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Dr. K. N. Badhani
Reader, Department of Commerce, D.S.B. Campus, Kumaun University, Nainital
(Uttaranchal)INDIA, Email: badhanikn@yahoo.co.in
ABSTRACT
This study investigates the relationship between FII investments and the Indian stock
market performance during November 2003 and January 2007 by using forecasting
ARIMA model. The study shows that past FII investment have significant impacts on
current BSE Sensex & NSE Index; but there is no significant impact of current FII
investment on current BSE Sensex & NSE Index. An important implication of these
findings is that the FII investments in India deserve a well- calibrated policy response
while the daily movement of stock market in India should be better explained by other
factors than FIIs.
Key Words: BSE Sensex, NSE Index, FII Investment, ARIMA Model,
INTRODUCTION:
1
12042.56 points in April 30 due to the rising global interest rates, redemption pressures,
melt down in commodities, high oil
Prices and stretched valuation of excise. (Portfolio Organizer, July2006) The numbers
of registered FIIs have also shown an increasing trend. In the Financial year 2005-2006,
the number of registered FIIs increased from 686 to 906.This huge increase in the
number of FIIs shows their continuing interest in investing in Indian stock market.
Keeping in view, the present study attempts to examine the relationship between FII
investment and the Indian stock market performance. It aims to investigate whether
average monthly BSE Sensex and NSE Index are dependent on the current and past FII
net inflows. It also seeks to assess whether FII net inflows are dependent on the current
and past market BSE Sensex & NSE Index.
LITERATURE SURVEY:
The financial theory is that FII investments broadens the base of portfolio
diversification and cause a long-term increase in the stock prices by reducing the
equilibrium rate of return. It was however found that the FII behaviour played a
significant role during East Asian Crisis. So, understanding the relationship between
FII investment and Indian Stock Market is very important as it may have important
policy implications. There have been some studies in the past that attempted to explain
relationship between foreign investment flow and stock price, as follows:
Warther(1995) in his ‘price pressure hypothesis’ suggests that the increase in share
prices associated with foreign investment flow is caused by temporary liquidity (i.e.
excess demand) and predicts that this change in share price is subsequently reversed.
Merton (1997) shows that the expected return in the market with unrestricted investor
base is higher than restricted investor base. Entry of foreign investors in the stock
market broadens the investors’ base, which increases diversification and risk sharing,
lowering the risk premium for country specific volatility. Agarwal (1997) Chakrabarti
(2001) and Trivedi and Nair (2003) found that the equity return has a significant and
positive impact on the FII. But, given the huge volume of investments, foreign
investors could play a role of market makers and book their profits i.e. they can buy
their financial assets when the price are declining, thereby jacking-up the assets price
and sell when the assets price are increasing.
Prasuna (1999) examined the determinants of FII investments in India using monthly
data from January 1993 to March 1998. It was found that the relationship between
lagged FII investment and percentage change in BSE sensex, and NSE Index is
2
significant at 1% level. The FII relationship with exchange rate, interest rates, forward
premia and foreign exchange reserves have been found to be insignificant. Kumar
(2001) investigated the effects of FII inflows on the Indian Stock Market and concluded
that FII investments did not respond to shot-term changes or technical position of the
market and they are more driven by Fundamentals. In order to study impact of Net FII
Investment (NFI) on Sensex, a regression of NFI was estimated on lagged values of
the first difference of NFI, first difference of sensex and one lagged value of the error
correction term. The study concluded that Sensex causes Net FII Investment. Rai and
Bhanumurty (2003) studied the determinants of foreign institutional investment in India
during the period 1994-2002, by using monthly data and found that the equity returns is
the main driving force for FII investment and is significant at all levels. Gordon and
Gupta (2003) also examined causation running from FII inflows to return in BSE and
conclude that FIIs act as market makers and book profits by investing when prices are
low and selling when they are high.
Model-1
Model-2
Model-3
3
Model-4
t refers to current month, t-1 refers to one-month lag, t-2 means two months lag.et refers
to random stochastic error term
, 1 and 1 refers to the constant and regression coefficients respectively.
Durbin – Watson statistics:
Before any regression analysis can be applied to time series data, it is essential to find
that these data are random, or the error terms are free from auto correlation. The most
popular test to ascertain the presence or absence of auto correlated error terms is the
Durbin Watson d-statistics.
