Foreign institutional investments in India: An empirical analysis of dynamic interactions with stock market return and volatility

Dhingra V.S.; Gandhi S.; Bulsara H.P.

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DC Field	Value	Language
dc.contributor.author	Dhingra V.S.
dc.contributor.author	Gandhi S.
dc.contributor.author	Bulsara H.P.
dc.date.accessioned	2022-02-11T10:16:38Z	-
dc.date.available	2022-02-11T10:16:38Z	-
dc.date.issued	2016
dc.identifier.citation	Dhingra, V. S., Gandhi, S., & Bulsara, H. P. (2016). Foreign institutional investments in India: An empirical analysis of dynamic interactions with stock market return and volatility. IIMB Management Review, 28(4). https://doi.org/10.1016/j.iimb.2016.10.001
dc.identifier.issn	9703896
dc.identifier.uri	https://www.doi.org/10.1016/j.iimb.2016.10.001
dc.identifier.uri	http://hdl.handle.net/11718/25390	-
dc.description.abstract	This paper investigates interactions of foreign institutional investments with market returns and market volatility in India using both static and dynamic models based on daily data. The findings of both models show foreign investors as positive feedback traders while investing in the Indian market, and as negative feedback traders during their withdrawal. Using the impulse response functions based on vector autoregression, we find strong evidence that foreign institutional investments destabilise the market, particularly with selling activities, as they significantly increase the volatility. � 2016
dc.language.iso	en_US
dc.publisher	Elsevier Ltd
dc.relation.ispartof	IIMB Management Review
dc.subject	Feedback trading
dc.subject	Foreign institutional investments
dc.subject	Impulse response function
dc.subject	Indian capital market
dc.subject	TARCH
dc.subject	Vector autoregression
dc.title	Foreign institutional investments in India: An empirical analysis of dynamic interactions with stock market return and volatility
dc.type	Article
dc.rights.license	CC BY-NC-ND
dc.contributor.affiliation	Applied Mathematics and Humanities Department, Sardar Vallabhbhai National Institute of Technology, Surat, Gujarat, India
dc.contributor.affiliation	Finance & Accounting, Indian Institute of Management, Ahmedabad, Gujarat, India
dc.contributor.affiliation	Economics & Management, Applied Mathematics and Humanities Department, Sardar Vallabhbhai National Institute of Technology, Surat, Gujarat, India
dc.contributor.institutionauthor	Dhingra, V.S., Applied Mathematics and Humanities Department, Sardar Vallabhbhai National Institute of Technology, Surat, Gujarat, India
dc.contributor.institutionauthor	Gandhi, S., Finance & Accounting, Indian Institute of Management, Ahmedabad, Gujarat, India
dc.contributor.institutionauthor	Bulsara, H.P., Economics & Management, Applied Mathematics and Humanities Department, Sardar Vallabhbhai National Institute of Technology, Surat, Gujarat, India
dc.description.scopusid	57016492000
dc.description.scopusid	56426795600
dc.description.scopusid	56202096900
dc.identifier.doi	10.1016/j.iimb.2016.10.001
dc.identifier.endpage	224
dc.identifier.startpage	212
dc.identifier.issue	4
dc.identifier.volume	28
Appears in Collections:	Open Access Journal Articles

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