Forecasting Foreign Institutional Investment Flows towards India Using ARIMA Modelling

Vaishali S. Dhingra; Hemantkumar P. Bulsara; Shailesh Gandhi

doi:10.7595/management.fon.2015.0009

Vaishali S. Dhingra S.V.National Institute of Technology (SVNIT), Surat
Hemantkumar P. Bulsara S.V.National Institute of Technology (SVNIT), Surat
Shailesh Gandhi Indian Institute of Management (IIM), Ahmedabad

DOI: https://doi.org/10.7595/management.fon.2015.0009

Abstract

India has witnessed substantial increase in capital flows, particularly Foreign Institutional Investment in equity as well as derivatives segment since the 1990s. However, FII flows are sighted as ‘hot money’- more volatile than other type of flows, which gets affected by the domestic and global- macro economic factors, thereby raising questions about the need to encourage FII flows in narrow and shallow (in terms of absorption capacity) capital market such as India. This paper attempts to forecast daily Aggregate FII flow in Indian Capital market and particularly in Futures Market (Derivative Segment) using Auto Regressive Integrated Moving Average (ARIMA) model.The paper tries to examine FII flows in India towards futures market along with spot market by tracing which AR terms and/or MA terms influence the current inflow or outflow.

Author Biographies

Vaishali S. Dhingra, S.V.National Institute of Technology (SVNIT), Surat

Dr.Vaishali S. Dhingra, MBA, works as a teaching assistant at the SVNIT, Surat, India, where she obtained her PhD degree. She has more than 7 years of experience in corporate as well as academic areas. She has attended many workshops, seminars and conferences at national and international levels. She has also co-authored many papers
in national and international journals. Her areas of interest are Security Analysis and Portfolio Management, Quantitative Analysis, Econometrics and Time Series Analysis.

Hemantkumar P. Bulsara, S.V.National Institute of Technology (SVNIT), Surat

Dr.Hemantkumar P. Bulsara received his Bachelor of Engineering (Production Engineering) degree from S. V. National Institute of Technology (NIT), Surat, India and Double MBA from DBIM, VNSGU, Surat, India. He did his FDPM from the Indian Institute of Management, Ahmedabad (IIM A), India and completed his Ph.D. from S. V. National Institute of Technology (NIT), Surat, India. At present, he is an assistant professor (Economics & Management) and In – Charge of Management section at S. V. National Institute of Technology (NIT), Surat, India. He has more than 15 years of experience. His areas of research are Technology Innovations and Entrepreneurship, Technology Business Incubation, Marketing Management, Strategy and Supply Chain Management. He has more than 50 publications. He is an editorial board member and reviewer of several national and international Journals of repute. He has been a keynote speaker, Conference chair and a session chair at national and international levels. He travelled to many countries such as USA, UK, France, Netherlands, Italy, Bali Indonesia, Hong Kong, Macau, Thailand, Malaysia, Singapore, Finland, etc.

Shailesh Gandhi, Indian Institute of Management (IIM), Ahmedabad

Dr. Shailesh Gandhi is currently the chairperson of 2-year Post Graduate Programme in Management (PGP), the flagship programme of IIMA. He has more than 28 years of experience in consultancy, industry and academics. The consulting experience includes working with several organizations in both private and public sectors and also on the assignments funded by international agencies such as the World Bank, OECF, ICA, the
Royal Netherlands Embassy, etc. The consulting areas include: financial restructuring, business systems development, accounting & costing systems and corporate performance measurement. His industry experience comes from the areas of corporate finance, accounting and MIS in chemical companies. The academic experience includes teaching and research in the Finance and Accounting Areas.