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Measuring Foreign Portfolio Investment Volatility in India: Does Sectoral Stock Market Play Any Role? | International Journal of Advances in Business and Management Research (IJABMR)
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DOI: 10.62674/ijabmr.2025.v3i02.001
Published: 2025-12-12

Measuring Foreign Portfolio Investment Volatility in India: Does Sectoral Stock Market Play Any Role?

Assistant Professor
Banking FPI GARCH India Volatility

Abstract

Foreign Portfolio Investment (FPI) plays an important role in determining the economic status of countries. In this respect, this study analyses the pattern of FPI flow in India. Focusing on the short-run investment pattern, the trend of FPI has been highly volatile in nature. The analysis, thus, tends to examine FPI volatility and correlate it with one of the short-run Indian investment markets, i.e., the S&P BSE stock index, for the period 2006-2019. Taking monthly data, the analysis chooses the Generalised Auto Regressive Conditional Heteroskedasticity (GARCH) approach to measure volatility and judge the impact of three sectors of the S&P BSE index, which are FMCG, BANKEX and POWER, on it. The study explores the considerable significant positive influence of the first two sectors during this period. The consideration of the above three sectors is justified, as consumption, investment and government purchase are the three major contributors of national income measurement in any economy. The study inculcates policy frameworks which need to be formulated to strengthen the performance of sectors associated with consumer goods networks and investment markets through banking operations. This will subsequently result in improved control and resistance to FPI volatility, even during periods of increased inflow into India.

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Journal title

International Journal of Advances in Business and Management Research (IJABMR)

ISSN (online)

2584-1718

Publisher's name

Swami Vivekananda Global Academy, India

Established Since

2023

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info@ijabmresearch.org

DOI Prefix

10.62674/ijabmr

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Double Anonymous Peer Review

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CC BY-NC-ND

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