 177 0.0028 177.45 177.2 -0.00143-Jan-07 177 175.45 -0.0088 177.45 175.75 -0.00964-Jan-07 176.25 168.95 -0.0423 176.1 169.95 -0.03555-Jan-07 170 165.3 -0.0280 169.15 166.5 -0.01588-Jan-07 165.5 162.7 -0.0171 165.5 163.7 -0.01099-Jan-07 164 162.05 -0.0120 164.5 163.1 -0.0085

10-Jan-07 162 163.15 0.0071 162.5 163.55 0.006411-Jan-07 163.75 169.2 0.0327 163.8 169.75 0.035712-Jan-07 170.8 171.1 0.0018 170.8 171.65 0.005015-Jan-07 173.8 172 -0.0104 172.95 172.05 -0.005216-Jan-07 173.5 171.65 -0.0107 172.9 171.45 -0.008417-Jan-07 170 169.5 -0.0029 171.3 170 -0.007618-Jan-07 170 172.2 0.0129 169.75 171.7 0.011419-Jan-07 170.8 175.6 0.0277 172.2 174.4 0.0127

57

22-Jan-07 176.95 178.95 0.0112 174.3 177.1 0.015923-Jan-07 180 177.25 -0.0154 177.35 176.25 -0.006224-Jan-07 177 178.25 0.0070 175.65 177.05 0.007925-Jan-07 178 177.85 -0.0008 177.9 177.3 -0.0034

29-Jan-07 176.6 171.7

-0.0281

178.75 172.4 -0.036231-Jan-07 172 174.6 0.0150 173 174.4 0.00811-Feb-07 173.1 174.85 0.0101 175 175.75 0.00432-Feb-07 175.75 177.15 0.0079 176.7 176.6 -0.00065-Feb-07 177.15 177.6 0.0025 177.9 176.75 -0.00656-Feb-07 177.6 175.05 -0.0145 177 175.2 -0.01027-Feb-07 176.15 175.7 -0.0026 175.7 175.15 -0.00318-Feb-07 175.1 176.45 0.0077 175 175.65 0.00379-Feb-07 176.95 176.4 -0.0031 175.9 175.35 -0.0031

12-Feb-07 176.4 175.35 -0.0060 172.25 174.25 0.011513-Feb-07 174 173.2 -0.0046 172.2 173.5 0.007514-Feb-07 172.15 173.95 0.0104 172.5 174.4 0.011015-Feb-07 175 174.25 -0.0043 175.25 174.1 -0.006619-Feb-07 175.5 174.4 -0.0063 175.3 174.7 -0.003420-Feb-07 174.1 175.85 0.0100 175 175.3 0.001721-Feb-07 176 174.45 -0.0088 179 176 -0.016922-Feb-07 174 174.45 0.0026 175 175.65 0.003723-Feb-07 174 167.05 -0.0408 175.5 174.6 -0.005126-Feb-07 167.25 170.3 0.0181 173.75 175.2 0.008327-Feb-07 171.5 165.2 -0.0374 174.45 166.25 -0.048128-Feb-07 163 171.7 0.0520 165 169.55 0.02721-Mar-07 172.7 172.5 -0.0012 169.85 165.65 -0.02502-Mar-07 172.1 166.7 -0.0319 155 172.35 0.10615-Mar-07 166 162.15 -0.0235 171.1 172.95 0.01086-Mar-07 164.8 162.05 -0.0168 172.5 166.95 -0.03277-Mar-07 163 158.2 -0.0299 164 161.6 -0.01478-Mar-07 160 159.95 -0.0003 163.1 162.55 -0.00349-Mar-07 162 154.15 -0.0497 163.5 158.65 -0.0301

12-Mar-07 150.3 148.6 -0.0114 159.95 161 0.006513-Mar-07 149 148.95 -0.0003 162.5 155.25 -0.045614-Mar-07 146.1 142.9 -0.0221 155.1 149.4 -0.037415-Mar-07 145 147.3 0.0157 149.55 149.75 0.001316-Mar-07 148.9 145.05 -0.0262 147.5 143.2 -0.029619-Mar-07 145.5 142 -0.0243 146 147.55 0.010620-Mar-07 144.5 140.85 -0.0256 148 144.85 -0.021521-Mar-07 141 144.6 0.0252 144.95 142.6 -0.016322-Mar-07 145.9 149.35 0.0234 143.85 141.15 -0.018923-Mar-07 149 144.15 -0.0331 142 145.05 0.021326-Mar-07 145 142.25 -0.0191 146.75 149.8 0.020628-Mar-07 142 143.35 0.0095 148.1 144.9 -0.021829-Mar-07 144 146.95 0.0203 146.95 143 -0.027230-Mar-07 147 151.15 0.0278 141.05 143.65 0.0183

Annexure no. 13 Calculation of nominal return of M&M

  SPOT MKT     FUT MKT    DATE OPEN CLOSE NOM REN OPEN CLOSE NOM REN2-Jan-07 913 954.2 0.04414 917.5 959.9 0.04523-Jan-07 964.8 934.25 -0.03218 965 942.2 -0.02394-Jan-07 940 927.15 -0.01376 940 933.3 -0.00725-Jan-07 930 896.55 -0.03663 936.35 903.15 -0.03618-Jan-07 890 898.55 0.00956 916 904.45 -0.01279-Jan-07 902 891.8 -0.01137 908 894.55 -0.0149

58

10-Jan-07 891.8 876.45 -0.01736 890 881 -0.010211-Jan-07 882 910.95 0.03230 894.9 915.85 0.023112-Jan-07 915.35 933.45 0.01958 925 937.05 0.012915-Jan-07 947.7 950.9 0.00337 943.9 951.65 0.008216-Jan-07 951 986.25 0.03640 960 987.9 0.0286

17-Jan-07 989.85 963.2

-0.02729

988.5 969.1 -0.019818-Jan-07 971 968.4 -0.00268 975 971.8 -0.003319-Jan-07 968.95 933.8 -0.03695 985 940.05 -0.046722-Jan-07 935.1 928.15 -0.00746 945 932.95 -0.012823-Jan-07 937 921.1 -0.01711 930.05 923.5 -0.007124-Jan-07 920 908.25 -0.01285 929.8 910.25 -0.021325-Jan-07 912 922.25 0.01118 913.6 920.55 0.007629-Jan-07 934.7 925.35 -0.01005 935 931.2 -0.004131-Jan-07 930 901.1 -0.03157 932.5 903.65 -0.03141-Feb-07 906 906.45 0.00050 910 913.55 0.00392-Feb-07 909.5 914.2 0.00515 918.7 919.8 0.00125-Feb-07 915 937.85 0.02467 922.7 940.65 0.01936-Feb-07 954.75 939.5 -0.01610 943.65 940.95 -0.00297-Feb-07 930.35 944.6 0.01520 944.8 947.25 0.00268-Feb-07 946 931.4 -0.01555 947 936.6 -0.01109-Feb-07 936 920.05 -0.01719 940 920.9 -0.0205

