Journal
| Title | Crisis in the Indian Stock Market and FIIs Investment Behaviour | |
| Author's Name | Karimullah | |
| ISSN | 0974-7281 | |
| Page(s) | 35-54 | |
| Volume No. | 1 | |
| Issue Month | July 2009 | |
| Keywords | FII Investment, Market Efficiency, GARCH Model, Market Return. | |
| Abstract | The study examines the statistical significance of the bi-directional relationship between equity investment behaviour of foreign institutional investors (FIIs) and the Indian stock market efficiency for the period of June 2002 - June 2008. However, it should be recognized that the stock market efficiency may not be the only factor (it may not have any impact at all) affecting investment behaviour of FIIs in India. Hence, we have included some other possible determinants such as exchange rate, regulatory reforms, stock return volatility in India, return in the emerging stock markets, the stock market return and interest rate in developed stock market (USA) in the analysis. Econometric analysis is conducted through multiple regression analysis. ARCH/GARCH model has been used in the analysis to examine the effect of the good and bad news in the stock market on foreign institutional investors. |
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