Indian Stock Market: An Overview

1
Indian Stock Market An Overview
2

• Stock Market
• Primary Market Secondary Market

3
Primary Market

• IPO vs Seasoned Issues
• Pricing of issues
• Fixed pricing
• Book building
• Public offer vs Private placement
• Demat issues

4
Pricing of issues

• Companies eligible to make public issue can
  freely price their equity shares or any security.
• Fixed Price
• Book Building

5
Fixed Price

• In the fixed-price issue method, the issuer fixes
  the issue price well before the actual issue. For
  this very reason, it is cautious and conservative
  in pricing the issue so that the issue is fully
  subscribed. Underwriters also do not like the
  issue to devolve on them and hence favour
  conservative pricing of the issue. For these
  practical reasons, the issue price in the case of
  traditional fixed price method generally errs on
  the lower side and, therefore, in the investors
  favour.

6
Book building

• Book-building is a process of price discovery
  used in public offers. The issuer sets a floor
  price and a band within which the investor is
  allowed to bid for shares.
• The upper price of the band can be a maximum of
  1.2 times the floor price.
• The investor had to bid for a quantity of shares
  he wished to subscribe to within this band.

7
Book building

• Bids to remain open for at least 5 days
• Only electronic bidding is permitted
• Bidding demand is displayed at the end of every
  day.
• The lead manager analyses the demand generated
  and determines the issue price or cut-off price
  in consultation with the issuer.

8
Cut-off price

• The cut-off price is the price discovered by the
  market. It is the price at which the shares are
  issued to the investors.
• Investors bidding at a price below the cut-off
  price are ignored.

9

• Lets say a company wants to issue 10,00,000
  shares. The floor price for one share of face
  value, Rs10, is Rs48 and the band is between Rs48
  and Rs55.
• At Rs55, on the basis of bids received, the
  investors are ready to buy 2,00,000 shares. So
  the cut-off price can not be set at Rs55 as only
  2 lacs shares will be sold.

10

• So as a next step, the price is lowered to Rs54.
  At Rs54, investors are ready to buy 4 lacs
  shares. So if the cut-off price is set at Rs54, 6
  lacs shares will be sold. This still leaves 4
  lacs shares to be sold.

11

• The price is now lowered to Rs53. At Rs53,
  investors are ready to buy 4 lacs shares. Now if
  the cut-off price is set at Rs53, all ten lacs
  shares will be sold.
• Investors who had applied for shares at Rs55 and
  Rs54 will also be issued shares at Rs53.

12
Fixed Price vs. Book Building
Fixed Price Book Building
The price is known in advance to investor and the demand is known at close of the issue. Conservative pricing (Low price) Generally oversubscribed It favours the investors Demand can be known at the end of every day but price is known at the close of issue. Aggressive pricing (High Price) No pressure of unsatisfied demand in the market. It favours the issuers.
13
Book Building

• Objective is efficient price discovery.
• Asymmetric information between promoter and
  investors.
• Investors always remain in dark.

14
Private placement

• It involves issues of securities to a limited
  number of subscribers, such as banks, FIs, MFs
  and high net worth individual.
• It is arranged through a merchant banker, an
  agent of issuers, who brings together the issuers
  and investor(s).
• Securities offered are exempt from public
  disclosers regulations and registration
  requirements of the regulatory body.
• This market is preferred by small and medium size
  firms, particularly new entrants who do not have
  track record of performance.

15
Private Placement vs Public Issues
Private Placement Public Issues
Issues are offered to mature and sophisticated institutional investors. No discloser requirements. Issues are not screened and this increases the risk. Issues are primarily offered to retail investors. Discloser requirement is there. All issues are screened.
16
DEMATERIALISATION OF SHARES

• Trading in the shares of the Company is
  compulsory in dematerialized form for all
  investors.
• The Company has, therefore, enlisted its shares
  with both the depositories, viz, National
  Securities Depository Limited (NSDL) and Central
  Depository Services India Limited (CDSL).

17
What is Dematerialisation?

• Dematerialisation is a process by which the
  physical share certificates of an investor are
  taken back by the Company and an equivalent
  number of securities are credited in electronic
  form at the request of the investor.
• An investor will have to first open an account
  with a Depository Participant so that the
  dematerialised holdings can be credited into that
  account.
• This is very similar to opening a Bank Account.

