Asian Journal of Economics, Business and Accounting

Volume 25, Issue 4, Page 131-137, 2025; Article no.AJEBA.132915

ISSN: 2456-639X

An Empirical Study on the Impact of

FII and DII on Volatility, Leverage and
Long-Term Returns of the Indian
Stock Index
Vikram a++, Debasis Mohanty b#* and Archa Agrawal c†
aSchool of Management, K. K. Modi University, Durg, India.
b School of Management, O. P. Jindal University, Raigarh, India.
c ITM University, Raipur, India.

Authors’ contributions

This work was carried out in collaboration among all authors. All authors read and approved the final
manuscript.

Article Information
DOI: https://doi.org/10.9734/ajeba/2025/v25i41739

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Received: 20/01/2025
Original Research Article Accepted: 22/03/2025
Published: 26/03/2025

ABSTRACT

Estimating volatility is the key factor to be analyzed in taking the financial decisions. Financial
strategies are framed after due investigation of financial market volatility. This study examines the
impact of foreign institutional investment (FII) & Domestic Institutional investment (DII) in Indian
stock market and analyses the volatility of National Stock Exchange (NSE) categorical indices for
the period of 10 years from 20th February 2014 to 20th February 2024. The study is conducted using
_____________________________________________________________________________________________________
++
Associate Professor;
#
Assistant Professor (Sr-Grade);
†
Student;
*Corresponding author: E-mail: [email protected];

Cite as: Vikram, Debasis Mohanty, and Archa Agrawal. 2025. “An Empirical Study on the Impact of FII and DII on Volatility,
Leverage and Long-Term Returns of the Indian Stock Index”. Asian Journal of Economics, Business and Accounting 25
(4):131-37. https://doi.org/10.9734/ajeba/2025/v25i41739.
 Vikram et al.; Asian J. Econ. Busin. Acc., vol. 25, no. 4, pp. 131-137, 2025; Article no.AJEBA.132915

the logarithmic return of series of Nifty 50, Nifty Midcap 50 & Nifty Small Cap 50. GARCH (1,1) and
T-GARCH (1,1) model have been used to check the volatility & leverage effect in the three major
indices of Nifty. The study shows Nifty MidCap 50 is highly volatile compared to Nifty50 & Nifty
Small Cap 50. By analyzing T-GARCH all the indices have leverage effect. Moreover, foreign
institutional investment (FII) & Domestic Institutional Investment (DII) have statistically significant
impact on volatility of Nifty 50 & Nifty Midcap 50. The study will be helpful for the retail as well as
institutional investors for identifying & comparing the volatility of different indices.

Keywords: ARCH; GARCH; Institutional investment (FII); volatility; nifty; Domestic Institutional
investment (DII), National Stock Exchange (NSE).

