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

Takeshi Inoue

No 180, IDE Discussion Papers from Institute of Developing Economies, Japan External Trade Organization(JETRO)

Abstract: 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.

Keywords: 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 (search for similar items in EconPapers)
JEL-codes: E44 F21 (search for similar items in EconPapers)
Date: 2008-11-01
New Economics Papers: this item is included in nep-cwa and nep-mac
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Citations: View citations in EconPapers (2)

Published in IDE Discussion Paper = IDE Discussion Paper, No. 180. 2008-11-01

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https://ir.ide.go.jp/record/37987/files/IDP000180_001.pdf First version, 2008 (application/pdf)

Related works:
Chapter: Causal Relationships in Mean and Variance between Stock Returns and Foreign Institutional Investment in India (2014)
Journal Article: The Causal Relationships in Mean and Variance between Stock Returns and Foreign Institutional Investment in India (2009)
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