2
d = {(et − et −1) 2 } / et − − − − − (5)
For the formal test of significance, if there is no serial correlation, the DW statistics
will be around 2. The DW statistics will fall below 2 if there is positive serial
correlation. If there is negative correlation the statistics will lie somewhat in between 2
and 4. The study uses the d-statistics.
ARIMA Model:
The Acronym ARIMA stands for “Auto Regressive – Integrated Moving Average”
which is a class of linear models capable of representing stationary as well as non-
stationary time series. It does not involve independent variables in its constructions.
Rather it makes use of the information in the series itself to generate forecasts. It relies
heavily on auto correlation patterns of the data.
The auto correlation of a series Y at lag K is estimated by
_ _
T ( y − y )( y − y)
rk = t t −k − − − − − − ( 6)
_ 2
t = k +1 T
(Y t − y )
t −1
4
_
Where y is the sample mean of y. This is the correlation coefficient for values of the
series k periods apart. If r1 is non-zero, it means that the series is first order serially
correlated if rk dies off more or less geometrically with increasing lag k, it is a sign that
the series obeys a low order.
If the pattern of autocorrelation is one that can be captured by an auto regression of
order less than k, then the partial auto correlation at lag k will be close to zero. The
partial auto correlation at lag k recursively by
k −1
T
Tk 1 − k − 1, J Tk − j
J =1
k = k −1
− − − − − (7 )
1 − k − 1, J T j
J =1
For K = 1 for K > 1
kj = k −1, J − k , k − 1, k − j ,
In order to determine weather a series follow a purely auto regressive process or purely
a moving average process, the Box-Jenkins methodology comes into picture.
ARIMA (Auto Regressive Integrated Moving Average) models are generalizations of
the simple AR model that use three tools for modeling the serial correlation in the
disturbance.
The first tool is the auto regressive or AR term. An autoregressive model of order P,
AR (P) has the form
U t = P1U t − 1 + P 2 U t − 2 + − − − − − − − − + P p U t − p + t − − − − − − − − − − − (8)
Where Ut is the time series and t is an uncorrelated random error term with zero mean
and constant variance. Here the value of U at time t depends on its value in the previous
time period and a random error term.
The second tool is the integration order term. Each integration order corresponds to
differencing the series being forecasted.
The third tool is the MA or moving average term. A moving average forecasting model
uses lagged values of the forecast error to improve the current forecast. An MA (q) has
the form:
5
U t = a + 1 t − 1 + 2 t − 2 + − − − − − − − − + q t − q − − − − − − − −(9)
Where a is constant
The auto regressive and moving average specifications can be combined to form an
ARMA (p, q) specification.
U t = a + P1U t − 1 + P 2 U t − 2 + − − − − − − − − + P p U t − p + t + 1 6 − 1 + 2 t − 2 + − − − − − − − − q t − q − − − − − − − (10)
Where Ut = dependent variable
Ut-1, Ut-2 ------------ Ut-p = lagged variables upto P which is the number of auto
regressive terms.
P1, P2, Pp = regression coefficients, φ1, φ2 is the weights.
t is the residual or error term up to q, which is the number of past error terms included
in the model. `a’ represents a constant term. ARMA model use combinations of past
values and past errors and offer a potential for fitting models that could not be
adequately fitted by using an AR or MA model separately when the time series have to
be differenced to make it stationary, the model is called ARIMA instead of ARMA. Q
statistics is often issued, as a test of weather the series is white noise. There remains the
practical problem of choosing the order of lag to use for the test. If too small a lag is
chosen, the test may not detect serial correlation at high order lags. However, if too
large a lag is chosen, the test may have low power since the significant correlation at
one lag may be diluted by insignificant correlations at other lags.
The Q statistics at lag k is a test statistic for the null that there is no auto correlation
upto order as is computed as
2
k rj
QLB = T (T + 2) − − − − − − − − − (11)
j −1 T − j
6
the Table 3. The Table 3 shows that the one-month lag value, two- month lag and three-
month lag values of BSE Sensex, and one month, two -month lag value of net FII do
not significantly affects the current months investment pattern of FIIs.