1. INTRODUCTION Nifty and to find out the impact of FII & DII in
volatility of Nifty indices.
The Indian stock market is been identified by its
stochastic nature which involves the vulnerable 2. REVIEW OF LITERATURE
ups and downs of equities. Unpredictable Capital
market is an indispensable gauge of dynamic Indian stock market started its growth journey
irrationality of the securities. Volatility is termed from the period of economic reform. The foreign
as the fluctuations in the returns caused by the funds start appreciating from this period. But at
changes in price of security. It is measured by the same time, these capital flows have also
the variance or Standard deviation. Increase and given a significant threat like economic and
decrease in the prices of securities is common in financial threats to the system of the economy.
stock market and not easy for investor to analyze The threats being very prominent in terms of
and predict. It becomes more complicated when inflationary, overheating of the system and
the fluctuations are steep and sharp. Investors unmanageable volatility in the Indian capital
face a challenging task to analyze and formulate market due to the uncertain nature of these
strategies when there is an excessive fluctuation. FII/DII flows (Kashyap et al., 2017; Mohanty et
From past many years, rigorous studies and al., 2023). As per the report over US$ 64 billion
research has been conducted for modelling and investment have been made by FII’s in 2020,
forecasting the volatility. It has become the most considering to be the 5th largest recipient in the
important factor for investment decision (Bagchi world. Attractive opportunities to investors is
et al., 2022). Thus, a study on stock market being provided by Mid cap & Small Cap
volatility is very essential in a developing country companies (IBEG). The Foreign Institutional
like India. Several models have been proposed Investors (FIIs) have arisen as imperative players
to capture the Volatility of stock market. First in the Indian stock market and their developing
model named as Autoregressive conditional commitment adds as a significant element of the
heteroskedasticity ARCH was introduced by improvement of stock market in India (Kannan &
Robert Engle in 1982. Later by Tim Bollerslev, Arockiam, 2016; Mohanty et al., 2021a).
Generalized model of it with incubating the lags Subsequently, the Indian stock markets have
of conditional variance was developed naming as arrived at new statures and turned out to be
GARCH (Generalized ARCH). These models more unstable making the research work in this
have been frequently used by researchers to element of building up the connection among FIIs
study the volatility of stock market. and stock market volatility. The Domestic
Institutional Investors are additionally the
There are two broad sources of investment in significant financial backers in corresponding to
Indian stock market: Foreign Institutional Foreign Institutional Investors and comprehend
Investors & Domestic Institutional Investors other the general methodologies of Domestic players
than the retail investors (Mohapatra et al., 2024) accessible in the market. Hence, it's an intriguing
Domestic Institutional Investors refers to those space of research to analyze the influence of FIIs
investors who invest as an institution like, Mutual and DII in Stock Market Volatility (Dhananjaya,
Funds, Insurance companies Development 2020).
Financial institutions etc. Whereas, Foreign
institutional Investors refers to those institution India is one among the fastest growing economy.
investors who invest in country outside which The whole world keeps an eye on India for the
they reside. The study is aimed to determining purpose of investment. The stock exchanges of
the volatility of varied broad market indices of India like BSE and NSE are getting more

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attractiveness. The exchanges are becoming volatility, GARCH model will be applies in this
pretty volatile. This volatility is a result of FIIs flow study. Prior to applying the model, there are
to the country. The measures of volatility are so certain assumptions which must be checked.
many but GARCH is one among the most trusted Stationary of the series, Presence of volatility
techniques (Garg & Bodla, 2011; Mohanty et al., clustering & heteroscedasticity are those
2021b). BSE being the oldest stock exchange of assumptions. The statistical tool used to carry
Asia, is one of the most attractive stock out all the tests and to estimate all the models of
exchanges of the continent. The volatility of this study is Eviews 11.
Sensex makes people more reluctant to invest in
this. The volatility is contributed by so many 3.3 Stationarity Test
factors including FII flow. There has been a good
long run association between FII and stock return Stationary time series refers to those series
as well as volatility of stocks (Kedia, 2017). whose properties does not depend on the time
when observed and are constant. Statistical
Foreign Institutional Investors are one among the forecasting are generally based on the
biggest players in the stock market. Investors assumption that stationarized series is relatively
tend be a very deciding factor for the growth of a easy to predict. In order to test the stationarity,
stock market. It is important to know the Augmented Dickey Fuller Test (ADF test) has
correlation between the funds flow and volatility been used. The null hypothesis is:-
of the stock market (Loomba, 2012; Vikram et al.,
H0: There is a unit root; the time series is non
2022a). Not only domestic investors but also
stationary.
foreign investors keep investing in Indian
markets. The prominent market indices are Nifty 3.4 Heteroscedasticity Test
50, Sensex, BSE 100 etc. Volatility of the stocks
are very closely associated with the flow of funds One of the most vital aspect before applying
from both domestic and foreign sources (Gahlot, GARCH model is to primarily examine the
2019). residual of the series for evidence of
heteroscedasticity (Bollerslev et al., 1992). To
The relationship can be analyzed by using so examine the presence of heteroscedasticity,
many different tools. When the data are ARCH-LM test proposed by Robert Engle is
stationary in different levels ARDL model can be applied (engle). The null hypothesis is that there
a best model (Srivastava & Varshney, 2020; is no arch effect up to order q.
Khandelwal & Mohanty, 2021). However ARCH
and GARCH models can be used to check the ∆yt=∝0 + θyt-1 +Xni=1 ∝ ∆yt + et (1)
volatility too (Joo, 2014). The tools like VAR,
VECM and Johansen co-integration can be used where ‘y’ explains the differenced time series, ‘t’
to check the log-run relationship among the is the time, ‘n’ represents number of optimum
variables (Ikizlerli, 2020). lags, ‘α0’ is the constant and ‘e’ represents the
error term.
3. RESEARCH METHODOLOGY
3.5 GARCH Model
3.1 Data Collection
To investigate the volatility clustering and
persistence level of Nifty 50, Nifty Mid Cap 50 &
The current study is focused on return series of
Nifty small Cap 50, Generalized Autoregressive
indices whose values are obtained from National
Conditional Heteroscedasticity model has been
Stock Exchange website. Nifty50, Nifty Mid Cap
employed which is used for modeling volatility
50 & Nifty Small Cap 50 indices are considered
(Andersen et al., 2014). It is considered to be the
to be the representative samples of share value
standard model for estimating volatility. The
in India as it is believed to reflect the
equation is,
performance of the entire stock market. Data
span a 10year period 20th February 2014 to 20th Rt = µ+ t (2)
February 2024.
𝑝 q
ℎ𝑡 = 𝜔 ∑𝑖=1 ∝i ɛ2 t−1 + ∑j=1 βj ht−j (3)
3.2 Methodology
Where Rt indicates the conditional mean, ℎ𝑡
Volatility refers back to the unfold of all probable explains conditional variance, t is the error term
results of anunsure variable. To measure the for mean equation, q and p are the lag of the

