MA 374 Financial Engineering Lab Lab 05
Recall the Lab 04 assignment with the data part (Problem 3). In a similar way, do the following: Collect the data
of basic BSE (SENSEX) and NSE (NIFTY) index values (from their respective official websites/other sources) for
the period from January 1, 2014 to December 31, 2018. Now, for the same period, collect the stock price data for 10
stocks that are included in the index and 10 stocks that are not included in the index, for each of the index.
1. Repeat what you have done in Lab 04 (Problem 3), with the index as market portfolio (for both the indices).
2. From the CAPM formula (SML), draw inference about each of the stocks, taking the riskfree rate to be 5%.
3. Compare the betas of securities (by taking the actual data and computing from your data for each index).
Keep the data in two separate Excel files and name them as “bsedata1” and “nsedata1”. Obtain data on stocks
yourself (and do not copy from others). We will use these data in future assignments too.
