The causal relationships in mean and variance between stock returns and foreign institutional investment in India


Autoria(s): Inoue, Takeshi
Data(s)

15/12/2008

15/12/2008

01/11/2008

Resumo

This paper examines the causalities in mean and variance between stock returns and Foreign Institutional Investment (FII) in India. The analysis in this paper applies the Cross Correlation Function approach from Cheung and Ng (1996), and uses daily data for the timeframe of January 1999 to March 2008 divided into two periods before and after May 2003. Empirical results showed that there are uni-directional causalities in mean and variance from stock returns to FII flows irrelevant of the sample periods, while the reverse causalities in mean and variance are only found in the period beginning with 2003. These results point to FII flows having exerted an impact on the movement of Indian stock prices during the more recent period.

Identificador

IDE Discussion Paper. No. 180. 2008.11

http://hdl.handle.net/2344/800

IDE Discussion Paper

180

Idioma(s)

en

eng

Publicador

Institute of Developing Economies, JETRO

日本貿易振興機構アジア経済研究所

Palavras-Chave #Causality #Cross correlation #Foreign institutional investment #India #Stock price #因果性 #相互相関分析 #外国機関投資 #インド #株価 #338.92 #ASII India インド #E44 - Financial Markets and the Macroeconomy #F21 - International Investment; #332
Tipo

Technical Report

Technical Report