Analysis of SME Institutional Trading Platform (ITP) and its

Effectiveness as Financial Market

A Thesis Presented to
The Department of Finance at
K J Somaiya Institute of Management Studies and Research,
Mumbai

In Partial Fulfilment
Of the Requirements for the MMS Finance

By
Ameya Nemade
Roll No. 003

March 2017

Under the Supervision of

Prof. Sunil Parmar
I, Ameya Nemade, declare that the Masters Thesis titled Analysis of SME
Institutional Trading Platform (ITP) and its Effectiveness as Financial Market,
submitted by me in partial fulfilment of the requirements for the award of PGDM
(Finance) at K J Somaiya Institute of Management Studies and Research, Mumbai, is
the record of the work carried out by me during the period from July 2015 to March
2016, under the guidance of Prof. Sunil Parmar

To the best of my knowledge the thesis is a record of authentic work carried out
by me during the said period and has not been submitted to any other University or
Institute for the award of any degree/diploma.

I further declare that the material obtained from other sources have been duly
acknowledged in the thesis.

Name of Candidate: Ameya Nemade

Programme & Batch: MMS 2015-17 Signature of Candidate
Roll Number: 003 Date:

i
Certified that the work incorporated in the masters thesis titled, Analysis of SME
Institutional Trading Platform (ITP) and its Effectiveness as Financial Market,
submitted by Ameya Nemade, Roll No. 003, MMS Finance 2015-17, was carried out
under my supervision.

This is her/his original work and any such materials that have been obtained from other
sources have been duly acknowledged in the thesis.

Name of Faculty Guide: Prof. Sunil Parmar Signature of the Faculty

Guide Department: Finance Date:

ii
Students Declaration ..................................................................................................................i

Certificate of Faculty Guide ........................................................................................................ii

List of tables............................................................................................................................... iv
List of Figures..............................................................................................................................v
Acknowledgement..................................................................................................................... vi
Executive Summary .................................................................................................................. vii
1. Introduction ....................................................................................................................... 1
1.1. Defining a SME........................................................................................................... 4
Manufacturing Intensive unit ............................................................................ 4
Service based offering ....................................................................................... 5
2. Literature Review .............................................................................................................. 6
3. Institutional Trading Platform (ITP) ................................................................................... 8
3.1. Anatomy of ITP .......................................................................................................... 8
Listing on the Platform ...................................................................................... 8
Trade Eligibility ................................................................................................ 10
Trade Ticket Size .............................................................................................. 10
Method to raise capital for the company........................................................ 10
Exit from the Platform ..................................................................................... 11
3.2. Benefits of listing on ITP .......................................................................................... 12
3.3. Drawbacks of the platform ...................................................................................... 12
3.4. Comparative analysis ITP vs SME board vs main board .......................................... 14
4. Research Methodology ................................................................................................... 15
4.1. Aim of the research ................................................................................................. 15
4.2. Data sampling .......................................................................................................... 15
4.3. Methodology of Research ....................................................................................... 15
Market Efficiency Coefficient .......................................................................... 16
Volumetric Measures ...................................................................................... 18
4.3.2.1. The liquidity ratio of Hui and Heubel .............................................................. 18
5. Results and Interpretation .............................................................................................. 20
5.1. Computation of MEC and interpretations ............................................................... 20
Abnormalities .................................................................................................. 21
5.2. Computation of Lhh index of ITP Scripts ................................................................. 23
6. Conclusions ...................................................................................................................... 25
7. References ....................................................................................................................... 26
8. Appendix .......................................................................................................................... 27

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Table 1: Definition of Manufacturing Intensive SME ................................................... 4

Table 2: Definition of Service based SME .................................................................... 5

Table 3: Comparison of ITP vs SME Board vs Main Board ....................................... 14

Table 4: MEC of the ITP listed Securities ................................................................... 20

Table 5: Lhh values of the listed securities on ITP ...................................................... 23

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Figure 1: SME IPO Trend ......................................................................................................... 1

Figure 2: SME Sector Wise breakup ......................................................................................... 2

Figure 3: Historic Prices of Web Elements ............................................................................. 22

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 "I have taken efforts in this project. However, it would not have been possible
without the kind support and help of many individuals and my institute. I would like to
extend my sincere thanks to all of them.

I am highly indebted to Prof. Sunil Parmar for his guidance and constant
supervision as well as for providing necessary information regarding the project & also
for their support in completing the project.

I would like to express my gratitude towards my parents & friends for their kind
co-operation and encouragement which help me in completion of this project.

My thanks and appreciations also go to my colleague in developing the project

and people who have willingly helped me out with their abilities."

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SEBI issued ICDR guidelines by introducing Chapter XC whereby listing on the SME
Exchange was made possible without bringing Initial Public Offer (IPO). SEBI has
notified the same on 8th October 2013 for establishing a platform so that SME can raise
funds without going public and thus avoid all the compliances that are necessary for an
IPO. The elimination of IPO removes the costs associated with the raising an IPO and
the requirement of a merchant banker, which eliminates the requirements of a market
maker.

The paper deals with analysis and the study institutional trading platform (ITP). In the
market there are 2 major Institutional trading platforms, this paper will on take into
consideration the BSE ITP platform. The paper will mainly dissect the anatomy of the
platform and try to gauge its effectiveness in raising funds for the SMEs. In order to
understand the liquidity of the ITP the liquidity of all the scripts has been calculated
and as proxy for the liquid markets the S&P BSE SME IPO index has been used to
appropriate comparative analysis. This will give a rough estimate for effectiveness of
the platform in raising capital for the listed company and the investors for diluting their
shares in the company or investing in the listed entities.

vii
Indian Small and Medium Enterprises (SME) sector has emerged as a highly vibrant
and dynamic sector of the Indian economy over the last five decades. SMEs not only
play crucial role in providing large employment opportunities at comparatively lower
capital cost than large industries but also help in industrialization of rural areas. SMEs
are complementary to large industries as ancillary units and this sector contributes
enormously to the socio-economic development of the country. The Sector consisting
of 36 million units, as of today, provides employment to over 80 million persons. The
Sector through more than 6,000 products contributes about 8% to GDP besides 45% to
the total manufacturing output and 40% to the exports from the country. The SME
sector has the potential to spread industrial growth across the country and can be a
major partner in the process of inclusive growth. To fund the growth of SMEs the numb
we of IPOs in the sector are also on a rise as can be seen from figure 1, there was 1 IPO
in 2012 and in 2017 there already have been 42 IPOs. The IPO help in raising vital
capital for the SME which then can expand their operations and also provide
employment.

Figure 1: SME IPO Trend

1
SMEs also play a significant role in Nation development through high contribution to
Domestic Production, Significant Export Earnings, Low Investment Requirements,
Operational Flexibility, Location Wise Mobility, Low Intensive Imports, Capacities to
Develop Appropriate Indigenous Technology, Import Substitution, Contribution
towards Defence Production, Technology Oriented Industries, Competitiveness in
Domestic and Export Markets thereby generating new entrepreneurs by providing
knowledge and training. The following figure shows the sectorial breakup of the SME
in India as of 2014.

