Impact of Foreign Institutional Investors on the Volatility of Indian Stock Market using GARCH Model
Journal Title: FOCUS: Journal of International Business - Year 2018, Vol 5, Issue 1
Abstract
Foreign institutional investors have played an important role in the development of Indian stock market. In this paper, we study the relationship between the FII capital flows and the volatility of Indian stock market. To conduct the study, daily Index and trading data of SENSEX, NIFTY and FIIs was collected for fifteen years from April 1, 2001 to March 31, 2017. After testing for data stationarity using Augmented Dickey Fuller test (ADF) unit root test, different statistical tools were applied such as S.D., mean, variance, skewness, correlation and GARCH model for testing the impact of FIIs flows on stock market volatility. The study concludes that there is strong relationship between the FIIs and the stock market return. Further, positive correlation exists between the variables and volatility transmission is there from FIIs to both the indices.
Authors and Affiliations
Prateek Kumar Bansal, Om Prakash Agrawal
Keywords
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- EP ID EP624975
- DOI 10.17492/focus.v5i01.13139
- Views 215
- Downloads 0
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