AN ASSIGNMENT ON

IMPACT OF FII FLOW ON THE BSE SENSEX
AND NIFTY
SUBMITTED BY:
SOUMITA PATRA-67
DIPTAKSHYA BANERJEE-76
AVIJIT BHATTACHARYYA-91
PRITAM PRIYADARSHINI DASH- 122

SUBMITTED TO: PROF. MANOJ KUMAR SAHOO

SENSEX & FII
FII: Foreign Institutional Investor (FII) is used to denote an investor - mostly of
the form of an institution or entity, which invests money in the financial markets of
a country different from the one where in the institution or entity was originally
incorporated.FII investment is frequently referred to as hot money for the reason
that it can leave the country at the same speed at which it comes in. In countries
like India, statutory agencies like SEBI have prescribed norms to register FIIs and
also to regulate such investments flowing in through FIIs. FEMA norms includes
maintenance of highly rated bonds (collateral) with security exchange.

SENSEX: Index of top 30 highly liquid companies listed in BSE. All companies
selected in Sensex depends on various technical factor like size, volume,
company’s past performances and various other factors.But that 30 companies
should represent almost all sectors of India.Sensex(Index of BSE) is calculated
usingthe weighted average method using Listed Companies market
capitalization.The Sensex moves up and down based on movement of 30
companies share prices listed in BSE sensitivity index.The reasons of the rise and
fall of the Sensex may be due to macro-level or micro-level factors such as
Government policies, Inflation rate, FDI & FII etc.In our research ,we have only
considered the FII factor to find out that is there any impact of the FII on the
movement of Sensex.So, we have taken the help of the Regression and Correlation
tools to measure it.

HYPOTHESES TESTING:
Null (Ho):There is no association between Sensex/Nifty and FII
[ Ho: β = 0]

Alternate (Ha):There is an association between Sensex /Nifty and FII
[Ha : β ≠ 0]

Year 1997-2008 – (Overall regression analysis and
correlation between SENSEX and FII):
Data of SENSEX and FII from 1997-2008

sensex

FII

log sensex

feb,08
mar
apr
may
jun
jul
aug
sep
oct
nov
dec
jan'07
feb
apr
may
jun
jul
aug
sep
oct
nov
dec
jan'06
feb
apr

17578.7
15644.4
17287.3
16415.6
13461.6
14355.8
14564.5
12860.4
9788.06
9092.72
9647.31
14090.9
12938.1
13872.4
14544.5
14650.5
15551
15318.6
17291.1
19838
19363.2
20287
9919.89
10370.2
11851.9

-8991
-1643
20238
-1432
-734
-3011
-499
464
-1403
-5250
-574
2385
-2433
1963
1847
3279
4685
-3323
7057
6833
-265
2396
1692
685
3276

9.774443221
9.657868304
9.757727407
9.705987381
9.507596467
9.571909321
9.58634234
9.461908102
9.188918554
9.115229372
9.174434399
9.553284478
9.467931726
9.537656534
9.584968194
9.592229744
9.651880224
9.636823055
9.757947197
9.895354569
9.871129636
9.917735566
9.202297112
9.246691587
9.380243471

may
jun

10398.6
10609.3

-3906
-1157

9.249426461
9.269486254

jul

10743.9

-595

9.282093431

aug
sep
oct
nov
dec
apr'05
may
jun
jul
aug
sep
oct
nov
dec
jan'04
feb
apr
may
jun
jul
aug
sep
oct
apr'03
may
jun
jul
aug
sep
oct
nov
dec
Jan' 02
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov

11699.1
12454.4
12961.9
13696.3
13786.9
6154.44
6715.11
7193.85
7635.42
7805.43
8634.48
7892.32
8788.81
9397.93
5695.67
5667.51
5655.09
4759.62
4795.46
5170.32
5192.08
5583.61
5672.27
2959.79
3180.75
3607.13
3792.61
4244.73
4453.24
4906.87
5044.82
5838.96
3311.03
3562.31
3469.35
3338.16
3125.73
3244.7
2987.65
3181.23
2991.36
2949.32
3228.82

1212
1064
1703
2159
-507
-299
-470
1313
1746
1204
1035
-469
-17
2122
2390
1421
-350
-503
1288
1645
1139
1008
4227
846
-457
-477
-432
448
411
807
2808
746
131
279
276
-73
87
-272
43
-33
-131
-9
-184

9.367267195
9.429829253
9.469769564
9.524881002
9.531474145
8.724929052
8.81211549
8.880981773
8.940553226
8.962574924
9.063518769
8.973645414
9.0812346
9.148244731
8.647461516
8.642505147
8.640311304
8.467923112
8.475424916
8.550689861
8.554889667
8.6275908
8.643344669
7.992873599
8.064872297
8.190667721
8.240809715
8.353433492
8.4013872
8.498391543
8.526117253
8.672307978
8.105014598
8.17816449
8.151722536
8.113175036
8.047423135
8.084778175
8.002242404
8.065023193
8.003483412
7.989329914
8.079872024

