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A Study on Analysis of Stock Prices of Selected Industries

Preprint · May 2022

DOI: 10.13140/RG.2.2.18095.82085

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 A Study on Analysis of Stock Prices of Selected
Industries
Aashir Gurung, Sanyam Chaturvedi
Jain (Deemed-to-be) University
Jayangar, Bengaluru

Executive Summary
A capital market is a market for securities (debt or equity), where business enterprises
(companies) and governments can raise long-term funds. Among the developing countries
India has received considerable capital inflows in recent years. The factors such as Inflation,
Interest rates, Deflation and Exchange rates influence the stock prices. Among the developing
countries India has received considerable capital inflows in recent years. The Economy of the
country is mainly based on the development of the corporate sectors. A better understanding
of the stock market trend will facilitate allocation of financial sources to the most profitable
investment opportunity. The behaviour of stock returns will enable the investors to make
appropriate investment decisions. The fluctuations of stock returns are due to several economic
and non-economic factors. The study is aimed at ascertaining the behaviour of share returns.
This paper analyses the equity share fluctuations in India Selected Industry. It also measures
the strength of the trend and the money involved in investing in the stocks. Simple moving
average model is applied for selected companies which would give the investor a sell signal or
buy signal.

Speculation involves higher risks to get return on the other hand investment involves no
such risks and returns will be fair. An investor can succeed in his investment only when he is
able to select the right shares. The investors should keenly watch the situations like market
price, economy, company progress, returns, and the risk involved in a share before taking
decision on a particular share. This study made will help the investors know the behaviour of
share prices and thus can succeed.
 NOMENCLATURE

1. SMA Simple Moving Average

2. ARIMA AutoRegressive Integrated Moving Average.
3. ACF Autocorrelation Function
4. PACF Partial Autocorrelation
1. Introduction
The Indian capital Market has witnessed a tremendous growth. A capital market is a market
for securities (debt or equity), where business enterprises (companies) and governments can
raise long-term funds. The capital market includes the stock market (equity securities) and the
bond market (debt). Some factors that affect the share prices are:

1. Inflation: It is the rate of increase in prices over a given period of time. Inflation is
the decline of purchasing power of a given currency over time.
2. Interest Rates: The amount charged, expressed as a percentage of principal, by
amender to a borrower for the use of assets. As interest rates are reduced, more
people are able to borrow more money. The result is that consumers have more
money to spend. This causes the economy to grow and inflation to increase.
3. Deflation: It is the general decline of the price level of goods and services. Deflation
is usually associated with a contraction in the supply of money and credit, but prices
can also fall due to increased productivity and technological improvements.

To main objectives of the research are:

1. To analyse price movements of one year data in the two different sectors by using
Simple Moving Average and Time Series Analysis.
2. To study the current trend of the selected industries.
3. To understand fluctuations of share prices over a period of time.
4. To Study how fluctuations in stock prices influence the buy or sell decision.
5. To understand how options trading affects the volatility in the market.

1
 2. Problem Statement
Analysis of stock market for the assessment of the risk has assumed greater significance in
India after liberalization and to be very specific over the last decade. New investors need to
understand that the stock market is very volatile. Volatility refers to the frequency with which
changes in stock prices occurs over a given period of time. The term ‘volatility’ is often used
in respect of stock market. When the stock market goes up one day, and then goes down for
the next five days, then up again, and then down again, that’s what we call stock market
volatility.

If the new investors want to be a part of the stock market, they should learn how to face the
volatility. Facing volatility means efficient in managing the risk of the investment.

3. Literature Review
1. Shoban Dinesh, Nithin R Rao, S P Anusha and Samhitha R (2021) have examined the research
on Prediction of Trends in Stock Market using Moving Averages and Machine Learning. The
researchers have aimed to focus on overcoming the disadvantage of the moving average
strategy by using of machine learning technique. The tools used were Moving Averages,
Confusion Matrix, Accuracy, Precision, Recall, F1 Score and Regression. The study identifies
the latency of moving averages as a disadvantage and proposes an algorithm to overcome the
drawback.
2. Ajinkya Rajkar, Aayush Kumaria, Aniket Raut and Nilima Kulkarni (2021) have examined the
research on Stock Market Price Prediction and Analysis. The researchers have aimed to focus
on forecasting market trends by monitoring stock movement patterns. The tools used for the
analysis are Fundamental Analysis such as P/E ratios and Technical Analysis such as RSI,
Bollinger Brands, Moving averages, etc. The study concludes with predicted closing prices for
T + 1 day, with a minimal difference between the predicted day change and actual change.
3. B. Kishori and K. Divya (2020) have examined the research on A Study on Technical Analysis
for Selected Companies of BSE. The objective of the study was to study and understand the
historical data regarding price of shares of selected companies of BSE SENSEX. The tools and
techniques of the study were Candlestick Chart, Moving Average, Moving Average
Convergence Divergence (MACD) and Relative Strength Index (RSI). The study found that
Technical analysis helps to predict future share price of a selected companies and also forecast
a trading opportunity for the shares of a selected companies by which we make a perfect
investment decision in the stock market.