The regression model-2 examines whether net FII investment is dependent on current
and past NSE Index. The results are shown in table 4. It is apparent from the Table 4
that the two-month lag and three-month lag NSE index and one month, two -month lag
value of net FII do not significantly affects the current months investment pattern of
FIIs. The `t’ value of these variables is not significant.
The regression model –3 examines whether current month’s BSE sensex is caused by
present and past FII investments. It is clear from the Table 5 that past FII investment
have quite impact on current BSE sensex. It is also found from the analysis that one-
month lag and two-month lag values of BSE sensex significantly affect current BSE
sensex at 1% and 5% level of significance.
The regression model -4 examined whether NSE Index is dependent on past and
present FII investment. It is found from the table-6 that past FII investment has
significant impact over NSE index. But one month and two-month lag NSE value
significantly affect current NSE index at 1% & 5% level of significance. Now it is
essential to find out that whether these results are in conformity to the ARIMA
findings. It is evident from all the tables that the Durbin Watson `d’ statistics for all the
models are around 2. Hence it can be concluded that the error terms in each of the
models are not serially correlated.
The correlogram test is done with Autocorrelation Function and Partial Autocorrelation
Function. Analysis of ACF and PACFs is important because correlograms for
stationary process exhibit certain characteristic patterns. For stationary process, the
ACFs and PACFs however will be around zero. If correlogram of a time series exhibits
such a pattern, the data series is stationary. The auto correlation and partial correlation
functions (ACF and PACFs) of the series of BSE sensex, NSE index and FII
investment are presented in the Table 7 through Table 12. The Table 11 and Table 12
reveal that the FII series is stationary and requires no differencing. Table 7 and Table 9
indicate that there is very high auto correlation between current and past BSE sensex as
well as NSE market index. These findings are also in conformity with the regression
results of significant (at 1% level) impact of past BSE Sensex and NSE Index on
present BSE Sensex and NSE Index respectively. Table 7 and Table 9 shows that BSE
sensex and NSE index series is non-stationary and differencing and log transformation
7
is needed to make the series stationary. After differencing once, the ACF and PACF for
BSE sensex and NSE index show that the series have become stationary which is
depicted in the Table 13, Table 14 ,Table 15 and 16. The Table 11 and Table 12
showed the presence of mixed ARMA process. Similarly, the Table 13 and Table 15
after log transformation indicated mixed ARMA process. The reliability of the ACFs
and PACFs can also be checked through the findings of various ARIMA model.
The Table 17 shows the summary results of ARIMA model. The AIC in Table 17
indicates that BSE sensex follows the ARIMA (1, 0, 0) when regressed on Net FII
investment since the AIC value of –94.422 are closest to zero. The Table 18 reveals
that NSE index follow the ARIMA (1, 0, 0) when regressed on FII investments, since
the AIC value of –94.439 is closest to zero. But ARIMA output shows a warning that
the order of the process may not be correctly estimated. This indicates that current BSE
sensex depends on the just preceding months’ BSE sensex as well as on FII investment,
which is confirmed with our multiple regression analysis. The Table 19 reveals that the
ARIMA (1,0, 0) on the AIC value is 59.914 which is minimum, and Table 20 depicts
ARIMA (1, 0, 0) in the AIC value’s 59.419 is minimum. This result is also confirmed
by regression results. Table-20 indicate that FII also follows autoregressive process of
order 1 and moving average process of order 0 and 1 respectively when regressed on
BSE and NSE index as given by the minimization of AIC values. The immediate next
minimum AIC is for ARIMA (2,0,0). These results also reinforce the findings of
regression models 1and 2.
CONCLUSION:
The present study examined the impact of Net FII investment on the Indian stock
market represented by BSE sensex and NSE index. The study shows that past FII
investment makes significant impact on current BSE Sensex & NSE Index; but there is
no significant impact of current FII investment on current BSE Sensex & NSE Index.
An important implication of these findings is that the FII investments in India deserve a
well- calibrated policy response while the daily movement of stock market in India
should be better explained by other factors than FIIs.