941825491 7.38 3519.61 4748.557430695 8.72 4247.41 3841.36770894 8.295750692 8.124825931 8.35397284 8.361675578 8.28 4326.446244838 8.85 3102.110511343 8.090095783 5205.39 3250.55 4433.29 5446.266871128 8.49 2810.69 3211.16 3631.602816606 8.212402938 8.91 3456.084855221 7.76 3876.372565028 8.56 3262 53 444 668 354 229 265 138 125 116 -179 35 70 28 8.097900927 8.230870195 8.024669069 8.78 3329.95 2811.293547014 8.22 3892.406777699 8.039895827 7.1 4256.02 3997.517449159 8.86 4477.66 3055.941508995 8.148092799 8.002811251 8.98 5001.31 2933.12 3224.28 4657.465640916 8.287055236 8.36 3622.39696943 8.38 3711.75 4006.99 3972.29 2812.6 2989.28 3244.189905052 8.984070833 8.77 4279.08 129 477 342 349 155 -160 -194 75 235 -271 78 114 62 44 256 457 343 42 233 33 -154 -100 -23 356 -31 -115 -269 -26 -48 8.356106177 8.35 3287.074434233 7.94117461 8.165977604 8.316393154 8.09 4305.31 4090.Dec Jan' 01 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan' 2000 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan' 98 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Apr'97 May Jun Jul Aug 3377.253516666 8.08662256 8.194842377 8.02 3604.11 3755.21906205 8.81 3686.19751396 8.07848976 8.262579613 .

4479733 0.6 2481874140 2597338248 MS F 115464108.61013122 4.24 3560.45E-30 2.926644 0.08 sep may dec aug jun jan'04 sep sep Apr Nov Jun Jan' 2000 Aug Mar Oct Aug 0 -10000 -15000 SUMMARY OUTPUT Regression Statistics Multiple R 0.29 -43 -140 -50 8.303616 21770825.023095022 Lower 95% 6002.243608614 8.177597281 Regression Model 1: Sensex = a+bFII (for the year 1997 to 2008) 25000 20000 15000 10000 sensex 5000 FII -5000 feb.05400028 .79 Coefficients 6875.26925221 8.167720469 t Stat P-value 15.6 5.03 3803.921751 Observations 116 ANOVA df Regression Residual Total Intercept X Variable 1 1 114 115 SS 115464108.Sep Oct Nov 3902.044454783 Adjusted R Square 0.023095 Significance F 0.450658 0.386253228 Standard Error 440.036072808 Standard Error 4665.302958184 0.21084303 R Square 0.

So we can conclude that at a confidence level of 95 percent the null hypothesis is to be rejected.4 9788.06 9092.5 12860. and that FII has a significant impact on the SENSEX.553284478 9.461908102 9.896762 67.467931726 9.757727407 9.774443221 9.044454783.458103 4731.023095022 which is less than the alpha value of 0.8017241 2582.188918554 9.08 mar apr may jun jul aug sep oct nov dec jan'07 feb apr may sensex FII 17578.7 15644.705987381 9.72 9647.9 12938.987992 545. Correlation: The R-square value is 0.507596467 9.So there is a negligible correlation between SENSEX and FII.6 14355.03867464 MEAN OF FII SD OF FII CV OF FII 473.537656534 9.31 14090.5 log sensex -8991 -1643 20238 -1432 -734 -3011 -499 464 -1403 -5250 -574 2385 -2433 1963 1847 9.3 16415.174434399 9.8 14564.58634234 9.6 13461.4 14544.584968194 .1 13872.1622189 Regression Analysis: The significance level is 0.05. Year 2003-2008 – (Overall regression analysis and correlation between SENSEX and FII): Data of SENSEX and FII from 2003-2008 YEAR feb.657868304 9.MEAN OF SENSEX SD OF SENSEX CV OF SENSEX 7058.571909321 9.4 17287.115229372 9.

32 5192.61 4244.48 7892.469769564 9.09 4759.940553226 8.190667721 8.246691587 9.282093431 9.642505147 8.269486254 9.636823055 9.064872297 8.550689861 8.640311304 8.757947197 9.87 3279 4685 -3323 7057 6833 -265 2396 1692 685 3276 -3906 -1157 -595 1212 1064 1703 2159 -507 -299 -470 1313 1746 1204 1035 -469 -17 2122 2390 1421 -350 -503 1288 1645 1139 1008 4227 846 -457 -477 -432 448 411 807 9.871129636 9.62 4795.42 7805.51 5655.27 2959.13 3792.6275908 8.651880224 9.61 5672.11 7193.9 6154.81 9397.895354569 9.531474145 8.962574924 9.93 5695.429829253 9.724929052 8.44 6715.4 12961.81211549 8.240809715 8.0812346 9.380243471 9.3 10743.498391543 .89 10370.9 13696.647461516 8.43 8634.592229744 9.063518769 8.917735566 9.08 5583.202297112 9.79 3180.367267195 9.992873599 8.85 7635.9 11699.1 12454.2 20287 9919.880981773 8.5 15551 15318.46 5170.67 5667.73 4453.6 10609.4013872 8.148244731 8.554889667 8.75 3607.524881002 9.353433492 8.973645414 9.467923112 8.24 4906.jun jul aug sep oct nov dec jan'06 feb apr may jun jul aug sep oct nov dec apr'05 may jun jul aug sep oct nov dec jan'04 feb apr may jun jul aug sep oct apr'03 may jun jul aug sep oct 14650.9 10398.3 13786.32 8788.643344669 7.6 17291.2 11851.475424916 8.1 19838 19363.249426461 9.