Figure 2: SME Sector Wise breakup

Despite their high enthusiasm and inherent capabilities to grow, SMEs in India are also
facing a number of problems. Some of the problems faced by the SMEs have been
highlighted below.

Lack of Financial Resources

As a SME/SMI, financial resources are often limited. This often forces company to
select a solution, which appear to be cheap initially. However, the hidden costs will
start to emerge during implementation. This sometime causes the project to be
abandoned or sometime sent the company into further financial crisis.

2
 Lack of IT Literacy

Many of the employees in SMEs started from the ground up after working with the
company for many years. Some of them are often holding supervisory and managerial
positions. These employees may not be IT literate and often have high resistance to the
changes in the working process that they are comfortable with after many years.

Lack of Formal Procedure and Discipline

Most SMEs do not have formal procedure or often these are not
documented. Furthermore, there is tendency for these procedures to change
frequently. This makes it difficult for third party and newcomer to understand the
existing business practices and match them with the IT process.

Uneven IT Awareness and Management Skill

As company grows, new managers are often introduced into the company. There will
also be old managers who are promoted from the rank and file. Some of these managers
may not been trained in the leadership and management skill. These uneven skill
among the managers often caused conflicts during the implementation.

Lack of Experience of Using Consultants

A good consultant often save time and effort, and help to prevent pitfalls. However,
most SMEs are lacked of experience in working with consultants. The lack of makes
it difficult in identifying good consultant for the business. They often feel that the
consultant costs is too high and they can handle it with their own staff. If the company
has no staff that are experience and knowledgeable, avoiding external help often costs
more to the company eventually.

Heavy Competition from foreign and established players

Well established players in the market make it very difficult to come out with a
competitive product in the market. The established players due to their experience
advantage can offer products to the market at lower price which can kill the start-ups.

3
 Meeting export product quality/standards/specifications for offshore
customers

If the SME wants to target off shore customers they have to deal with the various
specifications and standards. Adhering to these standards can be costly for the SME.
Moreover they also have to go through the various trade tariffs and pay the taxes and
excise duties. Doing so requires expertise which lacks in most of the start-ups, which
can lead to high costs and lower profitability.

1.1. Defining a SME

Before understanding the SME sector it is important to define a SME. In the context of
the Indian economy the SME by the Micro, Small & Medium Enterprises Development
(MSMED) Act, 2006. In accordance with the provision of Micro, Small & Medium
Enterprises Development (MSMED) Act, 2006 the Micro, Small and Medium
Enterprises (MSMED) are classified into two Classes i.e manufacturing Enterprises and
Service Enterprises. The MSMED Act 2006 has classified manufacturing and service
MSMEs into micro, small and medium enterprise based on investment in plant,
machinery and equipment popularly known as 3 tier classification of Indian MSMEs,
which is summarized in the below table:-

Manufacturing Intensive unit

Table 1: Definition of Manufacturing Intensive SME

Type of Enterprise Investment in PP&E

Micro Enterprises upto Rs. 25Lakh

Small Enterprises above Rs. 25 Lakh & upto Rs. 5 Crore

Medium Enterprises above Rs. 5 Crore & upto Rs. 10 Crore

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 Service based offering

Table 2: Definition of Service based SME

Type of Services Enterprise Investment in Equipment

Micro Enterprises upto Rs. 10Lakh

Small Enterprises above Rs. 10 Lakh & upto Rs. 2 Crore

Medium Enterprises above Rs. 2 Crore & upto Rs. 5 Crore

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The SEBI circular dated 24th October 2013 about facilitation of capital raising by small
and medium enterprises including start-up companies which are in their early stages of
growth and to provide for easier exit options for informed investors like angel investors,
VCFs and PEs etc., from such companies, it has been decided to permit listing without
an Initial Public Offer and trading of specified securities of small and medium
enterprises(SMEs) including start-up companies on Institutional Trading Platform
(ITP) in SME Exchanges. The circular provides detailed eligibility criteria for listing
on the ITP board. It also provides the eligibility criteria of a company for listing on the
platform. The document also gives a detailed requirements of compliances to be
followed. Apart from that it also gives a checklist that is to be fulfilled before listing
and the process that will be followed for listing. The document provides a detailed
overview of the various aspects related to the ITP.

In order to understand the effectiveness of the platform the liquidity of the platform has
been measured. For this purpose various liquidity measures used by Abdourahmane
Sarr and Tony Lybnek for measuring the liquidity of the financial markets has been
used in the paper Measuring Liquidity of Financial Markets under the international
monetary fund. The paper enlists the various liquidity measures and the basis of their
formulation has been explained. The paper measures the liquidity of financial markets
by various measures like the turn over ration the market effectiveness coefficient, the
Hui and Heubel index etc. the various methods considers varied angles for measuring
liquidity of markets and thus a proper understanding of the markets can be obtained.
The paper has also computed kiquidity of the worlds major financial markets as results
and provided interpretations of the results

The paper Measuring Market liquidity: An introductory survey by Alexandros

Gabrielsen, Massimiliano Marzo and Paolo Zagaglia provides a further comparison of
the various measures of liquidity in the various assets classes. The paper helps in better
understanding the various measures and provides the drawbacks and limitation of each
model of measurement. Moreover the paper also provides a relation between the various
measures of liquidity thus affording a deeper understanding. Modelling and Forecasting

6
Liquidity using Principal Component Analysis and Dynamic Factor Models by Paulo
Pereira da Silva similarly helps in understanding the various available measures of
liquidity but it also provides a correlation study which shows which of the measure
results move in correlation.

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SEBI came out with a circular, dated on 8th October 2013, stating the guidelines for
listing of SME entities on the Exchange without issuing an IPO. The circular mainly
provided guidelines for the listing of the SME and a comprehensive checklist that had
to be satisfied by the listing entity. The circular was added to the ICDR (Issue of Capital
Disclosure Requirements). The main aim of the regulator was to provide the SMEs with
the necessary liquidity necessary for the growth of the sector. The platform provided
the SMEs a visibility to the investors and as mandated by the regulator it is required by
the listing entity to comply with the governance norms which makes it easy for the
investor.

Indias 2 biggest exchanges BSE and NSE launched the ITP platform. The compliances
that have to be followed when a company goes public are large and also an intermediary
like an investment banker or merchant banker are required for the book building process
and market making. In the case of ITP the compliances that have to be followed are not
that stringent. Moreover as the transaction that will happen are similar to the one
happening OTC it is not mandatory for having market making on the platform. The
transactions that will happen are to be reported to the exchange. The major advantage
of capital raising is that many fees that involved during the IPO are eliminated in the
case of ITP. Moreover the less stringent compliances means that getting listed becomes
easy and less time consuming.

