Published paper at SCMS journal of Indian management about Effects of Foreign Institutional Investment in BSE

Published a paper entitled  Modelling Effects of Foreign Institutional Investment in BSE in estemeed SCMS Journal of Indian management. The full paper can be downloaded here: Click here

Abstract of the paper: Foreign institutional investors have gained a significant role in Indian capital markets. Availability of foreign capital depends on many firm specific factors other than economic development of the country. In this context this paper examines the dynamic interaction between FII flows and stock market returns in Indian stock market. The data in this study consists of the monthly log return of major industries in BSE from January 2000 to July 2014. Stock return volatility is examined using the GARCH model with changes of variance during the period of 2000 - 2014. The analysis is conducted based on two sub-sample periods namely: period-1 (January 2000 to May 2006), period-2 (June 2006- July 2014). Augmented Dickey Fuller test is used to find the presence of random walk in returns of industries.