文章基本信息

标题：FII and Its Impact on Stock Market: A Study on Lead-Lag and Volatility Spillover
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作者：Namita Rajput ; Parul Chopra ; Ajay Rajput 等
期刊名称：Asian Journal of Finance & Accounting
印刷版ISSN：1946-052X
出版年度：2012
卷号：4
期号：2
页码：18-38
语种：English
出版社：Macrothink Institute
摘要：In this paper we examine the information spillover and volatility spill-over relationship for Indian stock market. We cover data during 1992-2011. We examine if there has been an increase in volatility persistence in the Indian stock market on after the process of financial liberalization initiated in India. Further, we examine the shifts in stock price volatility and the nature of events that apparently cause the shifts in volatility. We examine if there has been an increase in volatility persistence in the Indian stock market on after the process of financial liberalization initiated in India. This paper explores to develop alternative models from cointegration, VECM, Variance De-composition Analysis, Granger causality, Block Exogeneity wald test, Impulse Response Analysis and alternative forms of the Autoregressive Conditional Heteroscedasticity (ARCH) or its generalisation, the Generalised ARCH (GARCH) family, to estimate volatility in the Indian equity market return. Bidirectional informational spillover is confirmed. The bidirectional volatility spill-over, persistence and clustering is also confirmed in the sample series. Our findings have implications for policy makers, hedgers and investors. The research contributes to present investment literature for emerging markets such as India.