Beta Measure

Hi all,

Rohit

a = Correlation coefficient between stock and index prices for "n" periods.
b = Standard deviation of stock for "n" periods
c = Standard deviation of index values for "n" periods
Beta for "n" periods = (a*b)/c

Thanks for your reply.

Is there any site which shows beta for stock on daily, weekly or monthly basis?
or
it is included in some type of chart which I can refer?

rohit

If you have a software such as excel and relevant data, you can automate the process. I'm not sure if any website displays beta values.

Is this what you are looking for?

S&P CNX NIFTY INDEX,,,,,,,,,,
,,,,,,,,,,
"The S&P CNX Nifty closed at 5762.75 points on November 30, 2007 representing a fall of 137.9 points (-2.34%), as compared to 5900.65 points on ",,,,,,,,,,
"October 31, 2007. During the month of November 2007, S&P CNX Nifty touched a high of 6011.95 points on November 01, 2007 before closing at ",,,,,,,,,,
"5762.75 points on November 30, 2007. The market capitalisation of S&P CNX Nifty decreased from Rs.3328356 crores on October 31, 2007 to",,,,,,,,,,
"Rs.3257297 crores on November 30, 2007, i.e. a decrease of Rs.71059 crores ( - 2.13%).",,,,,,,,,,
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Sr. No,Security Symbol,Industry,Equity,Market Capitalisation as on 30-November-2007,Weightage,Beta,R2,Volatility,Monthly Return,Avg. Impact Cost November 2007
,,,,(Rs. Crores),%,,,%,,%
1,ABB,Electrical Equipment,"423,816,750"," 32,978 ",1.01%,0.88 ,0.40 ,2.20 ,(1.22),0.12
2,ACC,Cement & Cement Products,"1,875,530,420"," 20,451 ",0.63%,1.02 ,0.37 ,1.96 ,1.22 ,0.13
3,BAJAJAUTO,Automobiles - 2 and 3 wheelers,"1,011,835,100"," 27,369 ",0.84%,0.55 ,0.19 ,1.80 ,9.29 ,0.09
4,BHARTIARTL,Telecommunication - Services,"18,978,365,960"," 178,302 ",5.47%,1.06 ,0.53 ,2.73 ,(6.67),0.10
5,BHEL,Electrical Equipment,"4,895,200,000"," 131,167 ",4.03%,1.17 ,0.53 ,2.78 ,2.76 ,0.10
6,BPCL,Refineries,"3,615,421,240"," 13,968 ",0.43%,0.51 ,0.10 ,4.70 ,12.57 ,0.15
7,CIPLA,Pharmaceuticals,"1,554,582,714"," 14,232 ",0.44%,0.61 ,0.20 ,1.51 ,2.40 ,0.09
8,NTPC,Power,"82,454,644,000"," 195,129 ",5.99%,0.86 ,0.35 ,3.34 ,(0.94),0.12
9,DRREDDY,Pharmaceuticals,"840,660,710"," 10,590 ",0.33%,0.37 ,0.15 ,1.56 ,1.33 ,0.08
10,GAIL,Gas,"8,456,516,000"," 36,232 ",1.11%,0.72 ,0.21 ,3.03 ,4.02 ,0.13
11,GLAXO,Pharmaceuticals,"847,030,170"," 7,992 ",0.25%,0.43 ,0.15 ,1.83 ,(13.27),0.15
12,GRASIM,Cement & Cement Products,"916,738,340"," 34,862 ",1.07%,0.85 ,0.44 ,2.23 ,2.54 ,0.11
13,AMBUJACEM,Cement & Cement Products,"3,043,240,960"," 22,779 ",0.70%,0.56 ,0.18 ,0.74 ,3.42 ,0.09
14,HCLTECH,Computers - Software,"1,327,550,248"," 21,390 ",0.66%,0.75 ,0.28 ,2.11 ,2.29 ,0.12
15,HDFC,Finance - Housing,"2,789,600,890"," 77,590 ",2.38%,0.87 ,0.37 ,2.27 ,0.36 ,0.09
16,HDFCBANK,Banks,"3,537,174,200"," 60,703 ",1.86%,1.08 ,0.48 ,4.15 ,3.80 ,0.11
17,HEROHONDA,Automohiles - 2 and 3 wheelers,"399,375,000"," 14,396 ",0.44%,0.45 ,0.14 ,1.82 ,(0.59),0.14
18,HINDALCO,Aluminium,"1,227,184,962"," 22,752 ",0.70%,0.96 ,0.34 ,3.76 ,(5.65),0.13
19,HINDUNILVR,Diversified,"2,207,699,127"," 45,644 ",1.40%,0.60 ,0.23 ,1.35 ,(0.14),0.10
20,HINDPETRO,Refineries,"3,393,300,000"," 9,250 ",0.28%,0.54 ,0.12 ,4.86 ,13.94 ,0.15
21,ICICIBANK,Banks,"10,948,885,670"," 129,022 ",3.96%,1.15 ,0.55 ,3.31 ,(6.03),0.11
22,INFOSYSTCH,Computers - Software,"2,856,259,515"," 91,543 ",2.81%,0.63 ,0.28 ,2.42 ,(12.79),0.07
23,UNITECH,Construction,"3,246,750,000"," 61,964 ",1.90%,1.23 ,0.27 ,3.60 ,(0.62),0.12
24,ITC,Cigarettes,"3,764,910,950"," 70,912 ",2.18%,0.57 ,0.20 ,3.03 ,5.28 ,0.11
25,RPL,Refineries,"45,000,000,000"," 98,055 ",3.01%,0.83 ,0.22 ,5.09 ,(11.44),0.10