2
4. Mohammad Noor, Md. Shabbir and Kavita (2020) have examined the research on Stock Market
Response during COVID-19 Lockdown Period in India. The researchers have aimed to focus
on understanding the stock market response during the COVID-19 lockdown period in India.
The researchers took a sample of 31 companies at random from Bombay Stock Exchange, and
the time period was March-April 2020. In the research study, the market model event study
methodology has been employed to measure the effects of COVID-19. The study finds the
evidence of a positive abnormal return around the present lockdown period and confirms that
the lockdown has a positive impact on the stock market performance until the situation
improves in the Indian context.
5. Jayalakshmi. R and N. Lakshmi (2019) have examined the research on Investors’ Awareness
of fundamental and Technical Analysis for Investments in Securities Market. The researchers
have aimed to study the level of awareness and significance of Fundamental and Technical
analyze among investors for investments in securities markets. The tools used were Z test and
ANOVA. The study concludes that 61% of the respondents belong to the younger generation.
It can be inferred that younger generation does not think much of savings and investments.
6. Sajjan Choudhuri (2019) has examined the research on A Research on Trading of Sensex
Stocks by using RSI. The study compares the return from RSI recommendations and simple
buy and hold strategy returns. The study also aims at testing the RSI tool for its probability of
generating false buy sell signals. The study empirically proved that returns byRSI are much
higher than simple buy and hold strategy. At the same time this study assumed that trading is
done through online sites with zero brokerage.
7. H.Navitha Rani (2019) has examined the research on A Study on Forecasting of Security Prices
using Relative Strength Index (RSI) Selected Companies in India. The objective of the study
is to study the basic concept of security forecasting and the undertaking security forecasting
prices. The tools used for the purpose were Relative Strength Index, Mean, Standard Deviation
and ANOVA.
8. Dev Shah, Haruna Isah and Farhana Zulkernine (2019) have examined the research on
Taxonomy of prediction techniques. The researchers have aimed at tools and problems arising
in predictions of stocks and behavior of market movements for a longer timeframe. In this
research study the authors discussed technical, fundamental, short- and long-term approaches
used for stock analysis like machine learning etc. and some challenges and research
opportunities in this field.
9. Varshini Venu, Dr. Bhavya Vikas and Charithra C M (2019) have examined the research on
Equity Research Using Technical Analysis. The main objective of the study was to identify the
3
 trend of the stock prices of selected companies which are listed in NSE by using Technical
Analysis. The tools used were Simple Moving Average, Rate of Change and Relative Strength
Index. The study concluded that the technical analysis provide clear picture of stock movement
by which trader can make the decision for earn profit.
10. Sharma Rashmi Priya and Sharma Arabinda (2019) have examined the research on Statistical
Analysis of Stock Prices of Selected Companies in Construction Industry. The main objective
of the study was to make a comparative appraisal of stock prices of three selected construction
sector industries. For the analysis of the share price, the tools used were Simple Moving
Average, Money Flow Index, Relative Strength Index and Beta Index. Based on the results
obtained, the study has concluded that stock prices are not normally distributed and the stock
price of Gammon is the poorest performer among all the three.
11. El-Hassan , Anthony Hall , and I. Tulunay (2018) have examined the research on Methods and
Analysis of Collar Strategies. Researchers have examined their strategies with semi-annually
balancing put options to reduce the cost of protection and quarterly balancing OTM call options
with moneyness range from 2% to 7% and that writing 10% OTM call 4 options would not
produce significant positive cash flow. The concepts used in this research were Option
strategies; Collar strategy; protective puts; covered-call; buy write strategy; Equity Index
Portfolio with option strategies; portfolio performance; portfolio management.
12. Izabela Pruchnicka-Grabias (2018) has examined the research on Empirical Study of the
Relative Strength in the Currency Porfolio Construction. The paper dwells on the relative
strength of assets. Its aim is to check if it can be a more profitable strategy than the buy and
hold one. The author tests the portfolio profitability with the usage of the relative value strategy,
comparing it to the buy and hold strategy which is understood here as the purchase of foreign
currency at the beginning of the research period and selling at the end. The study concludes
that the relative strength can be used as the tool of profit maximization compared with the buy
and hold strategy.
13. Pushpa BV, Sumithra C.G and Madhuri Hegde (2017) have examined the research on
Investment Decision Making Using Technical Analysis: A Study on Select Stocks in Indian
Stock Market. The objective of the study is to analyze the share price movement of select
companies to find out returns. MACD and Simple Moving Average were used for the purpose
of the study. The study concludes that indicators such as RSI & MACD gives strong signals as
to the direction in which the company is heading as well as it helps to identify oversold,
overbought and trend reversals. RSI value of 50 and above indicates the company’s shares are
overbought and it is a good signal for selling the stocks.
4
14. Bhargavi. R, Srinivas Gumparthi and Anith.R (2017) have examined the research on Relative
Strength Index for Developing Effective Trading Strategies in Constructing Optimal Portfolio.
The researchers have aimed to focus to provide inputs trading strategies and avoid losses being
suffered by the investor. Relative Strength Index is a powerful analytical tool which is used for
the study. From the results obtained, it is found that RSI is one of the most effective technical
analysis tools available, it can be effectively used to create a portfolio.
15. Shah Nisarg Pinakin and Patel Taral Manubhai (2015) have examined the research on A
Comparative Study on Technical Analysis by Bollinger Band and RSI. The study using two
kinds of technical tool namely RSI and Bollinger Band. In this study, researcher uses secondary
data of seven different companies of three different sectors. Researcher generates buying
signals for the study and average that buying signals. The study concludes that out of two
methods, Bollinger Band comparatively give good return and profit than RSI.
16. Muska Paul Jeevan Kumar (2015) has examined the research on Fundamental and Technical
Analysis of Equities - A Study. The objective of the study is to find the buying signal by using
technical analysis of Bollinger and MACD on selected companies. For the purposed of the
study, Sortino Ratio, Rate of Interest and BETA were used.
17. P. Periasamy and R. Satish (2015) have examined the research on A Study on Relationship
between Indian Commodity Market and Indian Stock Market with Special Reference to
Exchanges in India - An Analytical Framework. This paper examines hedging effectiveness of
futures contract on a financial asset and commodities in Indian markets. In order to analyze the
risk of both past five years historical data in equity market, the Standard deviation and
correlation and Ration analyze have been used were Standard Deviation, Portfolio Risk and
Portfolio Return, Correlation, Relative Strength Index, Simple Moving Average. The Major
conclusion is that there is a positive and healthy relationship between the Indian stock exchange
and the commodity market. The commodity market closely follows the stock market and there
exists a strong bond between themselves.
18. Vimala. S, Saranya P. B. and Saranya. R (2014) have examined the research on A Study on
Analysis of equity Share Price Behavior of the Selected Industries. The researchers have aimed
to focus on analyze the share price behavior of stocks in IT and Health sector. For the analysis
of the share price, the tools used were Simple moving average and Relative strength Index.
Based on the results obtained, the study has concluded that securities market is highly volatile
in nature and investors can invest in the companies which are recovering out of either over
brought or oversold condition.

