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Please use this identifier to cite or link to this item: http://hdl.handle.net/2344/800

タイトル: The causal relationships in mean and variance between stock returns and foreign institutional investment in India
著者: Inoue, Takeshi
井上, 武
キーワード: Causality
Cross correlation
Foreign institutional investment
Stock price
Issue Date: Nov-2008
出版者: Institute of Developing Economies, JETRO
引用: IDE Discussion Paper. No. 180. 2008.11
抄録: This paper examines the causalities in mean and variance between stock returns and Foreign Institutional Investment (FII) in India. The analysis in this paper applies the Cross Correlation Function approach from Cheung and Ng (1996), and uses daily data for the timeframe of January 1999 to March 2008 divided into two periods before and after May 2003. Empirical results showed that there are uni-directional causalities in mean and variance from stock returns to FII flows irrelevant of the sample periods, while the reverse causalities in mean and variance are only found in the period beginning with 2003. These results point to FII flows having exerted an impact on the movement of Indian stock prices during the more recent period.
URI: http://hdl.handle.net/2344/800
Appears in Collections:04.IDE Discussion Paper
01.経済、産業(Economy and Industry)/南アジア(South Asian Studies)

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