3.1. Anatomy of ITP

Listing on the Platform

Submit the IM to
Prepare Information
exchange and apply Exchanges Approval
Memorandum (IM)
for listing

According to ICDR Exchange will verify the Company's securities

regulation (Schedule IM are listed
XIX A) and make
it available on its
website
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The entity that wishes to be listed on the platform has to fulfil certain requirements they
are as follows:

i. The company, its promoter, the group company or directors must not be
featured in the list of wilful defaulters list by the RBI, maintained by the Credit
information Bureau, in other words they must have a known proper credit
history
ii. There must not have been or be a winding up petition filed in the court against
the listing entity.
iii. The company, Board, the group company or any subsidiaries must not have
been referred to the BIFR (Board for Industrial and Financial Reconstruction)
within the last 5 years
iv. The company must have at least 1 full years audited financial statements of the
assessment year while filing for listing on the platform
v. The company must not be more than 10 years old form the time of its
incorporation and its revenues must not have been exceeded 100 crores in any
of the previous financial years
vi. No regulatory action has been taken against the company, its promoter or
director by SEBI, Reserve Bank of India, Insurance Regulatory and
Development Authority or Ministry of Corporate Affairs within a period of five
years prior to the date of application for listing
vii. The paid up capital must not have exceeded 25 crores

Apart from the above conditions the company must also fulfil the following conditions
that concern with the existing investment structure. It is mandated that the company
must have at least one of the following funds invested by investors:

a. At least one alternate investment fund, venture capital or lender must have
invested 50 lakhs rupees on the company
b. Angel investor who belongs to an association/ group of angel investors
recognized by stock exchange must have invested at least Rs.50 lakhs

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 c. The listing company must have received project financing or funding for its
working capital requirement from a scheduled bank and a time period of at least
3 years must have been from the time frame of funding received.
d. A registered merchant banker must have carried out due diligence of the listing
company and must have invested at least lakhs into the equity of the company
which will be locked in for a period of 3 years form the date of listing.
e. A QIB must have invested at least lakhs rupees in the company equity which
will be trade locked in for a period of 3 years from the date of listing.
f. A specialized international multilateral agency or domestic agency or a public
financial institution under section 2(72) of the Companies Act, 2013 has
invested in the equity capital of the company.

Trade Eligibility

The Trading on the platform can only be carried out by i) QIBs ii) non institutional
investors like family trusts or non-banking financial institutions registered with reserve
bank of India (RBI) or other intermediaries all with a net worth exceeding Rs.500 crores

Trade Ticket Size

The trade ticket size has been set to a minimum transaction lots of Rs.10 lakhs i.e. if an
investor is interested in investing via the platform the transaction has be at least Rs.10
lakhs. The main purpose behind this is that the investor before investing is willing to

Method to raise capital for the company

The company can raise capital either by issuing a rights issue or by private placement.
The company while listed on ITP cannot issue an IPO on any other exchange.

i. Private Placement

The company wishing to raise capital via private placement can do so with a prior
approval of the shareholders and also the approval of the stock exchange the company
is listed in within 2 months prior to private placement.

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 ii. Rights Issue

In case of rights issue the company can offer rights for the existing shareholders the
right to buy shares at a certain pre fixed price. The company must, however, have the
necessary shareholder approval and the offer letter of the same must be sent to all the
shareholders and the copy of the same must be available on the company website

Exit from the Platform

The listed company can get unlisted from the platform by voluntary exit or by growth
exit

i. Voluntary Exit

Voluntary exit can be done by means of a shareholder vote. The exit may be the decision
of the board of director and the shareholders. The exit may be desired by the board to
issue an IPO on the SME IPO board or the main board or for other reasons.

ii. Growth Exit

If the listed company fulfils any of the following criteria then the concerned company
will have to be compulsorily be delisted:

a) If the paid up capital of the company exceeds Rs. 25 Crores

b) If the market cap of the company is larger than 500 crores
c) If the company has been in the platform for a period of 10 years or more
d) If the company has a revenue of more than 300 crores

Apart from the above conditions the company will be mandated to get delisted if the
company fails to disclose the mandatory disclosures or fails to comply with the
corporate governance norms.

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3.2. Benefits of listing on ITP

a) The main aim of forming the platform was that for the investors and promoters
of start-ups and SMEs. The platform provides for a good exit for the
stakeholders like venture capitals and angel investors of the listing entity by
diluting their share on the exchange and trading them with the other investors.
b) Another major advantage to the shareholders wishing to trade on the platform
is that of tax saving. The government has waved off the long term capital gains
tax which is around 20% and only the Security transaction tax is levied on the
seller of the securities. this is an incentive for the promoters and the investor
wishing to dilute the share in the company
c) The listed securities can be used as currency for Mergers & acquisitions
d) The elimination various compliances eliminate various expenses of the listing
process which makes it a cost efficient way for listing of SMEs and Start-ups,
thus saving up capital.
e) The platform also provides visibility to the Listing Company. The investors
have a hard time to find worthwhile investments in the start-up and SME sector.
The exchange provides for a good marketing by improving visibility to the
interested investors. The mandatory disclosures and the adherence to the
corporate governance compliances provide for better transparency for the
investor, who then can better gauge the future prospects of the business and thus
make an informed decision.
f) The compliance though less stringent than the normal main board or the SME
IPO platform requires the listed company to perform its business activities
ethically thus promoting a healthy and sustainable business environment
g) The employees of the listed companies compensated with ESOPs will be
benefited from the platform they can trade their shares.

3.3. Drawbacks of the platform

a) One of the major drawbacks of the platform is the liquidity of the market.
The minimum transaction size of Rs.10 lakhs will cause the trades to be

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 carried out in lower volumes and the infrequently. This will also remove the
small investors form the picture
b) As it is not mandatory to have market making in the process the other major
difficulty will be that of price discovery of the security being traded. This
can cause miss-pricing of securities being traded on the platform.
c) The platform is major focused on providing the VCs and private equity
investors an exit option. It does provide a effective way for the company to
raise capital.

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 3.4. Comparative analysis ITP vs SME board vs main board

Table 3: Comparison of ITP vs SME Board vs Main Board

Particular ITP SME Board Main Board

Post issue Paid up Capital Upto Rs. 25 Min Rs.1 crores Min Rs.10 Crores
crores upto Rs.25 Crores

IPO underwriting NA Mandatory Mandatory

Track Record Nominal track Relaxed Track Stringent norms

record with Record norms
certain
hygiene
factors

Offer Document Information DRHP DRHP

memorandum

Trading Lots Rs. 10 lakhs Rs. 1 Lakhs Even a single share

can be traded

Reporting Requirement -- Half yearly Quarterly reporting

Reporting

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 4.1. Aim of the research

The main aim of the research is to find the efficiency of the platform. The best proxy
for this purpose is the computation of liquidity of the platform and comparing it with
liquid substitute security or the market index. In this paper the index used is S&P BSE
SENSEX and the liquid security used is Indian Tabaco Company Stock (Ticker: ITC
on BSE).

4.2. Data sampling

For the purpose of understanding the effectiveness of the platform 16 scripts listed on
the platform have been considered and their respective prices of the historical
transactions have been considered. The data has been collected from the BSE website
in the section of historical prices of stock. The prices collected, of all securities, are
form the period since the security has been listed on the platform. The data of the
benchmark security ITC and SENSEX is of the past year.

4.3. Methodology of Research

The Efficiency of the market will be studied with the means of liquidity analysis of the
platform. The relevance of market liquidity arises from its connection with the
institutional organization of a market. Both aspects tend to influence each other and
produce effects on the efficiency of market transactions. As a starting point, let us
consider the characteristics of a liquid market:

Depth: a market is deep when there are orders both above and below the trading
price of an asset.