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residual and conditionalvariance terms in the 4. RESULT ANALYSIS AND

variance equation, ω and µ are the constant. DISCUSSION
αi and βiareused to depict the Arch effect &Garch
effect respectively. ‘α’ depicts the recent news 4.1 Descriptive Statistics
about volatility from previous period, measured
as the lag of the squared residuals, whereas ‘β’ Table 1 reports the descriptive statistics of 10
explains the long-term volatility from the last years of daily return series of Nifty 50, Nifty Mid
period forecast. (α + β) indicates the level of Cap 50 & Nifty Small Cap 50. The Fig. 1 indicate
persistence in series,so higher values of (α + β) that all the three indices have a positive return in
imply higher persistence in volatility (Rastogi, the long run. Nifty Mid Cap 50 (-0.896) & Nifty
2014). Small Cap 50 (-0.853) have a negative skewness
value which leads to a long left tail. While Nifty
3.6 Garch Model with Exogeneous 50 (0.130) has a positive skewness value leading
Variable to a long right tail. The kurtosis value of the
indices is greater than 3 which represents that all
It is evident from the literature review that the the series are leptokurtic. As the figures of
upward or downward movement of the stock Jarque-Bera Statistics are less than 1%
market is impacted by the net flows of FII & DII. significance level, there is an absence of
Hence, Net flows of FII & DII for the period 12 normality in the series (Vikram et al., 2022b).
years from Feb 2009 to Feb 2021 are used as
regressors to from the extended GARCH model. The time series plot of daily returns for Nifty 50,
The equation formed is, Nifty Mid Cap 50 & Nifty small Cap 50 is present
in Fig. 1. From the below-given plot, it is clear
Conditional mean equation, that there are periods of high and low volatility for
yt = µ + λ1FIIt + t (4) all the indices. The presence of Volatility
clustering is identified through figures. There is a
Conditional variance equation, continuous variation without a definite pattern in
the data. All the series are mean-reverting as
ht2 = ω + α1ε2t−1 + β1h2t−1 + δ1FIIt (5) they are fluctuating nearby Zero.

Fig. 1. Graphical representation of the time series plot showing daily returns for nifty 50, nifty
mid cap 50 & nifty small cap 50

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Table 1. Descriptive statistics result

Particulars Nifty 50 Nifty Mid Cap 50 Nifty Small Cap 50

Mean 0.000540 0.000565 0.000451
Std. Deviation 0.012074 0.015087 0.015162
Skewness 0.131590 -0.689645 -0.853755
Kurtosis 24.17717 12.15027 10.50127
Jb Statistics 54666.01* 10436.14* 7213.1344*
*Significance at 1% level

Table 2. ADF test & ARCH-LM test

Particulars ADF in Level T-Statistics ARCH Effects Obs *R-squared

Nifty 50 -19.53473* 26.02815*
Nifty Mid Cap 50 -50.60728* 42.64378*
Nifty Small Cap 50 -45.94607* 29.22677*