12-Feb-07 921.95 880.8 -0.04566 911.5 879.2 -0.036113-Feb-07 879.9 865.75 -0.01621 890 871.15 -0.021414-Feb-07 866.75 855.7 -0.01283 870 863.35 -0.007715-Feb-07 884.7 901.95 0.01931 877 903.7 0.030019-Feb-07 903 893.85 -0.01018 907.45 894.35 -0.014520-Feb-07 891 880.85 -0.01146 895 880.65 -0.016221-Feb-07 885 892.8 0.00877 880 894.2 0.016022-Feb-07 900 872.5 -0.03103 886.2 880.85 -0.006123-Feb-07 875.9 855.85 -0.02316 877.25 854.45 -0.026326-Feb-07 855.85 855.4 -0.00053 859.85 855 -0.005727-Feb-07 861.1 847.95 -0.01539 860.1 850.25 -0.011528-Feb-07 817 811.35 -0.00694 828.8 813.4 -0.01881-Mar-07 816 805.2 -0.01332 804.8 809.45 0.00582-Mar-07 799 770.5 -0.03632 810 772.05 -0.04805-Mar-07 744.8 709.2 -0.04898 765 708.45 -0.07686-Mar-07 716 725.15 0.01270 713.05 725.85 0.01787-Mar-07 738.7 761.05 0.02981 738.15 739.25 0.00158-Mar-07 765.3 765.6 0.00039 749 763.45 0.01919-Mar-07 775 733.9 -0.05449 774.9 731.6 -0.0575

12-Mar-07 739.25 738.25 -0.00135 733.5 733.9 0.000513-Mar-07 740 760.35 0.02713 734 753.55 0.026314-Mar-07 750 749.1 -0.00120 731 730.5 -0.000715-Mar-07 760 747.05 -0.01719 741 728.3 -0.017316-Mar-07 746 730.7 -0.02072 731 724.1 -0.009519-Mar-07 748.7 738.9 -0.01318 731 733.7 0.003720-Mar-07 744 743.85 -0.00020 736 734.05 -0.002721-Mar-07 749 753.5 0.00599 731.25 745.8 0.019722-Mar-07 758 781.6 0.03066 752 777.8 0.033723-Mar-07 779.8 796.8 0.02157 779.85 796.25 0.020826-Mar-07 800 788.55 -0.01442 797 790.4 -0.008328-Mar-07 785 762.35 -0.02928 763.35 763.95 0.000829-Mar-07 792.8 757.75 -0.04522 764.1 757.7 -0.008430-Mar-07 757 780.4 0.03044 764.95 780 0.0195

Annexure no. 14 Calculation of nominal return of MTNL

  SPOT MKT     FUT MKT    

59

DATE OPEN CLOSE NOM REN OPEN CLOSE NOM RTN2-Jan-07 143.1 146.85 0.0259 144.95 148.25 0.02253-Jan-07 148 150.7 0.0181 148.25 151.9 0.02434-Jan-07 150.05 146.55 -0.0236 152.45 147.6 -0.03235-Jan-07 143.8 149.05 0.0359 137 149.5 0.0873

8-Jan-07 149 157.8

0.0574

150 159.05 0.05869-Jan-07 154.6 154.6 0.0000 158.65 155.35 -0.0210

10-Jan-07 154 156.15 0.0139 153.95 156.75 0.018011-Jan-07 156 160.9 0.0309 156.4 162.2 0.036412-Jan-07 162 164.1 0.0129 164 164.65 0.004015-Jan-07 164.9 160.6 -0.0264 167.9 161.25 -0.040416-Jan-07 160 160.95 0.0059 160 162.1 0.013017-Jan-07 161.95 162.35 0.0025 162 162.9 0.005518-Jan-07 161.5 161.3 -0.0012 163 162.25 -0.004619-Jan-07 165 170.05 0.0301 165.1 170.7 0.033422-Jan-07 170 168.05 -0.0115 170.9 168.5 -0.014123-Jan-07 168 168.6 0.0036 167 168.7 0.010124-Jan-07 169 166.95 -0.0122 168.1 167.25 -0.005125-Jan-07 167.4 172.25 0.0286 168.1 172.8 0.027629-Jan-07 172.05 169.15 -0.0170 174 167.85 -0.036031-Jan-07 169.85 165.85 -0.0238 168 164.3 -0.02231-Feb-07 166.65 169.5 0.0170 164.2 168.3 0.02472-Feb-07 170.5 169.1 -0.0082 169.8 167.55 -0.01335-Feb-07 170 167 -0.0178 169 165.5 -0.02096-Feb-07 167 164.85 -0.0130 165.85 163.5 -0.01437-Feb-07 165.1 164.1 -0.0061 164.05 162.4 -0.01018-Feb-07 164.5 164.05 -0.0027 162.85 162.65 -0.00129-Feb-07 165 157.7 -0.0453 163.3 155.15 -0.0512

12-Feb-07 156.9 143.95 -0.0861 154 140.8 -0.089613-Feb-07 144 141 -0.0211 138.25 138.9 0.004714-Feb-07 142 146.25 0.0295 138 143.8 0.041215-Feb-07 147.5 151.8 0.0287 145.8 149.45 0.024719-Feb-07 151 149.15 -0.0123 150 149.45 -0.003720-Feb-07 149 144.85 -0.0282 150 145.35 -0.031521-Feb-07 146.5 143.1 -0.0235 146 143.6 -0.016622-Feb-07 144 140.4 -0.0253 143 140 -0.021223-Feb-07 143 138.75 -0.0302 142.9 139.25 -0.025926-Feb-07 140 140.8 0.0057 140 141.7 0.012127-Feb-07 140 139 -0.0072 142.75 139.95 -0.019828-Feb-07 135.3 133.3 -0.0149 130.65 134 0.02531-Mar-07 138.9 133.9 -0.0367 134.9 134.9 0.00002-Mar-07 133.5 135.1 0.0119 134.3 135.2 0.00675-Mar-07 132.5 134.05 0.0116 128.6 134 0.04116-Mar-07 134 141.2 0.0523 135.9 142.1 0.04467-Mar-07 144 143.15 -0.0059 144 142.25 -0.01228-Mar-07 136.1 150.3 0.0992 144.05 149.85 0.03959-Mar-07 152 142.4 -0.0652 151.4 142.9 -0.0578