5
19. Priyanka Vashisht (2012) has examined the research on Comparative Analysis of Traditional
Bull Call Spread With Extended Long Expiry Bull Call Spread In Nifty At Pre-Determined
Entry And Exit Points. Author aim of this research was to enable the Traders to choose between
Traditional Bull Call spread and Extended Long Expiry Bull Call Spread during different
phases of the Market to earn better profits. Time Period chosen for Bull Research was from
January 2008 to June 2011, a total of 42 F&O Expiry months. The concepts used in this
research are Comparison, Traditional Bull Call Spread, Extended Long Expiry Bull Call
Spread, Nifty, Options.
20. Puchong Praekhaow (2010) has examined the research on Determination of Trading Points
using the Moving Average Methods. The researchers have aimed to focus on the development
of trading rule with the model that is invented by the three methods of the moving average as
follows, simple moving average (SMA), weighted moving average (WMA), and exponential
moving average (EMA). Based on the results obtained, the study has concluded that there are
the consistence with market efficiency, and the moving average trading rules make a better
opportunity for buying and selling of the stocks profitable at any time.

6
4. Research Methodology
The research question for the study is the what industry among the selected industries
is the most volatile that the new investors should be aware of. The secondary data related to
stock prices are taken from Yahoo! Finance. The time period selected for the study was
January, 2021 to December, 2021. For the study the top 3 companies under the Finance and
Automobile sectors have been selected. The sectors are identified on the basis of their
contribution to the country’s GDP:
Finance Sector Automobile Sector
Bajaj Finance Ltd Tata Motors Ltd
IDFC First Bank Ltd Maruti Suzuki India Ltd
Muthoot Finance Ltd Mahindra & Mahindra Ltd
Mahindra & Mahindra Financial Hero MotoCorp Ltd.
Service Ltd.
HDFC Bank Ltd. Bajaj Auto Ltd.
Cholamandalam Investment and Ashok Leyland Ltd.
Finance Company Ltd

The following tools will be used for analysis of the share prices:
1. Simple Moving Averages (SMA): Simple moving average is the most commonly used
tool in technical analysis to understand the price movement of securities. The moving
average helps the investor to make decisions whether to buy or sell a particular stock at a
particular point of time. The average value is taken for a pre- determined time period is
considered for analysis of the selected stocks. They create buy or sell signals when the
move across the historical prices of those stocks. Downward penetration of the raising
average indicates a possibility of further fall in the price of a particular stock. It creates a
sell signal. Upward penetration of the falling average indicates the possibility of further
raise in the price of a particular stock. It creates a Buy Signal.
2. AutoRegressive Integrated Moving Average (ARIMA): A popular and widely used
statistical method for time series forecasting is the ARIMA model. ARIMA is an acronym
that stands for AutoRegressive Integrated Moving Average. It is a class of model that
captures a suite of different standard temporal structures in time series data. A statistical
model is autoregressive if it predicts future values based on past values. For example, an
ARIMA model might seek to predict a stock's future prices based on its past performance
or forecast a company's earnings based on past periods. An autoregressive integrated

7
 moving average model is a form of regression analysis that gauges the strength of one
dependent variable relative to other changing variables. The model's goal is to predict future
securities or financial market moves by examining the differences between values in the
series instead of through actual values.
3. Bull Call Spread: In a bull call spread strategy, an investor simultaneously buys calls at a
specific strike price while also selling the same number of calls at a higher strike price.
Both call options will have the same expiration date and underlying asset. This type of
vertical spread strategy is often used when an investor is bullish on the underlying asset
and expects a moderate rise in the price of the asset. Using this strategy, the investor is able
to limit their upside on the trade while also reducing the net premium spent (compared to
buying a naked call option outright).
4. Bear Put Spread: The bear put spreads strategy is another form of vertical spread. In this
strategy, the investor simultaneously purchases put options at a specific strike price and
also sells the same number of puts at a lower strike price. Both options are purchased for
the same underlying asset and have the same expiration date. This strategy is used when
the trader has a bearish sentiment about the underlying asset and expects the asset's price
to decline. The strategy offers both limited losses and limited gains.

8
5. Data Analysis
5.1. Simple Moving Averages
The simple moving average (SMA) for all selected stocks is calculated. The SMA of
every individual stock is compared with its daily closing prices. The following chart s
represents the SMA’s intersection with the closing price of the selected companies.

5.1.1. Bajaj Finance Ltd.

Table 1: Moving Average of Bajaj Finance Ltd . from 1 s t January 2021 to 31 s t
December 2022
Date Open High Low Close Adj Close OHLC MA (3)
1/1/2021 5310.2 5338 4686 4734.55 4726.912 5017.19 #N/A
2/1/2021 4775 5822.2 4666.5 5264.9 5256.406 5132.15 #N/A
3/1/2021 5315 5670 5103.15 5149.85 5141.542 5309.5 5152.947
4/1/2021 5210 5525 4362 5451.9 5443.104 5137.22 5192.957
5/1/2021 5316.3 5794.8 5267 5627.95 5618.871 5501.51 5316.077
6/1/2021 5644 6249 5625.4 6015.85 6006.145 5883.56 5507.43
7/1/2021 6040 6430 5868 6228.1 6218.053 6141.53 5842.2
8/1/2021 6270 7598.8 6057 7524.5 7524.5 6862.57 6295.887
9/1/2021 7525 7999 7320.75 7668.1 7668.1 7628.21 6877.437
10/1/2021 7620 8050 7313.05 7400.2 7400.2 7595.81 7362.197
11/1/2021 7430 7754.4 6678.3 6997.25 6997.25 7214.99 7479.67
12/1/2021 7032.2 7477 6492.6 6977.3 6977.3 6994.78 7268.527

Figure 1: Simple Moving Average for Bajaj Finance Ltd.

BAJAJ FINANCE LTD.

