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A Study of Risk and Return of Different

Capitalisation Stocks in different Phases of
Stock Market during 2007-2009 in India
- Mrunal Chetan Joshi (joshimrunal@yahoo.com)
Abstract
Stock Market is ever green field for Investment and good choice of investment provides very
lucrative scope. But it is very difficult to select companies for investment as there are number
of companies listed in different stock exchanges. In this paper I have tried to catagorise
different stocks on the basis of Market Capitalisation and study them on the basis of
performance of different Indices of Bombay Stock Exchange related to different Capitalisation
Stocks i.e. Sensex for Large Cap Stocks, Mid Cap Index for Mid Cap Stocks and Small Cap Index
for Small Cap Stocks. For my study I have used daily value of selected Indices from January 2007
to December 2009. In this study I have found that there is no major difference in risk and return
of different capitalisation stocks, but there is significant difference in risk and return of same
stocks in different phases of stock market i.e. Bearish Trend, Consolidation Period and Bullish
Trend.
Introduction
In todays dynamic environment when environmental factors are continuously changing at
global level it is very important for all organizations and even Individuals to get adjusted with it.
All these dynamic factors are also responsible to affect Economic aspect of Nation,
Organizations and Individuals too. For individual it is very important to take Investment decision
for continuous rise in his Economical wealth. When one is investing his personal savings it is
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very important to consider inflation rate to measure the real rate of return
1
. There are number
of investment avenues to invest. Some of these investment avenues are Bank Deposits, Post
Office Schemes, Company FDs, PPF, Bonds, Equity shares, Mutual Funds, Real Estate, Precious
Metals etc.
Out of these entire alternatives equity share are representative of growth of different
Companies and Industries in Indian economy. Equity share are operated through primary
market (New Issue Market) and Secondary market (Stocks Exchanges). To invest in Equity share
Market there are number of companies, Mutual Funds and derivatives through which we can
invest, but investment decisions plays very important role. Kinds of shares in the stock market
have their various the bases like type of Business, Turnover and Value etc. Each types of share
do not perform in similar manner, specifically during different phases of Stock Market. One of
the important bases to categories shares is its Capitalisation.
Capitalisation
Capitalisation means total number of shares issued by company multiplied by share value.
There are mainly three kinds of Capitalisation Large Cap Stocks, Mid Cap Stocks and Small Cap
Stocks. One of the ways to determine this capitalisation is as follow. Generally the biggest
companies with a market capital of more than $10 billion are considered to be large cap stocks.
The range for determining the mid cap stocks is between $ 2 billion to $ 10 billion. Companies
that have a market capitalization of the less than $ 2 billion are grouped under the small cap
stocks. These capitalisations may vary from stock exchanges with in the same country or among
different countries stock exchanges.
Bombay Stock Exchange and its Indices
Bombay Stock Exchange (BSE) is the largest stock exchange in India in terms of highest number
of companies listed with the stock exchange. If you consider the market capitalization of the
companies listed with BSE even then the stock exchange is the largest in the country. BSE has

1
Real rate of return is equal to actual return minus inflation rate
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established number of indices, which indicates performance of overall stock market or specific
stocks related to those indices.
In 1986 BSE came out with Index called SENSEX Sensitivity Index. SENSEX is a basket of 30
constituent stocks representing a sample of large, liquid and representative companies. The
base year of SENSEX is 1978-79 and the base value is 100. BSE introduced the new index series
called 'BSE MID-Cap' index and 'BSE Small-Cap' index to track the performance of companies
with relatively smaller market capitalization. Base year of these indices would be 2002-2003
and Base index value would be 1000 for each of these indices. These three indices daily value
has been used in my research work.
Return
Return is yield plus capital appreciation, if any. The difference between the purchase price and the sale
price is capital appreciation and yield is the interest or dividend divided by its purchase price. There are
two concepts of return one is actual return and other is expected return. Actual return can be calculated
only after realization of return. Expected return is average rate of return. In calculation of average rate
of return there are different concept like arithmetical mean and geographical mean. I have used
arithmetical mean. Calculation of arithmetical mean is as follow.
Expected return = arithmetical mean =