18
What is a Depository?

• A Depository (NSDL CDSL) is an organisation
  like a Central Bank where the securities of a
  shareholder are held in the electronic form at
  the request of the shareholder through the medium
  of a Depository Participant.

19
Who is a Depository Participant?

• A Depository Participant (DP) is your
  representative (agent) in the depository system
  providing the link between the Company and you
  through the Depository.
• While the Depository can be compared to a Bank,
  DP is like a branch of your bank with whom you
  can have an account.
• According to SEBI guidelines, Financial
  Institutions like banks, stockbrokers etc. can
  become participants in the depository.

20
How does the Depository System operate?

• The Depository System functions very much like
  the banking system.
• A bank holds funds in accounts whereas a
  Depository holds securities in accounts for its
  clients.
• A Bank transfers funds between accounts whereas a
  Depository transfers securities between accounts.
  
• In both systems, the transfer of funds or
  securities happens without the actual handling of
  funds or securities.

21
Secondary Market

• Trading
• Clearing Settlement

22
Trading

• Cash Trading
• Spot Trading
• Forward, future (derivative trading)

23
TRADING

• The NSE trading system called 'National Exchange
  for Automated Trading' (NEAT) is a fully
  automated screen based trading system.
• It is on line and nationwide trading system.
• It adopts the principle of an order driven
  market.

24
Trading Mechanism

• In this system a member can punch into the
  computer quantities of securities and prices at
  which he likes to transact.
• The transaction is executed as soon as it finds a
  matching sale or buy order from a counter party.

25
Trading Mechanism

• A single consolidated order book for each stock
  displays, on a real time basis, buy and sell
  orders originating from all over the country.
• The book stores only limit orders, which are
  orders to buy or sell shares at a stated quantity
  and stated price.
• The limit orders are executed only if the price
  quantity conditions match.

26
The Limit order book for Titan on the NSE (on 12
April, 2005, at 11.00 A.M.)
Buy Qty Buy Price Sell Price Sell Qty
95 25 100 10 150 237.25 237.20 237.15 237.10 237.00 237.70 237.90 238.00 238.20 238.25 129 72 827 50 10
27

• One can buy a share by paying Rs237.7 and sell a
  share at Rs 237.25.
• The difference is the bid-ask spread.
• There is one potential complication to this
  simple scenario.
• The prices of Rs237.25 and Rs237.7 actually
  represent commitments to trade up to a specified
  number of shares.
• If somebody wants to buy 150 shares, what will
  happen?

28
Limit Orders

• Investors may also place limit orders, whereby
  they specify prices at which they are willing to
  buy or sell a security.

29
Limit Orders
Condition Action Price below the limit Price above the limit
Buy Limit-buy Order Stop-Buy Order
Sell Stop-Loss Order Limit-Sell Order
30

• Limit-buy Order and Limit-Sale order
• Limit-buy Order
• If the stock falls below the limit on a limit-buy
  order then the trade is to be executed.
• See the price list of Titan Somebody has placed
  a buy order for 25 shares of Titan at Rs237.2 per
  share.
• If price falls to Rs237.2 (from its current level
  of Rs237.25), then this buy order will be
  executed.
• Limit-Sale order?

31

• What happens if a limit order is placed between
  the quoted bid and ask prices?
• Suppose you have instructed your broker to buy
  Titan at a price of Rs237.4 or better.

32
Trading Mechanism

• The trading system provides tremendous
  flexibility to the issuers in terms of kinds of
  orders that can be placed on the system.
• Several time related (Good-till-Cancelled,
  Good-till-Day, Immediate-or-Cancel), and
• Price-related (buy/sell limit and stop-loss
  orders) conditions can be easily built into an
  order.

33
Stop-loss orders

• It is an order placed with a broker to sell once
  the stock reaches a certain price.
• A stop-loss is designed to limit an investor's
  loss on a security position.
• Setting a stop-loss order for 10 below the price
  at which you bought the stock will limit your
  loss to 10.
• For example, let's say you just purchased ACC at
  Rs50 per share. Right after buying the stock you
  enter a stop-loss order for Rs45. This means that
  if the stock falls below Rs45, your shares will
  then be sold at the prevailing market price. 

