Saturday, October 25, 2014

Beta, SCL with bulk NSE data

As a continuation of the previous post on calculating beta, we test the model with the closing share prices of 44 companies that are a part of the CNX Nifty index.

Instead of following the Yahoo Finance based data collection strategy shown in the sample program of the text book, we have written our own data extraction routine based on Quandl. Note that
niftStks04_* is a set of four lists that have names of NIFTY companies for which we have data from 2004
niftStks09 is a list of names of NIFTY companies for which we have data from 2009
niftStks13 is a list of names of NIFTY companies for whch we have data from 2013

For the purpose of our exercise we have used data from 2009 onwards so that we have excluded the last list.

As a sanity check, we have extracted the CNX Nifty data, twice, once along with the company share price data and once as a standalone data with the corresponding dates. By laying out this data side-by-side in the Close01 data.frame through a cbind, we can see the dates of the closing prices of the company data.

   setwd("C:/Users/admin/Desktop/Data Analytics/QuantitativeFinance/QFLabs")


Cstartdate = '2009-06-01'
Cenddate = '2014-06-01'
IIR00 <- Quandl('BCB/17901', trim_start = Cstartdate, trim_end = Cenddate)
IIR00$Value <- IIR00$Value/1200
NIFTY <- Quandl("NSE/CNX_NIFTY", trim_start = Cstartdate, trim_end = Cenddate, collapse="monthly")
NIFTY01 <- NIFTY[,c('Date','Close')]

nifStks13_1 <- c("COALINDIA","HEROMOTOCO","SSLT","INFY")


comps <- c("CNX_NIFTY",nifStks04_1,nifStks04_2,nifStks04_3,nifStks09_1)

Close <-, function(x) {
  NSEx <- paste("NSE", x, sep = "/")
  Quandl(NSEx, trim_start = Cstartdate, trim_end = Cenddate, collapse="monthly")$Close

Close01 <- cbind(NIFTY01,Close)

IIR01 <- IIR00$Value

logreturn1 <- function(x) log(head(x,-1)/tail(x,-1))
##riskpremium <- function(x) logreturn1(x) - head(IIR01,-1)
riskpremium <- function(x) logreturn1(x) - IIR00$Value

Returns <-,2,riskpremium))


r <-t(sapply(comps, function(comp)
  c(beta = lm(Returns[,comp] ~ riskpremium(NIFTY01$Close))$coefficients[[2]],
    mean = mean(Returns[,comp]))
r1 <-
plot(r1$beta, r1$mean)
abline(lm(r1$mean ~ r1$beta), col = 'red')

Once the program is run, the following graph is generated


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