Where, = summation of return () of all individual period
= number of observations for which return has been measured
Volatility/Risk
Risk is the potential that a chosen action or activity (including the choice of inaction) will lead to a loss
(an undesirable outcome). The notion implies that a choice having an influence on the outcome exists
(or existed). Potential losses themselves may also be called "risks".
In finance, risk is the probability that an investment's actual return will be different than expected. This
includes the possibility of losing some or all of the original investment. In a view advocated by
Damodaran, risk includes not only "downside risk" but also "upside risk" (returns that exceed
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expectations). Some regard a calculation of the standard deviation of the historical returns or average
returns of a specific investment.
Risk or volatility can be measured through standard deviation or co-efficient of variance. When
observations are in absolute term standard deviation is not much useful, than co-efficient of variance
should be used. In this research observation is daily return percentage hence standard deviation is used
to measure risk or volatility of return. Formula for standard deviation is

Literature Review

Schwert (1988) has also used standard deviation to measure risk. He had shown that the
standard deviation of both stock returns and industrial production growth are higher during
recessions than during expansions.
Schwert William G. (1990) has used daily return for his study. He had focused on the effect of
the 20 percent drop in stock prices on the volatility of stock market return. He had analysed the
behavior of daily returns before and after the 1987 crash was unusual relative to the experience
of over 100 years of daily data. While the 1987 crash was the largest one day percentage
change in prices in over 29000 observations, it was unusual in that stock market volatility
returned to low pre-crash levels quickly.
Ahmed Gauher and Syed Abdul Malik (2009), he had stated in his study that according to the
Indian establishments, India is not going to be much touched by the crisis if growth rate of
some 8 to 9 percent is going to hold good. But according to the first or preliminary symptoms,
the Indian Economy is also going to be hit by the crisis, as already there is a crisis of liquidity in
the economy and the estimates of the growth rates are also being lowered.
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Kawai (2008), Sub-prime story: Bubble burst in 2008, collaps of the financial system of US,
affected global level.
Ravishankar B. and Mahesh Rajgopal (2009), has descibed several stages of financial crises in
US in following way:
1. Initial subprime crisis (June/July 2007)
2. Spillovers into other credit markets (July/August 2007)
3. Liquidity squeeze and forced reinter-mediation (August 2007)
4. Broad-based financial sector strain (Sept/Nov 2007)
5. Growth fears and dysfunctional markets (Jan/Feb 2008)
6. Continued deleveraging and deteriorating credit cycle (March-Sep. 2008)
7. Collapse of Investments Banks such as Merril Lynch etc.
The BSE Sensex has continued to bleed more out of panic and psychological reasons than for
others. In last few weeks (3-4) his study period BSE Sensex fell by almost 15%. It is also due to
shortage and dries up of capital from FII and FDI. I have also selected same period for my study.
Sandeep Kumar and Sweta Bakshi (2009), 1.3% industrial growth is the lowest IIP (Index of
Industrial Production) data ever registered since last ten years. April-august growth is 4.9%
which also lowest for the first five months of the financial year in 14 year period except 1998
and 2001. The Industrial growth in August of 2008 plummeted to mere 1.3% compared to
same month in 2007. This industrial slow down affected transport service too. Global recession
will also lead to less tourists coming to India. That will negatively affect tours and travels
industry. The global recession affected IT, automobile industry and export oriented firms
adversely.
Louis K.C.Chan, Jason Karceski and Josef Lakonishok (2000), Operating performance of large cap
growth stocks in last few years can not have been trigger for their huge stock returns. Over the
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period 1996-98 period, large-cap growth stock earned a return of 34% a year, but their
operating performance for this period was not outstanding when compared with the past. The