12-Mar-07 144.4 139.15 -0.0370 143.1 140 -0.021913-Mar-07 140 142 0.0142 139.5 142.5 0.021314-Mar-07 140 138.9 -0.0079 139 139 0.000015-Mar-07 140.25 142.5 0.0159 141.75 142.45 0.004916-Mar-07 140 142.05 0.0145 143 142.35 -0.004619-Mar-07 142.6 147.85 0.0362 143 148.6 0.038420-Mar-07 149 145.15 -0.0262 149.5 145.7 -0.025721-Mar-07 144.2 146.55 0.0162 145.2 147 0.012322-Mar-07 147 149.25 0.0152 148.5 150.2 0.011423-Mar-07 156 146.05 -0.0659 150.4 146.85 -0.023926-Mar-07 146.15 148.8 0.0180 148.05 149.05 0.006728-Mar-07 143.2 148.45 0.0360 147.9 148.5 0.004029-Mar-07 148.45 146.05 -0.0163 148 146.25 -0.011930-Mar-07 144.2 146.75 0.0175 148.45 147.9 -0.0037

60

Annexure no. 15 Calculation of nominal return of ONGC

  SPOT MKT     FUT MKT    DATE OPEN CLOSE NOM REN OPEN CLOSE NOM RTN2-Jan-07 880 876.85 -0.0036 868.9 873.3 0.00513-Jan-07 886.75 872.5 -0.0162 878.1 869.5 -0.00984-Jan-07 865.9 874.35 0.0097 871 870.6 -0.00055-Jan-07 869.05 895.2 0.0296 865.25 894.1 0.03288-Jan-07 895 911.15 0.0179 890.35 905.15 0.01659-Jan-07 919.7 916.45 -0.0035 910 918.45 0.0092

10-Jan-07 916.5 890.55 -0.0287 915.05 885.2 -0.033211-Jan-07 887.1 914.6 0.0305 888 917.25 0.032412-Jan-07 916 923.65 0.0083 924.8 926.35 0.001715-Jan-07 923 916.1 -0.0075 932 917.5 -0.015716-Jan-07 919.8 919.95 0.0002 919.9 919.25 -0.000717-Jan-07 921 895.05 -0.0286 924 896.9 -0.029818-Jan-07 896 914.8 0.0208 896 919.4 0.025819-Jan-07 922 896.3 -0.0283 922 899.95 -0.024222-Jan-07 909.9 894.45 -0.0171 901 898.15 -0.003223-Jan-07 895 891.9 -0.0035 892 896 0.004524-Jan-07 896.7 912.75 0.0177 901.25 917.35 0.017725-Jan-07 918 921.15 0.0034 921.9 919.2 -0.002929-Jan-07 912 916.85 0.0053 920 911.8 -0.009031-Jan-07 925 911.4 -0.0148 920.65 904.85 -0.01731-Feb-07 912 910.85 -0.0013 907.1 914.4 0.00802-Feb-07 920 905.55 -0.0158 914.95 907.95 -0.00775-Feb-07 928.1 910.05 -0.0196 910 909.1 -0.00106-Feb-07 917 908.2 -0.0096 912 907.85 -0.00467-Feb-07 910 891.9 -0.0201 912 897.1 -0.01658-Feb-07 910 894 -0.0177 900 899.25 -0.00089-Feb-07 897 883.9 -0.0147 902 887.15 -0.0166

12-Feb-07 888 866.8 -0.0242 886.9 869.7 -0.019613-Feb-07 860 885.6 0.0293 857.35 883.4 0.029914-Feb-07 885 900.8 0.0177 880 904.15 0.027115-Feb-07 905 906.25 0.0014 910 911.9 0.002119-Feb-07 906.25 906.15 -0.0001 911 908.4 -0.002920-Feb-07 910 876.15 -0.0379 909 881.2 -0.031121-Feb-07 880 873 -0.0080 883 877.2 -0.006622-Feb-07 872.95 855 -0.0208 875.6 857.8 -0.020523-Feb-07 860 830 -0.0355 863 829.5 -0.039626-Feb-07 825.1 834.65 0.0115 821.6 837.7 0.019427-Feb-07 835.1 817.8 -0.0209 840.1 813.55 -0.032128-Feb-07 801.25 788.05 -0.0166 751.35 776.65 0.03311-Mar-07 788.05 795.95 0.0100 781 792.9 0.01512-Mar-07 802 798.9 -0.0039 800 775.3 -0.03145-Mar-07 785 773.05 -0.0153 764.5 767.25 0.00366-Mar-07 785 768.95 -0.0207 742 765.25 0.03097-Mar-07 776.1 764.85 -0.0146 762.5 750.55 -0.01588-Mar-07 766 779.5 0.0175 755 777.85 0.02989-Mar-07 786.6 783.4 -0.0041 783 772.55 -0.0134

12-Mar-07 786 793.6 0.0096 771.9 792.1 0.025813-Mar-07 798 807.15 0.0114 792.2 805.35 0.016514-Mar-07 791 781.35 -0.0123 768.6 759.8 -0.011515-Mar-07 789.9 776.5 -0.0171 773 768.25 -0.006216-Mar-07 786 762.85 -0.0299 770 754.35 -0.020519-Mar-07 769 793.15 0.0309 757 791.4 0.044420-Mar-07 800 790.8 -0.0116 795.1 781.8 -0.016921-Mar-07 790.9 811.65 0.0259 785 810.35 0.031822-Mar-07 824 852.3 0.0338 815 851.45 0.0438

61

23-Mar-07 874 843.1 -0.0360 852 844.75 -0.008526-Mar-07 840 850.25 0.0121 850 855.6 0.006628-Mar-07 850 864.55 0.0170 852 863.5 0.013429-Mar-07 860 874.8 0.0171 856 876.7 0.023930-Mar-07 872 880.8 0.0100 878 865.4 -0.0145

Annexure no. 16 Calculation of nominal return of RANBAXY

  SPOT MKT     FUT MKT    DATE OPEN CLOSE NOM REN OPEN CLOSE NOM RTN2-Jan-07 391 399.15 0.0206 394 402.3 0.02083-Jan-07 397.4 412.1 0.0363 403 414.15 0.02734-Jan-07 414 413.2 -0.0019 412 414.45 0.00595-Jan-07 411 413.8 0.0068 415 414.95 -0.00018-Jan-07 412 418.8 0.0164 413 419.7 0.01619-Jan-07 425 416.8 -0.0195 425.2 417.5 -0.0183

