Bibliographic Details
| Title: |
VOLATILITY OF INDIAN STOCK MARKET WITH REFERENCE TO CHANGE IN FII POLICY 20. |
| Authors: |
DAVE, AMEE I.1, PARIKH, PRIYA D.1 |
| Source: |
CLEAR International Journal of Research in Commerce & Management. Sep2013, Vol. 4 Issue 9, p112-116. 5p. |
| Subject Terms: |
*Market volatility, *Stock exchanges, *Institutional investors, *Stocks (Finance), *Debt |
| Geographic Terms: |
India |
| Company/Entity: |
BSE Ltd. |
| Abstract: |
The Foreign Institutional Investors (FIIs) have emerged as noteworthy players in the Indian stock market and their growing contribution adds as an important feature of the development of stock markets in India. FII is allowed to enter into our country only through stock exchanges either in the form of equity or debt. It makes an impact on the rise or fall of SENSEX, since FII is allowed to be purchased or sold daily. This paper attempts to study the impact of market openings to FIIs, on Indian stock market behavior. India announced its policy on 8th March 2001 for FII investments in equity and related instruments. Using stock market data related to Bombay Stock Exchange, for both before and after the FIIs policy announcement day. An empirical examination has been conducted to assess the impact of the market opening on the return and volatility of stock return. This Research paper is mainly divided into two parts. Firstly researcher has examined impact on stock prices & average return before and after event day. And secondly it's been examined change in volatility in the Indian stock market by comparing variances of return for the event period under study. We have tried to cover one year time period before and after the event day to understand the exact validity and reliability of the result. Moreover the sample size of our study is 500 days daily market return. However validity of results and empirical tests has been taken place by applying Wilcoxon-Mann -Whitney test, also called as the rank sum test. Finally results indicate that there are no significant changes in the Indian stock market average returns and volatility of stock prices returns after changes in percentage of investment from 24% to 49%. [ABSTRACT FROM AUTHOR] |
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| Database: |
Business Source Complete |