8
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9
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10
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Table 3: Regression Analysis of Net FII Investment on Current and Past BSE
Sensex and Past Net FII Investments
11
Table 6: Regression Analysis of Net FII Investment on Current NSE Sensex and
Past NSE Index, Current and Past Net FII Investments
Predicto Unstandar Unstandar Standard Mult R2 Adj DW F
r dised dised ised t iple R2
Variable B S.E.B R
FIIt .001 .004 .011 .406 0.98 0.97 0.97 1.84 298.054
9 9 4 0
FIIt-1 -.019 .003 -.140 -5.560*
FIIt-2 .005 .004 .036 1.181
FIIt-3 -.009 .003 -.069 -2.736*
NSEt-1 1.310 .161 1.351 8.144*
NSEt-2 -.319 .156 -.345 -2.049**
60.536 46.414 1.304
* Significant at 1% level * * Significant at 5% level
Table 7: Auto correlation: BSE Sensex
Lag Auto Standard Box-Ljung Prob.
Correlation Error
1 0.865 .158 29.987 0.000
2 0.719 .156 51.278 0.000
3 0.603 .153 66.734 0.000
4 0.496 .151 77.505 0.000
5 0.403 .149 84.822 0.000
6 0.332 .147 89.968 0.000
7 0.269 .144 93.460 0.000
8 0.205 .142 95.559 0.000
9 0.164 .139 96.940 0.000
10 0.134 .137 97.902 0.000
11 0.114 .134 98.627 0.000
12 0.101 .132 99.217 0.000
13 0.077 .129 99.573 0.000
14 0. 031 .126 99.635 0.000
15 -0.024 0.123 99.671 0.000
16 -0.075 0.121 100.058 0.000
12
14 - 0.092 0.164
15 - 0.068 0.164
16 - 0.042 0.164
Table 9: Auto Correlation: NSE Index
Lag Auto Stdard Box-Ljung Prob.
Correlation Error
1 0.860 0.158 29.679 0.000
2 0.722 0.156 51.142 0.000
3 0.601 0.153 66.491 0.000
4 0.484 0.151 76.740 0.000
5 0.385 0.149 83.409 0.000
6 0.311 0.147 87.915 0.000
7 0.251 0.144 90.948 0.000
8 0.191 0.142 92.771 0.000
9 0.157 0.139 94.042 0.000
10 0.139 0.137 95.071 0.000
11 0.122 0.134 95.898 0.000
12 0.111 0.132 96.607 0.000
13 0.098 0.129 97.188 0.000
14 0.049 0.126 97.336 0.000
15 - 0.013 0.123 97.348 0.000
16 - 0.68 0.121 97.669 0.000
Table 10: Partial Correlation: NSE Index
Lag Partial Auto Correlation Standard Error
1 0.860 0.164
2 - 0.073 0.164
3 - 0.008 0.164
4 - 0.064 0.164
5 - 0.007 0.164
6 0.029 0.164
7 - 0.002 0.164
8 - 0.043 0.164
9 0.052 0.164
10 0.030 0.164
11 - 0.002 0.164
12 0.008 0.164
13 - 0.016 0.164
14 - 0.143 0.164
15 - 0.075 0.164
16 - 0.033 0.164
13
4 - 0.058 0.151 2.944 0.567
5 - 0.144 0.149 3.882 0.566
6 - 0.121 0.147 4.564 0.601
7 - 0.124 0.144 5.298 0.624
8 - 0.062 0.142 5.489 0.704
9 0.015 0.139 5.501 0.789
10 - 0.093 0.137 5.963 0.818
11 - 0.002 0.134 5.963 0.876
12 0.157 0.132 7.389 0.831
13 0.017 0.129 7.406 0.880
14 0.109 0.126 8.148 0.881
15 0.129 0.123 9.239 0.865
16 0.129 0.121 10.378 0.846
14
11 - 0.033 0.135 16.711 0.117
12 0.155 0.132 18.075 0.113
13 - 0.029 0.130 18.124 0.153