10-Jan-07 417.5 411.15 -0.0153 415 413.2 -0.004311-Jan-07 411.9 416.4 0.0109 412.15 418.2 0.014612-Jan-07 416.1 421.25 0.0123 421 423.1 0.005015-Jan-07 426.95 430.4 0.0080 427 432.9 0.013716-Jan-07 431 429.65 -0.0031 434 431.4 -0.006017-Jan-07 430 432.3 0.0053 433.5 432.7 -0.001818-Jan-07 436 430.4 -0.0129 435 432.2 -0.006519-Jan-07 432 414.5 -0.0414 435 416.8 -0.042722-Jan-07 417 404.55 -0.0303 418.1 406.3 -0.028623-Jan-07 408 399.45 -0.0212 406 400.95 -0.012524-Jan-07 409.5 400.8 -0.0215 402.05 402.4 0.000925-Jan-07 402.05 397.3 -0.0119 400 396.8 -0.008029-Jan-07 400 402.4 0.0060 404 404.6 0.001531-Jan-07 404 408.95 0.0122 405.8 409.85 0.00991-Feb-07 409 411.2 0.0054 412 413.25 0.00302-Feb-07 413 413.05 0.0001 414.9 414.9 0.00005-Feb-07 414 414.7 0.0017 415 415.1 0.00026-Feb-07 414.7 420.05 0.0128 416.85 420.8 0.00947-Feb-07 424.2 419.3 -0.0116 421.8 421.15 -0.00158-Feb-07 421.9 420.95 -0.0023 420 421.7 0.00409-Feb-07 424.05 416.75 -0.0174 423.05 417.05 -0.0143

12-Feb-07 413.6 409.15 -0.0108 417.5 408.45 -0.021913-Feb-07 409.1 411.5 0.0058 407 411.8 0.011714-Feb-07 408 415.45 0.0181 404 415.15 0.027215-Feb-07 415 393.35 -0.0536 416.95 395.5 -0.052819-Feb-07 396 391.6 -0.0112 391.95 393.95 0.005120-Feb-07 385 395.5 0.0269 395 396.85 0.004721-Feb-07 396.5 382.7 -0.0354 398.4 384.45 -0.035622-Feb-07 383 367.45 -0.0414 379.75 366.55 -0.035423-Feb-07 367 356.55 -0.0289 375.05 358.8 -0.044326-Feb-07 365 351.35 -0.0381 349 354.85 0.016627-Feb-07 354.1 351.6 -0.0071 357 353.25 -0.010628-Feb-07 342 337.85 -0.0122 332.5 339.25 0.02011-Mar-07 344 342.75 -0.0036 340 344.4 0.01292-Mar-07 345 347.3 0.0066 345 347.45 0.00715-Mar-07 345.5 320.7 -0.0745 338.8 321.7 -0.05186-Mar-07 325 322.3 -0.0083 326 324.45 -0.00487-Mar-07 322 307.25 -0.0469 327.05 309.45 -0.05538-Mar-07 312 328.45 0.0514 313 328.95 0.04979-Mar-07 334 326.05 -0.0241 338 326.35 -0.0351

12-Mar-07 328 323.75 -0.0130 326 325.15 -0.002613-Mar-07 323.75 320.7 -0.0095 325.5 322.05 -0.010714-Mar-07 316.5 312.25 -0.0135 312.1 312.65 0.0018

62

15-Mar-07 315.95 311.2 -0.0151 316.8 311.5 -0.016916-Mar-07 315 316.25 0.0040 313 315.05 0.006519-Mar-07 319.5 316.95 -0.0080 317.5 317.6 0.000320-Mar-07 318.9 336.35 0.0533 319 335.15 0.049421-Mar-07 340 331.55 -0.0252 337.3 331.7 -0.016722-Mar-07 334.2 333.2 -0.0030 335 333.9 -0.003323-Mar-07 334.25 330.15 -0.0123 332.55 331.5 -0.003226-Mar-07 333 327.05 -0.0180 332 328.05 -0.012028-Mar-07 326 338.9 0.0388 325.25 337.8 0.037929-Mar-07 336.95 345.05 0.0238 337 344.85 0.023030-Mar-07 347.2 351.9 0.0134 345 347.4 0.0069

Annexure no. 17 Calculation of nominal return of RELIANCE

SPOT MKTDATE OPEN CLOSE NOM REN OPEN CLOSE NOM RTN

2-Jan-07 1,275.00 1,280.90 0.0046 1281.15 1289.45 0.00653-Jan-07 1,285.00 1,284.55 -0.0004 1293.15 1292.45 -0.00054-Jan-07 1,290.00 1,280.50 -0.0074 1294 1289.4 -0.00365-Jan-07 1,275.00 1,288.15 0.0103 1288.35 1295.4 0.00558-Jan-07 1,294.00 1,276.85 -0.0133 1290 1287.1 -0.00239-Jan-07 1,294.80 1,278.30 -0.0128 1287.85 1286.05 -0.0014

10-Jan-07 1,275.00 1,273.15 -0.0015 1280 1279.2 -0.000611-Jan-07 1,275.00 1,296.50 0.0167 1280.1 1303.45 0.018112-Jan-07 1,308.70 1,339.50 0.0233 1310 1343.1 0.025015-Jan-07 1,364.80 1,364.95 0.0001 1350 1367.95 0.013216-Jan-07 1,367.00 1,346.95 -0.0148 1367 1354.1 -0.009517-Jan-07 1,358.00 1,349.85 -0.0060 1358 1358.35 0.000318-Jan-07 1,355.00 1,367.40 0.0091 1361 1370.4 0.006919-Jan-07 1,428.00 1,382.75 -0.0322 1397 1383.7 -0.009622-Jan-07 1,385.00 1,373.85 -0.0081 1386 1379.15 -0.005023-Jan-07 1,371.05 1,360.55 -0.0077 1372.5 1364.4 -0.005924-Jan-07 1,374.40 1,369.50 -0.0036 1367.95 1370.5 0.001925-Jan-07 1,379.70 1,370.60 -0.0066 1376.9 1369.95 -0.005129-Jan-07 1,370.00 1,382.30 0.0089 1384.4 1385.4 0.000731-Jan-07 1,385.95 1,366.45 -0.0142 1380.5 1371.25 -0.00671-Feb-07 1,368.00 1,377.60 0.0070 1373.25 1385.45 0.00882-Feb-07 1,383.70 1,375.05 -0.0063 1390 1381.15 -0.00645-Feb-07 1,380.00 1,387.35 0.0053 1382 1390.65 0.00626-Feb-07 1,330.00 1,389.20 0.0435 1393.5 1394.35 0.00067-Feb-07 1,398.00 1,394.90 -0.0022 1390.9 1397.65 0.00488-Feb-07 1,396.95 1,397.05 0.0001 1399 1399.85 0.00069-Feb-07 1,400.50 1,391.80 -0.0062 1401 1393.8 -0.0052

