Comparative analysis of hdfc & icici stocks using quantitative techniques
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Comparative analysis of hdfc & icici stocks using quantitative techniques

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A comparative study of share prices of HDFC bank and ICICI Bank using quantitative techniques. ...

A comparative study of share prices of HDFC bank and ICICI Bank using quantitative techniques.
30 days stock price of HDFC bank and ICICI bank.
techniques used: correlation, mean, standard deviation, range, coefficient of variation,etc

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Comparative analysis of hdfc & icici stocks using quantitative techniques Comparative analysis of hdfc & icici stocks using quantitative techniques Document Transcript

  • Submitted By: Divya Anand (21/013) Gunjan Sachdeva (21/014) Gurpreet Singh (21/015) Jasanpreet Kaur (21/016)
  • Brief History of HDFC Bank Profile:- HDFC Bank Limited is an Indian financial services company based in Mumbai, Maharashtra that was incorporated in August 1994 by Hasmukh bhai prakash. HDFC Bank is the fifth largest bank in India by assets and currently has a nationwide network of 3,119 Branches and 11,088 ATM's in 1,891 Indian towns and cities. Their single-minded focus on product quality and service excellence has helped them garner the appreciation of both national and international organizations. Mission:- Our mission is to be "a World Class Indian Bank", benchmarking ourselves against international standards and best practices in terms of product offerings, technology, service levels, risk management and audit & compliance. The objective is to build sound customer franchises across distinct businesses so as to be a preferred provider of banking services for target retail and wholesale customer segments, and to achieve a healthy growth in profitability, consistent with the Bank's risk appetite. We are committed to do this while ensuring the highest levels of ethical standards, professional integrity, corporate governance and regulatory compliance. Products and services:- Travelers cheques Credit card Home loan Personal loan Foreign currency cash
  • Brief History of ICICI Bank Profile:- ICICI Bank is India's largest private sector bank. It is founded in 1955 by as a joint venture of World Bank. ICICI bank launched internet banking operations in 1988. In 2000, ICICI bank became the first Indian bank to list on the New York stock exchange. It is the second largest bank. The Bank has a network of 3,382 branches and 10,943 ATMs in India, and has a presence in 19 countries, including India. ICICI Bank's equity shares are listed in India on BSE and the NSE of India Limited and its American Depositary Receipts (ADRs) are listed on the New York Stock Exchange (NYSE). Mission:- The mission statement is to the first choice for customers and to create value. ICICI Bank expects their employees to abide by the vision and mission statement. Products and Services:- Travelers cheques Credit card Personal banking Business banking NRI banking Insurance Investment
  • MEAN For HDFC Bank Total value of shares (∑x) = 18886.35 No. of shares (n) = 30 Mean = ∑x/n = 18886.35/30 = 629.545 For ICICI Bank Total value of shares (∑x) = 27256.45 No. of shares (n) = 30 Mean = ∑x/n = 27256.45/30 = 908.54833
  • Graphical Presentation INTERPRETATION: The above chart shows that ICICI Bank has a high average share value than HDFC Bank. Thus its market value is higher as compared to HDFC Bank. Mean HDFC 629.545 ICICI 908.54833 0 100 200 300 400 500 600 700 800 900 1000 SharePrice Mean
  • Median For HDFC Bank No. of shares (n) = 30 Median = (Value at (N/2) Position + Value at (N/2+1) Position)/2 = (621.35+625.35)/2 = 623.35 For ICICI Bank No. of shares (n) = 30 Median = (Value at (N/2) Position + Value at (N/2+1) Position)/2 = (902.45+905.95)/2 = 904.2
  • Graphical Presentation INTERPRETATION: The above chart shows that ICICI Bank has a high median value as compared to HDFC Bank. Since it describes the behavior of the entire set of numbers we can say that ICICI Bank shares have a high median value. MEDIAN HDFC 623.35 ICICI 904.2 0 100 200 300 400 500 600 700 800 900 1000 SharePrice MEDIAN
  • Range For HDFC Bank Range = maximum(xi) - minimum(xi) where xi represents the set of values. Maximum Value = 695.15 Minimum Value = 561.90 Range = 695.15 – 561.90 = 133.25 For ICICI Bank Range = maximum(xi) - minimum(xi) where xi represents the set of values. Maximum Value = 1062.85 Minimum Value = 802.60 Range = 1062.85- 802.60 = 260.25 INTERPRETATION: The range is the size of the smallest interval which contains all the data and provides an indication of statistical dispersion. It is measured in the same units as the data. Here, the range of shares of ICICI bank is higher than HDFC Bank.
