Please use this identifier to cite or link to this item: https://repository.iimb.ac.in/handle/2074/11320
DC FieldValueLanguage
dc.contributor.authorAnshuman, V Ravi-
dc.contributor.authorChakrabarti, Rajesh-
dc.contributor.authorKumar, K Kiran-
dc.date.accessioned2020-04-02T13:02:47Z-
dc.date.available2020-04-02T13:02:47Z-
dc.date.issued2016-
dc.identifier.issn0012-9976-
dc.identifier.urihttps://repository.iimb.ac.in/handle/2074/11320-
dc.description.abstractThis paper investigates whether the trading activity of foreign institutional investors adversely affects (intraday) volatility in the Indian stock markets. It reports that aggregate trading activity of FIIs dampens market volatility whereas aggregate trading activity of domestic investors exacerbates volatility. Further, the paper finds that positive shocks in aggregate trading activity have a greater impact than negative shocks; this asymmetry is stronger for aggregate domestic trades. Using a proprietary data set, the paper also relates individual stock volatility to tick-by-tick transaction volume, conditional on trader type and transaction type. The intraday results show that trading among FIIs does not increase stock volatility, but when FIIs sell to domestic clients or when domestic clients trade amongst themselves, volatility increases.-
dc.publisherSameeksha Trust-
dc.subjectForeign institutional investors (FII)-
dc.subjectTrading activity-
dc.subjectIntraday Volatility-
dc.subjectDomestic trades-
dc.titleFII trading activity and intraday volatility-
dc.typeJournal Article-
dc.pages133-141p.-
dc.vol.noVol.51-
dc.issue.noIss.12-
dc.journal.nameEconomic and Political Weekly-
Appears in Collections:2010-2019
Show simple item record

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.