8000
7500
7000
STOCK PRICE (RS.)

6500
6000
5500
5000
4500
4000
1 2 3 4 5 6 7 8 9 10 11 12
MONTH

Share Price Moving Average

9
 The above figure illustrates, the SMA trend line of Bajaj Finance Ltd indicates a
downward penetration with the share price line. This creates a sell signal for the investor since
there is a high possibility for fall in the future prices of the stock. Now, the investor can take a
sell decision and buy at a later point of time.

5.1.2. IDFC First Bank Ltd.

Table 2: Moving Average of IDFC First Bank Ltd. from 1 st January 2021 to
31 st December 2022
Date Open High Low Close Adj Close OHLC MA (3)
1/1/2021 37.05 52.45 36.85 47.2 47.2 43.39 #N/A
2/1/2021 45.8 66.8 43.75 63.45 63.45 54.95 #N/A
3/1/2021 64.35 69.3 55.3 55.7 55.7 61.16 53.16667
4/1/2021 56.2 58.35 47.5 54.7 54.7 54.19 56.76667
5/1/2021 54.2 60.15 53 58.5 58.5 56.46 57.27
6/1/2021 58.55 62 53.45 54.2 54.2 57.05 55.9
7/1/2021 54.35 55 50 52 52 52.84 55.45
8/1/2021 48.65 52.1 40.75 42.95 42.95 46.11 52
9/1/2021 42.95 51.6 42.7 47.65 47.65 46.23 48.39333
10/1/2021 47.2 53.5 46.55 49.5 49.5 49.19 47.17667
11/1/2021 50.4 52.95 44.3 44.6 44.6 48.06 47.82667
12/1/2021 45 52.7 43.55 48.35 48.35 47.4 48.21667

Figure 2: Simple Moving Average for IDFC First Bank Ltd.

IDFC FIRST BANK LTD.

65

60
STOCK PRICE (RS.)

55

50

45

40
35

30
1 2 3 4 5 6 7 8 9 10 11 12
MONTH

Share Price Moving Average

In the above chart, the SMA trend line of IDFC First Bank Ltd. indicates an upward
penetration with the share price line. This creates a buy signal for the investor since there is a
high possibility for raise in the future price of the stock. Now, the investor proceeds to invest.

10
 5.1.3. Muthoot Finance Ltd.
Table 3: Moving Average of Muthoot Finance Ltd. from 1 s t January 2021 to
31 st December 2022
Date Open High Low Close Adj Close OHLC MA(3)
1/1/2021 1215 1311.05 1100.1 1105.85 1086.482 1183 #N/A
2/1/2021 1110.55 1361.6 1090 1299.7 1276.937 1215.46 #N/A
3/1/2021 1297.3 1334.8 1165.9 1205.9 1184.78 1250.98 1216.48
4/1/2021 1222 1265 1121 1157.4 1137.129 1191.35 1219.263
5/1/2021 1155 1319 1135 1311.6 1311.6 1230.15 1224.16
6/1/2021 1318.2 1550 1285.8 1481.65 1481.65 1408.91 1276.803
7/1/2021 1484.95 1616.05 1456.4 1554.75 1554.75 1528.04 1389.033
8/1/2021 1565.9 1638.85 1402.4 1514 1514 1530.29 1489.08
9/1/2021 1527 1564.95 1432 1450.3 1450.3 1493.56 1517.297
10/1/2021 1455 1612 1450.9 1467.75 1467.75 1496.41 1506.753
11/1/2021 1483 1721.95 1390 1426.2 1426.2 1505.29 1498.42
12/1/2021 1449.25 1516 1381 1495.65 1495.65 1460.48 1487.393

Figure 3: Simple Moving Average for Muthoot Finance Ltd.

MUTHOOT FINANCE LTD.

1600

1500
STOCK PRICE (RS.)

1400

1300

1200

1100

1000
1 2 3 4 5 6 7 8 9 10 11 12
MONTH

Share Price Moving Average

In the above figure, the SMA trend line Muthoot Finance Ltd. indicates a downward
penetration with the share price line. This creates a sell signal for the investor since there is a
high possibility for fall in the future prices of the stock. Though there is a slight increase in the
value of the share price the holding period return may turn negative. Now, the investor can take
a sell decision and buy at a later point of time.

11
 5.1.4. HDFC Bank Ltd.
Table 4: Moving Average of HDFC Bank Ltd. from 1 st January 2021 to 31 st
December 2022
Date Open High Low Close Adj Close OHLC MA(3)
1/1/2021 1440 1511.65 1342 1390.5 1384.508 1421.04 #N/A
2/1/2021 1410.25 1641 1401 1534.4 1527.788 1496.66 #N/A
3/1/2021 1564 1600 1450.25 1493.65 1487.213 1526.98 1481.56
4/1/2021 1499.4 1503.65 1353 1412.3 1406.214 1442.09 1488.577
5/1/2021 1393 1520.45 1377.3 1515.85 1509.318 1451.65 1473.573
6/1/2021 1520.3 1527 1455 1497.9 1491.445 1500.05 1464.597
7/1/2021 1502 1545.35 1404 1426.45 1426.45 1469.45 1473.717
8/1/2021 1435 1583.35 1410 1581.4 1581.4 1502.44 1490.647
9/1/2021 1575 1635.5 1528.95 1594.95 1594.95 1583.6 1518.497
10/1/2021 1583 1725 1560 1582.85 1582.85 1612.71 1566.25
11/1/2021 1585 1622 1462 1493.55 1493.55 1540.64 1578.983
12/1/2021 1495 1555.05 1414.1 1479.4 1479.4 1485.89 1546.413

Figure 4: Simple Moving Average for HDFC Bank Ltd.

HDFC BANK LTD.

1650

1600

1550

1500

1450

1400

1350

1300
1 2 3 4 5 6 7 8 9 10 11 12

Share Price Moving Average

The above figure shows the SMA trend line of HDFC Bank Ltd indicates a downward
penetration with the share price line. This creates a sell signal for the investor since there is a
high possibility for fall in the future prices of the stock. Now, the investor can take a sell
decision and buy at a later point of time.