Breadth: a market is broad when there is a large volume of buying and selling
orders. The spread is large when the order flow is scarce.

Resiliency: a market is resilient if there are many orders in response to price

changes. There is a lack of resiliency when the order flow does not adjust
quickly in response to price swings.

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 All these aspects play a crucial role in the evaluation of the structure of a financial
market. In fact, the availability of liquidity has important consequences both on the
prices of assets, and on the degree of competition between market actors. Abstract
properties may not allow to provide an operational definition of liquidity which can
be confronted with the data. Different sources provide definitions of liquidity that
are not fully satisfactory because they stress a specific aspects different from one
another. According to John Maynard Keynes, an asset is liquid if

"it is more certainly realizable at short notice without loss."

This quotation highlights two aspects, namely the riskiness of the realization of an
asset value, and the presence of a marketplace where negotiations can take place
without adverse price the core point of the concept of liquidity is the possibility to
exchange a given asset in the market without dramatic changes in the prevailing
market price. Sensible empirical implementations of this idea are hard to construct
because the true degree of liquidity is unobservable. In particular, this is well
represented by the difference between the observed transaction price and the price
that would occurred in complete absence of transaction costs.

For the purpose of measurement of the liquidity of the platform there have been 3
major methodologies of measuring have been used.

I. Market efficiency coefficient

II. Volume Based Liquidity Measures

Market Efficiency Coefficient

The Market-Efficiency Coefficient (MEC) was proposed by Hasbrouck and Schwartz

(1988) to distinguish short-term from long-term price changes. Indeed, price
movements are more continuous in liquid markets, even if new information influences
equilibrium prices and consequently, for a given permanent price change, the transitory
changes to that price should be minimal in resilient markets. Resilient markets mainly

16
are those which tend to return fairly fixed returns with minimal fluctuations which
necessarily means it is a liquid market. The MEC in loosely put considers the market
resilience.

The idea behind the construction of this index can be summarized as follows. With high
execution costs, asset markets are characterized by price volatility in excess of the
theoretical volatility of equilibrium prices. Therefore, a more liquid market implies a
smaller variance of transaction prices around the equilibrium price. The reason is that
the difference between actual and equilibrium price in a liquid market is smaller than
what one should observe in an illiquid market. MEC can be computed by the following
formulation:

( )
=
( )

Where;

RT is the variance of logarithmic returns over the longer period,

rt is the variance of the return of the shorter period and

T is the number of shorter periods embedded in the longer period.

MEC should be close to one in more resilient markets (even though, slight lower than
one), in the sense that overreaction and under reaction to new information should be
minimal. Prices of assets with high market resilience may exhibit lower volatility (less
transitory changes) between periods in which the equilibrium price is changing.
Excessive short term volatility/overshooting leads to significantly lower than one MEC
figures. The higher short term volatility of the prices compared to the long term prices
suggests that the markets have a larger short term volatility and thus a poor price
discovery. This can be a loose proxy to indication of inefficient markets with lower
liquidity.

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 Volumetric Measures

A rough measure of liquidity is represented by the traded volume. This consists in the
amount exchanged between market actors in buying and selling activities for a single
asset or for the market as a whole. Some researchers consider trading volume as an
inappropriate liquidity index, though. The reason lies in the issue of double counting
involved. A transaction on the buy side can be also recorded as transaction on the seller
side. A more suitable measure is provided by the ratio between trading volume and
market capitalization. The volumetric measures help in gauging the Depth and the
breadth of the market. For this purpose

4.3.2.1. The liquidity ratio of Hui and Heubel

Hui and Heubel (1984) introduce an additional index that measures the liquidity of a
single asset. As such, it cannot be directly employed for the market as a whole without
using appropriate aggregation techniques. In practice, this index constructs a metric
between the largest price changes divided by the ratio of traded volume to market
capitalization.

Where,

Pmax - maximum price of security in the period under consideration

Pmin - minimum price of security in the period under consideration

V - Volume of security traded

S - Number of outstanding securities

Pavg - Average price in the period

A higher value for the index Lhh implies lower liquidity. A quick inspection of equation
shows the relation of the price change and the traded volume. The denominator makes
us of the turnover ratio which is the monetary volume of the security traded to the
outstanding value of the security. This ratio takes in to consideration the significance

18
of the trading volume. If the volume traded is large in comparison to the outstanding
shares then it is in fact a large trade. This will helps in better explaining the price
sensitivity to the volume of transaction.

The logic behind the formula is that if the Lhh is large then the change in price
compared the traded volume. This shows that the volume traded has low effect on the
price of the security. This indicates that the security that is traded is illiquid as the traded
volume has a lower effect on the price of the security. On the other hand a lower value
of Lhh will suggest that the for a given change in price the volume of the security
changes at a higher degree suggesting a liquid security whose price will change on a
higher degree as the security trading volume is high.

For the purpose of undersetting the liquidity of the ITP through the volume based
measures the Lhh values of all the scripts listed on the ITP have been calculated. This
will help in understanding the effect of volume traded has on the prices of the security.

19
 5.1. Computation of MEC and interpretations

Table 4: MEC of the ITP listed Securities

Script MEC Trade frequency

Madhuban 0.502604344 4.23

K D Trend 2.717073156 3.17
Richway 1.243516751 2.92
Jaisukh Dealers 0.323373079 3.64
Gracious Software 0.244004215 4.38
Cityon 0.426106941 6.66
Sansa 0.759856216 2.77
Has Lifestyle 0.255932287 17.29
Kanak Krishi 0.400599355 4.30
Autumn 0.128033054 3.41
Gokul 2.081355488 13.88
LEAP 1.174615481 37.21
Supernova 0.116440344 1.901
Web Element 3.184439211 5.64
Pranav 2.415022353 3.83
Adhiraj 0.275184788 3.29

The 16 most traded script listed on the ITP have been considered for the purpose of
computation of the market Efficiency coefficient. For the purpose of the time frame
factor T of 10 has been considered. Each security on an average has been traded on
every 4 days. Hence the short term returns have been computed for every 4 days and
the long term returns have been computed for every 40 days

It can be observed that most of the scripts have a MEC bellow well below 1 i.e. most
of them are not resilient and thus not liquid. The frequency of trades that are carried has
also been shown. As explained above a MEC below 1 suggests that compared to the

20
long term volatility in the returns the short term returns are highly volatile suggesting
that the price discovery is not efficiently done. The price fluctuation can be attributed
to the infrequent trades that have been carried out and the thus suggests that the platform
on an aggregate level is failing to value the securities that are traded. This is mainly due
to the absence of market making process. By proper market making process the
securities can be fairly priced and the efficiency of the price discovery can be obtained
(SEBI has issued a paper on the proposed reforms for the market where in the market
making process has been suggested to be made compulsory). Another major factor that
affects the MEC is the ticket size of the transaction which has been set to a minimum if
Rs.10 Lakhs. Hence the trade size is large compared to normal markets.