12-Feb-07 1,387.00 1,358.95 -0.0204 1380.25 1362.05 -0.013313-Feb-07 1,356.00 1,366.00 0.0073 1355 1369.7 0.010814-Feb-07 1,365.15 1,377.05 0.0087 1360 1385.3 0.018415-Feb-07 1,382.50 1,406.95 0.0175 1398 1413.7 0.011219-Feb-07 1,410.00 1,420.75 0.0076 1419.95 1424.15 0.003020-Feb-07 1,429.00 1,414.60 -0.0101 1427.95 1418.8 -0.006421-Feb-07 1,391.00 1,406.75 0.0113 1419.8 1408.45 -0.008022-Feb-07 1,415.00 1,412.05 -0.0021 1405 1412.2 0.005123-Feb-07 1,424.00 1,413.25 -0.0076 1426.4 1423.5 -0.002026-Feb-07 1,420.00 1,406.55 -0.0095 1430 1419.8 -0.007227-Feb-07 1,305.10 1,405.45 0.0741 1412.05 1413 0.000728-Feb-07 1,350.10 1,352.50 0.0018 1350 1360.75 0.00791-Mar-07 1,375.00 1,367.75 -0.0053 1350 1370.7 0.01522-Mar-07 1,371.00 1,316.20 -0.0408 1362.7 1315.4 -0.03535-Mar-07 1,300.00 1,259.35 -0.0318 1300 1263.65 -0.02846-Mar-07 1,274.00 1,297.85 0.0185 1349 1300.2 -0.03687-Mar-07 1,311.00 1,288.65 -0.0172 1310.5 1290.55 -0.01538-Mar-07 1,319.00 1,335.55 0.0125 1298 1335.95 0.0288

63

9-Mar-07 1,338.00 1,318.20 -0.0149 1342 1314.8 -0.020512-Mar-07 1,329.90 1,315.70 -0.0107 1315 1309.75 -0.004013-Mar-07 1,315.70 1,326.75 0.0084 1314.95 1323.5 0.006514-Mar-07 1,309.00 1,285.35 -0.0182 1285.2 1275.2 -0.007815-Mar-07 1,299.00 1,283.40 -0.0121 1281.9 1275.35 -0.005116-Mar-07 1,283.40 1,300.15 0.0130 1275 1289.25 0.011119-Mar-07 1,301.10 1,313.55 0.0095 1298 1307.35 0.007220-Mar-07 1,318.00 1,322.95 0.0037 1310 1310.05 0.000021-Mar-07 1,320.00 1,340.00 0.0150 1315 1339 0.018122-Mar-07 1,347.00 1,375.25 0.0208 1354.95 1374.45 0.014323-Mar-07 1,376.00 1,376.05 0.0000 1374.95 1377.3 0.001726-Mar-07 1,383.00 1,364.55 -0.0134 1375 1369.75 -0.003828-Mar-07 1,360.00 1,350.00 -0.0074 1362.1 1352.3 -0.007229-Mar-07 1,364.00 1,357.20 -0.0050 1349.7 1359.15 0.007030-Mar-07 1,360.00 1,370.30 0.0075 1369.85 1376.3 0.0047

Annexure no. 18 Calculation of nominal return of SATYMCOMP

  SPOT MKT     FUT MKT    DATE OPEN CLOSE NOM REN OPEN CLOSE NOM RTN2-Jan-07 486.9 508.45 0.0433 493 508.9 0.03173-Jan-07 511 515.15 0.0081 510.3 516.35 0.01184-Jan-07 525 501.85 -0.0451 516.7 504.8 -0.02335-Jan-07 502 501.05 -0.0019 503.95 503.75 -0.00048-Jan-07 503.2 486.25 -0.0343 475 488.85 0.02879-Jan-07 490 467.7 -0.0466 489 470.75 -0.0380

10-Jan-07 469.9 464.2 -0.0122 466 465.15 -0.001811-Jan-07 460 480.55 0.0437 467 482.8 0.033312-Jan-07 489.9 496.5 0.0134 489.4 495.8 0.013015-Jan-07 499.7 501.05 0.0027 499 500.5 0.003016-Jan-07 507 506.9 -0.0002 505 505.65 0.001317-Jan-07 510 508.2 -0.0035 509 508.1 -0.001818-Jan-07 512 514.75 0.0054 510 513.4 0.006619-Jan-07 517 489.1 -0.0555 517.9 487.95 -0.059622-Jan-07 485 472.3 -0.0265 485 474 -0.022923-Jan-07 474 471.25 -0.0058 472.15 472.45 0.000624-Jan-07 475 470.5 -0.0095 475 471.1 -0.008225-Jan-07 474.9 475.35 0.0009 472.85 474.85 0.004229-Jan-07 477 465.15 -0.0252 479.9 467.75 -0.025631-Jan-07 467 472.45 0.0116 468 473.75 0.01221-Feb-07 475 473.9 -0.0023 474.8 476.6 0.00382-Feb-07 475.9 490.65 0.0305 478.9 487.9 0.01865-Feb-07 490 489.95 -0.0001 491 488.3 -0.00556-Feb-07 490 490.65 0.0013 489.95 488.3 -0.00347-Feb-07 491.1 490.15 -0.0019 489.7 490.7 0.00208-Feb-07 493.9 485.85 -0.0164 495 487.85 -0.01459-Feb-07 486 468.8 -0.0360 495 470.6 -0.0505

12-Feb-07 468 463.3 -0.0101 466.1 463.4 -0.005813-Feb-07 467 459.8 -0.0155 463.5 460.5 -0.006514-Feb-07 460 464.85 0.0105 469.7 465.85 -0.008215-Feb-07 468 485.6 0.0369 469.2 484.5 0.032119-Feb-07 487 481.8 -0.0107 486 483 -0.006220-Feb-07 478.8 477.7 -0.0023 483.45 477.25 -0.012921-Feb-07 478 462.15 -0.0337 477 464.45 -0.026722-Feb-07 462.5 458.95 -0.0077 464.25 459.85 -0.009523-Feb-07 462 449.9 -0.0265 462 449.6 -0.027226-Feb-07 454 459.15 0.0113 450 461.1 0.024427-Feb-07 505 449.05 -0.1174 463 449.15 -0.030428-Feb-07 432.15 414.4 -0.0419 436 416.4 -0.04601-Mar-07 415 435.85 0.0490 416 435.2 0.0451

64

2-Mar-07 437 427.3 -0.0224 430.15 426.3 -0.00905-Mar-07 419 414.15 -0.0116 415.05 412.05 -0.00736-Mar-07 417 433.6 0.0390 418.35 430.85 0.02947-Mar-07 439.45 430.1 -0.0215 436.5 429.45 -0.01638-Mar-07 431 445.8 0.0338 434 443.5 0.02179-Mar-07 447 439.05 -0.0179 446 439.2 -0.0154