34
Market Timings

• Trading on the equities segment takes place on
  all days of the week (except Saturdays and
  Sundays and holidays declared by the Exchange in
  advance). The market timings of the equities
  segment areNormal Market Open 0955
  hoursNormal Market Close 1530 hours

35
Clearing and Settlement Process at NSE

• NSE
• 1
• DEPOSITORIES 8 NSCCL 9
  CLEARING BANK
• 6
  7
• 10 5 2 3
  4 11
• CUSTODIAN / DP

36
Clearing and settlement Process

• 1. Trade details from Exchange to NSCCL
• 2. NSCCL notifies the consummated trade details
  to custodians who
• affirm back. Based on the affirmation, NSCCL
  determines
• obligations.
• 3. Download of obligation and pay-in advice of
  funds/ securities.
• 4. Instructions to clearing banks to make funds
  available by pay-in-
• time.
• 5. Instructions to depositories to make
  securities available by pay-in-
• time.

37
Clearing and settlement Process

• 6. pay-in of securities (NSCCL advises depository
  to debit pool
• account of custodians and credit its account
  and depository does
• it).
• 7. pay-in of funds (NSCCL advises Clearing Banks
  to debit account
• of custodians and credit its account and
  clearing bank does it).
• 8. Pay-out of securities (NSCCL advises
  depository to credit pool
• account of custodians and debit its account
  and depository does
• it).
• 9. Pay-out of funds (NSCCL advises Clearing Banks
  to credit
• account of custodians and debit its account
  and Clearing Banks
• does it).
• 10. Depository informs custodians
• 11. Clearing Banks inform custodians

38
Clearing and settlement Process

• Custodians ( for A who is buyer and for B who is
  seller)
• Clearing bank records the following entries
• (for 7) Custodian ( for A) A/C Dr
• To NSCCL A/C
• (for 9) NSCCL A/C ..Dr
• To Custodian (for B) A/C
• Depositories record the following entries
  (shares)
• (for 6) Custodian ( for B) A/C Dr
• To NSCCL A/C
• (for 8) NSCCL A/C ..Dr
• To Custodian (for A) A/C

39
Settlement CycleRolling Settlement

• At NSE and BSE, trades in rolling settlement are
  settled on a T2 basis i.e. on the 2nd working
  day.
• For arriving at the settlement day all
  intervening holidays, which include bank
  holidays, NSE holidays, Saturdays and Sundays are
  excluded.
• Typically trades taking place on Monday are
  settled on Wednesday, Tuesday's trades settled on
  Thursday and so on.

40
A tabular representation of the settlement cycle
for rolling settlement
Activity Day
Trading Rolling Settlement Trading T
Clearing Custodial Confirmation T1 working days
Settlement Securities and Funds pay in Securities and Funds pay out T2 working days T2 working days
41
Index-based Market-wide Circuit Breakers(w.e.
from July 2001)

• The index-based market-wide circuit breaker
  system applies at 3 stages of the index movement,
  either way viz. at 10, 15 and 20.
• These circuit breakers when triggered, bring
  about a coordinated trading halt in all equity
  and equity derivative markets nationwide.
• The market-wide circuit breakers are triggered by
  movement of either the BSE Sensex or the NSE SP
  CNX Nifty, whichever is breached earlier.

42
Duration of trading halt (in minutes)
movement in either indices in either direction Before 1 p.m. 1 p.m. to 2 p.m. 2 p.m. to 2.30 p.m. After 2.30 p.m.
10 60 30 30 No halt
15 120 60 Trading halt for the remainder of the day Trading halt for the remainder of the day
20 Trading halt for the remainder of the day Trading halt for the remainder of the day Trading halt for the remainder of the day Trading halt for the remainder of the day
43
Risk ManagementMargin Money

• Categorisation of stocks for imposition of
  margins
• The Stocks which have traded atleast 80 of the
  days for the previous six months shall constitute
  the Group I and Group II.
• Out of the scrips identified above, the scrips
  having mean impact cost of less than or equal to
  1 shall be categorized under Group I and the
  scrips where the impact cost is more than 1,
  shall be categorized under Group II.
• The remaining stocks shall be classified into
  Group III.

44

• The impact cost shall be calculated on the 15th
  of each month on a rolling basis considering the
  order book snapshots of the previous six months.
  On the basis of the impact cost so calculated,
  the scrips shall move from one group to another
  group from the 1st of the next month.
• For securities listed for lt 6 months, the trading
  frequency and the impact cost shall be computed
  using the entire trading history of the security.

