RANBAXY LABORATORIES LTD.

Statistical Analysis of Stock Prices

Presented by
Anushka Kiran PGDMB8/03
Arun Vats PGDMB8/05
Kanu Priya PGDMB8/16
Manish Jain PGDMB8/18
Rajnish Yadav PGDMB8/26
Sunil Gaur PGDMB8/38
 Descriptive Statistical Analysis of
Population
  Close Price BSE_SENSEX Open Price
Mean 418.93 10893.13 421.04
Standard Error 2.75 103.44 2.78
Median 401.68 10855.82 403.88
Mode 393.15 #N/A 390.00
Standard Deviation 61.56 2312.94 62.16
Sample Variance 3789.87 5349674.91 3864.10
Kurtosis -0.58 -1.24 -0.60
Skewness 0.68 -0.11 0.68
Range 247.70 7996.53 250.00
Minimum 309.50 6655.56 314.00
Maximum 557.20 14652.09 564.00
Sum 209462.55 5446563.33 210518.88
Count 500.00 500.00 500.00
 Descriptive Statistical Analysis of the
Sample
Open Price Close Price
Mean 408.74 Mean 407.28
Standard Error 10.21 Standard Error 10.11
Median 392.50 Median 397.03
Mode 385.00 Mode #N/A
Standard Deviation 55.91 Standard Deviation 55.37
Sample Variance 3126.37 Sample Variance 3065.61
Kurtosis -0.06 Kurtosis -0.21
Skewness 0.74 Skewness 0.64
Range 215.00 Range 211.90
Minimum 316.00 Minimum 311.05
Maximum 531.00 Maximum 522.95
Sum 12262.25 Sum 12218.35
Count 30.00 Count 30.00

Confidence Level(95.0%) 20.88 Confidence Level(95.0%) 20.67

Variation of the closing price with
BSE price
 Difference between two population
means-small sample
T test
Null Hypothesis: H0: µ1>=µ2
Avg Price of (Closing Price>=Opening Price)

Alternate Hypothesis: H1: µ1<µ2

Avg Price of (Closing Price<Opening Price)

Sample Size:30
 Cont…
t = (X1 - X2) / SQRT ( S^2*(1/n1 + 1/n2))
= -0.10186

Note:
S^2 =[(n1-1)*S1^2 + (n2-1)*S2^2]/(n1+n2-2)
=3095.989
n1= 30, n2=30

t computed = 0.10186
t critical = 1.6991 (5% level of significance )
 Cont..
Here, t critical > t computed

Thus, we will accept the null Hypothesis and

conclude that average Closing price >= average
Opening price.
 Paired T Test
Difference in two population means
(small sample)
Paired T Test is conducted for a small sample
size
of 10 nos.

Sample size of 10 is taken from the population

Closing price after and before the acquisition of
“Terapia by Ranbaxy in May 2006”
 Hypothesis
• Null Hypothesis H0:µ1=µ2
• Alternative Hypothesis H1:µ1≠µ2

Where,
µ1: Population Mean after acquisition
µ2: Population Mean before acquisition
Closing price before and
after Acquisition
CLOSING PRICE

Sr. No. Before Acquisition After Acquisition

1 351.65 365.25
2 550.08 349.45
3 379.8 411
4 442 370.8
5 393.15 398.4
6 439.85 357.4
7 419 414.05
8 357.65 375.05
9 432.75 412.25
10 384.85 345.3
 t-Test: Paired Two Sample for Means
  before acquisition after acquisition
Mean 415.078 379.895
Variance 3316.873396 719.3080278
Observations 10 10
Pearson Correlation -0.248656817
Hypothesized Mean
Difference 0
Df 9
t Stat 1.605150988
P(T<=t) one-tail 0.071461711
t Critical one-tail 1.833112923
P(T<=t) two-tail 0.142923422
t Critical two-tail 2.262157158  
 t-Test: Paired Two Sample for Means
(cont..)

• Calculated "t" is less than critical "t".