For the purpose of a reference the MEC of BSE SENSEX and ITC script were computed
and the MECs were 0.958 and 0.967 respectively. The Sensex is an index and hence is
the best yardstick for liquidity measurement.

Abnormalities

Some of the scripts have an abnormally high MEC. This suggests that the returns on
the long term are fluctuating on a higher degree as compared to the fluctuation based
on the short term basis. Mostly all the abnormalities are caused due to excessive high
volatility of the prices in the long term basis. This suggests illiquidity of the markets as
the trades that happen are infrequent and the prices movements are very erratic.

a) LEAP

It can be seen that LEAP has a MEC of 1.12 which is ideally closer to being perfectly
resilient and thus being perfectly liquid. But in this case the MEC measure is not useful
as can be seen from the average number of day after which a trade happens is 37 which
is nearly a trade a month. It can thus easily be concluded that the script is illiquid and
the number of trades happening are very in frequent.

21
b) Web Elements

As can be seen form the plot that the price of the security has been fluctuating
on the long term. The numerator in the MEC takes into account variance of long
term returns and as the price is not stable it is bound to be high thus giving an
abnormally high MEC. The similar reasoning can be given to some of the scripts
that have an abnormally higher MEC as all of them were observed to be newly
listed. The long terms prices will stabilize as the time progress and the long term
prices will be stabilised and the MEC will reduce.

Figure 3: Historic Prices of Web Elements

WEB ELEMENT MEC = 3.184

300

250

200

150

100

50

22
 5.2. Computation of Lhh index of ITP Scripts

Table 5: Lhh values of the listed securities on ITP

Script Lhh
Madhuban 286.34
K D Trend 125.64
Richway 219.14
Jaisukh Dealers 16.82
Gracious Software 10.77
Cityon 320.20
Sansa 152.11
Has Lifestyle 10.21
Kanak Krishi 18.46
Autumn 9.13
Gokul 287.52
LEAP 1.603
Supernova 5.746
Web Element 61.64
Pranav 174.29
Adhiraj 333.82

The above table gives the values of the Hui and Heubel index. The values were
measured between consecutive trades. This is because on an average the trade happens
after every 3 days. Hence instead as the model suggests to use the past 5 days data the
calculation that have been carried out in this paper are based on 3 days. Another reason
for not using the 5 day data was the absence of trades and nearly all the securities trade
infrequently as compared to the main board.

It can be seen from the values of Lhh from the above table that nearly all the securities
are illiquid. This can be concluded by the logic that as the higher the ratio, the higher
the price change relative to the traded volume, and the lower is the liquidity of the
market. In fact, prices appear to be uncorrected with trading volume. The denominator

23
makes us of the turnover ratio which is the monetary volume of the security traded to
the outstanding value of the security. This ratio takes in to consideration the
significance of the trading volume. If the volume traded is large in comparison to the
outstanding shares then it is in fact a large trade. This will helps in better explaining the
price sensitivity to the volume of transaction.

For the purposes of a benchmark for comparison the Lhh index of the ITC stock has
been calculated. The Lhh of ITC came out to be 0.002569. It can be seen that even if,
for the sake of comparison, we consider ITC stock to be a satisfactorily liquid security
all the securities listed on the platform are illiquid, as the Lhh of all the securities are
way larger than that of ITC. This again can be attributed to the fact that the minimum
transaction lot size is Rs.10 lakhs which is large compared to the kind of the security
and the risk involved. The larger transaction size drives away investors and thus the
volume and the depth of trades. The businesses that are listed are mostly in their nascent
stage and hence this increases the risk of sustainability of business as a going concern.
The large risk involved in this market also drives away the trades and transactions
making the platform illiquid.

24
 The liquidity of the platform as seen from the analysis is way too lower than the
normal markets. The market efficiency coefficient (MEC) as calculated for each
script is less than that of SENSEX and ITC stock. Similarly it can be seen that
the Lhh index is higher than ITC for all the scripts. This is mainly attributed to
the statutory application of a minimum lot of Rs.10 lakhs for each transaction.
The non-institutional investor is driven away as the risk involved is high
compared to the minimum trade size required.
The lower sensitivity of price to the size and volume of trades taking place again
corroborates to conclusion that the market is illiquid.
Due to the absence of a proper market making process the securities listed are
not being fairly priced as it is evident from the long term price and hence the
returns fluctuations in some of the newly listed scripts.
The main purpose of the platform is providing for a good exit opportunity to an
investor like a venture capital or a private equity investor. It is evident from the
compliances that have been mandated by SEBI for listing on the platform.
The elimination of the various compliances that are mandated for an IPO are
eliminated and hence the ITP is an economical and a quick way for listing a
start-up or an SME.

25
 Securities and Exchange Board of India (2013). Listing of specified securities
of small and medium enterprises on the Institutional Trading Platform in a SME
Exchange without making an initial public offer, CIR/MRD/DSA/33 /2013
Abdourahmane Sarr and Tony Lybnek (2002). Measuring Liquidity in Financial
Markets, IMF WP/02/232 (2002)
Alexandros Gabrielsen & Massimiliano Marzo & Paolo Zagaglia,
2012."Measuring Market Liquidity: An Introductory Survey," Working Paper
Series 02_12, The Rimini Centre for Economic Analysis
Datar,M.K., Stock Market Liquidity: Measurement and Implications,
Working Paper Series, Fourth Capital Market Conference, 2000, pp.1-11
Jankowitsch, Rainer and Nashikkar, Amrut J. and Subrahmanyam, Marti G.,
Price Dispersion in OTC Markets: A New Measure of Liquidity (April 2008).
EFA 2008 Athens Meetings Paper.
Dr. Ram Jass Yadav, Issues in SME Financing (2010), Bank of Baroda Staff
College
http://www.bsesme.com/markets/StckDaywiseData.aspx?expandable=2&pgid
=SP
https://www.nseindia.com/emerge_itp/emerge_itp.htm

26
 Sample data set and calculation of a single stock have been provided for the reference
purpose so that the calculation that have been carried out can be better understood.
Jaisukh Dealers Ltd
Outstandting Shares to 14141500
date
Average Price 325.407843
Sum of product 2128070415
Turnover ratio 0.462447568
LHH mean 11.08060643
Trade Frequency 3.64
MEC 0.3233