45
What is impact cost?

• What is impact cost? It is the cost of executing
  a transaction on the stock exchanges.
• Suppose you want to buy 150 shares of Titan.
• You would be able to buy the first 129 shares at
  a price of Rs237.7 per share. However, to buy the
  remaining 21 shares, you have to pay Rs237.9 per
  share. The higher the number of shares that you
  want to buy will have an impact on the price of
  the stock.
• This is measured by what is known as the impact
  cost of the trade.

46

• The average buy price for 150 shares
• (Rs237.7x129 Rs237.9x21)/150 Rs237.728
• The average of the best bid and ask price is
  given by Rs 237.475.
• You should ideally expect to buy or sell shares
  of Titan at this price.
• The impact cost of the order is therefore given
  by
• Impact cost (237.728 237.475)/237.475
• 0.106

47

• What does impact cost signify?
• It means you incurred a cost of 0.106 to buy 150
  shares because of the liquidity conditions in
  that stock. The more liquid a stock is the lower
  its impact cost.

48
Value at Risk Margin
Security VaR Margin
Group I The scrip wise daily volatility calculated using the exponentially weighted moving average (EWMA) method on daily return. The scrip wise daily VaR margin would be 3.5 times the volatility so calculated subject to a minimum of 7.5.
Group II The VaR margin shall be higher of scrip VaR (3.5 sigma) or the index VaR (3 sigma), and it shall be scaled up by square root of 3.
Group III The VaR margin 5 x the index VaR x 3.
49
Index VaR

• The index VaR would be the higher of the daily
  Index VaR based on SP CNX NIFTY or BSE SENSEX.
  The index VaR would be subject to a minimum of
  5.

50
Computation VaR

• Calculate the daily logarithmic return of share
• Ri In (Pi / Pi-1)
• Compute the initial volatility by calculating the
  standard deviation of returns for the one year
  period using the formula
• SD s0 1/n Ri E(Ri)2

51

• Calculate the daily volatility for he subsequent
  days using EWMA mothod.
• For day 1, the volatility will be
• s1 ? (s0 )2 (1 ?) R12 ½
• For day 2, the volatility will be
• s2 ? (s1 )2 (1 ?) R22 ½

52

• Daily VaR for individual scrip 3.5 sigma
• Daily Var for index 3 sigma
• A higher SD level is used for the script because
  the script is expected to have higher volatility
  as compared to the index, which is a portfolio.
  The volaility estimate at 3 sigma level
  represents 99 VaR.

53
BUYING ON MARGIN

• SEBI approved margin trading in January 2004 and
  it was introduced in February 2004 in India.
• If you have a margin account with kotakstreet.com
  and your margin account balance is Rs10,000, then
  you can buy shares up to Rs40,000.
• Effectively kotakstreet.com provides you with a
  loan of Rs30,000 to complete your transaction.
• The margin in the account is the portion of the
  purchase price contributed by the investor the
  reminder is borrowed from the broker.

54
Percentage Margin

• Suppose that the investor initially pays Rs6,000
  toward the purchase of Rs10,000 worth of stock
  (100 shares of Rs100 each), borrowing the
  remaining Rs4,000 from the broker.
• The initial balance sheet looks like this
• Assets
  Liabilities and Owners Equity
• Value of stock Rs10,000 Loan from
  broker Rs4,000
• 
  Equity 6,000
• The initial percentage of margin is
• Margin Equity/value of stock 6000/10,000
  0.60

55

• If the stocks price declines to Rs70 per share,
  the account balance becomes
• Assets
  Liabilities and Owners Equity
• Value of stock Rs7,000 Loan from
  broker Rs4,000
• 
  Equity 3,000
• The percentage of margin is now
• Margin Equity/value of stock 3000/7,000
  0.43 or 43

56
Maintenance Margin

• Suppose the maintenance margin is 30. How far
  could the stock price fall before the investor
  would get a margin call?
• Let P be the price of the stock. The value of the
  investors 100 shares is then 100P, and the
  equity in his or her account is 100P-Rs4,000.
• Thus we can say
• (100P-4000) / 100P 0.3
• Or P Rs57.14
• If the price of the stock were to fall below
  Rs57.14 per share, the investor would get a
  margin call.

