Show simple item record

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

dc.contributor.authorDhingra V.S.
dc.contributor.authorGandhi S.
dc.contributor.authorBulsara H.P.
dc.date.accessioned2022-02-11T10:16:38Z
dc.date.available2022-02-11T10:16:38Z
dc.date.issued2016
dc.identifier.citationDhingra, 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.issn9703896
dc.identifier.urihttps://www.doi.org/10.1016/j.iimb.2016.10.001
dc.identifier.urihttp://hdl.handle.net/11718/25390
dc.description.abstractThis 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.isoen_US
dc.publisherElsevier Ltd
dc.relation.ispartofIIMB Management Review
dc.subjectFeedback trading
dc.subjectForeign institutional investments
dc.subjectImpulse response function
dc.subjectIndian capital market
dc.subjectTARCH
dc.subjectVector autoregression
dc.titleForeign institutional investments in India: An empirical analysis of dynamic interactions with stock market return and volatility
dc.typeArticle
dc.rights.licenseCC BY-NC-ND
dc.contributor.affiliationApplied Mathematics and Humanities Department, Sardar Vallabhbhai National Institute of Technology, Surat, Gujarat, India
dc.contributor.affiliationFinance & Accounting, Indian Institute of Management, Ahmedabad, Gujarat, India
dc.contributor.affiliationEconomics & Management, Applied Mathematics and Humanities Department, Sardar Vallabhbhai National Institute of Technology, Surat, Gujarat, India
dc.contributor.institutionauthorDhingra, V.S., Applied Mathematics and Humanities Department, Sardar Vallabhbhai National Institute of Technology, Surat, Gujarat, India
dc.contributor.institutionauthorGandhi, S., Finance & Accounting, Indian Institute of Management, Ahmedabad, Gujarat, India
dc.contributor.institutionauthorBulsara, H.P., Economics & Management, Applied Mathematics and Humanities Department, Sardar Vallabhbhai National Institute of Technology, Surat, Gujarat, India
dc.description.scopusid57016492000
dc.description.scopusid56426795600
dc.description.scopusid56202096900
dc.identifier.doi10.1016/j.iimb.2016.10.001
dc.identifier.endpage224
dc.identifier.startpage212
dc.identifier.issue4
dc.identifier.volume28


Files in this item

Thumbnail
Name:
foreign_institutional_investme ...
Size:
1.250Mb
Format:
PDF
View/Open

This item appears in the following Collection(s)

  • Open Access Journal Articles [331]
    The open-access journal articles collection includes articles published by faculty/researcher of Indian Institute of Management Ahmedabad in Gold/Diamond/ Hybrid/Green Open Access Journal. The Gold/Diamond Open Access Journals are those which published research articles as open access and are primarily licensed under the creative commons.

Show simple item record