Estimating Changing Significance of Determinants of FII Flows to India over Different Time Periods in a Vector Autoregressive Framework Using Daily Data
利用2008年9月至2013年7月的日度数据，通过向量自回归模型分析印度股市外国机构投资者净流入与国内外股市回报、波动率及汇率等变量的因果关系，并考察不同市场情绪阶段下这些因素解释力的变化。
This paper aims at exploring the causal relationship between net foreign institutional investment flows to the Indian equity market with its possible covariates based on daily data for the period September 2008 to July 2013. The data has been analyzed in a Vector Autoregressive framework for determining the existence of long run relationships. Augmented Dickey Fuller (ADF) test and Johansen co-integration technique have been adopted for stationary test and co-integration. The explanatory variables chosen are domestic and US equity market returns, historic volatility of both domestic and US equity market returns, expected volatility of both domestic and US equity markets and the rupee dollar exchange rate. The study has been done for different time phases of Indian stock market sentiment to identify whether the explanatory variables chosen differ in their explanation of FII net inflows, controlling for market sentiment.