12-Mar-07 440 441.85 0.0042 441 442.45 0.003313-Mar-07 442 454.7 0.0283 445.45 453.65 0.018214-Mar-07 411.1 431 0.0473 411.1 431.75 0.049015-Mar-07 455 434.95 -0.0451 436 433.1 -0.006716-Mar-07 446 429.6 -0.0375 435 429.05 -0.013819-Mar-07 434 433.15 -0.0020 433.85 434.5 0.001520-Mar-07 436 445.15 0.0208 440 443.6 0.008121-Mar-07 446 451.35 0.0119 445 452.05 0.015722-Mar-07 457 467.05 0.0218 460 466.7 0.014523-Mar-07 461 464.55 0.0077 467.3 464.2 -0.006726-Mar-07 460 472 0.0258 465.25 472.1 0.014628-Mar-07 469.7 455.7 -0.0303 467.1 456.45 -0.023129-Mar-07 458.1 461.1 0.0065 456.1 461.85 0.012530-Mar-07 465.8 470.35 0.0097 464.1 469.7 0.0120

Annexure no. 19 Calculation of nominal return of SBIN

  SPOT MKT     FUT MKT    DATE OPEN CLOSE NOM REN OPEN CLOSE NOM RTN2-Jan-07 1,250.00 1,253.55 0.0028 1256.5 1260.05 0.00283-Jan-07 1,250.00 1,264.85 0.0118 1262 1269.1 0.00564-Jan-07 1,270.00 1,243.00 -0.0215 1272 1252.15 -0.01575-Jan-07 1,241.00 1,244.10 0.0025 1246.5 1244.15 -0.00198-Jan-07 1,248.80 1,213.70 -0.0285 1240 1218.5 -0.01759-Jan-07 1,219.85 1,174.90 -0.0375 1220.5 1182.25 -0.0318

10-Jan-07 1,171.00 1,136.40 -0.0300 1175.5 1143.4 -0.027711-Jan-07 1,145.00 1,147.45 0.0021 1144 1159.5 0.013512-Jan-07 1,162.00 1,225.45 0.0532 1175 1228.9 0.044915-Jan-07 1,235.00 1,222.25 -0.0104 1230 1226.95 -0.002516-Jan-07 1,255.00 1,209.80 -0.0367 1230.05 1216.9 -0.010717-Jan-07 1,219.00 1,222.55 0.0029 1222 1225.4 0.002818-Jan-07 1,226.00 1,229.00 0.0024 1224.1 1233.9 0.008019-Jan-07 1,282.25 1,220.30 -0.0495 1242 1223.35 -0.015122-Jan-07 1,218.00 1,224.55 0.0054 1228 1229.4 0.001123-Jan-07 1,225.05 1,174.05 -0.0425 1225 1176.05 -0.040824-Jan-07 1,174.05 1,172.55 -0.0013 1177 1175 -0.001725-Jan-07 1,175.25 1,176.45 0.0010 1180 1175.55 -0.003829-Jan-07 1,190.00 1,156.15 -0.0289 1175.15 1166.25 -0.007631-Jan-07 1,162.00 1,140.45 -0.0187 1155 1149.15 -0.00511-Feb-07 1,158.00 1,203.00 0.0381 1155 1212.65 0.04872-Feb-07 1,215.00 1,181.05 -0.0283 1219.8 1190.05 -0.02475-Feb-07 1,176.00 1,197.05 0.0177 1192 1206.85 0.01246-Feb-07 1,205.00 1,196.50 -0.0071 1211 1202.55 -0.00707-Feb-07 1,195.00 1,195.05 0.0000 1206.9 1204.2 -0.00228-Feb-07 1,195.00 1,205.25 0.0085 1207 1214.5 0.00629-Feb-07 1,206.00 1,199.65 -0.0053 1215 1205.3 -0.0080

12-Feb-07 1,199.65 1,183.70 -0.0134 1195.1 1185 -0.008513-Feb-07 1,182.95 1,173.40 -0.0081 1177.3 1175.3 -0.0017

14-Feb-07 1,150.00 1,102.30 -0.0424 1125.55 1106.1 -0.017415-Feb-07 1,110.55 1,122.60 0.0108 1130 1128.65 -0.001219-Feb-07 1,128.00 1,132.10 0.0036 1135 1133.7 -0.001120-Feb-07 1,132.10 1,107.75 -0.0217 1137.15 1109.05 -0.025021-Feb-07 1,099.70 1,105.90 0.0056 1109 1106.15 -0.0026

65

22-Feb-07 1,105.00 1,078.05 -0.0247 1115 1078.45 -0.033323-Feb-07 1,135.00 1,058.20 -0.0701 1088.7 1063.8 -0.023126-Feb-07 1,070.00 1,088.40 0.0171 1075.35 1099.65 0.022327-Feb-07 1,091.00 1,069.15 -0.0202 1105 1077.5 -0.025228-Feb-07 971.6 1,041.85 0.0698 1031.1 1043.9 0.01231-Mar-07 1,042.00 1,055.65 0.0130 1039.9 1059 0.01822-Mar-07 1,035.00 1,004.90 -0.0295 1053.95 1010.75 -0.04195-Mar-07 999 962.55 -0.0372 991.2 961.3 -0.03066-Mar-07 999 988.05 -0.0110 977.9 994.2 0.01657-Mar-07 998 964.4 -0.0342 1003 960.75 -0.04308-Mar-07 989 999.3 0.0104 971.5 1005.7 0.03469-Mar-07 1,001.10 982.65 -0.0186 1008.65 989.7 -0.0190

12-Mar-07 990 974.2 -0.0161 993.95 979.65 -0.014513-Mar-07 979 980.4 0.0014 980 987.35 0.007514-Mar-07 960 948 -0.0126 961.2 948.85 -0.012915-Mar-07 955 922.1 -0.0351 959 924.55 -0.036616-Mar-07 925 913.6 -0.0124 932 915.1 -0.018319-Mar-07 924.8 926.5 0.0018 920 930.05 0.010920-Mar-07 930 952.35 0.0237 935.15 953.75 0.019721-Mar-07 955 982.95 0.0288 955 984 0.029922-Mar-07 992 1,029.40 0.0370 995.05 1033.9 0.038323-Mar-07 1,034.00 1,026.20 -0.0076 1030 1028.9 -0.001126-Mar-07 1,030.00 1,013.65 -0.0160 1039 1018.15 -0.020328-Mar-07 1,006.00 973.65 -0.0327 1006.15 975.05 -0.031429-Mar-07 974 985.65 0.0119 995 981.05 -0.014130-Mar-07 990.1 994.45 0.0044 1004 999.65 -0.0043

Annexure no. 20 Calculation of nominal return of TATAPOWER

  SPOT MKT     FUT MKT    DATE OPEN CLOSE NOM REN OPEN CLOSE NOM RTN2-Jan-07 559 564.85 0.0104 563.25 566.05 0.00503-Jan-07 562.05 562.65 0.0011 568.55 563.9 -0.00824-Jan-07 570 559.7 -0.0182 564 559.3 -0.00845-Jan-07 562 560.1 -0.0034 560 557.05 -0.00538-Jan-07 564.2 561.8 -0.0043 555 556.55 0.00289-Jan-07 562 560.2 -0.0032 558 558.5 0.0009

