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Impact Of The Fii'S Indian Equity Investment Behavior On The Bric Countries' Stock Market Volatility During The Subprime Crisis. An Empirical Investigation

Author

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  • AMANJOT SINGH
  • PARNEET KAUR

Abstract

The growing emphasis on exports, education, science and technology over a period of time have made the BRIC countries one of the most promising emerging market basket to invest in. The paper attempts to analyze the impact of the Foreign Institutional Investor's Equity Investment Behavior in India on the Stock Market Volatility of the BRIC countries during the Subprime Crisis by employing ARMA (1,1) GARCH (1,1) model. A dummy variable has been introduced to account for the purchase and sale behavior of the FIIs. The negative investment flow increased the volatility in the stock markets of Brazil, India and China except Russia during the crisis period. When the FIIs push the sell button in the Indian economy, the volatility in the stock markets of Brazil, India and China also increases.

Suggested Citation

  • Amanjot Singh & Parneet Kaur, 2014. "Impact Of The Fii'S Indian Equity Investment Behavior On The Bric Countries' Stock Market Volatility During The Subprime Crisis. An Empirical Investigation," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, vol. 6(3 (Novemb), pages 336-349.
    • Handle: RePEc:shc:jaresh:v:6:y:2014:i:3:p:336-349
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    Cited by:

    1. Magnolia Miriam Sosa Castro & Christian Bucio Pacheco & Alejandra Cabello Rosales, 2018. "Contagion and Stock Interdependence in the BRIC+M Block," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 48(1), pages 173-196, Enero-Jun.

    More about this item

    Keywords

    Conditional Variance; Financial Crisis; Foreign Institutional Investors; GARCH model; Unit root test.;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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