Close No. of Avg Closing

Date Product LHH LOG rt LOG RT
Shares Price
13-Feb-17 327 3100 1013700 14.03622829 326 0.015409 0.006192
10-Feb-17 325 3100 1007500 0 325 -0.00306 -0.01231
23-Sep-16 325 3117 1013025 0 325 0 -0.00615
15-Sep-16 325 3500 1137500 6.235229277 324.5 -0.03432 -0.00615
01-Aug-16 324 3500 1134000 3.696547906 324.5 0.028171 0.028171
14-Jul-16 325 8300 2697500 2.457826462 324.5 0 -0.00309
05-Jul-16 324 9460 3065040 3.462288804 324.5 0.003082 0.003082
04-Jul-16 325 3156 1025700 6.893584869 325.5 -0.00308 -0.00308
30-Jun-16 326 3156 1028856 6.292386609 325.5 0.003082 -0.00309
29-Jun-16 325 3760 1222000 6.361535799 324.5 -0.00308 -0.00308
27-Jun-16 324 3100 1004400 4.114972342 324.5 -0.00309 0
24-Jun-16 325 7500 2437500 0 325 0.003091 0.003091
20-Jun-16 325 7800 2535000 0 325 0 0
17-Jun-16 325 3100 1007500 21.7869612 323 0 0
16-Jun-16 321 5000 1605000 4.405451713 321.5 -0.00309 0
14-Jun-16 322 5000 1610000 16.28352614 323.5 0.006173 0
10-Jun-16 325 3100 1007500 17.16138731 326.5 -0.00308 -0.0155
06-May-16 328 4500 1476000 28.76307741 325.5 -0.00309 -0.05064
03-May-16 323 3100 1001300 17.26755978 324.5 0.003091 -0.07721
28-Apr-16 326 4500 1467000 28.57877158 328.5 0 0
12-Apr-16 331 3100 1026100 40.80445132 328 0 0
30-Mar-16 325 3300 1072500 0 325 0 0
21-Mar-16 325 3800 1235000 18.81439466 323.5 0 0
08-Mar-16 322 3200 1030400 11.04801308 323.5 0 0.003082

27
15-Feb-16 325 8700 2827500 10.79943488 325 -0.00309 0
08-Feb-16 325 3500 1137500 0 325 -0.00933 0.003091
05-Feb-16 325 4500 1462500 0 325 -0.03822 0.009331
01-Jan-16 325 5000 1625000 4.59400691 324.5 -0.02966 0.053725
15-Dec-15 324 4500 1458000 4.608978479 323.5 0.0803 0.083382
09-Dec-15 323 5000 1615000 8.756346749 324 0 0.003082
09-Nov-15 325 5000 1625000 0 325 0 0
05-Nov-15 325 4500 1462500 8.914327205 326 0 0.003082
04-Nov-15 327 5260 1720020 8.914327205 326 0.003082 0.003082
02-Nov-15 325 4500 1462500 80.39019277 317.5 -0.00308 0
29-Oct-15 310 4000 1240000 75.8305396 317.5 0 0.003082
14-Oct-15 325 5000 1625000 3.437866717 324.5 -0.00309 0.003082
13-Oct-15 324 7700 2494800 9.296423089 324.5 0.006173 0.006173
08-Oct-15 325 11250 3656250 12.10101964 324.5 0 0
24-Sep-15 324 3300 1069200 5.978103707 324.5 0 -0.00308
18-Sep-15 325 4000 1300000 7.184649281 326 -0.00308 -0.00308
10-Sep-15 327 8100 2648700 3.870464137 326.5 0.003082 0
09-Sep-15 326 3100 1010600 20.03566635 323 0 0
08-Sep-15 320 10200 3264000 16.82923532 323 0 0
07-Sep-15 326 8200 2673200 16.06621527 328.5 0 0.030305
03-Sep-15 331 8051 2664881 28.66852029 325 0 0.02131
28-Aug-15 319 10551 3365769 17.16107337 322 0 0.030305
25-Aug-15 325 5000 1625000 0 325 0 0.030305
24-Aug-15 325 3800 1235000 35.2275385 322 -0.00308 0.030305
21-Aug-15 319 3750 1196250 29.57486236 322 0 0.018349
14-Aug-15 325 8200 2665000 6.592773893 325 0 0.021375
13-Aug-15 325 5000 1625000 4.872598846 325 0.003082 0.024391
11-Aug-15 325 12860 4179500 8.150600559 326.5 0 0.02131
10-Aug-15 328 3200 1049600 18.65547815 326.5 0.030305 0.015267
07-Aug-15 325 3800 1235000 23.60322117 321.5 -0.009 -0.00599
06-Aug-15 318 9450 3005100 82.46351488 305.5 0.008996 0.008996
05-Aug-15 293 5000 1465000 186.8541161 309 0 -0.009
31-Jul-15 325 3351 1089075 3.916550401 324.5 0 -0.009
29-Jul-15 324 7800 2527200 14.94009447 324.5 -0.01504 0
27-Jul-15 325 10000 3250000 36.25457944 327.5 0.003026 0
23-Jul-15 330 3500 1155000 37.15327303 327.5 0.003017 0.012012
22-Jul-15 325 7200 2340000 18.08626963 322.5 0 0.008996
21-Jul-15 320 5000 1600000 26.81471608 326 -0.00604 0.008996
17-Jul-15 332 14600 4847200 5.700715848 331 0.00905 0.015038
16-Jul-15 330 8000 2640000 5.88897522 330.5 0.005988 0.005988
15-Jul-15 331 6600 2184600 3.10549632 330.5 -0.009 -0.03339
14-Jul-15 330 7200 2376000 6.434974518 330 0 -0.01212

28
 10-Jul-15 330 6200 2046000 9.271898767 330 0.008996 -0.00604
09-Jul-15 330 3100 1023000 13.90784815 329 -0.01504 0
08-Jul-15 328 3100 1016800 4.44233648 328.5 0.015038 -0.0122
07-Jul-15 329 6600 2171400 24.75477099 331.5 0 0
06-Jul-15 334 9200 3072800 13.38361012 330 0 -0.009
03-Jul-15 326 27000 8802000 32.50396176 313 0 -0.00599
02-Jul-15 300 10000 3000000 88.12897576 287 0 -0.00299
30-Jun-15 274 5000 1370000 41.54735134 279 -0.03339 -0.00599
26-Jun-15 284 8600 2442400 12.69982161 284.5 0.01227 0.018349
25-Jun-15 285 11000 3135000 14.53013036 287 0.006079 0
24-Jun-15 289 9500 2745500 25.75396103 292 0.015038 0.006042
22-Jun-15 295 9500 2802500 9.757730016 295 -0.02723 -0.02112
19-Jun-15 295 10151 2994545 79.08810449 305 0.027233 0.006116
18-Jun-15 315 8100 2551500 49.90373029 307.5 -0.009 -0.02112
17-Jun-15 300 15700 4710000 11.40565782 301 0.003008 -0.01824
16-Jun-15 302 5000 1510000 16.48687314 303.5 0.002999 -0.01513
12-Jun-15 305 23500 7167500 37.03937169 313.5 -0.003 -0.01205
11-Jun-15 322 5000 1610000 99.22570166 310.5 -0.00905 -0.01208
10-Jun-15 299 6000 1794000 0 299 -0.00608 -0.01527
08-Jun-15 299 4000 1196000 163.2790907 312 0.012121 -0.00612
05-Jun-15 325 3550 1153750 6.427093335 326.5 -0.01212 0
03-Jun-15 328 16700 5477600 17.99482095 318.5 0 0
01-Jun-15 309 34702 10722918 17.81448257 318.5 0 0.012121
28-May-15 328 17200 5641600 2.674936948 328 -0.00612 0.009105
27-May-15 328 31600 10364800 4.301181255 328.5 0.006116 0.003063
22-May-15 329 8900 2928100 1.684846914 329.5 0.006079 0.006079
21-May-15 330 16600 5478000 4.440270829 331 -0.00303 0.006042
20-May-15 332 32051 10640932 5.370901128 330.5 -0.01223 0.009077
18-May-15 329 8100 2664900 2.597248751 329 0.003072 0.006135
15-May-15 329 8500 2796500 6.38982188 329.5 0.018238 0.018238
14-May-15 330 5000 1650000 3.070234477 330 -0.01212 0.006006
13-May-15 330 9000 2970000 6.108655784 331 0.012121 0.006079
12-May-15 332 12100 4017200 5.326829655 331 -0.00302 -0.01212
11-May-15 330 20300 6699000 2.499381407 330 -0.01216 -0.00303
08-May-15 330 14200 4686000 1.229498932 330 0.009132 0.018182
05-May-15 330 20760 6850800 3.275158789 329.5 0.006042 0
04-May-15 329 18850 6201650 3.521962194 329 0 0.006006
30-Apr-15 329 18100 5954900 4.315650305 329.5 -0.01517 -0.00604
28-Apr-15 330 22100 7293000 4.146125148 330 0.015175 0.015175
27-Apr-15 330 19750 6517500 2.657277613 330 0.006006 0.003008
24-Apr-15 330 12700 4191000 15.45789479 326.5 -0.01205 -0.003
23-Apr-15 323 10000 3230000 13.37605379 326.5 -0.00608 -0.00608

