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Indian Economics: Tragedy of a Forsaken Legacy Read chapter Read first chapter

2022 | OriginalPaper | Chapter

FII Trading Pressure and Stock Volatility in India

Authors : Anshul Jain, P. C. Biswal

Published in: Studies in International Economics and Finance

Publisher: Springer Singapore

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Abstract

Effect of trading volume on volatility has been established by research in large number of asset classes. Research in effect of trader type has revealed mixed evidence. Foreign Institutional Investors (FII) comprise a large trader group in Indian Equities. This study uses FII trade volume data for individual stocks to explore its effect on the volatility of these stocks. Trade volume has been used as an exogenous regressor in the EGARCH specification of daily volatility and has been found to have a significant effect in a large number of stocks. Our research indicates that FII purchases (sales) have a volatility lowering (heightening) effect in individual stocks.

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Metadata
Title
FII Trading Pressure and Stock Volatility in India
Authors
Anshul Jain
P. C. Biswal
Copyright Year
2022
Publisher
Springer Singapore
Book
Studies in International Economics and Finance

Print ISBN: 978-981-16-7061-9

Electronic ISBN: 978-981-16-7062-6

Copyright Year: 2022

DOI
https://doi.org/10.1007/978-981-16-7062-6_32