growth rate (in terms of sales) for the three years was 6% a year but he average for these
companies was 10.3% for the entire sample period. It is not easy to continuously perform at
higher rate or increasing rate. The same thing happens with large-cap companies. They also
observed that Small-cap stocks have historically outperformed large-cap stocks and value
stocks have had higher return than growth stocks. For the selected period they have found that
small-cap stocks did well and small-cap value stocks did particularly well.
Poshakwale, S., & Theobald, M. (2004, May 8), The lead/lag relationship between portfolios
comprising large and small cap firms is analytically derived in terms of their speeds of
adjustment and degrees of thin trading. Using a number of Indian equity index series that differ
in their market capitalization characteristics, large cap indices are found to lead small cap
indices and to have higher speeds of adjustment towards intrinsic values.
Objectives
Primary Objectives
To know the risk and return of different capitalisation Stocks during different phases of
Indian stock market in India.
Secondary Objectives:
To study the movement of different indices of different capitalisation for the selected
period.
To know risk and return related to different stocks of different capitalisation during
different phases of stock market
To analyze volatility of different capitalisation stocks during different phases of stock
market in India
To identify most risky capitalisation stock with its return relationship
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Research Methodology
Type of Research:
For my study I have applied Descriptive Research design, which helped me describing the fact
on the basis of my analysis of secondary data. I have collected daily price data of different
Indices of different Capitalisation of BSE i.e. Sensex, Mid-Cap Index and Small-Cap Index.
Analysis have been done on the basis of daily return, which is calculated on the basis of daily
price data.
Population:
For this study my population includes all different stocks of different capitalisations and value
of their daily prices which determines risk and return related to them from the date of their
listing in Stock Exchanges in India.
Sampling and Sample Frame:
For this study I have applied Judgmental Sampling. For study of different Capitalisation stock I
have selected different indices of Bombay Stock Exchange i.e. Sensex, Mid-Cap Index and Small-
Cap Index which may properly represents them. I have observed the period from 1
st
January
2007 to 31
st
December 2009 i.e. two year daily value of selected indices. This period represents
different phases of Stock Market viz. Bearish Trend, Consolidation Period and Bullish Trend.
Sample:
After determining two years period and careful study of chart of daily values of different indices
i.e. Small-Cap, Mid-Cap and Sensex, I had selected a particular period from 10
th
Sept 2008 to
19
th
May 2009, from the observed the period (1
st
January 2007 to 30 November 2009) for detail
analysis on the basis of certain concepts of technical analysis.
Data Collection
Secondary data of daily prices of different capitalisation stocks are collected from internet,
website www.bseindia.com.
Data Analysis
First of all I have used Technical analysis for the selection of data out of the Sample Frame. In
which support line and resistant line has been drawn on the basis of subjective analysis of trend
lines of selected Indices of different Capitalisation Stocks.
For the calculation of Return I have used Arithmetical Mean which represents expected return
and Risk is calculated on the basis of deviation from mean. Here standard deviation has been
used for calculation of risk.
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For study of significant difference in Return and Risk ANOVA has been used with the use of
statistical computer package SPSS (Statistical Package for Social Science).
Interpretation and Analysis of Data
For my study of performance of different Indices of different Capitalisation during different
phases of Stock Exchange, I have observed two years data of sensex, Mid-Cap and Small Cap
index of BSE. For two years time period I have selected time period from 1
st
January 2007 to 30
November 2009. I have collected daily value of selected indices representing different stocks of
different capitalisation. Than after I have calculated daily return percentage for all indices for
every day, as it is very difficult to work with absolute data. Following chart represents all those
values.
Figure: 1

