Investigating the Determinants of Foreign Institutional Investor Inflows in Indian Equity Market: An Application of the Augmented Autoregressive Distributed Lag Bounds Testing Approach

The Indian economic journal : the quarterly journal of the Indian Economic Association Pub Date : 2023-08-30 DOI:10.1177/00194662231186559

Madhu Kumari, Animesh Bhattacharjee, Prallad Debnath, J. Das

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Abstract

The purpose of this study was to investigate the determinants of foreign institutional investors (FIIs) in the Indian equity market. For this purpose, the study has chosen country-specific push and pull factors for the period from January 2011 to December 2019. The beginning of the concerned period is marked by increased FII flows in the Indian market after the global financial crisis of 2008. The study has identified the stock market index of India, interest rate differential between India and the USA, inflation rate, and exchange rate as possible determinants of FII inflows in India and used the augmented autoregressive distributed lag (ARDL) approach based on the statistical properties of variables selected. The study found that in the long-run Indian stock market index, appreciating exchange rate, inflation, and interest rate differential are positively related to FII inflows in the Indian equity market whereas the US stock index is negatively related to FII inflows in India. JEL Codes: F30, G1

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印度股市外国机构投资者流入的决定因素研究——增广自回归分布滞后检验方法的应用

本研究的目的是调查外国机构投资者在印度股票市场的决定因素。为此，该研究选择了2011年1月至2019年12月期间特定国家的推拉因素。2008年全球金融危机后，印度市场的外国直接投资流动增加，这是有关时期开始的标志。该研究确定印度股市指数、印度和美国之间的利率差、通货膨胀率和汇率可能是印度金融情报流入的决定因素，并基于所选变量的统计特性使用了增强自回归分布滞后（ARDL）方法。研究发现，在长期的印度股市指数中，升值的汇率、通货膨胀和利率差与印度股市的FII流入呈正相关，而美国股指与印度的FII流出负相关。JEL代码：F30、G1

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The Indian economic journal : the quarterly journal of the Indian Economic Association

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