FII Trading Pressure and Stock Volatility in India

Anshul Jain () and P. C. Biswal ()
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Anshul Jain: Management Development Institute Gurgaon
P. C. Biswal: Management Development Institute Gurgaon

A chapter in Studies in International Economics and Finance, 2022, pp 633-646 from Springer

Abstract: Abstract Effect of trading volume on volatility has been established by research in large number of asset classes. Research in effect of trader type has revealed mixed evidence. Foreign Institutional Investors (FII) comprise a large trader group in Indian Equities. This study uses FII trade volume data for individual stocks to explore its effect on the volatility of these stocks. Trade volume has been used as an exogenous regressor in the EGARCH specification of daily volatility and has been found to have a significant effect in a large number of stocks. Our research indicates that FII purchases (sales) have a volatility lowering (heightening) effect in individual stocks.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isbchp:978-981-16-7062-6_32

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DOI: 10.1007/978-981-16-7062-6_32

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