UDC: 339.727.22(540)005.22:330.322

DOI: 10.7595/management.fon.2015.0009

India has witnessed substantial increase in capital flows, particularly Foreign Institutional Investment in equityas 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 bytracing which AR terms and/or MA terms influence the current inflow or outflow.

Keywords: Foreign Institutional Investment, Indian stock market, hot money, Futures market, Auto Regressive Integrated Moving Average (ARIMA)

Vaishali S. Dhingra^1*, Hemantkumar P. Bulsara², Shailesh Gandhi³

¹S.V.National Institute of Technology (SVNIT), Surat, India

²S.V.National Institute of Technology (SVNIT), Surat, India

³Indian Institute of Management (IIM), Ahmedabad, India

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