  • Variance For HDFC Bank Variance = = 1356.5331 For ICICI Bank Variance = = 4737.05646
  • Graphical Presentation INTERPRETATION: The variance of ICICI Bank Shares is very higher than HDFC Bank shares which shows a high Market Risk. VARIANCE HDFC 1356.53316 ICICI 4737.05646 0 500 1000 1500 2000 2500 3000 3500 4000 4500 5000 SharePrice VARIANCE
  • Standard Deviation For HDFC Bank Variance = 1356.5332 Standard Deviation = = 36.831 For ICICI Bank Variance = 4737.05646 Standard Deviation = = 68.826
  • Graphical Presentation INTERPRETATION: A large standard deviation indicates that the data points are far from the mean and a small standard deviation indicates that they are clustered closely around the mean. Since ICICI bank shares have a high standard deviation it indicates that the shares are far from the mean. STANDARD DEVIATION HDFC 36.83114 ICICI 68.82628 0 10 20 30 40 50 60 70 80 SharePrice STANDARD DEVIATION
  • Coefficient of Variation For HDFC Bank Standard Deviation ( σ ) = 36.83 Mean ( ) = 629.545 Coefficient of Variation (Cv) = Standard Deviation / Mean * 100 = 36.83/629.545 * 100 = 5.9 % FOR ICICI Bank Standard Deviation ( σ ) = 68.82 Mean ( ) = 908.548 Coefficient of Variation (Cv) = Standard Deviation / Mean * 100 = 68.82/908.548 * 100 = 7.6%
  • Graphical Presentation INTERPRETATION: Since the value of coefficient of variation is high of ICICI Bank, it indicates a high Standard Risk. Whereas the value of coefficient of variation of HDFC Bank is lower as compared to ICICI Bank. Thus shows a relatively lower standard risk. Coefficient of Variation HDFC 5.90% ICICI 7.60% 0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00% 7.00% 8.00% CoefficientofVariation Coefficient of Variation
  • Skewness For HDFC Bank Mean = 629.545 Median = 623.35 Standard Deviation = 36.83 Skewness (Sk) = 3(Mean- Median)/Sd Sk = 3(629.545-623.35)/36.83 = 0.168 For ICICI Bank Mean = 908.548 Median = 904.2 Standard Deviation = 68.82 Skewness (Sk) = 3(Mean- Median)/Sd Sk = 3(908.548-904.2)/68.82 =0 .0632
  • INTERPRETATION: Skewness of HDFC Bank is more than ICICI Bank. It implies that HDFC’s share price are more scattered than ICICI Bank
  • Correlation Correlation = Where, X = Value of HDFC Y = Value of ICICI Correlation = 0.70877 INTERPRETATION: As correlation approaches zero there is less of a relationship (closer to uncorrelated). The closer the coefficient is to either −1 or 1, the stronger the correlation between the variables. Since the correlation is near to zero in this case, there is less of a relationship.
  • Conclusion Quantitative Technique Conclusion Mean ICICI Bank average is Higher whereas HDFC Average is Low Median Higher Median in ICICI significant that it is reliable as compare to HDFC Bank Range ICICI Bank has more statistical dispersion as compare to HDFC Bank Variance Investment in ICICI Bank is more risk but in case of HDFC Bank it is not risky Standard Deviation ICICI Bank has a larger standard deviation which indicates that the data points are far from the mean and in case of HDFC Bank small standard deviation indicates that they are clustered closely around the mean Coefficient of Variance ICICI is not preferable due to higher CV value when compare with HDFC Bank Skewness ICICI shares are not scattered whereas HDFC shares are Correlation ICICI Bank and HDFC Bank share has no relationship
  • APPENDIX: Statistical Data of HDFC Date Close 27-08-2013 561.9 26-08-2013 611.3 23-08-2013 607.55 22-08-2013 588.7 21-08-2013 593.35 20-08-2013 584.75 19-08-2013 584.7 16-08-2013 587.9 14-08-2013 621.35 13-08-2013 620.5 12-08-2013 602.2 08-08-2013 610.5 07-08-2013 601.2 06-08-2013 608.65 05-08-2013 632.7 02-08-2013 631.25 01-08-2013 632.2 31-07-2013 609.75 30-07-2013 625.35 29-07-2013 632.5 26-07-2013 644.7 25-07-2013 654.2 24-07-2013 660.15 23-07-2013 683.35 19-07-2013 680.8 18-07-2013 684 17-07-2013 662.65 16-07-2013 678.65 15-07-2013 695.15
  • 12-07-2013 694.4 Statistical Data of ICICI Bank Date Close 27-08-2013 802.6 26-08-2013 830.45 23-08-2013 853.05 22-08-2013 831.1 21-08-2013 829.55 20-08-2013 830.4 19-08-2013 815.35 16-08-2013 858.6 14-08-2013 905.95 13-08-2013 892.55 12-08-2013 867.05 08-08-2013 875.05 07-08-2013 868.25 06-08-2013 866.35 05-08-2013 902.45 02-08-2013 887.1 01-08-2013 914.2 31-07-2013 909.05 30-07-2013 926.05 29-07-2013 928.6 26-07-2013 932.35 25-07-2013 935.35 24-07-2013 952.85 23-07-2013 989.8 19-07-2013 959.05 18-07-2013 985.1 17-07-2013 980.2 16-07-2013 1003.2 15-07-2013 1062.85
  • 12-07-2013 1061.95