Sripriya, V (2014) Foreign Institutional Investors’ Trading Activity and Volatility in Indian Stock Market. INDIAN JOURNAL OF APPLIED RESEARCH, 4 (11). pp. 223-225. ISSN 2249-555X

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Abstract

The focus of this paper is on the analysis of volatility of the select Indian stock market indices due to trading activity FIIs. Volatility is a measure of how far the current price of an asset deviates from its average past prices. Financial press and financial analysts have also commented on various occasions that FII movement attributes to the volatility of the stock markets. The study has used monthly data collected from various databases from April 2003 to March 2013. Econometric techniques like unit root test and GARCH (1, 1) model etc to analyse the data.
It has been observed that volatility persists in Indian stock market due to net FII activity leading to volatility clustering during the period of study. The results also highlight that Sensex and Nifty are affected by past and recent affects whereas other indices are affected only by past volatility

Item Type: Article
Uncontrolled Keywords: Volatility, Foreign Institutional Investments, Mutual funds, Capital Market
Divisions: PSG College of Arts and Science > Department of Management Sciences
Depositing User: Users 1 not found.
Date Deposited: 21 Dec 2021 11:38
Last Modified: 21 Dec 2021 11:38
URI: http://ir.psgcas.ac.in/id/eprint/223

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