26,LT,Engineering,"582,436,280"," 120,237 ",3.69%,1.17 ,0.53 ,2.58 ,(2.70),0.09
27,MARUTI,Automobile - 4 wheelers,"1,444,550,300"," 29,300 ",0.90%,1.00 ,0.50 ,2.38 ,(5.56),0.12
28,M&M,Automobile - 4 wheelers,"2,457,418,130"," 17,928 ",0.55%,0.93 ,0.40 ,1.94 ,(3.30),0.10
29,MTNL,Telecommunication - Services,"6,300,000,000"," 10,827 ",0.33%,0.85 ,0.30 ,3.44 ,(4.24),0.13
30,NATIONALUM,Aluminium,"6,443,096,280"," 23,752 ",0.73%,0.75 ,0.17 ,6.36 ,13.41 ,0.22
31,ONGC,Oil Exploration,"21,388,725,300"," 249,724 ",7.67%,1.03 ,0.52 ,2.75 ,(6.32),0.14
32,STER,Metals,"1,416,971,700"," 73,119 ",2.24%,1.33 ,0.45 ,4.64 ,0.27 ,0.12
33,PNB,Banks,"3,153,025,000"," 19,058 ",0.59%,1.16 ,0.50 ,3.25 ,15.14 ,0.12
34,RANBAXY,Pharmaceuticals,"1,865,354,145"," 14,391 ",0.44%,0.65 ,0.25 ,1.55 ,(9.48),0.10
35,REL,Power,"2,346,953,230"," 40,697 ",1.25%,1.30 ,0.38 ,3.46 ,(7.06),0.09
36,RELIANCE,Refineries,"14,536,486,010"," 414,530 ",12.73%,1.07 ,0.71 ,2.41 ,2.44 ,0.07
37,SAIL,Steel & Steel Products,"41,304,005,450"," 106,812 ",3.28%,1.51 ,0.58 ,2.91 ,(0.92),0.13
38,SATYAMCOMP,Computers - Software,"1,338,412,314"," 29,455 ",0.90%,0.79 ,0.28 ,2.01 ,(7.78),0.09
39,SBIN,Banks,"5,262,988,780"," 121,175 ",3.72%,1.22 ,0.53 ,2.89 ,11.32 ,0.10
40,SIEMENS,Electrical Equipment,"337,160,200"," 30,615 ",0.94%,1.07 ,0.40 ,3.10 ,(7.74),0.13
41,SUNPHARMA,Pharmaceuticals,"1,004,492,885"," 22,151 ",0.68%,0.49 ,0.18 ,2.13 ,4.52 ,0.13
42,SUZLON,Electrical Equipment,"2,880,004,800"," 54,632 ",1.68%,1.15 ,0.30 ,2.71 ,(3.88),0.11
43,TATAPOWER,Power,"2,157,690,320"," 25,215 ",0.77%,1.05 ,0.28 ,3.56 ,(3.72),0.12
44,RCOM,Telecommunication - Services,"10,305,476,995"," 139,124 ",4.27%,1.22 ,0.59 ,1.92 ,(12.59),0.09
45,TATAMOTORS,Automobile - 4 wheelers,"3,855,039,540"," 28,236 ",0.87%,0.90 ,0.45 ,1.58 ,(3.35),0.09
46,TCS,Computers - Software,"978,610,498"," 99,055 ",3.04%,0.71 ,0.37 ,2.00 ,(2.49),0.10
47,TATASTEEL,Steel & Steel Products,"7,307,674,270"," 60,354 ",1.85%,1.20 ,0.45 ,2.32 ,(8.82),0.09
48,VSNL,Telecommunication - Services,"2,850,000,000"," 17,897 ",0.55%,1.09 ,0.37 ,4.15 ,12.67 ,0.12
49,WIPRO,Computers - Software,"2,920,097,636"," 67,257 ",2.06%,0.84 ,0.40 ,2.41 ,(9.17),0.13
50,ZEEL,Media & Entertainment,"433,566,765"," 12,482 ",0.38%,1.04 ,0.22 ,2.08 ,(12.92),0.11
,,,," 3,257,297 ",100.00%,,,,,0.11
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* Beta & R2 are calculated for the period 01-Dec-2006 to 30-November-2007,,,,,,,,,,
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* Beta measures the degree to which any portfolio of stocks is affected as compared to the effect,,,,,,,
on the market as a whole.,,,,,,,
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* The coefficient of determination (R2) measures the strength of relationship between two variables,,,,,,,
the return on a security versus that of the market.,,,,,,,
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* Volatility is the Std. deviation of the daily returns for the period 01-November-2007 to 30-November-2007,,,,,,,
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* Last day of trading was 30-November-2007,,,,,,,
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* Impact Cost for S&P CNX Nifty is for a portfolio of Rs. 50 lakhs ,,,,,,,
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* Impact Cost for S&P CNX Nifty is the weightage average impact cost,,,,,,,
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You can get the beta values of stocks from Business Standard print edition. They publish it on one day of the week (I think Friday, if I am not mistaken).