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MidCap Sensex SmalCap
A B C
C
V
D
1
2
3
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Out of selected period it has been observed that on 10
th
Sept 2008 (Line A in the Figure)
onward Bearish Trend has been started. We can observe that resistant line (Line 1,2 and 3 for
Mid Cap, Small Cap and Sensex respectively, in the Figure) has been cross in each capitalisation
and Bearish Trend continued up to 3
rd
Dec 2008 (Line B in Figure), after which we can observe
that again trend has established new support (not marked in the figure) below which it had
hardly move and remain less fluctuated up to certain period of time i.e. 12
th
March 2009 (Line C
in Figure). After this Consolidation Period again all Indices have cross previous resistant line
which became Support Line (Line 1,2 and 3) from which Bullish Trend Started and market trend
moved up continuously with new support levels till 19
th
May 2009 (Line D in Figure).
Hence we can select this particular period from 10
th
Sept 2008 to 19
th
May 2009, from the
observed the period (1
st
January 2007 to 30 November 2009) for detail analysis, which also
properly represents different phases of Stock Market. With use of the technical analysis we can
divide selected period in basically three parts i.e. three different Phases: Bearish Trend,
Consolidation Period and Bullish Trend. As my objective is to study Stocks of Different
Capitalisation Stocks during different phases of Stock Market; collected data of different Indices
like Sensex, Mid-Cap Index and Small Cap index of Bombay Stock Exchange would be useful for
my study.
For analysis of collected data following Statistical Analysis has been done with the help of SPSS
software.
Univariate Analysis of Variance
Table: 1 Between-Subjects Factors
Value Label Number of Observations
Indices


1
Sensex Return 162
2
Mid-Cap Return 162
3
Small-Cap Return 162
Time Period 1
Bearish Trend 168
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2
Consolidation Period 192
3
Bullish Trend 126

From above table we can observe that total number of data for each Index for the selected
period is 162 working days return. For different phases like Bearish Trend, Consolidation Period
and Bearish Trend number of observations were 168, 192 and 126 respectively.

Descriptive Statistics
Table: 2 Dependent Variable: Return
Indices Time Period Mean Std. Deviation N
Sensex Return



Bearish Trend -.8017 4.88829 56
Consolidation Period -.0721 2.57563 64
Bullish Trend 1.4420 3.41796 42
Total .0683 3.80753 162
Mid-Cap Return



Bearish Trend -1.1671 5.07494 56
Consolidation Period -.1265 1.80217 64
Bullish Trend 1.2346 2.15057 42
Total -.1333 3.47949 162
Small-Cap Return



Bearish Trend -1.3152 2.78056 56
Consolidation Period -.1793 1.80399 64
Bullish Trend 1.2462 2.38170 42
Total -.2024 2.51745 162
Total



Bearish Trend -1.0947 4.35259 168
Consolidation Period -.1260 2.08201 192
Bullish Trend 1.3076 2.68673 126
Total -.0892 3.30885 486

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For the selected period mean return and standard deviation for different indices during
different period and their total is calculated in above table. In the same manner during the
particular period what was descriptive statistics is given at last part of the table.

From above statistics we can say that Bearish period is most risky period as the standard
deviation of it is maximum i.e. 4.35 compare to all other period i.e. 2.08 and 2.68 for
Consolidation Period and Bullish Trend respectively.
In similar manner we can also observe that the risk in Large Cap Indices (Sensex) is highest in all
different phases than Mid Cap and Small Cap Indices, but at the same time return is also highest
in Sensex compare to other indices during all the phases of Stock Market.
Tests of Between-Subjects Effects
Table: 3 Dependent Variable: Return
Source Type III Sum of Squares df Mean Square F Sig.
Corrected Model 425.259(a) 8 53.157 5.191 .000
Intercept .396 1 .396 .039 .844
Indices 6.378 2 3.189 .311 .733
Time Period 415.925 2 207.963 20.308 .000
Indices * Time Period 2.926 4 .731 .071 .991
Error 4884.750 477 10.241
Total 5313.872 486
Corrected Total 5310.009 485
a R Squared = .080 (Adjusted R Squared = .065)
Above table represents two-way ANOVA table. The F-ratio for Indices 0.311 and p-value is 0.733
which is not less than 0.05. The F-ratio for Time Period is 20.308 and p-value less than 0.5.
Therefore it can be said that the effect of Indices is not significant whereas effect of Time
Period is significant. The F-ratio of Indices by Time Period interaction is 0.071 and associated p-
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value is very high i.e. 0.991 which is not less than 0.05. Thus, the Indices by Time Period
interaction effect (Indices * Time Period) is also not statistically significant.
Above table is very important for analysing the variation in return of different indices due to
type of the stock or due to time period or due to combine effect. F statistics and significant
value assist in determining the significant effect on variation in return. Out of above table we
can derive conclusion that there is no significant difference due to Indices or combine effect of
Indices and Time Period, but of course there is significant effect of time period as separate
variable. There is significant difference in different time period return divided in three parts. For
the detail analysis post hoc analysis is very useful to identify detailed significant difference in
return of different indices and during different time period.