57
Short Selling

• Short selling is generally defined as the
  practice of selling borrowed securities.
• Suppose, A feels current market price of a share
  is Rs.50 and it will reduce Rs.25. He takes
  loan of a share.
• Sell Rs.50
• Buy Rs.25 and return the share
• Profit Rs.25
• Maximum profit is 50 if price is zero, but,
  maximum loss is unlimited.
• Dividend If dividend is Rs.5, profit Rs.25 5
  20. Then dividend is to be paid by the short
  seller to the lender of the share.

58
USES OF SHORT SELLING

• Investors short sell for one of two reasons
• To seek speculative profit when the price of a
  security is expected to drop.
• To protect a profit and defer taxes by Hedging
  their position.
• All shorts are executed on margin.

59
SHORTING OR MARGIN

• The investor has to deposit only margin money.
• Return on Invested Capital from Short Sale
• (Proceeds from Sales Purchase Cost of Share
  Dividend)/Equity Deposit
• Suppose margin is 60 ( initial margin), Current
  market price of a share is Rs.100, and it is
  expected to reduce to Rs80. Dividend is Rs.5
• Return (100 80 5)/60 15/60 25

60
SPECULATING WITH SHORT SALE

• Short Sale Initiated 300 Equity Share _at_ Rs50
  Rs15000
• Short Sale Covered 300 x Rs30 9000
• Profit 6000
• Dividend _at_ Rs.5 1500
• N/Profit 4500
• Equity Deposit _at_ 50 7500
• Return
• (4500/7500) x 100 60

61
Margin Calls on Short Positions

• Suppose that you are bearish on ACC stock and
  that its current market price is Rs100 per share.
  You tell your broker to sell short 1 share. The
  broker borrows 1 share either from another
  customers account or from another broker.
• Suppose the broker has a 50 margin requirement
  on short sales. This means that you must have
  either cash or security in your account worth
  Rs50 that can serve as margin on the short sale.

62

• Like investors who purchase stock on margin, a
  short-seller must be concerned about margin call.
  If the stock price rises, the margin in the
  account will fall if margin falls to the
  maintenance level, the short-seller will receive
  a margin call.

63

• Suppose that the broker has a maintenance margin
  of 30 on short sales. This means that the equity
  in your account must be at least 30 of the value
  of your short position at all times. How far can
  the price of ACC go up before you get a margin
  call?

64

• Suppose price has increased to P (where Pgt100).
• The loss on short sales is P 100.
• Then the margin money has reduced to 50 (P
  -100).
• This reduced margin money is 30 of P.
• Thus, 50 (P -100) .3 P
• Or 150 P .3P
• Or 1.3 P 150
• Or P 115.38.

65

• If ACC stock should rise above Rs115.38, you
  would get a margin call, and you will either have
  to put up additional cash or cover your short
  position.

66
Stop-buy order

• You have sold ACC on short for Rs100.
• If the share price falls, you will profit from
  short sale.
• On the other hand, if the share price rises,
  lets say Rs130, you will lose Rs30 per share.
• But suppose that when you initiate the short
  sale, you also enter a stop-buy order at Rs120.
• The stop-buy order will be executed if the share
  price surpasses Rs120, thereby limiting your
  losses to Rs20 per share.
• The stop-buy order thus provides protection to
  the short-seller if the share price moves up.

67
SHORT SALES TO PROTECT A PROFIT AND DEFER TAXES
BY HEDGING THEIR POSITION

• 01.01.2005
• Bought 100 Shares of X Company _at_ Rs.20 Cost
  Rs.2000
• Now Price Rs.50 Value Rs.5000
• 
  
• Net Profit Rs.3000
• To protect Net Profit, he will now short sales of
  100 shares _at_ Rs.50.
• He has two positions one short and one long of
  equity shares.
• Note that although this short sales is executed
  with borrowed securities, it is not necessary to
  deposit margin money, because his current holding
  of the stock serves this purpose.

68
SHORT SALES TO PROTECT A PROFIT AND DEFER TAXES
BY HEDGING THEIR POSITION

• Price Rs.80 Price
  Rs.30
• Value of the Stock 8000
  3000
• Original Cost 2000
  2000
• 
  ___________
  ____________
• Profit
  6000 1000
• Less Loss on short sales
• (Add profit on Short Sales)
• Short Sales Initiated 5000 5000
• Short Sales Covered 8000
  3000
• ________
  ________
• (-)3000
  2000
• 
  ________ _______
• NET PROFIT
  3,000 3,000

69
Short-sales may be reintroduced

• Why SEBI is planning to reintroduce Short-sales?
• When it was banned?
• How does short- sale help the market?

