Long - Run and Short-Run Co-Integration between FIIs and Nifty Indices: An ARDL Approach

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Asian Journal of Management Cases Pub Date : 2023-06-07 DOI:10.52711/2321-5763.2023.00023

Suraj Patel, Amit Manglani, Disha Rani Yadav

引用次数: 0

Abstract

The study examines the long run and short run co-integration between Foreign Institutional Investments (FII) and Nifty indices in India using 22 years monthly data from Jan. 2000 to Dec. 2022 for the study. The study is of secondary nature that has been collected from secondary source published in official websites. For examine the co-integration between variables we have applied ARDL bound test approach. The study confirmed that there is positive co-integration in short run but negative co-integration in long run that means a change in nifty by 1 percent accelerates positive change in FII investment by 19.0872 Cr in short run and declining the nifty index affect FIIs investment negatively in long run. The result of bound test depicted that F-statistics (57.58212) is coming more that lower bound (3.62) and upper bound (4.16) which show significant long run co-integration. By looking the result we suggest the investor should go for momentum trading in short run and go for value trading in long run.

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fii与Nifty指数之间的长期和短期协整:一种ARDL方法

该研究使用2000年1月至2022年12月的22年月度数据，研究了印度外国机构投资(FII)和Nifty指数之间的长期和短期协整关系。本研究为第二手性研究，收集自第二手来源，发布于官方网站。为了检验变量间的协整，我们采用了ARDL约束检验方法。研究证实，短期内存在正协整，但长期存在负协整，即nifty指数变化1%，短期内加速了FII投资的正变化19.0872万亿，而nifty指数的下降对FII投资的长期影响为负。边界检验的结果显示，f统计量(57.58212)比下界(3.62)和上界(4.16)出现更多，显示出显著的长期协整。通过观察结果，我们建议投资者在短期内进行动量交易，在长期内进行价值交易。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Asian Journal of Management Cases MANAGEMENT-

CiteScore

0.70

自引率

0.00%

发文量

期刊介绍： Asian Journal of Management Cases is a peer-reviewed journal that aims at providing high-quality teaching material to academics, consultants, and management developers, through cases on management practices in the socioeconomic context of developing Asian countries. The journal covers all administrative disciplines including accounting and finance, business ethics, production and operations management, entrepreneurship, human resource management, management information systems, marketing, organizational behaviour, strategic management, and managerial economics. Each issue of Asian Journal of Management Cases comprises four to five original case studies. Teaching cases should be accompanied with a Teaching Note (TN). Even though the TN will not be published, it is necessary for the review process and can be obtained by contacting the authors directly. Please refer to the online submission guidelines for details on writing a teaching note. AJMC does not publish pure research or applied research based on field studies (not case studies). The journal is published in March and September every year with thematically focused issues occasionally.