• Hence we accept the null Hypothesis i.e.

acquisition has no effect on share price and
population mean after and before acquisition is
the same
 Chi-Square Test
• Null hypothesis: There is 80% or greater
association between Ranbaxy’s closing prices
and BSE sensex
• Alternate hypothesis: There is less than 80%
association between Ranbaxy’s closing prices
and BSE sensex

• NOTE: we have assumed that an association of 80% or more

represents a high dependence.
 Chi Square Test

Observed Expected
  freq. freq. (O-E) (O-E)^2 (O-E)^2)/E

YES 18 24 -6 36 1.5

NO 12 6 6 36 6

 Total 30 30 CHI-SQUARE 7.5

 Inference
• Calculated Chi Square = 7.5
Critical Chi Square = 3.8414 at 5% level of
significance.
• Since, calculated Chi square is greater than
critical Chi Square. Thus ,we reject the null
hypothesis.
• Hence, the degree of association between the
growth of Ranbaxy’s share price and BSE
sensex is very low.
REGRESSION MODEL
Difference high-low No. of Trades per Day
6.1 3614
6.3 2908
6.9 2480
7.45 8999
7.95 2897
9.3 3009

9.5 6256
10.4 6171
10.8 1550
11.45 5373
11.5 1444
11.5 3367
12.4 4841
12.7 1100
14.4 6806
14.5 5069
15.65 7613
18.3 11113
18.6 6285
 Hypothesis
Null Hypothesis:
There is no linear relationship between no. of
trades per day & difference in high and low
value in the population regression line

Alternative Hypothesis:
There is linear relationship between no. of trades
per day & difference in high and low value in
the population regression line
 Summary Output

Regression Statistics

Multiple R 0.470970693

R Square 0.221813394

Adjusted R Square 0.178580804

Standard Error 2382.355489

Observations 20
 ANOVA
Analysis of Variance
Significance
  df     F F

Regression 1 29119884.78 2911988 5.13069 0.036082365

Residual 18 102161118.2 5675618

Total 19 131281003      

Standard
  Coefficients Error t Stat P-value Lower 95% Upper 95% Lower 95% Upper 95%

Intercept 1115.539 1689.846 0.660 0.517 2434.69 4665.77 2434.69 4665.77

difference of high n low 326.958 144.345 2.265 0.036 23.69 630.21 23.69 630.21
 INFERENCE
1) Here, F calculated > F critical
Therefore, we reject the null Hypothesis.

2) In our case R^2 is 0.221.The interpretation is

22% of the variation in no. of trades per day is
explained by difference in high and low price
and about 78% is explained by the residual
term.
 SCATTER DIAGRAM
POSITIVE CORRELATION

scattered data

12000

10000

8000
no. of trade

6000 Series1

4000

2000

0
0 5 10 15 20
difference High-Low
 ANOVA TEST

Null Hypothesis:
Average Closing Price on different week days is
Same

Alternative Hypothesis:
Average Closing Price on different week days is
Different
Closing Price on different week days

S. No. Monday Tuesday Wednesday Thursday Friday

1 394.8 525.1 338.2 404.6 343.2
2 375.9 395.5 381.5 381.7 442.95
3 413.95 502.55 411.15 387.35 351.95
4 554.78 350.1 373.85 416.75 403
5 383.6 406.6 431.5 344 384.85
6 354.75 383.1 399 406.55 427.15
7 402.3 386.65 513.45 473.1 419.5
8 400.85 532.7 508.95 365.35 396.45
9 462.35 349.45 539.95 436.4 539
10 316.85 399.7 412.7 458.4 412.4
 Summary Output
ANOVA:
Single Factor

SUMMARY
Groups Count Sum Average Variance
Monday 10 4060.13 406.013 4169.08
Tuesday 10 4231.45 423.145 4887.993
Wednesday 10 4310.25 431.025 4536.186
Thursday 10 4074.2 407.42 1633.858
Friday 10 4120.45 412.045 2974.687
 Cont..
ANOVA
Source of
Variation SS df MS F Pvalue F crit

Between Groups 4657.7546 4 1164.43 0.31986 0.8631 2.57873

Within Groups 163816.24 45 3640.36

Total 168473.99 49        
 Cont..
Here, F calculated > F critical,
We will reject the Null Hypothesis

Therefore, average closing price on different

weekdays is different.

Also, by comparing the population average

closing price on different week days is
different…as shown in the next slide…
THANK YOU