152496 R Square 0.244750177 Lower 95% .380896666 58 1300666431 22425283.82 5838.672307978 Regression Model 2: Sensex = a+bFII (for the year 2003 to 2008) 25000 20000 15000 10000 sensex 5000 FII YEAR 0 1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 49 51 53 55 57 59 61 -5000 -10000 -15000 SUMMARY OUTPUT Regression Statistics Multiple R 0.023255 Adjusted R Square 0.94 1.3050847 8.534 Observations 60 ANOVA df Regression Residual Total SS MS F 1 30966998.14237 853.nov dec MEAN 5044.29 59 1331633430 Coefficients Standard t Stat P-value Significance F 0.94 30966998.96 2808 746 10396.006414 Standard Error 4735.526117253 8.

Error Intercept X Variable 1 10052.244750177 CV OF SENSEX CV OF FII 8795. Year 2008 Year wise Details impact on FII on SENSEX 2008 Regression Model 3: Sensex = a+bFII (for the year 2008) 25000 20000 15000 10000 sensex 5000 FII 0 -5000 -10000 -15000 feb.So there is a negligible correlation between SENSEX and FII.202526 0.8181573 Regression Analysis: The significance level is 0.244750177 which is greater than the alpha value of 0.08 mar apr may jun jul aug sep oct nov dec .172345719 1.So we can conclude that at a confidence level of 95 percent the null hypothesis should be accepted.023255.175115597 0.225655 16.12076E-23 0.94 628. and that FII has no significant impact on the SENSEX.00211157 6.142461294 46.05.406755 -0.12110148 422. Correlation: The R-square value is 0.

829137 COFFICIENT OF VARIATION OF SENSEX 21.670089 SD of FII 6969. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected.62199 0. and that FII has no impact on the SENSEX .834110659 P-value 1.695740592 Significance F 0.02 93962004.05.342875 Regression Analysis: The significance level is 0.61641734 0.192313388 Regression Residual Total Intercept X Variable 1 MEAN OF sensex 13699.267875613 R Square 0.SUMMARY OUTPUT Regression Statistics Multiple R 0.899 87219541.112328728 Standard Error 939.114 F 0. .03138073 Standard Error 3113.7272727 SD of Sensex 2922.071757344 Adjusted R Square -0.425802804 Lower 95% 11603.134668856 t Stat 14.86736 -0.046757 Observations 11 ANOVA df 1 9 10 SS 6742463.2603999 0.425802804 which is higher than the alpha value of 0.67182 MEAN OF FII -257.41244E-07 0.425802804 Coefficients 13728.899 9691060.33386936 COFFICIENT OF VARIATION OF FII -2704.92 MS 6742463.

041 9 58355223.141353406 Adjusted R Square 0.712 F 1.045948229 Standard Error 2546.071757344 .So there is a negligible correlation between SENSEX and FII. YEAR 2007 Regression Model 4: Sensex = a+bFII (for the year 2007) 25000 20000 15000 Series1 10000 Series2 5000 0 jan'07 feb apr may jun jul aug sep oct nov dec -5000 SUMMARY OUTPUT Regression Statistics Multiple R 0.353022 Observations 11 ANOVA df Regression Residual Total SS 1 9606641.Correlation: The R-square value is 0.481611488 t Stat P-value Significance F 0.375969954 R Square 0.4 10 67961864.45 Coefficients Standard MS 9606641.041 6483913.25447517 Lower 95% .

252907046 CV OF FII 142.Error Intercept X Variable 1 15504.80294E-08 0.8662463 Regression Analysis: The significance level is 0.25447517 SD OF SENSEX CV OF SENSEX 2485.150182 13384.54006 937.14135340. and that FII has no impact on the SENSEX .217214643 4.57317 -0.05.25447517 which is higher than the alpha value of 0.363636 3172. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected. Correlation: The R-square value is 0.66364 16.54445948 1.38263939 MEAN OF FII SD OF FII 2220.628957 15.294602005 0.1439469 0.242029626 MEAN OF SENSEX 16158. So there is a negligible correlation between SENSEX and FII. YEAR 2006 Regression Model 5: Sensex = a+bFII (for the year 2006) 15000 10000 Series1 5000 Series2 0 jan'06 feb apr -5000 SUMMARY OUTPUT may jun jul aug sep oct nov dec .

and that FII has no impact on the SENSEX .032553171 Standard Error 1364.24312965 Regression Analysis: The significance level is 0.07699011 1.186634 CV OF FII 366.15861 426.359580108 R Square 0.277420296 SD OF SENSEX 1323. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected.12636 MEAN OF FII 511.872053 Observations 11 ANOVA df SS 1 2489706.65 Regression Residual Total Intercept X Variable 1 Standard Coefficients Error 11551.277420296 t Stat 27.277420296 which is higher than the alpha value of 0.Regression Statistics Multiple R 0.067635 CV OF SENSEX 11.1914E-10 0.72 F Significance F 1.156064608 P-value 6. Correlation: The R-square value is 0. So there is a negligible correlation between SENSEX and FII.129297854.254113983 0.05.162 1862875.6042334 0.4545455 MS 2489706.2198095 MEAN OF SENSEX 11681.162 9 16765881.336485378 0.129297854 Adjusted R Square 0.48 10 19255587.32654159 SD OF FII 1872.11279 -0.0514216 Lower 95% 10586. .