Table 3. GARCH (1, 1) model estimation

Parameters Nifty 50 Nifty Midcap 50 Nifty Small Cap 50

Variance C (constant) 1.90E-06* 8.45E-06* 1.54E-05*
Equation (ARCH - α) 0.021856* 0.053212* 0.062911*
GARCH (-1) (β) 0.900989* 0.865514* 0.802045*
α+β 0.922845 0.918726 0.864956
Log likelihood 9303.512 8394.821 8412.560
Residual Arch LM Test statistic 1.906326 0.464604 1.717679
Diagnostics P-Value 0.1675 0.4955 0.1901

Table 4. Garch (1, 1) model estimation with exogeneous regressor

Parameters Nifty 50 Nifty Mid Cap 50 Nifty Small Cap 50

Variance C (constant) 1.90E-06* 8.82E-06* 1.60E-05*
Equation (ARCH - α) 0.15000* 0.099597* 0.127997*
GARCH (-1) (β) 0.60000* 0.865810* 0.803005*
FII (-1) -7.51E-09* -3.77E-09* -3.15E-09**
DII (-1) -9014E-09* -4.53E-09* -1.85E-09
Log likelihood 8953.299 8383.909 8394.854
Residual Arch LM Test statistic 1.906326 0.464604 1.717679
Diagnostics P-Value 0.1675 0.4955 0.1901

To predict the volatility of Nifty 50, Nifty Mid Cap hypothesis has been not supported, resulting that
50 & Nifty Small Cap 50, GARCH family models there is stationarity among the series. The null
are employed. Stationarity of series and hypothesis of Arch-LM test is that there is no
presence of heteroscedasticity are the pre existing ARCH up to order q in the residuals.
conditions to be met before applying GARCH Since the p-value of Arch-LM test was less than
models. To examine the above-mentioned 0.05, it is concluded that there is autoregressive
conditions, the ADF test & ARCH-LM test were conditional heteroscedasticity in the dataset. As
applied respectively. the required conditions to apply GARCH has
been fulfilled, GARCH (1,1) model can be
4.2 ARCH and GARCH Result applied to the return series.

Table 2 here projects the results of Unit root test To estimate the volatility of Nifty Indices, GARCH
& presence of heteroscedasticity of the dataset. (1,1) model has been used. Table 3 here depicts
The null hypothesis of ADF test is that there is the estimation of GARCH model applied on Nifty
presence of unit root among series. It is evident 50, Nifty Mid Cap 50 & Nifty Small Cap 50. The
from the column 1 of the Table 2 that the null Arch term tells that the current data is influenced

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by the past squared residual term (news about necessary not understand the impact of all the
previous volatility). Whereas, The GARCH term factors contributing to volatility of the market and
here says that previous volatility has a significant the stocks as well.
influence in current volatility. The arch coefficient
of Nifty 50 (0.021856), Nifty Mid Cap 50 The study provides a useful insight to the policy
(0.053212) & Nifty Small Cap 50 (0.062911) are makers, Government and regulatory bodies to
positively significant at 1% level. The Garch have proper steps to strengthen the flow of
coefficient of Nifty 50 (0.900989), Nifty Mid Cap funds. This study will be helpful to the portfolio
50 (0.865514) & Nifty Small Cap 50 (0.802045) managers and retail investors to understand the
are also positively significant at 1% level. This volatility and its linkage to FII and DII.
leads to interpretation that the previous news &
previous volatility has a influence over current DISCLAIMER (ARTIFICIAL INTELLIGENCE)
volatility among these indices. Sum of Arch
&Garch coefficients depicts the persistence level Author(s) hereby declare that NO generative AI
of Volatility. If sum of these terms is one then technologies such as Large Language Models
they are persistent. In this study, sum of arch and (ChatGPT, COPILOT, etc.) and text-to-image
garch term for Nifty 50, Nifty Mid Cap 50 is & generators have been used during the writing or
Nifty Small Cap 50 is closer to unity we can editing of this manuscript.
conclude that the volatility of Nifty 50, Nifty Mid
Cap 50 & Nifty Small Cap 50 can be mean COMPETING INTERESTS
reverting and time decaying.
Authors have declared that no competing
Foreign Institutional Investors & Domestic interests exist.
Institutional Investors have a great influence on
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