International Journal of Financial Management
By: Publishing India Group- Volatility of Indian Stock Market and FIIs: A Time Series ARIMA Modeling Approach
- Published on November 9, 2012
- Publishing India Group
- Language - English
About this issue
This paper examines the stock market volatility and FIIs for the period (2004 – 2010). The volatility of NIFTY index influenced by the investment inflows of FIIs is modeled using a time series ARIMA approach. The empirical results calibrated through these models are analytic in several fronts. The paper further models and forecasts the index using the data set, where Foreign Institutional Investment (FII), Nominal Effective Exchange Rate (NEER) and Call money rate are considered as the exogenous variables. Finally, the empirical findings show that if the net FII flow is auto regressed with FII flow of various lag periods then it does not have significant influence on the monthly-volatility of the index. The paper also proposes the possible reasons supporting the empirical observations.
About International Journal of Financial Management
“The International Journal of Financial Management” tends to bring about a revolution in the financial research through its unparalleled quality, undaunted approach and panoptic coverage of the research efforts being undertaken all around the globe. The journal intends to provide the super ordinate podium to the researchers to share their findings with the global community after having crossed the quality checks and legitimacy criteria, which in no way promise to be liberal. With change ruling the roost and eclipsing the financial corridors, the responsive behavior of financial and researching community needs to be culled and authentically documented. To capture these financial effects of innovations and advancements and fill in the void of a specialized, world-class, authentic and evenhanded finance journal, we are making a steadfast and radical effort. This is an official announcement to launch a world class quarterly Journal under the aegis of Publishing India Group.