IMPACT OF THE FII'S INDIAN EQUITY INVESTMENT BEHAVIOR ON THE BRIC COUNTRIES' STOCK MARKET VOLATILITY DURING THE SUBPRIME CRISIS. AN EMPIRICAL INVESTIGATION

Amanjot Singh and Parneet Kaur

Journal of Academic Research in Economics, 2014, vol. 6, issue 3 (November), 336-349

Abstract: The growing emphasis on exports, education, science and technology over a period of time have made the BRIC countries one of the most promising emerging market basket to invest in. The paper attempts to analyze the impact of the Foreign Institutional Investor's Equity Investment Behavior in India on the Stock Market Volatility of the BRIC countries during the Subprime Crisis by employing ARMA (1,1) GARCH (1,1) model. A dummy variable has been introduced to account for the purchase and sale behavior of the FIIs. The negative investment flow increased the volatility in the stock markets of Brazil, India and China except Russia during the crisis period. When the FIIs push the sell button in the Indian economy, the volatility in the stock markets of Brazil, India and China also increases.

Keywords: Conditional Variance; Financial Crisis; Foreign Institutional Investors; GARCH model; Unit root test. (search for similar items in EconPapers)
JEL-codes: C58 E44 G01 G15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:shc:jaresh:v:6:y:2014:i:3:p:336-349

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