scholarly journals Impact of Foreign Institutional Investors on the Volatility of Indian Stock Market using GARCH Model

2018 ◽  
Vol 5 (01) ◽  
Author(s):  
Prateek Kumar Bansal ◽  
Om Prakash Agrawal
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Unit Root Test ◽  
Garch Model ◽  
Strong Relationship ◽  
Stock Market Volatility ◽  
Augmented Dickey Fuller ◽  
Foreign Institutional Investors ◽  
Indian Stock Market ◽  
The Impact

Foreign institutional investors have played an important role in the development of Indian stock market. In this paper, we study the relationship between the FII capital flows and the volatility of Indian stock market. To conduct the study, daily Index and trading data of SENSEX, NIFTY and FIIs was collected for fifteen years from April 1, 2001 to March 31, 2017. After testing for data stationarity using Augmented Dickey–Fuller test (ADF) unit root test, different statistical tools were applied such as S.D., mean, variance, skewness, correlation and GARCH model for testing the impact of FIIs flows on stock market volatility. The study concludes that there is strong relationship between the FIIs and the stock market return. Further, positive correlation exists between the variables and volatility transmission is there from FIIs to both the indices.

scholarly journals Impact of index derivatives on Indian stock market volatility-an application of arch and GARCH model

2008 ◽  
Vol 6 (3) ◽  
pp. 39-44
Author(s):  
S. V. Ramana Rao ◽  
Naliniprava Tripathy
Keyword(s):  
Stock Market ◽  
Structural Changes ◽  
Garch Model ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Index Futures ◽  
Market Factors ◽  
Indian Stock Market ◽  
The Impact ◽  
Derivative Products

The present study examined the impact of introduction of index futures derivative and index option derivative on Indian stock market by using ARCH and GARCH model to capture the time varying nature of volatility presence in the data period from October 1995 to July 2006. The results reported that the introduction of index futures and index options on the Nifty has produced no structural changes in the conditional volatility of Nifty but however the market efficiency has been improved after the introduction of the derivative products. The study concludes that financial derivative products are not responsible for increase or decrease in spot market volatility, but there could be other market factors which influenced the market volatility

scholarly journals The Outbreak of COVID-19 Pandemic and Its Impact on Stock Market Volatility: Evidence from a Worst-affected Economy

2020 ◽  
Author(s):  
Debakshi Bora ◽  
Daisy Basistha
Keyword(s):  
Comparative Analysis ◽  
Stock Market ◽  
Financial Market ◽  
Garch Model ◽  
Global Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Bottom Line ◽  
Indian Stock Market ◽  
The Impact

Abstract The outbreak of COVID-19 has affected the entire global financial market in an unprecedented way. Due to the disruptions that emerged in the global market; the financial market of India also reacted to the pandemic and witnessed sharp volatility. Given the COVID-19 situation, this paper empirically investigates the impact of COVID-19 on the Indian stock market. Using daily closing prices of indices such as Nifty and Sensex, this study examines the volatility of these indices over the period 3rd September 2019 to 10th July 2020. Further, the study has attempted to make a comparative analysis of the return of the stock market in pre-COVID-19 and during the COVID-19 situation. GARCH model is used to capture the volatility of the indices. Findings reveal that the stock market in India has experienced volatility during the pandemic period. While comparing the results with that of the pre-COVID-19 period, we find that return on the indices is higher in the pre-COVID-19 period than during COVID-19. The return of both the stock market reached the bottom line during the first lockdown period, which is from24th March to 6th April.

Contribution of StockMarket Towards Economic Growth: An Empirical Study on Bangladesh Economy

2017 ◽  
Vol 13 (4) ◽  
pp. 238 ◽  
Author(s):  
Sonia Rezina ◽  
Nusrat Jahan ◽  
Mohitul Ameen Ahmed Mustafi
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Market Performance ◽  
Unit Root Test ◽  
Causality Test ◽  
Stock Market Development ◽  
Stock Market Performance ◽  
Augmented Dickey Fuller ◽  
Johansen Cointegration Test ◽  
The Impact

The economic growth of a country is influenced by many different factors. This study aims to investigate the causal relationship between stock market development and economic growth in Bangladesh as well as the impact of stock market performance upon the economic growth of Bangladesh. The stock market performance has been measured by market capitalization ratio, number of listed companies, total value traded and turnover ratio; and the economic growth was represented by real gross domestic product. The periods taken for study were from year 1994 to year 2015.The effect of the stock market reform will also be addressed to explain the relationship. The study has been conducted using Augmented Dickey- Fuller Unit Root Test, Johansen Cointegration Test and the Granger Causality Test. The findings of the research should help the policy makers and regulators to look after their interest in the financial sector of the country.

scholarly journals FIIs and Indian Stock Market: A Causality Investigation

2012 ◽  
Vol 14 (4) ◽  
pp. 5-24 ◽  
Author(s):  
Minakshi Paliwal ◽  
S. D. Vashishtha
Keyword(s):  
Stock Market ◽  
Capital Flows ◽  
Institutional Investors ◽  
Capital Gains ◽  
Market Returns ◽  
Causality Test ◽  
Stock Market Returns ◽  
Foreign Institutional Investors ◽  
And Performance ◽  
Indian Stock Market

While the volatility associated with portfolio capital flows is well known, there is also a concern that foreign institutional investors might introduce distortions in the host country markets due to the pressure on them to secure capital gains. In this context, present chapter attempts to find out the direction of causality between foreign institutional investors (FIIs) and performance of Indian stock market. To facilitate a better understanding of the causal linkage between FII flows and contemporaneous stock market returns (BSE National Index), a period of nineteen consecutive financial years ranging from January 1992 to December 2010 is selected. Granger Causality Test has been applied to test the direction of causality.

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