Estimating Changing Significance of Determinants of FII Flows to India over Different Time Periods in a Vector Autoregressive Framework Using Daily Data
Journal Title: International Journal of Financial Economics - Year 2014, Vol 2, Issue 4
Abstract
This paper aims at exploring the causal relationship between net foreign institutional investment flows to the Indian equity market with its possible covariates based on daily data for the period September 2008 to July 2013. The data has been analyzed in a Vector Autoregressive framework for determining the existence of long run relationships. Augmented Dickey Fuller (ADF) test and Johansen co-integration technique have been adopted for stationary test and co-integration. The explanatory variables chosen are domestic and US equity market returns, historic volatility of both domestic and US equity market returns, expected volatility of both domestic and US equity markets and the rupee dollar exchange rate. The study has been done for different time phases of Indian stock market sentiment to identify whether the explanatory variables chosen differ in their explanation of FII net inflows, controlling for market sentiment.
Authors and Affiliations
Tamal Datta Chaudhuri, Bidisha Mukhopadhyay, Payal Maskara
Keywords
Related Articles
- EP ID EP27265
- DOI -
- Views 323
- Downloads 9
Ratio Analysis of Profitability of Its Activities in Sector Food and Beverage Listed In Indonesia Stock Exchange
This study aims to determine the financial ratios that affect the profitability of companies in the food and beverage sector are listed in Indonesia Stock Exchange. This test uses a linear regression of capital. The sa...
Post-Merger Analysis of the Financial Performance of SG SSB
The study focused on the post merger analysis of the financial performance of SG-SSB. Data for a ten year period from 2004 to 2013 was used to analyse the financial performance. The analysis and discussion of the data...
How much are you Willing to Pay to Play the Saint Petersburg Gamble?
The Saint Petersburg gamble has an infinite expected payoff but few people would pay more than 32 dollars as an entrance fee to play it. In fact under reasonable conditions the maximum willingness to pay to play the ga...
Assessing the Extent of Development of the Nigerian Capital Market: A Comparative Analysis
The paper examines the extent of development of the Nigerian capital market by analyzing key indicators of capital market development such as listing, market capitalization and turnover ratio, comparing them with those...
The Test of Semi - Strong Efficiency Theory in the Nigerian Capital Market: An Empirical Analysis in the Context of Dividend Announcements
This study tests the semi-strong form of market efficiency theory. It employs event study methodology in which a sample of 20 randomly selected stocks listed on the Nigerian Stock Exchange on which dividend announcemen...