The Causal Relationships in Mean and Variance between Stock Returns and Foreign Institutional Investment in India

Takeshi Inoue

Margin: The Journal of Applied Economic Research, 2009, vol. 3, issue 4, 319-337

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 from 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; JEL Classification: E44; JEL Classification: F21 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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Working Paper: The causal relationships in mean and variance between stock returns and foreign institutional investment in India (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:sae:mareco:v:3:y:2009:i:4:p:319-337

DOI: 10.1177/097380100900300401

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