FII and Its Impact on Stock Market: A Study on Lead-Lag and Volatility Spillover
Abstract
In this paper we examine the information spillover and volatility spill-over relationship for Indian stock market. We cover data during 1992-2011. We examine if there has been an increase in volatility persistence in the Indian stock market on after the process of financial liberalization initiated in India. Further, we examine the shifts in stock price volatility and the nature of events that apparently cause the shifts in volatility. We examine if there has been an increase in volatility persistence in the Indian stock market on after the process of financial liberalization initiated in India. This paper explores to develop alternative models from cointegration, VECM, Variance De-composition Analysis, Granger causality, Block Exogeneity wald test, Impulse Response Analysis and alternative forms of the Autoregressive Conditional Heteroscedasticity (ARCH) or its generalisation, the Generalised ARCH (GARCH) family, to estimate volatility in the Indian equity market return. Bidirectional informational spillover is confirmed. The bidirectional volatility spill-over, persistence and clustering is also confirmed in the sample series. Our findings have implications for policy makers, hedgers and investors. The research contributes to present investment literature for emerging markets such as India.
Submission of an article implies that the work described has not been published previously (except in the form of an abstract or as part of a published lecture or academic thesis), that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, in English or in any other language, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication.
Copyrights for articles published in MTI journals are retained by the authors, with first publication rights granted to the journal. The journal/publisher is not responsible for subsequent uses of the work. It is the author's responsibility to bring an infringement action if so desired by the author.
