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

In: INDIAN ECONOMY Empirical Analysis on Monetary and Financial Issues in India

Author

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  • Takeshi Inoue
  • Shigeyuki Hamori

Abstract

The following sections are included:IntroductionLiterature ReviewEmpirical TechniqueDataEmpirical ResultsCausality test based on the LA-VARCausality test based on the CCF approachConcluding RemarksReferences

Suggested Citation

  • Takeshi Inoue & Shigeyuki Hamori, 2014. "Causal Relationships in Mean and Variance between Stock Returns and Foreign Institutional Investment in India," World Scientific Book Chapters, in: INDIAN ECONOMY Empirical Analysis on Monetary and Financial Issues in India, chapter 5, pages 53-72, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814571913_0005
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    1. Mrs. Poonam Gupta & Mr. James P. F. Gordon, 2003. "Portfolio Flows Into India: Do Domestic Fundamentals Matter?," IMF Working Papers 2003/020, International Monetary Fund.
    2. Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 183-224, July.
    3. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
    4. John M. Griffin & Federico Nardari & Rene M. Stulz, 2002. "Daily Cross-Border Equity Flows: Pushed or Pulled?," NBER Working Papers 9000, National Bureau of Economic Research, Inc.
    5. Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 33-48.
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    Cited by:

    1. Kumar, Sundaram, 2009. "Investigating causal relationship between stock return with respect to exchange rate and FII: evidence from India," MPRA Paper 15793, University Library of Munich, Germany.
    2. Hemantkumar P. Bulsara & Vaishali Samir Dhingra & Shailesh Gandhi, 2015. "Dynamic Interactions between Foreign Institutional Investment Flows and Stock Market Returns – The Case of India," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 9(3), September.
    3. Kapil Choudhary & Parminder Singh & Amit Soni, 2022. "Relationship Between FIIs’ Herding and Returns in the Indian Equity Market: Further Empirical Evidence," Global Business Review, International Management Institute, vol. 23(1), pages 137-155, February.
    4. Snowden, Nicholas & Muñoz, Jesús, 2012. "Building a BRIC? Stock Market Opening and Investment Finance in India since Liberalization," World Development, Elsevier, vol. 40(6), pages 1109-1121.

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    More about this item

    Keywords

    Financial Markets; Indian Economy; Monetary Policy; Poverty-Finance Nexus;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements

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