12
 5.1.5. Mahindra & Mahindra Financial Service Ltd.
Table 5: Moving Average of Mahindra & Mahindra Financial Service Ltd.
from 1 st January 2021 to 31 s t December 2022
Date Open High Low Close Adj Close OHLC MA(3)
1/1/2021 176 198.7 149.6 154.75 153.223 169.76 #N/A
2/1/2021 156 224.3 153.05 203.7 201.69 184.26 #N/A
3/1/2021 207 220.7 191 198.95 196.9869 204.41 186.1433
4/1/2021 201 205.3 158.05 161.85 160.253 181.55 190.0733
5/1/2021 159.8 165 150.2 163 161.3916 159.5 181.82
6/1/2021 163.95 173.9 154.25 157.1 155.5499 162.3 167.7833
7/1/2021 157.9 164.3 141.4 151.4 149.9061 153.75 158.5167
8/1/2021 152.1 161.2 138.55 160.15 160.15 153 156.35
9/1/2021 159 187.7 158.95 185.2 185.2 172.71 159.82
10/1/2021 183.95 195.6 176.85 179.5 179.5 183.98 169.8967
11/1/2021 180 206.35 153.7 155.2 155.2 173.81 176.8333
12/1/2021 156.7 169.3 141 148.95 148.95 153.99 170.5933

Figure 5: Simple Moving Average for Mahindra & Mahindra Financial

Service Ltd.

M&M FINANCIAL SERVICES LTD.

220

200

180

160

140

120

100
1 2 3 4 5 6 7 8 9 10 11 12

OHLC MA(3)

In the above figure, the SMA trend line M&M Financial Services Ltd. indicates a
downward penetration with the share price line. This creates a sell signal for the investor since
there is a high possibility for fall in the future prices of the stock. Though there is a slight
increase in the value of the share price the holding period return may turn negative. Now, the
investor can take a sell decision and buy at a later point of time.

13
 5.1.6. Cholamandalam Investment and Finance Company Ltd.
Table 6: Moving Average of Cholamandalam Investment and Finance
Company Ltd. from 1 st January 2021 to 31 st December 2022
Date Open High Low Close Adj Close OHLC MA(3)
1/1/2021 387.65 464.85 387.65 397.85 395.6001 409.5 #N/A
2/1/2021 402 550.95 402 518.9 515.9656 468.46 #N/A
3/1/2021 524.5 579.6 514.05 558.8 557.2126 544.24 474.0667
4/1/2021 566 600.95 503.7 571.75 570.1257 560.6 524.4333
5/1/2021 562.05 590.55 513 549.3 547.7395 553.72 552.8533
6/1/2021 552.9 584.75 511.7 513.25 511.792 540.65 551.6567
7/1/2021 514 532.75 470.05 475.75 474.3985 498.14 530.8367
8/1/2021 473.65 557.45 470 554.05 554.05 513.79 517.5267
9/1/2021 554 620.75 544.1 564.25 564.25 570.77 527.5667
10/1/2021 564 634.05 555.5 614.75 614.75 592.07 558.8767
11/1/2021 630 667.4 524.05 550.5 550.5 592.99 585.2767
12/1/2021 554 589 469.25 520.4 520.4 533.16 572.74

Figure 6: Simple Moving Average for of Cholamandalam Investment and

Finance Company Ltd.

CHOLAMANDALAM INVESTMENT AND

FINANCE COMPANY LTD.
650

600

550

500

450

400

350

300
1 2 3 4 5 6 7 8 9 10 11 12

OHLC MA(3)

The graph illustrates the SMA trend line Cholamandalam Investment and Finance
Company Ltd. It indicates a downward penetration with the share price line. This creates a sell
signal for the investor since there is a high possibility for fall in the future prices of the stock.
Though there is a slight increase in the value of the share price the holding period return may
turn negative. Now, the investor can take a sell decision and buy at a later point of time.

14
 5.1.7. TATA Motors LTD.
Table 7: Moving Average of TATA Motors Ltd. from 1 st January 2021 to 31 s t
December 2022
Date Open High Low Close Adj Close OHLC MA (3)
1/1/2021 12.97 20.14 12.67 17.81 17.81 15.9 #N/A
2/1/2021 18.77 23.38 18.77 21.99 21.99 20.73 #N/A
3/1/2021 22.46 23.7 19.26 20.79 20.79 21.55 19.39333
4/1/2021 21.04 21.24 18.56 19.35 19.35 20.05 20.77667
5/1/2021 19.57 22.39 19.1 21.73 21.73 20.7 20.76667
6/1/2021 21.86 24.27 21.69 22.78 22.78 22.65 21.13333
7/1/2021 22.92 23.14 19.07 19.68 19.68 21.2 21.51667
8/1/2021 19.84 20.64 18.48 19.68 19.68 19.66 21.17
9/1/2021 20.09 22.95 19.64 22.41 22.41 21.27 20.71
10/1/2021 22.5 34.53 22.11 31.58 31.58 27.68 22.87
11/1/2021 32.76 35.38 30.02 30.54 30.54 32.18 27.04333
12/1/2021 31.96 32.88 28.87 32.09 32.09 31.45 30.43667

Figure 7: Simple Moving Average for TATA Motors Ltd.

TATA MOTORS LTD.

35

30

25
STOCK PRICE (RS.)

20

15

10

0
1 2 3 4 5 6 7 8 9 10 11 12
MONTH

Share Price Moving Average

In the above illustration, the SMA trend line of TATA Motors Ltd. intersects its share
price line from downwards during July. This indicated a possible fall in share price in the near
future. The investor can sell to avoid future losses. In the month of October, the trend line
intersects the share price line from upwards which indicates a buy signal. Investor can invest
now to gain profits.

