IDEAS home Printed from https://ideas.repec.org/a/shc/jaresh/v6y2014i1p32-44.html
   My bibliography  Save this article

Impact Of Foreign Institutional Investment On The Volatility Of Indian Stock Market

Author

Listed:
  • SURESH KUMAR
  • JASDEEP DHAMI

Abstract

Firstly this research paper aims at discussing how the economic scenario post 1990s forced the Indian economy to open up with the three triggers of Liberalisation, Privatisation and Globalisation. This further discusses the opening of economy for the foreign investors under the given scenario. It narrates the positives and negatives of FIIs in India in terms of their impact on the Indian economy. Secondly it also studies the movement of Indian stock market i.e. BSE Index vs. FIIs investment. Thirdly and more importantly this paper has also made a herculean efforts for studying the impact of FIIs investment on the volatility of Indian stock market on the basis of daily as well as monthly data ( from 2000 to 2012). For daily data 3000 observations have been used and for monthly data 156 observations have been used. GARCH and ARCH techniques have been applied for the same. The time period from 2000 to 2012 has been divided into two phases i.e. pre crisis period from 2000 to 2008 and post crisis period from 2009 to 2012. It has been found in the study that FIIs flows have had an impact on the volatility of the Indian stock market in the pre crisis as well as post crisis period.

Suggested Citation

  • Suresh Kumar & Jasdeep Dhami, 2014. "Impact Of Foreign Institutional Investment On The Volatility Of Indian Stock Market," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, vol. 6(1 (March)), pages 32-44.
    • Handle: RePEc:shc:jaresh:v:6:y:2014:i:1:p:32-44
    as

    Download full text from publisher

    File URL: http://www.jare-sh.com/downloads/abstract_mar_2014/kumar.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    FIIs; Volatility; BSE; Sensex.;
    All these keywords.

    JEL classification:

    • F - International Economics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:shc:jaresh:v:6:y:2014:i:1:p:32-44. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Claudiu Chiru (email available below). General contact details of provider: https://edirc.repec.org/data/fcuspro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.