 What Drives the Stock Market Return in India? An Exploration with Dynamic Factor ModelParamita Mukherjee and Malabika Roy Journal of Emerging Market Finance, 2016, vol. 15, issue 1, 119-145 Abstract: In this article, we examine the role of the institutional investors, both domestic and foreign, in driving the return on the Indian equity market in the last decade. An attempt is made to identify the influence of other possible determinants, more specifically domestic and international financial variables, on the market returns as well. Whether there is a change in the relationship is also studied. The results uncover some interesting facts. First, there is evidence of institutional investors driving the market return after 2008, though it did not have any impact before 2008. Second, the return is significantly led by the movement of interest rates within and outside the country for the entire decade. Third, most of the major and emerging stock markets and the US market also have significant influence on Indian equity market return. Fourth, gold return used to affect the equity market return in pre-2008 years, but it ceased to do so after 2008. The results show that the determinants of the Indian equity market return have changed after the recent economic crisis of 2008. JEL Classification: C53, G11, G21, F32 Keywords: Institutional investors; mutual funds; international investors; dynamic factor model; Indian equity market; structural break (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:sae:emffin:v:15:y:2016:i:1:p:119-145 Access Statistics for this article More articles in Journal of Emerging Market Finance from Institute for Financial Management and Research |
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