YEAR 2005 Regression Model 6: Sensex = a+bFII (for the year 2005) 10000 8000 6000 Sensex 4000 FII 2000 0 apr'05 may jun jul aug sep oct nov dec -2000 SUMMARY OUTPUT Regression Statistics Multiple R 0.505057614 P-value 2.176025491 Lower 95% 6522.821276 -0.1566 F 2.780317 394.096 8 8515358.176025491 t Stat 18.002 919069.8707E-07 0.91473073 1.265198421 Significance F 0.24448461 Adjusted R Square 0.506855985 0.49445385 R Square 0.13655384 Standard Error 958.336768493 MS 2081874.002 7 6433484.6809462 Observations 9 ANOVA Regression Residual Total Intercept X Variable 1 df SS 1 2081874.098 Standard Coefficients Error 7454.289474961 .125638 0.

Correlation: The R-square value is 0.24448461.976667 SD OF SENSEX CV OF SENSEX 972.7028836 12.5258475 Regression Analysis: The significance level is 0.05.9020556 138. YEAR 2004 Regression Model 7: Sensex = a+bFII (for the year 2004) 7000 6000 5000 4000 Sensex 3000 FII 2000 1000 0 -1000 jan'04 feb apr may jun jul aug sep oct . So there is a negligible correlation between SENSEX and FII.46739032 MEAN OF FII SD OF FII CV OF FII 685 948.176025491 which is higher than the alpha value of 0. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected.MEAN OF SENSEX 7801. and that FII has no impact on the SENSEX .

175165 Adjusted R Square 0.16315526 1.262239304 which is higher than the alpha value of 0. and that FII has no impact on the SENSEX . .7975 F 1.776284012 MEAN OF FII SD OF FII CV OF FII 1362.758495 97.66 Observations 9 ANOVA df 1 7 8 SS 207553.114115 Standard Error 178.05.777778 1330.625556 362.43502E-08 0.112 0. Correlation: The R-square value is 0.554089 -0. So there is a negligible correlation between SENSEX and FII.107203304 Regression Residual Total Intercept X Variable 1 MEAN OF SENSEX SD OF SENSEX CV OF SENSEX 5354.262239304 Lower 95% 4777.5 977352.6 1184906 MS 207553.175164503.093596 t Stat 29.65043993 Regression Analysis: The significance level is 0.8446354 6.219237747 P-value 1. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected.4822 139621.057331 Standard Error 373.486540683 Significance F 0.262239304 Coefficients 5199.2767 0.SUMMARY OUTPUT Regression Statistics Multiple R 0.418527 R Square 0.

144704643 t Stat 12.347 Standard Coefficients Error 3972.307 727670.694417672 Significance F 0.1485 F 2.144704643 Lower 95% 3207.YEAR 2003 Regression Model 8: Sensex = a+bFII (for the year 2003) 7000 6000 5000 4000 Series1 3000 Series2 2000 1000 0 -1000 apr'03 may jun jul aug sep oct nov dec SUMMARY OUTPUT Regression Statistics Multiple R 0.04 8 7054338.28062632 1.52719538 R Square 0.213523865 CV OF SENSEX .307 7 5093691.4438E-06 0.32749 323.174782821 Standard Error 853.295266628 SD OF SENSEX MS 1960647.0358425 Observations 9 ANOVA df Regression Residual Total Intercept X Variable 1 MEAN OF SENSEX SS 1 1960647.459179 -0.484670764 0.4629397 0.641468145 P-value 5.277934969 Adjusted R Square 0.

4065371 Regression Analysis: The significance level is 0.4225.12010644 .08 mar apr may jun jul aug sep oct nov dec jan'07 feb apr may jun jul aug sep oct nov dec 0 -10000 -15000 SUMMARY OUTPUT Regression Statistics Multiple R 0.277934969.95248962 CV OF FII 184.433333 MEAN OF FII 522.144704643 which is higher than the alpha value of 0.3334806 SD OF FII 963.34656377 R Square 0. So there is not such significant correlation between SENSEX and FII.05. REGRESSION & CORRELATION ANALYSIS FOR TWO YEAR PERIOD YEAR 2007-08 Regression Model 9: Sensex = a+bFII (for the year 2007-08) 25000 20000 15000 10000 sensex 5000 FII -5000 feb. and that FII has no impact on the SENSEX.2222222 885. Correlation: The R-square value is 0.0119161 20. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected.