10-Jan-07 562 557.55 -0.0079 556 550.5 -0.009911-Jan-07 556 567.15 0.0199 552.95 562.55 0.017212-Jan-07 572 579.05 0.0122 564.9 572.95 0.014115-Jan-07 582 582.75 0.0013 578 575.8 -0.003816-Jan-07 583 575.55 -0.0129 577 572.75 -0.007417-Jan-07 565 581.65 0.0290 577.4 575.1 -0.004018-Jan-07 588.4 578.05 -0.0177 572.5 575 0.004419-Jan-07 575.85 579.5 0.0063 578 571.85 -0.010722-Jan-07 580 589.45 0.0162 576 587.65 0.020023-Jan-07 600 599.85 -0.0003 589 595.05 0.010224-Jan-07 630 603.5 -0.0430 598 599.6 0.002725-Jan-07 615 615.3 0.0005 603.75 613.2 0.015529-Jan-07 640 611.95 -0.0448 609 605.85 -0.005231-Jan-07 605.85 605.45 -0.0007 605 596.3 -0.01451-Feb-07 591.15 593.55 0.0041 602 593.7 -0.01392-Feb-07 587 607.75 0.0347 595 603.9 0.01485-Feb-07 610 612.95 0.0048 606.4 607.55 0.00196-Feb-07 620 611.6 -0.0136 611.1 608.05 -0.00507-Feb-07 610 602.4 -0.0125 610.8 602.25 -0.01418-Feb-07 607.05 607.05 0.0000 608.5 606 -0.00419-Feb-07 608 600.2 -0.0129 605 597.65 -0.0122

12-Feb-07 606.15 602.35 -0.0063 595 593.65 -0.002313-Feb-07 601 603.7 0.0045 592 595.4 0.0057

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14-Feb-07 612 611.2 -0.0013 582 606 0.040415-Feb-07 620 608.3 -0.0191 614.5 604.85 -0.015819-Feb-07 615 610.65 -0.0071 607.9 608.85 0.001620-Feb-07 605 609.15 0.0068 610 607.25 -0.004521-Feb-07 608 601.65 -0.0105 608 603.1 -0.008122-Feb-07 591.1 595.9 0.0081 603.8 597.3 -0.010823-Feb-07 597 574.7 -0.0381 600 568.1 -0.054626-Feb-07 588 575.55 -0.0214 574 575.2 0.002127-Feb-07 580 554.85 -0.0443 489.9 555.7 0.126028-Feb-07 525 542.75 0.0333 496.2 529.1 0.06421-Mar-07 502.35 541.25 0.0746 534 528.4 -0.01052-Mar-07 535.1 529.55 -0.0104 533 505.85 -0.05235-Mar-07 510 508.55 -0.0028 490 487.4 -0.00536-Mar-07 510 492.5 -0.0349 497 485 -0.02447-Mar-07 515 498.75 -0.0321 488.5 479.65 -0.01838-Mar-07 500 522.55 0.0441 489.45 513.85 0.04869-Mar-07 524 510.25 -0.0266 516 503.25 -0.0250

12-Mar-07 518 513.25 -0.0092 503 507.05 0.008013-Mar-07 518 517.8 -0.0004 505 511.95 0.013714-Mar-07 500.1 515.5 0.0303 498 492.85 -0.010415-Mar-07 524 513.5 -0.0202 498.2 499.75 0.003116-Mar-07 510 508.65 -0.0027 500.05 487.15 -0.026119-Mar-07 510.05 506.2 -0.0076 492 502.9 0.021920-Mar-07 517.4 503.75 -0.0267 506.5 496.9 -0.019121-Mar-07 515 506.95 -0.0158 495.1 504.1 0.018022-Mar-07 519.9 515.45 -0.0086 509.7 516.05 0.012423-Mar-07 518.4 507.65 -0.0210 517 510.4 -0.012826-Mar-07 510 503.45 -0.0129 512.5 506.65 -0.011528-Mar-07 514.75 506.35 -0.0165 490.15 504.15 0.028229-Mar-07 526.55 510.65 -0.0307 510 511.15 0.002330-Mar-07 511 509.3 -0.0033 508 508.7 0.0014

Annexure no. 21 Calculation of nominal return of TATATEA

  SPOT MKT     FUT MKT    DATE OPEN CLOSE NOM RTN OPEN CLOSE NOM RTN2-Jan-07 725 717.4 -0.011 729.95 724.55 -0.00743-Jan-07 724 716.4 -0.011 725.05 723.7 -0.00194-Jan-07 720 716.2 -0.005 725.5 719.45 -0.00845-Jan-07 710.1 722.85 0.018 721 725.25 0.00598-Jan-07 730 717.05 -0.018 725.25 719.45 -0.00809-Jan-07 710.4 725.95 0.022 721 730.55 0.0132

10-Jan-07 727.5 723.8 -0.005 728 723.2 -0.006611-Jan-07 725 724.05 -0.001 727 727.75 0.001012-Jan-07 729.85 726.9 -0.004 730.5 730.7 0.000315-Jan-07 734 728.95 -0.007 734 732.05 -0.002716-Jan-07 729 729.05 0.000 731.25 730 -0.001717-Jan-07 720.3 727.95 0.011 727.5 727.95 0.000618-Jan-07 729 729.9 0.001 729.5 729.5 0.000019-Jan-07 720.7 724.75 0.006 729.5 727.6 -0.002622-Jan-07 724.75 729.15 0.006 726 731.55 0.007623-Jan-07 710.3 725.3 0.021 730 727.6 -0.003324-Jan-07 718.05 728.75 0.015 732.95 727.2 -0.007925-Jan-07 722 716.75 -0.007 727 718.15 -0.012229-Jan-07 720 715.7 -0.006 726 723.45 -0.003531-Jan-07 715 713.55 -0.002 724.25 718.05 -0.00861-Feb-07 715.35 725.6 0.014 723 732.35 0.01282-Feb-07 732 722.25 -0.013 734.9 728 -0.00945-Feb-07 715.05 721.2 0.009 725.5 725.9 0.00066-Feb-07 714 715.4 0.002 655 719.4 0.0938

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7-Feb-07 715 705.1 -0.014 719 710.25 -0.01228-Feb-07 700.1 695.1 -0.007 704.75 697.3 -0.01069-Feb-07 698 682.95 -0.022 699 685.35 -0.0197