14 - 0.002 0.127 18.124 0.201
15 - 0.011 0.124 18.133 0.256
16 - 0.112 0.121 18.990 0.269
15
1 0.300 0.1679
2 0.152 0.167
3 0.040 0.167
4 - 0.150 0.167
5 - 0.384 0.167
6 0.101 0.167
7 - 0.195 0.167
8 0.148 0.167
9 - 0.121 0.167
10 0.059 0.167
11 0.000 0.167
12 - 0.085 0.167
13 0.009 0.167
14 - 0.112 0.167
15 - 0.041 0.167
16 - 0.088 0.167
Table 17: Summary of ARIMA (p, d, q) Models For BSE Sensex Regressed on FII
ARIMA Standard AIC ARIMA SE AIC
(p, d, q) Error (p, d, q)
1, 0, 0 0.060 -94.422 1,1,7 0.043 -111.679
1, 0, 1 0.052 -104.204 1,1,9 0.043 -108.846
1, 0, 2 0.052 -103.351 2, 1, 2 0.020 -172.568
1, 0, 3 0.048 -104.108 2,0,0 0.048 -109.384
1, 0, 4 0.044 -110.282 2, 0,2 0.048 -107.941
1, 0, 5 0.044 -108.824 2, 0,4 0.044 -108.945
1, 0, 7 0.047 -104.666 2, 0,5 0.046 -106.00
1, 0,9 0.046 - 102.794 2, 1,0 0.0145 -116.793
1, 1,0 0.044 -118.460 2,1,2 0.046 -112.518
1, 1, 1 0.045 -116.736 2,1,4 0.042 -113.963
1, 1, 2 0.045 -115.276 2,1,5 0.041 -115.233
1,1,5 0.039 -117.828
Table 18: Summary of ARIMA (p, d, q) ModelsFor NSE Index Regressed on FII
ARIMA Standard AIC ARIMA SE AIC
(P, d, q) Error (P, d, q)
1, 0, 0 0.061 -94.439 1, 1, 9 0.043 -107.722
1, 0, 1 0.054 -101.228 2,0,0 0.043 -107.722
1, 0, 2 0.053 -101.714 2, 0, 2 0.046 -105.603
1, 0, 4 0.045 -108.117 2, 0, 4 0.044 -108.448
1, 0, 5 0.045 -107.i63 2, 0, 5 0.047 -104.429
1, 0, 7 0.045 -104.771 2, 0, 7 0.046 -102.662
1,0,9 0.049 -94.740 2,0,9 0.045 -98.954
1,1,0 0.046 -115.39 2, 0, 0 0.043 -107.722
1, 1, 1 0.046 -113.901 2, 0.2 0.046 -105.603
1, 1, 2 0.047 -112.682 2, 1, 0 0.046 -114.192
1, 1, 3 0.046 -111.854 2, 1, 2 0.043 -114.659
1, 1, 4 0.039 -118.249 2, 1, 5 0.039 -116.514
1, 1, 6 0.041 -113.605 2, 1, 7 0.042 -110.879
16
Table 19: Summary of ARIMA (p, d, q) ModelsFor Net FII Investment Regression
BSE Sensex
ARIMA Standard AIC ARIMA SE AIC
(P, d, q) Error (P, d, q)
1, 0, 0 0.603 59.914 1, 1, 3 0.672 68.862
1, 0, 1 0.611 61.748 1, 1, 4 0.635 68.052
1, 0, 2 0.612 63.193 2, 0, 0 0.609 61.567
1, 0, 4 0.573 63.205 2, 0, 1 0.620 63.711
1, 0, 5 0.568 64.571 2, 0, 3 0.566 64.390
1, 0, 6 0.604 67.790 2, 0, 5 0.593 67.373
1,0,9 0.603 72.464 2, 1, 0 0.644 64.740
1, 1, 0 0.649 64.707 2, 1, 3 0.631 68.760
1, 1, 2 0.662 66.901 2, 1, 5 0.677 73.537
Table 20: Summary of ARIMA (p, d, q) Models for Net FII Investment Regressed
on NSE Index
ARIMA Standard AIC ARIMA SE AIC
(p, d, q) Error (p, d, q)
1, 0, 0 0.599 59.419 2, 0, 1 0.616 63.242
1, 0, 1 0.606 61.285 2, 0, 4 0.577 64.617
1, 0, 3 0.599 63.574 1, 1, 0 0.644 64.307
1, 0, 4 0.569 62.677 1, 1, 2 0.641 65.740
1, 0, 5 0.583 64.759 1, 1, 5 0.618 69.798
1, 0, 7 0.598 68.587 2, 1, 0 0.633 63.709
1,0,8 0.592 71.648 2, 1, 1 0.649 65.832
2, 0, 0 0.604 61.109 2, 1, 3 0.667 69.513
17