quick analysis of market data

quick analysis of market data

In addition, there are cases of rapid changes in market preference making certain illiquid securities in a short period of time (eg 7.95% GS 2032 were liquid until January '03, but now are rarely traded). This phenomenon is also a constant source of concern for traders and acts as a constraint from being contrarian.Dominance several traders in the market, as it exists today, again ensure that other players also trade in securities value used by these traders.

A quick analysis of market data for the quarter ended December '02 (see Table B for details) reveals the following:
1) Of the approximately 135 Central Govt. Securities outstanding during the period October '02 December '02 for only 77 securities traded [ie 58 securities or about 42% of Central Govt. securities were not traded even once during the three months].
2) The average daily volume in terms of nominal value is around RS 6500 crore with an average of almost 1,000 trades per day.
3) securities 15 (concentrated in the maturity range of 7-20 years) is almost 80% of the volume.
4) the date of maturity ranging from 1, the volume is concentrated in T-bills (from a total of 57 securities traded, 53 were T-bills). Closely with the trading scheme, in terms of T-bills show that market advantage in trade shows recent releases of T-bills.
5) securities that have blue cards close to the current market yield appeared to be in demand and thus trades at a premium eg 7,49% GS 2017 7.27% GS 2013 were priced at a premium of about Re.1 / - above the theoretical prices
6) Even though almost similar maturity and risk profile of some securities were priced differently, ie 11.43% GS 2015 Vs. 9.85% GS 2015, the former priced at a discount to the theoretical price and then price premium. Similarly, 9.81% between 2013 and GS. 9% GS 2013, former was priced at a premium price and the theoretical was later discounted prices.