Journal ArticleDOI
Examining Granger Causality in the Behavioral Reactions of Institutional Investors— Evidence from India
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TLDR
In this article, the behavioral reactions of foreign and domestic institutional investors in the Indian stock market were examined and some critical questions on whether these two types of institutional investors can be categorized into two groups.Abstract:
The study examines the behavioral reactions of foreign and domestic institutional investors in the Indian stock market. It poses some critical questions on whether these two types of institutional ...read more
Citations
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Institutional Trading and Share Returns
TL;DR: This article investigated the relation between institutional trading and share returns and found that growth-oriented managers are momentum traders, while style-neutral and value managers are contrarian, and the contemporaneous relation between investment managers' trading and returns depends on trade size, broker use, and investment style.
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Do Lower Foreign Flows and Higher Domestic Flows Reduce Indian Equity Market Volatility
TL;DR: In this article, the authors examined the relationship that both domestic and foreign institutional net equity flows have with the India stock markets, and examined whether increased investment increased India stock market performance.
References
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Journal ArticleDOI
Co-integration and Error Correction: Representation, Estimation and Testing
TL;DR: The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples.
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Investigating Causal Relations by Econometric Models and Cross-Spectral Methods
TL;DR: In this article, the cross spectrum between two variables can be decomposed into two parts, each relating to a single causal arm of a feedback situation, and measures of causal lag and causal strength can then be constructed.
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Statistical analysis of cointegration vectors
TL;DR: In this paper, the authors consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors, and derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimensions.
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Likelihood ratio statistics for autoregressive time series with a unit root
David A. Dickey,Wayne A. Fuller +1 more
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Maximum likelihood estimation and inference on cointegration — with applications to the demand for money
Søren Johansen,Katarina Juselius +1 more
TL;DR: In this paper, the estimation and testing of long-run relations in economic modeling are addressed, starting with a vector autoregressive (VAR) model, the hypothesis of cointegration is formulated as a hypothesis of reduced rank of the long run impact matrix.