 Does time-varying residual conditional heteroscedasticity in index returns affect trading behaviour of institutional investors in Indian Stock Market?Amarjeet Kaur Malhotra and Ajay Kumar Chauhan International Journal of Accounting and Finance, 2017, vol. 7, issue 2, 127-140 Abstract: The objective of this research paper is to study the impact of time-varying residual conditional index volatility on the trading behaviour of institutional investors in Indian stock market. In this study the time-varying volatility is estimated using GARCH (1, 1) applied on the NIFTY daily index returns. The vector auto regression models are applied to observe the effects of past residuals of the variance series on the trading behaviour of institutional investors. The study finds that the domestic institutional investors are found to be highly risk averse (contrarian traders). On the other hand, the foreign institutional investors are found to be aggressive in their investments even if the idiosyncratic risk increases in the market. The impulse response functions observed in this study indicate that there is no significant impact of the trading behaviour of both domestic as well as foreign institutional investors on the idiosyncratic risk, which could be studied further in future research. Keywords: residual conditional index volatility; institutional investors; vector auto regression; VAR; momentum trading behaviour; India. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:intjaf:v:7:y:2017:i:2:p:127-140 Access Statistics for this article More articles in International Journal of Accounting and Finance from Inderscience Enterprises Ltd |
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