Title: An ARDL and cointegration approach for analysing determinants of foreign portfolio investors' in India

Authors: Parul Kumar; R.K. Sharma; Sunil Kumar

Addresses: Management Department, Maharaja Agrasen Institute of Management Studies, New Delhi, India ' Department of Management, Bharati Vidyapeeth Institute of Management & Research, New Delhi, India ' Department of Commerce, School of Management Studies, Indira Gandhi National Open University, New Delhi, India

Abstract: This paper examines the relationship of FPI Net flows domestic with international financial and macroeconomic indicators. The time frame covered by the study is from January 2000 till December 2017. Auto regressive distributed lag (ARDL) method along with the Co-integration Analysis is used. Results highlighted that the major determinants of FPI in India are, Nifty returns, wholesale price index (WPI), index of industrial production (IIP), rupee dollar exchange rate, NSE market capitalisation, foreign exchange reserves and in terms of international factors are S&P 500 returns and MSCI emerging market returns. LIBOR, CMR, broad money and MSCI World Index returns are not significant in explaining the variations in FPI to India.

Keywords: Nifty; S&P 500; emerging markets; exchange rate; inflation.

DOI: 10.1504/IJMEF.2019.100263

International Journal of Monetary Economics and Finance, 2019 Vol.12 No.2, pp.98 - 117

Received: 23 Dec 2018
Accepted: 16 Feb 2019
Published online: 23 Jun 2019 *

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