29
22-Apr-15 330 16200 5346000 4.252917088 329 0.006079 0.015129
21-Apr-15 328 14300 4690400 2.883078491 328 0.00905 0.015038
20-Apr-15 328 30700 10069600 1.69180663 329 -0.00905 0.002999
17-Apr-15 330 20300 6699000 2.845830315 330 0.012048 0
16-Apr-15 330 10000 3300000 9.456762228 328 -0.01205 -0.00601
15-Apr-15 326 31800 10366800 8.98374932 330.5 0.006042 0.00905
10-Apr-15 335 26750 8961250 5.974675845 334.5 0.003008 -0.00604
07-Apr-15 334 16400 5477600 9.862554905 331 0 -0.03359
06-Apr-15 328 23370 7665360 14.95532257 331 -0.01513 -0.00905
01-Apr-15 334 3000 1002000 78.97234308 328.5 0.015129 0.009105
31-Mar-15 323 3100 1001300 3.469514066 324 0.005988 -0.00905
27-Mar-15 325 72400 23530000 3.593804562 323.5 -0.00299 -0.03339
26-Mar-15 322 25450 8194900 3.342545196 325 -0.01205 -0.01205
25-Mar-15 328 92550 30356400 3.410614917 324 0.006042 0
24-Mar-15 320 49900 15968000 3.550197734 323.5 0.003008 -0.01517
23-Mar-15 327 74700 24426900 2.869366691 328.5 -0.00905 -0.03982
20-Mar-15 330 77400 25542000 2.443017774 330 -0.02454 -0.00608
19-Mar-15 330 64650 21334500 5.024124617 327 0.024541 0
18-Mar-15 324 49200 15940800 4.470089779 327 0.003026 -0.01527
17-Mar-15 330 78650 25954500 3.388017728 330.5 -0.00303 -0.02447
13-Mar-15 331 37000 12247000 4.736320363 330.5 -0.01835 0.012048
12-Mar-15 330 26900 8877000 8.47345356 326 0.018349 0.01227
11-Mar-15 322 35400 11398800 6.520698111 326 0 0.012048
10-Mar-15 330 45300 14949000 4.012775954 331.5 -0.00913 0.015038
09-Mar-15 333 41200 13719600 3.084933772 332.5 -0.02164 -0.00306
05-Mar-15 332 28660 9515120 4.937529578 331 0.024693 0.030772
04-Mar-15 330 6200 2046000 6.487029455 332 -0.01846 0.006079
03-Mar-15 334 47050 15714700 3.698211406 334.5 0.009274 0.018462
27-Feb-15 335 58500 19597500 3.532495593 334 -0.00617 0.009188
26-Feb-15 333 52000 17316000 2.862129978 330.5 0.033489 0.02144
25-Feb-15 328 23100 7576800 5.419106235 330.5 -0.01813 -0.03349
24-Feb-15 333 41000 13653000 4.20917124 333 0.018127 0.006079
23-Feb-15 333 41700 13886100 3.615457902 332.5 0.00299 -0.01205
20-Feb-15 332 54600 18127200 2.119049229 331 -0.02723 -0.01504
19-Feb-15 330 26700 8811000 4.382321288 332 0.012195 0.00916
18-Feb-15 334 12500 4175000 6.228849489 332 0 -0.00303
12-Feb-15 330 50600 16698000 4.281953116 331.5 -0.00608 0
10-Feb-15 333 40900 13619700 3.576917825 331.5 0 0.006079
09-Feb-15 330 31600 10428000 5.140467785 329 0.006079 0.006079
06-Feb-15 328 10400 3411200 2.621672669 329 -0.02144 0.006042
05-Feb-15 330 39000 12870000 3.99560898 332 0.02144 0.02144
04-Feb-15 334 47800 15965200 4.568648188 333 0 0

30
03-Feb-15 332 28100 9329200 6.279459445 329.5 0 -0.00303
02-Feb-15 327 34700 11346900 5.752918068 329.5 -0.00303 -0.00303
30-Jan-15 332 33800 11221600 3.341116895 332 0 0.009077
29-Jan-15 332 44100 14641200 3.80738072 331 0.003035 0.003035
28-Jan-15 330 24200 7986000 7.025561843 328.5 0 -0.00303
27-Jan-15 327 25200 8240400 7.098065416 329 0 -0.00608
23-Jan-15 331 23700 7844700 3.22109057 331.5 0.006042 -0.00608
22-Jan-15 332 43400 14408800 4.446201128 330 -0.00604 -0.07179
21-Jan-15 328 5000 1640000 5.633655657 330 0 -0.00608
20-Jan-15 332 48800 16201600 4.082846126 329 -0.00303 -0.01527
19-Jan-15 326 47700 15550200 2.573803029 325.5 0 -0.09561
16-Jan-15 325 20300 6597500 4.594404117 327 0.009077 -0.09561
15-Jan-15 329 36600 12041400 3.061587183 329.5 -0.00604 -0.03058
14-Jan-15 330 20100 6633000 3.419282562 329 -0.00303 -0.07878
13-Jan-15 328 56600 18564800 3.302225744 327 -0.00304 -0.08563
12-Jan-15 326 22600 7367600 5.09107078 327 0 -0.08923
09-Jan-15 328 3100 1016800 6.343983276 328 -0.05967 -0.04044
08-Jan-15 328 31300 10266400 3.78876779 328 0.059672 -0.04637
07-Jan-15 328 26300 8626400 8.880285847 330 -0.00919 -0.10604
05-Jan-15 332 13100 4349200 16.00635334 330 -0.08338 -0.1174
02-Jan-15 328 3100 1016800 7.620400951 329 0 -0.04795
01-Jan-15 330 8200 2706000 7.806151262 331.5 0.074108 -0.05147
31-Dec-14 333 13800 4595400 5.460210552 333.5 -0.05424 -0.16142
29-Dec-14 334 41600 13894400 4.425377779 333.5 -0.00988 -0.01653
26-Dec-14 333 46900 15617700 3.406472511 332.5 -0.00664 0.07647
24-Dec-14 332 55300 18359600 4.372753992 333.5 0.04879 0.107359
23-Dec-14 335 54500 18257500 4.961438813 330.5 -0.0656 0.043485
22-Dec-14 326 42100 13724600 3.947620444 330.5 0 0.106038
19-Dec-14 335 56600 18961000 3.046531432 332.5 -0.02055 0.112117
17-Dec-14 330 116301 38379330 2.669114144 329 -0.01394 0.132666
16-Dec-14 328 63974 20983472 3.045494184 326 -0.00351 0.146603
15-Dec-14 324 65418 21195432 7.023997925 329.5 -0.03585 0.153144
12-Dec-14 335 10300 3450500 5.906060169 335 0.090654 0.185965
11-Dec-14 335 63374 21230290 4.063760361 335 0.083115 0.101352
10-Dec-14 335 43700 14639500 3.126700578 335 0.024244 -0.01858
09-Dec-14 335 66950 22428250 2.959014464 335 -0.01508 -0.02732
08-Dec-14 335 80100 26833500 3.318502737 332.5 -0.00304 0.003035
05-Dec-14 330 50800 16764000 3.55039075 332.5 0.006079 -0.00919
04-Dec-14 335 71600 23986000 5.801014829 333.5 0 -0.01835
03-Dec-14 332 3100 1029200 9.604169968 332 0 -0.01527
02-Dec-14 332 24000 7968000 4.895900253 333.5 0.003026 -0.11892
01-Dec-14 335 55600 18626000 3.721061216 334 -0.00303 -0.04007

