1.
2.
3.
| Received
04-Jun-2026 |
Accepted
- |
Published
04-Jun-2026 |
Abstract
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.
Locked
Subscribed
Open Access
Open Access