The Indian stock market S and P CNX Nifty Index (Nifty) is a well diversified index of 50 companies. Foreign Institutional Investors (FII’s), wield significant influence over daily trading volumes in both the spot and derivative segments in the Indian markets. This tends to impact market volatility and returns. This study attempted to study the effect of FII transaction amounts, derivative turn over amounts and volatility on the performance of the Nifty index. A strong correlation was observed between derivative turnover and the Nifty but the correlation was relatively weaker between the Nifty and FII transaction amounts and Volatility. FII and F&O activity established important tops ahead of major tops in the Nifty. Volatility remained low during periods of significant upside in the stock market but spiked up during market declines. Linear and Non-linear models using multivariate analysis were fit to estimate the Nifty from the respective independent variables. A non linear model involving all three variables provided the best fit and the least deviation from actual values suggesting that interplay of these and other factors drive the performance of the index.
Keywords: Nifty, FII transaction amounts, F&O turnover, Volatility, Nifty forecasting, Linear and Non Linear Models.
Inhaltsverzeichnis (Table of Contents)
- Introduction
- Literature Review
- Methodology
- Results and Discussion
- Conclusion
Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)
This study aims to analyze the influence of foreign institutional investor (FII) transaction amounts, derivative turnover (futures and options - F&O), and volatility on the performance of the Nifty index. The study investigates how these factors contribute to the estimation of the index through linear and non-linear models.
- The role of FII activity in the Indian stock market.
- The impact of derivative turnover on market performance.
- The influence of volatility on the Nifty index.
- Development and comparison of linear and non-linear models for Nifty estimation.
- Identifying key factors that drive the performance of the Nifty index.
Zusammenfassung der Kapitel (Chapter Summaries)
Introduction: This section introduces the Nifty index as a key indicator of India's economic progress and discusses the significance of FII activity, derivative turnover, and volatility in relation to the index.
Literature Review: This chapter reviews relevant research on market indices, FII activity, derivative markets, and volatility. It explores existing studies on the impact of these factors on market performance, highlighting the lack of consensus regarding their influence on the Nifty index.
Schlüsselwörter (Keywords)
Nifty, FII transaction amounts, F&O turnover, volatility, Nifty forecasting, linear and non-linear models, Indian stock market.
- Quote paper
- Rajveer Rawlin (Author), 2011, Multivariate Analysis to get an Estimate of the Indian Stock Market Nifty Index, Munich, GRIN Verlag, https://www.grin.com/document/182366