01522E-16 1.652277862 0.16773 2978.526 t Stat P-value 23.4249095 0.03 2.07611177 2930.03 171737970.730022133 0.6 Coefficient s 14746. and that FII has no impact on the SENSEX.95129807 MEAN OF FII SD OF FII CV OF FII 981.34103 22 ANOVA df Regression Residual Total Intercept X Variable 1 1 20 21 SS 23442423.112470517 MS F Significance F 23442423.Adjusted R Square Standard Error Observations 0.3181818 6979.114091671 which is higher than the alpha value of 0.000955 711.048776841 Regression Analysis: The significance level is 0. Correlation: The R-square value is 0.24436927 6. .05.5 195180393.120106444.1863496 Lower 95% 13423.114091671 8586898.562753 19.4197 -0. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected.8069 0.18583255 Standard Error 634.114091671 MEAN OF SENSEX SD OF SENSEX CV OF SENSEX 14929. So there is not such significant correlation between SENSEX and FII.

34795 0.08609E-12 0.161 99869536.22586896 Standard Error 564.464896 -0.YEAR 2005-06 Regression Model 10: Sensex = a+bFII (for the year 2005 –06) 16000 14000 12000 10000 8000 6000 Series2 4000 2000 dec nov oct sep aug jul jun may dec nov oct sep aug jul jun may apr apr'05 -4000 feb -2000 jan'06 0 -6000 SUMMARY OUTPUT Regression Statistics Multiple R R Square Adjusted R Square Standard Error Observations 0.36593564 1.0233531 -0.656054216 0.520088132 Lower 95% 8616.497444862 .430407134 0.4583832 0.5 Coefficients 9802.0309051 2355.15281721 0.48457 20 ANOVA Regression Residual Total Intercept X Variable 1 df 1 18 19 SS 2388031.520088132 5548307.344283993 MS F Significance F 2388031.32 102257567.161 0.573 t Stat P-value 17.

05. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected.16748 22. Correlation: The R-square value is 0.7584463 MEAN OF FII SD OF FII CV OF FII 589.55 1529.848537 259.MEAN OF SENSEX SD OF SENSEX CV OF SENSEX 9935. YEAR 2003-04 Regression Model 11: Sensex = a+bFII (for the year 2003-04) 7000 6000 5000 4000 3000 2000 1000 0 -1000 SUMMARY OUTPUT Regression Statistics Multiple R 0. So there is not such significant correlation between SENSEX and FII.26760178 sensex FII .4942816 Regression Analysis: The significance level is 0. and that FII has no impact on the SENSEX.520088132 which is higher than the alpha value of 0.5173024 R Square 0.0233531.509 2261.

36903651 Standard Error 237.Adjusted R Square Standard Error Observations 0.027 10236790.0586849 Regression Analysis: The significance level is 0. Correlation: The R-square value is 0.045476421 SD OF SENSEX CV OF SENSEX 881. So there is not strong correlation between SENSEX and FII.029444 df 1 16 17 SS 3740292.39644154 MEAN OF FII SD OF FII CV OF FII 942. and that FII has a significant impact on the SENSEX.027 5.05.152629504 t Stat P-value 18.73198004 2.027908504 Lower 95% 3939.485654 0.1949667 18.874608 18 ANOVA Regression Residual Total Intercept X Variable 1 MEAN OF SENSEX 4790.25 MS F 3740292.3888 Significance F 0.417858301 0.1459142 0.22 13977082. .846038762 639799.228105 131.027908504 Coefficient s 4442.So we can conclude that at a confidence level of 95 percent the null hypothesis is to be rejected.0233531.5 1235.22182689 799.62052E-12 2.21253 0.027908404 which is less than the alpha value of 0.

4 SUMMARY OUTPUT Regression Statistics Multiple R 0.33 15.232554594 X Variable 1 -0.38 11.52 97.86 366.65 184.245173461 . The CV of FII measures the volatility of the FII whereas the CV of the SENSEX measures the volatility of the SENSEX.32 12.225796481 1.360899196 P-value 0.05 138.82081105 F 1.95 CV OF FII -2704.77 20.562564171 R Square 0.52543912 27.8086833 Intercept Coefficients 13.316478446 Adjusted R Square 0.46 6.003389507 0.89943053 Standard Error 2.145598058 Standard Error 5.52543912 111.274543682 Observations 6 ANOVA df 1 4 5 SS 51.2832442 162.001992799 Regression Residual Total MS 51. Regression and CV of SENSEX and FII YEAR 2008 2007 2006 2005 2004 2003 CV OF SENSEX 21.REGRESSION & CORRELATION ANALYSIS BETWEEN THE CV OF SENSEX AND CV OF FII (20032008) The Co-efficient of Variation (CV) measures the volatility.852046622 t Stat 6.002711998 0.34 142.

316478446. FDI & FII etc. It is used for a variety of purposes such as benchmarking fund portfolios. and that FII has no impact on the SENSEX. Inflation rate. we have taken the help of the Regression and Correlation tools to measure it. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected.05. The NIFTY moves up and down based on movement of 50 companies share prices listed in NSE sensitivity index. (IISL). 44. Correlation: The R-square value is 0.we have only considered the FII factor to find out that is there any impact of the FII on the movement of NIFTY. .The reasons of the rise and fall of the Sensex may be due to macro-level or micro-level factors such as Government policies. So there is not strong correlation between SENSEX and FII. who are world leaders in index services. 2008. IISL is India's first specialised company focused upon the index as a core product.245173461 which is higher than the alpha value of 0.So.Regression Analysis: The significance level is 0.89% of the traded value of all stocks on the NSE about 58. NIFTY AND FII NIFTY: S&P CNX Nifty is a well diversified 50 stock index accounting for 21 sectors of the economy. IISL has a Marketing and licensing agreement with Standard & Poor's (S&P).64% of the total market capitalization as on March 31. S&P CNX Nifty is owned and managed by India Index Services and Products Ltd. index based derivatives and index funds.In our research . which is a joint venture between NSE and CRISIL.