Estimated Marginal Means
Table: 4 Grand Mean
Dependent Variable: Return
Mean Std. Error
95% Confidence Interval
Lower Bound Upper Bound
0.028991 0.14741 -0.26066 0.318644


Table: 5 Indices
Dependent Variable: Return
Indices Mean
Std.
Error
95% Confidence Interval
Lower Bound Upper Bound
Sensex Return 0.18942 0.255321 -0.31227 0.691112
Mid Cap Return -0.01965 0.255321 -0.52135 0.482039
Small Cap Return -0.08279 0.255321 -0.58448 0.418901

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Table: 6 Time Period
Dependent Variable: Return
Recession
Mean
Std.
Error
95% Confidence Interval
Lower
Bound
Upper
Bound
Before Recession -1.095 .247 -1.580 -.610
During Recession -.126 .231 -.580 .328
After Recession 1.308 .285 .747 1.868


Table: 7 Indices * Time Period
Dependent Variable: Return
Indices

Recession
Mean
Std.
Error
95% Confidence Interval
Lower Bound Upper Bound
Sensex Return


Before Recession -.802 .428 -1.642 .039
During Recession -.072 .400 -.858 .714
After Recession 1.442 .494 .472 2.412
Mid Cap Return


Before Recession -1.167 .428 -2.007 -.327
During Recession -.126 .400 -.912 .660
After Recession 1.235 .494 .264 2.205
Small Cap Return

Before Recession -1.315 .428 -2.155 -.475
During Recession -.179 .400 -.965 .607
After Recession 1.246 .494 .276 2.216

Post Hoc Tests
The table Multiple comparisons show the difference in Mean and associated significance level
between each pair of groups.

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Indices: Multiple Comparisons
Dependent Variable: Return
Table: 8 Scheffe
(I) Indices

(J) Indices

Mean
Differenc
e (I-J)
Std.
Error Sig.
95% Confidence Interval
Upper
Bound
Lower
Bound
Sensex Return

Mid Cap Return .2016 .35557 .852 -.6715 1.0747
Small Cap Return .2707 .35557 .749 -.6024 1.1437
Mid Cap Return

Sensex Return -.2016 .35557 .852 -1.0747 .6715
Small Cap Return .0691 .35557 .981 -.8040 .9422
Small Cap Return

Sensex Return -.2707 .35557 .749 -1.1437 .6024
Mid Cap Return -.0691 .35557 .981 -.9422 .8040
Based on observed means.
Homogeneous Subsets
Return
Table: 9 Scheffe
Indices N Subset
Small Cap Return 162 -.2024
Mid Cap Return 162 -.1333
Sensex Return 162 .0683
Sig. .749
Means for groups in homogeneous subsets are displayed.
Based on Type III Sum of Squares
The error term is Mean Square(Error) = 10.241.
a Uses Harmonic Mean Sample Size = 162.000.
b Alpha = .05.
It can be seen from above table of Indices (two rows) that the difference in mean return of
Sensex and Mid-Cap is 0.20158 with associated significance level 0.85159 which is greater than
0.05, which means that difference of 0.20158 return is not statistically significant. The second
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row shows the mean return difference between Sensex and Small Cap indices which 0.270667
with associated significance level 0.7485 which also greater than 0.05, which means that
difference of 0.270667 return is not statistically significant.
In third row, Mid-Cap return is compared with Sensex return and therefore the difference and
significant level will be same as that of first row. In forth row, Mid-Cap and Small Cap return is
compared. The difference in mean return is 0.069086 and associated significance level is
0.981301, which means that the difference in return in Indices does not differ significantly.
Each comparison appears twice, as each of the indices is compared with the remaining two
indices. The magnitude of difference and significance level remains the same, only sign changes
with change in the reference group. The reference group is denoted by I and the other
categories are denoted by J.
The Homogeneous Subsets table created using Scheffes test show that Sensex, Mid-Cap and
Small Cap all indices are homogenous set. Here, N represents the sample size for each group.
Time Period
Multiple Comparisons
Dependent Variable: Return
Table: 10 Scheffe
(I) Recession