15
 5.1.8. Maruti Suzuki India Ltd.
Table 8: Moving Average of Maruti Suzuki India Ltd. from 1st January 2021
to 31st December 2022
Date Open High Low Close Adj Close OHLC MA (3)
1/1/2021 7654 8329 7170 7206.65 7160.993 7589.91 #N/A
2/1/2021 7265.2 7799 6822.2 6866.15 6822.65 7188.14 #N/A
3/1/2021 6977 7387 6740 6859.2 6815.744 6990.8 7256.283
4/1/2021 6950 6991.5 6415 6455.65 6414.75 6703.04 6960.66
5/1/2021 6430 7100 6400 7086.3 7041.405 6754.07 6815.97
6/1/2021 7107.55 7698 6821 7515.9 7468.283 7285.61 6914.24
7/1/2021 7500 7690 6936 6977.7 6933.494 7275.93 7105.203
8/1/2021 7100 7248.6 6591 6846.1 6802.727 6946.43 7169.323
9/1/2021 6799.95 7521.55 6702.35 7338.05 7338.05 7090.47 7104.277
10/1/2021 7220 7814.8 7090 7482.4 7482.4 7401.8 7146.233
11/1/2021 7401 8368 6990.7 7067.8 7067.8 7456.88 7316.383
12/1/2021 7191 7640 7021 7426.45 7426.45 7319.61 7392.763

Figure 8: Simple Moving Average for Maruti Suzuki India Ltd.

MARUTI SUZUKI INDIA LTD

7800
7600
7400
STOCK PRICE (RS.)

7200
7000
6800
6600
6400
6200
1 2 3 4 5 6 7 8 9 10 11 12
MONTH

Share Price Moving Average

The above figure illustrated the SMA trend line of Maruti Suzuki India Ltd. The stock
price was highly volatile during 2021. The SMA trend line falls during March and August,
indicating a sell signal for the investors. There is an upward penetration with the share price
line from October. This creates a buy signal for the investor since there is a high possibility for
raise in the future price of the stock. Now, the investor proceeds to invest.

16
 5.1.9. Mahindra & Mahindra Ltd.
Table 9: Moving Average of Mahindra and Mahindra Ltd. from 1st January
2021 to 31st December 2022
Date Open High Low Close Adj Close OHLC MA (3)
1/1/2021 725 843.85 723 749.6 741.2568 760.36 #N/A
2/1/2021 753 952.05 741.55 806.4 797.4246 813.25 #N/A
3/1/2021 821 876.2 783 795.25 786.3987 818.86 797.49
4/1/2021 801.5 837.85 738.55 752.55 744.174 782.61 804.9067
5/1/2021 744.9 853 731.1 807.95 798.9573 784.24 795.2367
6/1/2021 813 821.85 762.35 777.7 769.0441 793.72 786.8567
7/1/2021 778 798.75 724.65 743.1 734.8291 761.13 779.6967
8/1/2021 750 803.95 744.6 793.3 793.3 772.96 775.9367
9/1/2021 793.3 822 729.55 803.05 803.05 786.97 773.6867
10/1/2021 800 971.15 787 884.25 884.25 860.6 806.8433
11/1/2021 884.25 979 828.35 835.5 835.5 881.77 843.1133
12/1/2021 836 868.95 797 837.15 837.15 834.78 859.05

Figure 9: Simple Moving Average for Mahindra and Mahindra Ltd.

MAHINDRA & MAHINDRA LTD.

900
880
860
840
STOCK PRICE (RS.)

820
800
780
760
740
720
700
680
1 2 3 4 5 6 7 8 9 10 11 12
MONTH

Share Price Moving Average

The above graph explains the SMA of Mahindra and Mahindra Ltd. It indicates an
upward penetration with the share price line. This creates a buy signal for the investor since
there is a high possibility for raise in the future price of the stock. Now, the investor proceeds
to invest.

17
 5.1.10. Hero MotoCorp Ltd.
Table 10: Moving Average of Hero MotoCorp Ltd. from 1st January 2021 to
31st December 2022
Date Open High Low Close Adj Close OHLC MA(3)
1/1/2021 3115 3520.15 3031 3256.05 3239.967 3230.55 #N/A
2/1/2021 3300 3629.05 3199.8 3224 3208.075 3338.21 #N/A
3/1/2021 3255 3510.9 2902 2913.6 2903.337 3145.38 3238.047
4/1/2021 2949 3009 2741.1 2819.15 2809.22 2879.56 3121.05
5/1/2021 2779.95 3033.4 2766.65 3007.5 2996.906 2896.87 2973.937
6/1/2021 3016.5 3090 2852 2902.6 2892.376 2965.28 2913.903
7/1/2021 2905 2968.95 2740 2763.3 2753.567 2844.31 2902.153
8/1/2021 2770.1 2865.9 2636 2741.85 2741.85 2753.46 2854.35
9/1/2021 2759 2954.45 2702.6 2832.5 2832.5 2812.14 2803.303
10/1/2021 2827.2 2950 2639 2657.1 2657.1 2768.33 2777.977
11/1/2021 2675 2784.8 2424.05 2449.3 2449.3 2583.29 2721.253
12/1/2021 2480 2552 2310 2462.1 2462.1 2451.03 2600.883

Figure 10: Simple Moving Average for Hero MotoCorp Ltd.

HERO MOTOCORP LTD.

3600

3400

3200

3000

2800

2600

2400

2200

2000
1 2 3 4 5 6 7 8 9 10 11 12

Share Price Moving Average

The graph illustrates the SMA trend line Hero MotoCorp Ltd. It indicates a downward
penetration with the share price line. This creates a sell signal for the investor since there is a
high possibility for fall in the future prices of the stock. Though there is a slight increase in the
value of the share price the holding period return may turn negative. Now, the investor can take
a sell decision and buy at a later point of time.