55 4087.521454101 8.374003882 8.8 4318.5 5165.6 2755.9 4295.418223323 8.992792509 8.3 3821.36539308 8.228257 8.5 4734.49086975 8.722351982 .549834616 8.08 mar apr may jun jul aug sep oct nov dec jan'07 feb apr may jun jul aug sep oct nov dec FII NIFTY -8991 -1643 20238 -1432 -734 -3011 -499 464 -1403 -5250 -574 2385 -2433 1963 1847 3279 4685 -3323 7057 6833 -265 2396 LOG OF NIFTY 5223.370617085 8.276170761 7.65917007 8.403890106 8.462631403 8.85 4464.4 5021.3041361 8.1 2959.95 4360 3929.560922954 8.12 2885.248411378 8.682817793 8.55 4332.75 6138.96748813 7.REGRESSION & CORRELATION ANALYSIS BETWEEN NIFTYAND FII OVERALL (2002-2008): Data of NIFTY and FII from 2002-08 year feb.921209019 7.65 5762.9 4870.380227336 8.3 4528.6 8.35 5900.31578667 8.55 3745.1 4040.

2 8.6 963.8 1134.745997979 7.5 2087.285614161 7.3 1631.030962615 8.1 3954.914532263 7.15 1185.135610612 8.302226846 7.883163615 7.02 Sep Oct Nov 1692 685 3276 3001.066301755 8.870209163 6.495597498 6.3 1779.484312462 7.397745342 7.776807642 7.349809435 7.6 1632.771045998 7.857934584 6.397408338 7.3 3128.950343804 7.1 1555.863805041 7.548424253 6.55092409 7.387245022 7.6 2312.15 951.006734167 8.1 1483.7 3508.25 2836.75 1010.493372927 7.9 1796.83952997 6.55 2220.4 1049.4 2370.316946769 7.1854617 8.078215096 7.162829859 -3906 -1157 3185.4 3744.4 1902.55 1800.5 1800.75 1745.2 3413.28260945 8.705532709 7.1 8.05 1006.256367809 7.048213038 -595 1212 1064 1703 2159 -507 -299 -470 1313 1746 1204 1035 -469 -17 2122 2390 1421 -350 -503 1288 1645 1139 1008 4227 846 -457 -477 -432 448 411 807 2808 746 -33 -131 -9 -184 3143.85 1356.9 1615.7 8.918299493 6.55 1417.5 3966.jan'06 feb apr may jun jul aug sep oct nov dec apr'05 may jun jul aug sep oct nov dec jan'04 feb apr may jun jul aug sep oct apr'03 may jun jul aug sep oct nov dec Aug.3 2384.1 934.052996668 8.033638751 7.1 3074.6 1505.212699991 7.65 2601.495708597 7.956259688 .9 3588.227936547 8.464796327 7.643746409 7.25 1897.95 2652.

9537657 MS F 3579299.5 6.605187 .214089 Standard Error 179.786783 2003208.166070585 R Square 0.84414795 P-value 1.012144192 Standard Error 1415.314 1.18E-23 Significance F 0.Dec 53 1093.18612593 Lower 95% 2491.34751 Observations 65 ANOVA df Regression Residual Total Intercept 1 63 64 SS 3579299.2 129781439.314 126202140.99713884 Regression Model 12: NIFTY = a+bFII (for the year 2002 to 2008) 25000 20000 15000 10000 FII 5000 NIFTY -5000 apr jul oct jan'07 may aug nov feb jun sep dec jun sep dec apr jul oct jun sep dec Oct 0 -10000 -15000 SUMMARY OUTPUT Regression Statistics Multiple R 0.575 t Stat 15.5 Coefficients 2851.027579439 Adjusted R Square 0.

466406 684. So there is not strong correlation between NIFTY and FII. Correlation: The R-square value is 0.218544 MEAN OF FII SD OF FII CV OF FII 3757.34375 427.X Variable 1 0.05.6983854 18.08 mar apr may jun -10000 -15000 SUMMARY OUTPUT jul aug sep oct nov dec . So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected.22234217 1.186126 0.33670608 0. and that FII has no impact on the NIFTY.051382099 MEAN OF NIFFTY SD OF NIFFTY CV OF NIFFTY 132.18612573 which is higher than the alpha value of 0. REGRESSION & CORRELATION ANALYSIS BETWEEN NIFTYAND FII YEAR 2008 Regression Model 13: NIFTY = a+bFII (for the year 2008) 25000 20000 15000 10000 FII 5000 NIFTY 0 -5000 feb.068682765 0.7595418 323.033996167 Regression Analysis: The significance level is 0.027579439.

