2019冠状病毒病期间印度机构投资者交易行为与股市收益动态的实证研究

2022 International Conference on Emerging Smart Computing and Informatics (ESCI) Pub Date : 2022-03-09 DOI:10.1109/ESCI53509.2022.9758361

R. Katoch

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引用次数: 0

摘要

该研究探讨了外国机构投资者(FII)净投资和国内机构投资者(DII)净投资在印度股票市场上的动态相互作用，在COVID之前和期间进行正反馈和负反馈交易。该研究应用了多变量因果关系模型VAR，发现FII系列在COVID期间对NIFTY回报的响应更大。此外，在COVID期间，FII投资的信息量更大。与COVID前时期相比，DII拥有的滞后投资的影响主要是FII净投资和NIFTY回报在塑造COVID期间DII流入方面的影响增加。在新冠肺炎期间，优美的回报率对境外机构投资和境内机构投资净投资的冲击没有反应。该研究可以为机构资金流动提供实质性推论，以重振受COVID-19冲击的印度股市。

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An Empirical Investigation Of Dynamics Of Institutional Investors' Trading Behaviour And Stock Market Returns In India During COVID-19 Period

The study has explored the dynamic interaction between Foreign Institutional Investors (FII) net investments and Domestic Institutional Investors (DII) net Investments in the Indian stock market for positive and negative feedback trading in both pre and during the COVID period. The study has applied multivariate causality model VAR and found FII series become much more responsive to NIFTY returns in the COVID period. Also, FII investments become more informative during the COVID period. When compared with the pre-Covid period, the effect of DII owned lagged investments has been dominated by the increased effect of FII net investments and NIFTY returns in shaping DII influx in the COVID period. NIFTY returns become nonresponsive to shocks in FII and DII net investments in the COVID period. The study can have substantial inferences for institutional fund flows to revive the Indian stock market from the shocks of COVID-19.

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2022 International Conference on Emerging Smart Computing and Informatics (ESCI)

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