(J) Recession

Mean
Difference
(I-J)
Std.
Error Sig.
95% Confidence Interval
Upper
Bound
Lower
Bound
Before Recession

During Recession -.9687(*) .33807 .017 -1.7988 -.1386
After Recession -2.4022(*) .37713 .000 -3.3283 -1.4762
During Recession

Before Recession .9687(*) .33807 .017 .1386 1.7988
After Recession -1.4335(*) .36689 .001 -2.3344 -.5327
After Recession

Before Recession 2.4022(*) .37713 .000 1.4762 3.3283
During Recession 1.4335(*) .36689 .001 .5327 2.3344
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Based on observed means.
* The mean difference is significant at the .05 level.
Homogeneous Subsets
Return
Table: 11 Scheffe
Recession N Subset
1 2 3
Before Recession 168 -1.0947
During Recession 192 -.1260
After Recession 126 1.3076
Sig. 1.000 1.000 1.000
Means for groups in homogeneous subsets are displayed.
Based on Type III Sum of Squares
The error term is Mean Square(Error) = 10.241.
a Uses Harmonic Mean Sample Size = 157.091.
b The group sizes are unequal. The harmonic mean of the group sizes is used. Type I error
levels are not guaranteed.
c Alpha = .05.
It can be seen from above table of Time Period (two rows) that the difference in mean return of
Bearish Trend and Consolidation Period is -0.9687 with associated significance level 0.017074
which is less than 0.05, which means that difference of -0.9687 return is statistically significant.
The second row shows the mean return difference between Bearish Trend and Bullish Trend
Time Period which -2.40224 with associated significance level 0.000 which also less than 0.05,
which means that difference of -2.40224 return is statistically significant.
In third row, Consolidation Period return is compared with Bearish Trend return and therefore
the difference and significant level will be same as that of first row. In forth row, Consolidation
Period and Bullish Trend return is compared. The difference in mean return is -1.4335 and
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associated significance level is 0.001, which means that the difference in return in Time Period
differs significantly.
Each comparison appears twice, as each of the Time Period is compared with the remaining
two Time Period. The magnitude of difference and significance level remains the same, only
sign changes with change in the reference group. The reference group is denoted by I and the
other categories are denoted by J.
The Homogeneous Subsets table created using Scheffes test show that Bearish Trend,
Consolidation Period and Bullish Trend all Time Period are different set. Here, N represents the
sample size for each group.
Figure: 2

After Recession Consolidation Period Bearish Trend
E
s
t
i
m
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e
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M
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1.00
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0.00
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-1.50
Smlcap Return
Midcap Return
Sensex Return
Indices
Estimated Marginal Means of Return
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Conclusion
From above study I can conclude that when risk will be more chances of making return will be
more. Here if we observe performance of different Capitalisation Indices; they do not perform
very differently in any of the phase of stock market, but even the same Indices performs
differently in different phases of stock market. Thus, I can say that types of capitalisation do not
make much difference in Risk and Return involve with investment but the timing plays very
important role in investment decision.

Bibliography

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bsemidsmcap. (2005, April 11). Retrieved April 12, 2009, from www.bseindia.com:
http://www.bseindia.com/about/abindices/bsemidsmcap.asp
Fama, E. F., & French, K. R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance ,
Volume 47 (Issue 2), 427-465.
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