18
 5.1.11. Bajaj Auto Ltd
Table 11: Moving Average of Bajaj Auto Ltd. from 1st January 2021 to 31st
December 2022
Date Open High Low Close Adj Close OHLC MA(3)
1/1/2021 3446 4236.65 3428.25 4005.8 3871.899 3779.17 #N/A
2/1/2021 4064 4361.4 3773.05 3798.7 3671.721 3999.29 #N/A
3/1/2021 3798.7 3985 3497 3670.6 3547.904 3737.83 3838.763
4/1/2021 3704 3966.35 3447 3833.75 3705.6 3737.78 3824.967
5/1/2021 3815 4274 3784.1 4192.8 4052.648 4016.47 3830.693
6/1/2021 4204.9 4347 4030 4133.85 3995.669 4178.94 3977.73
7/1/2021 4141 4250 3750 3829.6 3701.589 3992.65 4062.687
8/1/2021 3874 3898.9 3647.15 3727.85 3727.85 3786.97 3986.187
9/1/2021 3754 3944.8 3680 3832.65 3832.65 3802.86 3860.827
10/1/2021 3820 4050 3665 3707.25 3707.25 3810.56 3800.13
11/1/2021 3721.8 3845 3223.05 3240.3 3240.3 3507.54 3706.987
12/1/2021 3280 3372.45 3027.05 3249.25 3249.25 3232.19 3516.763

Figure 11: Simple Moving Average for Bajaj Auto Ltd.

BAJAJ AUTO LTD.

Share Price Moving Average

4400

4200

4000

3800

3600

3400

3200

3000
1 2 3 4 5 6 7 8 9 10 11 12

In the above figure, the SMA trend line Bajaj Auto Ltd. indicates a downward
penetration with the share price line. This creates a sell signal for the investor since there is a
high possibility for fall in the future prices of the stock. Though there is a slight increase in the
value of the share price the holding period return may turn negative. Now, the investor can take
a sell decision and buy at a later point of time.

19
 5.1.12. Ashok Leyland Ltd.
Table 12: Moving Average of Ashok Leyland Ltd. from 1st January 2021 to
31st December 2022
Date Open High Low Close Adj Close OHLC MA(3)
1/1/2021 95.7 127.25 95.7 110.8 109.7148 107.36 #N/A
2/1/2021 111.9 138.9 108.5 128.85 127.588 122.04 #N/A
3/1/2021 130.7 134.35 107.25 113.5 112.3884 121.45 116.95
4/1/2021 115.25 125.6 106.2 112.7 111.5962 114.94 119.4767
5/1/2021 109.7 128.85 108.3 123.45 122.2409 117.58 117.99
6/1/2021 123.9 132.3 112.4 122.6 121.3993 122.8 118.44
7/1/2021 123.8 137.5 120.8 132.8 131.4994 128.73 123.0367
8/1/2021 134.95 143.3 114.85 122.75 121.5478 128.96 126.83
9/1/2021 122.5 134.5 119.55 133.8 133.146 127.59 128.4267
10/1/2021 133.95 149.7 129 142.4 142.4 138.76 131.77
11/1/2021 142.4 153.5 118.75 119.7 119.7 133.59 133.3133
12/1/2021 120 130.35 117 122.45 122.45 122.45 131.6

Figure 12: Simple Moving Average for Ashok Leyland Ltd.

ASHOK LEYLAND LTD.

Share Price Moving Average

145
140
135
130
125
120
115
110
105
100
1 2 3 4 5 6 7 8 9 10 11 12

The above figure shows the SMA trend line of Ashok Leyland Ltd indicates a
downward penetration with the share price line. This creates a sell signal for the investor since
there is a high possibility for fall in the future prices of the stock. Now, the investor can take a
sell decision and buy at a later point of time.

20
 5.2. Time Series Analysis

Table 13: Time series analysis done based on the statistical approach using
python on the given time periods for all the companies

21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
 In above graphs you can clearly see that the variation is also increasing with the level
of the series. You will see in the later part of this exercise how we handle the variance to
increase the stationarity of the series.

We can also see the graph going up and down at regular interval, that is the sign of
seasonality.

The rolling values appear to be varying slightly, and we can see there is slight upward
trend in standard deviation. Also, the test statistic is smaller than the 10% critical but since
pvalue is greater than 0.05 it is not a stationary series.

Note that variance in the series is also affecting above results, which can be removed
using transformation technique.

Test statistic is smaller than the 1% critical value, which is better than the previous
case. Note that in this case there will be no missing values as all values from starting are given
weights. So, it will work even with no previous values.

There is one more way to obtain better stationarity is by using the residual data from time
series decomposition.

• Though using residual values gives us very good results, but it's relatively difficult to add
noise and seasonality back into predicted residuals in this case.
• So, we are going to make model on the time series(df_log_diff), where we have used log
transformation and differencing technique. This is one of the most popular and beginner
friendly technique. As per our time series analysis 'df_log_diff' is not a perfectly stationary
series, that's why we are going to use statistical models like ARIMA to forecast the data.
• Remember that ARIMA model uses three parameters, 'p' for the order of Auto-Regressive
(AR) part, 'q' for the order of Moving Average (MA) part and 'd' for the order of integrated
part. We are going to use d =1 but to find the value for p and q lets plot ACF and PACF.
• Note that since we are using d=1, first order of differencing will be performed on given
series. Since first value of time series don't have any value to subtract from resulting series
will have one less value from original series
• To figure out the order of AR model(p) we will use PACF function. p = the lag value where
the PACF chart crosses the upper confidence interval for the first time
• To figure out the order of MA model(q) we will use ACF function. q = the lag value where
the ACF chart crosses the upper confidence interval for the first time

40
 Surprisingly, the initial series are stationary; the Dickey-Fuller test rejected the null
hypothesis that a unit root is present. Actually, we can see this on the plot itself -- we do not
have a visible trend, so the mean is constant and the variance is pretty much stable. The only
thing left is seasonality, which we have to deal with prior to modelling. To do so, let's take the
"seasonal difference", which means a simple subtraction of the series from itself with a lag that
equals the seasonal period.

It is now much better with the visible seasonality gone. However, the autocorrelation
function still has too many significant lags. To remove them, we'll take first differences,
subtracting the series from itself with lag 1.

In the end, we got very adequate predictions. Our model was wrong by 4.01% on average,
which is very, very good. However, the overall costs of preparing data, making the series
stationary, and selecting parameters might not be worth this accuracy.