847417159 0. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected.718115842 0.073894555.05597926 CV OF NIFTY 20.902787 0. Correlation: The R-square value is 0.418726971 which is higher than the alpha value of 0.9747 0.05.7272727 6969.5016 0.342875 Regression Analysis: The significance level is 0.073894555 Adjusted R Square -0. and that FII has no impact on the NIFTY.033531096 Standard Error 275.418726971 836638.Regression Statistics Multiple R 0.93942053 1. So there is not strong correlation between NIFTY and FII.039569 Significance MS F F 600803.679559 Observations 11 ANOVA Regression Residual Total Intercept X Variable 1 MEAN OF NIFTY 4114.7331385 Lower 95% 3498.16845E-07 0.60454 -0.260909 df 1 9 10 SS 600803.271835529 R Square 0. .89641755 MEAN OF IIF SD OF IIF CV OF FII -257.418726971 SD OF NIFTY 859.5 7529748 8130552 Coefficients 4122.6957 t Stat P-value 14.02900605 Standard Error 914.829137 -2704.

141353406 Adjusted R Square 0.25447517 .YEAR 2007 Regression Model 14: NIFTY = a+bFII (for the year 2007) 8000 6000 4000 Series1 2000 Series2 0 jan'07 feb apr may jun jul aug sep oct nov dec -2000 -4000 SUMMARY OUTPUT Regression Statistics Multiple R 0.045948229 Standard Error 3249.35 9 95041792.646001 Observations 11 ANOVA df Regression Residual Total SS 1 15646112.5 MS F 15646112.2 10 110687904.375969954 R Square 0.13 Significance F 0.481611488 10560199.35 1.

470823 0.25447517 which is higher than the alpha value of 0.628957 3172.150182 15. Correlation: The R-square value is 0.8662463 Regression Analysis: The significance level is 0.05.394188011 Nifty MEAN SD CV t Stat P-value 0. and that FII has no impact on the NIFTY.217214643 0. YEAR 2006 Regression Model 15: NIFTY = a+bFII (for the year 2006) .41190381 FII 16158.7477 6444.479811419 0.1535 0.363636 2485. So there is not strong correlation between NIFTY and FII.38263939 142. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected.412882115 1.141353406.Coefficients Intercept X Variable 1 Standard Error -5532.25447517 Lower 95% 20111.66364 2220.858526301 0.

5645734 Observations 10 ANOVA df Regression Residual Total Intercept X Variable 1 MEAN SD CV 1 8 9 SS 756900.082705797 0.1678071 3326.7073739 0.500671 Standard Error 276.41276077 151.39587E-07 3774.267235855 532264.4668 t Stat 15.94645133 P-value Lower 95% 2.422038748 0.43 Coefficients 4412.150926863 Adjusted R Square 0.5000 4000 3000 2000 Series3 1000 Series4 0 -1000 jan'06 feb apr may jun jul aug sep oct nov dec Series1 Series2 -2000 -3000 -4000 -5000 SUMMARY OUTPUT Regression Statistics Multiple R 0.077228025 .6958 1.069355393 4594.388493066 R Square 0.412323 1.0109485 Significance MS F F 756900.469173 15.8 708.192492661 0.04479272 Standard Error 729.734 5015016.685 2202.267235855 0.6958 4258115.

Correlation: The R-square value is 0.509265428 R Square 0.259351276 Adjusted R Square 0. and that FII has no impact on the NIFTY. YEAR 2005 Regression Model 16: NIFTY = a+bFII (for the year 2005) 3500 3000 2500 2000 1500 Series1 1000 Series2 500 0 -500 apr'05 may jun jul -1000 SUMMARY OUTPUT Regression Statistics Multiple R 0.150926863.05.Regression Analysis: The significance level is 0.267236 which is higher than the alpha value of 0. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected.153544315 Standard Error 267. So there is not strong correlation between NIFTY and FII.2273219 aug sep oct nov dec .

0911 674912.093872464 MEAN 2374. and that FII has no impact on the NIFTY.853164 1.161417704 71410. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected.44158 t Stat 20.565622575 0.631894 109.9020556 11.05.4211 499873.161418 which is higher than the alpha value of 0.305556 SD CV 273.5258475 Significance MS F F 175039.8435304 948.161417704 0.075004256 685.8604694 X Variable 1 0.259351276. Correlation: The R-square value is 0.451174048 0.54425E-07 2013. So there is not strong correlation between NIFTY and FII.146968849 0.00 Regression Analysis: The significance level is 0.69563244 P-value Lower 95% 1.Observations 9 ANOVA Regression Residual Total Intercept df 1 7 8 SS 175039.5122 Coefficients Standard Error 2273. YEAR 2004 Regression Model 17: NIFTY = a+bFII (for the year 2004) .53362632 138.4211 2.

94369E-08 1494.47442741 0.03940882 0.152265 1.240101442 0.436526419 R Square 0.89921 t Stat 27.00108 1.283707163 0.030699229 1686.422314 Standard Error 58.00108 105146.074920359 Standard Error 122.2945 129899.1384829 7.65043993 Significance MS F F 24753.190555314 Adjusted R Square 0.240101442 15020.127778 120.2956 Coefficients 1632.033183321 .5000 4000 3000 Series1 2000 Series2 1000 0 jan'04 feb apr may jun jul aug sep oct -1000 SUMMARY OUTPUT Regression Statistics Multiple R 0.91685847 P-value Lower 95% 1.777778 1330.758495 97.647904079 0.5597781 Observations 9 ANOVA Regression Residual Total Intercept X Variable 1 MEAN SD CV df 1 7 8 SS 24753.12511142 1362.