31
28-Nov-14 333 49300 16416900 4.00808774 331.5 0.006042 -0.01527
27-Nov-14 330 48100 15873000 2.919129008 331 -0.03681 -0.01212
26-Nov-14 332 100800 33465600 1.972727907 332 0.015504 0.015504
25-Nov-14 332 76200 25298400 3.47807629 331.5 0.015267 0
24-Nov-14 331 49250 16301750 4.164884771 330.5 -0.01527 -0.01527
21-Nov-14 330 34050 11236500 3.266100436 332.5 -0.00308 -0.01863
20-Nov-14 335 85100 28508500 3.056266952 335 0.003082 0.003082
19-Nov-14 335 28100 9413500 5.591688485 335 -0.10365 0
18-Nov-14 335 82200 27537000 4.460404296 333.5 0.081879 0.085018
17-Nov-14 332 75800 25165600 2.846288876 333.5 0.021774 0.040067
14-Nov-14 335 45150 15125250 5.712429477 330 0.009188 0.003072
13-Nov-14 325 62750 20393750 0.841066745 325 -0.00919 -0.02469
12-Nov-14 325 93900 30517500 1.278773768 324.5 0 0.003072
11-Nov-14 324 9000 2916000 1.109967191 324 0 0.006135
10-Nov-14 324 109700 35542800 0.591086162 324 -0.01863 0
07-Nov-14 324 113200 36676800 0.43377832 324.5 0.018634 0.015552
05-Nov-14 325 88700 28827500 0.729126207 325 0 0
03-Nov-14 325 92000 29900000 0.951285961 325 -0.01863 -0.00308
31-Oct-14 325 46500 15112500 0.922691965 325 0.036927 0.018634
30-Oct-14 325 48400 15730000 1.412144754 325 -0.01522 -0.06555
29-Oct-14 325 44900 14592500 1.676248163 325 -0.01858 -0.00307
28-Oct-14 325 33700 10952500 2.01457348 325 0.018576 0.021639
27-Oct-14 325 31700 10302500 2.295904623 324.5 0.003063 -0.00307
23-Oct-14 324 6400 2073600 1.526331788 324.5 -0.00613 -0.00613
22-Oct-14 325 50900 16542500 0.954890594 325 -0.00308 -0.00617
21-Oct-14 325 40800 13260000 0.899008906 325 0.003082 0
20-Oct-14 325 56600 18395000 1.809174124 324 -0.00308 0
17-Oct-14 323 16100 5200300 1.905129542 323.5 0.003082 0.003082
16-Oct-14 324 53000 17172000 1.399395705 324 -0.04725 0
14-Oct-14 324 41150 13332600 2.070897344 324.5 0.047253 0.047253
13-Oct-14 325 22500 7312500 3.416458681 324.5 0.006135 -0.00927
09-Oct-14 324 3100 1004400 0 324 -0.00613 -0.00613
08-Oct-14 324 3100 1004400 0 324 0 0
07-Oct-14 324 16200 5248800 38.6116041 324 -0.00617 0.018293
01-Oct-14 324 13100 4244400 17.76760931 311.5 0.003091 0.009245
25-Sep-14 299 58150 17386850 5.472027536 303.5 0.003082 -0.00309
23-Sep-14 308 37550 11565400 13.51815116 314 0 0.009188
22-Sep-14 320 20700 6624000 5.371183813 321.5 0 0
18-Sep-14 323 12250 3956750 2.593734737 323.5 0 -0.00927
17-Sep-14 324 21600 6998400 1.710523928 324 -0.00927 -0.01238
16-Sep-14 324 29750 9639000 1.993417065 324 0.009274 0.009274
15-Sep-14 324 36550 11842200 2.959989953 324 0 0

32
12-Sep-14 324 8100 2624400 1.886904484 324 0.018293 0
11-Sep-14 324 38450 12457800 1.129715804 324 -0.01522 -0.02137
10-Sep-14 324 39300 12733200 1.895049626 323.5 -0.00925 -0.00307
09-Sep-14 323 7000 2261000 1.980646659 323.5 0.015361 0.009245
08-Sep-14 324 37300 12085200 1.393760522 324.5 -0.00919 -0.00919
05-Sep-14 325 57200 18590000 1.555674019 324 -0.00927 -0.00308
04-Sep-14 323 27400 8850200 2.048571142 323.5 -0.00311 0.009274
03-Sep-14 324 37100 12020400 2.536728434 324 0.012384 0.009302
02-Sep-14 324 15000 4860000 1.558068817 324 0 0
01-Sep-14 324 13100 4244400 1.998559416 323.5 0 0
28-Aug-14 323 8800 2842400 2.372007572 323.5 -0.00308 0
27-Aug-14 324 28200 9136800 2.734183641 324.5 0.003082 0.009217
26-Aug-14 325 20000 6500000 3.499303596 324.5 0.003072
22-Aug-14 324 5000 1620000 3.356237749 324.5 -0.00307
21-Aug-14 325 8000 2600000 3.894446575 324.5 -0.00308
20-Aug-14 324 3200 1036800 0 324 0.003082
18-Aug-14 324 5000 1620000 49.12164873 319.5 -0.00308
13-Aug-14 315 3200 1008000 44.57377658 320.5 0.003082
12-Aug-14 326 7800 2542800 0 326 0
06-Aug-14 326 6200 2021200 2.815967357 326.5 0
04-Aug-14 327 9200 3008400 17.6429809 324.5 0.006135

33