| Description |
1 online resource (30 pages) : illustrations (some color) |
| Series |
IMF working paper ; WP/13/122 |
|
IMF working paper ; WP/13/122.
|
| Contents |
Cover; Foreign Investors Under Stress: Evidence from India; 1. Introduction; 2. Related Literature; 3. Methodology and Data; FII Data; Stock Market Data; Interest and Exchange Rates; Methodology; Extreme events methodology #1: Uncontaminated events only; Extreme events methodology #2: Some runs of extreme event also; 4. Results; 5. Robustness checks; 6. Conclusion; References; Figures; Figure 1: Net FII Flows; Figure 2: Normalized Net FII Flows; Figure 3: Monte Carlo experiment; Figure 4: Extreme event on Nifty and response of FII; Figure 5: Extreme event on FII and response of Nifty |
|
Figure 6: Extreme event on S & P 500 and response of FIIFigure 7: Extreme event on S & P 500 and response of Nifty; Figure 8: Extreme event on FII and response of call money rate; Figure 9: Extreme event on FII and response of INR; Figure 10: Extreme event on VIX and response of FII; Tables; Table 1: Summary Statistics; Table 2: Distribution of events at 5%; Table 3: Runs distribution; Table 4: Quantile values (per cent) for tail at 5%; Table 5: Yearly distribution of extreme values (5% tails) |
| Summary |
Emerging market policy makers have been concerned about the financial stability implications of financial globalization. These concerns are focused on behavior under stressed conditions. Do tail events in the home country trigger off extreme responses by foreign investors - are foreign investors ̀fair weather friends'? In this, is there asymmetry between the response of foreign investors to very good versus very bad days? Do foreign investors have a major impact on domestic markets through large inflows or outflows - are they 'big fish in a small pond'? Do extreme events in world markets induce extreme behavior by foreign investors, thus making them vectors of crisis transmission? We propose a modified event study methodology focused on tail events, which yields evidence on these questions. The results, for India, do not suggest that financial globalization has induced instability on the equity market |
| Notes |
"May 2013." |
| Bibliography |
Includes bibliographical references (pages 19-21) |
| Notes |
Print version record |
| Subject |
Investments, Foreign -- India
|
|
Investments -- India
|
|
Investments
|
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Investments, Foreign
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India
|
| Form |
Electronic book
|
| Author |
Shah, Ajay, author.
|
|
Singh, Nirvikar, author.
|
| ISBN |
1299678041 |
|
9781299678040 |
|