So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected.190555314.Regression Analysis: The significance level is 0. YEAR 2003 Regression Model 18: NIFTY = a+bFII (for the year 2003) 3000 2500 2000 1500 Series1 1000 Series2 500 0 -500 apr'03 may jun -1000 SUMMARY OUTPUT Regression Statistics jul aug sep oct nov dec .240101 which is higher than the alpha value of 0. So there is not strong correlation between NIFTY and FII.05. and that FII has no impact on the NIFTY. Correlation: The R-square value is 0.

178044258 283. YEAR 2002 Regression Model 19: NIFTY = a+bFII (for the year 2002) .529895014 0.2222222 963.280788725. So there is not strong correlation between NIFTY and FII.098077538 NIFTY 1344. Correlation: The R-square value is 0.73288413 0.822222 294.653143711 0.94682 Significance F F 2.41271E-06 1006.9228 80286.142280094 t Stat P-value Lower 95% 11.91074358 FII 522.4433946 0.05.087805 1.Multiple R R Square Adjusted R Square Standard Error Observations 0.142280094 -0.9228 562008.5506 Coefficients 1260.6277 781423.72851125 7.4065371 MS 219414. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected.162136265 Standard Error 107.0119161 184.06978026 Regression Analysis: The significance level is 0.3495135 9 ANOVA Regression Residual Total Intercept X Variable 1 2003 MEAN SD CV df 1 7 8 SS 219414.151061 0.280788725 0.6605487 21.142280094 which is higher than the alpha value of 0. and that FII has no impact on the NIFTY.

5510155 .1200 1000 800 600 Series1 400 Series2 200 0 Aug.215054448 R Square 0.5761533 0.0001022 904.046248416 Adjusted R Square 0.45501741 -140.728309653 4485.67 53.02 -200 Sep Oct Nov Dec -400 SUMARRY OUTPUT Regression Statistics Multiple R 0.5761533 13457.8 85.12294796 5.798242 36.381409426 0.1454731 0.887282 1013.271668779 Standard Error 66.133688186 0.238 Significance MS F F 652.240655042 FII -60.8097226 0.76056339 27.79604412 0.7283097 -0.66185 14110.350510966 0.97676673 Observations 5 ANOVA df 1 3 4 Regression Residual Total Intercept X Variable 1 Coefficients Standard Error t Stat P-value Lower 95% 1021.98179414 2002 NIFTY MEAN SD CV SS 652.

24 -2704.168388757 Adjusted R Square 0.046248416. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected.13 21.002066509 CV OF FII 20.4 -140.41 11. So there is negligible correlation between NIFTY and FII.410351992 R Square 0.38 15. Correlation: The R-square value is 0. and that FII has no impact on the NIFTY.86 151.728309653 which is higher than the alpha value of 0.89 15.01 138.34 142.65 184.55 .53 7.91 5.53 97. REGRESSION & CORRELATION ANALYSIS BETWEEN THE CV OF NIFTY AND CV OF FII (2002-2008) REGRESSION OF CV OF NIFTY AND FII YEAR CV OF NIFTY 2008 2007 2006 2005 2004 2003 2002 SUMMARY OUTPUT Regression Statistics Multiple R 0.05.Regression Analysis: The significance level is 0.

006193 0.360504852 0. all other years for e. there is a significant relation between the FII and the SENSEX.519777927 X Variable 1 -0.008742612 Regression Analysis: The significance level is 0. and the year 2003 to 2004.003381526 6.230074 0.8557145 40.012424728 0.g.075228 1.07522832 41. Correlation: The R-square value is 0. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected.168388757. and that FII has no impact on the NIFTY.9309429 Intercept Coefficients 13. 2003. 2004.05.00245941 0. So there is not so correlation between NIFTY and FII.Standard Error Observations 6.1786249 Standard Error 2. so we are not able to . 2006 etc it was found that the there is no significant relationship between the FII and the SENSEX.369548093 7 ANOVA df Regression Residual Total SS 1 5 6 Significance MS F F 41. CONCLUSION: As per our research we have found out that in the case of the overall regression analysis for both the starting year1997 till the year 2008.360504852 which is higher than the alpha value of 0.2003-2008. 2005.701329534 -1.360504852 202.571143 243.As the nature of our data is on the monthly basis. Except for these two cases.002444272 t Stat P-value Lower 95% 5.

inflation rate. . So.track the significant relation between SENSEX and FII due to lack of availability of daily data. from our research it came out that in almost all the cases there is no significant relation between the FII flow and the SENSEX movement. political environment etc. policy. the SENSEX is also influenced by Govt. As we know the FII is not only the sole factor that influences the SENSEX movement.

com www.org .com www.nseindia.google.bseindia.org.BIBLIOGRAPHY www.in www.rbi.wikipedia.com www.co.econstats.in www.

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