Autocorrelation is a powerful analysis tool for modelling time series data. As the name
suggests, it involves computing the correlation coefficient. But here, rather than computing it
between two features, correlation of a time series is found with a lagging version of itself

When a clear trend exists in a time series, the autocorrelation tends to be high at small lags
like 1 or 2. When seasonality exists, the autocorrelation goes up periodically at larger lags.

This ability to compare the relationship between past and present data points present a
unique advantage. If you can associate the present value to points k periods before, this also
means you can find a link to values that come after k periods.

The only difference is that this method tries to account for the effect the intervening lags
have. For example, at lag 3, partial autocorrelation removes the effect lags 1 and 2 have on
computing the correlation.

While autocorrelation is useful for analysing a time series’ properties and choosing what
type of ARIMA model to use, partial autocorrelation tells what order of autoregressive model
to fit.

However, as we saw earlier, the numerator of the formula is not exactly the same as
covariance. However, the denominator is similar to the variance of original time series, but
without ‘N-1’ in denominator. Hence, computing the covariance of the brown and green

41
rectangle and dividing it by the variance of the original time series doesn’t give us the
autocorrelation coefficient.

Breaking down the autocorrelation formula into fragments and implementing it in Python
helped us understand it better. We saw how the covariance in the numerator is calculated
between the current and the lagged versions of time series. Hence, it is important to know
what’s under the hood to understand a concept better, be it a machine learning algorithm or a
concept in statistics.

42
6. Findings
From the above analysis, it is found that:

1. The majority of the companies in the Finance sector’s shares are to be sold and be
purchased at a later date.
2. However, in case of the Automobile sector, majority of the companies’ share should
be purchased and sold at a later date.
3. Bajaj Finance Ltd., Muthoot Finance Ltd., Tata Motors Ltd., Ashok Leyland Ltd.
experienced a huge growth in their shares.
4. Bajaj Auto Ltd. and Hero MotorCorp Ltd. share prices are dropping at a quick pace.
5. Cholamandalam Investment and Finance Company Ltd. and Maruti Suzuki India
Ltd. share prices had a turbulent 2021.
6. The increasing mean and standard deviation may be seen in the graph above,
indicating that our series isn’t stationary
7. We can’t rule out the Null hypothesis because the p-value is bigger than 0.05.
Additionally, the test statistics exceed the critical values. As a result, the data is
nonlinear.

Finance professionals use forecasts to make financial plans. Investors invest their hard-
earned capital in stocks with the expectation of gaining from their investment through a
positive payoff [4]. Since having an excellent knowledge about share price movement in
the future serves the significance of fiscal professionals and investors. This familiarity
about the future boosts their confidence by way of consulting and investing. But these
movements predict the share prices without proper forecasting methods, only for the
interest of the financial professional and investors. There are many forecasting methods in
projecting price movement of stocks such as the Box Jenkins method, Black-Scholes
model, and Binomial model.

43
7. Suggestions
The securities market is highly volatile in nature. Inspire of its volatility the investor
has chances to make comfortable profits with the help of moving average trend line and the
relative strength Index trend lines. This trend line helps the investors to decide on either to hold
or to buy or to sell the scripts at a determined period of time.

1. In the Finance Sector, the script of IDFC Bank has a wide possibility to grow in the
near future. The investor can continue to invest or hold the scripts for some more
time.
2. In the Automobile Sector, Mahindra & Mahindra Ltd., Maruti Suzuki, TATA
Motors have wide possibilities to grow in the near future.
3. The Rise of those scripts range between 30 – 70 which provides a clear picture that
they are neither overbought nor oversold.
4. Investors should sell and buy later for Finance Ltd, Muthoot Finance Ltd, Mahindra
& Mahindra Financial Service Ltd, HDFC Bank Ltd. And Cholamandalam
Investment and Finance Company Ltd.
5. In case of the Automobile Sector, Hero MotoCorp Ltd., Bajaj Auto Ltd., Ashok
Leyland Ltd. Shares should be sold and purchase at a later date.

The time series forecasting methods generally classified into two groups based on
statistical concepts and computational intelligence techniques such as neural networks (NN) or
genetic algorithms (GA). Statistical time series forecasting methods are subdivided as:

• Exponential smoothing methods

• Regression methods
• Autoregressive integrated moving average (ARIMA) methods,
• Threshold methods
• Generalized autoregressive conditionally heteroskedastic (GARCH) methods.

In phase1, the quarterly average of all closing point for the top four companies and
Nifty-50 is calculated and it is represented in the above Table. It shows the graphical
comparison for all the indices based on the quarterly average. In the above said figure all the
series are stationary and it is also non-linear. The data appears to fluctuate around a constant
mean, so differencing is not needed for all the indices. The Autocorrelation functions and
Partial auto correlation functions are applied to identify the model i.e., AR, MA or ARMA.

44
8. Conclusion

Market watchers see high volatility as a sign of investor nervousness which, in the
counter-initiative world of market, is of course bullish. The investors can invest in the
companies which are recovering out of either over brought or oversold condition since there
might be a definite trend reversal in those stocks. It is also advised for the investors to hold the
stock which keep fluctuating unless until the stock follows definite bearish or bullish trend.
Therefore, the investor can make investment not only following a particular indicator but by
confirming the signal with several indicators for better returns.

We discussed different time series analysis and prediction methods. Unfortunately, or

maybe luckily, there is no one way to solve these kinds of problems. Methods developed in the
2021 are still popular, along with LSTMs and RNNs (not covered in this article). This is
partially related to the fact that the prediction task, like any other data-related task, requires
creativity in so many aspects and definitely requires research. In spite of the large number of
formal quality metrics and approaches to parameters estimation, it is often necessary to try
something different for each time series. Last but not least, the balance between quality and
cost is important. As a good example, the SARIMA model can produce spectacular results after
tuning but can require many hours of time series manipulation while a simple linear regression
model can be built in 10 minutes and can achieve more or less comparable results.

45
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