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http://hdl.handle.net/11718/25390| Title: | Foreign institutional investments in India: An empirical analysis of dynamic interactions with stock market return and volatility |
| Authors: | Dhingra V.S. Gandhi S. Bulsara H.P. |
| Keywords: | Feedback trading;Foreign institutional investments;Impulse response function;Indian capital market;TARCH;Vector autoregression |
| Issue Date: | 2016 |
| Publisher: | Elsevier Ltd |
| 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 |
| 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 |
| URI: | https://www.doi.org/10.1016/j.iimb.2016.10.001 http://hdl.handle.net/11718/25390 |
| ISSN: | 9703896 |
| Appears in Collections: | Open Access Journal Articles |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| foreign_institutional_investments_2016.pdf | 1.28 MB | Adobe PDF | View/Open |
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