Title: Analysing time-frequency relationship between COVID-19 and FII trading activities using wavelet coherence analysis

Authors: Pankaj Kumar Gupta; Prabhat Mittal; Amrita Kaur

Addresses: Centre for Management Studies, Jamia Milia Islamia, New Delhi, India ' Satyawati College (Eve.), University of Delhi, New Delhi, India ' Shaheed Bhagat Singh College (Eve.), University of Delhi, New Delhi, India

Abstract: Recently, the emerging markets like India have exhibited huge volatility due to trading activities of FIIs in the pandemic situation due to COVID-19. The fear of a lockdown situation during the pandemic raised concerns among the market participants and the investors that resulted in a steep fall of 27% in NIFTY50 during 10-23 March 2020. The infusion and withdrawal of portfolio investments have added research dimension as to whether the trading behaviour is due to pandemic and subsequent government actions or has resulted from the other markets like the oil crisis. This paper uses wavelet coherence analysis to examine the co-movement of COVID-19 cases and net investments from FIIs during the different phases of the lockdown period.

Keywords: foreign institutional investors; FII; NIFTY50; wavelet coherence.

DOI: 10.1504/GBER.2021.118726

Global Business and Economics Review, 2021 Vol.25 No.3/4, pp.383 - 399

Received: 11 Dec 2020
Accepted: 26 Apr 2021
Published online: 03 Nov 2021 *

Full-text access for editors Full-text access for subscribers Purchase this article Comment on this article