Influence of Foreign Institutional Investments (FIIs) on the Indian stock market
The study examines influence of FIIs on the Indian equity market and its role in integration with US equity market. It provides insight for policy formulation in order to move towards greater liberalized FII’s policy regime for regaining FIIs confidence in the Indian equity market. The time line from January 1999 to December 2010 has been partitioned into smaller time frames due to existence of structural breaks in order to capture clear picture of dynamic relationships between variables in the sub - periods. The daily data has been analyzed by Vector Autoregressive framework using different VAR models for determining existence of short term and long run relationships during sub periods and for ascertaining causality between emerging relationships between FIIs, Sensex and other key variables. Despite global recessionary condition both purchase and sales of FIIs have steadily increased due to gradual economic liberalization and it has substantially picked up the pace during the last five years. It was observed for 1/3/1999 to 31/7/2003 period that FII inflows and out flows are significantly influenced by the returns in the domestic equity market. The exchange rate has no effect on the inflows of FIIs; however the outflows are influenced by the change in the exchange rate. SENSEX returns bring change in the exchange rates. Change in the exchange rate affects the outflow of FIIs. The US equity market has no influence on FII’s inflows but has marginal influencing role on its outflows.
|Date of creation:||25 Jan 2014|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- John Y. Campbell & Pierre Perron, 1991.
"Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots,"
NBER Chapters,in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220
National Bureau of Economic Research, Inc.
- Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
- John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
- Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
- Renu Kohli, 2001. "Capital Flows and Their Macroeconomic Effects in India," IMF Working Papers 01/192, International Monetary Fund.
- Paramita Mukherjee & Malabika Roy, 2011. "The Nature and Determinants of Investments by Institutional Investors in the Indian Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 10(3), pages 253-283, December.
- Bekaert, G. & Harvey, C. R. & Lumsdaine, R. L., 2002. "The dynamics of emerging market equity flows," Journal of International Money and Finance, Elsevier, vol. 21(3), pages 295-350, June.
- Geert Bekaert & Campbell R. Harvey & Robin L. Lumsdaine, 1999. "The Dynamics of Emerging Market Equity Flows," NBER Working Papers 7219, National Bureau of Economic Research, Inc.
- Tesar, Linda L. & Werner, Ingrid M., 1995. "Home bias and high turnover," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 467-492, August.
- Merton, Robert C, 1987. " A Simple Model of Capital Market Equilibrium with Incomplete Information," Journal of Finance, American Finance Association, vol. 42(3), pages 483-510, July.
- Merton, Robert C., 1987. "A simple model of capital market equilibrium with incomplete information," Working papers 1869-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
- Warther, Vincent A., 1995. "Aggregate mutual fund flows and security returns," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 209-235. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:53611. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.