70

• Indian Security Market
• A profile

71
GROWTH AND DEVELOPMENT OF INDIAN STOCK
MARKET (BSE)

• AVERAGE DAILY TURNOVER

72
NO. OF COS LISTED
73
MARKET CAPITALIZATION
74
International Scenario at end December
2001(Source SP Emerging Stock Market Fact
Book, 2002)
Particulars USA UK Japan Germany Singapore Hongkong China India
No. of listed Cos. 6,355 1,923 2,471 988 386 857 1,160 5,795
Market capitalisation ( Bn.) 13,810 2,217 2,252 1,072 117 506 524 110
Turnover ( Mn.) 29,041 1,872 1,826 1,420 63 196 449 249
Turnover ratio () 201.3 78.4 67.9 124.7 46.9 34.8 81.3 191.4

75
Market Capitalization and Turnover of Major
markets (US million) (Source SP Emerging
Stock Market Fact Book, 2002)
Country/Region MC 1990 MC 2000 MC 2001 TO 1990 TO 2000 TO 2001
Developed Markets Australia Japan UK USA 8,795,239 108,879 2,917,679 848,866 3,059,434 29,614,264 372,794 3,157,222 2,576,992 15,104,037 25,246,554 374,269 2,251,814 2,217,324 13,810,429 4,616,473 40,113 1,602,388 278,740 1,751,252 43,912,999 226,325 2,693,856 1,835,278 31,862,485 39,676,018 240,667 1,826,230 1,871,894 29,040739
All Emerging Markets China India Indonesia Korea Malaysia Philippines Taiwan 604,420 - 38,567 8,081 110,594 48,611 5,927 1,00,710 2,608,486 580,991 148,064 26,834 148,649 116,935 51,554 247,602 2,572,064 523,952 110,396 23,006 220,046 120,007 41,523 292,621 898,233 - 21,918 3,992 75,949 10,871 1,216 715,005 3,956,869 721,538 509,812 14,311 1,067,669 58,500 8,196 983,491 2,400,844 448,928 249,298 9,667 703,960 20,772 3,148 544,808
World Total US as of World India as of World 9,399,659 32.55 0.41 32,222,750 46.87 0.46 27,818,618 49.64 0.40 5,514,706 31.76 0.40 47,869,867 66.56 1.06 42,076,862 69.02 0.59
76
Savings of Household Sector in Financial Assets

• According to RBI data, household sector accounted
  for 89 of gross domestic savings during 2000-01,
  53 of their savings were in financial assets.
• They invested
• 44 of financial savings in deposits
• 34 in insurance/PFs
• 12 on small savings

77
Savings of Household Sector in Financial Assets
(SourceRBI)
Financial Assets 1990-91 1992-93 1994-95 1996-97 1998-99 2000-01
Currency Fixed income securities Deposits Insurance/PF Small savings Securities Market MFs Govt. Securities Other Securities 10.6 74.9 33.3 28.4 13.2 14.4 9.1 0.2 5.1 8.2 74.6 42.5 27.2 4.9 17.2 8.6 0 8.6 10.9 77.0 45.5 22.5 9.0 12.1 3.8 0.1 8.2 8.6 84.5 48.1 29.4 7.0 6.9 2.7 0.4 3.8 10.4 85.3 39.2 33.3 12.8 4.2 1.9 0.6 1.7 6.4 89.4 44.3 33.5 11.6 4.3 1.3 1.6 1.4
Total 100 100 100 100 100 100
78
STOCK MARKET INDEX

• All India All Industries Share Price Index
  combined and published by the Economic Times on
  daily basis.
• SP CNX Nifty combined and published by NSE India
  on daily basis.
• BSE Sensex combined and published by BSE on daily
  basis.

79
Combined Market Index and Return of Economic
Times and Nifty from May 1961 to June 2005
80
Economic Times Daily Prices and Returns from
May 1961 to June 1990
81
Nifty Prices and Returns from July 1990 to June
2005
82
Conditional Standard Deviation of the Combined
Indices of the Economic Times and SP CNX Nifty
(May 1961 to June 2005) Estimated on the
Conditional Variance Equation of TGARCH (1,1)