12-Feb-07 689.75 667.3 -0.033 682.5 667.85 -0.021713-Feb-07 661 678.3 0.026 662.15 678.95 0.025114-Feb-07 670 670.6 0.001 670 673.3 0.004915-Feb-07 684 676.05 -0.012 679 678.5 -0.000719-Feb-07 683 673.85 -0.013 682.9 676.85 -0.008920-Feb-07 672.9 664.95 -0.012 678.9 668.6 -0.015321-Feb-07 670 675.25 0.008 665 675.1 0.015122-Feb-07 677.5 658.25 -0.029 676.9 659.1 -0.026623-Feb-07 655 650 -0.008 670.2 655.7 -0.021926-Feb-07 650 656.85 0.010 645.1 660.65 0.023827-Feb-07 680 636.65 -0.066 663 642.05 -0.032128-Feb-07 616 618 0.003 555 616.85 0.10571-Mar-07 606.3 609.95 0.006 606 614.1 0.01332-Mar-07 605 597.1 -0.013 610.3 599.9 -0.01725-Mar-07 590 568.7 -0.037 590 563.5 -0.04606-Mar-07 575 575.5 0.001 580 573.6 -0.01117-Mar-07 572.25 572 0.000 579 569.2 -0.01718-Mar-07 567 587.35 0.035 590 590.95 0.00169-Mar-07 590 589.7 -0.001 591 592.3 0.0022

12-Mar-07 595 599.35 0.007 595 599.9 0.008213-Mar-07 599.35 614.55 0.025 599.6 613.65 0.023214-Mar-07 581 611.05 0.050 600 608.55 0.014115-Mar-07 615 617.6 0.004 618 617.2 -0.001316-Mar-07 615 605.9 -0.015 618.75 606.4 -0.020219-Mar-07 607 627.1 0.033 610.35 630.4 0.032320-Mar-07 632 632.1 0.000 640 633.35 -0.010421-Mar-07 633.25 629.8 -0.005 635 632.2 -0.004422-Mar-07 630.05 626.95 -0.005 636.9 629.75 -0.011323-Mar-07 646 625.95 -0.032 624.55 628.85 0.006926-Mar-07 621.35 622.75 0.002 628.85 623.55 -0.008528-Mar-07 597.85 615 0.028 620 617.55 -0.004029-Mar-07 610 600.75 -0.015 610 599.45 -0.017430-Mar-07 602 607.35 0.009 608.5 612.9 0.0072

Annexure no.22 Calculation of nominal return of VSNL

  SPOT MKT     FUT MKT    DATE OPEN CLOSE NOM REN OPEN CLOSE NOM RTN2-Jan-07 430 444.65 0.0335 430.4 448.6 0.0413-Jan-07 446.4 439.05 -0.0166 448.5 442.95 -0.0124-Jan-07 441.7 437.35 -0.0099 446.8 439.1 -0.0175-Jan-07 436 431.45 -0.0105 436.1 433.55 -0.0068-Jan-07 431 436 0.0115 430 437.55 0.0179-Jan-07 437.75 434.25 -0.0080 439.4 435.65 -0.009

10-Jan-07 431.25 421.75 -0.0223 430 421.85 -0.01911-Jan-07 418.95 420.65 0.0040 417.85 423.6 0.01412-Jan-07 429.7 436 0.0146 430 439.4 0.02215-Jan-07 439 465.05 0.0576 442.7 465.55 0.05016-Jan-07 466 473.55 0.0161 468.4 475.7 0.01517-Jan-07 472.3 462.15 -0.0217 478 464.3 -0.02918-Jan-07 463.8 478.25 0.0307 464 481.55 0.03719-Jan-07 481.5 477 -0.0094 483.7 479.3 -0.00922-Jan-07 483.4 489.25 0.0120 480.3 492.65 0.02523-Jan-07 481.05 484.8 0.0078 495 485.9 -0.01924-Jan-07 480.1 481.05 0.0020 484.95 482.25 -0.006

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25-Jan-07 483 490.6 0.0156 487 489.05 0.00429-Jan-07 491.1 483.15 -0.0163 495 486.15 -0.01831-Jan-07 483.5 462.25 -0.0449 480.65 464.2 -0.0351-Feb-07 471.65 475.45 0.0080 466.4 478 0.0252-Feb-07 479.4 505.25 0.0525 481 508.9 0.0565-Feb-07 508 506.95 -0.0021 509.9 508.4 -0.0036-Feb-07 507.7 488.25 -0.0391 508 491.6 -0.0337-Feb-07 479 502.5 0.0479 491 505.9 0.0308-Feb-07 508 500.6 -0.0147 509.5 502.45 -0.0149-Feb-07 497 490.05 -0.0141 504 490.4 -0.027

12-Feb-07 489.1 440.5 -0.1047 485.5 440.75 -0.09713-Feb-07 440 412.3 -0.0650 434.7 413.9 -0.04914-Feb-07 408.85 417 0.0197 410 419.65 0.02315-Feb-07 423 428.2 0.0122 423 431.15 0.01919-Feb-07 439 430.95 -0.0185 433 432.4 -0.00120-Feb-07 432.95 428.3 -0.0108 433.05 427.9 -0.01221-Feb-07 429 428.25 -0.0017 428.5 426.95 -0.00422-Feb-07 435 410.75 -0.0574 427.95 413.3 -0.03523-Feb-07 416 393.8 -0.0548 417 391.4 -0.06326-Feb-07 396 393.35 -0.0067 399 396.35 -0.00727-Feb-07 395.2 393.1 -0.0053 402 395.25 -0.01728-Feb-07 370 365.8 -0.0114 366.3 367.35 0.0031-Mar-07 378 379.9 0.0050 371 381.9 0.0292-Mar-07 379.8 359.7 -0.0544 378.5 360.4 -0.0495-Mar-07 336.6 355.05 0.0534 345 352.45 0.0216-Mar-07 355 363.65 0.0241 358 364.2 0.0177-Mar-07 371.4 359.55 -0.0324 369 354.05 -0.0418-Mar-07 360 374.8 0.0403 357 374.55 0.0489-Mar-07 375.35 371 -0.0117 378 368.45 -0.026

12-Mar-07 374 372.9 -0.0029 368.1 370 0.00513-Mar-07 374.7 376.45 0.0047 371 372.2 0.00314-Mar-07 365 365.3 0.0008 355 357.15 0.00615-Mar-07 374 365.85 -0.0220 364.4 362.5 -0.00516-Mar-07 369.05 369.45 0.0011 365.9 369.15 0.00919-Mar-07 372 377.3 0.0141 371 378.55 0.02020-Mar-07 381.4 377.65 -0.0099 380 375.85 -0.01121-Mar-07 382.9 384.6 0.0044 376.35 385.5 0.02422-Mar-07 389.4 423.85 0.0848 400 424.95 0.06123-Mar-07 430 407.2 -0.0545 433.8 409.3 -0.05826-Mar-07 409.7 403.4 -0.0155 410.5 404.9 -0.01428-Mar-07 400 395.9 -0.0103 397.05 396.45 -0.00229-Mar-07 398 402.35 0.0109 399.9 400.1 0.00130-Mar-07 408 402.3 -0.0141 407.9 403.75 -0.010

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